SEI Institutional Investment Trust

Description

Market Value

($ Thousands)

Total U.S. Treasury Obligation
(Cost $3,142) ($ Thousands)

Total Investments — 103.7%
(Cost $1,479,078) ($ Thousands)

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.

I. Objective

The Large Cap Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Multi-Manager Approach Statement

III. Market Commentary

The fiscal year started strong on speculation that the Federal Reserve (Fed) would expand its bond-buying program as economic indicators in the U.S. remained lackluster. European Central Bank President Mario Draghi’s oft-cited comment in late July to do “whatever it takes” to support the euro sent the market higher, as the worst-case scenario within the region was seemingly off the table. Stimulus speculation in the U.S. became a reality on September 13, when the Fed announced it would purchase $40 billion of agency mortgage-backed securities per month on an open-ended basis. This was in addition to the $45 billion per month of Treasurys the Fed was already buying. Despite the expanded stimulus measures, concerns about the health of the global economy and uncertainty regarding the outcome of the American presidential election weighed on the market. Following the election, the looming fiscal cliff in the U.S., a still-poor eurozone outlook, and intensified Israeli-Palestinian tensions all vied for the market’s attention. After a last-minute political agreement on the fiscal cliff, the market rallied sharply in the following months. Improving economic indicators, combined with the Fed’s zero-interest-rate policy, forced investors out on the risk curve, which boosted equity prices (albeit in more defensive issues). Best performing sectors for the fiscal year included Financials, Health Care and Consumer Discretionary, while Utilities, Information Technology (IT) and Telecommunications lagged. Value stocks outperformed their growth counterparts, and small cap stocks bested large cap.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund outperformed the Russell 1000 Index (the “Index”), returning 28.44%, versus an Index return of 27.62%.

V. Fund Attribution

Solid broad-based stock selection enabled the Fund’s relative outperformance during the fiscal year. Picks within Energy, particularly among refiners, and within IT, specifically hardware & equipment, were the greatest contributors to alpha generation. An underweight to real estate investment trusts was also beneficial. However, Consumer Discretionary was a source of weakness, as a handful of names materially lagged the broader market. An overweight to IT at the expense of better-performing sectors also detracted, while an underweight to Utilities added value.

Large Cap Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Fund, Class A		28.44%		16.64%		5.40%		7.88%		7.25%
Russell 1000 Index		27.62%		16.92%		5.57%		7.96%		7.56%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000 Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Large Cap Diversified Alpha Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Multi-Manager Approach Statement

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund underperformed the Russell 1000 Index (the “Index”), returning 25.66% versus an Index return of 27.62%.

V. Fund Attribution

The Fund generated strong absolute results but underperformed relative to the benchmark for the year. Stock selection within the Consumer Discretionary sector was the primary driver of relative underperformance, as a handful of names across multiple industry groups materially lagged the broader market. An underweight to and selection within Financials (the best performing sector in the Index) also detracted. Picks within Energy, particularly among the refiners, were sources of strength during the year, as were an underweight to Utilities and selection within Consumer Staples.

Large Cap Diversified Alpha Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Large Cap Diversified Alpha Fund, Class A		25.66%		16.49%		3.96%		4.25%
Russell 1000 Index		27.62%		16.92%		5.57%		5.78%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, Class A, versus the Russell 1000 Index

LOGO

For the year ended May 31, 2013. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Large Cap Disciplined Equity Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilizes the following sub-advisers as of May 31, 2013: Quantitative Management Associates, LLC, Analytic Investors, Inc., Lazard Asset Management LLC, INTECH Investment Management LLC and Oppenheimer Funds, Inc. To achieve its investment goal, the Fund may invest in the SEI LIBOR Plus Portfolio (Portfolio), which is a portfolio of SEI Alpha Strategy Portfolios, LP, a registered open-end investment company that was established to permit certain SEI funds to pursue their respective investment strategies in an efficient manner. The sub-advisers to the Portfolio’s assets are Brookfield Asset Management and Declaration Management & Research.

During the fiscal year ended May 31, 2013, OppenheimerFunds, Inc. was added to the Fund and GE Asset Management was terminated.

III. Market Commentary

Discretionary, while Utilities, Information Technology (IT) and Telecommunications lagged. Value stocks outperformed their growth counterparts, and small cap stocks bested large cap.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund outperformed the S&P 500 Index (the “Index”), returning 28.24% versus the Index return of 27.28%.

V. Fund Attribution

The Fund posted positive relative performance in a strong-absolute-return environment. Stock selection within the Consumer Discretionary, Health Care and Industrials sectors was a source of strength, as was an underweight to Utilities, which materially lagged the broader market. Picks within Information Technology, specifically the software & services and semiconductor industry groups, proved challenging for the Fund, as did selection within Consumer Staples.

Large Cap Disciplined Equity Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Large Cap Disciplined Equity Fund, Class A		28.24%		16.71%		3.75%		6.37%
S&P 500 Index		27.28%		16.87%		5.43%		0.16%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Disciplined Equity Fund, Class A, versus the S&P 500 Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 8/28/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Large Cap Index Fund (the “Fund”) seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the Russell 1000 Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-adviser under the supervision of SEI Investments Management Corporation (SIMC). The sole sub-adviser is SSgA Funds Management, Inc. There were no sub-adviser changes during the year.

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund slightly underperformed the Russell 1000 Index (the “Index”), returning 27.55% versus the Index return of 27.62%.

V. Fund Attribution

Incremental underperformance was generated by cash flows. As an index fund, performance is designed to track that of the Index.

Large Cap Index Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Index Fund, Class A		27.55%		16.89%		5.54%		7.90%		5.63%
Russell 1000 Index		27.62%		16.92%		5.57%		7.96%		5.67%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Index Fund, Class A, versus the Russell 1000 Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 4/1/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Extended Market Index Fund (the “Fund”) seeks investment results that approximate, as closely as practicable and before expenses, the performance of the Russell Small Cap Completeness Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-adviser to manage the portfolio under the general supervision of SEI Investments Management Corporation (SIMC). As of May 31, 2013, the Fund’s sub-adviser was SSgA Funds Management, Inc.

The Fund was launched in February 2013, and there have been no sub-adviser changes since inception.

III. Market Commentary

The U.S. equity market, as measured by the Russell Small Cap Completeness Index, gained 30% during the fiscal year ending May 31, 2013. The market advanced on increasing optimism about the domestic economy, supported by improving housing and employment conditions and accommodative monetary policy from the U.S. Federal Reserve, as well as the diminishing frequency and impact of Europe’s financial-crisis spasms. Except for a moderate pullback in October and November and a brief pause around the end of March, market activity consistently trended in a positive direction during the Fund’s fiscal year. From a sector perspective, market performance was led by Consumer Discretionary, which gained 41%, followed by Health Care, Industrials and Consumer Staples. The worst-performing sector was Information Technology, which gained nearly 20%. Utilities, Financials and Energy also lagged the broad market.

During the since-inception period for the Fund (February 28, 2013 through May 31, 2013), the Russell Small Cap Completeness Index gained 7.94%. Performance was led by the Telecommunications sector, which gained nearly 16%, followed by Consumer Discretionary and Consumer Staples. The worst-performing sectors were Materials and Energy, which each gained nearly 4%.

IV. Return vs. Benchmark

For the since-inception period from February 28, 2013 to May 31, 2013, the Fund underperformed the Russell Small Cap Completeness Index (the “Index”), returning 7.84% versus the Index return of 7.94%.

V. Fund Attribution

As an index fund, the Fund is designed to track closely the performance of the Index. The slight underperformance during the period is attributable to cash flows.

Extended Market Index Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	Cumulative Inception to Date
Extended Market Index Fund, Class A		7.84%
Russell Small Cap Completeness Index		7.94%

For the period ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 2/28/13. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: AllianceBernstein, L.P.; AQR Capital Management, LLC; Artisan Partners, LP; Janus Capital Management, LLC; J.P. Morgan Investment Management; Lee Munder Capital Group, LLC; LSV Asset Management; Security Capital Research & Management, Inc.; Robeco Investment Management; Timberline Asset Management, LLC; and William Blair & Company, LLC.

During the fiscal year ended May 31, 2013, Allianz Global Investors Capital, LLC and Wellington Management Company, LLP were removed from the Fund. No sub-advisers were added to the Fund during the year.

III. Market Commentary

The U.S. equity market, as measured by the Russell 2000 Index, gained 31% during the fiscal year ending May 31, 2013. The market advanced on increasing optimism about the domestic economy, supported by improving housing and employment conditions and accommodative monetary policy from the U.S. Federal Reserve, as well as the diminishing frequency and impact of Europe’s financial-crisis spasms. Except for a moderate pullback in October and November and a brief pause around the end of March, market activity consistently trended in a positive direction during the Fund’s fiscal year. From a sector perspective, market performance was led by Consumer Discretionary, which gained nearly 40%, as well as Industrials and Materials. The worst-performing sector was Utilities, which still gained 20%. Telecommunications and Energy also lagged the broad market.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund underperformed the Russell 2000 Index (the ”Index”), returning 29.71% versus an Index return of 31.07%.

V. Fund Attribution

Sector allocation boosted performance during the period, largely due to the Fund’s pro-cyclical positioning. The portfolio’s overweight in Industrials and underweight in Utilities both contributed meaningfully. Individual stock selection was detrimental to performance in most sectors, particularly Information Technology (IT) and Consumer Discretionary. Within IT, the portfolio’s holdings in the hardware segment were the primary source of underperformance. In Consumer Discretionary, the Fund’s holdings in the retailing and household durables areas performed relatively poorly. The two sectors where stock selection contributed to performance were Financials — where the Fund’s holdings in banks, capital markets and consumer finance outperformed — and (to a lesser extent) Consumer Staples. In factor terms, the Fund’s relatively low exposure to momentum and its higher market-capitalization profile relative to the Index proved detrimental to performance.

Small Cap Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small Cap Fund, Class A		29.71%		14.15%		5.76%		9.00%		7.95%
Russell 2000 Index		31.07%		15.72%		7.15%		9.78%		7.60%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000 Index

LOGO

I. Objective

The Small Cap II Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: AllianceBernstein, LP; AQR Capital Management, LLC; Fiduciary Management Associates, LLC; Lee Munder Capital Group, LLC; and Timberline Asset Management, LLC.

During the fiscal year ended May 31, 2013, Fiduciary Management Associates, LLC was added to the Fund. No sub-advisers were terminated from the Fund during the year.

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund underperformed the Russell 2000 Index (the “Index”), returning 28.54% versus an Index return of 31.07%.

V. Fund Attribution

Sector allocations added to performance during the period, largely due to the Fund’s pro-cyclical positioning. The portfolio’s overweight position in Industrials contributed meaningfully, as did overweight positions in Consumer Discretionary and Materials and underweight positions in Utilities, Telecommunications and Health Care. Individual stock selection detracted in several sectors, particularly Information Technology (IT) and Consumer Discretionary. Within IT, the portfolio’s holdings in the hardware segment were the primary source of underperformance. In Consumer Discretionary, the Fund’s holdings in the consumer durables, hospitality and retailing areas performed relatively poorly. Stock selection was also a performance headwind in the Energy sector. The two sectors where stock selection contributed meaningfully to performance were Industrials (primarily in the capital goods area) and Financials (within consumer finance and real estate). In factor terms, the Fund’s higher-market-capitalization profile relative to the Index proved to be a moderate drag on performance.

Small Cap II Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized Inception to Date
Small Cap II Fund, Class A		28.54%		20.49%
Russell 2000 Index		31.07%		23.83%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap II Fund, Class A, versus the Russell 2000 Index

LOGO

For the period ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 4/10/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Small/Mid Cap Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: AllianceBernstein, LP, Century Capital Management, LLC, Integrity Asset Management, LLC, Janus Capital Management, LLC, Lee Munder Capital Group, LLC, LSV Asset Management, Robeco Investment Management; Security Capital Research & Management, Inc., Timberline Asset Management, LLC, Wellington Management Company, LLP and William Blair & Company, LLC.

During the fiscal year ended May 31, 2013, Allianz Global Investors Capital, LLC was terminated from the Fund, and Timberline Asset Management, LLC was added to the Fund.

III. Market Commentary

The U.S. equity market, as measured by the Russell 2500 Index, gained 32% during the fiscal year ending May 31, 2013. The market advanced on increasing optimism about the domestic economy, supported by improving housing and employment conditions and accommodative monetary policy from the U.S. Federal Reserve, as well as the diminishing frequency and impact of Europe’s financial-crisis spasms. Except for a moderate pullback in October and November and a brief pause around the end of March, market activity consistently trended in a positive direction during the Fund’s fiscal year. From a sector perspective, market performance was led by Consumer Staples, which gained nearly 46%, followed by Consumer Discretionary and Industrials. The worst-performing sectors were Utilities and Information Technology, which each gained approximately 23%.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund underperformed the Russell 2500 Index (the “Index”), returning 29.49% versus an Index return of 31.63%.

V. Fund Attribution

Individual stock selection was detrimental to performance in most sectors, particularly Health Care and Consumer Discretionary. Within Health Care, the portfolio’s holdings in equipment and services were the primary source of underperformance. In Consumer Discretionary, the Fund’s holdings in retailing performed relatively poorly. Stock selection was also a performance headwind in Consumer Staples, Industrials and Information Technology (IT). The two sectors where stock selection contributed meaningfully to performance were Materials (primarily in metals and mining) and Financials (mainly in banks). Sector allocation had a negligible impact on relative performance, as individual sector effects offset in the aggregate. The Fund benefited from pro-cyclical positioning — specifically an overweight in Industrials and underweight in Utilities — but this was offset by an overweight to the weak IT sector.

Small/Mid Cap Equity Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Small/Mid Cap Equity Fund, Class A		29.49%		15.40%		6.38%		8.04%
Russell 2500 Index		31.63%		17.08%		7.61%		8.80%

Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap Equity Fund, Class A, versus the Russell 2500 Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 12/15/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The U.S. Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad U.S. equity markets.

II. Multi-Manager Approach Statement

III. Market Commentary

The U.S. equity market, as measured by the Russell 3000 Index, gained 27.88% during the year ending May 31, 2013. Following a selloff in the spring of 2012 due to a softening U.S. economy and continuing issues in Europe, central banks worldwide stepped in with supportive policies and a risk rally unfolded throughout the summer. Due to the presidential election and looming fiscal cliff in the U.S., as well as the ongoing eurozone crisis, investors’ fears and uncertainty increased in autumn, resulting in a slight market drawdown. The rally resumed at the end of 2012 after the U.S. elections and gained momentum in the beginning of 2013 because the fiscal cliff was averted, debt-ceiling negotiations were pushed back, and there was potential for additional easing in Japan. The momentum continued to the end of May. For the fiscal year, value stocks outperformed their growth counterparts. All 10 sectors posted positive performance. Renewed confidence in the economic recovery revived investors’ willingness to take risk. The best-performing sectors were Financials, Consumer Discretionary and Industrials. Interestingly, Health Care also had a good run in the spring of 2013, along with other defensive sectors such as Consumer Staples, Utilities and Telecommunications. Utilities, Information Technology and Telecommunications lagged the market the most throughout the period.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund underperformed the Russell 3000 Index (the “Index”), returning 24.19% versus the Index return of 27.88%.

V. Fund Attribution

Higher-quality defensive positioning drove the Fund’s relative underperformance. This effect only marginally offset by good stock selection in the lowest-beta names. (Beta is a statistical measure of a security’s volatility relative to the broader market.) The managers target lower-beta names, which are typically characterized by more stable earnings profiles and lower leverage ratios (debt relative to a company’s equity capital), to achieve one of the Fund’s primary objectives of lower return volatility than the overall market.

A lower-risk strategy that includes a focus on mitigating downside risk is expected to lag during strong market rallies, and Fund performance over the last 12 months reflects that. Adjusting for return volatility, the Fund’s results were strong. We believe the Fund’s performance is best viewed in risk-adjusted terms.

From a more traditional sector perspective, underweights in Consumer Discretionary and Financials and an overweight in Utilities worked against performance. These effects were partially offset by an underweight in Information Technology.

U.S. Managed Volatility Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
U.S. Managed Volatility Fund, Class A		24.19%		18.01%		15.75%
Russell 3000 Index		27.88%		16.82%		17.55%

Comparison of Change in the Value of a $100,000 Investment in the US Managed Volatility Fund, Class A, versus the Russell 3000 Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 12/31/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The International Equity Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: Acadian Asset Management LLC, Causeway Capital Management LLC, del Rey Global Investors LLC, INTECH Investment Management LLC, Neuberger Berman Management LLC, Schroder Investment Management North America Inc. and Tradewinds Global Investors LLC. There were no manager changes during the year.

III. Market Commentary

Despite uncertainty prevailing among investors, international markets experienced a strong rally during the period under review. The continued promise of central bank intervention served to bolster investor confidence. This was led by European Central Bank (ECB) President Mario Draghi’s promise to do “whatever it takes” to preserve the euro, which was reflected in the ECB’s Outright Monetary Transactions (designed to prop up banks through unlimited purchases of sovereign bonds on the secondary market), as well as the €500 billion European Stability Mechanism (designed to provide financial assistance to member states of the eurozone in financial difficulty). In response to these measures, Europe was the top-performing region for equities. Toward the end of 2012, we saw the election of Shinzo Abe in Japan and the introduction of “Abenomics” — a multi-step plan to boost Japan’s ailing economy through devaluation of the yen and domestic stimulus measures designed to shift the country out of its deflationary malaise. These announcements served to boost investor sentiment toward Japan and sparked a broad uptrend in Japanese equity markets. However, after a few strong months, markets in Japan corrected in May 2013, as investors became somewhat tentative regarding the long-term efficacy of Abe’s pledged actions. Toward the end of the Fund’s fiscal year, the scaling back of central bank bond purchases in the U.S. came into focus, as policy tightening and an economic slowdown in the world’s largest economy could roil global markets. Overall, Europe was the top-performing region in the period, with the remaining developed regions performing roughly equally. Emerging markets lagged well behind but still managed double-digit returns.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund underperformed the MSCI EAFE Index (the “Index”), returning 27.87% versus the Index return of 31.62%.

V. Fund Attribution

The Fund’s underperformance was driven primarily by the effects of region and sector allocations. From a country/regional perspective, the Fund’s overweight allocation to emerging markets detracted from performance. Emerging markets in general lagged well behind their developed-market peers during the period under review, and Fund holdings in South Africa and Brazil had a negative impact. The Fund’s exposure to Canadian equities, primarily represented by precious metals miners, also dragged on results. On the other hand, our managers did well overall with stock selection in Europe, particularly in France and Switzerland. The Fund also benefitted marginally from its overweight allocation to Europe, as our managers continue to find attractive investment opportunities there with the euro-area crisis stabilizing somewhat. Despite the recent rally it experienced, Japan still underperformed for the overall period, and the Fund’s underweight in that country was also positive for performance. Our managers still believe there are long-term structural issues in Japan, even in light of the recent revival of the country’s stock market, so the underweight is likely to persist. From a sector perspective, allocation effects were responsible for the Fund’s underperformance. The underweight to Financials was the greatest drag on results, with the sector up nearly 50% during the period. Additionally, the Fund’s overweight allocation to the Materials sector, mainly through precious metals miners, was a significant detractor. In contrast, strong stock selection in Industrials and Health Care helped mitigate the impact from sector allocation.

International Equity Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
International Equity Fund, Class A		27.87%		9.96%		(4.61)%		6.47%		3.66%
MSCI EAFE Index		31.62%		11.00%		(1.60)%		8.32%		4.56%

Comparison of Change in the Value of a $100,000 Investment in the International Equity Fund, Class A, versus the MSCI EAFE Index

LOGO

I. Objective

The objective of the World Equity Ex-US Fund (the “Fund”) is to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2013: Acadian Asset Management LLC, EARNEST Partners LLC, JO Hambro Capital Management Limited, McKinley Capital Management LLC, NFJ Investment Group LLC and Thornburg Investment Management LLC. There were no manager changes during the year.

III. Market Commentary

Despite uncertainty prevailing among investors, international markets experienced a strong rally during the period under review. The continued promise of central bank intervention served to bolster investor confidence. This was led by European Central Bank (“ECB”) President Mario Draghi’s promise to do “whatever it takes” to preserve the euro, which was reflected in the ECB’s Outright Monetary Transactions (designed to prop up banks through unlimited purchases of sovereign bonds on the secondary market), as well as the €500 billion European Stability Mechanism (designed to provide financial assistance to member states of the eurozone in financial difficulty). In response to these measures, Europe was the top-performing region for equities. Toward the end of 2012, we saw the election of Shinzo Abe in Japan and the introduction of “Abenomics” — a multi-step plan to boost Japan’s ailing economy through devaluation of the yen and domestic stimulus measures designed to shift the country out of its deflationary malaise. These announcements served to boost investor sentiment toward Japan and sparked a broad uptrend in Japanese equity markets. However, after a few strong months, markets in Japan corrected in May 2013, as investors became somewhat tentative regarding the long-term efficacy of Abe’s pledged actions. Toward the end of the Fund’s fiscal year, the scaling back of central bank bond purchases in the U.S. came into focus, as policy tightening and an economic slowdown in the world’s largest economy could roil global markets. Overall, Europe was the top-performing region in the period, with the remaining developed regions performing roughly equally. Emerging markets lagged well behind but still managed double-digit returns.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund outperformed the MSCI All Country World Ex US Index (the “Index”), returning 27.11% versus the Index return of 25.79%.

V. Fund Attribution

The Fund’s outperformance was driven primarily by stock selection, although portfolio allocation delivered positive effects as well. From a country/regional perspective, the Fund benefited from stock selection across the majority of regions, with the exceptions of Europe and Pacific ex-Japan. The best results for the period came from selection within Canada, specifically Energy and Materials names. Stock selection in emerging markets was also strong, particularly in Indonesia, India, Turkey and South Africa. The Fund’s overweight to Latin America detracted however, as the region (excluding Mexico) lagged well behind the benchmark. From a sector standpoint, stock selection drove performance, with sector allocation also adding to results. While selection was especially strong in the Materials and Energy sectors, we also saw strong results in the Fund’s Industrials and Telecommunications names. The Fund’s underweight to Financials was the most significant detractor, as the sector was up nearly 40% for the period. However, the Fund’s overweights Consumer Discretionary and Health Care bolstered performance, as both of those sectors delivered strong results during the period.

World Equity Ex-US Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
World Equity Ex-US Fund, Class A		27.11%		10.35%		(3.03)%		4.62%
MSCI All Country World Ex-US Index		25.79%		9.13%		(1.62)%		5.57%

Comparison of Change in the Value of a $100,000 Investment in the World Ex-US Equity Fund, Class A, versus the MSCI All Country World Ex-US Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 3/28/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Screened World Equity Ex-US Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: Acadian Asset Management LLC, EARNEST Partners LLC, McKinley Capital Management LLC and Thornburg Investment Management LLC. There were no manager changes during the year.

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund performed in line with the MSCI All Country World Ex US Index (the “Index”), returning 25.69% versus the Index return of 25.79%.

V. Fund Attribution

The Fund marginally underperformed the benchmark by 10 basis points. The Fund’s performance was driven by a combination of stock selection and allocation effects. From a country/regional perspective, the Fund benefited from stock selection across the majority of regions. The exception was Europe, where selection in the Netherlands and Spain negatively impacted results. Stock selection in emerging markets was a strong spot, with particularly good results in Brazil, Mexico, Turkey and South Africa. The underweight to Japan and overweight to China both detracted, as Japan rallied and China lagged during the period. From a sector standpoint, both sector allocation and stock selection had mixed effects on performance. In both the Materials and Energy sectors, underweight allocations and strong stock selection bolstered results, as did stock selection in the Information Technology and Telecommunications sectors. The Fund’s underweight to Financials detracted, as the sector was up nearly 40% for the period. Selection in the Consumer Discretionary sector also dragged on results.

Screened World Equity Ex-US Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
Screened World Equity Ex-US Fund, Class A		25.69%		9.14%		(1.33)%
MSCI All Country World Ex-US Index		25.79%		9.13%		0.09%

Comparison of Change in the Value of a $100,000 Investment in the Screened World Ex-US Equity Fund, Class A, versus the MSCI All Country World Ex-US Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 6/30/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Opportunistic Income Fund (the “Fund”) seeks to provide capital appreciation and income.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: Wellington Management Company, LLC and Ares Management, LLC. No manager changes were made to the Fund during the year.

III. Market Commentary

For the fiscal year ended May 31, 2013, the non-Treasury sectors of the U.S. fixed-income market generally outperformed similar-duration Treasurys, thanks to accommodative policies from global central banks. In 2012, the European Central Bank launched two long-term refinancing operations, which helped alleviate short-term funding pressure in the eurozone. In U.S., the Federal Reserve (Fed) continued its Operation Twist program until December 2012, and started the third quantitative-easing program (QE3) to purchase $85 billion of agency mortgage-backed securities (MBS) and long-term Treasury securities every month. In addition, economic and corporate fundamentals continued to improve, while inflation remained benign in U.S. The housing market experienced strong recovery, with the S&P/Case-Shiller U.S. National Home Price Index up double digits from a year ago. The non-agency MBS market saw strong price appreciation during the Fund’s fiscal year, helped by improving credit fundamentals and attractive valuations. After several years of de-leveraging, corporations (especially financial companies) have much stronger balance sheets and solid earnings. Primary issuance was robust and has been met with strong demand from investors.

The market turned a corner in May 2013, as fears over the Fed’s eventual tapering of QE3 caused a surge in interest rates and triggered a broad market selloff. The 10-year Treasury yield rose by 46 basis points and the 30-year Treasury yield increased by 40 basis points during the month. Agency MBS were hit especially hard. The sharp rise in Treasury yields resulted in significant extension risk (the risk that agency MBS cash flows will occur more slowly than expected), while greater uncertainty around Fed policy caused many real estate investment trusts and overseas investors to sell agency MBS holdings.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund outperformed the BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index (the “Index”), returning 5.78% versus the Index return of 0.40%.

V. Fund Attribution

The Fund outperformed its benchmark, benefiting from an allocation to bank loans, as the Credit Suisse Leveraged Loan Index returned

9.04%. Loan performance was driven by investors’ desire for yield and safety along with an aversion to interest-rate risk, which led to record-setting inflows into the asset class. In addition, an allocation to (and security selection within) non-agency MBS, particularly shorter-tenor senior residential MBS, added to performance, as the sector benefited from positive housing fundamentals and improving homeowner metrics. Non-agency MBS benefited from favorable supply/demand technicals and valuations, including attractive loss-adjusted yields. An allocation to seasoned senior commercial MBS tranches added to performance, as that sector benefited from investors’ yield appetite and the Fed’s announcement of its latest round of quantitative easing. The Fund’s allocation to corporates, particularly financials, aided relative performance, as that sector was perceived as a safe haven compared to the industrial/technology and media & telecom sectors, where leveraged buyouts and equity-shareholder friendly activities have increased. Fundamentals in financials continue to improve, with new financial regulations and capital requirements taking hold that should benefit bondholders. The Fund used derivatives (primarily Treasury futures) throughout the one-year period ending May 31, 2013 as a way to manage duration, yield-curve positioning, and spread duration in a more efficient manner.

Opportunistic Income Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Opportunistic Income Fund, Class A		5.78%		4.68%		0.11%		(0.39)%
BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index		0.40%		0.39%		0.84%		1.83%

Comparison of Change in the Value of a $100,000 Investment in the Opportunistic Income Fund, Class A, versus the BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 12/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: Metropolitan West Asset Management LLC, JP Morgan Investment Management Inc., Western Asset Management Company, Western Asset Management Company Limited, Wells Capital Management and Jennison Associates LLC. No manager changes were made during the year.

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund outperformed the Barclays Capital Aggregate Bond Index (the “Index”), returning 3.12% versus the Index return of 0.91%.

V. Fund Attribution

The Fund’s overweight position in corporate bonds, non-agency MBS and commercial MBS (CMBS) were the key drivers of performance. Duration exposure (which was shorter than the benchmark) also had a positive impact on performance, as Treasury yields rose during the period. Treasury futures were utilized to help manage the Fund’s duration and yield-curve exposures.

An overweight to corporate bonds, especially those issued by large financial firms, generated significant outperformance relative to Treasurys. The steep yield curve, combined with improved access to capital markets, allowed the largest U.S. banking institutions to strengthen their balance sheets and sustain profitability over the course of the year. The Fund bought credit protection by utilizing credit default swaps, which assisted in partially hedging systematic risk associated with the portfolio’s corporate exposure.

Non-agency mortgages continued to perform well, as that sector has experienced price appreciation as a result of an improving housing market, principal paydowns, and negative net supply.

The Fund’s overweight to the CMBS sector contributed to performance as well. The Fund bought credit protection by utilizing credit default swaps on a basket of CMBS, which assisted in partially hedging systematic risk associated with the portfolio’s CMBS exposure.

The Fund’s underweight to agency debt detracted from performance.

Core Fixed Income Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Core Fixed Income Fund, Class A		3.12%		6.40%		7.19%		5.55%		6.63%
Barclays Capital Aggregate Bond Index		0.91%		4.59%		5.50%		4.66%		6.15%

Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A, versus the Barclays Capital Aggregate Bond Index

LOGO

I. Objective

The High Yield Bond Fund (the “Fund”) seeks total return.

II. Multi-Manager Approach Statement

III. Market Commentary

For the fiscal year ended May 31, 2013, the high-yield market, as measured by the BofA Merrill Lynch U.S. High Yield Constrained Index (the “Index”), returned 14.82%. High yield returns were positive in 11 of the 12 months during the Fund’s fiscal year due to a more durable recovery in the U.S. economy, an accommodative Federal Reserve that instituted its third round of quantitative easing, and the successful negotiation of the U.S. fiscal cliff debate. As a result, credit quality narrowed 234 basis points, ending the period at 462 basis points. Yields for high-yield bonds established several new record lows during the year. A new record-low yield of 4.99% was established in early-May 2013, before rising to 5.70% by the end of May. Fundamentals for the high-yield market remain intact and have kept default rates in a low range. The Moody’s U.S. Speculative Default Rate ended the Fund’s fiscal year at 2.9% — slightly below the 3.1% of a year ago. Issuance continued its recent record pace, reaching a new 12-month record with $444 billion issued during the reporting period. Over 60% of new issuance was for refinancing purposes, which helps keep net new issuance in check. With strong fundamentals and technicals, as well as investors’ desire for yield in a record low rate environment, lower-quality bonds outperformed higher-quality bonds. CCC rated securities returned 20.45%, followed by B rated securities (14.52%), and BBB rated securities (12.55%).

Returns were positive and broad based for the high-yield market, with all sectors of the Index generating double-digit returns. An improving economy, combined with stronger operations, benefited finance-related companies, which enabled the insurance and banking sectors

to produce the highest returns at 31.26% and 20.62%, respectively. The worst-performing sector was the capital goods sector, which returned 12.09%.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund outperformed the BofA Merrill Lynch U.S. High Yield Constrained Index, returning 15.46% versus the Index return of 14.82%.

V. Fund Attribution

The Fund’s allocation to collateralized loan obligations enhanced performance, as strong demand and improving fundamentals drove prices higher. Selection within the energy sector added to returns, as several companies benefitted from both refinancing and acquisition activity. Within in the consumer non-cyclical sector, an allocation to municipal tobacco debt (which outperformed taxable high-yield bonds) benefitted returns. An underweight to BB rated bonds and an overweight CCC rated bonds (which underperformed and outperformed, respectively) were positive. An underweight to the outperforming banking sector and a more defensive portfolio positioning in institutional loans detracted.

High Yield Bond Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
High Yield Bond Fund, Class A		15.46%		13.05%		11.38%		9.42%
BofA Merrill Lynch U.S. High Yield Constrained Index		14.82%		11.85%		10.76%		9.23%

Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A, versus the BofA Merrill Lynch U.S. High Yield Constrained Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 12/5/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Long Duration Fund (the “Fund”) seeks to provide return characteristics similar to those of high-quality corporate bonds with a duration range of between nine to fourteen years.

II. Multi-Manager Approach Statement

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund returned 0.78% compared to (0.57)% for its benchmark, which is the Barclays Long U.S. Government/Credit Index.

V. Fund Attribution

The Fund’s outperformance was aided by its overweight exposure to the corporate bond sector. Specifically, an overweight to large financial issuers generated significant outperformance relative to Treasurys. The steep yield curve, combined with improved access to capital markets, allowed the largest U.S. banking institutions to strengthen their balance sheets and sustain profitability over the course of the year. The Fund bought credit protection by utilizing credit default swaps, which assisted in partially hedging systematic risk associated with the portfolio’s corporate exposure.

Duration exposure, which was shorter than the benchmark, also had a positive impact on performance, as Treasury yields rose during the period. The Fund’s curve-flattening position detracted from results. Treasury futures were utilized to help manage the Fund’s duration and yield-curve exposure.

Long Duration Fund:

AVERAGE ANNUAL TOTAL RETURN^1,2


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Long Duration Fund, Class A		0.78%		10.75%		9.05%		5.90%
Barclays Long US Government/Credit Index		(0.57)%		10.10%		9.61%		7.65%

Comparison of Change in the Value of a $100,000 Investment in the Long Duration Fund, Class A, versus the Barclays Long US Government/Credit Index, the 60/40 Hybrid of the BC Long Credit & BC Long Government, the Barclays Long US Credit Index and the Barclays Long US Government Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

This table compares the Fund’s average annual total returns to those of a broad-based index and the Fund’s 60/40 Blended Benchmark, which consists of the Barclays Capital U.S. Long Credit Index and the Barclays Capital U.S. Long Government Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

I. Objective

The Long Duration Corporate Bond Fund (the “Fund”) seeks to provide return characteristics similar to those of high-quality corporate bonds.

II. Multi-Manager Approach Statement

The Fund was launched in June 2012, and there have been no sub-adviser changes since inception.

III. Market Commentary

For the fiscal year ended May 31, 2013, the non-Treasury sectors of the U.S. fixed-income market generally outperformed similar-duration Treasurys, thanks to accommodative policies from global central banks. In 2012, the European Central Bank launched two rounds of Long-Term Refinancing Operations, which helped alleviate short-term funding pressure in the eurozone. In U.S., the Federal Reserve (Fed) continued its Operation Twist program until December 2012, and started the third quantitative-easing program (QE3) to purchase $85 billion of agency mortgage-backed securities (MBS) and long-term Treasury securities every month. In addition, economic and corporate fundamentals continued to improve, while inflation remained benign in U.S. The housing market experienced strong recovery, with the S&P/Case-Shiller U.S. National Home Price Index up double digits from a year ago. The non-agency MBS market saw strong price appreciation during the Fund’s fiscal year, helped by improving credit fundamentals and attractive valuations. After several years of de-leveraging, corporations (especially financial companies) have much stronger balance sheets and solid earnings. Primary issuance was robust and has been met with strong demand from investors.

IV. Return vs. Benchmark

For the since-inception period from June 29, 2012 to May 31, 2013, the Fund returned 3.75% compared to 3.59% for its benchmark, which is the Barclays Long U.S. Corporate Index.

V. Fund Attribution

The Fund’s outperformance was aided by its overweight exposure to large financial issuers, which generated significant outperformance relative to Treasurys. The steep yield curve, combined with improved access to capital markets, allowed the largest U.S. banking institutions to strengthen their balance sheets and sustain profitability over the course of the year. The Fund bought credit protection by utilizing credit default swaps, which assisted in partially hedging systematic risk associated with the portfolio’s corporate exposure.

Long Duration Corporate Bond Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	Cumulative Inception to Date
Long Duration Corporate Bond Fund, Class A		3.75%
Barclays Long U.S. Corporate Bond Index		3.59%

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 6/29/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Ultra Short Duration Bond Fund (the “Fund”) seeks to provide higher current income than that typically offered by a money market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: Wellington Management Company, LLP and Logan Circle Partners, L.P. There were no manager changes during the year.

III. Market Review

For the 12 months ending May 31, 2013, the non-Treasury sectors of the U.S. fixed-income market generally outperformed similar-duration Treasurys, thanks to accommodative policies from global central banks. In 2012, the European Central Bank launched two long-term refinancing operations, which helped alleviate short-term funding pressure in the eurozone. In U.S., the Federal Reserve (Fed) continued its Operation Twist program until December 2012, and started the third quantitative-easing program (QE3) to purchase $85 billion of agency mortgage-backed securities (MBS) and long-term Treasury securities every month. In addition, economic and corporate fundamentals continued to improve, while inflation remained benign in U.S. The housing market experienced strong recovery, with the S&P/Case-Shiller U.S. National Home Price Index up double digits from a year ago. The non-agency MBS market saw strong price appreciation during the Fund’s fiscal year, helped by improving credit fundamentals and attractive valuations. After several years of de-leveraging, corporations (especially financial companies) have much stronger balance sheets and solid earnings. Primary issuance was robust and has been met with strong demand from investors.

sharp rise in Treasury yields resulted in significant extension risk (the risk that agency MBS cash flows will occur more slowly than expected), while greater uncertainty around Fed policy caused many real estate investment trusts and overseas investors to sell agency MBS holdings.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund returned 2.14%, compared to 0.28% for the Barclays Short US Treasury 9-12 Month Index.

V. Fund Attribution

During the period, the Fund’s large allocation to non-Treasury sectors (particularly non-agency mortgage-backed securities, asset-backed securities and corporate securities) outperformed. Allocations to the Fund’s barbell curve position detracted from performance, as the yield curve steepened significantly during the period. During the Fund’s fiscal year, Treasury futures were used to efficiently manage duration and yield-curve exposures.

Ultra Short Duration Bond Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized Inception to Date
Ultra Short Duration Bond Fund, Class A		2.14%		1.48%
Barclays Short U.S. Treasury 9-12 Month Index		0.28%		0.33%

Comparison of Change in the Value of a $100,000 Investment in the Ultra Short Duration Bond Fund, Class A, versus the Barclays Short U.S. Treasury 9-12 Month Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 2/28/11. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Emerging Markets Debt Fund (the “Fund”) seeks to maximize total return.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2013: Ashmore Investment Management Limited and Stone Harbor Investment Partners, L.P. During the year ended May 31, 2013, ING Investment Management was terminated from the Fund in February.

III. Market Commentary

For the fiscal year ending May 31, 2013, emerging markets debt (EMD) posted a 9.77% return after markets rebounded from a period of heightened volatility and received an injection of additional quantitative easing from the U.S. Federal Reserve. The Europe Union provided an improved outlook, China and the U.S. saw growth advancing, and Japan announced its own method of quantitative easing that pushed asset prices higher. Other than a short time around the U.S. elections and a period of risk aversion in May, the broader markets managed to avoid significant volatility during the Fund’s fiscal year.

Local currency debt outperformed external debt, returning 11.58% versus 10.07%, respectively. Local currency debt was blended into the Fund’s benchmark beginning in July 2012. . External debt has received significant inflows and posted strong performance in recent years, local currency debt has lagged and been a lesser beneficiary of market inflows. However, within the past year, local currency debt began to see increased investor appetite. Investors poured into EMD at the fastest rate ever, with a record $94 billion in 2012, most of which came in the second half of the year and continued into the first half of 2013. Issuance was also strong, as dovish central banks pushed down rates, allowing countries and companies around the world to issue debt at record-low yields (especially in the corporate debt market). These technical forces provided strong demand to an already-positive fundamental picture within emerging markets (EM) and contributed to rising asset prices.

Growth in emerging market economies has been solid, both on an absolute basis and relative to developed markets. However, growth targets in EM have been revised down across many regions and countries. Central banks have turned more dovish — not just on lower inflation, but mostly on potentially slower growth. Their agendas have just as much emphasis, if not more, on preserving national growth rates than fighting inflation at the moment. Nonetheless, debt profiles are generally improving, and credit-rating trends continue to improve, as evidenced by significant upgrades in the Philippines and Turkey. A few countries, such as Argentina (where a potential default looms) continue to raise concerns. However, many countries experiencing stress have some access to external markets or are working toward multi-lateral support.

The biggest concerns going forward are whether or not emerging economies will be able to stabilize what looks like moderating growth, and if they can return to a stronger growth environment — particularly with domestic demand as a bigger component. Countries also may soon need to address the potential tapering of quantitative easing in the U.S., the eventual rise of interest rates, and whether or not these factors have a negative impact on the ability to issue debt, refinance, or even pay down debt in the future.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund outperformed the Blended 50% J.P. Morgan EMBI Global Diversified Index (U.S. Dollar) and 50% J.P. Morgan GBI-EM Global Diversified Index (local currencies), returning 10.64% versus the blended Index return of 9.77%. The Fund’s primary benchmark, the J.P. Morgan EMBI Global Diversified Index, returned 10.07% for the period.

V. Fund Attribution

Adding to the Fund’s relative return for the period were security selection in external debt, an overweight to corporate debt, and security selection in local currency debt. Security selection in local currency in Mexico and Peru, exposure to corporate debt in Russia and Kazakhstan, and an underweight to Lebanon and Chile contributed to relative returns.

While quantitative easing was supportive of rising asset prices, countries within EM were still influenced by their own agendas. In

Mexico, local currency bonds benefited from favorable election results and the expectation that the new administration will eventually deliver on various projects such financial and energy reform. Broader economic data points were fairly positive, and the anticipation of U.S. growth remaining steady contributed to positive returns. Strong growth and stable inflation in Peru, coupled with rising foreign demand for local bonds, was supportive of the local market, and positioning in the short end of the curve contributed to alpha. The corporate debt market began to rally in the latter part of 2012, benefiting higher-beta exposures in Russia and Kazakhstan, which included telecommunications, financials and energy. Lebanese bonds trailed the market, as typically seen in strong rallies, and the Fund held no exposure there. Chile, which trades rich relative to the rest of the market, posted small gains, and Fund managers benefited from avoiding those unattractive valuations. Security selection in Turkish local currency bonds also added, as that country saw an improving current account deficit and expectations of an eventual rate hike that was priced in by the market.

Detracting from relative returns were underweights to Hungarian and Ukrainian dollar bonds and an overweight to local currency debt in South Africa. Exposures to local currency debt in China and Poland were also negative for performance, as was an overweight to cash.

I. Objective

The Real Return Fund (the “Fund”) seeks to provide a total return exceeding the rate of inflation.

II. Multi-Manager Approach Statement

The Fund utilized one sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). Effective May 16, 2013, the Fund terminated Wellington Management Company, LLC and the Fund’s assets are currently managed by SIMC directly.

III. Market Commentary

The market turned a corner in May 2013, as fears over the Fed’s eventual tapering of QE3 caused a surge in interest rates and triggered a broad market selloff. The 10-year Treasury yield rose by 46 basis points and the 30-year Treasury yield increased by 40 basis points during the month. In addition, yields on five-year and 10-year Treasury Inflation-Protected Securities (TIPS) increased 50 and 57 basis points, to (0.89)% and (0.10)%, respectively. This was due to tame inflation expectations, fears of the Fed being less

accommodative and the market implying stronger real economic growth. Despite recent weakness, the five-year TIPS breakeven inflation rate, which is the difference in yield between the nominal Treasury and TIPS, widened from 1.7% to 1.9%, resulting in TIPS outperforming their nominal Treasury counterparts for the one-year period.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund returned (0.15)%, compared to (0.06)% for the Barclays U.S. Treasury Inflation Notes 1-5 Year Index.

V. Fund Attribution

The Fund performed in line with the benchmark, benefiting from its curve positioning as well as tactical and timely allocations to nominal Treasurys, while security selection detracted from performance.

Real Return Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Real Return Fund, Class A		(0.15)%		2.85%		2.80%		4.52%
Barclays U.S. Treasury Inflation Notes 1-5 Year Index		(0.06)%		2.91%		2.93%		4.30%

Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class A, versus the Barclays U.S. Treasury Inflation Notes 1-5 Year Index and the Barclays U.S. Treasury Inflation Notes 1-10 Year Index

LOGO

I. Objective

The Dynamic Asset Allocation Fund (the “Fund”) seeks long-term total return.

II. Multi-Manager Approach Statement

The Fund is directly managed by SEI Investments Management Corporation (SIMC), while utilizing SSgA Funds Management, Inc. (State Street) as a sub-adviser in an execution and beta-management function only. There were no manager changes during the period.

III. Market Commentary

Despite continued negative economic data out of Europe, fears of an ongoing global financial crisis abated, pushing equities significantly higher. In the US, investors welcomed modestly lower unemployment data and an escape from the so-called fiscal cliff by rotating out of safe-haven assets like U.S. Treasurys and into riskier assets.

Accommodative monetary policies from central banks around the world led to an increase in global currency volatility. Perhaps the most glaring example comes from the Bank of Japan. A concerted effort to devalue the yen drove the yen-U.S. dollar exchange rate from 80 in June 2012 to a recent peak over 103. This devaluation (a single dollar can purchase more yen) benefited Japanese exports and helped contribute to the sharp appreciation of Japanese equities this spring.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2013, the Fund returned 23.75% compared to 27.28% for the S&P 500 Index.

V. Fund Attribution

A short euro/long U.S. dollar theme detracted from performance but served to dampen the overall volatility in the Fund. The largest positive contributor to returns was a long-Japanese-equity (currency hedged), short-Europe ex U.K.-equity trade. In addition, at various times during the year, we’ve hedged the portfolio from extreme downside moves by opportunistically entering and exiting put option trades on the S&P 500 Index. While the net effect of these options trades on returns has been neutral, we’ve been able to reduce the Fund’s exposure to downside tail risks. The Fund uses futures, forwards, swaps and options to achieve its desired tactical exposures.

Dynamic Asset Allocation Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized Inception to Date
Dynamic Asset Allocation Fund, Class A		23.75%		14.60%
S&P 500 Index		27.28%		17.34%

Comparison of Change in the Value of a $100,000 Investment in the Dynamic Asset Allocation Fund, Class A, versus the S&P 500 Index

LOGO

For the year ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 7/30/10. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

I. Objective:

The Multi-Asset Real Return Fund (the “Fund”) seeks return exceeding the rate of inflation.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on one or more sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). SIMC also directly manages a portion of the Fund’s portfolio. The Fund utilized the following sub-advisor as of May 31, 2013: AllianceBernstein L.P. There were no manager changes during the year.

III. Market Commentary:

Global markets favored equities and credit during the fiscal year ending May 31, 2013. The S&P 500 Index returned 26.4%, while the MSCI World Index returned 27.8%. The Barclays US High Yield Index returned 14.8% over this time period. While risk assets rallied in developed markets, emerging markets performance was comparatively muted (the MSCI Emerging Markets Index was up 14.1%). Performance was not as strong for inflation-related assets such as commodities, commodity-related equities and Treasury inflation-protected securities (TIPS). Commodities, as measured by the Dow Jones UBS Commodity Index, returned only 1.8% during the time period. Commodity-related equities as measured by the MSCI AC World Commodity Producers Index returned 8.9%. U.S. TIPS, as measured by the Barclays U.S. TIPS Index, returned (1.8)%. Global markets have not placed a premium on inflation and inflation expectations have declined in many countries. The range of returns among inflation-related assets is explained to some extent by the degree of their relationship to inflation; those with lower inflation sensitivity (commodity equities and real estate investment trusts) fared better than those with higher sensitivity (commodities and TIPS).

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2013, the Fund outperformed the Barclays U.S. Treasury Inflation Notes 1-5 Year Index (the “Index”), returning 0.07% versus the Index return of (0.06)%.

V. Fund Attribution:

The Fund’s overall outperformance was largely the result of equities and commodities outperforming U.S. TIPS during the period.

While not keeping pace with the broad equity market, natural resource equities and real estate investment trusts (REITS) provided meaningfully higher returns than U.S. TIPS. Commodities provided outperformance to a lesser extent. Top-down decisions, which consisted of over/underweighting different inflation asset types, detracted from returns relative to the Fund’s strategic allocations. Bottom-up security selection was largely additive to performance, with strong security selection in REITS and commodity-related equities. The Fund experienced slight underperformance within commodities, as a passive approach to the asset class has been employed.

Multi-Asset Real Return Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized Inception to Date
Multi-Asset Real Return Fund, Class A		0.07%		(4.04)%
Barclays U.S. Treasury Inflation Notes 1-5 Year Index		(0.06)%		0.20%

Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Real Return Fund, Class A, versus the Barclays U.S. Treasury Inflation Notes 1-5 Year Index

LOGO

For the period ended May 31, 2013. Past performance is not an indication of future performance. Class A shares were offered beginning 7/29/11. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

LOGO


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



COMMON STOCK — 97.3%

Consumer Discretionary — 12.7%
Coach		0.6	%		185,664	$	10,817
Liberty Interactive, Cl A*		0.6			463,575		10,407
NIKE, Cl B		0.8			246,599		15,205
Nordstrom		0.5			169,933		9,995
priceline.com*		0.5			12,300		9,889
Target		0.7			182,565		12,688
Walt Disney		0.6			171,260		10,803
Whirlpool		0.5			76,000		9,710
Other Securities		7.9					151,662

							241,176


Consumer Staples — 10.4%
Costco Wholesale		1.1			184,020		20,181
CVS Caremark		0.9			311,594		17,942
Estee Lauder, Cl A		1.1			297,419		20,159
Mead Johnson Nutrition, Cl A		0.6			144,310		11,699
Mondelez International, Cl A		0.6			373,100		10,992
Walgreen		0.7			272,725		13,025
Whole Foods Market		0.9			324,038		16,805
Other Securities		4.5					86,253

							197,056


Energy — 9.8%
Chevron		1.4			222,700		27,336
ConocoPhillips		0.6			176,200		10,808
EOG Resources		0.7			100,125		12,926
Exxon Mobil		1.9			398,300		36,034
Kinder Morgan		0.6			305,163		11,590
Marathon Petroleum		0.7			156,400		12,903
Phillips 66		0.5			147,750		9,836
Other Securities		3.4					63,659

							185,092


Financials — 16.6%
American International Group*		0.6			240,650		10,699
Charles Schwab		0.6			558,562		11,093

Citigroup		1.4			525,050		27,297


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

Goldman Sachs Group		0.5	%		60,200	$	9,757
JPMorgan Chase		1.8			629,220		34,349
Travelers		0.5			119,400		9,996
Wells Fargo		1.3			595,600		24,152
Other Securities		9.9					187,260

							314,603


Health Care — 13.5%
Amgen		0.9			168,577		16,947
Biogen Idec*		0.7			52,978		12,582
Celgene*		0.9			140,283		17,346
Express Scripts Holding*		1.0			308,447		19,161
Johnson & Johnson		1.1			242,307		20,397
Pfizer		1.6			1,137,730		30,980
Other Securities		7.3					138,407

							255,820


Industrials — 8.6%
Fluor (A)		0.5			160,019		10,115
Northrop Grumman		0.6			127,200		10,480
Other Securities		7.5					142,299

							162,894


Information Technology — 18.8%
Adobe Systems*		1.1			476,511		20,447
Apple		1.3			55,615		25,009
Cisco Systems		1.0			749,480		18,047
EMC		0.6			425,682		10,540
Google, Cl A*		1.0			21,505		18,718
International Business Machines		0.6			57,264		11,912
Mastercard, Cl A		1.4			47,977		27,359
Oracle		0.5			288,768		9,749
Qualcomm		1.5			450,283		28,584
Teradata*		0.7			222,520		12,405
Visa, Cl A		0.9			94,600		16,852
Other Securities		8.2					157,875

							357,497


Materials — 3.2%
LyondellBasell Industries, Cl A, (A)		0.5			145,230		9,680
Other Securities		2.7					51,377

							61,057


Telecommunication Services — 2.0%
Crown Castle International*		1.1			302,539		21,556
Other Securities		0.9					17,236

							38,792


Utilities — 1.7%
Other Securities		1.7					32,142

Total Common Stock (Cost $1,357,903) ($ Thousands)							1,846,129


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

WARRANT — 0.0%
Other Securities		0.0	%			$	569

Total Warrant (Cost $193) ($ Thousands)							569


AFFILIATED PARTNERSHIP — 4.6%
SEI Liquidity Fund, L.P. 0.100%**† (B)		4.6			86,698,189		86,698

Total Affiliated Partnership (Cost $86,698) ($ Thousands)							86,698


CASH EQUIVALENTS — 1.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		1.5			28,990,159		28,990
Other Securities		0.1					2,152

Total Cash Equivalents (Cost $31,142) ($ Thousands)							31,142


U.S. TREASURY OBLIGATION (C) — 0.2%
Other Securities		0.2					3,142

Total U.S. Treasury Obligation (Cost $3,142) ($ Thousands)							3,142

Total Investments — 103.7% (Cost $1,479,078) ($ Thousands)						$	1,967,680

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		123		Jun-2013	$	(113	)
S&P Mid 400 Index E-MINI		11		Jun-2013		(3	)

					$	(116	)

For the year ended May 31, 2013, 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 year.

Percentages

are based on a Net Assets of $1,897,837 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $83,441 ($ 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 May 31, 2013 was $86,698 ($ Thousands).

(C)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poors

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 list of inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,846,129	$	—	$	—	$	1,846,129
Warrant		569		—		—		569
Affiliated Partnership		—		86,698		—		86,698
Cash Equivalents		31,142		—		—		31,142
U.S. Treasury Obligation		—		3,142		—		3,142

Total Investments in Securities	$	1,877,840	$	89,840	$	—	$	1,967,680


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(116	)	$	—	$	—	$	(116	)

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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 — 94.8%

Consumer Discretionary — 16.6%
Coach		0.7	%		35,633	$	2,076
Comcast, Cl A		1.0			78,500		3,152
Home Depot		0.9			34,900		2,745
Liberty Interactive, Cl A*		1.0			139,225		3,125
Liberty Media*		0.2			5,200		649
NIKE, Cl B		1.2			59,564		3,673
Nordstrom		0.7			35,057		2,062
priceline.com*		0.9			3,300		2,653
Target		0.7			31,406		2,183
Walt Disney		1.0			50,762		3,202
Other Securities		8.3					25,803

							51,323


Consumer Staples — 10.0%
Costco Wholesale		0.7			20,783		2,279
CVS Caremark		0.7			35,010		2,016
Estee Lauder, Cl A		0.7			29,951		2,030
Kimberly-Clark		0.6			17,500		1,694
Mondelez International, Cl A		0.7			68,341		2,013
PepsiCo		0.7			27,625		2,231
Walgreen		0.9			57,200		2,732
Whole Foods Market		0.7			39,244		2,035
Other Securities		4.3					13,949

							30,979


Energy — 8.3%
EOG Resources		1.0			25,025		3,231
Exxon Mobil		1.0			35,560		3,217
Kinder Morgan		0.9			76,693		2,913
Marathon Petroleum		0.7			27,600		2,277
Murphy Oil		0.6			27,020		1,711
Other Securities		4.1					12,254

							25,603


Financials — 11.3%
Citigroup		0.7			39,600		2,059


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

Goldman Sachs Group		0.6	%		10,800	$	1,750
IntercontinentalExchange*		0.7			11,775		2,016
JPMorgan Chase		0.6			36,100		1,971
Progressive		0.7			84,350		2,150
Other Securities		8.0					25,074

							35,020


Health Care — 13.2%
Allergan		0.7			22,700		2,258
Amgen		1.2			38,028		3,823
Biogen Idec*		0.8			9,753		2,316
Celgene*		1.6			39,339		4,864
Express Scripts Holding*		0.7			33,132		2,058
Johnson & Johnson		1.2			42,265		3,558
Pfizer		0.9			104,150		2,836
Other Securities		6.1					19,297

							41,010


Industrials — 6.6%
Northrop Grumman		0.9			32,130		2,647
Raytheon		0.6			26,000		1,733
Other Securities		5.1					16,024

							20,404


Information Technology — 19.1%
Adobe Systems*		1.6			113,918		4,888
Apple		1.0			7,125		3,204
eBay*		0.7			41,200		2,229
EMC		0.7			87,506		2,167
Google, Cl A*		1.5			5,310		4,622
International Business Machines		0.7			10,003		2,081
Intuit		0.7			35,525		2,076
Mastercard, Cl A		1.2			6,645		3,789
Microsoft		1.0			92,190		3,216
Oracle		1.0			87,007		2,937
Qualcomm		1.7			81,980		5,204
Visa, Cl A		2.1			36,300		6,466
Other Securities		5.2					16,087

							58,966


Materials — 3.6%
Other Securities		3.6					11,187


Telecommunication Services — 3.6%
AT&T		0.6			56,500		1,977
Crown Castle International*		2.0			85,138		6,066
Other Securities		1.0					3,223

							11,266


Utilities — 2.5%
Other Securities		2.5					7,720

Total Common Stock (Cost $248,240) ($ Thousands)							293,478


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


EXCHANGE TRADED FUND — 0.3%
Other Securities		0.3	%			$	866

Total Exchange Traded Fund (Cost $993) ($ Thousands)							866


WARRANT — 0.1%
Other Securities		0.1					159

Total Warrant (Cost $54) ($ Thousands)							159


CASH EQUIVALENT — 5.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		5.4			16,838,688		16,839

Total Cash Equivalent (Cost $16,839) ($ Thousands)							16,839


U.S. TREASURY OBLIGATIONS (A) — 0.5%
Other Securities		0.5					1,580

Total U.S. Treasury Obligations (Cost $1,580) ($ Thousands)							1,580

Total Investments — 101.1% (Cost $267,706) ($ Thousands)						$	312,922

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		13		Jun-2013	$	(7	)
S&P 500 Index EMINI		110		Jun-2013		(110	)

					$	(117	)

Percentages are based on a Net Assets of $309,577 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(A)

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

Cl — Class

S&P — Standard & Poor’s

The following is a list of inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	293,478	$	—	$	—	$	293,478
Exchange Traded Fund		866				—		866
Warrant		159		—		—		159
Cash Equivalent		16,839		—		—		16,839
U.S. Treasury Obligations		—		1,580		—		1,580

Total Investments in Securities	$	311,342	$	1,580	$	—	$	312,922


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(117	)	$	—	$	—	$	(117	)

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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 — 94.5%

Consumer Discretionary — 11.7%
AutoZone*		0.8	%		101,168	$	41,361
Comcast, Cl A		0.6			772,690		31,024
Home Depot		0.9			637,367		50,135
Macy’s		0.8			891,462		43,093
TJX		0.6			665,860		33,699
Other Securities		8.0					450,038

							649,350


Consumer Staples — 9.4%
Altria Group		0.6			914,354		33,008
CVS Caremark		0.7			654,608		37,692
Philip Morris International		1.7			1,001,143		91,014
Wal-Mart Stores		1.1			834,879		62,483
Other Securities		5.3					295,265

							519,462


Energy — 10.5%
Chevron		2.5			1,125,753		138,186
ConocoPhillips		1.0			871,915		53,483
Exxon Mobil		1.6			943,024		85,315
National Oilwell Varco		0.7			531,770		37,383
Phillips 66		0.6			473,522		31,522
Schlumberger		0.6			423,127		30,901
Other Securities		3.5					199,017

							575,807


Financials — 14.3%
American Express		1.0			721,953		54,659
Bank of America		0.7			2,942,706		40,197
CIT Group*		0.6			738,858		34,047
Citigroup		1.8			1,859,175		96,658
Discover Financial Services		0.6			684,370		32,446
JPMorgan Chase		1.6			1,599,101		87,295
Morgan Stanley		0.6			1,335,490		34,589
US Bancorp		0.6			897,109		31,453


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

Other Securities		6.8	%			$	374,823

							786,167


Health Care — 12.9%
AbbVie		0.6			736,092		31,424
Actavis*		0.5			231,040		28,485
Amgen		0.8			417,016		41,923
Baxter International		0.6			429,390		30,199
Covidien		0.7			633,270		40,276
Eli Lilly		0.7			703,058		37,374
Express Scripts Holding*		0.7			615,880		38,258
Johnson & Johnson		0.9			606,506		51,056
Pfizer		2.1			4,164,475		113,399
UnitedHealth Group		0.7			590,470		36,981
Other Securities		4.6					257,107

							706,482


Industrials — 9.6%
CSX		0.6			1,235,270		31,141
General Electric		1.1			2,587,775		60,347
United Parcel Service, Cl B		0.5			314,930		27,052
Other Securities		7.4					410,250

							528,790


Information Technology — 18.5%
Apple		3.4			410,514		184,600
Cisco Systems		1.6			3,682,273		88,669
eBay*		0.8			809,830		43,812
Google, Cl A*		1.0			61,304		53,360
International Business Machines		2.2			569,653		118,499
Microsoft		1.8			2,803,783		97,796
Oracle		1.1			1,726,249		58,278
Qualcomm		1.1			925,415		58,745
Other Securities		5.5					313,263

							1,017,022


Materials — 3.5%
LyondellBasell Industries, Cl A (A)		0.6			458,215		30,540
Monsanto		0.5			280,072		28,187
Vulcan Materials (A)		0.5			512,340		27,451
Other Securities		1.9					104,555

							190,733


Telecommunication Services — 2.4%
AT&T		0.8			1,262,671		44,181
Verizon Communications		0.6			708,703		34,358
Other Securities		1.0					54,742

							133,281


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


Utilities — 1.7%
Other Securities		1.7	%			$	90,645

Total Common Stock (Cost $4,466,619) ($ Thousands)							5,197,739


PREFERRED STOCK — 0.3%

Preferred Stock — 0.3%
Other Securities		0.3					14,460

Total Preferred Stock (Cost $12,723) ($ Thousands)							14,460


AFFILIATED PARTNERSHIPS — 4.0%
SEI LIBOR Plus Portfolio†		0.2			1,137,968		8,660
SEI Liquidity Fund, L.P. 0.100%**† (B)		3.8			210,764,245		210,764

Total Affiliated Partnerships (Cost $222,144) ($ Thousands)							219,424


CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.7			147,864,259		147,864

Total Cash Equivalent (Cost $147,864) ($ Thousands)							147,864


U.S. TREASURY OBLIGATIONS (C) (D) — 0.6%
U.S. Treasury Bills
0.087%, 06/20/2013		0.0		$	2,400		2,400
0.075%, 06/27/2013		0.5			28,711		28,710
0.070%, 07/25/2013		0.1			4,073		4,073

Total U.S. Treasury Obligations (Cost $35,182) ($ Thousands)							35,183

Total Investments — 102.1% (Cost $4,884,532) ($ Thousands)						$	5,614,670

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		1,194		Jun-2013	$	446
S&P Composite Index		206		Jun-2013		5,594

					$	6,040

Percentages are based on a Net Assets of $5,500,315 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $202,848 ($ 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 May 31, 2013 was $210,764 ($ Thousands).

(C)

Security, or 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

LIBOR — London Interbank Offered Rate

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 list of inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	5,197,739	$	—	$	—	$	5,197,739
Preferred Stock		14,460		—		—		14,460
Affiliated Partnerships		8,660		210,764		—		219,424
Cash Equivalent		147,864		—		—		147,864
U.S. Treasury Obligations		—		35,183		—		35,183

Total Investments in Securities	$	5,368,723	$	245,947	$	—	$	5,614,670


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	6,040	$	—	$	—	$	6,040

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

Amounts designated as “—” are $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 — 97.4%

Consumer Discretionary — 12.4%
Amazon.com*		0.6	%		47,489	$	12,776
Comcast, Cl A		0.6			352,425		14,150
Home Depot		0.7			200,715		15,788
McDonald’s		0.6			133,480		12,890
News, Cl A		0.4			276,185		8,868
Walt Disney		0.7			234,472		14,790
Other Securities		8.8					196,078

							275,340


Consumer Staples — 9.6%
Altria Group		0.4			268,040		9,676
Coca-Cola		0.9			508,640		20,341
CVS Caremark		0.4			168,752		9,717
PepsiCo		0.8			205,052		16,562
Philip Morris International		0.9			223,268		20,297
Procter & Gamble		1.2			358,274		27,501
Wal-Mart Stores		0.8			221,579		16,583
Other Securities		4.2					90,700

							211,377


Energy — 9.7%
Chevron		1.4			257,802		31,645
ConocoPhillips		0.5			166,476		10,212
Exxon Mobil		2.5			610,238		55,208
Occidental Petroleum		0.4			106,754		9,829
Schlumberger		0.6			175,163		12,792
Other Securities		4.3					95,820

							215,506


Financials — 16.7%
American Express		0.5			131,834		9,981
Bank of America		0.9			1,411,463		19,281
Berkshire Hathaway, Cl B*		1.2			232,900		26,567
Citigroup		0.9			383,904		19,959


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

Goldman Sachs Group		0.5	%		61,275	$	9,932
JPMorgan Chase		1.2			497,734		27,171
SEI (A)		0.0			17,442		534
US Bancorp		0.4			249,797		8,758
Wells Fargo		1.2			640,766		25,983
Other Securities		9.9					221,683

							369,849


Health Care — 12.1%
AbbVie		0.4			207,376		8,853
Amgen		0.5			102,358		10,290
Bristol-Myers Squibb		0.5			222,259		10,226
Gilead Sciences*		0.5			199,234		10,854
Johnson & Johnson		1.4			358,909		30,213
Merck		0.8			398,443		18,607
Pfizer		1.1			925,080		25,190
UnitedHealth Group		0.4			136,820		8,569
Other Securities		6.5					144,174

							266,976


Industrials — 10.6%
3M		0.5			91,333		10,071
Boeing		0.4			98,691		9,772
General Electric		1.5			1,384,523		32,287
Union Pacific		0.4			62,716		9,697
United Technologies		0.5			119,790		11,368
Other Securities		7.3					162,328

							235,523


Information Technology — 17.1%
Apple		2.5			122,045		54,881
Cisco Systems		0.8			702,127		16,907
Google, Cl A*		1.3			33,829		29,445
Intel		0.7			659,758		16,019
International Business Machines		1.3			142,498		29,642
Microsoft		1.6			983,400		34,301
Oracle		0.7			474,320		16,013
Qualcomm		0.7			224,959		14,280
Visa, Cl A		0.6			68,700		12,238
Other Securities		6.9					153,812

							377,538


Materials — 3.6%
Other Securities		3.6					79,390


Telecommunication Services — 2.5%
AT&T		1.1			718,333		25,134
Verizon Communications		0.8			372,276		18,048
Other Securities		0.6					12,682

							55,864


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


Utilities — 3.1%
Other Securities		3.1	%			$	69,640

Total Common Stock (Cost $1,620,927) ($ Thousands)							2,157,003


AFFILIATED PARTNERSHIP — 5.7%
SEI Liquidity Fund, L.P. 0.100%**† (B)		5.7			125,066,291		125,066

Total Affiliated Partnership (Cost $125,066) ($ Thousands)							125,066


CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.2			48,251,267		48,251

Total Cash Equivalent (Cost $48,251) ($ Thousands)							48,251


U.S. TREASURY OBLIGATION (C) — 0.1%
Other Securities		0.1					3,150

Total U.S. Treasury Obligation (Cost $3,150) ($ Thousands)							3,150

Total Investments — 105.4% (Cost $1,797,394) ($ Thousands)						$	2,333,470

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		603		Jun-2013	$	2,707
S&P Mid 400 Index E-MINI		46		Jun-2013		342

					$	3,049

Percentages

are based on a Net Assets of $2,214,088 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(A)

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

(B)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $125,066 ($ Thousands).

(C)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

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 list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	2,157,003	$	—	$	—	$	2,157,003
Affiliated Partnership		—		125,066		—		125,066
Cash Equivalent		48,251		—		—		48,251
U.S. Treasury Obligation		—		3,150		—		3,150

Total Investments in Securities	$	2,205,254	$	128,216	$	—	$	2,333,470


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	3,049	$	—	$	—	$	3,049

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

Amounts designated as “—” are $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 — 16.6%
DISH Network, Cl A		0.2	%		10,419	$	402
General Motors (A)*		0.7			37,990		1,288
Las Vegas Sands		0.7			19,704		1,141
Liberty Global, Cl A*		0.6			13,020		960
Liberty Interactive, Cl A*		0.4			26,916		604
Liberty Media*		0.4			5,335		666
LKQ*		0.2			15,104		370
Sirius XM Radio (A)		0.4			193,179		672
Thomson Reuters		0.4			18,885		631
Tractor Supply		0.2			3,660		410
Virgin Media (A)		0.4			14,067		699
Other Securities		12.0					20,962

							28,805


Consumer Staples — 3.3%
Bunge		0.3			7,443		518
Church & Dwight		0.2			7,099		432
Green Mountain Coffee Roasters*		0.3			6,979		510
Other Securities		2.5					4,359

							5,819


Energy — 5.4%
Concho Resources*		0.3			5,342		447
HollyFrontier		0.3			10,554		522
Oceaneering International		0.2			5,546		402
Other Securities		4.6					8,088

							9,459


Financials — 22.1%
Affiliated Managers Group*		0.3			2,611		428
American Capital Agency		0.3			20,221		522
Annaly Capital Management		0.4			49,514		672
CIT Group*		0.3			10,237		472
Digital Realty Trust‡ (A)		0.2			6,574		400
General Growth Properties‡		0.3			26,875		552


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

Realty Income‡ (A)		0.3	%		10,036	$	456
SEI (B)		0.1			7,119		218
SL Green Realty‡		0.2			4,440		386
Other Securities		19.7					34,367

							38,473


Health Care — 10.3%
BioMarin Pharmaceutical*		0.2			6,246		392
Catamaran*		0.3			10,407		512
Henry Schein*		0.2			4,443		428
Illumina*		0.3			6,279		442
Vertex Pharmaceuticals*		0.5			10,442		839
Other Securities		8.8					15,373

							17,986


Industrials — 14.6%
Ametek		0.3			12,295		530
Delta Air Lines		0.5			42,145		759
TransDigm Group		0.2			2,605		381
United Continental Holdings*		0.3			16,952		550
Verisk Analytics, Cl A*		0.3			7,472		439
Other Securities		13.0					22,703

							25,362


Information Technology — 14.2%
Alliance Data Systems* (A)		0.3			2,589		458
Ansys*		0.2			4,817		359
Avago Technologies, Cl A		0.3			12,468		470
Cree*		0.2			5,923		369
Equinix*		0.3			2,398		486
Facebook, Cl A*		0.3			21,469		523
LinkedIn, Cl A*		0.3			3,306		554
Maxim Integrated Products		0.3			14,904		440
Trimble Navigation		0.2			12,820		358
Other Securities		11.8					20,636

							24,653


Materials — 5.5%
Ashland		0.2			4,008		356
Celanese, Cl A		0.2			7,992		394
Rock Tenn, Cl A		0.2			3,635		359
Other Securities		4.9					8,506

							9,615


Telecommunication Services — 1.0%
SBA Communications, Cl A (A)*		0.3			6,219		468
Other Securities		0.7					1,298

							1,766


Utilities — 3.6%
American Water Works		0.2			9,018		360
Calpine*		0.3			19,572		398


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

Other Securities		3.1	%			$	5,424

							6,182

Total Common Stock (Cost $160,899) ($ Thousands)							168,120


AFFILIATED PARTNERSHIP — 7.7%
SEI Liquidity Fund, L.P. 0.100%**† (C)		7.7			13,400,661		13,401

Total Affiliated Partnership (Cost $13,401) ($ Thousands)							13,401


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.0			3,600,163		3,600

Total Cash Equivalent (Cost $3,600) ($ Thousands)							3,600


U.S. TREASURY OBLIGATION (D) — 0.1%
Other Securities		0.1					155

Total U.S. Treasury Obligation (Cost $155) ($ Thousands)							155

Total Investments — 106.4% (Cost $178,055) ($ Thousands)						$	185,276

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		13		Jun-2013	$	70
S&P Mid 400 Index E-MINI		21		Jun-2013		108

					$	178

Percentages are based on a Net Assets of $174,107 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $12,767 ($ Thousands).

(B)

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

(C)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $13,401 ($ Thousands).

(D)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	168,120	$	—	$	—	$	168,120
Affiliated Partnership		—		13,401		—		13,401
Cash Equivalent		3,600		—		—		3,600
U.S. Treasury Obligation		—		155		—		155

Total Investments in Securities	$	171,720	$	13,556	$	—	$	185,276


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	178	$	—	$	—	$	178

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

Amounts designated as “—” are $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 — 96.1%

Consumer Discretionary — 14.3%
Arctic Cat		0.3	%		54,176	$	2,540
Conn’s* (A)		0.3			43,910		2,162
Francesca’s Holdings (A)*		0.3			84,180		2,403
Hibbett Sports* (A)		0.3			42,277		2,411
HomeAway* (A)		0.3			69,726		2,132
Krispy Kreme Doughnuts*		0.3			124,095		2,149
Libbey (A)*		0.3			101,800		2,154
Matthews International, Cl A (A)		0.3			63,113		2,421
Monro Muffler Brake (A)		0.3			54,701		2,572
Pier 1 Imports (A)		0.3			93,973		2,179
Shutterfly (A)*		0.3			48,200		2,349
Wolverine World Wide (A)		0.4			60,590		3,172
Other Securities		10.6					82,583

							111,227


Consumer Staples — 2.8%
Other Securities		2.8					21,950


Energy — 5.9%
Dril-Quip*		0.4			33,432		3,024
Oasis Petroleum*		0.5			97,847		3,636
Other Securities		5.0					38,993

							45,653


Financials — 20.3%
CNO Financial Group		0.5			309,005		3,813
Financial Engines (A)		0.3			54,469		2,349
Horace Mann Educators		0.3			103,375		2,512
Kennedy-Wilson Holdings (A)		0.3			133,100		2,284
Meadowbrook Insurance Group (A)		0.3			265,300		2,128
Nelnet, Cl A		0.4			75,200		2,937
Platinum Underwriters Holdings		0.4			56,346		3,217
Simon Property Group‡		0.3			14,591		2,429
Other Securities		17.5					136,628

							158,297


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


Health Care — 12.1%
Acadia Healthcare*		0.4	%		103,338	$	3,451
HealthSouth (A)*		0.3			77,341		2,265
Other Securities		11.4					88,636

							94,352


Industrials — 17.9%
Actuant, Cl A (A)		0.4			94,194		3,203
EMCOR Group		0.4			74,220		2,950
FTI Consulting (A)*		0.4			87,203		3,313
G&K Services, Cl A		0.3			48,416		2,339
Genesee & Wyoming, Cl A*		0.4			36,814		3,278
Hexcel*		0.4			102,817		3,575
Middleby*		0.3			13,080		2,138
Old Dominion Freight Line*		0.4			64,181		2,764
Swift Transportation, Cl A		0.3			125,830		2,119
Wabtec		0.3			19,902		2,189
WESCO International (A)*		0.3			28,969		2,151
Other Securities		14.0					109,785

							139,804


Information Technology — 17.3%
Broadridge Financial Solutions		0.3			78,375		2,127
Cadence Design Systems (A)*		0.4			190,166		2,877
Cavium (A)*		0.4			94,936		3,110
CoStar Group (A)*		0.3			22,444		2,509
Dealertrack Technologies*		0.4			89,300		2,879
Diebold		0.3			71,502		2,303
Envestnet*		0.4			148,275		3,407
Guidewire Software*		0.4			69,206		2,835
Infoblox*		0.4			137,614		3,348
PTC*		0.3			95,989		2,410
SS&C Technologies Holdings*		0.3			81,870		2,590
Other Securities		13.4					104,087

							134,482


Materials — 3.4%
Other Securities		3.4					26,187


Telecommunication Services — 0.3%
Other Securities		0.3					1,964


Utilities — 1.8%
Portland General Electric		0.3			79,053		2,406
Other Securities		1.5					11,879

							14,285

Total Common Stock (Cost $649,008) ($ Thousands)							748,201


EXCHANGE TRADED FUNDS — 1.1%
iShares Russell 2000 Growth Index Fund (A)		0.4			31,929		3,592


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

iShares Russell 2000 Value Index Fund (A)		0.5	%		45,600	$	3,936
Other Securities		0.2					1,708

Total Exchange Traded Funds (Cost $8,624) ($ Thousands)							9,236


WARRANTS — 0.0%
Other Securities		0.0					5

Total Warrants (Cost $32) ($ Thousands)							5


CONVERTIBLE BOND — 0.0%
Other Securities		0.0					3

Total Convertible Bond (Cost $445) ($ Thousands)							3


AFFILIATED PARTNERSHIP — 22.2%
SEI Liquidity Fund, L.P. 0.100%**† (B)		22.2			173,278,252		173,278

Total Affiliated Partnership (Cost $173,278) ($ Thousands)							173,278


CASH EQUIVALENT — 3.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		3.5			27,185,676		27,186

Total Cash Equivalent (Cost $27,186) ($ Thousands)							27,186


U.S. TREASURY OBLIGATIONS (C) (D) — 0.5%
U.S. Treasury Bills 0.053%, 07/25/2013		0.5		$	3,450		3,450
Other Securities		0.0					240

Total U.S. Treasury Obligations (Cost $3,690) ($ Thousands)							3,690

Total Investments — 123.4% (Cost $862,263) ($ Thousands)						$	961,599

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		50		Jun-2013	$	(47	)

Percentages are based on a Net Assets of $778,976 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $166,755 ($ 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 May 31, 2013 was $173,278 ($ Thousands).

(C)

Security, or 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

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Common Stock	$	748,096	$	105	$	—	$	748,201
Exchange Traded Funds		9,236		—		—		9,236
Warrants		5		—		—		5
Convertible Bond		—		—		3		3
Affiliated Partnership		—		173,278		—		173,278
Cash Equivalent		27,186		—		—		27,186
U.S. Treasury Obligations		—		3,690		—		3,690

Total Investments in Securities	$	784,523	$	177,073	$	3	$	961,599


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(47	)	$	—	$	—	$	(47	)

(1)

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets.

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, the transfers out of Level 3 were due to changes in the availability of observable inputs to determine fair value.

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

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

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

LOGO


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



COMMON STOCK — 99.1%

Consumer Discretionary — 16.4%
Cabela’s*		0.4	%		12,850	$	862
Francesca’s Holdings (A)*		0.4			28,297		808
HomeAway*		0.3			24,171		739
Movado Group		0.4			21,630		781
Oxford Industries (A)		0.4			12,764		838
Pier 1 Imports (A)		0.5			50,177		1,164
Shutterfly*		0.5			23,327		1,137
Other Securities		13.5					30,004

							36,333


Consumer Staples — 3.6%
Other Securities		3.6					7,965


Energy — 5.7%
Oasis Petroleum*		0.6			32,685		1,215
Rosetta Resources*		0.3			15,886		744
Other Securities		4.8					10,577

							12,536


Financials — 19.5%
EastGroup Properties‡		0.3			12,718		747
Endurance Specialty Holdings		0.5			22,079		1,111
Hanover Insurance Group		0.5			22,385		1,124
Horace Mann Educators		0.5			40,786		991
Iberiabank		0.5			22,550		1,162
Platinum Underwriters Holdings		0.6			23,234		1,327
Susquehanna Bancshares		0.4			74,698		897
Other Securities		16.2					35,968

							43,327


Health Care — 13.6%
Acadia Healthcare*		0.5			33,767		1,127

Akorn* (A)		0.4			55,172		802
Amsurg, Cl A*		0.4			24,911		885
Analogic		0.3			9,580		761
Charles River Laboratories International*		0.4			17,736		768


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

HealthSouth*		0.5	%		38,552	$	1,129
PAREXEL International*		0.4			19,212		878
Team Health Holdings*		0.5			28,047		1,096
Other Securities		10.2					22,740

							30,186


Industrials — 17.2%
Actuant, Cl A (A)		0.8			50,650		1,722
Beacon Roofing Supply (A)*		0.4			21,586		890
Belden		0.4			15,763		842
Chart Industries*		0.5			11,030		1,073
Curtiss-Wright		0.3			21,247		773
Dycom Industries*		0.4			35,320		803
G&K Services, Cl A		0.4			18,895		913
Genesee & Wyoming, Cl A*		0.7			17,628		1,570
Hexcel*		0.6			38,512		1,339
TrueBlue*		0.3			32,610		768
Other Securities		12.4					27,400

							38,093


Information Technology — 16.5%
Aspen Technology*		0.4			31,321		959
Cavium (A)*		0.5			34,538		1,131
CoStar Group (A)*		0.5			9,141		1,022
Dealertrack Technologies*		0.5			31,079		1,002
Fairchild Semiconductor International, Cl A*		0.4			56,661		822
Guidewire Software*		0.4			22,148		907
Infoblox*		0.5			43,534		1,059
InvenSense, Cl A* (A)		0.4			71,204		917
OSI Systems*		0.4			13,792		798
PTC*		0.5			40,496		1,017
Semtech*		0.5			31,110		1,137
Tangoe (A)*		0.4			63,324		944
Other Securities		11.1					24,774

							36,489


Materials — 3.8%
PolyOne		0.5			42,730		1,098
Other Securities		3.3					7,469

							8,567


Telecommunication Services — 0.1%
Other Securities		0.1					242


Utilities — 2.7%
Portland General Electric		0.6			44,710		1,361
Other Securities		2.1					4,557

							5,918

Total Common Stock (Cost $184,260) ($ Thousands)							219,656


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


EXCHANGE TRADED FUNDS — 1.1%
iShares Russell 2000 Growth Index Fund (A)		0.7	%		14,213	$	1,599
iShares Russell 2000 Index Fund (A)		0.4			9,080		888

Total Exchange Traded Funds (Cost $2,192) ($ Thousands)							2,487


AFFILIATED PARTNERSHIP — 18.6%
SEI Liquidity Fund, L.P. 0.100%**† (B)		18.6			41,129,582		41,130

Total Affiliated Partnership (Cost $41,130) ($ Thousands)							41,130


CASH EQUIVALENT — 4.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		4.6			10,118,854		10,119

Total Cash Equivalent (Cost $10,119) ($ Thousands)							10,119


U.S. TREASURY OBLIGATIONS — 0.5%
Other Securities		0.5					1,183

Total U.S. Treasury Obligations (Cost $1,183) ($ Thousands)							1,183

Total Investments — 123.9% (Cost $238,884) ($ Thousands)						$	274,575

Percentages are based on a Net Assets of $221,697 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $39,632 ($ 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 May 31, 2013 was $41,130 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	219,656	$	—	$	—	$	219,656
Exchange Traded Funds		2,487		—		—		2,487
Affiliated Partnership		—		41,130		—		41,130
Cash Equivalent		10,119		—		—		10,119
U.S. Treasury Obligations		—		1,183		—		1,183

Total Investments in Securities	$	232,262	$	42,313	$	—	$	274,575

During the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

During the year ended May 31, 2013, there were no 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.

Amounts designated as “—” are $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 — 95.0%

Consumer Discretionary — 13.6%
Carter’s		0.3	%		89,303	$	6,436
Francesca’s Holdings* (A)		0.3			240,526		6,867
Hibbett Sports* (A)		0.4			165,200		9,421
Monro Muffler (A)		0.3			125,462		5,899
National CineMedia		0.3			351,023		5,831
Pier 1 Imports (A)		0.4			362,273		8,401
Wolverine World Wide (A)		0.3			117,671		6,160
Other Securities		11.3					243,417

							292,432


Consumer Staples — 2.7%
Casey’s General Stores (A)		0.3			114,083		6,932
Other Securities		2.4					49,948

							56,880


Energy — 5.7%
Dresser-Rand Group*		0.3			105,341		6,384
Gulfport Energy*		0.3			135,751		6,474
Oasis Petroleum*		0.3			174,719		6,493
Other Securities		4.8					103,175

							122,526


Financials — 20.5%
American Financial Group		0.3			150,694		7,318
CNO Financial Group		0.4			665,245		8,209
First Horizon National (A)		0.3			646,702		7,424
First Niagara Financial Group		0.3			593,266		5,796
Huntington Bancshares		0.3			801,230		6,209
Lexington Realty Trust‡ (A)		0.4			655,780		8,256
Pebblebrook Hotel Trust‡		0.3			229,190		6,014
Popular*		0.3			215,812		6,475
Simon Property Group‡		0.3			45,029		7,495
SVB Financial Group* (A)		0.3			77,621		6,007
Zions Bancorporation (A)		0.4			341,670		9,584


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

Other Securities		16.9	%			$	363,175

							441,962


Health Care — 9.9%
HealthSouth*		0.3			245,346		7,186
MEDNAX* (A)		0.3			69,842		6,483
WellCare Health Plans*		0.3			123,611		6,445
Other Securities		9.0					192,940

							213,054


Industrials — 17.3%
Actuant, Cl A (A)		0.3			216,480		7,360
Deluxe (A)		0.3			175,740		6,573
DigitalGlobe*		0.3			216,091		6,532
Dycom Industries*		0.3			272,395		6,197
Genesee & Wyoming, Cl A*		0.5			123,606		11,007
Hexcel*		0.4			270,332		9,399
Landstar System		0.3			118,620		6,262
Old Dominion Freight Line*		0.5			258,158		11,116
Owens Corning*		0.3			159,510		6,971
Polypore International* (A)		0.3			178,593		6,719
Regal-Beloit		0.3			92,664		6,256
Sensata Technologies Holding*		0.3			181,300		6,364
TrueBlue*		0.3			253,823		5,975
WESCO International* (A)		0.4			110,647		8,216
Other Securities		12.5					267,827

							372,774


Information Technology — 17.5%
Atmel*		0.4			985,922		7,759
Cadence Design Systems* (A)		0.6			893,370		13,517
CoStar Group* (A)		0.4			76,200		8,520
Dealertrack Technologies*		0.4			248,867		8,023
Fairchild Semiconductor International, Cl A*		0.3			467,680		6,786
FleetMatics Group*		0.3			216,192		6,432
PTC*		0.5			421,032		10,572
SS&C Technologies Holdings*		0.3			205,029		6,485
Other Securities		14.3					309,758

							377,852


Materials — 4.9%
PolyOne		0.4			365,377		9,386
Other Securities		4.5					96,369

							105,755


Telecommunication Services — 0.3%
Other Securities		0.3					6,199


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


Utilities — 2.6%
Other Securities		2.6	%			$	55,366

Total Common Stock (Cost $1,689,590) ($ Thousands)							2,044,800


EXCHANGE TRADED FUNDS — 0.9%
iShares Russell 2000 Growth Index Fund (A)		0.6			111,361		12,527
Other Securities		0.3					7,076

Total Exchange Traded Funds (Cost $18,284) ($ Thousands)							19,603


WARRANT — 0.0%
Other Securities		0.0					—

Total Warrant (Cost $—) ($ Thousands)							—


AFFILIATED PARTNERSHIP — 21.7%
SEI Liquidity Fund, L.P. 0.100%**† (B)		21.7			467,277,078		467,277

Total Affiliated Partnership (Cost $467,277) ($ Thousands)							467,277


CASH EQUIVALENT — 4.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		4.1			88,647,658		88,648

Total Cash Equivalent (Cost $88,648) ($ Thousands)							88,648


U.S. TREASURY OBLIGATION (C) (D) — 0.3%
U.S. Treasury Bills 0.094%, 06/27/2013		0.3		$	7,267		7,267

Total U.S. Treasury Obligation (Cost $7,267) ($ Thousands)							7,267

Total Investments — 122.0% (Cost $2,271,066) ($ Thousands)						$	2,627,595

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		334		Jun-2013	$	727
S&P Mid 400 Index E-MINI		258		Jun-2013		454

					$	1,181

Percentages are based on a Net Assets of $2,153,745 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $449,160 ($ 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 May 31, 2013 was $467,277 ($ Thousands).

(C)

All or a portion of this security has been pledged as collateral for open futures contracts.

(D)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Common Stock	$	2,044,684	$	—	$	116	$	2,044,800
Exchange Traded Funds		19,603		—		—		19,603
Affiliated Partnership		—		467,277		—		467,277
Cash Equivalent		88,648		—		—		88,648
U.S. Treasury Obligation		—		7,267		—		7,267

Total Investments in Securities	$	2,152,935	$	474,544	$	116	$	2,627,595


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,181	$	—	$	—	$	1,181

(1)

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the year in relation to the net assets.

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

For the year ended May 31, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there have been no 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.

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 — 93.1%

Consumer Discretionary — 6.3%
DIRECTV*		0.8	%		147,000	$	8,986
Target		1.3			208,389		14,483
Other Securities		4.2					49,227

							72,696


Consumer Staples — 18.8%
Altria Group		0.7			215,520		7,780
Bunge		0.6			97,555		6,790
Campbell Soup		0.6			169,630		7,262
Clorox		0.9			128,686		10,691
ConAgra Foods		0.6			200,300		6,748
CVS Caremark		0.7			137,600		7,923
Dr. Pepper Snapple Group		0.8			190,150		8,743
Hershey		0.7			93,857		8,364
Hormel Foods		0.9			256,770		10,225
Kimberly-Clark		1.1			133,030		12,881
Kroger		0.9			308,441		10,385
Philip Morris International		0.7			83,423		7,584
Walgreen		0.6			144,800		6,916
Wal-Mart Stores		1.5			233,800		17,497
Other Securities		7.5					85,374

							215,163


Energy — 3.6%
Chevron		0.9			90,000		11,048
ConocoPhillips		0.7			132,300		8,115
Exxon Mobil		1.3			166,200		15,036
Imperial Oil		0.2			64,400		2,508
Other Securities		0.5					4,606

							41,313


Financials — 16.7%
Allied World Assurance
Holdings		0.9			111,163		9,939
Everest Re Group		1.1			98,993		12,831
PartnerRe		1.6			201,369		18,254
RenaissanceRe Holdings		1.2			158,845		13,654
Travelers		0.7			96,600		8,087
Validus Holdings		0.9			274,205		9,902


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		10.3	%			$	119,211

							191,878


Health Care — 14.6%
Actavis*		0.6			59,283		7,309
AmerisourceBergen		1.2			256,471		13,870
Amgen		1.4			157,640		15,847
Becton Dickinson		0.9			105,488		10,403
Cardinal Health		0.9			210,951		9,906
Johnson & Johnson		1.3			168,942		14,222
McKesson		1.2			122,929		13,997
Pfizer		0.8			349,100		9,506
Other Securities		6.3					72,504

							167,564


Industrials — 5.9%
L-3 Communications
Holdings, Cl 3		0.8			111,700		9,504
Lockheed Martin		0.8			82,074		8,686
Northrop Grumman		0.7			102,800		8,470
Raytheon		0.8			144,100		9,603
Other Securities		2.8					31,353

							67,616


Information Technology — 8.2%
Amdocs		1.1			363,453		12,975
Cisco Systems		0.7			325,100		7,828
International Business Machines		1.1			59,152		12,305
Microsoft		0.7			227,200		7,925
Other Securities		4.6					52,603

							93,636


Materials — 1.7%
Other Securities		1.7					18,917


Telecommunication Services — 2.6%
Verizon Communications		0.8			200,058		9,699
Other Securities		1.8					19,732

							29,431


Utilities — 14.7%
American Electric Power		0.6			144,905		6,640
American Water Works		0.8			226,980		9,065
CMS Energy		0.6			266,538		7,183
Consolidated Edison		0.7			138,467		7,902
DTE Energy		1.1			184,975		12,321
Edison International		1.2			294,275		13,519
Pinnacle West Capital		0.6			117,874		6,657
Wisconsin Energy		0.7			185,188		7,557
Other Securities		8.4					98,040

							168,884

Total Common Stock (Cost $899,319) ($ Thousands)							1,067,098


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

CASH EQUIVALENT — 3.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		3.7	%		42,175,790	$	42,176

Total Cash Equivalent (Cost $42,176) ($ Thousands)							42,176


U.S. TREASURY OBLIGATION (A) — 0.1%
Other Securities		0.1					1,513

Total U.S. Treasury Obligation (Cost $1,513) ($ Thousands)							1,513

Total Investments — 96.9% (Cost $943,008) ($ Thousands)						$	1,110,787

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:

Type of
Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index EMINI

674

Jun-2013

197

Percentages are based on a Net Assets of $1,145,980 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(A)

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

Cl — Class

S&P — Standard and Poor’s

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,067,098	$	—	$	—	$	1,067,098
Cash Equivalent		42,176		—		—		42,176
U.S. Treasury Obligation		—		1,513		—		1,513

Total Investments in Securities	$	1,109,274	$	1,513	$	—	$	1,110,787


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	197	$	—	$	—	$	197

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

For the year ended May 31, 2013, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

LOGO


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


COMMON STOCK — 95.2%

Australia — 2.9%
Brambles (A)		0.5	%		139,484	$	1,217
Other Securities		2.4					5,401

							6,618


Austria — 0.3%
Other Securities		0.3					717


Belgium — 1.1%
Other Securities		1.1					2,644


Brazil — 0.4%
Other Securities		0.4					946


Canada — 3.8%
Other Securities		3.8					8,719


China — 0.3%
Other Securities		0.3					811


Denmark — 0.9%
Other Securities		0.9					1,990


Finland — 0.3%
Other Securities		0.3					676


France — 11.3%
Arkema (A)		0.6			13,470		1,382
BNP Paribas (A)		1.1			41,970		2,449
Sanofi-Aventis (A)		2.1			44,881		4,772
Schneider Electric (A)		1.0			27,868		2,199
Total (A)		0.4			20,450		1,019
Other Securities		6.1					14,290

							26,111


Germany — 9.0%
Bayer (A)		0.7			14,999		1,598
DaimlerChrysler (A)		0.8			28,422		1,800


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Deutsche Boerse (A)		0.5	%		18,918	$	1,216
HeidelbergCement (A)		0.5			14,666		1,102
Linde (A)		0.7			8,631		1,648
Siemens (A)		0.9			19,052		2,003
Other Securities		4.9					11,397

							20,764


Greece — 0.0%
Other Securities		0.0					39


Hong Kong — 3.2%
Other Securities		3.2					7,397


India — 0.4%
Other Securities		0.4					842


Indonesia — 0.1%
Other Securities		0.1					337


Ireland — 0.5%
Other Securities		0.5					1,162


Israel — 1.3%
Check Point Software Technologies		0.7			31,351		1,570
Other Securities		0.6					1,387

							2,957


Italy — 1.1%
Other Securities		1.1					2,515


Japan — 15.7%
Astellas Pharma (A)		0.5			20,900		1,062
Daihatsu Motor (A)		0.1			8,000		169
FANUC (A)		0.7			10,500		1,538
Hino Motors (A)		0.2			27,000		381
JGC (A)		0.5			36,000		1,188
KDDI (A)		0.5			23,700		1,064
Nippon Telegraph & Telephone (A)		0.5			22,900		1,124
Seven & I Holdings (A)		0.5			32,100		1,085
SMC (A)		0.8			10,100		1,906
Sumitomo Mitsui Financial Group (A)		0.6			33,800		1,327
Toyota Motor (A)		1.0			38,800		2,253
Toyota Motor ADR		0.2			3,160		371
Other Securities		9.6					22,850

							36,318


Jersey — 0.0%
Other Securities		0.0					13


Mexico — 0.0%
Other Securities		0.0					96


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

Netherlands — 5.1%
Akzo Nobel (A)		1.0	%		34,413	$	2,195
Koninklijke Ahold (A)		0.5			71,717		1,160
Reed Elsevier (A)		0.6			87,413		1,429
Unilever (A)		0.7			38,739		1,578
Other Securities		2.3					5,567

							11,929


New Zealand — 0.1%
Other Securities		0.1					145


Norway — 1.8%
DnB (A)		0.9			124,523		2,008
Statoil (A)		0.5			55,740		1,255
Other Securities		0.4					897

							4,160


Portugal — 0.1%
Other Securities		0.1					159


Russia — 0.7%
Other Securities		0.7					1,667


Singapore — 1.2%
Other Securities		1.2					2,782


South Africa — 0.1%
Other Securities		0.1					309


South Korea — 1.8%
Samsung Electronics* (A)		0.7			1,119		1,508
Other Securities		1.1					2,794

							4,302


Spain — 0.9%
Other Securities		0.9					2,142


Sweden — 2.4%
Telefonaktiebolaget LM Ericsson, Cl B (A)		0.5			89,580		1,049
Other Securities		1.9					4,631

							5,680


Switzerland — 8.7%
Givaudan (A)		0.8			1,455		1,868
Nestle (A)		0.8			30,099		1,987
Novartis (A)		1.1			35,181		2,511
Roche Holding (A)		1.9			17,457		4,313
SGS (A)		0.5			541		1,208
Sulzer (A)		0.5			6,519		1,085
UBS (A)		0.4			59,266		1,036
Zurich Insurance Group (A)		0.5			4,169		1,099
Other Securities		2.2					5,046

							20,153


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

Taiwan — 0.1%
Other Securities		0.1	%			$	157


Thailand — 0.0%
Other Securities		0.0					12


Turkey — 0.1%
Other Securities		0.1					150


United Kingdom — 18.5%
Barclays (A)		0.8			371,097		1,774
BG Group (A)		1.0			120,298		2,190
BHP Billiton (A)		0.6			50,472		1,448
British American Tobacco (A)		0.6			24,629		1,350
Diageo (A)		0.4			35,576		1,049
HSBC Holdings		1.0			212,689		2,329
Lloyds Banking Group* (A)		0.4			1,096,961		1,017
Petrofac (A)		0.6			63,155		1,281
Prudential (A)		0.4			61,729		1,036

Rio Tinto (A)		0.4			24,436		1,042
Royal Dutch Shell, Cl A (GBP) (A)		0.4			26,315		874
Royal Dutch Shell, Cl A (A)		0.4			26,128		870
Royal Dutch Shell, Cl B (A)		0.2			15,178		522
Royal Dutch Shell ADR, Cl B		0.2			5,625		387
Tesco (A)		0.7			314,694		1,739
Unilever (A)		0.4			19,874		833
Vodafone Group (A)		0.6			494,036		1,429
Other Securities		9.4					21,724

							42,894


United States — 1.0%
Other Securities		1.0					2,237

Total Common Stock (Cost $214,206) ($ Thousands)							220,550


PREFERRED STOCK — 0.6%

Germany — 0.6%
Other Securities		0.6					1,377

Total Preferred Stock (Cost $1,266) ($ Thousands)							1,377


RIGHTS — 0.0%

Italy — 0.0%
Other Securities							—

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


CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		1.4			3,132,179		3,132

Total Cash Equivalent (Cost $3,132) ($ Thousands)							3,132


Description	Percentage of Net Assets (%)	Face Amount (1) (Thousands)			Market Value ($ Thousands)

TIME DEPOSITS — 2.1%
Brown Brothers Harriman
4.150%, 06/01/2013			ZAR	6	$	1
1.903%, 06/01/2013			AUD	43		41
1.667%, 06/01/2013			NZD	27		22
0.484%, 06/01/2013			NOK	9		1
0.280%, 06/01/2013			CAD	—		—
0.100%, 06/01/2013			SEK	1		—
0.076%, 06/01/2013			GBP	27		40
0.030%, 06/01/2013				4,667		4,667
0.005%, 06/01/2013			JPY	3,205		32
0.005%, 06/01/2013			HKD	87		11
0.005%, 06/01/2013			SGD	1		1
0.001%, 06/01/2013			CHF	41		43
0.001%, 06/01/2013			EUR	78		101
(0.10)%, 06/01/2013			DKK	23		4

Total Time Deposits (Cost $4,964) ($ Thousands)						4,964


U.S. TREASURY OBLIGATION (B) — 0.3%
Other Securities	0.3%					705

Total U.S. Treasury Obligation (Cost $705) ($ Thousands)						705

Total Investments — 99.6% (Cost $224,273) ($ Thousands)					$	230,728

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Hang Seng Index		1		Jun-2013	$	(2	)
SPI 200 Index		4		Jun-2013		(5	)
Topix Index		8		Jun-2013		(36	)

					$	(43	)

Percentages are based on a Net Assets of $231,661 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(1)

In U.S. dollars unless otherwise indicated.

(A)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2013 was $199,028 ($ Thousands) and represented 85.9% of Net Assets.

(B)

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

ADR — American Depository Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EUR — Euro

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

SEK — Swedish Krone

SGD — Singapore Dollar

SPI — Share Price Index

ZAR — South African Rand

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	22,899	$	197,651	$	—	$	220,550
Preferred Stock		—		1,377		—		1,377
Cash Equivalent		3,132		—		—		3,132
Time Deposits		4,964		—		—		4,964
U.S. Treasury Obligation		—		705		—		705

Total Investments in Securities	$	30,995	$	199,733	$	—	$	230,728


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(43	)	$	—	$	—	$	(43	)

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

For the year ended May 31, 2013, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded.

For the year ended May 31, 2013, there were transfers between Level 2 and Level 3 assets and liabilities. The transfers were due to changes in the availability of observable inputs used to determine fair value.

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

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

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

LOGO


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

COMMON STOCK — 95.5%

Argentina — 0.1%
Other Securities		0.1	%			$	7,737


Australia — 1.8%
Other Securities		1.8					108,722


Austria — 1.1%
Schoeller-Bleckmann Oilfield Equipment (A)		0.5			276,236		28,255
Other Securities		0.6					37,699

							65,954


Belgium — 0.3%
Other Securities		0.3					15,581


Brazil — 3.3%
Banco Bradesco ADR (B)		0.7			2,623,461		42,316
Banco do Brasil		0.5			2,421,000		28,541
Cia de Saneamento Basicodo Estado de Sao Paulo ADR (B)		0.7			3,140,670		39,949
Other Securities		1.4					94,872

							205,678


Canada — 4.7%
Manulife Financial (B)		0.5			1,821,000		28,772
Valeant Pharmaceuticals International*		0.5			315,020		29,074
Other Securities		3.7					236,018

							293,864


Chile — 0.1%
Other Securities		0.1					3,855


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

China — 4.1%
Industrial & Commercial Bank of China (A)		0.6	%		55,654,402	$	38,938
Tencent Holdings (A)		0.5			757,400		29,811
Other Securities		3.0					184,263

							253,012


Colombia — 0.3%
Other Securities		0.3					17,394


Czech Republic — 0.2%
Other Securities		0.2					11,712


Denmark — 1.1%
Other Securities		1.1					67,804


Finland — 0.2%
Other Securities		0.2					13,036


France — 3.6%
Other Securities		3.6					221,194


Germany — 7.9%
Adidas (A)		0.8			462,997		50,194
SAP (A) (B)		0.8			637,530		47,574
Siemens (A)		0.7			388,581		40,843
Symrise (A)		0.5			762,589		30,989
Other Securities		5.1					321,179

							490,779


Hong Kong — 3.2%
AIA Group (A)		0.5			6,771,340		29,935
Other Securities		2.7					168,285

							198,220


India — 1.4%
ICICI Bank ADR		0.7			921,352		41,433
Other Securities		0.7					43,605

							85,038


Indonesia — 1.1%
Bank Rakyat Indonesia Persero (A)		0.5			32,579,742		29,460
Other Securities		0.6					35,300

							64,760


Ireland — 0.7%
Other Securities		0.7					45,667


Israel — 0.6%
Other Securities		0.6					35,689


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

Italy — 0.9%
Other Securities		0.9	%			$	56,855


Japan — 12.8%
Denso (A)		0.6			849,400		34,913
Hitachi (A)		0.8			7,578,300		50,746
KDDI (A)		0.6			859,416		38,572
Komatsu (A)		0.6			1,372,471		34,192
Mitsubishi UFJ Financial Group (A)		0.5			5,588,056		32,264
Mitsui Trust Holdings (A)		0.6			9,067,046		36,956
Softbank (A)		0.6			711,130		35,363
Toyota Motor (A)		0.7			730,109		42,389
Other Securities		7.8					484,261

							789,656


Malaysia — 0.1%
Other Securities		0.1					8,289


Mexico — 0.6%
Other Securities		0.6					39,506


Netherlands — 3.6%
Chicago Bridge & Iron		0.5			490,468		31,047
Core Laboratories (B)		0.7			324,577		44,714
LyondellBasell Industries, Cl A (B)		0.5			429,325		28,614
NXP Semiconductor*		0.5			940,980		29,029
Other Securities		1.4					89,022

							222,426


New Zealand — 0.0%
Other Securities		0.0					2,367


Norway — 2.0%
DnB (A)		0.6			2,181,356		35,174
Statoil ADR (B)		0.7			1,872,022		42,158
Other Securities		0.7					47,083

							124,415


Peru — 0.1%
Other Securities		0.1					5,144


Philippines — 0.0%
Other Securities		0.0					319


Poland — 0.0%
Other Securities		0.0					1,010


Qatar — 0.4%
Other Securities		0.4					25,886


Russia — 0.7%
Other Securities		0.7					42,098


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

Singapore — 1.6%
Other Securities		1.6	%			$	100,343


South Africa — 0.6%
Sasol ADR (B)		0.5			775,100		34,399
Other Securities		0.1					4,168

							38,567


South Korea — 3.8%
Samsung Electronics (A)		1.2			55,820		75,210
Other Securities		2.6					159,211

							234,421


Spain — 0.6%
Amadeus IT Holding, Cl A (A) (B)		0.5			1,105,901		33,656
Other Securities		0.1					3,171

							36,827


Sweden — 2.3%
Getinge, Cl B (A) (B)		0.5			1,073,866		31,979
Other Securities		1.8					113,265

							145,244


Switzerland — 6.2%
Credit Suisse Group (A)		0.5			955,914		28,155
Roche Holding (A)		1.1			284,021		70,173
UBS (A)		0.5			1,762,492		30,817
Zurich Insurance Group ADR (B)		0.6			1,348,600		35,832
Other Securities		3.5					221,162

							386,139


Taiwan — 1.6%
Other Securities		1.6					95,876


Thailand — 1.1%
Other Securities		1.1					69,763


Turkey — 1.4%
Other Securities		1.4					84,295


United Kingdom — 15.9%
3i Group (A)		0.5			6,029,833		30,911
ARM Holdings ADR (B)		0.8			1,168,359		51,268
AstraZeneca ADR (B)		0.6			716,000		36,695
Barclays (A)		0.7			8,481,991		40,542
Diageo (A)		0.6			1,257,639		37,070
HSBC Holdings		1.1			5,931,891		64,950
Rio Tinto ADR (B)		0.6			906,713		38,735
Royal Dutch Shell, Cl A (A)		0.7			1,358,917		45,247


Description	Percentage of Net Assets (%)			Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)
Royal Dutch Shell, Cl A (GBP) (A)		0.2	%		329,219	$	10,933
Royal Dutch Shell ADR, Cl A		0.5			493,300		32,740
Sage Group (A)		0.5			5,074,100		27,945
Shire (A)		0.6			1,032,431		33,908
WPP (A)		0.7			2,405,072		40,855
Other Securities		7.8					493,773

							985,572


United States — 3.4%
Other Securities		3.4					212,081

Total Common Stock (Cost $5,217,286) ($ Thousands)							5,912,795


PREFERRED STOCK — 0.9%

Brazil — 0.3%
Other Securities		0.3					20,810


Germany — 0.6%
Other Securities		0.6					34,163

Total Preferred Stock (Cost $54,383) ($ Thousands)							54,973


RIGHTS — 0.0%

Italy — 0.0%
Other Securities							—

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


AFFILIATED PARTNERSHIP — 9.2%
SEI Liquidity Fund, L.P.
0.100%**† (C)		9.2			570,536,741		570,537

Total Affiliated Partnership (Cost $570,537) ($ Thousands)							570,537


CASH EQUIVALENT — 0.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†		0.4			25,307,648		25,308

Total Cash Equivalent (Cost $25,308) ($ Thousands)							25,308



TIME DEPOSITS — 1.5%
Brown Brothers Harriman
4.150%, 06/01/2013	ZAR	56	6
1.903%, 06/01/2013	AUD	183	175
1.667%, 06/01/2013	NZD	461	368


Description	Percentage of Net Assets (%)	Face Amount (1) (Thousands)/ Shares			Market Value ($ Thousands)
0.484%, 06/01/2013			NOK	2,738	$	465
0.280%, 06/01/2013			CAD	104		101
0.100%, 06/01/2013			SEK	4,540		683
0.076%, 06/01/2013			GBP	2,746		4,163
0.030%, 06/01/2013				81,091		81,091
0.005%, 06/01/2013			JPY	17,860		177
0.005%, 06/01/2013			HKD	6,188		797
0.005%, 06/01/2013			SGD	385		304
0.001%, 06/01/2013			CHF	2,001		2,086
0.001%, 06/01/2013			EUR	1,248		1,618
(0.10)%, 06/01/2013			DKK	1,309		227

Total Time Deposits (Cost $92,261) ($ Thousands)						92,261


U.S. TREASURY OBLIGATIONS (D) — 0.2%
Other Securities 0.2%						12,288

Total U.S. Treasury Obligations (Cost $12,287) ($ Thousands)						12,288

Total Investments — 107.7% (Cost $5,972,062) ($ Thousands)					$	6,668,162

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		1,174		Jun-2013	$	329
FTSE 100 Index		379		Jun-2013		180
Hang Seng Index		41		Jun-2013		(15	)
S&P TSX 60 Index		113		Jun-2013		119
SPI 200 Index		103		Jun-2013		(203	)
Topix Index		238		Jun-2013		(412	)

					$	(2	)

Percentages are based on a Net Assets of $6,192,852 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(1)

In U.S. dollars unless otherwise indicated.

(A)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2013 was $4,036,972 ($ Thousands) and represented 65.2% of Net Assets.

(B)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $540,135 ($ Thousands).

(C)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $570,537 ($ Thousands).

(D)

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

NOK — Norwegian Krone

NZD — New Zealand Dollar

S&P — Standard & Poor’s

SEK — Swedish Krona

SGD — Singapore Dollar

SPI — Share Price Index

TSX — Toronto Stock Exchange

ZAR — South African Rand

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,909,986	$	4,002,809	$	—	$	5,912,795
Preferred Stock		20,810		34,163		—		54,973
Affiliated Partnership		—		570,537		—		570,537
Cash Equivalent		25,308		—		—		25,308
Time Deposits		92,261		—		—		92,261
U.S. Treasury Obligations		—		12,288		—		12,288

Total Investments in Securities	$	2,048,365	$	4,619,797	$	—	$	6,668,162


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

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 $0 or have been rounded to $0.

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

LOGO


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

COMMON STOCK — 91.4%

Argentina — 0.2%
Other Securities		0.2	%			$	126


Australia — 1.7%
Commonwealth Bank of Australia (A)		0.6			5,747		366
Other Securities		1.1					687

							1,053


Austria — 2.1%
OMV (A)		0.7			9,483		436
Schoeller-Bleckmann Oilfield Equipment (A)		0.6			3,719		380
Other Securities		0.8					468

							1,284


Belgium — 0.1%
Other Securities		0.1					48


Brazil — 1.5%
Other Securities		1.5					962


Canada — 4.2%
Canadian National Railway		0.6			3,558		362
Other Securities		3.6					2,272

							2,634


Chile — 0.1%
Other Securities		0.1					44


China — 5.7%
Industrial & Commercial Bank of China (A)		1.3			1,150,836		805
Other Securities		4.4					2,737

							3,542


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

Colombia — 0.4%
Other Securities		0.4	%			$	241


Czech Republic — 0.3%
Other Securities		0.3					167


Denmark — 0.9%
Novo-Nordisk, Cl B (A)		0.6			2,447		395
Other Securities		0.3					157

							552


Finland — 1.3%
Other Securities		1.3					793


France — 5.0%
BNP Paribas (A)		0.6			6,604		385
Compagnie Generale des Etablissements Michelin, Cl B (A)		0.6			4,385		382
LVMH Moet Hennessy Louis Vuitton (A)		0.7			2,333		411
Other Securities		3.1					1,939

							3,117


Germany — 5.3%
Adidas (A)		0.5			3,090		335
BASF (A)		0.7			4,536		438
Bayer (A)		0.6			3,674		391
Deutsche Bank (A)		0.6			7,753		359
Fresenius Medical Care (A)		0.5			4,992		338
Other Securities		2.4					1,443

							3,304


Hong Kong — 3.8%
AIA Group (A)		0.8			105,382		466
Orient Overseas International (A)		0.5			53,000		332
Other Securities		2.5					1,570

							2,368


India — 1.0%
ICICI Bank ADR		1.0			13,577		611
Other Securities		0.0					3

							614


Indonesia — 0.5%
Other Securities		0.5					287


Ireland — 1.2%
Accenture, Cl A		0.6			4,432		364
ICON*		0.6			11,034		379

							743


Italy — 0.8%
Other Securities		0.8					507


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

Japan — 12.9%
Denso (A)		0.9	%		13,500	$	555
Hitachi (A)		0.8			74,000		495
Honda Motor ADR		0.5			8,785		330
Nippon Telegraph & Telephone (A)		0.6			7,100		348
Secom (A)		0.5			6,600		331
Toyota Motor (A)		1.7			18,717		1,087
Other Securities		7.9					4,940

							8,086


Malaysia — 0.4%
Other Securities		0.4					266


Mexico — 1.0%
Other Securities		1.0					615


Netherlands — 3.2%
ASML Holding (A)		0.5			4,038		333
Core Laboratories		1.0			4,672		643
European Aeronautic Defense and Space (A)		0.6			6,258		359
Unilever (A)		0.7			10,703		436
Other Securities		0.4					217

							1,988


New Zealand — 0.3%
Other Securities		0.3					208


Norway — 1.3%
DnB (A)		1.0			40,386		651
Other Securities		0.3					189

							840


Peru — 0.2%
Other Securities		0.2					98


Philippines — 0.2%
Other Securities		0.2					154


Poland — 0.1%
Other Securities		0.1					80


Portugal — 0.0%
Other Securities		0.0					17


Russia — 0.2%
Other Securities		0.2					109


Singapore — 1.3%
DBS Group Holdings (A)		0.7			32,000		433
Other Securities		0.6					373

							806


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

South Africa — 0.1%
Other Securities		0.1	%			$	72


South Korea — 3.5%
Samsung Electronics (A)		1.9			879		1,184
Other Securities		1.6					1,030

							2,214


Spain — 0.8%
Amadeus IT Holding, Cl A (A)		0.7			15,531		473
Other Securities		0.1					60

							533


Sweden — 1.2%
Getinge, Cl B (A)		0.7			14,812		441
Other Securities		0.5					286

							727


Switzerland — 6.3%
Novartis ADR		0.6			5,145		369
Novartis (A)		0.6			5,263		376
Roche Holding (A)		2.1			5,498		1,358
Other Securities		3.0					1,848

							3,951


Taiwan — 1.7%
Advanced Semiconductor Engineering		0.5			79,236		333
Other Securities		1.2					741

							1,074


Thailand — 1.0%
Other Securities		1.0					644


Turkey — 1.3%
Other Securities		1.3					802


United Kingdom — 14.8%
ARM Holdings ADR		1.2			16,794		737
ARM Holdings (A)		0.2			9,442		138
AstraZeneca (A)		0.5			6,527		333
British American Tobacco (A)		0.7			7,716		423
Diageo (A)		0.9			18,393		542
HSBC Holdings		1.3			74,209		812
Reckitt Benckiser Group (A)		0.6			5,588		399
Shire (A)		0.7			14,213		467
Unilever ADR		0.6			8,342		350
Other Securities		8.1					5,058

							9,259


United States — 3.5%
Everest Re Group		0.6			3,085		400


Description	Percentage of Net Assets (%)			Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)
Schlumberger		0.5	%		4,626	$	338
Other Securities		2.4					1,481

							2,219

Total Common Stock (Cost $52,460) ($ Thousands)							57,148


PREFERRED STOCK — 0.9%

Brazil — 0.8%
Other Securities		0.8					516


Germany — 0.1%
Other Securities		0.1					40

Total Preferred Stock (Cost $588) ($ Thousands)							556


CASH EQUIVALENT — 4.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		4.1			2,589,743		2,590

Total Cash Equivalent (Cost $2,590) ($ Thousands)							2,590



TIME DEPOSITS — 3.4%
Brown Brothers Harriman
4.150%, 06/01/2013	ZAR	1		—
1.903%, 06/01/2013	AUD	53		51
1.667%, 06/01/2013	NZD	2		2
0.484%, 06/01/2013	NOK	54		9
0.280%, 06/01/2013	CAD	15		14
0.100%, 06/01/2013	SEK	80		12
0.076%, 06/01/2013	GBP	49		74
0.030%, 06/01/2013		1,587		1,587
0.005%, 06/01/2013	JPY	4,626		46
0.005%, 06/01/2013	HKD	149		19
0.005%, 06/01/2013	SGD	17		13
0.001%, 06/01/2013	CHF	53		55
0.001%, 06/01/2013	EUR	156		202
(0.10)%, 06/01/2013	DKK	80		14

Total Time Deposits (Cost $2,098) ($ Thousands)				2,098


U.S. TREASURY OBLIGATIONS (B) — 0.3%
Other Securities	0.3			173

Total U.S. Treasury Obligations (Cost $173) ($ Thousands)				173

Total Investments — 100.1% (Cost $57,909) ($ Thousands)			$	62,565

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		22		Jun-2013	$	35
FTSE 100 Index		7		Jun-2013		19
Hang Seng Index		1		Jun-2013		(2	)
S&P TSX 60 Index		2		Jun-2013		(5	)
SPI 200 Index		2		Jun-2013		(6	)
Topix Index		4		Jun-2013		40

					$	81

Percentages are based on a Net Assets of $62,521 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(1)

In U.S. dollars unless otherwise indicated.

(A)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2013 was $42,654 ($ Thousands) and represented 68.2% of Net Assets.

(B)

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

S&P — Standard & Poor’s

SEK — Swedish Krone

SGD — Singapore Dollar

SPI — Share Price Index

TSX — Toronto Stock Exchange

ZAR — South African Rand

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	14,534	$	42,614	$	—	$	57,148
Preferred Stock		516		40		—		556
Cash Equivalent		2,590		—		—		2,590
Time Deposits		2,098		—		—		2,098
U.S. Treasury Obligations		—		173		—		173

Total Investments in Securities	$	19,738	$	42,827	$	—	$	62,565


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	81	$	—	$	—	$	81

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

For the year ended May 31, 2013, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changed in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded.

For the year ended May 31, 2013, there were no 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.

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

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

LOGO


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

LOAN PARTICIPATIONS — 22.3%
Acquisitions Cogeco Cable II, Term Loan B
4.500%, 09/20/2019	$	249	$	249
Advanstar Communications, 1st Lien
2.540%, 06/02/2014		514		509
Advantage Sales and Marketing, Term Loan
8.250%, 06/17/2018		738		746
4.250%, 12/18/2017		1,610		1,618
Affinia Group
4.750%, 04/25/2020		742		744
Affinia Group, Term Loan B1
3.500%, 04/25/2016		305		307
Affinion Group Holdings
6.500%, 10/09/2016		981		957
Air Medical Group Holdings, Term Loan B1
6.500%, 06/30/2018		1,397		1,428
Air Medical Group Holdings, Term Loan, 1st Lien
0.000%, 05/21/2018 (A)		1,900		1,900
Alere, Term Loan B
4.250%, 06/30/2017		497		503
Alliance Laundry Systems LLC, Term Loan B
4.500%, 12/10/2018		1,492		1,503
Alliant Holdings, Term Loan, Tranche 1
5.000%, 12/20/2019		1,995		2,005
Allison Transmission
4.250%, 08/23/2019		993		1,000
Alpha Natural Resources, Term Loan B
3.500%, 05/31/2020		1,250		1,245
AMC Entertainment, Term Loan
3.500%, 04/30/2020		380		381


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Builders & Contract Supply, Term Loan B
3.500%, 04/16/2020	$	1,250	$	1,254
American Renal Holdings, Term Loan
8.500%, 02/20/2020		1,010		1,016
4.500%, 08/20/2019		1,350		1,353
American Rock Salt, Term Loan B
5.500%, 04/25/2017		741		745
Apex Tool Group
4.500%, 01/25/2020		2,000		2,013
Applied Systems, Hybrid Term Loan, 2nd Lien
8.250%, 06/08/2017		240		242
Applied Systems, Term Loan B
0.000%, 12/08/2016 (A)		2,000		2,017
Aramark US
0.053%, 07/26/2016		27		28
Aramark, Term Loan
3.698%, 07/26/2016		463		468
Aramark, Term Loan C
3.784%, 07/26/2016		878		886
Aramark, Term Loan D
4.000%, 08/22/2019		1,000		1,011
Arris Group
3.500%, 02/07/2020		845		844
Asurion, LLC
4.500%, 05/24/2019		1,352		1,358
August LuxUK Holding, Term Loan
5.250%, 04/27/2018		591		593
August U.S. Holdings, Term Loan
5.250%, 04/27/2018		448		450
Avaya, Extended Term Loan B-5
8.000%, 03/31/2018		979		934
Avaya, Term Loan B-3
4.927%, 10/26/2017		815		731
Bass Pro Group LLC, Term Loan B
4.000%, 11/20/2019		980		984
Berry Plastics
3.500%, 02/08/2020		1,995		1,995
Berry Plastics, Term Loan D
3.500%, 02/08/2020		5		5
Biomet
4.034%, 07/25/2017		348		350
Biomet, Term Loan B1
3.954%, 07/25/2017		596		599
Biomet, Term Loan B2
4.034%, 07/25/2017		446		449
Biomet, Term Loan B3
3.954%, 07/25/2017		27		27
BJ’s Wholesale Club, Term Loan
4.250%, 09/26/2019		1,244		1,247
Black Press US Partnership, Tranche B-1
2.287%, 08/02/2013		315		312


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Black Press US Partnership, Tranche B-2
2.287%, 08/02/2013	$	191	$	189
Booz Allen Hamilton, Term Loan B
4.500%, 07/31/2019		1,194		1,202
0.000%, 07/31/2019 (A)		800		805
Boyd Acquisition
4.250%, 11/20/2017		998		1,005
Bright Horizons Family Solutions LLC, Term Loan
4.000%, 01/30/2020		349		351
Burlington Coat Factory, Term Loan B
5.500%, 02/23/2017		470		472
Calpine
4.000%, 04/01/2018		294		296
Cannery Casino Resorts LLC
6.000%, 10/02/2018		299		302
CDW, Term Loan
3.500%, 04/29/2020		2,000		1,993
Cedar Fair L.P.
3.250%, 03/06/2020		500		504
Cequel Communications
3.500%, 02/14/2019		1		1
3.500%, 02/10/2019		496		498
Ceridian, Extended Term Loan
5.948%, 05/09/2017		937		943
Charter Communications Operating LLC, Term Loan E
0.000%, 04/10/2020 (A)		1,075		1,068
Colfax, Refinanced Term Loan A1
2.449%, 01/19/2017		968		970
Colfax, Term Loan A1
2.448%, 01/19/2017		234		234
Commscope
3.750%, 01/14/2018		543		547
Community Health Systems, Term Loan B
3.787%, 01/25/2017		839		846
3.784%, 01/25/2017		22		23
CompuCom Systems, Term Loan B
4.250%, 05/07/2020		2,700		2,710
Constellation Brands, Term Loan B
0.000%, 05/01/2020 (A)		728		729
ConvaTec Dollar
5.000%, 12/22/2016		1,224		1,238
Cristal Inorganic Chemicals US
6.034%, 11/15/2014		333		333
Cumulus Media Holdings
0.000%, 09/16/2018 (A)		500		504
Cumulus Media Holdings, Term Loan
4.500%, 09/17/2018		1,703		1,717


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
DAE Aviation Holdings, Term Loan B1
6.250%, 11/02/2018	$	685	$	695
David’s Bridal
5.000%, 10/05/2019		2,095		2,107
Davita, Term Loan B2
4.000%, 11/01/2019		998		1,008
Del Monte Foods
4.000%, 03/08/2018		1,322		1,327
Dex Media West
7.250%, 10/24/2014		2,063		1,754
Digital Globe
3.750%, 01/25/2020		750		754
Doncaster PLC, Term Loan
5.500%, 04/09/2020		2,000		2,013
Dunkin Brands, Term Loan B3
5.000%, 02/14/2020		333		334
3.750%, 02/14/2020		349		351
DuPont Performance Coatings, Term Loan
4.750%, 02/01/2020		2,000		2,014
Eagle Parent
4.500%, 05/16/2018		1,388		1,404
Emergency Medical Services
4.000%, 05/25/2018		91		91
Emergency Medical Services, Initial Term Loan
4.000%, 04/27/2018		377		379
4.000%, 05/25/2018		769		773
Endurance International, 2nd Lien
10.250%, 05/09/2020		217		220
Endurance International, Term Loan, 1st Lien
6.250%, 11/06/2019		725		730
Energy Transfer Partners
3.750%, 03/24/2017		248		250
Entravision Communications, Term Loan B
0.000%, 05/29/2020 (A)		1,000		1,000
EP Energy LLC, Term Loan, Tranche 1
4.500%, 04/26/2019		500		504
Equinox Fitness Clubs, Term Loan B
4.500%, 01/31/2020		1,500		1,509
Essential Power LLC, Term Loan
4.500%, 08/08/2019		758		763
4.250%, 08/08/2019		10		10
Eze Castle Software LLC, Term Loan, 1st Lien
4.750%, 04/06/2020		526		534
Federal Mogul
2.138%, 12/29/2014		1,319		1,289
Federal Mogul, Term Loan C
2.138%, 12/28/2015		673		658


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
First Data, Term Loan
4.202%, 03/23/2018	$	1,436	$	1,430
Firth Rixson Ltd., Term Loan B
4.250%, 06/30/2017		499		501
Fortescue Metals Group Ltd.
5.250%, 10/18/2017		547		550
Freescale Semiconductor
5.000%, 02/13/2020		1,352		1,358
Generac Power Systems, Term Loan B
6.250%, 05/30/2018		570		570
0.000%, 05/10/2020 (A)		600		600
Genesys Telecom
4.000%, 02/08/2020		900		903
Genpact International, Term Loan B
4.250%, 08/17/2019		1,758		1,773
0.000%, 08/30/2019 (A)		234		236
Gibson Energy, Term Loan B
4.750%, 06/15/2018		1,980		2,003
Global Cash Access
7.000%, 02/01/2016		329		330
Gray Television, Term Loan B
4.750%, 10/12/2019		964		976
Grohe Holdings, Term Loan
6.750%, 05/18/2017		1,722		1,735
Guitar Center, Term Loan
5.540%, 04/09/2017		998		995
H.J. Heinz, Term Loan B2
0.000%, 03/27/2020 (A)		1,840		1,856
Harbor Freight Tools, Term Loan
5.500%, 11/14/2017		744		754
Harron Communications, Term Loan B
5.000%, 10/06/2017		585		590
HCA, Term Loan B2
3.534%, 03/31/2017		300		300
Hologic, Term Loan B
4.500%, 08/01/2019		496		499
Houghton International, Term Loan
4.000%, 12/20/2019		249		249
Hub International
3.694%, 06/13/2017		2,126		2,136
IMS Health
3.750%, 09/01/2017		2,066		2,076
Ineos Holdings Ltd., Cov-Lite
4.250%, 05/04/2018		2,026		2,025
Integra Telecom, Term Loan
6.000%, 02/22/2019		940		950
Intelesat Jackson Ltd., Term Loan B1
4.500%, 04/02/2018		742		746
Intelsat Bermuda, Term Loan
3.205%, 02/01/2014		373		373


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Inventiv Health, Incremental Term Loan B-3
7.750%, 05/15/2018	$	267	$	264
Inventiv Health, Term Loan B
7.500%, 08/04/2016		1,600		1,580
ION Trading Technologies Ltd., Term Loan
4.500%, 05/22/2020		640		645
ION Trading Technologies Ltd., Term Loan, Cov-Lite, 2nd Lien
0.000%, 05/21/2021 (A)		920		927
ISS A/S, Term Loan B
0.000%, 04/18/2018 (A)		277		279
J. Crew Group, Term Loan B
4.000%, 03/07/2018		1,975		1,981
JCPenney, Term Loan B, Cov-Lite, 1st Lien
6.000%, 05/21/2018		925		937
Kronos, Incremental Term Loan
4.500%, 10/30/2019		998		1,005
Lamar Media
4.000%, 12/30/2016		17		17
Language Line, Term Loan B
6.250%, 06/20/2016		454		449
Lawson Software, Term Loan B
5.250%, 04/05/2018		1,142		1,153
Leslie’s Poolmart, Term Loan B
5.250%, 10/16/2019		1,079		1,089
2.000%, 10/11/2019		18		—
Level 3 Communications
5.250%, 08/01/2019		2,000		2,026
Lifepoint Hospitals, Term Loan
2.710%, 07/24/2017		359		362
Light Tower Fiber, LLC
8.000%, 04/12/2021		1,000		1,018
4.500%, 04/13/2020		1,000		1,008
Live Nation Entertainment
4.500%, 11/07/2016		961		969
LPL Holdings, Term Loan B
0.000%, 03/29/2019 (A)		1,750		1,748
Mediacom Communications, Term Loan H
0.000%, 01/22/2021 (A)		1,150		1,150
MEG Energy
3.750%, 03/21/2020		640		644
MGM Resorts International, Term Loan B
4.250%, 12/20/2019		257		258
MGM Resorts International, Term Loan B1
4.250%, 12/20/2019		740		742
Michaels Stores
3.750%, 01/24/2020		915		919
Michaels Stores, Term Loan B
3.750%, 01/28/2020		585		588


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Midcontinent Communications, Term Loan B
4.000%, 12/31/2016	$	490	$	493
MTL Publishing, Term Loan B
4.250%, 06/29/2018		998		1,004
Navistar International
5.750%, 08/17/2017		2,563		2,611
NCI Building Maintenance LLC, Term Loan
8.000%, 05/02/2018		138		140
NCI Building Systems, Term Loan, 1st Lien
8.000%, 05/02/2018		718		729
NeimanMarcus Group
4.000%, 05/16/2018		1,241		1,240
Nelson Education, Term Loan B-1
2.784%, 07/04/2014		782		645
NEP Supershooters L.P., Term Loan
4.750%, 01/22/2020		449		454
NewPage, Term Loan
7.750%, 12/21/2018		2,095		2,137
Nielsen Finance LLC, CL E Dollar, Term Loan
2.949%, 05/02/2016		87		87
NRG Energy, Term Loan
3.250%, 07/01/2018		1,191		1,184
NRG Energy, Term Loan B
0.000%, 07/01/2018 (A)		250		248
NXP
4.500%, 03/03/2017		470		479
NXP Semiconductors, Incremental Term Loan C
4.750%, 01/10/2020		1,995		2,035
Ocwen Financial
5.000%, 02/15/2018		1,500		1,518
Penn National Gaming, Term Loan B
3.750%, 07/16/2018		468		470
PETCO Animal Supplies, Term Loan B
4.000%, 11/24/2017		1,500		1,513
Pilot Travel Centers, LLC, Term Loan Tranche B
4.250%, 08/07/2019		995		985
Pinnacle Foods Group LLC
3.250%, 04/29/2020		575		575
Pinnacle Foods Group LLC, Term Loan G, 3rd Lien
3.250%, 04/29/2020		1		1
Progressive Waste Solutions, Term Loan B
3.500%, 10/24/2019		150		151


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Proquest, Term Loan B
6.000%, 04/13/2018	$	495	$	497
PVH, Term Loan B, Tranche 1
3.250%, 02/13/2020		700		703
Quintiles Transnational, Term Loan B
4.500%, 06/08/2018		1,917		1,935
Raycom TV Broadcasting, Tranche B
4.250%, 05/31/2017		588		588
RE/MAX International
5.500%, 04/16/2016		663		667
Realogy, Extended Synthetic Term Loan
5.370%, 10/10/2016		89		89
Rice Drilling B LLC, Term Loan, 2nd Lien
8.500%, 10/25/2018		2,073		2,099
Rite Aid
4.000%, 02/07/2020		1,500		1,508
Riverbed Technology, Term Loan Tranche 1
4.000%, 12/13/2019		913		922
Roundy’s Supermarkets, Term Loan B
5.750%, 02/13/2019		989		969
Ruby Western Pipeline
3.500%, 03/22/2020		873		877
Ruby Western Pipeline Holdings, Term Loan
3.500%, 03/27/2020		127		128
Salem Communications, Term Loan B
4.500%, 03/12/2020		1,500		1,518
San Juan Cable Holdings, Term Loan B
6.000%, 06/09/2017		1,983		2,003
Schaeffler AG, Term Loan C, 1st Lien
4.250%, 01/20/2017		1,225		1,240
Sealed Air, Term Loan B
4.000%, 10/03/2018		705		713
Seaworld
4.000%, 05/30/2020		1,365		1,361
Seaworld Parks & Entertainment, Term Loan B
4.000%, 05/30/2020		387		385
Sedgwick CMS Holdings, Term Loan B
4.000%, 12/31/2016		1,090		1,102
Seminole Hard Rock Entertainment, Term Loan B
0.000%, 05/08/2020 (A)		1,000		1,002


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sensata Technologies
3.750%, 05/12/2018	$	346	$	349
Sequa, Term Loan B
5.250%, 06/19/2017		748		755
Serta Simmons Holdings, Term Loan B
5.000%, 10/01/2019		1,197		1,203
Sheridan Healthcare, Term Loan
4.500%, 06/29/2018		1,158		1,165
Sheridan Holdings, Term Loan
9.000%, 07/01/2019		250		253
Smart & Final, Cov-Lite Term Loan
5.750%, 11/08/2019		998		998
Smart Technologies
2.948%, 08/28/2014		471		443
Sophoros PLC
6.500%, 05/10/2019		1,244		1,250
Sprouts Farmers Markets LLC, Term Loan
4.500%, 04/23/2020		1,200		1,200
Standard Aero, Term Loan B2
6.250%, 11/02/2018		310		315
Starwood Property Trust, Term Loan B
3.500%, 04/17/2020		550		550
Sungard Data Systems (Solar Capital) Tranche 1
4.500%, 01/31/2020		299		303
SunGard Data Systems, Term Loan E
4.000%, 03/07/2020		1,916		1,940
Surgical Care Affiliates, LLC, Delayed Term Loan
0.000%, 06/29/2018 (A)		334		334
Surgical Care Affiliates, LLC, Term Loan B
4.284%, 12/29/2017		1,393		1,393
0.000%, 06/29/2018 (A)		791		794
Syniverse Holdings
5.000%, 04/20/2019		1,250		1,254
Teine Energy Ltd., Term Loan B
7.500%, 05/17/2019		1,667		1,671
Telesat Canada, Term Loan B
3.500%, 03/28/2019		399		401
Terex
4.500%, 04/28/2017		373		378
Texas Competitive
4.792%, 10/10/2017		284		205
4.699%, 10/10/2017		9		6
Texas Competitive, Extended Term Loan
4.700%, 10/10/2017		571		413
The Pantry, Term Loan B
5.750%, 08/03/2019		995		1,005


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
The Yankee Candle
5.250%, 04/02/2019	$	677	$	677
TI Automotive Ltd., Term Loan B
5.500%, 03/27/2019		1,012		1,020
Time Warner Telecom Holdings, Term Loan B
2.700%, 04/05/2020		389		390
Trans Union LLC, Term Loan
4.250%, 02/10/2019		582		585
Trans Union LLC, Term Loan B
0.000%, 02/10/2019 (A)		500		503
TransDigm
3.750%, 02/25/2020		986		996
Tribune Company, Term Loan Tranche 1
4.000%, 12/31/2019		1,197		1,209
Tronox, Term Loan B
4.500%, 02/03/2018		1,000		1,009
TWCC Holding Weather Channel, Term Loan B
3.500%, 02/13/2017		1,788		1,801
U.S. Telepacific, Term Loan
5.750%, 02/23/2017		982		980
Universal Health Services, Term Loan B
3.750%, 11/15/2016		210		211
Univision Communications, Extended Term Loan B
4.452%, 03/31/2017		955		955
Univision Communications, Extended Term Loan C-3
4.000%, 03/01/2020		900		893
Univision Communications, Term Loan B
4.750%, 02/22/2020		1,500		1,497
UPC Finance Partnership
3.250%, 06/10/2021		1,000		999
Valeant Pharmaceuticals
3.500%, 02/13/2019		149		150
Valeant Pharmaceuticals International
3.500%, 12/11/2019		1,995		2,006
Vanguard Health Systems, Term Loan B
3.750%, 01/29/2016		1,768		1,785
Verint Systems, Term Loan B, 1st Lien
4.000%, 09/16/2019		798		807
Virgin Media Investment, Term Loan B
0.000%, 02/15/2020 (A)		1,800		1,797
VWR Funding, Term Loan B
4.448%, 04/03/2017		398		400


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
VWR Funding, Term Loan B1
4.198%, 04/03/2017	$	1,571	$	1,584
Walter Energy, Term Loan B
5.750%, 04/02/2018		1,610		1,615
Warner Chilcott, Term Loan B1
4.250%, 03/15/2018		110		110
4.250%, 03/14/2018		252		253
Warner Chilcott, Term Loan B2
4.250%, 03/14/2018		89		90
Warner Chilcott, Term Loan B3
4.250%, 03/15/2018		198		199
Warner Music Group
0.000%, 04/24/2020 (A)		133		132
Warner Music Group, Delayed Term Loan
0.000%, 07/01/2020 (A)		859		854
Warner Music Group, Term Loan
3.750%, 07/01/2020		558		560
Waste Industries USA, Term Loan B
4.000%, 03/16/2017		1,379		1,398
WCA Waste
5.500%, 03/23/2018		495		497
WCA Waste Systems, Term Loan
4.000%, 03/23/2018		432		433
West
3.750%, 06/30/2018		841		847
West, Term Loan B
3.750%, 06/30/2018		2		2
0.000%, 06/30/2018 (A)		150		151
Wide Open West Finance
4.750%, 03/26/2019		721		726
Wide Open West Finance, LLC
0.000%, 03/26/2019 (A)		210		211
Windstream, Term Loan B4
3.500%, 01/23/2020		1,995		2,001
WP Prism, (Bausch & Lomb), Term Loan, 1st Lien
6.250%, 05/31/2018		2,250		2,254
Zayo Group, Term Loan B
4.500%, 07/02/2019		3,006		3,024

Total Loan Participations (Cost $221,046) ($ Thousands)				222,423


CORPORATE OBLIGATIONS — 5.0%

Consumer Discretionary — 0.3%
Amazon.com
0.650%, 11/27/2015		150		150
Cedar Fair L.P.
5.250%, 03/15/2021 (B)		650		650
Comcast
5.850%, 11/15/2015		100		112


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Glencore Funding LLC
1.431%, 05/27/2016 (B) (C)	$	400	$	400
Maytag MTN
6.450%, 08/15/2014		350		373
Newell Rubbermaid
2.000%, 06/15/2015		125		127
Sirius XM Radio
4.250%, 05/15/2020 (B)		400		392
Target
0.447%, 07/18/2014 (C)		200		200
Thomson Reuters
0.875%, 05/23/2016		400		398
Viacom
1.250%, 02/27/2015		95		95
Volkswagen International Finance
0.874%, 11/20/2014 (B) (C)		300		301
Walt Disney MTN
0.450%, 12/01/2015		200		200

				3,398


Consumer Staples — 0.5%
AbbVie
1.033%, 11/06/2015 (B) (C)		125		126
Anheuser-Busch InBev Worldwide
0.800%, 07/15/2015		100		100
0.637%, 07/14/2014 (C)		100		100
BAT International Finance
1.400%, 06/05/2015 (B)		300		303
Bottling Group LLC
6.950%, 03/15/2014		250		263
Ceridian
8.875%, 07/15/2019 (B)		475		542
Coca-Cola Enterprises
2.125%, 09/15/2015		325		333
ConAgra Foods
1.300%, 01/25/2016		175		176
Costco Wholesale
0.650%, 12/07/2015		225		226
Elizabeth Arden
7.375%, 03/15/2021		100		111
ERAC USA Finance LLC
1.400%, 04/15/2016 (B)		300		300
General Mills
0.576%, 01/29/2016 (C)		300		300
Heineken
0.800%, 10/01/2015 (B)		75		75
Kellogg
0.505%, 02/13/2015 (C)		300		301
Kraft Foods Group
1.625%, 06/04/2015		125		127
Michael Foods Holding PIK
8.500%, 07/15/2018 (B)		220		232
PepsiCo
0.800%, 08/25/2014		120		121


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Reynolds American
1.050%, 10/30/2015	$	50	$	50
Reynolds Group Issuer
6.875%, 02/15/2021		185		197
5.750%, 10/15/2020		415		421
SABMiller Holdings
1.850%, 01/15/2015 (B)		300		305

				4,709


Energy — 0.6%
Atlas Pipeline Partners
4.750%, 11/15/2021 (B)		1,400		1,365
BP Capital Markets
0.785%, 05/10/2018 (C)		400		401
Canadian Natural Resources
5.700%, 05/15/2017		150		173
Energy Transfer Equity
7.500%, 10/15/2020		500		574
Kinder Morgan Energy Partners
5.000%, 12/15/2013		186		190
MEG Energy
6.375%, 01/30/2023 (B)		1,000		1,025
Petrobras Global Finance BV
1.894%, 05/20/2016 (C)		350		353
Sabine Pass Liquefaction LLC
5.625%, 02/01/2021 (B)		1,400		1,405
Total Capital Canada
0.657%, 01/15/2016 (C)		130		131
TransCanada PipeLines
0.750%, 01/15/2016		250		249
Western Refining
6.250%, 04/01/2021 (B)		185		191

				6,057


Financials — 1.7%
American Express
0.863%, 05/22/2018 (C)		300		300
American Honda Finance
0.648%, 05/26/2016 (B) (C)		300		300
American International Group
4.250%, 09/15/2014		150		156
Australia & New Zealand Banking Group NY
0.835%, 05/15/2018 (C)		250		250
Bank of America
1.500%, 10/09/2015		200		201
1.250%, 01/11/2016		200		199
1.104%, 03/22/2016 (C)		150		150
Bank of Montreal MTN
0.879%, 04/09/2018 (C)		350		352
Bank of New York Mellon MTN
3.100%, 01/15/2015		140		146
0.714%, 03/06/2018 (C)		325		325


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bank of Nova Scotia
0.950%, 03/15/2016	$	400	$	401
BB&T
0.976%, 04/28/2014 (C)		125		126
Berkshire Hathaway Finance
0.609%, 01/10/2014 (C)		300		301
BPCE MTN
1.526%, 04/25/2016 (C)		275		277
Canadian Imperial Bank of Commerce
0.900%, 10/01/2015		125		125
Capital One
0.734%, 03/22/2016 (C)		350		350
Capital One Financial
2.150%, 03/23/2015		150		153
Caterpillar Financial Services MTN
1.375%, 05/20/2014		95		96
Citigroup
4.875%, 05/07/2015		225		239
0.551%, 06/09/2016 (C)		150		146
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA
0.760%, 03/18/2016 (C)		400		401
Credit Suisse NY
2.200%, 01/14/2014		300		303
Daimler Finance North America LLC
1.250%, 01/11/2016 (B)		200		200
0.879%, 01/09/2015 (B) (C)		200		201
Ford Motor Credit LLC
1.525%, 05/09/2016 (C)		250		251
General Electric Capital
1.145%, 05/09/2016 (C)		150		152
1.000%, 12/11/2015		125		126
1.000%, 01/08/2016		100		100
0.994%, 04/02/2018 (C)		275		277
General Motors Financial
3.250%, 05/15/2018 (B)		343		340
Goldman Sachs Group MTN
1.600%, 11/23/2015		150		152
1.476%, 04/30/2018 (C)		350		352
Hartford Financial Services Group
4.625%, 07/15/2013		306		307
HSBC Bank
0.915%, 05/15/2018 (B) (C)		200		199
HSBC USA
2.375%, 02/13/2015		150		154
Hyundai Capital America
1.625%, 10/02/2015 (B)		35		35
ING Bank
1.675%, 06/09/2014 (B) (C)		350		354
International Lease Finance
6.500%, 09/01/2014 (B)		200		212
Intesa Sanpaolo
3.125%, 01/15/2016		200		199


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
John Deere Capital
0.950%, 06/29/2015	$	150	$	151
JPMorgan Chase
1.176%, 01/25/2018 (C)		200		202
0.893%, 02/26/2016 (C)		125		125
JPMorgan Chase Capital XXI
1.223%, 02/02/2037 (C)		250		200
MassMutual Global Funding II
0.657%, 01/14/2014 (B) (C)		350		351
Metropolitan Life Global Funding I
1.700%, 06/29/2015 (B)		175		178
1.500%, 01/10/2018 (B)		260		258
Monumental Global Funding
0.477%, 01/15/2014 (B) (C)		230		230
Morgan Stanley
1.523%, 02/25/2016 (C)		300		301
National Rural Utilities Cooperative Finance MTN
0.356%, 02/18/2014 (C)		250		250
New York Life Global Funding
0.542%, 04/04/2014 (B) (C)		300		301
Nordea Bank
0.735%, 05/13/2016 (B) (C)		350		350
PACCAR Financial MTN
0.545%, 02/08/2016 (C)		250		251
PNC Bank
0.800%, 01/28/2016		250		250
Principal Life Global Funding II
1.000%, 12/11/2015 (B)		95		95
0.643%, 05/27/2016 (B) (C)		290		290
Reinsurance Group of America
5.625%, 03/15/2017		200		224
RHP Hotel Properties‡
5.000%, 04/15/2021 (B)		435		442
Royal Bank of Canada MTN
0.645%, 03/08/2016 (C)		300		300
0.510%, 01/06/2015 (C)		250		250
Royal Bank of Scotland Group
2.550%, 09/18/2015		55		56
Simon Property Group‡
6.750%, 05/15/2014		200		208
Standard Chartered
1.225%, 05/12/2014 (B) (C)		200		202
Svenska Handelsbanken
0.732%, 03/21/2016 (C)		350		351
Toronto-Dominion Bank MTN
0.577%, 07/14/2014 (C)		105		105
0.453%, 05/01/2015 (C)		250		250
Toyota Motor Credit
0.564%, 05/17/2016 (C)		100		100
UBS MTN
5.875%, 07/15/2016		250		280
Unitrin
6.000%, 05/15/2017		110		121


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ventas Realty‡
3.125%, 11/30/2015	$	150	$	158
Volkswagen International Finance
1.625%, 08/12/2013 (B)		100		100
Wells Fargo
1.500%, 07/01/2015		300		304
0.906%, 04/23/2018 (C)		350		352
Westpac Banking
0.526%, 01/29/2015 (B) (C)		250		250

				16,744


Health Care — 0.2%
Alere
6.500%, 06/15/2020 (B)		1,200		1,206
Biomet
6.500%, 08/01/2020 (B)		375		395
Express Scripts Holding
2.750%, 11/21/2014		300		308
McKesson
0.950%, 12/04/2015		80		80
Sanofi
0.594%, 03/28/2014 (C)		75		75
UnitedHealth Group
0.398%, 08/28/2014 (C)		300		301
WellPoint
1.250%, 09/10/2015		41		41

				2,406


Industrials — 0.3%
Ardagh Packaging Finance
4.875%, 11/15/2022 (B)		1,000		998
Caterpillar
1.375%, 05/27/2014		100		101
Clean Harbors
5.250%, 08/01/2020		900		938
Danaher
1.300%, 06/23/2014		160		161
Packaging Dynamics
8.750%, 02/01/2016 (B)		600		628
Penske Truck Leasing
2.500%, 07/11/2014 (B)		15		15
Pentair Finance
1.350%, 12/01/2015		80		80
Precision Castparts
0.700%, 12/20/2015		80		80

				3,001


Information Technology — 0.4%
Brocade Communications Systems
4.625%, 01/15/2023 (B)		750		739
Hewlett-Packard
0.673%, 05/30/2014 (C)		175		175
iGATE
9.000%, 05/01/2016		1,315		1,414


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Western Union
2.375%, 12/10/2015	$	30	$	30
WEX
4.750%, 02/01/2023 (B)		1,000		997
Xerox
1.094%, 05/16/2014 (C)		160		160

				3,515


Materials — 0.5%
E.I. du Pont de Nemours
0.704%, 03/25/2014 (C)		70		70
FMG Resources
8.250%, 11/01/2019 (B)		1,000		1,055
6.875%, 02/01/2018 (B)		500		509
Hecla Mining
6.875%, 05/01/2021 (B)		965		934
Hexion US Finance
6.625%, 04/15/2020 (B)		1,818		1,890
Walter Energy
8.500%, 04/15/2021 (B)		250		251
Yara International
5.250%, 12/15/2014 (B)		100		106

				4,815


Telecommunication Services — 0.5%
AT&T
0.800%, 12/01/2015		150		150
0.660%, 02/12/2016 (C)		250		250
Cequel Communications Holdings I LLC
6.375%, 09/15/2020 (B)		875		915
Cincinnati Bell
8.750%, 03/15/2018		1,000		1,025
DIRECTV Holdings LLC
3.550%, 03/15/2015		300		313
Hughes Satellite Systems
6.500%, 06/15/2019		250		273
Intelsat Luxembourg
7.750%, 06/01/2021 (B)		650		683
NBCUniversal Enterprise
0.965%, 04/15/2018 (B) (C)		400		404
Softbank
4.500%, 04/15/2020 (B)		751		762

				4,775


Utilities — 0.0%
DTE Energy
0.987%, 06/03/2013 (C)		76		76
Georgia Power
1.300%, 09/15/2013		150		150

				226

Total Corporate Obligations (Cost $49,339) ($ Thousands)				49,646


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

ASSET-BACKED SECURITIES — 2.7%

Automotive — 1.6%
Ally Auto Receivables Trust, Ser 2009-B, Cl A4
3.050%, 12/15/2014 (B)	$	71	$	71
Ally Auto Receivables Trust, Ser 2010-2, Cl A4
2.090%, 05/15/2015		84		85
Ally Auto Receivables Trust, Ser 2010-5, Cl B
2.450%, 06/15/2016 (B)		85		87
Ally Auto Receivables Trust, Ser 2011-1, Cl A4
2.230%, 03/15/2016		200		203
Ally Auto Receivables Trust, Ser 2011-5, Cl A3
0.990%, 11/16/2015		282		283
Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/2014		18		18
Ally Auto Receivables Trust, Ser 2012-4, Cl A3
0.590%, 01/17/2017		101		101
Ally Auto Receivables Trust, Ser 2012-SN1, Cl A4
0.700%, 12/21/2015		75		75
Ally Auto Receivables Trust, Ser 2013-1, Cl A3
0.630%, 05/15/2017		450		449
Ally Auto Receivables Trust, Ser 2013-SN1, Cl A3
0.720%, 05/20/2016		135		135
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A
1.640%, 11/15/2016 (B)		128		128
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/2015		180		181
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/2017		43		44
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/2016		86		86
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/2015		7		7


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3
0.620%, 06/08/2017	$	125	$	125
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2
0.490%, 06/08/2016		390		390
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A3
0.650%, 12/08/2017		260		260
ARI Fleet Lease Trust, Ser 2012-A, Cl A
0.749%, 03/15/2020 (B) (C)		59		59
ARI Fleet Lease Trust, Ser 2013-A, Cl A2
0.700%, 12/15/2015 (B)		175		175
Avis Budget Rental Car Funding, Ser 2010-2A, Cl A
3.630%, 08/20/2014 (B)		50		50
Bank of America Auto Trust, Ser 2012-1, Cl A3
0.780%, 06/15/2016		50		50
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3
0.760%, 08/25/2015		115		115
CarMax Auto Owner Trust, Ser 2009-2, Cl A4
2.820%, 12/15/2014		114		115
CarMax Auto Owner Trust, Ser 2011-3, Cl B
2.170%, 07/17/2017		150		154
CarMax Auto Owner Trust, Ser 2012-1, Cl A3
0.890%, 09/15/2016		45		45
CarMax Auto Owner Trust, Ser 2012-3, Cl A3
0.520%, 07/17/2017		75		75
CarMax Auto Owner Trust, Ser 2012-3, Cl C
1.500%, 08/15/2018		55		55
CarMax Auto Owner Trust, Ser 2013-1, Cl A2
0.420%, 03/15/2016		105		105
CFC LLC, Ser 2013-1A, Cl A
1.650%, 07/17/2017 (B)		60		60
Credit Acceptance Auto Loan Trust, Ser 2011-1, Cl A
2.610%, 03/15/2019 (B)		250		253
Credit Acceptance Auto Loan Trust, Ser 2012-1A, Cl A
2.200%, 09/16/2019 (B)		460		466


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Enterprise Fleet Financing LLC, Ser 2012-1, Cl A2
1.140%, 11/20/2017 (B)	$	239	$	240
Enterprise Fleet Financing LLC, Ser 2012-2, Cl A2
0.720%, 04/20/2018 (B)		250		250
Enterprise Fleet Financing LLC, Ser 2013-1, Cl A2
0.680%, 09/20/2018 (B)		280		280
Fifth Third Auto Trust, Ser 2013-A, Cl A2
0.450%, 01/15/2016		305		305
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2
0.900%, 10/15/2018 (B)		145		145
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A4
1.420%, 01/15/2015		150		151
Ford Credit Auto Lease Trust, Ser 2012-B, Cl A2
0.540%, 11/15/2014		100		100
Ford Credit Auto Lease Trust, Ser 2013-A, Cl A2
0.460%, 05/15/2015		360		360
Ford Credit Auto Owner Trust, Ser 2009-D, Cl A4
2.980%, 08/15/2014		22		22
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3
0.840%, 06/15/2015		61		61
Ford Credit Auto Owner Trust, Ser 2012-A, Cl B
1.880%, 08/15/2017		175		179
Ford Credit Auto Owner Trust, Ser 2013-A, Cl A2
0.380%, 11/15/2015		150		150
Ford Credit Floorplan Master Owner Trust, Ser 2010-5, Cl A1
1.500%, 09/15/2015		200		201
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.669%, 01/15/2016 (C)		150		150
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A
1.920%, 01/15/2019		175		179
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1
0.740%, 09/15/2016		125		125
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2
0.549%, 09/15/2016 (C)		120		120
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2
0.579%, 01/15/2018 (C)		195		195


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A
0.768%, 02/20/2017 (C)	$	350	$	352
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A
0.688%, 06/20/2017 (C)		115		116
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/2016		133		134
Harley-Davidson Motorcycle Trust, Ser 2012-1, Cl A3
0.680%, 04/15/2017		175		175
Harley Davidson Motorcycle Trust, Ser 2013-1, Cl A3
0.650%, 07/16/2018		300		299
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/2016 (B)		150		153
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/2015		46		47
Honda Auto Receivables Owner Trust, Ser 2012-4, Cl A3
0.520%, 08/18/2016		110		110
Huntington Auto Trust, Ser 2012-2, Cl A3
0.510%, 04/17/2017		110		110
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A3
0.920%, 08/17/2015 (B)		350		351
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A4
1.050%, 04/17/2017 (B)		300		302
Hyundai Auto Receivables Trust, Ser 2011-A, Cl B
2.450%, 04/15/2016		70		72
Hyundai Auto Receivables Trust, Ser 2011-B, Cl B
2.270%, 02/15/2017		130		133
Hyundai Auto Receivables Trust, Ser 2012-B, Cl A3
0.620%, 09/15/2016		50		50
Hyundai Auto Receivables Trust, Ser 2012-C, Cl A3
0.530%, 04/17/2017		125		125
Hyundai Auto Receivables Trust, Ser 2013-A, Cl A2
0.400%, 12/15/2015		300		300
Mercedes-Benz Auto Lease Trust, Ser 2013-A, Cl A3
0.590%, 02/15/2016		290		290
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3
0.470%, 10/17/2016		260		260


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Mercedes-Benz Master Owner Trust, Ser 2012-BA, Cl A
0.469%, 11/15/2016 (B) (C)	$	150	$	150
MMCA Auto Owner Trust, Ser 2012-A, Cl A2
0.810%, 08/15/2014 (B)		22		22
Nissan Auto Lease Trust, Ser 2011-A, Cl A3
1.040%, 08/15/2014		116		116
Nissan Auto Lease Trust, Ser 2013-A, Cl A2A
0.450%, 09/15/2015		300		300
Nissan Auto Receivables Owner Trust, Ser 2011-B, Cl A3
0.950%, 02/16/2016		85		85
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A3
0.460%, 10/17/2016		125		125
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A2
0.370%, 09/15/2015		200		200
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A3
0.500%, 05/15/2017		150		150
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.669%, 05/15/2017 (C)		225		226
Porsche Innovative Lease Owner Trust, Ser 2011-1, Cl A4
1.260%, 11/20/2017 (B)		170		171
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3
0.540%, 12/21/2015 (B)		126		126
Prestige Auto Receivables Trust, Ser 2013-1A, Cl A2
1.090%, 02/15/2018 (B)		250		250
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl C
3.890%, 07/17/2017		220		226
Santander Drive Auto Receivables Trust, Ser 2011-3, Cl B
2.500%, 12/15/2015		150		152
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/2015		29		29
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2
0.830%, 04/15/2015		238		238
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3
0.830%, 12/15/2016		128		128
Santander Drive Auto Receivables Trust, Ser 2013-1, Cl A2
0.480%, 02/16/2016		175		175


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl A3
0.700%, 09/15/2017	$	350	$	350
SNAAC Auto Receivables Trust, Ser 2013-1A
1.140%, 07/16/2018 (B)		155		155
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A3
0.750%, 02/16/2016		100		100
Toyota Auto Receivables Owner Trust, Ser 2012-B, Cl A3
0.460%, 07/15/2016		300		300
Toyota Auto Receivables Owner Trust, Ser 2013-A, Cl A3
0.550%, 01/17/2017		70		70
Volkswagen Auto Lease Trust, Ser 2012-A, Cl A3
0.870%, 07/20/2015		65		65
Volkswagen Auto Loan Enhanced Trust, Ser 2011-1, Cl A4
1.980%, 09/20/2017		190		194
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2
0.610%, 10/20/2014		9		9
Volkswagen Auto Loan Enhanced Trust, Ser 2013-1, Cl A2
0.370%, 01/20/2016		230		230
World Omni Auto Receivables Trust, Ser 2012-A, Cl A3
0.640%, 02/15/2017		41		41
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A4
1.780%, 09/15/2016		135		136
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3
0.930%, 11/16/2015		20		20
World Omni Master Owner Trust, Ser 2013-1, Cl A
0.549%, 02/15/2018 (B) (C)		105		105

				15,741


Credit Cards — 0.3%
American Express Credit Account Master Trust, Ser 2007-2, Cl B
0.379%, 09/15/2016 (C)		245		245
American Express Credit Account Master Trust, Ser 2012-2, Cl B
0.990%, 03/15/2018		100		100
Capital One Multi-Asset Execution Trust, Ser 2013-A2, Cl A2
0.379%, 02/15/2019 (C)		325		325


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Chase Issuance Trust, Ser 2012-A5, Cl A5
0.590%, 08/15/2017	$	225	$	225
Citibank Omni Master Trust, Ser 2009-A13, Cl A13
5.350%, 08/15/2018 (B)		250		264
Citibank Omni Master Trust, Ser 2009-A14A, Cl A14
2.949%, 08/15/2018 (B) (C)		300		309
Discover Card Execution Note Trust, Ser 2013-A3, Cl A3
0.378%, 10/15/2018 (C)		325		325
Dryrock Issuance Trust, Ser 2012-2, Cl A
0.640%, 08/15/2018		350		349
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A
0.950%, 06/15/2018		120		120
Golden Credit Card Trust, Ser 2012-5A, Cl A
0.790%, 09/15/2017 (B)		125		125
Gracechurch Card Funding, Ser 2012-1A, Cl A1
0.899%, 02/15/2017 (B) (C)		250		252
Gracechurch Card Funding, Ser 2012-4A, Cl A
0.899%, 06/15/2017 (B) (C)		250		252

				2,891


Other Asset-Backed Securities — 0.8%
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
0.533%, 01/25/2035 (C)		171		168
Ally Master Owner Trust, Ser 2011-3, Cl A1
0.829%, 05/15/2016 (C)		340		341
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/2016		250		253
Ally Master Owner Trust, Ser 2012-3, Cl A2
1.210%, 06/15/2017		110		111
Ally Master Owner Trust, Ser 2013-1, Cl A1
0.649%, 02/15/2018 (C)		125		125
Ally Master Owner Trust, Ser 2013-2, Cl A
0.649%, 04/15/2018 (C)		400		400
Apidos CLO XII, Ser 2013-12A
1.373%, 04/15/2025 (B) (C)		500		500
Babson CLO, Ser 2013-IA, Cl A
1.312%, 04/20/2025 (B) (C)		350		350
CIFC Funding, Ser 2013-1A, Cl A1
1.432%, 04/16/2025 (B) (C)		265		265


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/2015	$	119	$	119
CNH Equipment Trust, Ser 2011-C, Cl A3
1.190%, 12/15/2016		245		246
CNH Equipment Trust, Ser 2012-A, Cl A3
0.940%, 05/15/2017		536		538
CNH Equipment Trust, Ser 2012-B, Cl A3
0.860%, 09/15/2017		55		55
CNH Equipment Trust, Ser 2012-C, Cl A3
0.570%, 12/15/2017		70		70
CNH Equipment Trust, Ser 2013-A, Cl A2
0.440%, 07/15/2016		195		195
GE Equipment Midticket LLC, Ser 2011-1, Cl A3
1.000%, 08/24/2015		302		303
GE Equipment Midticket LLC, Ser 2012-1, Cl A3
0.600%, 05/23/2016		70		70
GE Equipment Small Ticket LLC, Ser 2012-1A, Cl A2
0.850%, 11/21/2014 (B)		131		131
GE Equipment Transportation LLC, Ser 2012-1, Cl A3
0.990%, 11/23/2015		321		322
GE Equipment Transportation LLC, Ser 2012-2, Cl A2
0.470%, 04/24/2015		250		250
GE Equipment Transportation LLC, Ser 2012-2, Cl A3
0.620%, 07/25/2016		335		335
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A2
1.990%, 10/15/2045 (B)		185		189
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A1
0.898%, 01/15/2044 (B)		495		495
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A2
1.495%, 01/16/2046 (B)		101		102
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T2, Cl A2
1.147%, 05/16/2044 (B)		105		105
John Deere Owner Trust 2013, Ser 2013-A, Cl A3
0.600%, 03/15/2017		450		449


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
John Deere Owner Trust, Ser 2012-B, Cl A3
0.530%, 07/15/2016	$	160	$	160
MMAF Equipment Finance LLC, Ser 2012-AA, Cl A2
0.840%, 01/12/2015 (B)		158		158
Octagon Investment Partners XVI, Ser 2013-1A, Cl A
1.425%, 07/17/2025 (B) (C)		300		300
OHA Credit Partners VIII, Ser 2013-8A, Cl A
1.395%, 04/20/2025 (B) (C)		200		199
OHA Intrepid Leveraged Loan Fund, Ser 2013-1AR, Cl AR
1.196%, 04/20/2021 (B) (C)		350		350
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.049%, 12/16/2024 (B) (C)		80		81
Volvo Financial Equipment LLC, Ser 2013-1A
0.740%, 03/15/2017 (B)		290		290

				8,025

Total Asset-Backed Securities (Cost $26,671) ($ Thousands)				26,657


MORTGAGE-BACKED SECURITIES — 1.4%

Agency Mortgage-Backed Obligations — 0.8%
FHLMC TBA
2.500%, 06/15/2027		500		510
FNMA
6.000%, 09/01/2039 to 04/01/2040		282		307
FNMA TBA
3.500%, 06/01/2042		450		466
3.000%, 06/25/2027		2,700		2,809
2.500%, 06/25/2027		2,300		2,347
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.653%, 10/07/2020 (C)		228		229
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 2A
0.758%, 12/08/2020 (C)		601		608
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.648%, 01/08/2020 (C)		368		369
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.600%, 02/06/2020 (C)		589		592
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A
0.583%, 05/07/2020 (C)		34		34

				8,271


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

Non-Agency Mortgage-Backed Obligations — 0.6%
Banc of America Funding, Ser 2005-F, Cl 4A1
3.076%, 09/20/2035 (C)	$	297	$	254
Banc of America Funding, Ser 2006-D, Cl 3A1
3.017%, 05/20/2036 (C)		220		197
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1
2.945%, 02/25/2035 (C)		120		119
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW10, Cl A4
5.405%, 12/11/2040 (C)		200		218
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1
0.685%, 09/10/2045		97		97
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.299%, 12/15/2020 (B) (C)		3		3
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1
3.156%, 07/10/2046 (B)		204		213
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR1, Cl A1
1.116%, 05/15/2045		184		185
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl A1
0.704%, 10/15/2045		96		96
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR5, Cl A1
0.673%, 12/10/2045		112		111
Commercial Mortgage Pass-Through Certificates, Ser CR2, Cl A1
0.824%, 08/15/2045		73		73
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (B)		119		127
GS Mortgage Securities II, Ser 2004-GG2, Cl A5
5.279%, 08/10/2038 (C)		41		41
GS Mortgage Securities II, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (B)		117		126
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1
0.662%, 11/10/2045		68		68


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/2043 (B)	$	117	$	123
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C2, Cl A1
2.749%, 11/15/2043 (B)		187		194
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/2046 (B)		60		60
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A1
1.600%, 08/15/2046		106		107
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-LC9, Cl A1
0.670%, 12/15/2047		61		61
JPMorgan Chase Commercial Mortgage Securities, Ser C8, Cl A1
0.705%, 10/15/2045		50		50
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2
4.903%, 10/15/2042		101		102
JPMorgan Mortgage Trust,
Ser 2007-A4, Cl 1A1
2.887%, 06/25/2037 (C)		179		147
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
2.785%, 07/25/2035 (C)		234		207
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A5
5.110%, 06/15/2040 (C)		86		89
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051		127		125
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A
1.270%, 06/25/2058 (B) (C)		224		225
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1
0.726%, 08/10/2049		110		110
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4
0.673%, 12/10/2045		80		79
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5
0.779%, 03/10/2046		263		262


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl A4
5.012%, 12/15/2035 (C)	$	135	$	136
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/2042		145		154
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4
5.239%, 10/15/2044 (C)		131		141
Wachovia Bank Commercial Mortgage Trust, Ser C22
5.290%, 12/15/2044 (C)		225		245
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4
2.521%, 12/25/2035 (C)		239		223
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1
0.687%, 10/15/2045		112		112
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/2044 (B)		67		68
WFRBS Commercial Mortgage Trust, Ser 2012-C6, Cl A1
1.081%, 04/15/2045		391		393
WFRBS Commercial Mortgage Trust, Ser C9, Cl A1
0.673%, 11/15/2045		113		113

				5,454

Total Mortgage-Backed Securities (Cost $13,983) ($ Thousands)				13,725


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8%
FHLB
4.875%, 12/13/2013		400		410
0.300%, 12/12/2013		750		751
0.140%, 05/20/2014		400		400
FHLMC
1.000%, 08/20/2014 to 10/13/2015		4,000		4,031
0.450%, 01/09/2014		500		501
FNMA
0.750%, 12/18/2013		550		552
0.550%, 02/27/2015		1,000		1,002
NCUA Guaranteed Notes
0.219%, 06/12/2013 (C)		260		260

Total U.S. Government Agency Obligations (Cost $7,908) ($ Thousands)				7,907


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

MUNICIPAL BONDS — 0.1%
Florida State, Hurricane Catastrophe Fund Finance, Ser A, RB
1.298%, 07/01/2016	$	345	$	345
New Jersey State, Economic Development Authority, Ser 00, RB
1.059%, 03/01/2016		285		284
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC
4.252%, 01/01/2016		150		154
North Carolina State, Eastern Municipal Power Agency, Ser C, RB
4.430%, 01/01/2014		150		153
Oregon State, School Boards Association, Ser A, GO, NATL-RE FGIC
0.000%, 06/30/2015		125		123

Total Municipal Bonds (Cost $1,060) ($ Thousands)				1,059


AFFILIATED PARTNERSHIP — 62.1%
SEI LIBOR Plus Portfolio†**		81,400,036		619,454

Total Affiliated Partnership (Cost $623,484) ($ Thousands)				619,454


CASH EQUIVALENT — 6.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%*†		68,421,403		68,421

Total Cash Equivalent (Cost $68,421) ($ Thousands)				68,421

Total Investments — 101.3% (Cost $1,011,912) ($ Thousands)			$	1,009,292

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contracts	Number of Contract Short			Expiration Date		Unrealized Appreciation ($ Thousands)
U.S. 10-Year Treasury Note		(27	)		Sep-2013	$	2
U.S. 2-Year Treasury Note		(12	)		Sep-2013		1
U.S. 5-Year Treasury Note		(5	)		Oct-2013		—
U.S. Long Treasury Bond		(1	)		Sep-2013		—

						$	3

Percentages are based on a Net Assets of $996,522 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated security (see Note 5).

‡

Real Estate Investment Trust.

(1)

Effective January 1, 2013 the SIIT Enhanced Libor Opportunities Fund was renamed the SIIT Opportunistic Income Fund.

(A)

Unsettled bank loan. Interest rate not available.

(B)

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

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2013. The date reported on the Schedule of Investments is the final maturity date.

The Fund’s investment in the SEI LIBOR Plus Portfolio, a portfolio of the SEI Alpha Strategy Portfolios, LP represents greater than 50% of the Fund’s total investments. The SEI LIBOR Plus Portfolio seeks to maximize total return consistent with the preservation of capital and prudent investment management. For further financial information, available upon request at no charge, on the SEI LIBOR Plus Portfolio please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.

AMBAC — American Municipal Bond Assurance Corporation

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FGIC — Federal Guaranty Company

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

LLC — Limited Liability Company

Ltd. — Limited

MTN — Medium Term Note

NATL-RE — National Public Finance Guarantee Corporation

NCUA — National Credit Union Association

PIK — Payment-in-Kind

PLC — Public Limited Company

RB — Revenue Bond

Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

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

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Loan Participations	$	—	$	222,423	$	—	$	222,423
Corporate Obligations		—		49,646		—		49,646
Asset-Backed Securities		—		26,657		—		26,657
Mortgage-Backed Securities		—		13,725		—		13,725
U.S. Government Agency Obligations		—		7,907		—		7,907
Municipal Bonds		—		1,059		—		1,059
Affiliated Partnership		619,454		—		—		619,454
Cash Equivalent		68,421		—		—		68,421

Total Investments in Securities	$	687,875	$	321,417	$	—	$	1,009,292


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

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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

LOGO


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

MORTGAGE-BACKED SECURITIES — 42.4%

Agency Mortgage-Backed Obligations — 34.8%
FHLMC
11.000%, 02/17/2021	$	671	$	695
10.000%, 03/17/2026 to 10/01/2030		1,958		2,218
8.000%, 06/01/2030		4		5
7.500%, 08/01/2030 to 09/01/2038		1,576		1,874
7.000%, 11/01/2015 to 03/01/2039		796		925
6.500%, 06/01/2017 to 09/01/2039		7,750		8,695
6.000%, 04/01/2017 to 08/01/2038		15,215		16,629
5.625%, 11/23/2035		1,581		1,735
5.500%, 12/01/2013 to 01/01/2039		43,698		47,412
5.000%, 02/01/2019 to 04/01/2042		44,033		48,165
4.500%, 07/01/2026 to 11/01/2042		18,836		20,442
4.000%, 10/01/2025 to 04/01/2043		63,636		68,411
3.500%, 12/01/2025 to 05/01/2043		38,968		40,637
3.000%, 07/01/2032 to 04/01/2043		20,978		21,013
2.234%, 10/01/2036 (A)		936		998
0.500%, 09/14/2015		8,600		8,594
0.100%, 12/18/2013		590		590
FHLMC ARM (A)
6.396%, 12/01/2036		102		109
6.378%, 02/01/2037		129		139


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.340%, 11/01/2037	$	219	$	238
6.133%, 09/01/2036		120		128
6.101%, 11/01/2036		298		317
6.012%, 04/01/2037		56		60
6.007%, 02/01/2037		160		171
5.769%, 04/01/2038		202		217
5.565%, 06/01/2037		377		407
5.542%, 05/01/2036		396		423
5.055%, 07/01/2036		411		445
4.989%, 01/01/2035		169		183
3.344%, 05/01/2036		414		441
3.287%, 05/01/2037		1,271		1,357
3.268%, 12/01/2036		250		268
3.152%, 03/01/2037		250		267
3.131%, 11/01/2036		394		419
3.069%, 11/01/2036		164		176
3.054%, 03/01/2037		484		517
2.981%, 04/01/2037		110		118
2.976%, 12/01/2036		479		511
2.968%, 04/01/2037		592		632
2.936%, 05/01/2037		316		339
2.914%, 05/01/2037		578		622
2.864%, 09/01/2036		782		838
2.851%, 09/01/2036		320		340
2.836%, 05/01/2037		168		178
2.815%, 05/01/2038		490		526
2.756%, 10/01/2036		1,365		1,469
2.727%, 01/01/2037		1,336		1,420
2.725%, 09/01/2036		3,722		3,995
2.723%, 12/01/2036		575		617
2.714%, 10/01/2036		140		150
2.674%, 05/01/2037		440		472
2.671%, 08/01/2037		1,295		1,388
2.640%, 11/01/2036		403		430
2.620%, 12/01/2036		793		847
2.610%, 02/01/2037		868		923
2.590%, 10/01/2036		702		747
2.554%, 10/01/2037		639		680
2.370%, 05/01/2036		311		333
2.258%, 04/01/2037		227		240
2.247%, 08/01/2036		1,058		1,125
2.222%, 07/01/2036		559		594
2.184%, 05/01/2037		204		216
2.183%, 08/01/2037		653		699
2.160%, 05/01/2037		2,348		2,476
2.125%, 08/01/2036		400		424
FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/2019		10		11
FHLMC CMO, Ser 1991-1142, Cl IA
7.000%, 10/15/2021		210		236


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 1998-2075, Cl D
6.500%, 08/15/2028	$	819	$	930
FHLMC CMO, Ser 1999-2138, Cl KS, IO
7.501%, 02/15/2029 (A)		292		11
FHLMC CMO, Ser 1999-2174, Cl PN
6.000%, 07/15/2029		55		61
FHLMC CMO, Ser 2001-2293, Cl ZA
6.000%, 03/15/2031		815		914
FHLMC CMO, Ser 2001-2312, Cl Z
6.500%, 05/15/2031		569		648
FHLMC CMO, Ser 2001-2357, Cl ZJ
6.500%, 09/15/2031		110		120
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/2032		189		216
FHLMC CMO, Ser 2002-2434, Cl ZA
6.500%, 04/15/2032		1,570		1,786
FHLMC CMO, Ser 2002-2456, Cl CJ
6.500%, 06/15/2032		357		395
FHLMC CMO, Ser 2002-2458, Cl ZM
6.500%, 06/15/2032		780		870
FHLMC CMO, Ser 2002-41, Cl 2A
6.976%, 07/25/2032 (A)		704		831
FHLMC CMO, Ser 2002-42, Cl A5
7.500%, 02/25/2042		919		1,089
FHLMC CMO, Ser 2002-48, Cl 1A
6.058%, 07/25/2033 (A)		52		60
FHLMC CMO, Ser 2003-2551, Cl NS
14.118%, 01/15/2033 (A)		352		402
FHLMC CMO, Ser 2003-2591, Cl QO
4.500%, 03/15/2018		503		530
FHLMC CMO, Ser 2003-2631, Cl SA
14.485%, 06/15/2033 (A)		266		305
FHLMC CMO, Ser 2003-2671, Cl S
14.393%, 09/15/2033 (A)		256		293
FHLMC CMO, Ser 2003-2684, Cl ZN
4.000%, 10/15/2033		628		671


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2003-2725, Cl SC
8.769%, 11/15/2033 (A)	$	160	$	172
FHLMC CMO, Ser 2003-54, Cl 2A
6.500%, 02/25/2043		491		579
FHLMC CMO, Ser 2003-54, Cl 3A
7.000%, 02/25/2043		613		731
FHLMC CMO, Ser 2003-57, Cl 1A1
6.500%, 07/25/2043		552		625
FHLMC CMO, Ser 2003-57, Cl 1A2
7.000%, 07/25/2043		664		758
FHLMC CMO, Ser 2003-57, Cl 1A3
7.500%, 07/25/2043		560		654
FHLMC CMO, Ser 2003-58, Cl 4A
7.500%, 09/25/2043		737		861
FHLMC CMO, Ser 2004-2733, Cl ME
5.000%, 01/15/2034		909		1,000
FHLMC CMO, Ser 2004-2764, Cl UG
5.000%, 03/15/2034		1,500		1,688
FHLMC CMO, Ser 2004-2777, Cl KO, PO
0.000%, 02/15/2033		247		246
FHLMC CMO, Ser 2004-2778, Cl JD
5.000%, 12/15/2032		515		526
FHLMC CMO, Ser 2004-2835, Cl BO, PO
0.000%, 12/15/2028		129		128
FHLMC CMO, Ser 2004-2864, Cl NB
5.500%, 07/15/2033		2,000		2,222
FHLMC CMO, Ser 2004-59, Cl 1A3
7.500%, 10/25/2043		769		895
FHLMC CMO, Ser 2004-60, Cl 1A2
7.000%, 03/25/2044		582		654
FHLMC CMO, Ser 2004-60, Cl 1A3
7.500%, 03/25/2044		805		940
FHLMC CMO, Ser 2005-2929, Cl PE, PO
5.000%, 05/15/2033		470		476
FHLMC CMO, Ser 2005-2931, Cl DC
4.000%, 06/15/2018		26		26


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2005-2945, Cl SA
11.935%, 03/15/2020 (A)	$	1,164	$	1,329
FHLMC CMO, Ser 2005-2950, Cl JO, PO
0.000%, 03/15/2020		159		158
FHLMC CMO, Ser 2005-2980, Cl QA
6.000%, 05/15/2035		395		443
FHLMC CMO, Ser 2005-2981, Cl FA
0.599%, 05/15/2035 (A)		431		433
FHLMC CMO, Ser 2005-2990, Cl LK
0.569%, 10/15/2034 (A)		585		587
FHLMC CMO, Ser 2005-3001, Cl HP
21.203%, 05/15/2035 (A)		105		148
FHLMC CMO, Ser 2005-3006, Cl QS
19.622%, 07/15/2035 (A)		533		738
FHLMC CMO, Ser 2005-3012, Cl GK
23.854%, 06/15/2035 (A)		121		177
FHLMC CMO, Ser 2005-3049, Cl XF
0.549%, 05/15/2033 (A)		505		508
FHLMC CMO, Ser 2005-3077, Cl TO, PO
0.000%, 04/15/2035		324		310
FHLMC CMO, Ser 2006-3100, Cl PO, PO
0.000%, 01/15/2036		621		566
FHLMC CMO, Ser 2006-3101, Cl UZ
6.000%, 01/15/2036		1,807		2,022
FHLMC CMO, Ser 2006-3102, Cl FB
0.499%, 01/15/2036 (A)		338		339
FHLMC CMO, Ser 2006-3137, Cl XP
6.000%, 04/15/2036		641		717
FHLMC CMO, Ser 2006-3151, Cl PO, PO
0.000%, 05/15/2036		275		264
FHLMC CMO, Ser 2006-3153, Cl EO, PO
0.000%, 05/15/2036		480		460
FHLMC CMO, Ser 2006-3164, Cl MG
6.000%, 06/15/2036		571		641
FHLMC CMO, Ser 2006-3189, Cl PC
6.000%, 08/15/2035		1,219		1,278


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2006-3195, Cl PD
6.500%, 07/15/2036	$	1,441	$	1,617
FHLMC CMO, Ser 2006-3200, Cl AY
5.500%, 08/15/2036		690		755
FHLMC CMO, Ser 2006-3202, Cl HI, IO
6.451%, 08/15/2036 (A)		769		112
FHLMC CMO, Ser 2006-3217, Cl CX, IO
6.391%, 09/15/2036 (A)		444		54
FHLMC CMO, Ser 2007-3262, Cl SG, IO
6.201%, 01/15/2037 (A)		590		63
FHLMC CMO, Ser 2007-3316, Cl GD
5.500%, 06/15/2035		684		693
FHLMC CMO, Ser 2007-3316, Cl JO, PO
0.000%, 05/15/2037		97		89
FHLMC CMO, Ser 2007-3342, Cl VG
6.000%, 11/15/2023		821		839
FHLMC CMO, Ser 2007-3345, Cl FP
0.399%, 11/15/2036 (A)		83		83
FHLMC CMO, Ser 2007-3345, Cl PF
0.379%, 05/15/2036 (A)		91		91
FHLMC CMO, Ser 2007-3346, Cl FA
0.429%, 02/15/2019 (A)		5,100		5,105
FHLMC CMO, Ser 2007-3373, Cl TO, PO
0.000%, 04/15/2037		148		138
FHLMC CMO, Ser 2007-3383, Cl SA, IO
6.251%, 11/15/2037 (A)		527		83
FHLMC CMO, Ser 2007-3385, Cl SN, IO
5.801%, 11/15/2037 (A)		571		75
FHLMC CMO, Ser 2007-3387, Cl SA, IO
6.221%, 11/15/2037 (A)		499		69
FHLMC CMO, Ser 2007-76, Cl 2A
3.383%, 10/25/2037 (A)		1,125		1,130
FHLMC CMO, Ser 2008-3422, Cl SE
16.952%, 02/15/2038 (A)		119		156
FHLMC CMO, Ser 2008-3451, Cl SA, IO
5.851%, 05/15/2038 (A)		611		85


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2008-3451, Cl SB, IO
5.831%, 05/15/2038 (A)	$	3,214	$	444
FHLMC CMO, Ser 2008-3455, Cl SE, IO
6.001%, 06/15/2038 (A)		2,098		342
FHLMC CMO, Ser 2008-3461, Cl LZ
6.000%, 06/15/2038		303		338
FHLMC CMO, Ser 2009-3510, Cl OD, PO
0.000%, 02/15/2037		513		487
FHLMC CMO, Ser 2009-3515, Cl PIM15, IO
5.500%, 07/15/2037		413		33
FHLMC CMO, Ser 2009-3523, Cl SD
19.115%, 06/15/2036 (A)		313		411
FHLMC CMO, Ser 2009-3529, Cl AG
6.500%, 04/15/2039		3,767		4,234
FHLMC CMO, Ser 2009-3546, Cl A
2.719%, 02/15/2039 (A)		239		243
FHLMC CMO, Ser 2009-3604, Cl PO, PO
0.000%, 05/15/2036		465		448
FHLMC CMO, Ser 2009-3607, Cl AO, PO
0.000%, 04/15/2036		477		444
FHLMC CMO, Ser 2009-3607, Cl BOPO, PO
0.000%, 04/15/2036		341		317
FHLMC CMO, Ser 2009-3607, Cl TO, PO
0.000%, 10/15/2039		523		494
FHLMC CMO, Ser 2009-3608, Cl SC, IO
6.051%, 12/15/2039 (A)		1,576		219
FHLMC CMO, Ser 2009-3611, Cl PO, PO
0.000%, 07/15/2034		293		276
FHLMC CMO, Ser 2010-3621, Cl BO, PO
0.000%, 01/15/2040		385		368
FHLMC CMO, Ser 2010-3621, Cl SB, IO
6.031%, 01/15/2040 (A)		501		68
FHLMC CMO, Ser 2010-3622, Cl WA
5.500%, 09/15/2039		3,181		3,616
FHLMC CMO, Ser 2010-3626, Cl MA
5.000%, 02/15/2030		5,995		6,181


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2010-3632, Cl BS
16.836%, 02/15/2040 (A)	$	400	$	556
FHLMC CMO, Ser 2010-3659, Cl VE
5.000%, 03/15/2026		3,450		3,809
FHLMC CMO, Ser 2010-3664, Cl DA
4.000%, 11/15/2037		1,099		1,183
FHLMC CMO, Ser 2010-3680, Cl MA
4.500%, 07/15/2039		1,525		1,672
FHLMC CMO, Ser 2010-3688, Cl NI, IO
5.000%, 04/15/2032		1,787		234
FHLMC CMO, Ser 2010-3704, Cl CT
7.000%, 12/15/2036		2,011		2,409
FHLMC CMO, Ser 2010-3704, Cl DT
7.500%, 11/15/2036		639		738
FHLMC CMO, Ser 2010-3714, Cl IP, IO
5.000%, 08/15/2040		1,535		254
FHLMC CMO, Ser 2010-3739, Cl LI, IO
4.000%, 03/15/2034		1,760		113
FHLMC CMO, Ser 2010-3740, Cl SC, IO
5.801%, 10/15/2040 (A)		1,544		391
FHLMC CMO, Ser 2010-3756, Cl IP, IO
4.000%, 08/15/2035		1,159		45
FHLMC CMO, Ser 2010-3759, Cl HI, IO
4.000%, 08/15/2037		1,674		154
FHLMC CMO, Ser 2010-3760, Cl GI, IO
4.000%, 10/15/2037		1,084		104
FHLMC CMO, Ser 2011-3800, Cl AI, IO
4.000%, 11/15/2029		1,778		158
FHLMC CMO, Ser 2011-3802, Cl LS, IO
3.456%, 01/15/2040 (A)		2,340		130
FHLMC CMO, Ser 2011-3819, Cl ZQ
6.000%, 04/15/2036		1,138		1,254
FHLMC CMO, Ser 2011-3852, Cl QN
5.500%, 05/15/2041 (A)		615		645
FHLMC CMO, Ser 2011-3855, Cl HJ
3.000%, 02/15/2026		1,226		1,262


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2011-3866, Cl SA, IO
5.751%, 05/15/2041 (A)	$	3,328	$	437
FHLMC CMO, Ser 2011-3895, Cl WA
5.704%, 10/15/2038 (A)		518		573
FHLMC CMO, Ser 2012-3997, Cl SK, IO
6.401%, 11/15/2041 (A)		2,695		609
FHLMC CMO, Ser 2012-4012, Cl FN
0.739%, 03/15/2042 (A)		1,829		1,849
FHLMC CMO, Ser 2012-4030, Cl HS, IO
6.411%, 04/15/2042 (A)		297		36
FHLMC CMO, Ser 2012-4048, Cl FB
0.642%, 10/15/2041 (A)		1,815		1,824
FHLMC CMO, Ser 2012-4048, Cl FJ
0.604%, 07/15/2037 (A)		1,638		1,634
FHLMC CMO, Ser 2012-4057, Cl BS, IO
5.851%, 09/15/2039 (A)		1,871		392
FHLMC CMO, Ser 2012-4057, Cl SA, IO
5.851%, 04/15/2039 (A)		3,796		765
FHLMC CMO, Ser 2012-4063, Cl S, IO
5.751%, 06/15/2042 (A)		563		141
FHLMC CMO, Ser 2012-4068, Cl DS, IO
5.801%, 06/15/2042 (A)		2,309		543
FHLMC CMO, Ser 2012-4068, Cl TS, IO
5.801%, 06/15/2042 (A)		3,832		942
FHLMC CMO, Ser 2012-4073, Cl SB, IO
5.801%, 07/15/2042 (A)		3,342		774
FHLMC CMO, Ser 2012-4092, Cl AI, IO
3.000%, 09/15/2031		3,910		471
FHLMC CMO, Ser 2012-4102, Cl MS, IO
6.401%, 09/15/2042 (A)		2,596		665
FHLMC CMO, Ser 2012-4114, Cl SC, IO
5.901%, 10/15/2042 (A)		1,343		361
FHLMC CMO, Ser 2012-4116, Cl AS, IO
5.951%, 10/15/2042 (A)		1,247		315
FHLMC CMO, Ser 2012-4119, Cl IN, IO
3.500%, 10/15/2032		1,562		304


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2012-4120, Cl SV, IO
5.951%, 10/15/2042 (A)	$	1,655	$	362
FHLMC CMO, Ser 2012-4136, Cl SG
5.951%, 11/15/2042 (A)		1,864		483
FHLMC GNMA CMO, Ser 1993-21, Cl L
6.250%, 10/25/2023		527		594
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2009-K003, Cl AAB
4.768%, 05/25/2018		2,824		3,106
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2011-K010, Cl A1
3.320%, 07/25/2020		78		84
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2012-K020, Cl A2
2.373%, 05/25/2022		7,310		7,124
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K006, Cl AX1, IO
1.046%, 01/25/2020 (A)		18,526		1,057
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO
1.224%, 04/25/2020 (A)		12,957		825
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO
1.671%, 06/25/2020 (A)		10,981		983
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K009, Cl X1, IO
1.501%, 08/25/2020 (A)		6,216		488
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K015, Cl X1, IO
1.672%, 07/25/2021 (A)		6,891		749
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K016, Cl X1, IO
1.737%, 10/25/2021 (A)		2,278		240
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K017, Cl X1, IO
1.601%, 12/25/2021 (A)		3,579		344
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K021, Cl X1, IO
1.514%, 06/25/2022 (A)		5,955		629


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K024, Cl X1, IO
0.905%, 09/25/2022 (A)	$	3,194	$	210
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K702, Cl X1, IO
1.552%, 02/25/2018 (A)		27,869		1,776
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K703, Cl X1, IO
2.088%, 05/25/2018 (A)		8,634		781
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/2036		3,345		3,662
FHLMC STRIPS CMO, Ser 2006-239, Cl S30, IO
7.501%, 08/15/2036 (A)		1,458		238
FHLMC STRIPS CMO, Ser 2010-3747, Cl HI, IO
4.500%, 07/15/2037		3,254		246
FHLMC STRIPS CMO, Ser 2012-262, Cl 35
3.500%, 07/15/2042		3,390		3,438
FHLMC STRIPS CMO, Ser 2012-267, Cl F5
0.699%, 08/15/2042 (A)		2,899		2,943
FHLMC TBA
3.500%, 07/15/2041 to 06/01/2042		34,600		35,659
3.000%, 06/15/2043 to 07/25/2043		34,515		34,490
2.500%, 06/15/2027 to 06/15/2028		27,830		28,359
FNMA
8.000%, 04/01/2015 to 11/01/2037		632		728
7.500%, 06/01/2030 to 04/01/2039		2,126		2,497
7.000%, 12/01/2015 to 02/01/2039		6,285		7,330
6.500%, 05/01/2017 to 07/01/2039		14,555		16,497
6.000%, 06/01/2016 to 11/01/2048		56,133		61,741
5.500%, 04/01/2014 to 04/01/2040		65,235		71,309
5.000%, 02/01/2020 to 05/01/2042		155,323		170,103
4.762%, 02/01/2020		736		843
4.672%, 07/01/2020		746		854
4.640%, 01/01/2021		975		1,116
4.540%, 01/01/2020		1,436		1,633
4.530%, 12/01/2019		3,901		4,497


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.500%, 07/01/2020 to 12/01/2042	$	42,617	$	45,902
4.399%, 02/01/2020		6,000		6,804
4.390%, 05/01/2021		1,000		1,133
4.369%, 02/01/2020		1,926		2,180
4.368%, 04/01/2020		2,166		2,454
4.340%, 06/01/2021		1,000		1,131
4.338%, 11/01/2021		6,074		6,884
4.317%, 07/01/2021		1,270		1,439
4.303%, 07/01/2021		5,765		6,532
4.300%, 04/01/2021		1,199		1,352
4.260%, 07/01/2021		1,000		1,126
4.250%, 04/01/2021		3,000		3,375
4.240%, 06/01/2021		1,000		1,124
4.120%, 04/01/2020		1,155		1,288
4.066%, 07/01/2020		2,471		2,759
4.060%, 07/01/2021		1,000		1,113
4.050%, 01/01/2021		1,430		1,590
4.000%, 04/01/2019 to 12/01/2042		65,842		70,448
3.975%, 11/01/2020		791		879
3.940%, 07/01/2021		1,500		1,657
3.930%, 01/01/2021		1,000		1,105
3.820%, 06/01/2017		1,909		2,073
3.800%, 03/01/2018		1,938		2,124
3.770%, 09/01/2021		3,000		3,286
3.740%, 07/01/2020		1,370		1,496
3.632%, 12/01/2020		4,044		4,388
3.630%, 01/01/2018		2,000		2,176
3.590%, 12/01/2020		962		1,041
3.583%, 09/01/2020		6,832		7,423
3.520%, 01/01/2018		2,943		3,194
3.505%, 09/01/2020		4,788		5,166
3.500%, 01/01/2026 to 06/25/2043		144,156		149,805
3.430%, 10/01/2020		1,929		2,070
3.380%, 01/01/2018		1,500		1,623
3.290%, 10/01/2020		1,000		1,066
3.230%, 11/01/2020		1,488		1,580
3.030%, 12/01/2021		1,466		1,530
3.000%, 03/01/2027 to 05/01/2043		98,980		99,844
2.970%, 11/01/2018		1,437		1,525
2.940%, 05/01/2022		984		1,018
2.790%, 07/01/2022		1,000		1,023
2.690%, 10/01/2017		1,485		1,564
2.670%, 07/01/2022		985		999
2.646%, 10/01/2022		8,397		8,647
2.600%, 06/01/2022		982		993
2.500%, 10/01/2022 to 10/01/2042		16,996		17,160
2.470%, 09/01/2022		1,482		1,479
2.400%, 12/01/2022 to 02/01/2023		3,700		3,658


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.390%, 12/01/2022	$	1,750	$	1,730
2.380%, 12/01/2022		2,000		1,960
2.370%, 07/01/2019 to 11/01/2022		2,000		2,026
2.340%, 12/01/2022 to 01/01/2023		4,430		4,350
2.320%, 12/01/2022		1,488		1,465
2.280%, 11/01/2022		1,983		1,947
2.210%, 12/01/2022		3,658		3,570
2.200%, 07/01/2019		2,467		2,537
2.190%, 12/01/2022		1,985		1,935
2.100%, 06/01/2019		1,000		1,025
2.030%, 08/01/2019		2,030		2,058
2.000%, 12/01/2020		1,500		1,472
1.940%, 07/01/2019		1,000		1,012
1.690%, 12/01/2019		2,000		1,980
1.580%, 01/01/2020		1,986		1,954
1.470%, 12/01/2019		1,487		1,453
1.400%, 07/01/2017		2,500		2,526
FNMA ARM (A)
6.200%, 08/01/2036		174		189
6.171%, 09/01/2036		479		517
5.841%, 03/01/2037		2,325		2,519
5.779%, 05/01/2037		90		96
5.771%, 06/01/2036		25		26
5.409%, 01/01/2023		325		356
5.211%, 12/01/2035		177		190
3.926%, 09/01/2037		400		430
3.192%, 10/01/2036		1,396		1,492
3.187%, 10/01/2036		212		226
3.175%, 11/01/2036		375		401
3.123%, 09/01/2037		14		15
2.944%, 05/01/2036		199		212
2.943%, 06/01/2036		824		885
2.911%, 08/01/2036		336		359
2.896%, 11/01/2036		549		591
2.884%, 07/01/2037		210		223
2.877%, 07/01/2036		444		473
2.847%, 07/01/2037		644		689
2.825%, 06/01/2036		771		826
2.816%, 12/01/2036		780		840
2.779%, 06/01/2036		395		422
2.752%, 09/01/2036		232		247
2.679%, 10/01/2036		328		352
2.666%, 05/01/2032		2		2
2.636%, 04/01/2037		562		598
2.562%, 11/01/2037		542		580
2.537%, 02/01/2037		639		678
2.304%, 11/01/2037		295		313
2.128%, 05/01/2037		1,631		1,719
2.027%, 01/01/2037		519		549
1.955%, 02/01/2037		364		382
1.917%, 09/01/2036		286		301
1.836%, 07/01/2037		257		274
0.944%, 01/01/2019		491		493


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
0.644%, 09/01/2022	$	1,170	$	1,174
0.594%, 10/01/2022 to 01/01/2023		4,241		4,250
0.564%, 01/01/2023		993		997
0.554%, 01/01/2023		1,986		1,994
0.544%, 01/01/2023		4,500		4,514
0.494%, 11/01/2022		1,978		1,983
0.474%, 11/01/2022		1,000		1,002
FNMA CMO, Ser 1991-113, Cl ZE
7.500%, 09/25/2021		165		187
FNMA CMO, Ser 1992-143, Cl M
8.000%, 09/25/2022		465		530
FNMA CMO, Ser 1992-41, Cl MA
8.000%, 08/25/2022		559		633
FNMA CMO, Ser 1992-69, Cl Z
8.000%, 05/25/2022		393		456
FNMA CMO, Ser 1992-96, Cl B, PO
0.000%, 05/25/2022		—		—
FNMA CMO, Ser 1993-149, Cl SH
11.500%, 08/25/2023 (A)		166		193
FNMA CMO, Ser 1993-75, Cl ZQ
6.500%, 05/25/2023		783		866
FNMA CMO, Ser 1993-99, Cl Z
7.000%, 07/25/2023		804		898
FNMA CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/2024		619		694
FNMA CMO, Ser 1994-63, Cl PK
7.000%, 04/25/2024		579		659
FNMA CMO, Ser 1997-32, Cl PG
6.500%, 04/25/2027		415		479
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/2029		609		676
FNMA CMO, Ser 2000-18, Cl EC, PO
0.000%, 10/25/2023		176		168
FNMA CMO, Ser 2001-50, Cl BA
7.000%, 10/25/2041		543		632
FNMA CMO, Ser 2001-52, Cl YZ
6.500%, 10/25/2031		55		63
FNMA CMO, Ser 2001-71, Cl QE
6.000%, 12/25/2016		493		520
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/2045		411		475
FNMA CMO, Ser 2002-10, Cl SB
18.736%, 03/25/2017 (A)		60		73
FNMA CMO, Ser 2002-33, Cl A2
7.500%, 06/25/2032		610		744
FNMA CMO, Ser 2002-81, Cl JO, PO
0.000%, 04/25/2032		7		7
FNMA CMO, Ser 2002-90, Cl A1
6.500%, 06/25/2042		694		811


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2002-95, Cl DB
6.000%, 01/25/2033	$	2,533	$	2,916
FNMA CMO, Ser 2003-124, Cl TS
9.800%, 01/25/2034 (A)		37		44
FNMA CMO, Ser 2003-129, Cl ME
5.000%, 08/25/2023		698		740
FNMA CMO, Ser 2003-131, Cl SK
15.813%, 01/25/2034 (A)		384		509
FNMA CMO, Ser 2003-17, Cl EQ
5.500%, 03/25/2023		2,000		2,276
FNMA CMO, Ser 2003-23, Cl EQ
5.500%, 04/25/2023		2,000		2,285
FNMA CMO, Ser 2003-35, Cl EA, PO
0.000%, 05/25/2033		186		175
FNMA CMO, Ser 2003-42, Cl EP
4.000%, 11/25/2022		88		90
FNMA CMO, Ser 2003-49, Cl YD
5.500%, 06/25/2023		565		608
FNMA CMO, Ser 2003-56, Cl AZ
5.500%, 08/25/2031		178		179
FNMA CMO, Ser 2004-101, Cl HD
5.000%, 01/25/2020		2,500		2,694
FNMA CMO, Ser 2004-17, Cl H
5.500%, 04/25/2034		1,086		1,237
FNMA CMO, Ser 2004-46, Cl EP, PO
0.000%, 03/25/2034		441		432
FNMA CMO, Ser 2004-52, Cl NE
4.500%, 07/25/2033		208		215
FNMA CMO, Ser 2004-52, Cl PX, PO
0.000%, 09/25/2032		114		113
FNMA CMO, Ser 2004-61, Cl BO, PO
0.000%, 10/25/2032		248		246
FNMA CMO, Ser 2004-61, Cl FH
0.993%, 11/25/2032 (A)		826		836
FNMA CMO, Ser 2005-100, Cl BQ
5.500%, 11/25/2025		1,500		1,672
FNMA CMO, Ser 2005-106, Cl US
23.858%, 11/25/2035 (A)		734		1,102
FNMA CMO, Ser 2005-118, Cl PN
6.000%, 01/25/2032		294		297
FNMA CMO, Ser 2005-14, Cl BA
4.500%, 04/25/2019		81		81
FNMA CMO, Ser 2005-14, Cl BD
4.500%, 03/25/2020		1,250		1,326
FNMA CMO, Ser 2005-5, Cl PA
5.000%, 01/25/2035		898		978


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2005-64, Cl PL
5.500%, 07/25/2035	$	1,061	$	1,194
FNMA CMO, Ser 2005-72, Cl SB
16.392%, 08/25/2035 (A)		315		400
FNMA CMO, Ser 2005-74, Cl CS
19.488%, 05/25/2035 (A)		393		540
FNMA CMO, Ser 2005-74, Cl SK
19.598%, 05/25/2035 (A)		301		414
FNMA CMO, Ser 2005-90, Cl ES
16.392%, 10/25/2035 (A)		275		364
FNMA CMO, Ser 2005-90, Cl PO, PO
0.000%, 09/25/2035		215		194
FNMA CMO, Ser 2005-97, Cl HC
5.000%, 02/25/2032		589		594
FNMA CMO, Ser 2006-104, Cl IC, IO
6.407%, 11/25/2036 (A)		1,564		343
FNMA CMO, Ser 2006-117, Cl GS, IO
6.457%, 12/25/2036 (A)		395		67
FNMA CMO, Ser 2006-118, Cl A2
0.273%, 12/25/2036 (A)		691		653
FNMA CMO, Ser 2006-125, Cl SM, IO
7.007%, 01/25/2037 (A)		2,416		466
FNMA CMO, Ser 2006-15, Cl OP, PO
0.000%, 03/25/2036		330		311
FNMA CMO, Ser 2006-23, Cl FK
0.443%, 04/25/2036 (A)		367		367
FNMA CMO, Ser 2006-27, Cl OH, PO
0.000%, 04/25/2036		349		334
FNMA CMO, Ser 2006-3, Cl D0, PO
0.000%, 03/25/2036		404		384
FNMA CMO, Ser 2006-31, Cl PD
5.500%, 11/25/2034		239		245
FNMA CMO, Ser 2006-33, Cl LS
29.280%, 05/25/2036 (A)		263		404
FNMA CMO, Ser 2006-44, Cl FP
0.593%, 06/25/2036 (A)		373		375
FNMA CMO, Ser 2006-44, Cl P, PO
0.000%, 12/25/2033		176		166
FNMA CMO, Ser 2006-46, Cl SW
23.491%, 06/25/2036 (A)		268		382
FNMA CMO, Ser 2006-51, Cl SP, IO
6.457%, 03/25/2036 (A)		408		80
FNMA CMO, Ser 2006-56, Cl CA
6.000%, 07/25/2036		523		589
FNMA CMO, Ser 2006-56, Cl FC
0.483%, 07/25/2036 (A)		428		429


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2006-56, Cl PF
0.543%, 07/25/2036 (A)	$	521	$	524
FNMA CMO, Ser 2006-60, Cl DO, PO
0.000%, 04/25/2035		382		358
FNMA CMO, Ser 2006-60, Cl UO, PO
0.000%, 07/25/2036		745		676
FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/2036		1,018		1,155
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/2036		665		735
FNMA CMO, Ser 2006-94, Cl GI, IO
6.457%, 10/25/2026 (A)		1,017		150
FNMA CMO, Ser 2007-100, Cl SM, IO
6.257%, 10/25/2037 (A)		1,413		162
FNMA CMO, Ser 2007-101, Cl A2
0.443%, 06/27/2036 (A)		1,394		1,382
FNMA CMO, Ser 2007-112, Cl SA, IO
6.257%, 12/25/2037 (A)		1,034		124
FNMA CMO, Ser 2007-114, Cl A6
0.393%, 10/27/2037 (A)		1,600		1,600
FNMA CMO, Ser 2007-116, Cl HI, IO
1.622%, 01/25/2038 (A)		1,310		97
FNMA CMO, Ser 2007-116, Cl PB
5.500%, 08/25/2035		4,093		4,602
FNMA CMO, Ser 2007-29, Cl SG
22.022%, 04/25/2037 (A)		251		348
FNMA CMO, Ser 2007-43, Cl FL
0.493%, 05/25/2037 (A)		205		206
FNMA CMO, Ser 2007-53, Cl SH, IO
5.907%, 06/25/2037 (A)		932		148
FNMA CMO, Ser 2007-54, Cl FA
0.593%, 06/25/2037 (A)		818		822
FNMA CMO, Ser 2007-54, Cl PF
0.459%, 06/25/2037 (A)		793		793
FNMA CMO, Ser 2007-60, Cl AX, IO
6.957%, 07/25/2037 (A)		1,660		370
FNMA CMO, Ser 2007-64, Cl FA
0.663%, 07/25/2037 (A)		90		91
FNMA CMO, Ser 2007-65, Cl KI, IO
6.427%, 07/25/2037 (A)		966		118
FNMA CMO, Ser 2007-68, Cl SC, IO
6.507%, 07/25/2037 (A)		1,234		194


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2007-72, Cl EK, IO
6.207%, 07/25/2037 (A)	$	1,301	$	201
FNMA CMO, Ser 2007-75, Cl EO, PO
0.000%, 01/25/2036		168		167
FNMA CMO, Ser 2007-79, Cl SB
23.308%, 08/25/2037 (A)		115		165
FNMA CMO, Ser 2007-85, Cl SG
15.767%, 09/25/2037 (A)		410		522
FNMA CMO, Ser 2007-92, Cl YS, IO
5.587%, 06/25/2037 (A)		1,171		146
FNMA CMO, Ser 2008-1, Cl BI, IO
5.717%, 02/25/2038 (A)		1,213		151
FNMA CMO, Ser 2008-20, Cl SA, IO
6.797%, 03/25/2038 (A)		678		136
FNMA CMO, Ser 2008-22, Cl IO, IO
6.240%, 03/25/2037 (A)		12,399		1,566
FNMA CMO, Ser 2008-24, Cl DY
5.000%, 04/25/2023		1,500		1,639
FNMA CMO, Ser 2008-24, Cl NA
6.750%, 06/25/2037		262		285
FNMA CMO, Ser 2008-24, Cl PF
0.843%, 02/25/2038 (A)		520		526
FNMA CMO, Ser 2008-32, Cl SA, IO
6.657%, 04/25/2038 (A)		446		68
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/2016 (A)		829		7
FNMA CMO, Ser 2008-4, Cl SD, IO
5.807%, 02/25/2038 (A)		2,322		293
FNMA CMO, Ser 2008-53, Cl CA
5.000%, 07/25/2023		3,461		3,741
FNMA CMO, Ser 2008-95, Cl BA
5.000%, 01/25/2024		643		727
FNMA CMO, Ser 2009-103, Cl MB
3.052%, 12/25/2039 (A)		590		631
FNMA CMO, Ser 2009-17, Cl QS, IO
6.457%, 03/25/2039 (A)		559		80
FNMA CMO, Ser 2009-52, Cl PI, IO
5.000%, 07/25/2039		707		75
FNMA CMO, Ser 2009-70, Cl CO, PO
0.000%, 01/25/2037		1,233		1,176


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2009-84, Cl WS, IO
5.707%, 10/25/2039 (A)	$	684	$	87
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/2037		7,036		6,899
FNMA CMO, Ser 2009-86, Cl IP, IO
5.500%, 10/25/2039		511		63
FNMA CMO, Ser 2009-86, Cl OT, PO
0.000%, 10/25/2037		818		766
FNMA CMO, Ser 2009-86, Cl UI, IO
4.000%, 10/25/2014		1,097		44
FNMA CMO, Ser 2009-99, Cl SC, IO
5.987%, 12/25/2039 (A)		785		89
FNMA CMO, Ser 2010-1, Cl WA
6.166%, 02/25/2040 (A)		519		571
FNMA CMO, Ser 2010-100, Cl CS, IO
6.457%, 09/25/2040 (A)		3,189		518
FNMA CMO, Ser 2010-111, Cl AE
5.500%, 04/25/2038		2,078		2,266
FNMA CMO, Ser 2010-118, Cl YB, IO
6.307%, 10/25/2040 (A)		2,210		250
FNMA CMO, Ser 2010-123, Cl PM
4.000%, 07/25/2040		3,600		3,898
FNMA CMO, Ser 2010-133, Cl A
5.500%, 05/25/2038		1,466		1,582
FNMA CMO, Ser 2010-142, Cl SM, IO
6.337%, 12/25/2040 (A)		1,821		264
FNMA CMO, Ser 2010-148, Cl MA
4.000%, 02/25/2039		759		783
FNMA CMO, Ser 2010-150, Cl SK, IO
6.291%, 01/25/2041 (A)		2,953		472
FNMA CMO, Ser 2010-150, Cl SN, IO
6.291%, 01/25/2041 (A)		3,329		532
FNMA CMO, Ser 2010-16, Cl WA
6.428%, 03/25/2040 (A)		602		684
FNMA CMO, Ser 2010-23, Cl KS, IO
6.907%, 02/25/2040 (A)		948		140
FNMA CMO, Ser 2010-27, Cl AS, IO
6.287%, 04/25/2040 (A)		3,884		650


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2010-35, Cl SB, IO
6.227%, 04/25/2040 (A)	$	998	$	140
FNMA CMO, Ser 2010-39, Cl OT, PO
0.000%, 10/25/2035		391		347
FNMA CMO, Ser 2010-45, Cl BD
4.500%, 11/25/2038		1,000		1,035
FNMA CMO, Ser 2010-64, Cl DM
5.000%, 06/25/2040		1,108		1,225
FNMA CMO, Ser 2010-68, Cl SA, IO
4.807%, 07/25/2040 (A)		3,017		465
FNMA CMO, Ser 2010-M5, Cl A1
2.259%, 07/25/2020		70		73
FNMA CMO, Ser 2011-117, Cl LS, IO
6.407%, 10/25/2040 (A)		5,395		1,264
FNMA CMO, Ser 2011-2, Cl WA
5.716%, 02/25/2051 (A)		673		731
FNMA CMO, Ser 2011-30, Cl LS, IO
3.071%, 04/25/2041 (A)		1,969		165
FNMA CMO, Ser 2011-43, Cl WA
5.899%, 05/25/2051 (A)		1,143		1,270
FNMA CMO, Ser 2011-63, Cl SW, IO
6.487%, 07/25/2041 (A)		2,770		386
FNMA CMO, Ser 2011-75, Cl FA
0.743%, 08/25/2041 (A)		569		574
FNMA CMO, Ser 2011-87, Cl SJ, IO
5.757%, 09/25/2041 (A)		5,688		882
FNMA CMO, Ser 2011-90, Cl QI, IO
5.000%, 05/25/2034		4,498		645
FNMA CMO, Ser 2011-96, Cl SA, IO
6.357%, 10/25/2041 (A)		5,651		952
FNMA CMO, Ser 2011-M1, Cl A3
3.763%, 06/25/2021		1,500		1,591
FNMA CMO, Ser 2011-M2, Cl A3
3.764%, 07/25/2021		7,500		7,956
FNMA CMO, Ser 2011-M4, Cl A2
3.726%, 06/25/2021		2,500		2,682
FNMA CMO, Ser 2012-101, Cl FC
0.693%, 09/25/2042 (A)		975		985
FNMA CMO, Ser 2012-111, Cl JS, IO
5.907%, 07/25/2040 (A)		2,632		598
FNMA CMO, Ser 2012-112, Cl FD
0.693%, 10/25/2042 (A)		981		991
FNMA CMO, Ser 2012-130, Cl DC
3.000%, 12/25/2042		22,740		23,497


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2012-133, Cl CS, IO
5.957%, 12/25/2042 (A)	$	879	$	229
FNMA CMO, Ser 2012-133, Cl GS, IO
5.957%, 12/25/2042 (A)		1,277		327
FNMA CMO, Ser 2012-134, Cl LC
3.000%, 12/25/2042		2,049		2,106
FNMA CMO, Ser 2012-134, Cl MS
5.957%, 12/25/2042 (A)		1,079		280
FNMA CMO, Ser 2012-137, Cl CF
0.493%, 08/25/2041 (A)		1,467		1,470
FNMA CMO, Ser 2012-139, Cl DI, IO
3.000%, 12/25/2027		2,652		346
FNMA CMO, Ser 2012-14, Cl FB
0.643%, 08/25/2037 (A)		876		880
FNMA CMO, Ser 2012-14, Cl FL
0.643%, 12/25/2040 (A)		919		925
FNMA CMO, Ser 2012-16, Cl ST, IO
6.257%, 03/25/2042 (A)		240		40
FNMA CMO, Ser 2012-17, Cl WS, IO
6.357%, 07/25/2039 (A)		1,385		299
FNMA CMO, Ser 2012-28, Cl B
6.500%, 06/25/2039		267		298
FNMA CMO, Ser 2012-35, Cl SQ10, IO
6.407%, 04/25/2042 (A)		877		169
FNMA CMO, Ser 2012-46, Cl BA
6.000%, 05/25/2042		3,830		4,195
FNMA CMO, Ser 2012-47, Cl HF
0.593%, 05/25/2027 (A)		4,180		4,214
FNMA CMO, Ser 2012-63, Cl DS, IO
6.357%, 03/25/2039 (A)		2,751		596
FNMA CMO, Ser 2012-66, Cl SA, IO
5.807%, 06/25/2042 (A)		874		154
FNMA CMO, Ser 2012-70, Cl YS, IO
6.457%, 02/25/2041 (A)		834		184
FNMA CMO, Ser 2012-74, Cl OA, PO
0.000%, 03/25/2042		197		178
FNMA CMO, Ser 2012-74, Cl SA, IO
6.457%, 03/25/2042 (A)		2,863		526
FNMA CMO, Ser 2012-75, Cl AO, PO
0.000%, 03/25/2042		395		356


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2012-75, Cl NS, IO
6.407%, 07/25/2042 (A)	$	1,044	$	239
FNMA CMO, Ser 2012-89, Cl AS, IO
5.857%, 05/25/2039 (A)		191		41
FNMA CMO, Ser 2012-89, Cl FD
0.643%, 04/25/2039 (A)		1,442		1,450
FNMA CMO, Ser 2012-93, Cl IB, IO
3.000%, 09/25/2027		10,269		1,331
FNMA CMO, Ser 2012-93, Cl SG, IO
5.907%, 09/25/2042 (A)		1,248		261
FNMA CMO, Ser 2012-97, Cl FB
0.693%, 09/25/2042 (A)		1,463		1,476
FNMA CMO, Ser 2012-M11, Cl FA
0.703%, 08/25/2019 (A)		2,205		2,210
FNMA CMO, Ser 2012-M12, Cl 1A
2.840%, 08/25/2022 (A)		8,258		8,458
FNMA CMO, Ser 2012-M15, Cl A
2.657%, 10/25/2022 (A)		7,082		7,087
FNMA CMO, Ser 2012-M8, Cl ASQ2
1.520%, 12/25/2019		505		509
FNMA CMO, Ser 2012-M8, Cl ASQ3
1.801%, 12/25/2019		400		401
FNMA CMO, Ser 2013-26, Cl HI, IO
3.000%, 04/25/2032		2,378		280
FNMA CMO, Ser 2013-9, Cl BC
6.500%, 07/25/2042		6,700		7,663
FNMA CMO, Ser 2013-9, Cl CB
5.500%, 04/25/2042		5,200		5,782
FNMA Grantor Trust CMO, Ser 2000-T6, Cl A1
7.500%, 06/25/2030		897		1,104
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/2041		1,560		1,864
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/2042		565		679
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/2044		682		796
FNMA Interest STRIPS CMO, Ser 1997-293, Cl 1, PO
0.000%, 12/01/2024		397		369
FNMA Interest STRIPS CMO, Ser 1998-300, Cl PO, PO
0.000%, 09/01/2024		258		247


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA Interest STRIPS CMO, Ser 2002-323, Cl 16, IO
7.000%, 01/25/2032	$	601	$	110
FNMA Interest STRIPS CMO, Ser 2003-334, Cl 16, IO
6.500%, 02/01/2033		918		157
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C1, IO
3.000%, 11/25/2026		6,378		530
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C13, IO
3.500%, 11/25/2041		2,371		340
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C22, IO
4.500%, 11/25/2039		4,173		508
FNMA Interest STRIPS CMO, Ser 2012-409, Cl CS, IO
3.000%, 04/25/2027		4,183		378
FNMA Interest STRIPS CMO, Ser 2012-412, Cl F2
0.693%, 08/25/2042 (A)		1,451		1,442
FNMA TBA
4.500%, 06/14/2042		18,830		20,119
4.000%, 06/01/2039		8,800		9,275
3.500%, 07/01/2041 to 07/25/2043		88,460		91,431
3.000%, 07/01/2042 to 07/25/2043		87,375		87,548
2.500%, 06/25/2027 to 07/25/2043		74,000		74,542
2.000%, 07/25/2028		13,890		13,758
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
6.862%, 12/25/2042 (A)		824		967
FNMA Whole Loan CMO, Ser 2003-W17, Cl 1A7
5.750%, 08/25/2033		917		1,002
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/2042		1,166		1,341
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A
6.500%, 09/25/2042		449		512
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A
7.000%, 10/25/2042		366		424
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/2033		715		836
FNMA Whole Loan CMO, Ser 2004-W10, Cl A6
5.750%, 08/25/2034		2,000		2,139
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/2044		747		877


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1
6.500%, 02/25/2044	$	595	$	694
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.413%, 03/25/2045 (A)		2,015		1,999
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/2045		284		338
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.413%, 02/25/2036 (A)		459		456
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.453%, 11/25/2046 (A)		1,015		1,015
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4
38.020%, 07/25/2037 (A)		49		83
FNMA Whole Loan CMO, Ser 2009-W1, Cl A
6.000%, 12/25/2049		1,419		1,642
GNMA
9.500%, 12/15/2020		5		6
7.500%, 10/15/2037 to 09/20/2038		929		1,093
7.000%, 12/20/2017 to 06/15/2035		3,161		3,770
6.500%, 01/15/2024 to 02/15/2039		5,167		5,878
6.000%, 12/15/2023 to 10/20/2040		23,454		26,321
5.000%, 07/20/2040 to 11/20/2040		1,133		1,241
4.500%, 01/20/2040 to 07/20/2041		21,637		23,574
GNMA ARM (A)
1.750%, 04/20/2028 to 07/20/2034		502		526
1.625%, 03/20/2032 to 03/20/2034		268		281
1.590%, 01/20/2060		1,378		1,420
GNMA CMO, Ser 2001-18, Cl WH
31.742%, 04/20/2031 (A)		88		159
GNMA CMO, Ser 2001-22, Cl PS
20.493%, 03/17/2031 (A)		620		980
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/2031		1,455		1,696
GNMA CMO, Ser 2002-23, Cl SD
20.415%, 04/16/2032 (A)		855		1,367
GNMA CMO, Ser 2002-51, Cl SG
31.641%, 04/20/2031 (A)		74		139
GNMA CMO, Ser 2002-57, Cl SB
109.527%, 08/16/2032		69		339


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2002-69, Cl SC
16.064%, 02/20/2032 (A)	$	74	$	79
GNMA CMO, Ser 2003-60, Cl GS
12.086%, 05/16/2033 (A)		90		104
GNMA CMO, Ser 2003-75, Cl ZX
6.000%, 09/16/2033		3,673		4,156
GNMA CMO, Ser 2003-79, Cl PV
5.500%, 10/20/2023		1,087		1,174
GNMA CMO, Ser 2003-97, Cl SA, IO
6.352%, 11/16/2033 (A)		451		87
GNMA CMO, Ser 2004-17, Cl MZ
5.500%, 03/16/2034		1,111		1,300
GNMA CMO, Ser 2004-28, Cl SV
8.801%, 04/20/2034 (A)		821		901
GNMA CMO, Ser 2004-34, Cl CS
19.393%, 02/20/2034 (A)		50		68
GNMA CMO, Ser 2004-34, Cl JO, PO
0.000%, 02/20/2034		10		10
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/2034 (A)		228		228
GNMA CMO, Ser 2004-85, Cl PO, PO
0.000%, 01/17/2033		45		44
GNMA CMO, Ser 2004-87, Cl SB
7.444%, 03/17/2033 (A)		157		170
GNMA CMO, Ser 2004-93, Cl PC
5.000%, 04/16/2034		95		101
GNMA CMO, Ser 2005-3, Cl SB, IO
5.901%, 01/20/2035 (A)		1,003		148
GNMA CMO, Ser 2005-7, Cl JM
16.284%, 05/18/2034 (A)		158		186
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/2035		1,000		1,196
GNMA CMO, Ser 2006-16, Cl GS, IO
6.791%, 04/20/2036 (A)		1,253		219
GNMA CMO, Ser 2006-34, Cl PO, PO
0.000%, 07/20/2036		98		89
GNMA CMO, Ser 2006-38, Cl SG, IO
6.452%, 09/20/2033 (A)		1,292		83
GNMA CMO, Ser 2006-38, Cl SW, IO
6.302%, 06/20/2036 (A)		845		104
GNMA CMO, Ser 2007-17, Cl AF
0.398%, 04/16/2037 (A)		620		622
GNMA CMO, Ser 2007-26, Cl SW, IO
6.001%, 05/20/2037 (A)		1,650		240


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2007-27, Cl SD, IO
6.001%, 05/20/2037 (A)	$	619	$	92
GNMA CMO, Ser 2007-42, Cl SB, IO
6.551%, 07/20/2037 (A)		904		139
GNMA CMO, Ser 2007-45, Cl QA, IO
6.442%, 07/20/2037 (A)		561		83
GNMA CMO, Ser 2007-72, Cl USIO, IO
6.352%, 11/20/2037 (A)		633		92
GNMA CMO, Ser 2007-78, Cl SA, IO
6.332%, 12/16/2037 (A)		9,859		1,702
GNMA CMO, Ser 2007-81, Cl SP, IO
6.451%, 12/20/2037 (A)		800		119
GNMA CMO, Ser 2007-82, Cl SA, IO
6.331%, 12/20/2037 (A)		522		76
GNMA CMO, Ser 2007-9, Cl CI, IO
6.002%, 03/20/2037 (A)		714		108
GNMA CMO, Ser 2008-10, Cl S, IO
5.631%, 02/20/2038 (A)		951		132
GNMA CMO, Ser 2008-2, Cl MS, IO
6.962%, 01/16/2038 (A)		570		96
GNMA CMO, Ser 2008-29, Cl PO, PO
0.000%, 02/17/2033		207		195
GNMA CMO, Ser 2008-33, Cl XS, IO
7.502%, 04/16/2038 (A)		374		50
GNMA CMO, Ser 2008-55, Cl SA, IO
6.001%, 06/20/2038 (A)		889		128
GNMA CMO, Ser 2008-95, Cl DS, IO
7.101%, 12/20/2038 (A)		1,347		204
GNMA CMO, Ser 2009-102, Cl SM, IO
6.202%, 06/16/2039 (A)		1,653		193
GNMA CMO, Ser 2009-106, Cl AS, IO
6.202%, 11/16/2039 (A)		1,446		229
GNMA CMO, Ser 2009-106, Cl KS, IO
6.201%, 11/20/2039 (A)		15,683		2,167
GNMA CMO, Ser 2009-106, Cl SU, IO
6.001%, 05/20/2037 (A)		2,857		418


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/2039	$	512	$	90
GNMA CMO, Ser 2009-14, Cl NI, IO
6.500%, 03/20/2039		25		5
GNMA CMO, Ser 2009-18, Cl PI, IO
5.500%, 11/16/2037		944		116
GNMA CMO, Ser 2009-22, Cl SA, IO
6.072%, 04/20/2039 (A)		1,358		190
GNMA CMO, Ser 2009-24, Cl DS, IO
6.101%, 03/20/2039 (A)		666		78
GNMA CMO, Ser 2009-25, Cl SE, IO
7.401%, 09/20/2038 (A)		525		100
GNMA CMO, Ser 2009-31, Cl TS, IO
6.102%, 03/20/2039 (A)		1,263		173
GNMA CMO, Ser 2009-33, Cl TI, IO
6.000%, 05/20/2039		215		35
GNMA CMO, Ser 2009-42, Cl IY, IO
1.000%, 06/16/2037 (A)		1,566		38
GNMA CMO, Ser 2009-42, Cl SC, IO
5.881%, 06/20/2039 (A)		438		64
GNMA CMO, Ser 2009-43, Cl SA, IO
5.751%, 06/20/2039 (A)		1,128		154
GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/2020		1,064		1,154
GNMA CMO, Ser 2009-6, Cl SH, IO
5.841%, 02/20/2039 (A)		954		130
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/2038		583		81
GNMA CMO, Ser 2009-65, Cl TS, IO
6.201%, 12/20/2038 (A)		1,748		228
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/2039		2,245		2,707
GNMA CMO, Ser 2009-66, Cl XS, IO
6.602%, 07/16/2039 (A)		172		27
GNMA CMO, Ser 2009-67, Cl SA, IO
5.852%, 08/16/2039 (A)		1,162		163


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2009-72, Cl SM, IO
6.052%, 08/16/2039 (A)	$	1,560	$	227
GNMA CMO, Ser 2009-75, Cl VM
5.000%, 12/20/2019		839		884
GNMA CMO, Ser 2009-79, Cl OK, PO
0.000%, 11/16/2037		894		787
GNMA CMO, Ser 2009-8, Cl PS
6.102%, 08/16/2038 (A)		137		19
GNMA CMO, Ser 2009-83, Cl TS, IO
5.901%, 08/20/2039 (A)		1,099		146
GNMA CMO, Ser 2010-113, Cl BS, IO
5.801%, 09/20/2040 (A)		2,070		316
GNMA CMO, Ser 2010-116, Cl MP
3.500%, 09/16/2040		1,413		1,521
GNMA CMO, Ser 2010-121, Cl A, IO
5.801%, 09/20/2040 (A)		1,749		274
GNMA CMO, Ser 2010-14, Cl AO, PO
0.000%, 12/20/2032		437		416
GNMA CMO, Ser 2010-14, Cl BO, PO
0.000%, 11/20/2035		491		447
GNMA CMO, Ser 2010-14, Cl CO, PO
0.000%, 08/20/2035		425		369
GNMA CMO, Ser 2010-14, Cl EO, PO
0.000%, 06/16/2033		84		84
GNMA CMO, Ser 2010-14, Cl QP
6.000%, 12/20/2039		732		797
GNMA CMO, Ser 2010-14, Cl SH, IO
5.802%, 02/16/2040 (A)		820		159
GNMA CMO, Ser 2010-144, Cl BI, IO
4.000%, 09/16/2037		3,898		490
GNMA CMO, Ser 2010-157, Cl OP, PO
0.000%, 12/20/2040		1,254		1,048
GNMA CMO, Ser 2010-167, Cl US, IO
6.431%, 11/20/2038 (A)		703		77
GNMA CMO, Ser 2010-20, Cl SC, IO
5.952%, 02/20/2040 (A)		3,630		692


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2010-20, Cl SE, IO
6.051%, 02/20/2040 (A)	$	825	$	121
GNMA CMO, Ser 2010-3, Cl MS, IO
6.351%, 11/20/2038 (A)		1,999		245
GNMA CMO, Ser 2010-31, Cl GS, IO
6.301%, 03/20/2039 (A)		875		137
GNMA CMO, Ser 2010-4, Cl NS, IO
6.192%, 01/16/2040 (A)		19,010		3,064
GNMA CMO, Ser 2010-4, Cl SL, IO
6.202%, 01/16/2040 (A)		399		66
GNMA CMO, Ser 2010-47, Cl PX, IO
6.502%, 06/20/2037 (A)		2,405		360
GNMA CMO, Ser 2010-47, Cl XN, IO
6.352%, 04/16/2034 (A)		465		23
GNMA CMO, Ser 2010-59, Cl LB
4.500%, 10/20/2039		2,900		3,220
GNMA CMO, Ser 2010-7, Cl EA
5.000%, 06/16/2038		895		1,017
GNMA CMO, Ser 2010-85, Cl HS, IO
6.451%, 01/20/2040 (A)		1,361		263
GNMA CMO, Ser 2010-93, Cl PS, IO
6.502%, 06/20/2035 (A)		256		20
GNMA CMO, Ser 2010-H10, Cl FC
1.198%, 05/20/2060 (A)		4,965		5,067
GNMA CMO, Ser 2010-H17, Cl XQ
5.246%, 07/20/2060 (A)		1,732		1,998
GNMA CMO, Ser 2010-H26, Cl LF
0.554%, 08/20/2058 (A)		6,660		6,625
GNMA CMO, Ser 2011-146, Cl EI, IO
5.000%, 11/16/2041		147		36
GNMA CMO, Ser 2011-146, Cl YS, IO
6.452%, 11/16/2041 (A)		1,051		229
GNMA CMO, Ser 2011-163, Cl WA
5.792%, 12/20/2038 (A)		956		1,057
GNMA CMO, Ser 2011-32, Cl S, IO
5.802%, 03/16/2041 (A)		334		33


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2011-40, Cl SA, IO
5.932%, 02/16/2036 (A)	$	2,393	$	315
GNMA CMO, Ser 2011-70, Cl BS, IO
6.502%, 12/16/2036 (A)		1,455		203
GNMA CMO, Ser 2011-H09, Cl AF
0.704%, 03/20/2061 (A)		1,745		1,745
GNMA CMO, Ser 2012-141, Cl WC
3.777%, 01/20/2042 (A)		934		1,014
GNMA CMO, Ser 2012-61, Cl FM
0.598%, 05/16/2042 (A)		1,326		1,329
GNMA CMO, Ser 2012-66, Cl CI, IO
3.500%, 02/20/2038		2,724		419
GNMA CMO, Ser 2012-98, Cl SA, IO
5.902%, 08/16/2042 (A)		2,059		477
GNMA CMO, Ser 2012-H15, Cl FA
0.654%, 05/20/2062 (A)		1,449		1,448
GNMA CMO, Ser 2012-H21, Cl CF
0.904%, 05/20/2061 (A)		2,239		2,251
GNMA CMO, Ser 2012-H21, Cl DF
0.854%, 05/20/2061 (A)		1,499		1,506
GNMA CMO, Ser 2012-H22, Cl FD
0.674%, 01/20/2061 (A)		2,482		2,480
GNMA CMO, Ser 2012-H24, Cl FA
0.654%, 03/20/2060 (A)		1,470		1,469
GNMA CMO, Ser 2012-H24, Cl FE
0.804%, 10/20/2062 (A)		1,532		1,540
GNMA CMO, Ser 2012-H24, Cl FG
0.634%, 04/20/2060 (A)		2,440		2,437
GNMA CMO, Ser 2012-H26, Cl MA
0.754%, 07/20/2062 (A)		1,492		1,500
GNMA CMO, Ser 2012-H27, Cl FB
0.704%, 10/20/2062 (A)		3,464		3,469
GNMA CMO, Ser 2012-H28, Cl FA
0.784%, 09/20/2062 (A)		2,432		2,438
GNMA CMO, Ser 2012-H30, Cl JA
0.684%, 01/20/2060 (A)		1,523		1,528


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2012-H30, Cl PA
0.654%, 11/20/2059 (A)	$	1,382	$	1,384
GNMA CMO, Ser 2013-H01, Cl FA
1.650%, 01/20/2063		3,639		3,611
GNMA CMO, Ser 2013-H01, Cl JA
0.524%, 01/20/2063 (A)		1,493		1,482
GNMA CMO, Ser 2013-H01, Cl TA
0.704%, 01/20/2063 (A)		1,992		1,998
GNMA CMO, Ser 2013-H04, Cl BA
1.650%, 02/20/2063		1,506		1,492
GNMA TBA
3.500%, 06/15/2041 to 07/20/2043		47,420		49,722
3.000%, 07/19/2042 to 07/20/2043		66,975		67,991
NCUA Guaranteed Notes CMO, Ser 2010-A1, Cl A
0.550%, 12/07/2020 (A)		186		186
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl A2
2.900%, 10/29/2020		1,100		1,159
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/2020		5,618		5,874
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.650%, 10/07/2020 (A)		9,716		9,779
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.568%, 11/06/2017 (A)		4,367		4,377
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.668%, 11/05/2020 (A)		3,208		3,222
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 1A
0.763%, 12/08/2020 (A)		1,386		1,394
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 2A
0.760%, 12/08/2020 (A)		489		494
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 3A
2.400%, 12/08/2020		335		343
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.648%, 01/08/2020 (A)		74		74
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.600%, 02/06/2020 (A)		847		851

				2,256,667


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

Non-Agency Mortgage-Backed Obligations — 7.6%
A10 Securitization LLC, Ser 2012-1, Cl A
3.492%, 04/15/2024 (B)	$	636	$	644
AAM ACE Resecuritization Trust, Ser 2011-1, Cl A20
0.435%, 02/02/2037 (A) (B)		410		397
American General Mortgage Loan Trust, Ser 2009-1, Cl A5
5.750%, 09/25/2048 (A) (B)		724		729
American General Mortgage Loan Trust, Ser 2009-1, Cl A7
5.750%, 09/25/2048 (A) (B)		1,500		1,585
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1
5.150%, 03/25/2058 (A) (B)		312		320
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3
5.650%, 03/25/2058 (A) (B)		570		599
American Home Mortgage Assets, Ser 2006-5, Cl A1
1.098%, 11/25/2046 (A)		1,258		739
American Home Mortgage Assets, Ser 2007-2, Cl A1
0.318%, 03/25/2047 (A)		79		61
ASG Resecuritization Trust, Ser 2009-2, Cl A55
4.944%, 05/24/2036 (A) (B)		285		293
ASG Resecuritization Trust, Ser 2009-2, Cl G60
4.944%, 05/24/2036 (A) (B)		400		422
ASG Resecuritization Trust, Ser 2009-3, Cl A65
2.294%, 03/26/2037 (A) (B)		1,156		1,162
ASG Resecuritization Trust, Ser 2009-4, Cl A60
6.000%, 06/28/2037 (B)		701		724
ASG Resecuritization Trust, Ser 2010-3, Cl 2A22
0.397%, 10/28/2036 (A) (B)		169		168
ASG Resecuritization Trust, Ser 2011-1, Cl 3A50
2.596%, 11/28/2035 (A) (B)		450		443
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/2034		269		280
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/2034		520		543
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1
5.500%, 09/25/2033		362		369
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/2018		433		442


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/2033	$	337	$	346
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/2019		308		314
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/2019		295		310
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
6.254%, 11/25/2021 (A)		152		150
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
6.434%, 04/25/2037 (A)		388		312
Banc of America Commercial Mortgage Trust, Ser 2006-5, Cl A4
5.414%, 09/10/2047		490		545
Banc of America Commercial Mortgage, Ser 2004-6, Cl A3
4.512%, 12/10/2042		41		41
Banc of America Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/2043 (A)		6,915		7,356
Banc of America Commercial Mortgage, Ser 2005-3, Cl A4
4.668%, 07/10/2043		500		533
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/2043		1,050		1,110
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4
5.115%, 10/10/2045 (A)		300		325
Banc of America Commercial Mortgage, Ser 2005-6, Cl A4
5.359%, 09/10/2047 (A)		70		76
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4
5.372%, 09/10/2045 (A)		2,232		2,450
Banc of America Commercial Mortgage, Ser 2006-1, Cl AM
5.421%, 09/10/2045 (A)		554		604
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/2044 (A)		825		923
Banc of America Commercial Mortgage, Ser 2006-4, Cl A4
5.634%, 07/10/2046		800		887
Banc of America Commercial Mortgage, Ser 2006-6, Cl A4
5.356%, 10/10/2045		2,617		2,885


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Funding, Ser 2003-2, Cl 1A1
6.500%, 06/25/2032	$	21	$	23
Banc of America Funding, Ser 2004-2, Cl 1CB1
5.750%, 09/20/2034		337		355
Banc of America Funding, Ser 2004-C, Cl 1A1
5.061%, 12/20/2034 (A)		198		200
Banc of America Funding, Ser 2005-B, Cl 2A1
2.833%, 04/20/2035 (A)		3,472		3,352
Banc of America Funding, Ser 2006-G, Cl 2A3
0.368%, 07/20/2036 (A)		3,587		3,493
Banc of America Funding, Ser 2010-R11A, Cl 1A6
5.538%, 08/26/2035 (A) (B)		575		611
Banc of America Funding, Ser 2010-R5, Cl 1A1
5.500%, 10/26/2037 (B)		336		349
Banc of America Funding, Ser 2012-R6, Cl 1A1
3.000%, 10/26/2039 (B)		1,874		1,877
Banc of America Mortgage Securities, Ser 2003-3, Cl 1A7
5.500%, 05/25/2033		527		543
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.743%, 05/25/2018 (A)		130		125
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1
0.643%, 08/25/2018 (A)		113		108
Banc of America Mortgage Securities, Ser 2003-A, Cl 2A2
3.168%, 02/25/2033 (A)		4		4
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2
3.135%, 06/25/2033 (A)		244		247
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26
5.500%, 04/25/2034		689		706
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1
5.000%, 04/25/2019		121		124
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/2019		100		103
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1
6.500%, 09/25/2032		93		98
Banc of America Re-Remic Trust, Ser 2012-PARK, Cl A
2.959%, 12/10/2030 (B)		411		405


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bayview Commercial Asset Trust, Ser 2005-3A, Cl A1
0.513%, 11/25/2035 (A) (B)	$	5,079	$	4,383
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A1
0.423%, 12/25/2036 (A) (B)		2,230		1,895
BB-UBS Trust, Ser 2012-SHOW, Cl A
3.430%, 11/05/2036 (B)		400		392
BB-UBS Trust, Ser 2012-TFT, Cl A
2.892%, 06/05/2030 (B)		1,500		1,476
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1
5.750%, 06/26/2037 (B)		535		553
BCAP LLC Trust, Ser 2009-RR13, Cl 17A2
5.500%, 04/26/2037 (A) (B)		655		647
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/2034 (B)		667		695
BCAP LLC Trust, Ser 2010-RR12, Cl 2A5
4.500%, 01/26/2036 (A) (B)		581		600
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5
5.278%, 04/26/2037 (A) (B)		695		703
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1
5.500%, 11/26/2037 (A) (B)		148		148
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
5.002%, 04/26/2035 (A) (B)		208		204
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1
2.502%, 07/26/2045 (A) (B)		861		836
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1
1.000%, 01/26/2036 (A) (B)		248		245
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1
0.876%, 02/26/2047 (A) (B)		292		283
BCAP LLC Trust, Ser 2010-RR8, Cl 3A4
5.058%, 05/26/2035 (A) (B)		700		668
BCAP LLC Trust, Ser 2011-RR10, Cl 2A1
1.057%, 09/26/2037 (A) (B)		920		827
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3
5.000%, 08/26/2037 (A) (B)		793		783


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BCAP LLC Trust, Ser 2011-RR5, Cl 11A3
0.350%, 05/28/2036 (A) (B)	$	798	$	736
BCAP LLC Trust, Ser 2011-RR5, Cl 14A3
2.877%, 07/26/2036 (A) (B)		427		426
BCAP LLC Trust, Ser 2012-RR10, Cl 3A1
0.390%, 05/26/2036 (A) (B)		1,759		1,637
BCAP LLC Trust, Ser 2012-RR2, Cl 1A1
0.363%, 08/26/2036 (A) (B)		718		691
BCAP LLC Trust, Ser 2012-RR3, Cl 2A5
2.184%, 05/26/2037 (A) (B)		679		672
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
5.075%, 05/25/2034 (A)		177		180
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.269%, 05/25/2034 (A)		305		300
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.240%, 08/25/2035 (A)		359		371
Bear Stearns Alt-A Trust, Ser 2004-13, Cl A1
0.933%, 11/25/2034 (A)		45		44
Bear Stearns Alternative Trust, Ser 2005-2, Cl 2A4
2.789%, 04/25/2035 (A)		209		186
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/2038		5		5
Bear Stearns Commercial Mortgage Securities, Ser 2003-PWR2, Cl A4
5.186%, 05/11/2039 (A)		1,718		1,723
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/2041		93		93
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO
0.223%, 06/11/2041 (A) (B)		13,276		171
Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4
4.933%, 02/13/2042 (A)		161		171


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.145%, 10/12/2042 (A)	$	8,280	$	8,991
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4
5.618%, 03/11/2039 (A)		300		330
Bear Stearns Commercial Mortgage Securities, Ser 2006-T22, Cl A4
5.581%, 04/12/2038 (A)		4,815		5,323
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4
5.537%, 10/12/2041		300		337
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW10, Cl A4
5.405%, 12/11/2040 (A)		400		437
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW16, Cl AM
5.714%, 06/11/2040 (A)		440		499
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl AM
5.888%, 06/11/2050 (A)		470		541
CD Commercial Mortgage Trust, Ser 2005-CD1, Cl A4
5.219%, 07/15/2044 (A)		1,983		2,154
CD Commercial Mortgage Trust, Ser 2005-CD1, Cl AJ
5.219%, 07/15/2044 (A)		600		642
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl AM
5.351%, 01/15/2046 (A)		200		218
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl A3
5.293%, 12/11/2049		134		138
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4
4.961%, 04/15/2044 (A) (B)		2,670		3,024
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
2.990%, 02/25/2037 (A)		250		255
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
2.956%, 02/25/2037 (A)		168		171
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
2.991%, 07/25/2037 (A)		405		409


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Chevy Chase Funding LLC Mortgage-Backed Certificates, Ser 2004-1A, Cl A1
0.473%, 01/25/2035 (A) (B)	$	35	$	30
Citicorp Mortgage Securities, Ser 2004-4, Cl A4
5.500%, 06/25/2034		417		436
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl A4
4.860%, 05/15/2043		2,624		2,771
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM
4.830%, 05/15/2043 (A)		440		465
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.696%, 12/10/2049 (A)		976		1,123
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl AAB
2.690%, 04/10/2046		638		638
Citigroup Mortgage Loan Trust, Ser 2004-HYB1, Cl A41
3.050%, 02/25/2034 (A)		68		61
Citigroup Mortgage Loan Trust, Ser 2004-RR2, Cl A2
4.673%, 05/25/2034 (A) (B)		742		774
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6
4.464%, 08/25/2034 (A)		167		168
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11
5.500%, 05/25/2035		323		337
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
2.935%, 11/25/2038 (A) (B)		761		776
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1
2.429%, 09/25/2033 (A) (B)		503		513
Citigroup Mortgage Loan Trust, Ser 2009-11, Cl 3A1
5.750%, 05/25/2037 (A) (B)		782		828
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1
6.000%, 06/25/2036 (B)		1,200		1,267
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1
2.610%, 02/25/2035 (A) (B)		230		235
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 5A6
4.000%, 11/25/2036 (B)		1,972		2,042
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 6A6
4.500%, 12/25/2036 (B)		2,116		2,232
Citigroup Mortgage Loan Trust, Ser 2011-3, Cl 1A1
0.273%, 02/25/2047 (A) (B)		163		162


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup Mortgage Loan Trust, Ser 2011-5, Cl 1A1
0.383%, 02/25/2046 (A) (B)	$	541	$	504
Citigroup Mortgage Loan Trust, Ser 2012-A, Cl A
2.500%, 06/25/2051 (B)		809		801
Citigroup, Ser 2006-CD2, Cl X, IO
0.083%, 01/15/2046 (A) (B)		69,654		109
Citigroup, Ser 2007-CD4, Cl XC, IO
0.157%, 12/11/2049 (A) (B)		40,001		308
COBALT CMBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.223%, 08/15/2048		1,070		1,180
COBALT CMBS Commercial Mortgage Trust, Ser 2007-C2, Cl AMFX
5.526%, 04/15/2047 (A)		520		586
Commercial Mortgage Pass-Through Certificates, Ser 2005-LP5, Cl A4
4.982%, 05/10/2043 (A)		600		638
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR2, Cl XA, IO
1.960%, 08/15/2045 (A)		1,218		150
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A3
2.822%, 11/15/2045		90		88
Commercial Mortgage Pass-Through Certificates, Ser 2012-MVP, Cl A
2.138%, 11/17/2026 (A) (B)		334		338
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR7, Cl ASB
2.739%, 03/10/2046		2,182		2,210
Commercial Mortgage Pass-Through Certificates, Ser CR2, Cl ASB
2.752%, 08/15/2045		2,464		2,510
Commercial Mortgage Pass-Through Certificates, Ser LC6, Cl ASB
2.478%, 01/10/2046		1,429		1,426
Commercial Mortgage Pass-Through Certificates, Ser WWP, Cl A2
3.424%, 03/10/2031 (B)		770		772


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/2033	$	1,623	$	1,714
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/2034		1,652		1,604
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/2034		155		158
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/2031		715		751
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO
0.000%, 11/25/2031		233		200
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.276%, 08/25/2035 (A)		744		494
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6
5.000%, 10/25/2033		643		665
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-56, Cl 6A1
3.009%, 12/25/2033 (A)		398		405
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7
5.250%, 01/25/2034		971		1,003
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J7, Cl 4A3
9.523%, 08/25/2018 (A)		54		57
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-14, Cl 4A1
4.922%, 08/25/2034 (A)		505		512
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-20, Cl 2A1
2.858%, 09/25/2034 (A)		59		50
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-5, Cl 1A4
5.500%, 06/25/2034		585		608
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/2019		484		500
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7
5.250%, 12/25/2027		673		648


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.593%, 09/25/2035 (A) (B)	$	3,961	$	3,446
Credit Suisse Commercial Mortgage Trust, Ser 2007-C2, Cl AM
5.613%, 01/15/2049 (A)		1,465		1,621
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/2033		761		794
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A4
5.250%, 11/25/2033		328		337
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/2033		222		238
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1
6.000%, 11/25/2018		352		365
Credit Suisse First Boston Mortgage Securities, Ser 2004-4, Cl 2A4
5.500%, 09/25/2034		528		564
Credit Suisse First Boston Mortgage Securities, Ser 2004-8, Cl 1A4
5.500%, 12/25/2034		559		586
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2
2.724%, 06/25/2034 (A)		504		505
Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A4
4.829%, 11/15/2037		445		466
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/2037		1,720		1,813
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM
4.730%, 07/15/2037		400		424
Credit Suisse First Boston Mortgage Securities, Ser 2005-C5, Cl A4
5.100%, 08/15/2038 (A)		1,831		1,963
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3
5.863%, 03/15/2039 (A)		825		910


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/2039	$	4,998	$	5,560
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1
2.811%, 09/26/2046 (A) (B)		305		305
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1
5.340%, 10/26/2037 (A) (B)		2		2
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3
4.250%, 06/25/2050 (A) (B)		400		391
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1
4.750%, 05/27/2037 (B)		271		271
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3
3.500%, 12/27/2036 (A) (B)		284		290
Credit Suisse Mortgage Capital Certificates, Ser 2011-1R, Cl A1
1.204%, 02/27/2047 (A) (B)		757		753
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1
2.952%, 07/28/2036 (A) (B)		563		554
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1
1.454%, 08/28/2047 (A) (B)		911		907
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1
2.204%, 03/27/2046 (A) (B)		1,707		1,716
Credit Suisse Mortgage Capital Certificates, Ser 2012-11R, Cl A6
1.198%, 06/28/2047 (A) (B)		4,321		4,170
Credit Suisse Mortgage Capital Certificates, Ser 2012-3R, Cl 1A1
3.250%, 07/27/2037 (A) (B)		997		1,015
DBRR Trust, Ser 2011-LC2, Cl A4A
4.537%, 07/12/2044 (A) (B)		2,845		3,171
DBRR Trust, Ser 2012-EZ1, Cl A
0.946%, 09/25/2045 (B)		6,838		6,854
DBRR Trust, Ser 2013-EZ2, Cl A
0.853%, 02/25/2043 (A) (B)		6,661		6,659
DBUBS Mortgage Trust, Ser 2011-LC3A, Cl XA, IO
1.450%, 08/10/2044 (A) (B)		6,566		281


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Deutsche Mortgage Securities, Ser 2009-RS2, Cl 4A1
0.334%, 04/26/2037 (A) (B)	$	159	$	156
Deutsche Mortgage Securities, Ser 2010-RS2, Cl A1
1.454%, 06/28/2047 (A) (B)		9		9
Deutsche Securities Alternative Loan Trust, Ser 2005-1, Cl 2A1
5.635%, 02/25/2020 (A)		214		222
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/2022 (B)		2,593		2,674
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.598%, 11/19/2044 (A)		1,611		1,010
Extended Stay America Trust, Ser 2013-ESH7, Cl A27
2.958%, 12/05/2031 (B)		550		549
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A
2.980%, 12/06/2020 (B)		796		828
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.754%, 02/25/2048 (A) (B)		2,699		2,701
First Horizon Alternative Mortgage Securities, Ser 2004-AA3, Cl A1
2.314%, 09/25/2034 (A)		453		454
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/2018		320		329
Fontainebleau Miami Beach Trust, Ser 2012-FBLU, Cl A
2.887%, 05/05/2027 (B)		1,011		1,025
GE Business Loan Trust, Ser 2003-2A, Cl A
0.569%, 11/15/2031 (A) (B)		4,983		4,846
GE Business Loan Trust, Ser 2005-2A, Cl B
0.699%, 11/15/2033 (A) (B)		1,606		1,356
GE Capital Commercial Mortgage, Ser 2005-C1, Cl A5
4.772%, 06/10/2048 (A)		75		79
GE Capital Commercial Mortgage, Ser 2005-C1, Cl AJ
4.826%, 06/10/2048 (A)		1,000		1,045
GE Capital Commercial Mortgage, Ser 2005-C1, Cl B
4.846%, 06/10/2048 (A)		500		517
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/2040		1,075		1,081
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4
5.238%, 11/10/2045 (A)		700		752


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
3.390%, 10/19/2033 (A)	$	1,208	$	1,244
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/2033		408		415
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/2033		601		611
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7
6.500%, 01/25/2035		497		527
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1
5.000%, 01/25/2020		188		194
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/2036 (A) (C)		1,524		1,557
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AJ
4.859%, 08/10/2042 (A)		220		230
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/2037 (A)		6,568		7,102
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM
6.060%, 07/10/2038 (A)		1,160		1,288
GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/2038 (A)		1,000		1,099
GS Mortgage Securities II, Ser 2006-GG8, Cl X, IO
0.594%, 11/10/2039 (A) (B)		10,486		180
GS Mortgage Securities II, Ser 2011-GC5, Cl A2
2.999%, 08/10/2044		55		58
GS Mortgage Securities II, Ser 2011-GC5, Cl A4
3.707%, 08/10/2044		10,105		10,738
GS Mortgage Securities II, Ser 2011-GC5, Cl XA, IO
1.912%, 08/10/2044 (A) (B)		2,143		175
GS Mortgage Securities II, Ser 2013-GC12, Cl A4
3.135%, 06/10/2046		2,874		2,883
GS Mortgage Securities, Ser 2013-KING, Cl A
2.706%, 12/10/2027 (B)		304		309
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/2027 (A) (B)		4		4
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AF
0.543%, 09/25/2035 (A) (B)		525		451


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AS, IO
4.935%, 09/25/2035 (A) (B)	$	420	$	70
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/2034		593		620
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3
0.693%, 06/25/2035 (A)		113		106
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/2037		107		110
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1
0.643%, 10/25/2034 (A)		805		815
Impac CMB Trust, Ser 2005-4, Cl 2A1
0.500%, 05/25/2035 (A)		384		384
Impac Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/2051 (B)		4,284		4,720
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/2033		543		570
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1
0.543%, 05/25/2036 (A)		460		451
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1
0.543%, 08/25/2036 (A)		1,183		1,164
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
3.221%, 11/25/2037 (A)		1,230		1,125
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1
2.836%, 10/25/2034 (A)		24		24
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.053%, 09/25/2034 (A)		37		34
Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A
0.993%, 11/25/2034 (A)		57		51
JPMorgan Chase Commercial Mortgage Securities, Ser 2003CB6, Cl A2
5.255%, 07/12/2037 (A)		264		265
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2
5.115%, 07/15/2041		5,534		5,757


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB11, Cl AJ
5.541%, 08/12/2037 (A)	$	700	$	745
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/2042		220		221
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO
0.103%, 06/12/2043 (A)		49,708		336
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4
5.429%, 12/12/2043		9,753		10,846
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl A4
5.399%, 05/15/2045		580		648
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl AM
5.440%, 05/15/2045		749		836
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/2047		468		489
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3SF
0.354%, 05/15/2047 (A)		800		798
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-C1, Cl A4
5.716%, 02/15/2051		1,533		1,738
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl A4
5.714%, 02/12/2049 (A)		2,088		2,376
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB20, Cl AM
5.875%, 02/12/2051 (A)		475		550
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1
3.300%, 08/05/2032 (B)		926		979
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2
4.311%, 08/05/2032 (B)		1,668		1,809


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A2
3.149%, 08/15/2046	$	740	$	784
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C8, Cl ASB
2.379%, 10/15/2045		1,501		1,485
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-C10, Cl ASB
2.702%, 12/15/2047		2,643		2,663
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-LC11, Cl A5
2.960%, 04/15/2046		1,596		1,562
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-LC11, Cl ASB
2.554%, 04/15/2046		2,457		2,436
JPMorgan Chase Commercial Mortgage Securities, Ser CB18, Cl A4
5.440%, 06/12/2047		150		169
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
3.042%, 07/25/2034 (A)		127		130
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
2.290%, 06/25/2034 (A)		1,721		1,747
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
3.042%, 09/25/2034 (A)		115		119
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4
4.799%, 02/25/2035 (A)		668		681
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2
4.227%, 04/25/2035 (A)		360		360
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 3A3
2.385%, 06/25/2035 (A)		2		2
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 5A3
2.751%, 06/25/2035 (A)		548		542
JPMorgan Mortgage Trust, Ser 2005-A5, Cl 3A2
2.663%, 08/25/2035 (A)		82		83
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
3.010%, 08/25/2034 (A)		959		956
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3
2.903%, 11/25/2033 (A)		988		1,009


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
2.984%, 08/25/2034 (A)	$	476	$	475
JPMorgan Re-REMIC, Ser 2009-6, Cl 4A1
5.331%, 09/26/2036 (A) (B)		359		365
JPMorgan Re-REMIC, Ser 2010-4, Cl 7A1
1.865%, 08/26/2035 (A) (B)		262		260
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3
6.071%, 07/15/2044 (A)		844		872
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/2029		169		170
LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A6
4.799%, 12/15/2029 (A)		434		451
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/2031		350		382
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO
0.359%, 02/15/2041 (A) (B)		23,059		204
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4
6.062%, 06/15/2038 (A)		450		504
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl A4
5.372%, 09/15/2039		1,690		1,893
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/2040		258		264
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A4
5.424%, 02/15/2040		134		151
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AM
5.455%, 02/15/2040		150		167
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl AM
6.216%, 09/15/2045 (A)		500		582
LVII Resecuritization Trust, Ser 2009-3, Cl M3
5.473%, 11/27/2037 (A) (B)		300		319
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7
2.630%, 11/21/2034 (A)		1,509		1,569
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
2.630%, 11/21/2034 (A)		11,095		11,693
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/2034		1,737		1,824


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/2034 (B)	$	2,560	$	2,637
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F
0.553%, 07/25/2035 (A) (B)		1,145		972
Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1
2.460%, 10/25/2032 (A)		113		114
MASTR Adjustable Rate Mortgages Trust, Ser 2004-5, Cl 3A1
2.809%, 06/25/2034 (A)		27		25
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/2033		252		266
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3
6.250%, 07/25/2036		684		599
MASTR Asset Securitization Trust, Ser 2003-11, Cl 9A6
5.250%, 12/25/2033		736		767
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/2018		55		57
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18
5.500%, 04/25/2033		257		265
MASTR Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.543%, 05/25/2035 (A) (B)		518		433
MASTR Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO
0.000%, 05/28/2035 (B)		190		152
MASTR Seasoned Securities Trust, Ser 2004-1, Cl 4A1
2.816%, 10/25/2032 (A)		13		13
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A
2.742%, 07/25/2033 (A)		141		146
Merrill Lynch Mortgage Investors, Ser 2004-1, Cl 2A1
2.322%, 12/25/2034 (A)		511		519
Merrill Lynch Mortgage Investors, Ser 2004-A, Cl A2
0.917%, 04/25/2029 (A)		347		344
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1
2.557%, 02/25/2034 (A)		152		153
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.104%, 02/25/2034 (A)		1,304		1,343
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2
2.542%, 08/25/2034 (A)		300		311


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Merrill Lynch Mortgage Investors, Ser 2004-B, Cl A3
2.181%, 05/25/2029 (A)	$	506	$	516
Merrill Lynch Mortgage Investors, Ser 2004-D, Cl A2
1.181%, 09/25/2029 (A)		398		401
Merrill Lynch Mortgage Investors, Ser 2005-1, Cl 2A1
2.273%, 04/25/2035 (A)		51		50
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/2038 (A)		1,069		1,110
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl M1
5.047%, 07/12/2038 (A)		1,335		1,440
Merrill Lynch Mortgage Trust, Ser 2005-CKI1, Cl A6
5.448%, 11/12/2037 (A)		865		933
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl A4
5.291%, 01/12/2044 (A)		1,141		1,240
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ
5.546%, 01/12/2044 (A)		480		521
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
2.598%, 02/25/2036 (A)		299		280
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4
5.873%, 05/12/2039 (A)		505		563
Merrill Lynch Mortgage Trust, Ser 2007-C1, Cl A4
5.850%, 06/12/2050 (A)		2,427		2,769
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl AM
5.204%, 12/12/2049 (A)		460		508
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO
0.182%, 12/12/2049 (A) (B)		14,804		183
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4
5.378%, 08/12/2048		900		1,006
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4
5.485%, 03/12/2051 (A)		1,080		1,213
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl A4
5.700%, 09/12/2049		1,930		2,198
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Cl A3
2.825%, 08/15/2045		1,481		1,498


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Cl XA, IO
1.926%, 08/15/2045 (A) (B)	$	5,133	$	555
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A3
2.506%, 11/15/2045		3,654		3,627
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl A4
2.918%, 02/15/2046		670		656
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl AAB
2.469%, 02/15/2046		681		676
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl AS
3.214%, 02/15/2046		707		696
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A4
3.102%, 05/15/2046		1,277		1,264
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AAB
2.657%, 05/15/2046		2,023		2,023
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS
3.456%, 05/15/2046		420		421
Morgan Stanley Capital I, Ser 2004-HQ4, Cl A7
4.970%, 04/14/2040		1,762		1,817
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/2042		132		133
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.357%, 11/14/2042 (A)		108		108
Morgan Stanley Capital I, Ser 2005-T19, Cl A4A
4.890%, 06/12/2047		7,400		7,943
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/2052 (A)		5,645		6,134
Morgan Stanley Capital I, Ser 2006-T23, Cl A4
5.818%, 08/12/2041 (A)		6,350		7,144
Morgan Stanley Capital I, Ser 2007-HQ11, Cl X, IO
0.226%, 02/12/2044 (A) (B)		39,048		217


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley Capital I, Ser 2007-IQ15, Cl A4
6.094%, 06/11/2049 (A)	$	1,000	$	1,143
Morgan Stanley Capital I, Ser 2007-T27, Cl A4
5.816%, 06/11/2042 (A)		300		345
Morgan Stanley Capital I, Ser 2011-C3, Cl A2
3.224%, 07/15/2049		1,620		1,721
Morgan Stanley Capital I, Ser 2011-C3, Cl A3
4.054%, 07/15/2049		340		371
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/2049		950		1,032
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A
5.671%, 04/25/2034 (A)		535		560
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.303%, 02/25/2047 (A)		148		136
Morgan Stanley Re-REMIC Trust, Ser 2009-IO, Cl A2
5.000%, 07/17/2056 (B)		529		532
Morgan Stanley Re-REMIC Trust, Ser 2010-C30A, Cl A3A
3.250%, 12/17/2043 (B)		29		29
Morgan Stanley Re-REMIC Trust, Ser 2010-HQ4B, Cl A7A
4.970%, 04/16/2040 (B)		1,267		1,301
Morgan Stanley Re-REMIC Trust, Ser 2011-IO, Cl A
2.500%, 03/23/2051 (B)		866		874
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051		1,164		1,151
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl A
2.000%, 07/27/2049 (B)		2,634		2,667
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl B
0.250%, 07/27/2049 (B)		400		333
Motel 6 Trust, Ser 2012-MTL6, Cl A2
1.948%, 10/05/2025 (B)		4,434		4,406
New York Mortgage Trust, Ser 2006-1, Cl 2A2
2.861%, 05/25/2036 (A)		495		444
Nomura Resecuritization Trust, Ser 2010-6RA, Cl 1A5
2.560%, 03/26/2036 (A) (B)		574		579
NorthStar Mortgage Trust, Ser 2012-1, Cl A
1.393%, 08/25/2029 (A) (B)		1,083		1,082


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/2034	$	223	$	245
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO
0.000%, 02/25/2034		62		52
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1
5.500%, 05/25/2035 (B)		2,183		2,190
RALI Trust, Ser 2005-QO5, Cl A1
1.176%, 01/25/2046 (A)		1,221		875
RAMP Trust, Ser 2004-SL1, Cl A7
7.000%, 11/25/2031		152		160
RAMP Trust, Ser 2005-SL1, Cl A5
6.500%, 05/25/2032		56		54
RBSSP Resecuritization Trust, Ser 2010-12, Cl 8A1
4.000%, 06/27/2021 (B)		310		312
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5
4.000%, 05/26/2037 (A) (B)		675		694
RBSSP Resecuritization Trust, Ser 2012-3, Cl 3A1
0.343%, 09/26/2036 (A) (B)		805		742
RCMC LLC, Ser 2012-CRE1, Cl A
5.624%, 11/15/2044 (B)		919		917
Residential Accredit Loans, Ser 2003-QS15, Cl A7
5.500%, 08/25/2033		683		703
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/2018		256		263
Residential Accredit Loans, Ser 2003-QS19, Cl A1
5.750%, 10/25/2033		356		380
Residential Accredit Loans, Ser 2004-QS7, Cl A4
5.500%, 05/25/2034		1,639		1,665
Residential Accredit Loans, Ser 2005-QO2, Cl A1
1.536%, 09/25/2045 (A)		862		749
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/2031		573		591
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/2031		983		1,005
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/2033		327		341
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.695%, 12/25/2034 (A)		1,287		1,302


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Residential Funding Mortgage Securities I, Ser 2003-S4, Cl A4
5.750%, 03/25/2033	$	306	$	310
Residential Funding Mortgage Securities I, Ser 2004-S5, Cl 1A9
5.500%, 05/25/2022		5		5
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A
3.097%, 09/25/2033 (A)		497		506
Sequoia Mortgage Trust, Ser 2004-12, Cl A3
0.829%, 01/20/2035 (A)		757		643
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/2040 (A)		114		113
Sequoia Mortgage Trust, Ser 2011-1, Cl A1
4.125%, 02/25/2041 (A)		171		175
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1
4.050%, 01/25/2058 (A) (B)		735		759
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A2
5.450%, 01/25/2058 (A) (B)		1,000		1,050
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl A
2.667%, 09/25/2057 (A) (B)		333		339
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl M3
6.000%, 09/25/2057 (A) (B)		700		740
Springleaf Mortgage Loan Trust, Ser 2012-2A, Cl A
2.220%, 10/25/2057 (A) (B)		1,189		1,231
Springleaf Mortgage Loan Trust, Ser 2012-2A, Cl M4
6.000%, 10/25/2057 (A) (B)		800		823
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl A
1.570%, 12/25/2059 (A) (B)		1,630		1,638
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M1
2.660%, 12/25/2059 (A) (B)		432		438
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M2
3.560%, 12/25/2059 (A) (B)		330		336
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M3
4.440%, 12/25/2059 (A) (B)		253		263
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M4
5.300%, 12/25/2059 (A) (B)		121		126


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4
4.902%, 06/25/2034 (A)	$	592	$	602
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.513%, 10/25/2035 (A)		3,709		3,214
Structured Asset Mortgage Investments, Ser 2004-AR5, Cl 1A1
0.858%, 10/19/2034 (A)		286		288
Structured Asset Securities, Ser 2001-15A, Cl 4A1
2.310%, 10/25/2031 (A)		53		54
Structured Asset Securities, Ser 2003-16, Cl A3
0.693%, 06/25/2033 (A)		301		293
Structured Asset Securities, Ser 2003-31A, Cl 2A7
2.591%, 10/25/2033 (A)		8,258		8,412
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.445%, 11/25/2033 (A)		127		135
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/2033		621		628
Structured Asset Securities, Ser 2003-37A, Cl 2A
4.758%, 12/25/2033 (A)		191		194
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/2033		667		690
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.833%, 09/25/2043 (A)		569		552
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
5.541%, 08/15/2039 (A)		2,064		2,156
UBS-BAMLL Trust, Ser 2012-WRM, Cl A
3.663%, 06/10/2030 (B)		866		876
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C6, Cl ASB
2.788%, 04/10/2046		3,380		3,393
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A1, IO
1.813%, 05/10/2063 (A) (B)		3,701		374
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4
3.525%, 05/10/2063		416		430


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A3
2.728%, 08/10/2049	$	2,058	$	2,072
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl AAB
2.459%, 12/10/2045		4,908		4,887
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl AS
3.317%, 12/10/2045 (B)		900		893
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4
3.185%, 03/10/2046		2,428		2,432
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C6, Cl A4
3.244%, 04/10/2046		2,395		2,403
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/2023		1,945		2,273
Vericrest Opportunity Loan Transferee, Ser 2012-NL2A, Cl A1
2.487%, 02/26/2052 (B)		1,027		1,029
Vericrest Opportunity Loan Transferee, Ser 2012-NL3A, Cl A
2.734%, 11/25/2060 (A) (B)		1,389		1,393
VNO Mortgage Trust, Ser 2012-6AVE, Cl A
2.996%, 11/15/2030 (B)		877		859
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl A4
5.012%, 12/15/2035 (A)		2,638		2,667
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7
5.118%, 07/15/2042 (A)		130		140
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C22, Cl A4
5.290%, 12/15/2044 (A)		1,000		1,089
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl XC, IO
0.045%, 06/15/2045 (A) (B)		80,884		200
Wachovia Bank Commercial Mortgage Trust, Ser 2007-C30, Cl A5
5.342%, 12/15/2043		1,100		1,238


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wachovia Bank Commercial Mortgage Trust, Ser 2007-C30, Cl AM
5.383%, 12/15/2043	$	560	$	613
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A
2.495%, 01/25/2033 (A)		315		322
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR6, Cl A
1.573%, 06/25/2042 (A)		24		23
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.505%, 10/25/2033 (A)		402		414
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1
2.443%, 06/25/2033 (A)		393		405
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.321%, 08/25/2033 (A)		337		342
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.457%, 08/25/2033 (A)		205		210
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.429%, 09/25/2033 (A)		715		732
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 2A
2.462%, 09/25/2033 (A)		273		280
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/2018		144		146
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/2018		204		210
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.931%, 06/25/2033 (A)		70		85
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/2033		1,300		1,362
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1
2.517%, 06/25/2034 (A)		200		204


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
2.517%, 06/25/2034 (A)	$	263	$	267
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/2019		410		426
WaMu Mortgage Pass-Through Certificates, Ser 2004-S1, Cl 1A3
0.593%, 03/25/2034 (A)		49		48
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/2034		763		794
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.483%, 10/25/2045 (A)		3,059		2,868
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.473%, 11/25/2045 (A)		4,786		4,261
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.483%, 12/25/2045 (A)		4,525		4,220
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B
1.246%, 01/25/2046 (A)		2,734		813
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 2A
2.499%, 10/25/2046 (A)		1,085		1,010
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4
2.385%, 11/25/2036 (A)		346		293
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
0.986%, 12/25/2046 (A)		484		196
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A
2.499%, 12/25/2046 (A)		501		481
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA
1.146%, 06/25/2046 (A)		16		9
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1
2.452%, 02/25/2037 (A)		4,086		3,256


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/2035	$	604	$	165
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 1A1
5.750%, 02/25/2033		75		78
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS8, Cl 1P, PO
0.000%, 05/25/2033		149		137
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS9, Cl 2P, PO
0.000%, 04/25/2033		229		196
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1
2.847%, 08/27/2037 (A) (B)		408		413
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-17, Cl 2A10
5.500%, 01/25/2034		316		331
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5
4.424%, 10/25/2033 (A)		5		5
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1
4.434%, 11/25/2033 (A)		414		423
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-B, Cl A1
4.932%, 02/25/2034 (A)		282		287
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/2034 (A)		70		71
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1
2.623%, 12/25/2034 (A)		562		582
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
2.623%, 12/25/2034 (A)		375		388
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1
3.042%, 12/25/2034 (A)		181		185


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A2
2.960%, 12/25/2034 (A)	$	271	$	278
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1
2.780%, 07/25/2034 (A)		650		665
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1
4.939%, 08/25/2034 (A)		214		221
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1
2.616%, 09/25/2034 (A)		1,068		1,097
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1
2.653%, 10/25/2034 (A)		508		528
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2
2.653%, 10/25/2034 (A)		406		419
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1
5.000%, 01/25/2020		177		183
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-13, Cl A1
5.000%, 11/25/2020		133		136
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1
5.330%, 08/25/2035 (A)		424		427
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1
2.735%, 06/25/2035 (A)		751		773
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR9, Cl 2A1
2.744%, 10/25/2033 (A)		231		233
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1
5.536%, 11/25/2036 (A)		562		547
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 1A3
2.678%, 04/25/2036 (A)		652		652
Wells Fargo Re-REMIC Trust, Ser 2012-IO, Cl A
1.750%, 08/20/2021 (B)		1,075		1,075


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO
1.139%, 02/15/2044 (A) (B)	$	8,149	$	377
WF-RBS Commercial Mortgage Trust, Ser 2011-C3, Cl A4
4.375%, 03/15/2044 (B)		600		662
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4
3.667%, 11/15/2044		4,610		4,870
WF-RBS Commercial Mortgage Trust, Ser 2012-C7, Cl A2
3.431%, 06/15/2045		4,920		5,061
WF-RBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO
1.601%, 06/15/2045 (A) (B)		3,202		341
WF-RBS Commercial Mortgage Trust, Ser 2012-C8, Cl A3
3.001%, 08/15/2045		3,740		3,718

				491,089

Total Mortgage-Backed Securities (Cost $2,698,984) ($ Thousands)				2,747,756


CORPORATE OBLIGATIONS — 26.0%

Consumer Discretionary — 1.3%
CBS
8.875%, 05/15/2019		125		165
7.875%, 07/30/2030		160		211
5.750%, 04/15/2020		92		107
4.850%, 07/01/2042		785		762
4.300%, 02/15/2021		250		268
Comcast
6.500%, 01/15/2015		2,795		3,057
6.500%, 01/15/2017		5,055		5,968
6.500%, 11/15/2035		300		380
6.450%, 03/15/2037		200		252
5.850%, 11/15/2015		648		727
4.950%, 06/15/2016		4,125		4,601
4.250%, 01/15/2033		390		389
Comcast Cable Communications Holdings
9.455%, 11/15/2022		850		1,262
CVS
5.789%, 01/10/2026 (B)		1,684		1,949
CVS Caremark
6.125%, 09/15/2039		140		173
4.125%, 05/15/2021		360		394
2.750%, 12/01/2022		230		223
CVS Lease Pass-Through
6.036%, 12/10/2028 (B)		2,321		2,659
CVS Pass-Through Trust
5.926%, 01/10/2034 (B)		323		376
5.880%, 01/10/2028		157		180


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Daimler Finance North America LLC
2.625%, 09/15/2016 (B)	$	389	$	403
1.875%, 09/15/2014 (B)		3,735		3,778
1.875%, 01/11/2018 (B)		1,521		1,514
1.650%, 04/10/2015 (B)		337		341
1.300%, 07/31/2015 (B)		7,095		7,137
DaimlerChrysler
6.500%, 11/15/2013		460		472
Ford Motor
4.750%, 01/15/2043		2,310		2,149
Gap
5.950%, 04/12/2021		514		597
Glencore Funding LLC
4.125%, 05/30/2023 (B)		1,279		1,250
2.500%, 01/15/2019 (B)		2,130		2,090
Historic TW
9.150%, 02/01/2023		500		712
Johnson Controls
5.250%, 12/01/2041		440		472
4.250%, 03/01/2021		265		286
3.750%, 12/01/2021		289		300
Kohl’s
6.250%, 12/15/2017		255		298
4.000%, 11/01/2021 (C)		134		139
Lowe’s MTN
7.110%, 05/15/2037		400		526
5.125%, 11/15/2041		48		52
LVMH Moet Hennessy Louis Vuitton
1.625%, 06/29/2017 (B)		2,757		2,762
Macy’s Retail Holdings
7.450%, 07/15/2017		120		146
6.900%, 04/01/2029		100		122
5.125%, 01/15/2042		54		55
2.875%, 02/15/2023 (C)		232		222
McDonald’s MTN
5.350%, 03/01/2018		1,200		1,412
NBC Universal Enterprise
1.974%, 04/15/2019 (B)		1,730		1,758
NBC Universal Media
5.950%, 04/01/2041		200		241
4.450%, 01/15/2043		1,353		1,343
4.375%, 04/01/2021		150		167
Newell Rubbermaid
4.700%, 08/15/2020		176		192
News America
6.200%, 12/15/2034		265		307
Nissan Motor Acceptance
1.800%, 03/15/2018 (B)		255		254
Target
4.000%, 06/15/2013		325		325
Thomson Reuters
4.700%, 10/15/2019		250		283


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Time Warner
7.700%, 05/01/2032	$	170	$	230
7.625%, 04/15/2031		3,085		4,175
6.500%, 11/15/2036		50		59
6.250%, 03/29/2041		627		734
5.375%, 10/15/2041		37		39
4.750%, 03/29/2021		920		1,027
4.700%, 01/15/2021		670		745
Time Warner Cable
8.750%, 02/14/2019		1,410		1,852
8.250%, 04/01/2019		3,745		4,824
7.300%, 07/01/2038		1,185		1,467
6.750%, 07/01/2018		120		145
6.550%, 05/01/2037		3,426		3,939
5.875%, 11/15/2040		420		446
5.500%, 09/01/2041		1,228		1,247
4.500%, 09/15/2042		1,260		1,124
4.125%, 02/15/2021		160		169
Time Warner Entertainment
8.375%, 07/15/2033		100		136
UBM
5.750%, 11/03/2020 (B)		970		1,011
Viacom
3.875%, 12/15/2021		294		307
3.250%, 03/15/2023		44		43
Volkswagen International Finance
1.625%, 08/12/2013 (B)		100		100
Wal-Mart Stores
5.800%, 02/15/2018		1,760		2,101
Walt Disney MTN
0.450%, 12/01/2015		125		125

				82,253


Consumer Staples — 1.6%
Altria Group
9.250%, 08/06/2019		2,120		2,902
4.750%, 05/05/2021		1,260		1,396
2.850%, 08/09/2022		1,690		1,610
Anheuser-Busch InBev Worldwide
7.750%, 01/15/2019		7,330		9,499
5.375%, 01/15/2020		2,360		2,793
5.000%, 04/15/2020		910		1,060
2.500%, 07/15/2022		1,840		1,770
Avon Products
5.000%, 03/15/2023		605		639
4.600%, 03/15/2020		665		703
Bunge Finance
8.500%, 06/15/2019		350		448
5.900%, 04/01/2017		107		120
Cargill
6.000%, 11/27/2017 (B)		500		593
CHS
8.000%, 11/15/2019		200		220


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
ConAgra Foods
3.200%, 01/25/2023	$	790	$	778
2.100%, 03/15/2018		86		87
1.900%, 01/25/2018		1,900		1,910
1.300%, 01/25/2016		1,416		1,425
Diageo Capital
4.828%, 07/15/2020		300		346
2.625%, 04/29/2023		775		743
1.125%, 04/29/2018		8,790		8,608
Diageo Investment
2.875%, 05/11/2022		3,730		3,720
ERAC USA Finance LLC
6.700%, 06/01/2034 (B)		221		263
5.625%, 03/15/2042 (B)		1,966		2,141
3.300%, 10/15/2022 (B)		606		597
2.750%, 03/15/2017 (B)		48		50
1.400%, 04/15/2016 (B)		11		11
Fomento Economico Mexicano
4.375%, 05/10/2043		1,693		1,526
2.875%, 05/10/2023		625		588
GlaxoSmithKline Capital
4.375%, 04/15/2014		200		207
Heineken
1.400%, 10/01/2017 (B) (C)		2,435		2,404
Imperial Tobacco Finance
2.050%, 02/11/2018 (B)		790		788
Kellogg
3.125%, 05/17/2022		178		180
1.750%, 05/17/2017		805		813
Kimberly-Clark
2.400%, 03/01/2022		36		35
Kraft Foods
6.500%, 08/11/2017		300		356
6.125%, 02/01/2018		380		447
5.375%, 02/10/2020		2,073		2,404
Kraft Foods Group
6.500%, 02/09/2040		1,660		2,095
6.125%, 08/23/2018		700		837
5.375%, 02/10/2020		2,272		2,646
5.000%, 06/04/2042		176		185
3.500%, 06/06/2022		8,635		8,877
Kroger
7.500%, 04/01/2031		610		767
6.150%, 01/15/2020		1,025		1,226
5.400%, 07/15/2040		45		48
3.400%, 04/15/2022 (C)		200		203
2.200%, 01/15/2017		80		82
Lorillard Tobacco
8.125%, 06/23/2019		570		721
Mallinckrodt International Finance
4.750%, 04/15/2023 (B)		2,655		2,692
Molson Coors Brewing
3.500%, 05/01/2022		220		225


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Novartis Capital
2.400%, 09/21/2022	$	200	$	193
PepsiCo
7.900%, 11/01/2018		339		444
3.000%, 08/25/2021		181		185
2.750%, 03/05/2022		1,370		1,360
1.250%, 08/13/2017		3,365		3,349
0.700%, 08/13/2015		2,550		2,554
Pernod-Ricard
5.750%, 04/07/2021 (B)		1,382		1,603
4.450%, 01/15/2022 (B)		3,150		3,361
4.250%, 07/15/2022 (B)		1,775		1,867
Pharmacia
8.700%, 10/15/2021		350		467
Philip Morris International
5.650%, 05/16/2018		510		605
4.125%, 03/04/2043		1,100		1,029
2.900%, 11/15/2021		1,920		1,931
2.625%, 03/06/2023		860		826
2.500%, 08/22/2022		1,780		1,706
President and Fellows of Harvard College
3.619%, 10/01/2037		635		596
Reynolds American
3.250%, 11/01/2022 (C)		810		787
SABMiller
5.500%, 08/15/2013 (B)		320		323
SABMiller Holdings
3.750%, 01/15/2022 (B)		565		594
Safeway
6.350%, 08/15/2017 (C)		2,406		2,770
Teva Pharmaceutical Finance BV
3.650%, 11/10/2021		1,020		1,061
2.950%, 12/18/2022		616		601
Teva Pharmaceutical Finance IV BV
3.650%, 11/10/2021		260		270
Teva Pharmaceutical Finance IV LLC
2.250%, 03/18/2020		1,094		1,078
Tyson Foods
4.500%, 06/15/2022		2,170		2,314
Walgreen
3.100%, 09/15/2022		234		231
Wal-Mart Stores
7.250%, 06/01/2013		187		187

				107,076


Energy — 2.8%
Alberta Energy
7.375%, 11/01/2031		200		248
Anadarko Holding
7.150%, 05/15/2028		150		181


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Anadarko Petroleum
8.700%, 03/15/2019	$	150	$	199
7.625%, 03/15/2014		450		474
6.950%, 06/15/2019		90		111
6.375%, 09/15/2017		3,740		4,410
5.950%, 09/15/2016		190		217
ANR Pipeline
9.625%, 11/01/2021		100		147
Apache
6.900%, 09/15/2018		180		224
6.000%, 09/15/2013		2,890		2,933
5.625%, 01/15/2017		370		423
4.750%, 04/15/2043		115		115
3.250%, 04/15/2022		76		77
2.625%, 01/15/2023		231		221
Arch Coal
7.000%, 06/15/2019 (C)		380		342
Baker Hughes
7.500%, 11/15/2018		2,020		2,600
BG Energy Capital
5.125%, 10/15/2041 (B)		200		218
4.000%, 10/15/2021 (B)		2,775		2,985
BP Capital Markets
5.250%, 11/07/2013		2,970		3,032
3.875%, 03/10/2015		630		664
3.625%, 05/08/2014		100		103
3.561%, 11/01/2021		210		219
3.245%, 05/06/2022		1,910		1,924
2.750%, 05/10/2023		1,565		1,491
2.500%, 11/06/2022		1,515		1,425
1.846%, 05/05/2017 (C)		429		435
1.375%, 11/06/2017		132		130
Burlington Resources
8.200%, 03/15/2025		400		556
Canadian Natural Resources
7.200%, 01/15/2032		150		191
6.450%, 06/30/2033		200		236
5.700%, 05/15/2017		228		263
Canadian Oil Sands
6.000%, 04/01/2042 (B)		1,787		1,958
4.500%, 04/01/2022 (B)		1,004		1,055
Cenovus Energy
4.450%, 09/15/2042		77		74
3.000%, 08/15/2022		45		44
CNOOC Finance 2013
3.000%, 05/09/2018		2,193		2,082
1.750%, 05/09/2018		2,040		2,008
1.125%, 05/09/2016		200		200
Conoco Funding
6.950%, 04/15/2029		1,135		1,504
ConocoPhillips
6.000%, 01/15/2020		460		563
5.750%, 02/01/2019		50		60


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
DCP Midstream Operating
4.950%, 04/01/2022	$	2,239	$	2,368
3.875%, 03/15/2023		1,580		1,550
3.250%, 10/01/2015		810		842
2.500%, 12/01/2017		2,720		2,750
Devon Energy
6.300%, 01/15/2019		330		391
5.600%, 07/15/2041 (C)		1,800		1,974
4.750%, 05/15/2042		157		153
3.250%, 05/15/2022		2,490		2,486
Devon Financing
7.875%, 09/30/2031		520		699
El Paso
6.950%, 06/01/2028		2,250		2,231
El Paso Pipeline Partners Operating LLC
6.500%, 04/01/2020		3,265		3,918
4.100%, 11/15/2015		1,855		1,984
Encana
6.500%, 05/15/2019		250		304
5.150%, 11/15/2041		2,525		2,520
Energen
4.625%, 09/01/2021		1,915		1,943
Energy Transfer Partners
6.500%, 02/01/2042		299		337
5.150%, 02/01/2043		505		488
3.600%, 02/01/2023		1,315		1,283
Eni
5.700%, 10/01/2040 (B)		900		907
Enterprise Products Operating
6.125%, 10/15/2039 (C)		170		199
5.950%, 02/01/2041		250		286
4.850%, 03/15/2044 (C)		500		497
Enterprise Products Operating LLC
9.750%, 01/31/2014		3,190		3,378
5.250%, 01/31/2020		70		80
3.350%, 03/15/2023		2,380		2,354
EOG Resources
4.100%, 02/01/2021		300		332
2.625%, 03/15/2023		88		85
Halliburton
6.150%, 09/15/2019		300		372
Hess
8.125%, 02/15/2019		2,490		3,205
7.875%, 10/01/2029 (C)		215		281
Husky Energy
7.250%, 12/15/2019		1,109		1,408
Kerr-McGee
6.950%, 07/01/2024		3,810		4,696
Kinder Morgan Energy Partners
6.000%, 02/01/2017		590		676
5.000%, 12/15/2013		1,030		1,054
5.000%, 08/15/2042		302		299


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.000%, 03/01/2043	$	1,555	$	1,533
3.950%, 09/01/2022		70		72
Marathon Petroleum
6.500%, 03/01/2041 (C)		838		1,008
Murphy Oil
3.700%, 12/01/2022		2,170		2,114
Nabors Industries
9.250%, 01/15/2019		250		316
5.000%, 09/15/2020		310		330
National Oilwell Varco
1.350%, 12/01/2017		81		80
Newfield Exploration
5.625%, 07/01/2024		435		457
Noble Energy
4.150%, 12/15/2021		2,710		2,935
Noble Holding International
5.250%, 03/15/2042		119		116
3.950%, 03/15/2022		40		41
Occidental Petroleum
3.125%, 02/15/2022		1,430		1,452
2.700%, 02/15/2023		1,324		1,279
1.750%, 02/15/2017		153		155
ONEOK Partners
2.000%, 10/01/2017		1,530		1,540
Panhandle Eastern Pipeline
8.125%, 06/01/2019		1,161		1,446
Pemex Project Funding Master Trust
6.625%, 06/15/2035		5,602		6,414
Petrobras Global Finance
4.375%, 05/20/2023		1,771		1,706
Petrobras Global Finance BV
3.000%, 01/15/2019		2,395		2,336
2.000%, 05/20/2016		3,905		3,887
1.894%, 05/20/2016 (A)		6,000		6,047
Petrobras International Finance
7.875%, 03/15/2019		200		241
6.750%, 01/27/2041		150		159
6.125%, 10/06/2016		1,300		1,450
5.750%, 01/20/2020		1,127		1,226
5.375%, 01/27/2021 (C)		4,680		4,948
Petrobras International Finance - Pifco
3.875%, 01/27/2016		1,480		1,544
3.500%, 02/06/2017		3,805		3,908
Petro-Canada
7.875%, 06/15/2026		100		136
6.800%, 05/15/2038		3,850		4,829
6.050%, 05/15/2018		260		308
Petroleos Mexicanos
5.500%, 06/27/2044 (B)		1,185		1,161
3.500%, 01/30/2023 (B)		3,155		2,997
Phillips 66
4.300%, 04/01/2022		57		61
2.950%, 05/01/2017		76		80


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
QEP Resources
5.375%, 10/01/2022	$	550	$	564
Rowan
5.400%, 12/01/2042		931		905
Schlumberger Investment
3.300%, 09/14/2021 (B)		163		170
Shell International Finance
6.375%, 12/15/2038		1,180		1,580
3.100%, 06/28/2015		165		174
Shell International Finance BV
4.375%, 03/25/2020		80		91
4.300%, 09/22/2019		1,000		1,142
Sinopec Group Overseas Development 2012
2.750%, 05/17/2017 (B)		1,150		1,179
Spectra Energy Capital LLC
8.000%, 10/01/2019		702		910
Statoil
5.250%, 04/15/2019		460		545
4.250%, 11/23/2041		80		81
3.150%, 01/23/2022		100		103
3.125%, 08/17/2017		200		214
2.450%, 01/17/2023		159		152
Sunoco Logistics Partners Operations
4.950%, 01/15/2043		394		380
Talisman Energy
7.750%, 06/01/2019		1,645		2,051
Tennessee Gas Pipeline
8.375%, 06/15/2032		2,000		2,809
8.000%, 02/01/2016		3,205		3,745
Texas Eastern Transmission
2.800%, 10/15/2022 (B)		415		402
Tosco
8.125%, 02/15/2030		100		144
7.800%, 01/01/2027		210		294
Total Capital
4.125%, 01/28/2021		74		82
2.300%, 03/15/2016		300		311
Total Capital Canada
1.450%, 01/15/2018		3,715		3,693
Total Capital International
2.875%, 02/17/2022		138		138
1.550%, 06/28/2017		150		150
0.750%, 01/25/2016		45		45
TransCanada Pipelines
7.125%, 01/15/2019		200		251
6.500%, 08/15/2018		425		522
Transocean
7.350%, 12/15/2041		33		41
6.500%, 11/15/2020		485		563
6.375%, 12/15/2021		2,746		3,205
5.050%, 12/15/2016		580		643
Valero Energy
7.500%, 04/15/2032		710		895


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Weatherford International
9.875%, 03/01/2039	$	250	$	360
6.750%, 09/15/2040		200		222
5.950%, 04/15/2042		50		51
4.500%, 04/15/2022		717		738
Western Gas Partners
5.375%, 06/01/2021		574		647
Williams
8.750%, 03/15/2032		2,162		2,887
7.875%, 09/01/2021		1,262		1,586
7.750%, 06/15/2031		339		417
7.500%, 01/15/2031		9		11
Williams Partners
5.250%, 03/15/2020		510		574
WPX Energy
6.000%, 01/15/2022		1,215		1,309

				179,960


Financials — 13.0%
ABB Treasury Center USA
2.500%, 06/15/2016 (B)		2,795		2,903
Abbey National Treasury Services
2.875%, 04/25/2014		750		764
ACE INA Holdings
5.875%, 06/15/2014		290		305
5.600%, 05/15/2015		380		415
2.700%, 03/13/2023		400		388
Aegon, Ser CMS
2.054%, 07/29/2049 (A)		2,180		1,522
Aflac
8.500%, 05/15/2019 (C)		165		220
6.450%, 08/15/2040		92		113
4.000%, 02/15/2022		227		240
AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (B)		450		573
Allstate
7.450%, 05/16/2019		2,800		3,645
5.000%, 08/15/2014		300		315
Ally Financial
5.500%, 02/15/2017		750		802
American Campus Communities Operating Partnership
3.750%, 04/15/2023		1,705		1,690
American Express
7.000%, 03/19/2018		500		615
American Express Credit MTN
7.300%, 08/20/2013		500		507
5.125%, 08/25/2014		3,280		3,461
2.800%, 09/19/2016		389		409
1.750%, 06/12/2015		4,215		4,296
American Honda Finance MTN
7.625%, 10/01/2018 (B)		150		193
3.875%, 09/21/2020 (B)		2,840		3,067


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.600%, 09/20/2016 (B)	$	246	$	257
1.000%, 08/11/2015 (B)		2,400		2,416
American International Group
8.250%, 08/15/2018		1,370		1,741
6.400%, 12/15/2020		1,135		1,372
6.250%, 03/15/2037		3,530		3,883
4.875%, 06/01/2022 (C)		739		816
3.750%, 11/30/2013 (B)		230		234
American Tower‡
5.050%, 09/01/2020		1,122		1,228
4.500%, 01/15/2018		2,395		2,615
3.500%, 01/31/2023		1,189		1,153
American Tower Trust I‡
1.551%, 03/15/2018 (B)		135		134
Anadarko Finance
7.500%, 05/01/2031		313		413
ANZ New Zealand International
6.200%, 07/19/2013 (B)		475		478
3.125%, 08/10/2015 (B)		190		199
1.850%, 10/15/2015 (B)		950		971
Aon
6.250%, 09/30/2040		79		98
3.500%, 09/30/2015		46		49
3.125%, 05/27/2016		235		248
Associates Corp of North America
6.950%, 11/01/2018		418		507
Assurant
4.000%, 03/15/2023		920		919
2.500%, 03/15/2018		1,825		1,820
Australia & New Zealand Banking Group
4.875%, 01/12/2021 (B)		137		157
3.250%, 03/01/2016 (B)		200		212
2.400%, 11/23/2016 (B)		453		474
0.580%, 10/29/2049 (A)		1,400		826
Banco Santander Mexico
4.125%, 11/09/2022 (B)		1,945		1,921
Bank of America
7.625%, 06/01/2019		175		220
7.375%, 05/15/2014		980		1,040
6.500%, 08/01/2016		7,125		8,146
6.100%, 06/15/2017		6,825		7,784
6.000%, 09/01/2017		2,100		2,420
5.750%, 12/01/2017		3,310		3,790
5.650%, 05/01/2018		1,350		1,546
5.625%, 10/14/2016		7,865		8,858
5.625%, 07/01/2020		375		433
5.420%, 03/15/2017		4,530		4,984
5.000%, 05/13/2021		75		83
4.500%, 04/01/2015		6,060		6,411
3.875%, 03/22/2017 (C)		610		652
3.300%, 01/11/2023		4,132		4,003
2.000%, 01/11/2018		7,700		7,631
1.500%, 10/09/2015		6,210		6,246


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
0.580%, 06/15/2017 (A)	$	2,710	$	2,603
0.560%, 06/15/2016 (A)		2,700		2,623
Bank of Montreal MTN
2.550%, 11/06/2022		511		492
1.400%, 09/11/2017		689		684
1.300%, 10/31/2014 (B)		321		325
Bank of New York Mellon MTN
4.600%, 01/15/2020		160		181
3.550%, 09/23/2021		144		153
3.100%, 01/15/2015		125		130
2.950%, 06/18/2015 (C)		500		523
2.400%, 01/17/2017		398		412
Bank of Nova Scotia
3.400%, 01/22/2015		478		499
1.650%, 10/29/2015 (B) (C)		355		364
1.375%, 12/18/2017		300		297
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/2015 (B)		707		741
2.350%, 02/23/2017 (B)		295		303
Barclays Bank MTN
6.050%, 12/04/2017 (B) (C)		850		952
5.200%, 07/10/2014		350		367
5.000%, 09/22/2016		4,970		5,562
2.500%, 09/21/2015 (B) (C)		365		379
2.250%, 05/10/2017 (B) (C)		221		230
0.692%, 08/07/2049 (A)		380		213
BB&T MTN
6.850%, 04/30/2019 (C)		115		144
5.700%, 04/30/2014		620		649
4.900%, 06/30/2017		400		445
3.950%, 04/29/2016		555		600
3.375%, 09/25/2013		70		71
BBVA US Senior SAU
4.664%, 10/09/2015		3,520		3,661
3.250%, 05/16/2014		2,680		2,709
Bear Stearns
7.250%, 02/01/2018		3,430		4,191
6.400%, 10/02/2017		3,370		3,983
4.650%, 07/02/2018		3,000		3,358
Berkshire Hathaway
4.500%, 02/11/2043		610		601
3.750%, 08/15/2021 (C)		1,213		1,295
3.200%, 02/11/2015		1,410		1,473
3.000%, 02/11/2023		915		908
2.200%, 08/15/2016		75		78
Berkshire Hathaway Finance
5.400%, 05/15/2018 (C)		5,160		6,068
4.300%, 05/15/2043		920		876
3.000%, 05/15/2022		426		423
2.450%, 12/15/2015		187		196
BlackRock
6.250%, 09/15/2017 (C)		570		682
3.375%, 06/01/2022		180		186
Blackstone Holdings Finance LLC
5.875%, 03/15/2021 (B)		1,180		1,376


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BNP Paribas MTN
2.375%, 09/14/2017	$	2,130	$	2,167
Boston Properties‡
3.850%, 02/01/2023		750		776
3.125%, 09/01/2023		1,790		1,734
Branch Banking & Trust
5.625%, 09/15/2016		325		370
Caisse Centrale Desjardins du Quebec
2.550%, 03/24/2016 (B) (C)		581		609
Canadian Imperial Bank of Commerce
2.600%, 07/02/2015 (B)		1,000		1,042
Capital One Bank USA
3.375%, 02/15/2023		300		296
Capital One Financial
7.375%, 05/23/2014		450		479
6.750%, 09/15/2017		740		892
4.750%, 07/15/2021 (C)		375		418
Caterpillar Financial Services MTN
7.150%, 02/15/2019		250		318
6.200%, 09/30/2013		3,440		3,506
5.850%, 09/01/2017		580		682
2.850%, 06/01/2022		155		155
CDP Financial
4.400%, 11/25/2019 (B)		300		339
Cedar Brakes I LLC
8.500%, 02/15/2014 (B)		197		201
Charles Schwab
3.225%, 09/01/2022		100		101
Chase Capital VI
0.899%, 08/01/2028 (A)		1,050		871
Citigroup
8.500%, 05/22/2019		600		786
8.125%, 07/15/2039 (C)		400		567
6.875%, 03/05/2038		3,555		4,553
6.500%, 08/19/2013		1,470		1,488
6.375%, 08/12/2014		3,285		3,492
6.125%, 05/15/2018		830		979
6.010%, 01/15/2015		1,900		2,045
6.000%, 12/13/2013		2,920		3,003
6.000%, 08/15/2017		4,345		5,032
5.875%, 01/30/2042		985		1,148
5.850%, 07/02/2013		655		658
5.850%, 08/02/2016		300		339
5.500%, 02/15/2017		11,465		12,741
5.375%, 08/09/2020		2,888		3,324
5.000%, 09/15/2014		1,740		1,820
4.700%, 05/29/2015 (C)		1,488		1,591
4.587%, 12/15/2015		114		124
4.500%, 01/14/2022		1,152		1,248
4.450%, 01/10/2017		2,609		2,853
4.050%, 07/30/2022		650		650


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
3.500%, 05/15/2023	$	1,820	$	1,712
2.650%, 03/02/2015		1,249		1,283
1.250%, 01/15/2016		230		230
0.823%, 08/25/2036 (A)		3,239		2,589
Citigroup Capital III
7.625%, 12/01/2036		2,000		2,510
CME Group
5.750%, 02/15/2014 (C)		177		183
3.000%, 09/15/2022		400		392
CNA Financial
5.875%, 08/15/2020		274		321
5.850%, 12/15/2014		200		214
Comerica
3.000%, 09/16/2015		145		152
CommonWealth‡
6.650%, 01/15/2018		255		283
5.875%, 09/15/2020		95		101
Commonwealth Bank of Australia
5.000%, 10/15/2019 (B)		900		1,042
3.750%, 10/15/2014 (B)		1,810		1,887
2.250%, 03/16/2017 (B) (C)		378		393
Commonwealth Bank of Australia NY
1.250%, 09/18/2015		2,730		2,760
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
11.000%, 12/31/2049 (A) (B)		2,043		2,738
5.800%, 09/30/2110 (B)		300		331
4.500%, 01/11/2021		300		330
3.875%, 02/08/2022		1,600		1,661
3.200%, 03/11/2015 (B)		700		729
Countrywide Financial
6.250%, 05/15/2016 (C)		1,170		1,300
Credit Agricole
8.375%, 12/31/2049 (A) (B) (C)		3,250		3,628
2.625%, 01/21/2014 (B)		790		799
Credit Suisse NY
6.000%, 02/15/2018		7,754		8,946
5.500%, 05/01/2014		125		131
Credit Suisse USA
5.125%, 08/15/2015		645		706
DDR‡
4.625%, 07/15/2022		2,205		2,356
3.375%, 05/15/2023 (C)		2,075		2,001
Deutsche Bank MTN
3.875%, 08/18/2014		295		306
DnB Boligkreditt
2.100%, 10/14/2015 (B)		1,057		1,091
Equity One‡
3.750%, 11/15/2022		791		781
ERAC USA Finance LLC
4.500%, 08/16/2021 (B)		175		189
2.250%, 01/10/2014 (B)		250		252


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
ERP Operating‡
5.750%, 06/15/2017	$	500	$	578
5.125%, 03/15/2016		1,000		1,108
4.625%, 12/15/2021 (C)		236		260
Farmers Exchange Capital
7.200%, 07/15/2048 (B)		1,788		2,179
7.050%, 07/15/2028 (B)		1,713		2,143
Farmers Insurance Exchange
8.625%, 05/01/2024 (B)		4,253		5,859
FDIC Structured Sale Guaranteed Notes
1.491%, 10/25/2013 (B) (D)		1,570		1,569
Federal Realty Investment Trust‡
3.000%, 08/01/2022		885		870
First Chicago NBD Institutional Capital I
0.824%, 02/01/2027 (A)		3,750		3,197
First Industrial MTN
7.500%, 12/01/2017		1,765		2,014
FMR LLC
6.450%, 11/15/2039 (B)		250		300
Ford Motor Credit LLC
8.125%, 01/15/2020 (C)		1,930		2,432
5.875%, 08/02/2021		7,633		8,694
4.207%, 04/15/2016		401		427
3.984%, 06/15/2016		555		589
3.000%, 06/12/2017		1,173		1,204
2.750%, 05/15/2015		1,708		1,747
General Electric Capital MTN
6.875%, 01/10/2039		2,730		3,486
6.750%, 03/15/2032		450		561
6.375%, 11/15/2067 (A)		5,735		6,115
6.150%, 08/07/2037		5,880		6,976
6.000%, 08/07/2019		920		1,104
5.875%, 01/14/2038 (C)		4,960		5,659
5.625%, 09/15/2017 (C)		800		926
5.625%, 05/01/2018		6,680		7,821
5.500%, 01/08/2020		480		561
5.400%, 02/15/2017		1,800		2,044
5.375%, 10/20/2016		1,500		1,694
5.300%, 02/11/2021 (C)		1,753		1,978
4.625%, 01/07/2021		3,640		4,020
3.100%, 01/09/2023 (C)		3,788		3,677
2.300%, 04/27/2017		600		617
2.250%, 11/09/2015		180		186
2.100%, 12/11/2019		356		355
1.625%, 07/02/2015		3,495		3,551
0.755%, 08/15/2036 (A)		3,035		2,463
0.653%, 05/05/2026 (A)		2,520		2,314
0.540%, 09/15/2014 (A)		4,090		4,093
0.404%, 03/20/2014 (A)		2,000		2,000
Glitnir Banki
7.451%, 09/14/2016 (B) (E) (F) (G)		500		—
6.693%, 06/15/2016 (B) (F)		4,480		—


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Goldman Sachs Capital II
4.000%, 06/01/2043 (A)	$	13,260	$	11,470
Goldman Sachs Group MTN
7.500%, 02/15/2019		1,520		1,884
6.750%, 10/01/2037		1,058		1,154
6.250%, 09/01/2017		1,400		1,628
6.250%, 02/01/2041 (C)		3,655		4,278
6.150%, 04/01/2018		7,800		9,068
6.000%, 05/01/2014		690		723
6.000%, 06/15/2020		2,335		2,734
5.950%, 01/18/2018		500		577
5.750%, 10/01/2016		1,505		1,706
5.750%, 01/24/2022		1,170		1,339
5.375%, 03/15/2020		2,635		2,995
5.250%, 10/15/2013		580		590
5.250%, 07/27/2021		9,480		10,561
3.625%, 02/07/2016		470		497
2.375%, 01/22/2018 (C)		3,012		3,028
0.676%, 07/22/2015 (A)		45		45
GTP Acquisition Partners I LLC
4.347%, 06/15/2016 (B)		606		640
Hartford Financial Services Group
5.125%, 04/15/2022		525		598
4.300%, 04/15/2043		1,325		1,250
HBOS MTN
6.750%, 05/21/2018 (B)		5,100		5,724
HBOS Capital Funding
6.071%, 06/30/2049 (A) (B)		1,220		1,113
HCP‡
6.300%, 09/15/2016		940		1,085
6.000%, 01/30/2017		2,313		2,647
5.650%, 12/15/2013		2,845		2,921
5.375%, 02/01/2021		105		121
3.750%, 02/01/2019		4,394		4,689
2.625%, 02/01/2020		6,620		6,324
Health Care‡
6.500%, 03/15/2041		1,650		1,981
5.250%, 01/15/2022		1,825		2,055
4.950%, 01/15/2021		6,340		6,998
4.700%, 09/15/2017		225		250
Healthcare Realty Trust‡
6.500%, 01/17/2017		85		97
5.750%, 01/15/2021		60		68
Highwoods Properties‡
7.500%, 04/15/2018		1,339		1,613
Hongkong & Shanghai Banking
0.438%, 07/22/2049 (A)		195		115
HSBC Bank
4.750%, 01/19/2021 (B)		400		451
4.125%, 08/12/2020 (B)		261		284
3.100%, 05/24/2016 (B)		5,097		5,389
1.625%, 07/07/2014 (B) (C)		728		737
0.610%, 06/29/2049 (A)		1,160		684
HSBC Bank USA NY
4.625%, 04/01/2014		300		310


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HSBC Finance
6.676%, 01/15/2021	$	2,800	$	3,320
5.500%, 01/19/2016		600		663
4.750%, 07/15/2013		166		167
HSBC Holdings
5.100%, 04/05/2021		201		229
4.875%, 01/14/2022		300		336
4.000%, 03/30/2022		1,660		1,760
HSBC USA
2.375%, 02/13/2015		2,346		2,408
Hutchison Whampoa International 11
4.625%, 01/13/2022 (B)		1,735		1,838
Hutchison Whampoa International 12 II
3.250%, 11/08/2022 (B)		294		281
Hyundai Capital America
2.125%, 10/02/2017 (B)		650		642
ILFC E-Capital Trust II
6.250%, 12/21/2065 (A) (B)		1,200		1,128
ING Bank
3.750%, 03/07/2017 (B)		457		485
2.000%, 09/25/2015 (B)		200		203
ING US
3.150%, 02/15/2018 (B) (C)		350		356
International Lease Finance
6.750%, 09/01/2016 (B) (C)		5,590		6,324
6.500%, 09/01/2014 (B)		7,190		7,621
Intesa Sanpaolo MTN
3.875%, 01/16/2018		400		394
3.625%, 08/12/2015 (B)		940		949
3.125%, 01/15/2016		860		855
Itau Unibanco Holding
5.125%, 05/13/2023 (B)		1,217		1,212
Jefferies Group
8.500%, 07/15/2019		90		114
6.450%, 06/08/2027		590		655
6.250%, 01/15/2036		400		417
3.875%, 11/09/2015		171		180
John Deere Capital MTN
5.750%, 09/10/2018		300		359
2.250%, 04/17/2019		1,290		1,318
1.700%, 01/15/2020		65		63
1.200%, 10/10/2017		196		194
JPMorgan Chase
6.400%, 05/15/2038		385		477
6.000%, 10/01/2017		12,995		15,168
6.000%, 01/15/2018		400		467
5.400%, 01/06/2042		444		498
5.150%, 10/01/2015		240		261
5.125%, 09/15/2014		136		143
4.500%, 01/24/2022		750		813
4.350%, 08/15/2021		510		549
3.450%, 03/01/2016		1,015		1,076


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
3.375%, 05/01/2023	$	2,390	$	2,271
3.200%, 01/25/2023		2,240		2,187
1.625%, 05/15/2018		1,565		1,536
1.100%, 10/15/2015		4,010		4,011
0.610%, 06/13/2016 (A)		4,250		4,197
JPMorgan Chase Bank
6.000%, 07/05/2017		3,365		3,885
JPMorgan Chase Capital XIII
1.234%, 09/30/2034 (A)		2,150		1,784
JPMorgan Chase Capital XXIII
1.275%, 05/15/2047 (A)		4,697		3,711
Kaupthing Bank
7.125%, 05/19/2016 (B) (E) (F) (G)		12,000		1
KeyBank
5.800%, 07/01/2014		600		632
Landwirtschaftliche Rentenbank
1.375%, 10/23/2019		2,150		2,104
Lazard Group
7.125%, 05/15/2015		2,575		2,820
6.850%, 06/15/2017		3,615		4,141
Liberty Mutual Group
6.500%, 05/01/2042 (B)		1,054		1,232
5.000%, 06/01/2021 (B)		95		103
Lincoln National
4.850%, 06/24/2021		58		64
Lloyds TSB Bank MTN
5.800%, 01/13/2020 (B)		200		233
M&T Bank
6.875%, 12/29/2049 (B)		3,540		3,701
Macquarie Bank
5.000%, 02/22/2017 (B) (C)		652		716
Macquarie Group
7.625%, 08/13/2019 (B)		150		180
7.300%, 08/01/2014 (B)		480		511
6.250%, 01/14/2021 (B)		525		581
6.000%, 01/14/2020 (B) (C)		225		246
Manufacturers & Traders Trust
6.625%, 12/04/2017		250		301
Markel
5.000%, 03/30/2043		705		691
4.900%, 07/01/2022		1,120		1,231
3.625%, 03/30/2023		800		794
Massachusetts Mutual Life Insurance
8.875%, 06/01/2039 (B)		2,455		3,760
5.375%, 12/01/2041 (B)		66		74
MassMutual Global Funding II
3.125%, 04/14/2016 (B)		100		106
2.875%, 04/21/2014 (B)		122		125
2.500%, 10/17/2022 (B)		363		345
Merrill Lynch
6.875%, 04/25/2018		980		1,169
6.400%, 08/28/2017		1,600		1,860
5.700%, 05/02/2017		600		663


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MetLife
7.717%, 02/15/2019	$	1,750	$	2,269
6.750%, 06/01/2016		2,950		3,435
6.400%, 12/15/2036		4,360		4,927
MetLife Institutional Funding II
1.182%, 04/04/2014 (A) (B)		153		154
Metropolitan Life Global Funding I
5.125%, 06/10/2014 (B) (C)		1,575		1,647
3.875%, 04/11/2022 (B)		1,125		1,189
3.650%, 06/14/2018 (B)		490		532
2.500%, 09/29/2015 (B)		2,935		3,044
2.000%, 01/10/2014 (B)		200		202
1.700%, 06/29/2015 (B)		497		506
1.500%, 01/10/2018 (B)		2,500		2,477
Morgan Stanley MTN
7.300%, 05/13/2019		4,160		5,097
6.625%, 04/01/2018		6,010		7,074
6.000%, 05/13/2014		5,705		5,975
5.950%, 12/28/2017		550		631
5.750%, 10/18/2016 (C)		190		213
5.750%, 01/25/2021		235		268
5.625%, 09/23/2019		2,170		2,458
5.550%, 04/27/2017		514		574
5.500%, 07/28/2021 (C)		2,164		2,441
5.450%, 01/09/2017 (C)		350		389
5.375%, 10/15/2015		100		109
4.750%, 03/22/2017		300		328
4.200%, 11/20/2014		1,851		1,928
1.750%, 02/25/2016		2,750		2,755
0.727%, 10/18/2016 (A)		3,700		3,597
Murray Street Investment Trust I
4.647%, 03/09/2017 (C) (H)		6,290		6,856
National Australia Bank
5.350%, 06/12/2013 (B)		5,545		5,551
3.750%, 03/02/2015 (B)		455		478
3.000%, 07/27/2016 (B)		1,000		1,057
1.600%, 08/07/2015		1,080		1,099
National Bank of Canada
2.200%, 10/19/2016 (B)		4,350		4,538
1.650%, 01/30/2014 (B)		271		273
National Capital Trust II
5.486%, 12/29/2049 (A) (B)		40		41
National City
4.900%, 01/15/2015		400		426
National City Bank MTN
5.800%, 06/07/2017		525		606
0.651%, 06/07/2017 (A)		3,000		2,967
National Rural Utilities Cooperative Finance
10.375%, 11/01/2018		1,530		2,177
2.350%, 06/15/2020		1,170		1,169
Nationwide Mutual Insurance
9.375%, 08/15/2039 (B)		460		672
6.600%, 04/15/2034 (B)		2,535		2,611
5.810%, 12/15/2024 (A) (B)		4,407		4,506


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
New York Life Global Funding
3.000%, 05/04/2015 (B)	$	400	$	418
New York Life Insurance
6.750%, 11/15/2039 (B)		1,355		1,774
Nomura Holdings
6.700%, 03/04/2020		298		352
4.125%, 01/19/2016		150		158
Nordea Bank MTN
4.875%, 05/13/2021 (B) (C)		3,010		3,238
3.700%, 11/13/2014 (B)		900		938
1.750%, 10/04/2013 (B)		200		201
1.625%, 05/15/2018 (B)		500		495
Northern Trust
5.500%, 08/15/2013		85		86
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (B)		2,470		3,026
Oversea-Chinese Banking
1.625%, 03/13/2015 (B)		200		203
PACCAR Financial MTN
1.600%, 03/15/2017		164		165
1.550%, 09/29/2014		140		142
Pacific Life Global Funding MTN
5.000%, 05/15/2017 (B)		170		178
Pacific Life Insurance
9.250%, 06/15/2039 (B)		560		804
PNC Bank
6.000%, 12/07/2017 (C)		250		293
2.700%, 11/01/2022		2,327		2,200
PNC Funding
5.125%, 02/08/2020 (C)		340		392
2.700%, 09/19/2016		88		92
Post Apartment Homes
4.750%, 10/15/2017		70		78
PPF Funding‡
5.500%, 01/15/2014 (B)		5,000		5,101
Pricoa Global Funding I
5.450%, 06/11/2014 (B)		300		315
1.600%, 05/29/2018 (B)		150		149
Principal Life Global Funding I
5.050%, 03/15/2015 (B)		750		804
Principal Life Income Funding Trusts MTN
5.100%, 04/15/2014		600		624
Private Export Funding
4.375%, 03/15/2019		4,660		5,389
2.125%, 07/15/2016		4,760		4,980
Prudential Holdings
8.695%, 12/18/2023 (B)		3,060		3,918
Prudential Holdings LLC
1.155%, 12/18/2017 (A) (B)		4,550		4,502
Prudential Insurance of America
8.300%, 07/01/2025 (B)		600		803
Reckson Operating Partnership‡
6.000%, 03/31/2016		95		104


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Royal Bank of Canada MTN
2.300%, 07/20/2016 (C)	$	640	$	665
1.200%, 09/19/2017		1,126		1,120
0.625%, 12/04/2015		2,970		2,960
0.471%, 06/29/2085 (A)		860		532
Royal Bank of Scotland Group
7.640%, 09/29/2017 (A) (C)		800		778
6.400%, 10/21/2019		1,950		2,305
6.125%, 12/15/2022		1,635		1,684
2.550%, 09/18/2015		4,192		4,306
Santander US Debt SAU
3.724%, 01/20/2015 (B)		2,580		2,622
Security Benefit Life Insurance
8.750%, 05/15/2016 (B)		5,200		6,057
Simon Property Group‡
10.350%, 04/01/2019		940		1,348
6.750%, 05/15/2014		165		172
5.650%, 02/01/2020 (C)		133		158
4.375%, 03/01/2021		130		144
4.125%, 12/01/2021		108		118
Skandinaviska Enskilda Banken
1.750%, 03/19/2018 (B)		3,942		3,925
SL Green Realty‡
7.750%, 03/15/2020		2,000		2,447
SLM MTN
8.450%, 06/15/2018		530		588
3.875%, 09/10/2015 (C)		2,360		2,407
Societe Generale
0.603%, 11/29/2049 (A)		680		375
0.500%, 11/29/2049 (A)		180		99
Sparebank 1 Boligkreditt
1.750%, 11/15/2019 (B)		541		526
Stadshypotek
1.875%, 10/02/2019 (B)		6,131		6,044
1.250%, 05/23/2018 (B)		2,840		2,791
Standard Chartered
3.950%, 01/11/2023 (B)		2,115		2,049
State Street
4.956%, 03/15/2018		2,560		2,881
4.300%, 05/30/2014		60		62
3.100%, 05/15/2023		24		23
Sumitomo Mitsui Banking
3.150%, 07/22/2015 (B)		1,010		1,056
3.100%, 01/14/2016 (B)		640		672
SunTrust Preferred Capital I
4.000%, 12/31/2049 (A)		2,533		2,204
Svenska Handelsbanken
3.125%, 07/12/2016		282		299
1.625%, 03/21/2018		3,980		3,969
Swedbank Hypotek
1.375%, 03/28/2018 (B)		4,375		4,329
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (B)		1,740		2,290


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Temasek Financial I MTN
2.375%, 01/23/2023 (B)	$	1,660	$	1,554
Toronto-Dominion Bank MTN
2.500%, 07/14/2016		538		562
2.200%, 07/29/2015 (B)		295		305
Toyota Motor Credit MTN
3.400%, 09/15/2021		2,690		2,808
3.200%, 06/17/2015		308		323
2.050%, 01/12/2017		215		220
2.000%, 09/15/2016		930		959
1.250%, 10/05/2017		2,740		2,713
Travelers
5.900%, 06/02/2019		145		178
Travelers Property Casualty
7.750%, 04/15/2026		300		413
UBS MTN
5.875%, 12/20/2017		303		355
5.750%, 04/25/2018		150		177
3.875%, 01/15/2015		785		824
2.250%, 08/12/2013		250		251
2.250%, 01/28/2014		732		739
UDR‡
6.050%, 06/01/2013		370		370
5.250%, 01/15/2015		75		80
4.250%, 06/01/2018		2,000		2,187
US Bancorp MTN
4.125%, 05/24/2021		134		147
3.000%, 03/15/2022		67		68
2.875%, 11/20/2014		415		429
2.450%, 07/27/2015		300		311
Ventas Realty‡
4.000%, 04/30/2019		3,553		3,839
3.250%, 08/15/2022		1,305		1,277
2.700%, 04/01/2020		860		819
Vesey Street Investment Trust I
4.404%, 09/01/2016		870		939
Wachovia
5.750%, 06/15/2017		690		797
5.750%, 02/01/2018		350		411
5.250%, 08/01/2014		650		683
0.616%, 10/28/2015 (A)		3,210		3,186
Wachovia Bank MTN
6.000%, 11/15/2017		4,220		4,967
0.610%, 03/15/2016 (A)		1,200		1,191
Wachovia Capital Trust III
5.570%, 12/31/2049 (A)		4,792		4,798
WEA Finance
7.125%, 04/15/2018 (B)		3,655		4,474
6.750%, 09/02/2019 (B)		721		885
Wells Fargo
5.625%, 12/11/2017		830		967
5.000%, 11/15/2014		1,085		1,150
4.600%, 04/01/2021		500		561
3.676%, 06/15/2016 (H)		2,980		3,201


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
3.500%, 03/08/2022 (C)	$	250	$	259
3.450%, 02/13/2023		1,490		1,459
1.500%, 01/16/2018		800		792
Wells Fargo Bank
4.750%, 02/09/2015		300		319
Wells Fargo Capital X
5.950%, 12/15/2036 (C)		860		881
Westpac Banking
4.875%, 11/19/2019		604		698
2.450%, 11/28/2016 (B) (C)		350		367
1.014%, 03/31/2014 (A) (B)		725		729
Woodbourne Capital Trust I
2.610%, 04/08/2049 (A) (B)		625		325
WR Berkley
4.625%, 03/15/2022		946		1,015
ZFS Finance USA Trust II
6.450%, 12/15/2065 (A) (B)		6,290		6,856

				840,233


Health Care — 1.5%
AbbVie
2.900%, 11/06/2022 (B)		7,265		7,066
2.000%, 11/06/2018 (B)		2,225		2,220
1.750%, 11/06/2017 (B) (C)		3,237		3,227
1.200%, 11/06/2015 (B)		4,060		4,076
Aetna
6.750%, 12/15/2037		60		77
4.500%, 05/15/2042		71		70
Amgen
5.750%, 03/15/2040		237		271
5.700%, 02/01/2019		100		118
5.650%, 06/15/2042		3,435		3,861
5.375%, 05/15/2043 (C)		2,815		3,086
5.150%, 11/15/2041		3,495		3,708
4.850%, 11/18/2014		50		53
4.500%, 03/15/2020		84		94
3.875%, 11/15/2021 (C)		200		214
Celgene
3.250%, 08/15/2022		2,363		2,357
1.900%, 08/15/2017		337		339
Express Scripts Holding
3.500%, 11/15/2016		4,530		4,863
2.100%, 02/12/2015		2,590		2,644
GlaxoSmithKline Capital
5.650%, 05/15/2018		1,590		1,890
2.850%, 05/08/2022		1,620		1,616
HCA
7.250%, 09/15/2020		1,165		1,281
5.750%, 03/15/2014 (C)		5,548		5,701
Hospira MTN
6.400%, 05/15/2015		20		22
Humana
7.200%, 06/15/2018		1,950		2,348
3.150%, 12/01/2022		640		621


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Medco Health Solutions
7.125%, 03/15/2018	$	250	$	307
2.750%, 09/15/2015		135		140
Medtronic
4.450%, 03/15/2020		1,210		1,363
Merck
2.800%, 05/18/2023		3,065		3,002
2.400%, 09/15/2022		156		150
1.300%, 05/18/2018		2,400		2,371
Perrigo
2.950%, 05/15/2023		1,455		1,407
Pfizer
4.300%, 06/15/2043		1,195		1,190
3.000%, 06/15/2023		1,990		1,985
1.500%, 06/15/2018		1,990		1,988
0.900%, 01/15/2017		5,975		5,957
Pharmacia
6.500%, 12/01/2018		430		532
Roche Holdings
6.000%, 03/01/2019 (B)		1,160		1,416
St. Jude Medical
3.250%, 04/15/2023		2,135		2,098
Stryker
1.300%, 04/01/2018		3,615		3,575
Thermo Fisher Scientific
3.600%, 08/15/2021		710		722
3.200%, 03/01/2016		1,425		1,495
UnitedHealth Group
6.625%, 11/15/2037		360		457
5.800%, 03/15/2036		560		655
5.700%, 10/15/2040		800		927
3.875%, 10/15/2020		870		934
3.375%, 11/15/2021		625		647
2.875%, 03/15/2023		150		146
Watson Pharmaceuticals
3.250%, 10/01/2022		112		110
WellPoint
6.000%, 02/15/2014		383		397
5.875%, 06/15/2017		350		406
4.625%, 05/15/2042		219		217
3.700%, 08/15/2021		2,430		2,508
3.300%, 01/15/2023		133		132
3.125%, 05/15/2022		3,742		3,692
1.250%, 09/10/2015		610		614
Wyeth
5.950%, 04/01/2037		2,260		2,768
Zoetis
4.700%, 02/01/2043 (B)		1,238		1,233
3.250%, 02/01/2023 (B)		340		336

				97,700


Industrials — 1.1%
ABB Finance USA
4.375%, 05/08/2042		47		48


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.875%, 05/08/2022	$	117	$	117
1.625%, 05/08/2017		81		81
ADT
4.875%, 07/15/2042		111		102
4.125%, 06/15/2023		48		48
3.500%, 07/15/2022		105		101
Air 2 US
8.027%, 10/01/2019 (B)		1,231		1,323
Air Canada, Pass-Through Trust, Ser 2013-1, Cl A
4.125%, 05/15/2025 (B)		141		144
American Airlines Pass-Through Trust, Ser 2011-2, Cl A
8.625%, 10/15/2021		251		265
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A
5.250%, 01/31/2021 (C)		102		111
BAE Systems
5.800%, 10/11/2041 (B)		90		102
4.750%, 10/11/2021 (B)		3,955		4,319
BAE Systems Holdings
5.200%, 08/15/2015 (B)		360		389
Boeing
4.875%, 02/15/2020		2,440		2,834
Burlington Northern Santa Fe
7.290%, 06/01/2036		200		268
5.650%, 05/01/2017		200		230
4.375%, 09/01/2042		150		146
3.450%, 09/15/2021		60		62
Burlington Northern Santa Fe LLC
5.400%, 06/01/2041		200		223
4.700%, 10/01/2019		375		429
3.050%, 09/01/2022		300		299
Canadian National Railway
5.850%, 11/15/2017		150		177
5.550%, 05/15/2018		385		455
Cargill
7.350%, 03/06/2019 (B)		400		506
3.300%, 03/01/2022 (B)		200		203
Caterpillar
2.600%, 06/26/2022		123		121
Continental Airlines Pass-Through Trust, Ser 974A
6.900%, 01/02/2018		136		149
Continental Airlines Pass-Through Trust, Ser 199-2, Cl A-1
7.256%, 03/15/2020		1,071		1,216
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		2,566		2,912


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Continental Airlines, Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024	$	127	$	131
Continental Airlines, Pass-Through Trust, Ser 1999-1, Cl A
6.545%, 02/02/2019		434		487
Continental Airlines, Pass-Through Trust, Ser 2000-1 Cl A-1
8.048%, 11/01/2020		2,252		2,621
CRH America
6.000%, 09/30/2016		154		175
CSX
7.375%, 02/01/2019		460		580
4.250%, 06/01/2021		65		72
Danaher
3.900%, 06/23/2021		266		290
Deere
3.900%, 06/09/2042		64		61
2.600%, 06/08/2022		74		73
Delta Air Lines, Pass-Through Trust, Ser 2011-1, Cl A
5.300%, 04/15/2019		70		78
Delta Air Lines, Pass-Through Trust, Ser 2007-1, Cl A
6.821%, 08/10/2022		1,521		1,773
Delta Air Lines, Pass-Through Trust, Ser 2010-2, Cl A
4.950%, 05/23/2019 (C)		230		252
Delta Air Lines, Pass-Through Trust, Ser 2012-1, Cl A
4.750%, 05/07/2020		98		108
Eaton
7.625%, 04/01/2024		325		413
4.150%, 11/02/2042 (B)		530		502
4.000%, 11/02/2032 (B)		709		693
2.750%, 11/02/2022 (B) (C)		2,090		2,029
1.500%, 11/02/2017 (B)		1,062		1,050
Fluor
3.375%, 09/15/2021		308		318
General Electric
5.250%, 12/06/2017 (C)		250		289
4.125%, 10/09/2042 (C)		155		148
0.850%, 10/09/2015		1,060		1,062
Illinois Tool Works
3.900%, 09/01/2042 (C)		960		899
Ingersoll-Rand
6.391%, 11/15/2027		425		492
JetBlue Airways Private Trust, Ser 2004-2, Cl G1
0.650%, 08/15/2016 (A)		3,369		3,256


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Koninklijke Philips
7.200%, 06/01/2026	$	300	$	381
5.750%, 03/11/2018		100		118
3.750%, 03/15/2022		424		445
Lockheed Martin
4.070%, 12/15/2042		453		414
3.350%, 09/15/2021		3,435		3,520
2.125%, 09/15/2016		187		192
Norfolk Southern
6.000%, 05/23/2111		527		618
3.950%, 10/01/2042		129		118
Northrop Grumman
4.750%, 06/01/2043		1,580		1,562
3.250%, 08/01/2023		11,450		11,293
1.850%, 11/15/2015		2,380		2,464
Owens Corning
4.200%, 12/15/2022		1,128		1,159
Penske Truck Leasing LP
2.875%, 07/17/2018 (B)		1,094		1,127
Pitney Bowes
5.600%, 03/15/2018		100		110
Raytheon
3.125%, 10/15/2020		720		742
Republic Services
3.550%, 06/01/2022		125		127
Roper Industries
2.050%, 10/01/2018		2,220		2,211
Ryder System MTN
3.600%, 03/01/2016		132		139
2.500%, 03/01/2017		177		180
Union Pacific
4.875%, 01/15/2015		497		529
4.300%, 06/15/2042		100		99
4.163%, 07/15/2022 (C)		437		479
Union Pacific Railroad 2003 Pass-Through Trust
4.698%, 01/02/2024		154		167
United Parcel Service
2.450%, 10/01/2022		100		97
United Parcel Service of America
8.375%, 04/01/2020		140		189
United Technologies
8.875%, 11/15/2019		400		542
5.400%, 05/01/2035		640		740
4.500%, 06/01/2042		1,210		1,249
US Airways Pass-Through Trust, Ser 2012-2, Cl A
4.625%, 06/03/2025		5,270		5,415
US Airways Pass-Through Trust, Ser 2012-1, Cl A
5.900%, 10/01/2024		50		56
Waste Management
7.125%, 12/15/2017		1,650		1,988
4.750%, 06/30/2020		299		335


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.600%, 09/01/2016	$	1,015	$	1,057

				75,094


Information Technology — 0.4%
Apple
2.400%, 05/03/2023		4,738		4,519
0.523%, 05/03/2018 (A)		345		346
Arrow Electronics
6.875%, 06/01/2018		270		318
6.000%, 04/01/2020		225		250
3.375%, 11/01/2015		60		62
Cisco Systems
5.900%, 02/15/2039 (C)		250		307
5.500%, 01/15/2040 (C)		500		589
eBay
4.000%, 07/15/2042		84		74
2.600%, 07/15/2022		74		72
Hewlett-Packard
6.000%, 09/15/2041		400		404
4.650%, 12/09/2021		87		90
4.300%, 06/01/2021		200		201
2.600%, 09/15/2017 (C)		187		190
HP Enterprise Services LLC
7.450%, 10/15/2029		500		587
Intel
4.800%, 10/01/2041		293		301
4.000%, 12/15/2032		1,730		1,670
3.300%, 10/01/2021		312		323
International Business Machines
7.625%, 10/15/2018		365		475
4.000%, 06/20/2042		169		164
1.950%, 07/22/2016		126		130
1.625%, 05/15/2020		7,596		7,337
1.250%, 02/06/2017		189		189
Intuit
5.750%, 03/15/2017		765		863
Microsoft
4.500%, 10/01/2040		61		64
1.625%, 09/25/2015		405		415
0.875%, 11/15/2017		54		53
National Semiconductor
6.600%, 06/15/2017		480		574
3.950%, 04/15/2015		500		530
Oracle
6.500%, 04/15/2038		100		131
6.125%, 07/08/2039		163		207
5.375%, 07/15/2040		97		113
5.000%, 07/08/2019		450		527
1.200%, 10/15/2017		2,240		2,221
TSMC Global
1.625%, 04/03/2018 (B)		3,415		3,371
Xerox
8.250%, 05/15/2014		320		342
4.500%, 05/15/2021		80		85


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.950%, 03/15/2017	$	165	$	169

				28,263


Materials — 0.9%
Barrick
4.100%, 05/01/2023 (B)		6,280		5,970
3.850%, 04/01/2022		640		612
Barrick Gold
6.950%, 04/01/2019 (C)		1,530		1,810
Barrick North America Finance
5.750%, 05/01/2043 (B)		980		918
Barrick North America Finance LLC
4.400%, 05/30/2021		920		924
BHP Billiton Finance USA
6.500%, 04/01/2019		445		554
4.125%, 02/24/2042		147		145
3.250%, 11/21/2021		3,010		3,109
Celulosa Arauco y Constitucion
4.750%, 01/11/2022		1,150		1,175
Cliffs Natural Resources
4.875%, 04/01/2021 (C)		290		278
Codelco
4.750%, 10/15/2014 (B)		900		939
Dow Chemical
8.550%, 05/15/2019		377		502
5.250%, 11/15/2041 (C)		1,120		1,198
4.250%, 11/15/2020		118		129
3.000%, 11/15/2022		5,405		5,240
E.I. du Pont de Nemours
5.600%, 12/15/2036		275		328
4.900%, 01/15/2041		125		138
1.950%, 01/15/2016		162		167
Ecolab
4.350%, 12/08/2021		570		625
1.450%, 12/08/2017		246		242
Freeport-McMoRan Copper
3.550%, 03/01/2022		2,355		2,293
3.100%, 03/15/2020 (B)		860		841
2.375%, 03/15/2018 (B)		850		848
2.150%, 03/01/2017		404		408
Mosaic
4.875%, 11/15/2041		117		119
3.750%, 11/15/2021		98		102
Placer Dome
6.450%, 10/15/2035		200		207
Potash Corp of Saskatchewan
6.500%, 05/15/2019		250		307
4.875%, 03/30/2020		10		11
PPG Industries
9.000%, 05/01/2021		515		709
6.650%, 03/15/2018		645		782
Praxair
5.250%, 11/15/2014		205		219


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.200%, 03/15/2017	$	215	$	245
4.375%, 03/31/2014		250		258
Rio Tinto Finance USA
8.950%, 05/01/2014		265		285
6.500%, 07/15/2018		3,420		4,159
4.125%, 05/20/2021		770		815
3.750%, 09/20/2021		1,380		1,424
3.500%, 11/02/2020		77		80
Rock Tenn
4.000%, 03/01/2023		580		585
3.500%, 03/01/2020		570		582
Southern Copper
5.250%, 11/08/2042		3,910		3,389
Stauffer Chemical
7.268%, 04/15/2018 (D) (G)		860		319
7.072%, 04/15/2017 (D) (G)		350		158
Union Carbide
7.750%, 10/01/2096		200		235
7.500%, 06/01/2025		200		243
Vale
5.625%, 09/11/2042		1,208		1,126
Vale Overseas
8.250%, 01/17/2034		365		446
6.875%, 11/21/2036		2,958		3,175
4.375%, 01/11/2022		4,015		3,988
Xstrata Finance Canada
5.800%, 11/15/2016 (B)		390		439
4.250%, 10/25/2022 (B)		725		719
2.700%, 10/25/2017 (B)		1,900		1,920
2.050%, 10/23/2015 (B)		3,518		3,547

				59,986


Telecommunication Services — 1.5%
America Movil
5.625%, 11/15/2017		1,450		1,668
5.000%, 03/30/2020		740		814
3.125%, 07/16/2022		3,487		3,328
2.375%, 09/08/2016 (C)		1,368		1,405
AT&T
6.550%, 02/15/2039		1,710		2,104
6.300%, 01/15/2038		5,355		6,382
5.800%, 02/15/2019		500		599
5.500%, 02/01/2018 (C)		3,165		3,705
5.350%, 09/01/2040		1,431		1,531
4.450%, 05/15/2021		440		491
4.350%, 06/15/2045 (B)		686		636
4.300%, 12/15/2042 (B)		2,820		2,635
3.875%, 08/15/2021		860		921
2.625%, 12/01/2022 (C)		2,255		2,143
2.500%, 08/15/2015		2,170		2,248
1.600%, 02/15/2017		2,375		2,388
0.800%, 12/01/2015		3,923		3,918
BellSouth
6.875%, 10/15/2031		8		9


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BellSouth Telecommunications
6.300%, 12/15/2015	$	143	$	149
British Telecommunications
5.950%, 01/15/2018		1,511		1,774
Cellco Partnership
8.500%, 11/15/2018		340		452
Centel Capital
9.000%, 10/15/2019		325		395
CenturyLink
7.600%, 09/15/2039		360		360
6.450%, 06/15/2021		540		579
Comcast Cable Communications LLC
8.875%, 05/01/2017		150		192
Comcast Cable Holdings LLC
10.125%, 04/15/2022		190		268
COX Communications
5.450%, 12/15/2014		323		346
Cox Enterprises
7.375%, 07/15/2027 (B)		170		215
Crown Castle Towers LLC
3.214%, 08/15/2015 (B)		290		300
Deutsche Telekom International Finance
5.750%, 03/23/2016		1,915		2,154
Deutsche Telekom International Finance BV
6.000%, 07/08/2019		600		724
2.250%, 03/06/2017 (B)		3,130		3,194
DIRECTV Holdings
6.000%, 08/15/2040		3,000		3,204
4.600%, 02/15/2021		400		431
3.800%, 03/15/2022		1,530		1,552
Discovery Communications
4.950%, 05/15/2042		115		116
4.875%, 04/01/2043		995		992
Discovery Communications LLC
4.375%, 06/15/2021		344		373
France Telecom
8.500%, 03/01/2031		370		529
2.750%, 09/14/2016		140		146
GTE
8.750%, 11/01/2021		600		806
6.840%, 04/15/2018		800		971
Intelsat Jackson Holdings
7.250%, 04/01/2019		485		523
News America
7.300%, 04/30/2028		500		613
6.650%, 11/15/2037		385		466
News America Holdings
8.875%, 04/26/2023		200		270
7.700%, 10/30/2025		200		256
Nippon Telegraph & Telephone
1.400%, 07/18/2017		200		199


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Pearson Funding Four
3.750%, 05/08/2022 (B)	$	974	$	993
Qwest
6.750%, 12/01/2021		593		681
Rogers Communications
3.000%, 03/15/2023		1,155		1,123
Sprint Capital
8.750%, 03/15/2032 (C)		390		454
TCI Communications
8.750%, 08/01/2015		701		817
7.125%, 02/15/2028		400		526
Telecom Italia Capital
6.999%, 06/04/2018		500		580
6.175%, 06/18/2014		65		68
5.250%, 11/15/2013		370		377
Telefonica Chile
3.875%, 10/12/2022 (B)		1,405		1,348
Telefonica Emisiones
6.421%, 06/20/2016		100		112
Telefonica Emisiones SAU
6.221%, 07/03/2017		690		777
5.877%, 07/15/2019		295		329
5.462%, 02/16/2021		69		74
5.134%, 04/27/2020		1,280		1,367
4.570%, 04/27/2023		1,570		1,565
Time Warner Entertainment
8.375%, 03/15/2023		232		309
Verizon Communications
8.750%, 11/01/2018		412		549
7.750%, 12/01/2030		3,940		5,308
6.350%, 04/01/2019		1,110		1,353
5.850%, 09/15/2035		150		170
5.500%, 02/15/2018		1,710		1,986
3.850%, 11/01/2042		1,935		1,668
3.500%, 11/01/2021		920		951
2.450%, 11/01/2022 (C)		470		440
Verizon Maryland
7.150%, 05/01/2023		600		601
Verizon New England
7.875%, 11/15/2029		500		639
Vodafone Group
5.450%, 06/10/2019		226		265
2.950%, 02/19/2023		4,050		3,904
1.625%, 03/20/2017		240		240
1.500%, 02/19/2018		2,675		2,643
0.900%, 02/19/2016		3,817		3,800
Windstream
8.125%, 09/01/2018		365		396
WPP Finance UK
8.000%, 09/15/2014		520		565

				96,452


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

Utilities — 1.9%
AGL Capital
6.375%, 07/15/2016	$	200	$	231
5.875%, 03/15/2041		73		87
5.250%, 08/15/2019		170		199
4.400%, 06/01/2043		2,240		2,198
Alabama Power
6.125%, 05/15/2038		69		86
5.875%, 12/01/2022		275		333
5.500%, 10/15/2017		810		945
Alabama Power Capital Trust V
3.384%, 10/01/2042 (A)		100		100
Ameren
8.875%, 05/15/2014		2,080		2,232
Ameren Illinois
2.700%, 09/01/2022		2,400		2,359
American Electric Power
1.650%, 12/15/2017		2,382		2,367
American Water Capital
6.085%, 10/15/2017		400		470
Appalachian Power
5.950%, 05/15/2033		200		228
4.600%, 03/30/2021		150		167
Arizona Public Service
5.050%, 09/01/2041		219		243
Arizona Public Services
4.500%, 04/01/2042		63		64
Atmos Energy
4.950%, 10/15/2014		260		275
Boston Gas
4.487%, 02/15/2042 (B)		140		143
CenterPoint Energy
6.500%, 05/01/2018		271		327
CenterPoint Energy Resources
6.125%, 11/01/2017		320		379
4.500%, 01/15/2021		246		275
Cleveland Electric Illuminating
7.880%, 11/01/2017		310		382
CMS Energy
2.750%, 05/15/2014		1,250		1,271
Comision Federal de Electricidad
4.875%, 05/26/2021 (B)		249		269
Consolidated Edison of New York
6.650%, 04/01/2019		650		814
5.700%, 06/15/2040		154		190
3.950%, 03/01/2043		360		343
Consumers Energy
6.700%, 09/15/2019		400		511
3.950%, 05/15/2043		1,360		1,315
2.850%, 05/15/2022		56		57
Dominion Resources
8.875%, 01/15/2019		1,945		2,610
6.400%, 06/15/2018		460		558
5.250%, 08/01/2033		1,135		1,272


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.200%, 08/15/2019	$	370	$	433
4.900%, 08/01/2041		48		51
1.950%, 08/15/2016		950		974
DPL
7.250%, 10/15/2021		8		9
DTE Electric
5.400%, 08/01/2014		50		53
2.650%, 06/15/2022		66		65
Duke Energy
3.550%, 09/15/2021		722		753
1.625%, 08/15/2017		1,135		1,134
Duke Energy Carolinas
4.250%, 12/15/2041		120		118
3.900%, 06/15/2021		200		220
Duke Energy Carolinas LLC
6.000%, 01/15/2038		48		60
5.100%, 04/15/2018		385		448
4.300%, 06/15/2020		195		220
Duke Energy Florida
3.850%, 11/15/2042		4,160		3,853
Duke Energy Indiana
4.200%, 03/15/2042		1,595		1,547
3.750%, 07/15/2020		180		195
Duke Energy Progress
5.300%, 01/15/2019		400		474
5.125%, 09/15/2013		790		801
4.100%, 05/15/2042		935		902
3.000%, 09/15/2021		111		114
2.800%, 05/15/2022		121		121
Electricite de France
4.600%, 01/27/2020 (B)		690		767
Enel Finance International
5.125%, 10/07/2019 (B)		500		541
Entergy Louisiana LLC
6.500%, 09/01/2018		500		598
Exelon
5.625%, 06/15/2035		2,225		2,433
Exelon Generation
5.750%, 10/01/2041		86		93
4.000%, 10/01/2020		588		614
FirstEnergy
4.250%, 03/15/2023		1,640		1,617
2.750%, 03/15/2018		650		651
FirstEnergy, Ser C
7.375%, 11/15/2031		3,765		4,250
Florida Gas Transmission LLC
3.875%, 07/15/2022 (B)		3,600		3,761
Florida Power & Light
5.950%, 10/01/2033		150		189
5.125%, 06/01/2041		197		229
Georgia Power
4.300%, 03/15/2043		785		764
Great Plains Energy
4.850%, 06/01/2021		27		30


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Indiana Michigan Power
7.000%, 03/15/2019	$	170	$	210
Jersey Central Power & Light
7.350%, 02/01/2019		500		622
John Sevier Combined Cycle Generation
4.626%, 01/15/2042		253		276
Kansas City Power & Light
5.300%, 10/01/2041		350		377
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,894		3,526
Massachusetts Electric
5.900%, 11/15/2039 (B)		210		255
Metropolitan Edison
3.500%, 03/15/2023 (B)		5,050		5,025
MidAmerican Energy
5.300%, 03/15/2018		750		876
MidAmerican Energy Holdings
6.500%, 09/15/2037		3,200		4,059
Mirant Mid Atlantic Pass-Through Trust
10.060%, 12/30/2028		229		258
Nevada Power
7.125%, 03/15/2019		400		506
6.500%, 08/01/2018		290		357
5.450%, 05/15/2041		150		177
5.375%, 09/15/2040		45		52
NextEra Energy Capital Holdings
5.350%, 06/15/2013		125		125
Niagara Mohawk Power
4.881%, 08/15/2019 (B)		180		205
4.119%, 11/28/2042 (B)		895		849
Nisource Finance
6.800%, 01/15/2019 (C)		3,747		4,523
5.800%, 02/01/2042		471		521
Northern States Power
6.250%, 06/01/2036		350		457
5.350%, 11/01/2039		56		67
2.600%, 05/15/2023		1,195		1,168
Oncor Electric Delivery
6.800%, 09/01/2018		4,660		5,750
4.550%, 12/01/2041		1,500		1,513
Pacific Gas & Electric
8.250%, 10/15/2018		1,570		2,068
5.800%, 03/01/2037		750		896
5.400%, 01/15/2040		156		178
4.500%, 12/15/2041		180		183
4.450%, 04/15/2042		2,443		2,453
3.250%, 09/15/2021		35		36
PacifiCorp
6.250%, 10/15/2037		310		400
5.650%, 07/15/2018		600		716
5.500%, 01/15/2019		400		477


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
PG&E
5.750%, 04/01/2014	$	80	$	83
Potomac Electric Power
4.150%, 03/15/2043		785		784
PPL Capital Funding
4.700%, 06/01/2043		1,345		1,290
4.200%, 06/15/2022		780		812
3.400%, 06/01/2023		995		975
PPL Energy Supply
4.600%, 12/15/2021		230		243
Progress Energy
6.000%, 12/01/2039		200		239
3.150%, 04/01/2022		809		807
PSEG Power
5.125%, 04/15/2020		120		134
4.150%, 09/15/2021		72		76
PSEG Power LLC
5.500%, 12/01/2015		445		492
5.320%, 09/15/2016		126		141
2.750%, 09/15/2016		1,055		1,093
Public Service Electric & Gas
5.375%, 11/01/2039		97		116
3.650%, 09/01/2042		113		104
2.700%, 05/01/2015		135		140
Public Service of New Mexico
7.950%, 05/15/2018		3,000		3,688
Public Service of Oklahoma
5.150%, 12/01/2019		220		252
Sabine Pass LNG
7.500%, 11/30/2016		710		792
7.500%, 11/30/2016 (B)		230		245
San Diego Gas & Electric
6.000%, 06/01/2026		400		512
3.950%, 11/15/2041		41		40
Sempra Energy
9.800%, 02/15/2019		100		138
8.900%, 11/15/2013		400		415
6.500%, 06/01/2016		135		156
6.000%, 10/15/2039		170		205
2.875%, 10/01/2022		140		137
2.000%, 03/15/2014		234		236
Sierra Pacific Power
5.450%, 09/01/2013		500		506
Southern
4.150%, 05/15/2014		85		88
1.950%, 09/01/2016		130		134
Southern California Edison
6.650%, 04/01/2029		200		259
5.500%, 03/15/2040		170		204
4.650%, 04/01/2015		200		215
Southern Power
5.150%, 09/15/2041		44		48
Southern Star Central Gas Pipeline
6.000%, 06/01/2016 (B)		655		719


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Southern Union
8.250%, 11/15/2029	$	4,295	$	5,468
3.292%, 11/01/2066 (A)		485		444
Southwestern Electric Power
6.450%, 01/15/2019		672		809
3.550%, 02/15/2022		1,550		1,587
Southwestern Public Service
8.750%, 12/01/2018		300		394
Texas-New Mexico Power
6.950%, 04/01/2043 (B)		1,487		1,961
Virginia Electric and Power
5.400%, 04/30/2018		695		820
2.950%, 01/15/2022		1,470		1,509
Wisconsin Electric Power
3.650%, 12/15/2042		183		170
2.950%, 09/15/2021		14		14

				121,237

Total Corporate Obligations (Cost $1,610,668) ($ Thousands)				1,688,254


ASSET-BACKED SECURITIES — 9.9%

Automotive — 2.0%
Ally Auto Receivables Trust, Ser 2010-2, Cl A4
2.090%, 05/15/2015		674		678
Ally Auto Receivables Trust, Ser 2010-3, Cl A4
1.550%, 08/17/2015		357		359
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/2014		48		48
Ally Auto Receivables Trust, Ser 2010-4, Cl A4
1.350%, 12/15/2015		2,758		2,775
Ally Auto Receivables Trust, Ser 2010-5, Cl A4
1.750%, 03/15/2016		5,646		5,701
Ally Auto Receivables Trust, Ser 2011-1, Cl A3
1.380%, 01/15/2015		71		71
Ally Auto Receivables Trust, Ser 2011-1, Cl A4
2.230%, 03/15/2016		6,948		7,054
Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/2014		505		506
Ally Auto Receivables Trust, Ser 2012-1, Cl A3
0.930%, 02/16/2016		355		356
Ally Auto Receivables Trust, Ser 2012-4, Cl A2
0.480%, 05/15/2015		5,872		5,874


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ally Auto Receivables Trust, Ser 2012-5, Cl A2
0.450%, 07/15/2015	$	10,085	$	10,088
Ally Auto Receivables Trust, Ser 2013-1, Cl A3
0.630%, 05/15/2017		3,215		3,210
Ally Auto Receivables Trust, Ser 2013-1, Cl A4
0.840%, 02/15/2018		3,399		3,378
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/2016		5,738		5,805
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/2017		1,960		1,982
American Credit Acceptance Receivables Trust, Ser 2012-1, Cl A2
3.040%, 10/15/2015 (B)		131		132
American Credit Acceptance Receivables Trust, Ser 2012-2, Cl A
1.890%, 07/15/2016 (B)		663		667
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A
1.640%, 11/15/2016 (B)		639		639
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/2015		74		74
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A3
1.270%, 04/08/2015		39		39
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3
1.390%, 09/08/2015		86		87
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2
0.910%, 10/08/2015		122		123
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A2
0.710%, 12/08/2015		347		348
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3
0.960%, 01/09/2017		299		300
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2
0.490%, 04/08/2016		3,089		3,089


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A3
0.670%, 06/08/2017	$	2,170	$	2,170
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A2
0.510%, 01/08/2016		700		700
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3
0.620%, 06/08/2017		232		232
Avis Budget Rental Car Funding LLC, Ser 2010-5A, Cl A
3.150%, 03/20/2017 (B)		440		462
Avis Budget Rental Car Funding LLC, Ser 2012-2A, Cl A
2.802%, 05/20/2018 (B)		1,050		1,098
Avis Budget Rental Car Funding LLC, Ser 2013-1A, Cl A
1.920%, 09/20/2019 (B)		900		899
Avis Budget Rental Car Funding, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (B)		1,700		1,718
Bank of America Auto Trust, Ser 2010-1A, Cl A4
2.180%, 02/15/2017 (B)		61		61
Bank of America Auto Trust, Ser 2010-2, Cl A4
1.940%, 06/15/2017		968		974
BMW Vehicle Lease Trust, Ser 2012-1, Cl A3
0.750%, 02/20/2015		342		343
California Republic Auto Receivables Trust, Ser 2012-1, Cl A
1.180%, 08/15/2017 (B)		829		828
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A3
0.790%, 06/20/2017		4,777		4,767
CarMax Auto Owner Trust, Ser 2011-1, Cl A3
1.380%, 09/15/2015		223		223
CarMax Auto Owner Trust, Ser 2011-1, Cl A4
2.290%, 09/15/2016		530		540
CarNow Auto Receivables Trust, Ser 2012-1A, Cl A
2.090%, 01/15/2015 (B)		49		49
CPS Auto Trust, Ser 2011-B, Cl A
3.680%, 09/17/2018 (B)		339		348
CPS Auto Trust, Ser 2011-C, Cl A
4.210%, 03/15/2019 (B)		343		356


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CPS Auto Trust, Ser 2012-A, Cl A
2.780%, 06/17/2019 (B)	$	151	$	154
CPS Auto Trust, Ser 2012-B, Cl A
3.090%, 09/16/2019 (B)		900		911
CPS Auto Trust, Ser 2012-C, Cl A
1.820%, 12/16/2019 (B)		588		592
CPS Auto Trust, Ser 2012-D, Cl A
1.480%, 03/16/2020 (B)		398		399
Credit Acceptance Auto Loan Trust, Ser 2012-2A, Cl A
1.520%, 03/16/2020 (B)		605		608
DT Auto Owner Trust, Ser 2012-2A, Cl A
0.910%, 11/16/2015 (B)		178		178
Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A
1.300%, 06/15/2017 (B)		513		516
First Investors Auto Owner Trust, Ser 2012-2A, Cl A2
1.470%, 05/15/2018 (B)		499		503
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2
0.900%, 10/15/2018 (B)		200		200
Ford Credit Auto Owner Trust, Ser 2012-A, Cl A3
0.840%, 08/15/2016		351		352
Ford Credit Auto Owner Trust, Ser 2012-B, Cl A2
0.570%, 01/15/2015		2,373		2,374
Ford Credit Auto Owner Trust, Ser 2012-C, Cl A2
0.470%, 04/15/2015		944		945
Ford Credit Auto Owner Trust, Ser 2013-B, Cl A2
0.380%, 02/15/2016		840		840
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1
0.740%, 09/15/2016		4,875		4,887
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/2015		2		2
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2
5.290%, 03/25/2016 (B)		700		749
Hertz Vehicle Financing LLC, Ser 2013-1A, Cl A2
1.830%, 08/25/2019 (B)		1,300		1,295
Honda Auto Receivables Owner Trust, Ser 2010-2, Cl A4
1.930%, 08/18/2016		1,211		1,213


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A4
0.940%, 12/21/2016	$	4,914	$	4,921
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3
0.770%, 01/15/2016		108		108
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A4
0.970%, 04/16/2018		56		56
Honda Auto Receivables Owner Trust, Ser 2012-3, Cl A2
0.460%, 12/15/2014		2,199		2,200
Honda Auto Receivables Owner Trust, Ser 2013-1, Cl A2
0.350%, 06/22/2015		6,410		6,410
Huntington Auto Trust, Ser 2012-1, Cl A3
0.810%, 09/15/2016		193		194
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/2015		84		84
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A3
1.160%, 04/15/2015		144		145
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A4
1.780%, 12/15/2015		365		370
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A4
1.650%, 02/15/2017		288		292
LAI Vehicle Lease Securitization Trust, Ser 2010-A, Cl A
2.550%, 09/15/2016 (B)		75		75
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/2015		1,681		1,684
MMCA Automobile Trust, Ser 2011-A, Cl A4
2.020%, 10/17/2016 (B)		1,097		1,108
MMCA Automobile Trust, Ser 2012-A, Cl A4
1.890%, 08/15/2017 (B)		700		706
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3
0.870%, 07/15/2014		49		49
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A3
1.180%, 02/16/2015		881		883
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A2
0.390%, 04/15/2015		1,059		1,060
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A4
2.390%, 06/15/2017 (B)		400		406


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Santander Drive Auto Receivables Trust, Ser 2011-2, Cl A3
1.290%, 02/16/2015	$	468	$	469
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl B
2.060%, 06/15/2017 (B)		78		78
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl D
3.350%, 06/15/2017 (B)		105		106
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/2015		154		154
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A2
0.910%, 05/15/2015		109		109
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A3
1.220%, 12/15/2015		133		134
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2
0.830%, 04/15/2015		1,547		1,548
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A3
1.080%, 04/15/2016		165		166
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A2
0.570%, 12/15/2015		1,595		1,595
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3
0.830%, 12/15/2016		1,331		1,335
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A2
0.470%, 09/15/2015		2,000		2,000
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A3
0.620%, 07/15/2016		1,663		1,664
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl A3
0.700%, 09/15/2017		5,911		5,907
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl A2
0.550%, 09/15/2016		5,757		5,757
SNAAC Auto Receivables Trust, Ser 2012-1A, Cl A
1.780%, 06/15/2016 (B)		117		118
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4
1.560%, 05/15/2015		415		419
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A2
0.570%, 10/15/2014		1,592		1,593
United Auto Credit Securitization Trust, Ser 2012-1, Cl A2
1.100%, 03/16/2015 (B)		295		295


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Volkswagen Auto Lease Trust, Ser 2012-A, Cl A3
0.870%, 07/20/2015	$	687	$	690
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A3
0.850%, 08/22/2016		426		428
Volkswagen Auto Loan Enhanced Trust, Ser 2012-2, Cl A2
0.330%, 07/20/2015		1,981		1,981
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3
1.490%, 06/16/2014 (B)		45		45
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A2
0.710%, 01/15/2015		159		159
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3
0.930%, 11/16/2015		181		182

				133,552


Credit Cards — 0.9%
American Express Credit Account Master Trust, Ser 2009-2, Cl A
1.449%, 03/15/2017 (A)		1,127		1,143
American Express Credit Account Master Trust, Ser 2012-4, Cl A
0.439%, 05/15/2020 (A)		5,180		5,178
American Express Issuance Trust II, Ser 2013-1, Cl A
0.479%, 02/15/2019 (A)		4,381		4,382
Bank of America Credit Card Trust, Ser 2007-A6, Cl A6
0.259%, 09/15/2016 (A)		9,714		9,716
Chase Issuance Trust, Ser 2008-A13, Cl A13
1.780%, 09/15/2015 (A)		5,921		5,948
Chase Issuance Trust, Ser 2012-A1, Cl A1
0.299%, 05/16/2016 (A)		4,159		4,159
Chase Issuance Trust, Ser 2012-A10, Cl A10
0.459%, 12/16/2019 (A)		1,239		1,239
Chase Issuance Trust, Ser 2012-A6, Cl A
0.329%, 08/15/2017 (A)		8,308		8,308
Chase Issuance Trust, Ser 2012-A8, Cl A8
0.540%, 10/16/2017		2,377		2,370
Chase Issuance Trust, Ser 2013-A3, Cl A3
0.479%, 04/15/2020 (A)		4,041		4,041


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Discover Card Execution Note Trust, Ser 2013-A1, Cl A1
0.499%, 08/17/2020 (A)	$	1,768	$	1,764
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A
0.749%, 01/17/2017 (A)		1,756		1,761
MBNA Credit Card Master Note Trust, Ser 2003-A10, Cl A10
0.459%, 03/15/2016 (A)		2,336		2,338
World Financial Network Credit Card Master Trust, Ser 2013-B, Cl A
0.910%, 03/16/2020		4,088		4,088

				56,435


Mortgage Related Securities — 1.0%
Aames Mortgage Trust, Ser 2002-1, Cl A3
6.531%, 06/25/2032		46		45
Accredited Mortgage Loan Trust, Ser 2005-3, Cl A2D
0.560%, 09/25/2035 (A)		1,200		1,186
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.433%, 03/25/2030 (A)		1,865		1,073
Argent Securities, Ser 2004-W5, Cl AV2
0.713%, 04/25/2034 (A)		1,113		1,114
Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A4
5.010%, 06/25/2035		597		604
Asset-Backed Funding Certificates, Ser 2005-WMC1, Cl M1
0.853%, 06/25/2035 (A)		59		58
Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE7, Cl M1
1.174%, 12/15/2033 (A)		2,714		2,563
Asset-Backed Securities Home Equity Loan Trust, Ser 2005-HE6, Cl M2
0.703%, 07/25/2035 (A)		977		967
Bear Stearns Asset-Backed Securities Trust, Ser 2003-2, Cl A3
1.693%, 03/25/2043 (A)		2,075		2,037
Bear Stearns Asset-Backed Securities Trust, Ser 2005-HE12, Cl 1A3
0.583%, 12/25/2035 (A)		4,488		4,360


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3
0.563%, 08/25/2035 (A)	$	5,424	$	5,346
Bear Stearns Asset-Backed Securities Trust, Ser 2006-HE1, Cl 1A2
0.413%, 12/25/2035 (A)		13		13
Centex Home Equity, Ser 2003-B, Cl AF4
3.235%, 02/25/2032		96		95
Centex Home Equity, Ser 2003-B, Cl AF6
3.173%, 06/25/2033 (A)		65		65
Centex Home Equity, Ser 2006-A, Cl AV4
0.443%, 06/25/2036 (A)		75		68
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A4
5.775%, 09/25/2036		3,949		4,016
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5
6.046%, 03/25/2037		990		927
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5
6.690%, 11/15/2032 (A)		1,247		1,252
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/2028		1		1
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A
1.019%, 09/15/2029 (A)		310		275
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.663%, 05/25/2039 (A) (B)		583		543
GSAA Trust, Ser 2005-6, Cl A3
0.563%, 06/25/2035 (A)		3,685		3,447
Home Equity Asset Trust, Ser 2007-2, Cl 2A1
0.303%, 07/25/2037 (A)		181		180
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1
0.468%, 01/20/2035 (A)		3,284		3,242
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2
0.688%, 01/20/2035 (A)		349		333
HSBC Home Equity Loan Trust, Ser 2005-3, Cl A1
0.458%, 01/20/2035 (A)		76		75
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.358%, 01/20/2036 (A)		5,445		5,340


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A2
0.378%, 01/20/2036 (A)	$	64	$	63
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.348%, 03/20/2036 (A)		245		243
HSBC Home Equity Loan Trust, Ser 2006-4, Cl A3V
0.348%, 03/20/2036 (A)		57		56
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F
5.600%, 03/20/2036		35		35
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2V
0.378%, 03/20/2036 (A)		359		359
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.398%, 03/20/2036 (A)		194		190
HSBC Home Equity Loan Trust, Ser 2007-2, Cl A2V
0.358%, 07/20/2036 (A)		9		9
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.398%, 11/20/2036 (A)		552		551
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3
0.543%, 07/25/2034 (A) (B)		501		495
MASTR Asset Backed Securities Trust, Ser 2006-WMC3, Cl A4
0.353%, 08/25/2036 (A)		1,119		514
MASTR Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D
0.563%, 06/25/2035 (A)		4,651		4,571
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/2047		26		19
New Century Home Equity Loan Trust, Ser 2005-4, Cl A2C
0.563%, 09/25/2035 (A)		7,695		7,539
Oakwood Mortgage Investors, Ser 1998-B, Cl A4
6.350%, 03/15/2017		6		6
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3
4.499%, 08/25/2035		446		448
Residential Asset Securities, Ser 2005-KS9, Cl A3
0.563%, 10/25/2035 (A)		195		192


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/2025	$	303	$	300
RMAT, Ser 2012-1A, Cl A1
2.734%, 08/26/2052 (A) (B)		799		817
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.950%, 04/25/2032 (B)		141		139
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6
4.795%, 06/25/2033		222		226
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A
0.543%, 04/25/2037 (A) (B)		626		352
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A2
0.343%, 06/25/2037 (A)		128		73
Structured Asset Securities, Ser 2002-AL1, Cl A2
3.450%, 02/25/2032		249		249
Structured Asset Securities, Ser 2005-NC1, Cl A11
4.690%, 02/25/2035		934		927
Structured Asset Securities, Ser 2006-WF2, Cl A3
0.343%, 07/25/2036 (A)		499		488
UCFC Home Equity Loan, Ser 1998-D, Cl MF1
6.905%, 04/15/2030		779		784
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6
5.000%, 10/25/2034 (A)		5,565		5,707
Wells Fargo Home Equity Trust, Ser 2005-2, Cl AI1B
0.483%, 08/25/2035 (A)		12		12

				64,589


Other Asset-Backed Securities — 6.0%
Academic Loan Funding Trust, Ser 2012-1A, Cl A1
0.993%, 12/27/2022 (A) (B)		364		368
Access Group, Ser 2006-1, Cl A2
0.383%, 08/25/2023 (A)		2,882		2,838
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1
0.508%, 06/14/2037 (A) (B)		3,563		3,305


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ally Master Owner Trust, Ser 2011-1, Cl A2
2.150%, 01/15/2016	$	3,250	$	3,282
Ally Master Owner Trust, Ser 2011-4, Cl A1
0.999%, 09/15/2016 (A)		1,603		1,614
Ally Master Owner Trust, Ser 2012-1, Cl A1
0.999%, 02/15/2017 (A)		4,511		4,556
Ally Master Owner Trust, Ser 2012-3, Cl A1
0.899%, 06/15/2017 (A)		2,903		2,931
Ally Master Owner Trust, Ser 2012-5, Cl A
1.540%, 09/15/2019		4,175		4,161
Alm Loan Funding, Ser 2012-7A, Cl A1
1.696%, 10/19/2024 (A) (B)		4,350		4,368
Ameriquest Mortgage Securities, Ser 2005-R6, Cl A2
0.393%, 08/25/2035 (A)		22		21
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A
0.873%, 01/25/2032 (A)		328		303
Apidos CDO II, Ser 2005-2A, Cl C
2.076%, 12/21/2018 (A) (B)		1,750		1,701
Ascentium Equipment Receivables LLC, Ser 2012-1A, Cl A
1.830%, 09/15/2019 (B)		353		353
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1
0.542%, 11/14/2033 (A) (B)		2,578		2,282
Bayview Opportunity Master Fund Trust IIB, Ser 2012-4NPL, Cl A
3.475%, 07/28/2032 (A) (B)		701		704
Bayview Opportunity Master Fund Trust IIB, Ser 2013-8NPL, Cl A
3.228%, 03/28/2033 (A) (B)		1,177		1,177
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3
0.593%, 08/25/2043 (A)		4,600		4,516
Brazos Education Loan Authority, Ser 2012-1, Cl A1
0.893%, 12/26/2035 (A)		4,920		4,933
Brazos Higher Education Authority, Ser 2006-2, Cl A9
0.294%, 12/26/2024 (A)		1,183		1,165


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Brazos Higher Education Authority, Ser 2010-1, Cl A2
1.473%, 02/25/2035 (A)	$	4,835	$	4,952
Brazos Higher Education Authority, Ser 2011-1, Cl A2
1.073%, 02/25/2030 (A)		3,000		3,034
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.276%, 10/27/2036 (A)		3,520		3,535
BXG Receivables Note Trust, Ser 2012-A, Cl A
2.660%, 12/02/2027 (B)		431		429
Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A3
0.593%, 09/25/2035 (A)		4,092		4,016
Castle Trust, Ser 2003-1AW, Cl A1
0.949%, 05/15/2027 (A) (B)		108		102
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1
4.192%, 02/01/2020		979		1,039
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4
4.499%, 11/25/2034		216		218
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.350%, 11/25/2034		500		494
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7
4.277%, 11/25/2034		642		648
CIT Education Loan Trust, Ser 2007-1, Cl A
0.374%, 03/25/2042 (A) (B)		3,802		3,526
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5
6.036%, 09/25/2036		6,465		6,165
CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/2015		141		141
CNH Equipment Trust, Ser 2011-A, Cl A3
1.200%, 05/16/2016		121		121
CNH Equipment Trust, Ser 2011-A, Cl A4
2.040%, 10/17/2016		213		217


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CNH Equipment Trust, Ser 2012-A, Cl A2
0.650%, 07/15/2015	$	14	$	14
CNH Equipment Trust, Ser 2012-A, Cl A3
0.940%, 05/15/2017		263		264
CNH Equipment Trust, Ser 2012-C, Cl A2
0.440%, 02/16/2016		1,187		1,187
Concord Funding LLC, Ser 2012-2, Cl A
3.145%, 01/15/2017 (B)		1,350		1,350
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/2031 (A)		635		624
Conseco Financial, Ser 1997-2, Cl A6
7.240%, 06/15/2028 (A)		15		16
Conseco Financial, Ser 1998-2, Cl A5
6.240%, 12/01/2028 (A)		114		118
Countrywide Asset-Backed Certificates, Ser 2002-BC1, Cl A
0.853%, 04/25/2032 (A)		53		36
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.793%, 06/25/2033 (A)		115		112
Countrywide Asset-Backed Certificates, Ser 2005-11, Cl MV1
0.663%, 02/25/2036 (A)		8,230		8,013
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1
0.653%, 10/25/2035 (A)		194		194
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
5.602%, 10/25/2046 (A)		208		187
Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1
0.523%, 07/25/2036 (A) (B)		346		247
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A1
1.093%, 10/25/2047 (A)		97		83
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1
0.393%, 02/25/2037 (A) (B)		855		544


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1
0.643%, 03/25/2047 (A) (B)	$	664	$	361
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.499%, 02/15/2034 (A)		567		479
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/2031		153		155
Credit-Based Asset Servicing and Securitization LLC, Ser 2003-CB3, Cl AF1
3.379%, 12/25/2032		89		87
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2
4.123%, 12/25/2036		561		388
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF4
4.123%, 12/25/2036		1,359		1,116
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A
0.503%, 05/25/2046 (A) (B)		10,488		7,833
Educational Funding of the South, Ser 2011-1, Cl A2
0.926%, 04/25/2035 (A)		3,580		3,589
EFS Volunteer No. 2 LLC, Ser 2012-1, Cl A2
1.554%, 03/25/2036 (A) (B)		2,500		2,548
EFS Volunteer No. 3 LLC, Ser 2012-1, Cl A3
1.200%, 04/25/2033 (A) (B)		4,600		4,622
Equity One Mortgage Pass-Through Trust, Ser 2003-2, Cl M1
5.050%, 09/25/2033 (A)		165		166
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2004-FF7, Cl A5
1.193%, 09/25/2034 (A)		66		64
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF8, Cl A2D
0.573%, 09/25/2035 (A)		3,571		3,524
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1
2.120%, 02/15/2016		2,675		2,706


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GE Equipment Midticket LLC, Ser 2012-1, Cl A2
0.470%, 01/22/2015	$	507	$	507
GE Equipment Midticket LLC, Ser 2012-1, Cl A3
0.600%, 05/23/2016		1,000		1,000
GE Equipment Midticket LLC, Ser 2012-1, Cl A4
0.780%, 09/22/2020		300		300
GE Equipment Transportation LLC, Ser 2012-2, Cl A2
0.470%, 04/24/2015		604		604
GE Seaco Finance, Ser 2005-1A, Cl A
0.448%, 11/17/2020 (A) (B)		3,450		3,406
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/2027		116		117
Green Tree Financial, Ser 2008-MH1, Cl A2
8.970%, 04/25/2038 (A) (B)		4,111		4,576
Green Tree Financial, Ser 2008-MH1, Cl A3
8.970%, 04/25/2038 (A) (B)		3,426		3,813
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2
3.700%, 02/20/2032 (A)		875		787
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2
3.700%, 03/13/2032 (A)		1,425		1,254
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A1
1.340%, 10/15/2043 (B)		927		929
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A2
1.990%, 10/15/2045 (B)		730		744
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A1
0.898%, 01/15/2044 (B)		643		643
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A2
1.495%, 01/16/2046 (B)		539		543
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl B2
1.744%, 01/16/2046 (B)		182		183


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
John Deere Owner Trust, Ser 2011-A, Cl A3
1.290%, 01/15/2016	$	159	$	159
John Deere Owner Trust, Ser 2011-A, Cl A4
1.960%, 04/16/2018		285		289
John Deere Owner Trust, Ser 2012-B, Cl A2
0.430%, 02/17/2015		450		450
John Deere Owner Trust, Ser 2012-B, Cl A4
0.690%, 01/15/2019		581		580
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AV4
0.323%, 11/25/2036 (A)		5,385		5,283
KeyCorp Student Loan Trust, Ser 2003-A, Cl 1A2
0.536%, 10/25/2032 (A)		2,058		2,036
Latitude CLO II, Ser 2006-2A, Cl A2
0.610%, 12/15/2018 (A) (B)		2,200		2,138
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 04/15/2040		310		334
Lehman XS Trust, Ser 2005-6, Cl 1A3
0.453%, 11/25/2035 (A)		59		59
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
0.493%, 12/25/2035 (A)		2,019		903
Long Beach Mortgage Loan Trust, Ser 2005-1, Cl M2
0.988%, 02/25/2035 (A)		8,900		8,574
Macquarie Equipment Funding Trust, Ser 2012-A, Cl A2
0.610%, 04/20/2015 (B)		2,000		2,002
Madison Avenue Manufactured Housing Contract, Ser 2002-A, Cl M2
2.443%, 03/25/2032 (A)		327		329
Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-3, Cl A2C
0.373%, 06/25/2037 (A)		104		64
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/2038		3,174		3,391
Mid-State Trust, Ser 2004-1, Cl A
6.005%, 08/15/2037		493		559
Mid-State Trust, Ser 2006-1, Cl A
5.787%, 10/15/2040 (B)		5,583		5,918


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nationstar Agency Advance Funding Trust, Ser 2013-T1A, Cl AT1
0.997%, 02/15/2045 (B)	$	337	$	337
Nationstar Agency Advance Funding Trust, Ser 2013-T2A, Cl AT2
1.892%, 02/18/2048 (B)		132		132
Nelnet Student Loan Trust, Ser 2005-1, Cl A5
0.386%, 10/25/2033 (A)		5,802		5,607
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
0.384%, 03/23/2037 (A)		1,112		1,073
Nelnet Student Loan Trust, Ser 2005-3, Cl A5
0.404%, 12/24/2035 (A)		4,000		3,929
Nelnet Student Loan Trust, Ser 2006-1, Cl A4
0.364%, 11/23/2022 (A)		5,390		5,378
Nelnet Student Loan Trust, Ser 2006-2, Cl A4
0.356%, 10/26/2026 (A)		6,677		6,659
Nelnet Student Loan Trust, Ser 2007-1, Cl A1
0.283%, 11/27/2018 (A)		288		287
Nelnet Student Loan Trust, Ser 2007-1, Cl A3
0.343%, 05/27/2025 (A)		3,615		3,487
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L
0.634%, 03/25/2026 (A) (B)		10,146		10,085
Nelnet Student Loan Trust, Ser 2010-4A, Cl A
0.993%, 04/25/2046 (A) (B)		1,326		1,345
Neptune Finance CCS, Ser 2008-1A, Cl A
0.891%, 04/20/2020 (A) (B)		4,400		4,394
Newcastle Investment Trust, Ser 2011-MH1, Cl A
2.450%, 12/10/2033 (B)		156		159
NYMT Residential, Ser 2012-RP1A, Cl NOTE
4.250%, 12/25/2017 (A) (B)		1,500		1,500
Octagon Investment Partners XI, Ser 2007-1X, Cl A1B
0.533%, 08/25/2021 (A)		3,750		3,661
Origen Manufactured Housing, Ser 2002-A, Cl A1
0.439%, 05/15/2032 (A)		11		11
Park Place Securities, Ser 2004-MHQ1, Cl M1
1.243%, 12/25/2034 (A)		2,552		2,552


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Park Place Securities, Ser 2004-WCW1, Cl M2
0.873%, 09/25/2034 (A)	$	820	$	808
Park Place Securities, Ser 2004-WCW2, Cl M1
0.813%, 10/25/2034 (A)		59		59
Park Place Securities, Ser 2004-WWF1, Cl M2
0.873%, 12/25/2034 (A)		4,460		4,452
Park Place Securities, Ser 2005-WCH1, Cl M2
0.713%, 01/25/2036 (A)		3,233		3,171
Park Place Securities, Ser 2005-WCW1, Cl A3D
0.533%, 09/25/2035 (A)		1,499		1,488
Pennsylvania Higher Education Assistance Agency, Ser 2005-1, Cl B1
2.400%, 04/25/2045 (A)		4,150		3,312
PennyMac Loan Trust, Ser 2011-NPL1, Cl A
5.250%, 09/25/2051 (A) (B)		47		47
PennyMac Loan Trust, Ser 2012-NPL1, Cl A
3.422%, 05/28/2052 (A) (B)		450		450
Popular ABS Mortgage Pass-Through Trust, Ser 2004-5, Cl AF4
4.655%, 12/25/2034 (A)		82		84
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3
0.503%, 06/25/2047 (A)		11,530		5,830
Race Point CLO, Ser 2012-7A, Cl A
1.695%, 11/08/2024 (A) (B)		4,500		4,517
RAMP Trust, Ser 2002-RS4, Cl AI5
6.163%, 08/25/2032		3		2
RAMP Trust, Ser 2003-RS10, Cl AI6
5.860%, 11/25/2033		647		696
RAMP Trust, Ser 2003-RS11, Cl AI6A
5.980%, 12/25/2033		497		492
Real Estate Asset Trust, Ser 2011-2A, Cl A1
5.750%, 05/25/2049 (B)		26		26
Real Estate Asset Trust, Ser 2012-3A, Cl A1
2.734%, 11/25/2042 (A) (B)		412		412
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3
0.533%, 10/25/2035 (A)		600		588


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Residential Asset Mortgage Products, Ser 2005-RS8, Cl A2
0.483%, 10/25/2033 (A)	$	2,016	$	2,002
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A2
0.383%, 03/25/2036 (A)		1,517		1,514
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A3
0.493%, 03/25/2036 (A)		1,100		1,032
Residential Credit Solutions Trust, Ser 2011-1, Cl A1
6.000%, 03/25/2041 (B)		697		698
Resort Finance Timeshare, Ser 2012-1, Cl A1
6.250%, 08/06/2018		778		778
Resort Finance Timeshare, Ser 2012-2, Cl A
5.750%, 09/05/2018		546		546
RSB Bondco LLC, Ser 2007-A, Cl A3
5.820%, 06/28/2019		2,470		2,858
SLC Student Loan Trust, Ser 2007-2, Cl A2
0.675%, 05/15/2028 (A)		1,218		1,222
SLM Private Education Loan Trust, Ser 2012-A, Cl A1
1.599%, 08/15/2025 (A) (B)		2,740		2,780
SLM Student Loan Trust, Ser 2003-4, Cl A5A
1.030%, 03/15/2033 (A) (B)		69		69
SLM Student Loan Trust, Ser 2004-8A, Cl A5
0.776%, 04/25/2024 (A) (B)		9,890		9,966
SLM Student Loan Trust, Ser 2005-5, Cl A3
0.376%, 04/25/2025 (A)		421		419
SLM Student Loan Trust, Ser 2005-6, Cl A5B
1.476%, 07/27/2026 (A)		1,949		1,973
SLM Student Loan Trust, Ser 2005-9, Cl A4
0.376%, 01/25/2023 (A)		808		807
SLM Student Loan Trust, Ser 2006-5, Cl A5
0.386%, 01/25/2027 (A)		2,830		2,766
SLM Student Loan Trust, Ser 2006-7, Cl A4
0.346%, 04/25/2022 (A)		193		193
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.276%, 07/25/2017 (A)		991		989


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SLM Student Loan Trust, Ser 2007-2, Cl B
0.446%, 07/25/2025 (A)	$	1,291	$	1,118
SLM Student Loan Trust, Ser 2008-6, Cl A2
0.826%, 10/25/2017 (A)		433		434
SLM Student Loan Trust, Ser 2010-1, Cl A
0.593%, 03/25/2025 (A)		2,126		2,132
SLM Student Loan Trust, Ser 2011-2, Cl A2
1.393%, 10/25/2034 (A)		495		519
SLM Student Loan Trust, Ser 2011-C, Cl A1
1.599%, 12/15/2023 (A) (B)		4,857		4,914
SLM Student Loan Trust, Ser 2012-6, Cl A3
0.943%, 05/26/2026 (A)		800		807
SLM Student Loan Trust, Ser 2012-6, Cl B
1.193%, 04/27/2043 (A)		2,045		1,868
SLM Student Loan Trust, Ser 2012-B, Cl A1
1.299%, 12/15/2021 (A) (B)		4,354		4,387
SLM Student Loan Trust, Ser 2012-C, Cl A1
1.299%, 08/15/2023 (A) (B)		3,998		4,035
SLM Student Loan Trust, Ser 2012-E, Cl A1
0.949%, 10/16/2023 (A) (B)		9,916		9,964
SLM Student Loan Trust, Ser 2012-E, Cl A2B
1.949%, 06/15/2045 (A) (B)		5,352		5,534
SLM Student Loan Trust, Ser 2013-1, Cl B
1.993%, 11/25/2043 (A)		1,448		1,424
SLM Student Loan Trust, Ser 2013-2, Cl B
1.693%, 06/25/2043 (A)		866		824
SLM Student Loan Trust, Ser 2013-9, Cl A6
0.826%, 10/26/2026 (A)		5,706		5,649
SLM Student Loan Trust, Ser 2013-A, Cl A1
0.799%, 08/15/2022 (A) (B)		3,823		3,824
SLM Student Loan Trust, Ser 2013-B, Cl A1
0.850%, 07/15/2022 (A) (B)		2,489		2,492
SLM Student Loan Trust, Ser 2013-B, Cl A2A
1.850%, 06/17/2030 (B)		6,041		5,943
SMS Student Loan Trust, Ser 2000-A, Cl A2
0.466%, 10/28/2028 (A)		1,638		1,634


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SMS Student Loan Trust, Ser 2000-B, Cl A2
0.476%, 04/28/2029 (A)	$	1,471	$	1,468
Sound Point CLO, Ser 2012-1A, Cl C
3.576%, 10/20/2023 (A) (B)		1,750		1,754
South Carolina Student Loan, Ser 2005-2005, Cl A2
0.407%, 12/01/2020 (A)		3,975		3,941
Springleaf Funding Trust, Ser 2013-AA, Cl A
2.580%, 09/15/2021 (B)		1,800		1,782
SPST, Ser 2013-1, Cl A
1.700%, 02/25/2015		1,000		1,000
Stanwich Mortgage Loan Trust, Ser 2012-NPL4, Cl A
2.981%, 09/15/2042 (B)		1,118		1,120
Stanwich Mortgage Loan Trust, Ser 2012-NPL5, Cl A
2.981%, 10/18/2042 (B)		1,845		1,848
Stanwich Mortgage Loan Trust, Ser 2013-NPL1, Cl A
2.981%, 02/16/2043 (B)		1,122		1,123
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9
0.463%, 06/25/2035 (A)		123		123
Structured Asset Securities, Ser 2005-WF2, Cl A3
0.493%, 05/25/2035 (A)		2,734		2,699
Structured Asset Securities, Ser 2005-WF3, Cl A2
0.423%, 07/25/2035 (A)		65		65
Structured Asset Securities, Ser 2005-WF4, Cl A4
0.553%, 11/25/2035 (A)		5,027		5,006
Structured Asset Securities, Ser 2007-BC2, Cl A2
0.283%, 03/25/2037 (A)		1,209		1,204
SunTrust Student Loan Trust, Ser 2006-1A, Cl A3
0.396%, 01/30/2023 (A) (B)		5,743		5,686
Symphony CLO, Ser 2012-9A, Cl C
3.528%, 04/16/2022 (A) (B)		1,500		1,503
TAL Advantage LLC, Ser 2006-1A, Cl A
0.389%, 04/20/2021 (A) (B)		2,020		1,987
TAL Advantage, Ser 2010-2A, Cl A
4.300%, 10/20/2025 (B)		742		748
TAL Advantage, Ser 2011-1A, Cl A
4.600%, 01/20/2026 (B)		460		468


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Textainer Marine Containers, Ser 2005-1A, Cl A
0.450%, 05/15/2020 (A) (B)	$	1,480	$	1,466
Trafigura Securitisation Finance, Ser 2012-1A, Cl A
2.599%, 10/15/2015 (A) (B)		1,190		1,213
Trinity Rail Leasing, Ser 2004-1A, Cl A
5.270%, 08/14/2027 (B)		171		189
Trinity Rail Leasing, Ser 2006-1A, Cl A1
5.900%, 05/14/2036 (B)		2,276		2,571
Trip Rail Master Funding, Ser 2011-1A, Cl A1A
4.370%, 07/15/2041 (B)		3,903		4,185
Triton Container Finance, Ser 2006-1A, Cl NOTE
0.360%, 11/26/2021 (A) (B)		2,730		2,685
Triton Container Finance, Ser 2007-1A, Cl NOTE
0.330%, 02/26/2019 (A) (B)		1,094		1,084
Triton Container Finance, Ser 2012-1A, Cl A
4.210%, 05/14/2027 (B)		2,992		3,032
VOLT LLC, Ser 2012-RLF1, Cl A
3.475%, 12/25/2017 (B)		750		750
VOLT LLC, Ser 2012-RP2A, Cl A2
8.836%, 06/26/2017 (B)		96		97
VOLT LLC, Ser 2012-RP3A, Cl A
3.475%, 11/27/2017 (B)		250		256
Wells Fargo Home Equity Trust, Ser 2006-1, Cl A3
0.343%, 05/25/2036 (A)		—		—
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1
0.283%, 04/25/2037 (A)		584		580
Westgate Resorts LLC, Ser 2012-1, Cl A
4.500%, 09/20/2025 (B)		666		684
Westgate Resorts LLC, Ser 2012-2A, Cl A
3.000%, 01/20/2025 (B)		785		795
Westgate Resorts LLC, Ser 2012-3A, Cl A
2.500%, 03/20/2025 (B)		555		559
Wind River CLO, Ser 2004-1A, Cl B1
1.380%, 12/19/2016 (A) (B)		1,900		1,893

				387,024

Total Asset-Backed Securities (Cost $633,637) ($ Thousands)				641,600


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

U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.2%
FAMC
2.375%, 07/22/2015	$	170	$	177
2.125%, 09/15/2015		175		182
FFCB
4.625%, 11/03/2014		150		159
1.500%, 11/16/2015		7,830		8,041
FHLB
5.500%, 07/15/2036		3,810		4,938
3.625%, 10/18/2013		1,400		1,418
2.500%, 05/26/2015 (H)		7,510		7,484
FHLMC
6.750%, 03/15/2031		2,570		3,758
FICO STRIPS, PO
9.800%, 04/06/2018		7,590		10,563
9.700%, 04/05/2019		5,100		7,398
8.600%, 09/26/2019		5,655		8,000
1.593%, 09/26/2019 (D)		1,835		1,633
1.544%, 04/05/2019 (D)		1,000		899
1.524%, 06/06/2019 (D)		470		424
1.470%, 03/07/2019 (D)		1,450		1,322
1.386%, 11/02/2018 (D)		9,315		8,645
1.350%, 08/03/2018 (D)		7,800		7,295
1.315%, 05/11/2018 (D)		8,920		8,436
1.302%, 04/06/2018 (D)		2,920		2,766
1.281%, 02/08/2018 (D)		960		907
0.000%, 11/30/2017 to 12/06/2018 (D)		8,695		8,008
FNMA
6.250%, 05/15/2029		3,730		5,135
5.914%, 10/09/2019 (D)		670		581
5.375%, 06/12/2017		250		294
3.713%, 06/01/2017 (D)		1,500		1,431
0.900%, 08/19/2013 (D)		11,800		11,799
0.120%, 02/24/2014 (D)		1,090		1,089
FNMA, PO
0.000%, 05/15/2030		1,800		953
Residual Funding Corp. STRIPS
1.593%, 07/15/2020 (D)		13,965		12,219
Residual Funding Principal STRIPS
1.662%, 10/15/2020		2,500		2,165
Resolution Funding Corp. STRIPS
1.692%, 01/15/2021		1,029		882
1.472%, 10/15/2019 (D)		6,200		5,558
Tennessee Valley Authority
5.880%, 04/01/2036		1,550		2,018
5.250%, 09/15/2039		2,228		2,701
4.625%, 09/15/2060		2,761		2,922
3.875%, 02/15/2021		3,090		3,491
Tennessee Valley Authority Principal STRIPS, PO
0.000%, 11/01/2025 (D)		1,000		651

Total U.S. Government Agency Obligations (Cost $136,647) ($ Thousands)				146,342


Description	Face Amount ($ Thousands) (1)		Market Value ($ Thousands)

SOVEREIGN DEBT — 1.4%
African Development Bank
8.800%, 09/01/2019		700	$	934
Andina de Fomento
3.750%, 01/15/2016		564		599
Federal Republic of Brazil
2.625%, 01/05/2023		1,785		1,656
FMS Wertmanagement AoeR
1.000%, 11/21/2017		1,660		1,643
Inter-American Development Bank MTN
3.875%, 10/28/2041		1,668		1,703
Israel Government AID Bond
5.500%, 09/18/2033 (C)		1,000		1,261
3.299%, 11/01/2024		1,000		697
Japan Finance Organization for Municipalities
4.000%, 01/13/2021		3,600		4,062
Kommunalbanken
1.125%, 05/23/2018 (B)		7,510		7,399
Mexican Bonos
8.000%, 06/11/2020		MXP 85,590		7,817
6.500%, 06/09/2022		MXP 115,650		9,687
6.500%, 06/09/2022		MXP 77,860		6,522
Mexico Cetes
4.000%, 06/13/2013 (D)		MXP 1,111,200		8,648
Province of Ontario Canada
2.950%, 02/05/2015		850		885
0.950%, 05/26/2015		3,100		3,128
Province of Quebec Canada
7.500%, 07/15/2023		260		356
6.350%, 01/30/2026		270		354
2.625%, 02/13/2023		8,615		8,426
Slovakia Government International Bond
4.375%, 05/21/2022 (B)		3,980		4,249
Slovenia Government International Bond
5.850%, 05/10/2023 (B)		985		975
5.500%, 10/26/2022 (B)		1,816		1,762
4.750%, 05/10/2018 (B)		3,055		3,009
Spain Government International Bond MTN
4.000%, 03/06/2018 (B)		1,180		1,195
Svensk Exportkredit
1.750%, 10/20/2015		5,600		5,746
United Mexican States MTN
6.050%, 01/11/2040		394		467
5.750%, 10/12/2110		4,785		4,964
5.625%, 01/15/2017		84		95
4.750%, 03/08/2044		1,098		1,090

Total Sovereign Debt (Cost $88,898) ($ Thousands)				89,329


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

MUNICIPAL BONDS — 0.8%
American Municipal Power, RB
7.499%, 02/15/2050	$	495	$	669
Build America Bonds, GO
7.350%, 07/01/2035		230		279
City of Houston, Ser A, GO
6.290%, 03/01/2032		4,750		5,905
City of Los Angeles, Department of Airports, RB
6.582%, 05/15/2039		180		228
County of Clark, Airport System Revenue, Ser C-BUILD, RB
6.820%, 07/01/2045		1,635		2,290
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		1,565		2,189
New Jersey, State Turnpike Authority, Build America Project, RB
7.102%, 01/01/2041		1,984		2,778
New York State, Dormitory Authority, RB
5.600%, 03/15/2040		280		345
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/2049		1,810		2,427
Northstar Education Finance, RB
1.032%, 01/29/2046 (A)		50		48
Ohio State University, Build America Project, Ser A, RB
4.800%, 06/01/2111		1,239		1,277
Port Authority of New York & New Jersey, Build America Project, RB
5.647%, 11/01/2040		490		587
Port Authority of New York & New Jersey, RB
4.458%, 10/01/2062		2,670		2,605
State of California, Build America Project, GO
7.600%, 11/01/2040		1,380		2,003
7.300%, 10/01/2039		2,620		3,602
6.650%, 03/01/2022		6,100		7,657
6.200%, 10/01/2019		80		97
State of Illinois, Build America Project, GO
6.200%, 07/01/2021		1,500		1,692
State of Illinois, GO
5.877%, 03/01/2019		1,010		1,148
5.665%, 03/01/2018		5,162		5,840
5.365%, 03/01/2017		930		1,022
5.100%, 06/01/2033		4,600		4,615
4.950%, 06/01/2023		562		591
4.350%, 06/01/2018		60		64


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Virginia, Housing Development Authority, Ser 2006-C, RB Callable 07/25/13 @ 100
6.000%, 06/25/2034	$	360	$	386

Total Municipal Bonds (Cost $43,103) ($ Thousands)				50,344


U.S. TREASURY OBLIGATIONS — 19.3%
U.S. Treasury Bills (D)
0.078%, 11/14/2013		8,900		8,897
0.073%, 08/22/2013 (I)		280		280
U.S. Treasury Bonds
8.750%, 08/15/2020		6,550		9,786
8.500%, 02/15/2020		1,000		1,454
7.625%, 02/15/2025		21,635		33,446
6.750%, 08/15/2026		250		369
6.625%, 02/15/2027		300		441
6.500%, 11/15/2026		100		145
6.375%, 08/15/2027		200		289
6.250%, 05/15/2030		400		586
6.125%, 11/15/2027		250		354
6.125%, 08/15/2029		100		144
6.000%, 02/15/2026		100		138
5.500%, 08/15/2028		200		269
5.375%, 02/15/2031		1,300		1,751
5.000%, 05/15/2037		650		858
4.500%, 02/15/2036		2,250		2,773
4.500%, 05/15/2038		350		432
3.500%, 02/15/2039		4,000		4,210
3.125%, 11/15/2041		32,105		31,212
3.125%, 02/15/2042		76,135		73,958
3.125%, 02/15/2043		7,045		6,820
3.000%, 05/15/2042 (I)		11,115		10,516
2.881%, 11/15/2034		1,850		901
2.875%, 05/15/2043 (C)		10,850		9,970
2.799%, 05/15/2035		1,350		644
2.750%, 08/15/2042		104,712		93,848
2.750%, 11/15/2042		35,804		32,050
2.625%, 11/15/2020		3,000		3,205
U.S. Treasury Inflation-Protected Securities
2.125%, 02/15/2040		480		672
2.125%, 02/15/2041		8,455		11,701
2.000%, 01/15/2014		5,230		6,681
2.000%, 07/15/2014		8,765		11,204
1.625%, 01/15/2015		195		248
1.250%, 04/15/2014		22,535		25,164
0.750%, 02/15/2042		5,490		5,359
0.500%, 04/15/2015		25,105		27,732
0.125%, 04/15/2017		40,545		43,302
0.125%, 04/15/2018		9,240		9,757


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. Treasury Notes
4.750%, 02/15/2037	$	1,800	$	2,298
4.250%, 08/15/2013		11,060		11,153
3.625%, 02/15/2021		600		684
3.500%, 02/15/2018		8,435		9,420
3.125%, 09/30/2013		2,760		2,777
3.125%, 05/15/2019		279		309
3.125%, 05/15/2021		1,650		1,817
2.750%, 10/31/2013		55,415		56,015
2.750%, 11/30/2016		2,391		2,563
2.625%, 06/30/2014		8,015		8,226
2.625%, 08/15/2020		4,100		4,389
2.500%, 03/31/2015		16,312		16,307
2.250%, 01/31/2015		610		630
2.000%, 02/15/2023		40,375		39,946
1.750%, 05/31/2016		2,405		2,492
1.750%, 10/31/2018		900		928
1.750%, 05/15/2023		21,878		21,078
1.625%, 11/15/2022		10,665		10,238
1.500%, 12/31/2013		17,180		17,317
1.375%, 11/30/2015		25,925		26,545
1.375%, 09/30/2018		390		395
1.375%, 05/31/2020		17,980		17,769
1.250%, 10/31/2015		1,650		1,684
1.125%, 03/31/2020 (C)		32,120		31,314
1.125%, 04/30/2020 (C)		39,370		38,315
1.000%, 05/31/2018		50,929		50,802
1.000%, 11/30/2019		800		779
0.750%, 06/30/2017		42,485		42,349
0.750%, 10/31/2017		19,440		19,297
0.750%, 12/31/2017		18,040		17,865
0.750%, 03/31/2018		13,765		13,589
0.625%, 04/30/2018 (C)		31,075		30,467
0.375%, 04/15/2015		3,407		3,412
0.375%, 06/15/2015		19,344		19,364
0.375%, 11/15/2015		400		400
0.250%, 01/15/2015		31,623		31,618
0.250%, 02/28/2015		22,345		22,334
0.250%, 05/15/2015		18,230		18,209
0.250%, 05/31/2015		10,070		10,058
0.250%, 07/15/2015		330		329
0.250%, 10/15/2015		5,888		5,870
0.250%, 04/15/2016		5,626		5,587
0.250%, 05/15/2016 (C)		14,565		14,456
0.125%, 07/31/2014		9,259		9,254
0.125%, 04/30/2015		5,792		5,773
U.S. Treasury Strips (D)
6.450%, 02/15/2017		19,420		18,882
5.261%, 05/15/2036		300		138
5.193%, 05/15/2029		100		61
4.969%, 08/15/2030		1,550		895
4.963%, 02/15/2030		1,950		1,150
4.917%, 05/15/2026		500		348
4.886%, 05/15/2028		300		190


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.863%, 11/15/2031	$	200	$	110
4.730%, 05/15/2027		2,570		1,708
4.587%, 02/15/2024		75		58
4.576%, 11/15/2029		1,450		865
4.576%, 05/15/2034		500		248
4.536%, 08/15/2024		200		151
4.520%, 05/15/2024		800		609
4.436%, 11/15/2030		2,450		1,400
4.357%, 11/15/2024		450		335
4.245%, 05/15/2030		900		525
4.093%, 08/15/2033		1,150		588
4.073%, 08/15/2027		3,490		2,292
4.037%, 08/15/2028		1,500		943
4.022%, 05/15/2019		2,450		2,264
3.855%, 11/15/2033		1,750		885
3.801%, 11/15/2026		1,150		782
3.780%, 08/15/2017		3,000		2,891
3.712%, 08/15/2018		800		754
3.709%, 05/15/2033		2,950		1,523
3.649%, 02/15/2032		1,350		732
3.632%, 11/15/2017		6,150		5,900
3.569%, 02/15/2034		1,350		676
3.567%, 02/15/2028		2,473		1,588
3.538%, 02/15/2027		6,800		4,570
3.341%, 02/15/2026		700		493
3.338%, 11/15/2020 (C)		1,830		1,609
3.322%, 02/15/2022		1,100		921
3.302%, 11/15/2032		2,700		1,423
3.295%, 08/15/2021		4,000		3,416
3.262%, 08/15/2020 (C)		13,150		11,663
3.223%, 08/15/2034		300		147
3.186%, 05/15/2020		16,370		14,641
3.170%, 08/15/2016		5,100		5,001
3.168%, 05/15/2031		1,930		1,080
3.021%, 02/15/2018		1,850		1,765
3.021%, 02/15/2035		2,100		1,011
2.971%, 02/15/2016		250		247
2.890%, 08/15/2026		328		225
2.841%, 11/15/2021		2,650		2,239
2.772%, 11/15/2027 (C)		19,520		12,730
2.721%, 02/15/2015		200		199
2.720%, 08/15/2029		2,400		1,445
2.656%, 02/15/2029		1,800		1,107
2.642%, 11/15/2028		800		497
2.632%, 05/15/2032		1,500		806
2.453%, 05/15/2023		450		358
1.774%, 05/15/2021		12,450		10,734
1.684%, 02/15/2021		5,120		4,454
1.305%, 02/15/2020		1,000		902
1.024%, 11/15/2016		1,910		1,866
0.628%, 05/15/2016		1,000		984

Total U.S. Treasury Obligations (Cost $1,267,532) ($ Thousands)				1,254,011


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

COMMERCIAL PAPER (D) — 0.6%
Lloyds TSB Bank 0.240%, 08/07/2013	$	7,990	$	7,987
RBS Holdings USA 0.351%, 08/20/2013 (B)		15,935		15,926
UBS Finance Delaware LLC 0.230%, 06/21/2013		16,290		16,288

Total Commercial Paper (Cost $40,197) ($ Thousands)				40,201


AFFILIATED PARTNERSHIP — 2.9%
SEI Liquidity Fund, L.P. 0.100%**† (J)		185,815,299		185,815

Total Affiliated Partnership (Cost $185,815) ($ Thousands)				185,815


CASH EQUIVALENT — 4.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		295,814,055		295,814

Total Cash Equivalent (Cost $295,814) ($ Thousands)				295,814

Total Investments — 110.1% (Cost $7,001,295) ($ Thousands)			$	7,139,466


PURCHASED OPTIONS — 0.0%
August 2013, USD Call Expire: 07/11/2013, Strike Rate: 1.295%		30,770,000	$	327
July 2013 Eurodollar 2-Year Midcurve Put Expires: 06/17/2013 Strike Price: $99.25		228		103

Total Purchased Options (Cost $422) ($ Thousands)				430


PURCHASED SWAPTION — 0.0%
April 2014, 3-Month LIBOR Put Expires: 03/31/2014 Strike Rate: 2.65%*		9,005,000		267
April 2014, 3-Month LIBOR Put, Expires: 03/31/2014, Strike Rate: 2.65%*		9,005,000		267
April 2018, 3-Month LIBOR Put, Expires: 03/15/2018, Strike Rate: 4.50%*		11,750,000		1,021
April 2018, 3-Month LIBOR Put, Expires: 03/15/2018, Strike Rate: 4.50%*		11,750,000		1,021


Description	Contracts			Market Value ($ Thousands)
May 2018, 3-Month LIBOR Put, Expires: 04/09/2018, Strike Rate: 4.50%*		13,520,000		$	314

Total Purchased Swaption (Cost $2,884) ($ Thousands)					2,890


WRITTEN OPTIONS — 0.0%
July 2013 Eurodollar 2-Year Midcurve Call, Expires 06/17/2013 Strike Price $99.50*		(228	)		(19	)
July 2013, U.S. 10 Year Future Option Call Expires: 06/21/2013		(202	)		(129	)
July 2013, U.S. 10-Year Future Option Call Expires: 06/21/2013		(202	)		(19	)
July 2013, U.S. Bond Future Option Call Expires: 06/21/2013		(144	)		(198	)
November 2020, U.S. CPI Urban Consumers NSA Call Expires: 11/23/2020 Strike Rate: Inflation 0.00%*		(7,020,000	)		(8	)

Total Written Options (Premiums Received $304) ($ Thousands)				$	(373	)

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$		550			Dec-2014	$	(223	)
90-Day Euro$		(550	)		Dec-2015		591
U.S. 10-Year Treasury Note		(344	)		Jun-2013		903
U.S. 10-Year Treasury Note		(994	)		Sep-2013		1,133
U.S. 10-Year Treasury Note		261			Sep-2013		(324	)
U.S. 2-Year Treasury Note		(479	)		Jun-2013		84


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 2-Year Treasury Note		(589	)		Sep-2013	$	25
U.S. 5-Year Treasury Note		2			Jun-2013		(2	)
U.S. 5-Year Treasury Note		(164	)		Jun-2013		99
U.S. 5-Year Treasury Note		471			Oct-2013		(318	)
U.S. 5-Year Treasury Note		(662	)		Oct-2013		78
U.S. Long Treasury Bond		(8	)		Jun-2013		59
U.S. Long Treasury Bond		10			Sep-2013		(5	)
U.S. Long Treasury Bond		(338	)		Sep-2013		632
U.S. Ultra Long Treasury Bond		(323	)		Dec-2013		265

						$	2,997

A list of the open forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/13/13		MXP	111,120		USD	8,830	$	180
8/16/13		EUR	31,940		USD	41,949		543
8/16/13		GBP	10,892		USD	16,877		375
8/16/13		JPY	2,869,704		USD	29,048		614
8/16/13		USD	1,985		EUR	1,511		(26	)
8/16/13		USD	15,896		JPY	1,577,950		(261	)

							$	1,425

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Barclays PLC	$	(18,224	)	$	18,545	$	321
JPMorgan Chase Bank		(28,185	)		28,556		371
UBS		(66,466	)		67,199		733

						$	1,425

For the year ended May 31, 2013, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

A list of the open swap agreements held by the Fund at May 31, 2013 is as follows:

For the year ended May 31, 2013, the total amount of open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $6,484,218 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

(1)

In U.S. Dollar unless otherwise indicated.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2013. The date reported on the Schedule of Investments is the final maturity date.

(B)

(C)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $180,372 ($ Thousands).

(D)

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

(E)

Securities considered illiquid. The total value of such securities as of May 31, 2013 was $1 ($ Thousands) and represented 0.00% of Net Assets.

(F)

Security in default on interest payments.

(G)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2013 was $478 ($ Thousands) and represented 0.01% of Net Assets.

(H)

Step Bonds —The rate reflected on the Schedule of Investments is the effective yield on May 31, 2013. The coupon on a step bond changes on a specified date.

(I)

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

(J)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $185,815 ($ Thousands).

ABS — Asset-Based Security

AID —Agency for International Development

ARM — Adjustable Rate Mortgage

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CMBS — Commercial Mortgage-Backed Securities

CMO — Collateralized Mortgage Obligation

CPI — Consumer Price Index

EUR — Euro

FAMC — Federal Agricultural Mortgage Corporation

FDIC — Federal Deposit Insurance Corporation

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

MXP — Mexian Peso

NCUA — National Credit Union Association

NY — New York

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — U.S. Dollar

The following is a list of the inputs used as of May 31, 2013 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Mortgage-Backed Securities	$	—	$	2,747,756	$	—	$	2,747,756
Corporate Obligations		—		1,687,776		478		1,688,254
Asset-Backed Securities		—		641,600		—		641,600
U.S. Government Agency Obligations		—		146,342		—		146,342
Sovereign Debt		—		89,329		—		89,329
Municipal Bonds		—		50,344		—		50,344
U.S. Treasury Obligations		—		1,254,011		—		1,254,011
Commercial Paper		—		40,201		—		40,201
Affiliated Partnership		—		185,815		—		185,815
Cash Equivalent		295,814		—		—		295,814

Total Investments in Securities	$	295,814	$	6,843,174	$	478	$	7,139,466


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Purchased Options	$	—	$	430		$	—	$	430
Purchased Swaptions		—		2,890			—		2,890
Written Options		—		(373	)		—		(373	)
Futures Contracts*		2,997		—			—		2,997
Forwards Contracts*		—		1,425			—		1,425
Interest Rate Swaps*		—		1,119			—		1,119
Credit Default Swaps*		—		(73	)		—		(73	)

Total Other Financial Instruments	$	2,997	$	5,418		$	—	$	8,415

(1)

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets.

Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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

LOGO


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

CORPORATE OBLIGATIONS — 74.2%

Consumer Discretionary — 14.7%
Academy
9.250%, 08/01/2019 (A)	$	715	$	801
Adelphia Communications (escrow security) (B)
10.250%, 06/15/2011		125		1
7.875%, 01/15/2009		250		2
7.750%, 05/01/2009		75		1
Adelphia Communications, Ser B (escrow security)
9.500%, 02/15/2004 (B)		25		—
Affinity Gaming
9.000%, 05/15/2018 (A)		1,925		2,048
Algeco Scotsman Global Finance
10.750%, 10/15/2019 (A)		2,443		2,419
8.500%, 10/15/2018 (A)		1,365		1,420
Allison Transmission
7.125%, 05/15/2019 (A)		1,956		2,103
AMC Entertainment
9.750%, 12/01/2020		1,255		1,450
8.750%, 06/01/2019		680		746
AMC Networks
4.750%, 12/15/2022		815		813
American Axle & Manufacturing
7.750%, 11/15/2019		1,465		1,670
6.250%, 03/15/2021		385		401
American Builders & Contractors Supply
5.625%, 04/15/2021 (A)		1,840		1,863
American Standard Americas
10.750%, 01/15/2016 (A)		1,710		1,787
American Tire Distributors
9.750%, 06/01/2017		620		659
AmeriGas Finance
7.000%, 05/20/2022		7,591		8,236


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ameristar Casinos
7.500%, 04/15/2021	$	1,375	$	1,499
APX Group
6.375%, 12/01/2019 (A)		2,070		2,065
Avis Budget Car Rental
8.250%, 01/15/2019		1,905		2,074
Beazer Homes USA
7.250%, 02/01/2023 (A)		430		455
Belo
7.750%, 06/01/2027		2,025		2,187
Bon-Ton Department Stores
8.000%, 06/15/2021 (A)		1,520		1,560
Buffalo Thunder Development Authority
9.375%, 12/15/2014 (A) (B)		2,050		605
Burlington Coat Factory Warehouse
10.000%, 02/15/2019		6,240		6,965
Burlington Holdings
9.000%, 02/15/2018 (A)		1,400		1,423
Cablevision Systems
8.625%, 09/15/2017		300		349
7.750%, 04/15/2018		900		1,017
Caesars Entertainment Operating
11.250%, 06/01/2017		1,875		1,959
10.000%, 12/15/2018		788		489
9.000%, 02/15/2020 (A)		925		890
8.500%, 02/15/2020		4,205		4,005
Caesars Operating Escrow
9.000%, 02/15/2020 (A)		590		568
Carlson Wagonlit
6.875%, 06/15/2019 (A)		1,365		1,437
Carmike Cinemas
7.375%, 05/15/2019		950		1,047
CDR DB Sub
7.750%, 10/15/2020 (A)		1,820		1,897
Cedar Fair
5.250%, 03/15/2021 (A)		850		850
Checkers Drive-In Restaurants
11.000%, 12/01/2017 (A)		650		700
Chester Downs & Marina
9.250%, 02/01/2020(A)		4,555		4,418
Chrysler Group
8.250%, 06/15/2021		3,620		4,091
8.000%, 06/15/2019		945		1,047
Chukchansi Economic Development Authority
9.750%, 05/30/2020 (A) (B)		2,064		1,042
Cinemark USA
7.375%, 06/15/2021		640		715
5.125%, 12/15/2022		1,800		1,827
4.875%, 06/01/2023 (A)		435		433
CityCenter Holdings
7.625%, 01/15/2016		815		866


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Claire’s Stores
9.000%, 03/15/2019 (A)	$	1,505	$	1,693
8.875%, 03/15/2019		785		842
7.750%, 06/01/2020 (A)		1,195		1,210
Cogeco Cable
4.875%, 05/01/2020 (A)		1,785		1,781
Continental Airlines 2007-1 Cl C Pass-Through Trust
7.339%, 04/19/2014		585		599
Continental Rubber of America
4.500%, 09/15/2019 (A)		1,550		1,608
CST Brands
5.000%, 05/01/2023 (A)		350		353
Dana Holding
6.750%, 02/15/2021		1,304		1,402
6.500%, 02/15/2019		795		847
Dave & Buster’s
11.000%, 06/01/2018		1,390		1,560
Dave & Buster’s Entertainment
14.028%, 02/15/2016 (A)		9,645		7,475
Delta Air Lines 2011-1 Cl B Pass-Through Trust
7.125%, 10/15/2014		2,000		2,060
Dex Media PIK
14.000%, 01/29/2017		1,301		885
Diamond Resorts
12.000%, 08/15/2018		1,350		1,507
Easton-Bell Sports
9.750%, 12/01/2016		1,675		1,805
Eldorado Resorts
8.625%, 06/15/2019 (A)		5,460		5,419
Empire Today
11.375%, 02/01/2017 (A)		1,941		1,776
Expedia
5.950%, 08/15/2020		1,000		1,110
Ferrellgas
6.500%, 05/01/2021		2,150		2,268
Fifth & Pacific
10.500%, 04/15/2019		3,735		4,165
Fontainebleau Las Vegas
11.000%, 06/15/2015 (A) (B)		3,500		2
Gestamp Funding Luxembourg
5.625%, 05/31/2020 (A)		1,760		1,703
Goodyear Tire & Rubber
8.750%, 08/15/2020		185		216
8.250%, 08/15/2020		1,205		1,342
6.500%, 03/01/2021		2,345		2,468
Graton Economic Development Authority
9.625%, 09/01/2019 (A)		4,200		4,751
GRD Holdings III
10.750%, 06/01/2019 (A)		3,475		3,831
Greektown Superholdings
13.000%, 07/01/2015		1,850		1,984
13.000%, 07/01/2015		3,390		3,636


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GWR Operating Partnership
10.875%, 04/01/2017	$	870	$	966
Gymboree
9.125%, 12/01/2018		1,005		974
Hanesbrands
8.000%, 12/15/2016		155		166
6.375%, 12/15/2020		1,282		1,413
HD Supply
11.500%, 07/15/2020		770		905
11.000%, 04/15/2020		615		739
10.500%, 01/15/2021		885		918
8.125%, 04/15/2019		1,210		1,343
7.500%, 07/15/2020 (A)		5,545		5,878
Hillman Group
10.875%, 06/01/2018		960		1,061
10.875%, 06/01/2018 (A)		2,305		2,547
INTCOMEX
13.250%, 12/15/2014		4,358		4,402
International Automotive Components Group
9.125%, 06/01/2018 (A)		1,705		1,686
Isle of Capri Casinos
5.875%, 03/15/2021		875		871
J Crew Group
8.125%, 03/01/2019		1,115		1,187
Jaguar Land Rover Automotive
8.125%, 05/15/2021 (A)		1,440		1,624
5.625%, 02/01/2023 (A)		380		389
Jarden
7.500%, 05/01/2017		330		375
7.500%, 01/15/2020		605		653
JC Penney
7.950%, 04/01/2017		290		286
6.375%, 10/15/2036		710		591
5.750%, 02/15/2018		210		188
L Brands
6.625%, 04/01/2021		745		851
5.625%, 02/15/2022		1,285		1,373
Landry’s
9.375%, 05/01/2020 (A)		1,745		1,898
Levi Strauss
6.875%, 05/01/2022		860		954
Libbey Glass
6.875%, 05/15/2020		567		614
Lions Gate Entertainment
10.250%, 11/01/2016 (A)		4,515		4,871
Live Nation Entertainment
7.000%, 09/01/2020 (A)		1,880		2,037
LKQ
4.750%, 05/15/2023 (A)		1,570		1,566
Logan’s Roadhouse
10.750%, 10/15/2017		4,780		4,499
M/I Homes
8.625%, 11/15/2018		2,150		2,376


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Marina District Finance
9.875%, 08/15/2018	$	1,640	$	1,761
McClatchy
9.000%, 12/15/2022 (A)		2,805		3,029
MDC Partners
6.750%, 04/01/2020 (A)		6,010		6,145
Meritage Homes
7.000%, 04/01/2022		330		370
MGM Resorts International
11.375%, 03/01/2018		2,500		3,237
8.625%, 02/01/2019		2,765		3,270
7.750%, 03/15/2022		275		313
6.750%, 10/01/2020 (A)		2,000		2,180
6.625%, 12/15/2021		1,390		1,506
Michaels Stores
11.375%, 11/01/2016		323		338
11.375%, 11/01/2016 (A)		14		15
7.750%, 11/01/2018		1,570		1,703
MTR Gaming Group
11.500%, 08/01/2019		5,375		5,771
NAI Entertainment Holdings
8.250%, 12/15/2017 (A)		1,375		1,485
NCL
5.000%, 02/15/2018 (A)		478		488
New Academy Finance PIK
8.000%, 06/15/2018 (A)		1,300		1,339
New Albertsons
8.000%, 05/01/2031		4,940		4,100
7.750%, 06/15/2026		135		112
7.450%, 08/01/2029		165		134
New Look Bondco I
8.375%, 05/14/2018 (A)		780		760
Party City Holdings
8.875%, 08/01/2020 (A)		2,985		3,351
Peninsula Gaming
8.375%, 02/15/2018 (A)		2,750		2,984
Petco Animal Supplies
9.250%, 12/01/2018 (A)		985		1,074
Pinnacle Entertainment
7.750%, 04/01/2022		665		725
Quebecor Media Escrow
0.000%, 11/15/2013 (B)		1,800		16
0.000%, 03/15/2016 (B)		2,175		19
Quiksilver
6.875%, 04/15/2015		1,630		1,630
Radio Systems
8.375%, 11/01/2019 (A)		760		835
Royal Caribbean Cruises
5.250%, 11/15/2022		1,325		1,378
RSI Home Products
6.875%, 03/01/2018 (A)		215		223
Sabre
8.500%, 05/15/2019 (A)		3,170		3,495


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sally Holdings
6.875%, 11/15/2019	$	2,537	$	2,813
5.750%, 06/01/2022		530		558
Schaeffler Finance
8.500%, 02/15/2019 (A)		250		281
4.750%, 05/15/2021 (A)		365		359
Seminole Hard Rock Entertainment
5.875%, 05/15/2021 (A)		250		248
Seminole Indian Tribe of Florida
7.750%, 10/01/2017 (A)		2,650		2,829
6.535%, 10/01/2020 (A)		1,450		1,588
Seneca Gaming
8.250%, 12/01/2018 (A)		4,840		5,215
Serta Simmons Holdings
8.125%, 10/01/2020 (A)		4,215		4,457
Service International
7.625%, 10/01/2018		450		531
7.500%, 04/01/2027		785		883
7.000%, 05/15/2019		620		670
ServiceMaster
8.000%, 02/15/2020		2,700		2,778
7.450%, 08/15/2027		840		739
7.250%, 03/01/2038		3,170		2,568
7.100%, 03/01/2018		750		731
Seven Seas Cruises S de RL
9.125%, 05/15/2019		1,620		1,770
Shingle Springs Tribal Group
9.375%, 06/15/2015 (A)		3,470		3,479
Sirius XM Radio
4.625%, 05/15/2023 (A)		575		552
4.250%, 05/15/2020 (A)		1,590		1,558
Six Flags Entertainment
5.250%, 01/15/2021 (A)		3,850		3,869
Sonic Automotive
5.000%, 05/15/2023 (A)		380		377
Spencer Spirit Holdings
11.000%, 05/01/2017 (A)		2,660		2,899
9.000%, 05/01/2018 (A)		1,120		1,117
Stanadyne Holdings
12.000%, 02/15/2015 (C)		1,500		990
Stanadyne Holdings, Ser 1
10.000%, 08/15/2014		1,580		1,546
Steinway Musical Instruments
7.000%, 03/01/2014 (A)		1,110		1,111
Stewart Enterprises
6.500%, 04/15/2019		575		618
Suburban Propane Partners
7.500%, 10/01/2018		1,672		1,795
7.375%, 03/15/2020		500		535
Sugarhouse HSP Gaming Prop Mezz
8.625%, 04/15/2016 (A)		1,250		1,331
Taylor Morrison Communities
7.750%, 04/15/2020 (A)		1,057		1,179


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Tempur-Pedic International
6.875%, 12/15/2020 (A)	$	1,405	$	1,516
Toll Brothers Finance
4.375%, 04/15/2023		1,650		1,666
Toys R Us
10.375%, 08/15/2017		1,755		1,917
Travelport
13.875%, 03/01/2016 (A)		1,308		1,354
11.875%, 09/01/2016		1,535		1,454
TRW Automotive
4.500%, 03/01/2021 (A)		1,010		1,038
UAL 1995 Pass-Through Trust A, Ser 95A1
0.000%, 04/19/2012 (B) (G)		415		108
UCI International
8.625%, 02/15/2019		1,185		1,226
Vail Resorts
6.500%, 05/01/2019		1,340		1,434
Visteon
6.750%, 04/15/2019		1,039		1,109
WMG Acquisition
11.500%, 10/01/2018		2,990		3,528
6.000%, 01/15/2021 (A)		1,375		1,451
Wok Acquisition
10.250%, 06/30/2020 (A)		3,740		4,189
Wolverine World Wide
6.125%, 10/15/2020 (A)		115		122
Wynn Las Vegas
7.750%, 08/15/2020		3,050		3,439
4.250%, 05/30/2023 (A)		1,075		1,045

				317,755


Consumer Staples — 9.1%
Accellent
10.000%, 11/01/2017		1,075		1,005
8.375%, 02/01/2017		935		984
Albea Beauty Holdings
8.375%, 11/01/2019 (A)		745		779
American Achievement
10.875%, 04/15/2016 (A)		1,095		1,111
Apria Healthcare Group
12.375%, 11/01/2014		1,509		1,560
APX Group
8.750%, 12/01/2020 (A)		3,995		4,055
ARAMARK
5.750%, 03/15/2020 (A)		3,375		3,493
Armored Autogroup
9.250%, 11/01/2018		2,700		2,568
Ashtead Capital
6.500%, 07/15/2022 (A)		1,795		1,939
Aurora Diagnostics Holdings
10.750%, 01/15/2018		5,125		3,562
Avis Budget Car Rental
5.500%, 04/01/2023 (A)		1,695		1,712
4.875%, 11/15/2017 (A)		390		404


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
B&G Foods
4.625%, 06/01/2021	$	1,090	$	1,087
Beverages & More
9.625%, 10/01/2014 (A)		3,900		4,007
Biomet
6.500%, 10/01/2020 (A)		1,500		1,519
Brickman Group Holdings
9.125%, 11/01/2018 (A)		80		87
Bumble Bee Holdco SCA PIK
9.625%, 03/15/2018 (A)		3,750		3,994
Bumble Bee Holdings
9.000%, 12/15/2017 (A)		1,466		1,609
CDRT Holding PIK
9.250%, 10/01/2017 (A)		730		750
Central Garden and Pet
8.250%, 03/01/2018		6,100		6,359
Ceridian
11.000%, 03/15/2021 (A)		324		370
8.875%, 07/15/2019 (A)		1,800		2,052
Chiquita Brands International
7.875%, 02/01/2021 (A)		315		339
CHS
8.000%, 11/15/2019		1,810		1,991
7.125%, 07/15/2020		2,900		3,183
5.125%, 08/15/2018		535		558
Constellation Brands
4.250%, 05/01/2023		1,280		1,258
3.750%, 05/01/2021		747		728
Del Monte
7.625%, 02/15/2019		6,075		6,295
Elan Finance
6.250%, 06/15/2021 (A)		850		854
Elizabeth Arden
7.375%, 03/15/2021		240		267
Emergency Medical Services
8.125%, 06/01/2019		2,246		2,448
ESAL GmbH
6.250%, 02/05/2023 (A)		330		328
First Quality Finance
4.625%, 05/15/2021 (A)		865		843
Fleming
10.125%, 04/01/2008 (B)		974		—
Fresenius Medical Care US Finance II
5.625%, 07/31/2019 (A)		1,960		2,151
Global A&T Electronics
10.000%, 02/01/2019 (A)		200		215
Harbinger Group
7.875%, 07/15/2019 (A)		3,050		3,248
Hawk Acquisition Sub
4.250%, 10/15/2020 (A)		1,205		1,196
HCA
8.000%, 10/01/2018		500		589
7.500%, 02/15/2022		4,535		5,283
6.500%, 02/15/2020		2,425		2,734


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.875%, 03/15/2022	$	2,050	$	2,250
4.750%, 05/01/2023		1,500		1,496
Hertz
7.500%, 10/15/2018		1,580		1,718
5.875%, 10/15/2020		445		470
HJ Heinz Finance
7.125%, 08/01/2039 (A)		665		750
Immucor
11.125%, 08/15/2019		6,765		7,661
INC Research
11.500%, 07/15/2019 (A)		2,965		3,187
Interactive Data
10.250%, 08/01/2018		1,030		1,158
JBS USA
8.250%, 02/01/2020 (A)		1,190		1,306
Kinetic Concepts
12.500%, 11/01/2019		1,160		1,195
10.500%, 11/01/2018		2,430		2,631
Knowledge Universe Education
7.750%, 02/01/2015 (A)		775		748
Land O’ Lakes
6.000%, 11/15/2022 (A)		340		366
Lantheus Medical Imaging
9.750%, 05/15/2017		1,440		1,373
Laureate Education
9.250%, 09/01/2019 (A)		2,000		2,240
Mead Products
6.750%, 04/30/2020 (A)		355		373
Michael Foods Group
9.750%, 07/15/2018		1,160		1,293
Michael Foods Holding PIK
8.500%, 07/15/2018 (A)		1,165		1,229
Monitronics International
9.125%, 04/01/2020		4,280		4,622
MultiPlan
9.875%, 09/01/2018 (A)		1,265		1,417
OnCure Holdings
11.750%, 05/15/2017 (B)		1,000		480
Pantry
8.375%, 08/01/2020		1,440		1,575
Physio-Control International
9.875%, 01/15/2019 (A)		400		452
Post Holdings
7.375%, 02/15/2022		1,270		1,414
Radiation Therapy Services
9.875%, 04/15/2017		1,125		658
8.875%, 01/15/2017		665		633
Radnet Management
10.375%, 04/01/2018		720		773
Reynolds Group Issuer
9.875%, 08/15/2019		5,630		6,137
9.000%, 04/15/2019		4,655		4,888
6.875%, 02/15/2021		1,000		1,068
5.750%, 10/15/2020		7,900		8,019


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Rite Aid
9.250%, 03/15/2020	$	6,675	$	7,534
7.700%, 02/15/2027		2,635		2,773
7.500%, 03/01/2017		590		606
Rural
10.125%, 07/15/2019 (A)		2,900		2,494
ServiceMaster
7.000%, 08/15/2020		1,585		1,571
Sky Growth Acquisition
7.375%, 10/15/2020 (A)		2,265		2,407
Smithfield Foods
6.625%, 08/15/2022		485		552
Spectrum Brands
6.750%, 03/15/2020		440		473
Spectrum Brands Escrow
6.625%, 11/15/2022 (A)		1,565		1,690
6.375%, 11/15/2020 (A)		885		950
STHI Holding
8.000%, 03/15/2018 (A)		1,275		1,390
SUPERVALU
6.750%, 06/01/2021 (A)		3,895		3,705
Symbion PIK
11.000%, 08/23/2015		1,162		1,173
TransUnion Holding
9.625%, 06/15/2018		425		458
TransUnion Holding PIK
8.125%, 06/15/2018 (A)		2,349		2,496
United Rentals North America
9.250%, 12/15/2019		1,055		1,188
8.375%, 09/15/2020		575		627
8.250%, 02/01/2021		5,135		5,687
7.625%, 04/15/2022		140		155
7.375%, 05/15/2020		170		187
6.125%, 06/15/2023		290		304
United Surgical Partners International
9.000%, 04/01/2020		1,570		1,754
US Foods
8.500%, 06/30/2019		4,510		4,831
US Oncology Escrow
0.000%, 08/15/2017		2,130		83
Valeant Pharmaceuticals International
7.250%, 07/15/2022 (A)		1,260		1,367
7.000%, 10/01/2020 (A)		1,275		1,374
6.750%, 08/15/2021 (A)		970		1,033
6.375%, 10/15/2020 (A)		885		929
Vanguard Health Holding II
7.750%, 02/01/2019		2,300		2,461
Vector Group
7.750%, 02/15/2021 (A)		830		886

				196,232


Energy — 10.0%
Access Midstream Partners
6.125%, 07/15/2022		555		594
4.875%, 05/15/2023		1,720		1,698


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Antero Resources Finance
6.000%, 12/01/2020	$	1,660	$	1,726
Arch Coal
8.750%, 08/01/2016		245		253
7.250%, 06/15/2021		955		845
7.000%, 06/15/2019		510		459
Athlon Holdings
7.375%, 04/15/2021 (A)		1,075		1,118
Atlas Pipeline Partners
6.625%, 10/01/2020 (A)		1,375		1,461
6.625%, 10/01/2020 (A)		595		632
5.875%, 08/01/2023 (A)		1,850		1,887
Atwood Oceanics
6.500%, 02/01/2020		438		469
Berry Petroleum
6.375%, 09/15/2022		430		446
Bill Barrett
7.625%, 10/01/2019		2,000		2,150
Bluewater Holding
3.278%, 07/17/2014 (D)		1,400		1,376
BreitBurn Energy Partners
8.625%, 10/15/2020		640		704
7.875%, 04/15/2022 (A)		4,160		4,514
Calumet Specialty Products Partners
9.375%, 05/01/2019		2,925		3,254
Carrizo Oil & Gas
7.500%, 09/15/2020		400		432
Chaparral Energy
8.250%, 09/01/2021		915		1,011
7.625%, 11/15/2022		730		788
Chesapeake Energy
6.625%, 08/15/2020		2,835		3,154
6.125%, 02/15/2021		270		294
5.750%, 03/15/2023		625		650
5.375%, 06/15/2021		325		331
Chesapeake Oilfield Operating
7.125%, 11/15/2019 (A)		425		446
Comstock Resources
7.750%, 04/01/2019		2,200		2,327
CONSOL Energy
8.250%, 04/01/2020		680		751
8.000%, 04/01/2017		815		872
Continental Resources
5.000%, 09/15/2022		455		471
Copano Energy
7.750%, 06/01/2018		875		909
7.125%, 04/01/2021		520		599
Crestwood Midstream Partners
7.750%, 04/01/2019		3,750		4,003
7.750%, 04/01/2019 (A)		300		320
Crosstex Energy
8.875%, 02/15/2018		2,625		2,822
7.125%, 06/01/2022		725		776


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Denbury Resources
8.250%, 02/15/2020	$	909	$	1,018
Dresser-Rand Group
6.500%, 05/01/2021		600		650
Drill Rigs Holdings
6.500%, 10/01/2017 (A)		1,500		1,530
Eagle Rock Energy Partners
8.375%, 06/01/2019		6,960		7,291
El Paso
7.250%, 06/01/2018		740		859
7.000%, 06/15/2017		270		308
EP Energy
9.375%, 05/01/2020		1,390		1,576
7.750%, 09/01/2022		720		803
6.875%, 05/01/2019		2,665		2,878
EV Energy Partners
8.000%, 04/15/2019		1,465		1,505
Exterran Holdings
7.250%, 12/01/2018		4,650		4,976
Exterran Partners
6.000%, 04/01/2021 (A)		2,090		2,142
Foresight Energy
9.625%, 08/15/2017 (A)		2,060		2,235
Forest Oil
7.500%, 09/15/2020 (A)		7,785		7,824
7.250%, 06/15/2019		995		990
FTS International Services
8.125%, 11/15/2018 (A)		727		774
Genesis Energy
5.750%, 02/15/2021 (A)		1,780		1,816
Halcon Resources
8.875%, 05/15/2021 (A)		7,545		7,677
Hercules Offshore
10.500%, 10/15/2017 (A)		2,055		2,209
Hiland Partners
7.250%, 10/01/2020 (A)		990		1,079
Hilcorp Energy I
8.000%, 02/15/2020 (A)		1,280		1,414
7.625%, 04/15/2021 (A)		125		138
James River Coal
7.875%, 04/01/2019		410		213
Kodiak Oil & Gas
8.125%, 12/01/2019		2,630		2,959
5.500%, 01/15/2021 (A)		555		576
Laredo Petroleum
9.500%, 02/15/2019		3,475		3,935
7.375%, 05/01/2022		980		1,078
Legacy Reserves
8.000%, 12/01/2020 (A)		2,250		2,368
6.625%, 12/01/2021 (A)		2,620		2,561
Linn Energy
8.625%, 04/15/2020		1,230		1,347
7.750%, 02/01/2021		580		615
6.500%, 05/15/2019		455		463
6.250%, 11/01/2019 (A)		4,455		4,488


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Magnum Hunter Resources
9.750%, 05/15/2020 (A)	$	805	$	833
9.750%, 05/15/2020 (A)		95		98
MarkWest Energy Partners
5.500%, 02/15/2023		805		841
MEG Energy
6.500%, 03/15/2021 (A)		326		337
6.375%, 01/30/2023 (A)		3,035		3,111
Memorial Production Partners
7.625%, 05/01/2021 (A)		1,840		1,849
Midstates Petroleum
10.750%, 10/01/2020 (A)		5,002		5,352
9.250%, 06/01/2021 (A)		3,235		3,219
Milagro Oil & Gas
10.500%, 05/15/2016 (B)		1,950		1,599
Millennium Offshore Services Superholdings
9.500%, 02/15/2018 (A)		1,040		1,076
Newfield Exploration
6.875%, 02/01/2020		675		722
Niska Gas Storage US
8.875%, 03/15/2018		3,090		3,245
Northern Oil and Gas
8.000%, 06/01/2020		1,420		1,477
Ocean Rig UDW
9.500%, 04/27/2016 (A)		6,100		6,466
Offshore Group Investment
7.125%, 04/01/2023 (A)		715		738
Pacific Drilling
5.375%, 06/01/2020 (A)		975		965
Parker Drilling
9.125%, 04/01/2018		2,200		2,387
PDC Energy
7.750%, 10/15/2022 (A)		2,570		2,801
Peabody Energy
6.250%, 11/15/2021		390		408
6.000%, 11/15/2018		860		920
Penn Virginia Resource Partners
8.375%, 06/01/2020		2,880		3,132
8.250%, 04/15/2018		1,265		1,347
6.500%, 05/15/2021 (A)		800		803
Pioneer Energy Services
9.875%, 03/15/2018		1,850		2,017
Plains Exploration & Production
6.875%, 02/15/2023		905		1,024
6.500%, 11/15/2020		1,775		1,966
QR Energy
9.250%, 08/01/2020		725		769
Range Resources
5.000%, 08/15/2022		2,525		2,563
5.000%, 03/15/2023 (A)		4,550		4,596
Regency Energy Partners
5.500%, 04/15/2023		550		578
4.500%, 11/01/2023 (A)		690		683


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Rockies Express Pipeline
6.000%, 01/15/2019 (A)	$	2,030	$	2,005
Rosetta Resources
5.625%, 05/01/2021		965		967
Sabine Pass Liquefaction
5.625%, 02/01/2021 (A)		3,820		3,834
5.625%, 04/15/2023 (A)		4,210		4,210
Samson Investment
9.750%, 02/15/2020 (A)		2,240		2,335
SandRidge Energy
8.750%, 01/15/2020		70		75
8.125%, 10/15/2022		4,689		5,006
7.500%, 03/15/2021		3,375		3,476
7.500%, 02/15/2023		5,385		5,547
Sea Trucks Group
9.000%, 03/26/2018 (A)		2,150		2,182
SESI
7.125%, 12/15/2021		4,000		4,490
Targa Resources Partners
7.875%, 10/15/2018		2,445		2,647
6.375%, 08/01/2022		1,750		1,899
4.250%, 11/15/2023 (A)		870		829
Tesoro Logistics
5.875%, 10/01/2020 (A)		725		756
Trinidad Drilling
7.875%, 01/15/2019 (A)		880		946
Vanguard Natural Resources
7.875%, 04/01/2020		835		893
Western Refining
6.250%, 04/01/2021 (A)		265		274
WPX Energy
6.000%, 01/15/2022		270		291

				217,421


Financials — 7.4%
Ally Financial
8.000%, 11/01/2031		1,150		1,483
7.500%, 09/15/2020		850		992
6.250%, 12/01/2017		3,675		4,045
5.500%, 02/15/2017		1,430		1,530
4.625%, 06/26/2015		360		376
Alphabet Holding PIK
7.750%, 11/01/2017 (A)		4,135		4,269
American International Group
8.175%, 05/15/2058 (D)		1,145		1,500
A-S-Issuer Subsidiary
7.875%, 12/15/2020 (A)		3,035		3,179
Aventine (Escrow Security) PIK
0.000%, 10/15/2049 (B)(E)(F)(G)		2,600		1
Bank of America
8.000%, 12/29/2049 (D)		1,885		2,149
5.200%, 12/29/2049 (D)		3,400		3,366
Barclays Bank
7.625%, 11/21/2022		1,510		1,518


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CIT Group
6.625%, 04/01/2018 (A)	$	300	$	337
5.500%, 02/15/2019 (A)		1,920		2,078
5.250%, 03/15/2018		1,520		1,634
5.000%, 05/15/2017		720		767
4.250%, 08/15/2017		800		824
City National Bank
9.000%, 08/12/2019		4,062		4,907
CNH Capital
6.250%, 11/01/2016		610		671
Corrections Corp of America‡
4.625%, 05/01/2023 (A)		240		244
4.125%, 04/01/2020 (A)		285		286
Credit Acceptance
9.125%, 02/01/2017		3,000		3,240
E*TRADE Financial
6.375%, 11/15/2019		1,575		1,654
EPR Properties‡
5.750%, 08/15/2022		1,065		1,151
Fidelity & Guaranty Life Holdings
6.375%, 04/01/2021 (A)		1,000		1,030
Fifth Third Bancorp
5.100%, 12/31/2049 (D)		710		708
General Motors Financial
4.250%, 05/15/2023 (A)		325		319
3.250%, 05/15/2018 (A)		802		795
2.750%, 05/15/2016 (A)		325		325
Geo Group‡
6.625%, 02/15/2021		75		82
5.125%, 04/01/2023 (A)		1,320		1,346
GETCO Financing Escrow
8.250%, 06/15/2018 (A)		1,775		1,735
Global Investments Group Finance
11.000%, 09/24/2017		3,000		2,910
HBOS Capital Funding
6.071%, 06/30/2049 (A) (D)		4,910		4,480
Hub International
8.125%, 10/15/2018 (A)		5,925		6,369
Icahn Enterprises
8.000%, 01/15/2018		2,800		2,968
ILFC E-Capital Trust II
6.250%, 12/21/2065 (A) (D)		1,900		1,786
ING Groep
5.775%, 12/29/2049 (D)		3,250		3,169
ING US
5.650%, 05/15/2053 (A) (D)		2,050		2,060
Ironshore Holdings US
8.500%, 05/15/2020 (A)		5,000		5,831
Jefferies Finance
7.375%, 04/01/2020 (A)		830		834
Jefferies Group
8.500%, 07/15/2019		820		1,037
Kennedy-Wilson
8.750%, 04/01/2019		3,500		3,841
8.750%, 04/01/2019 (A)		430		472


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lancashire Holdings
5.700%, 10/01/2022 (A)	$	1,200	$	1,126
Liberty Mutual Group
7.000%, 03/15/2037 (A) (D)		1,565		1,635
Lloyds Banking Group
6.267%, 11/14/2016 (A) (D)		1,435		1,191
Marlin Water Trust II
6.310%, 07/15/2003 (A) (B)		4,000		—
Mattamy Group
6.500%, 11/15/2020 (A)		1,575		1,571
Millennium Escrow
7.625%, 11/15/2026 (B)		200		—
MPT Operating Partnership‡
6.875%, 05/01/2021		4,095		4,525
National Life Insurance
10.500%, 09/15/2039 (A)		1,100		1,552
Nationstar Mortgage
9.625%, 05/01/2019 (A)		915		1,043
7.875%, 10/01/2020 (A)		3,725		4,079
6.500%, 07/01/2021 (A)		3,300		3,366
6.500%, 06/01/2022		3,015		3,015
Norcraft
10.500%, 12/15/2015		975		1,019
Nuveen Investments
9.500%, 10/15/2020 (A)		6,890		7,390
9.125%, 10/15/2017 (A)		3,170		3,329
Ohio Casualty
7.300%, 06/15/2014		1,050		1,108
Onex USI Acquisition
7.750%, 01/15/2021 (A)		4,105		4,218
Ono Finance II
10.875%, 07/15/2019 (A)		780		825
Oxford Finance
7.250%, 01/15/2018 (A)		1,150		1,226
PHH
9.250%, 03/01/2016		725		843
7.375%, 09/01/2019		775		880
PNC Preferred Funding Trust II
1.503%, 03/29/2049 (A) (D)		6,540		5,755
Provident Funding Associates
6.750%, 06/15/2021 (A)		780		796
RBS Capital Trust I
4.709%, 12/29/2049 (D)		2,280		1,847
RBS Capital Trust III
5.512%, 09/30/2049 (D)		420		352
Realogy
7.875%, 02/15/2019 (A)		1,125		1,235
7.625%, 01/15/2020 (A)		520		589
RHP Hotel Properties‡
5.000%, 04/15/2021 (A)		1,416		1,437
Rivers Pittsburgh Borrower
9.500%, 06/15/2019 (A)		725		798
Sabra Health Care‡
8.125%, 11/01/2018		4,540		4,937


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Snoqualmie Entertainment Authority
9.125%, 02/01/2015 (A)	$	1,116	$	1,105
4.223%, 02/01/2014 (A) (D)		245		241
Springleaf Finance
6.900%, 12/15/2017		2,175		2,254
6.000%, 06/01/2020 (A)		915		883
USB Realty
1.424%, 12/29/2049 (A) (D)		6,400		5,712
Wilton Re Finance
5.875%, 03/30/2033 (A) (D)		2,400		2,384
XL Capital
6.500%, 12/31/2049 (D)		2,615		2,622

				161,186


Health Care — 2.7%
Acadia Healthcare
12.875%, 11/01/2018		1,702		2,119
6.125%, 03/15/2021 (A)		1,100		1,147
Alere
7.250%, 07/01/2018 (A)		790		857
6.500%, 06/15/2020 (A)		3,300		3,316
Amsurg
5.625%, 11/30/2020 (A)		3,075		3,198
Biomet
6.500%, 08/01/2020 (A)		3,231		3,401
BioScrip
10.250%, 10/01/2015		3,685		3,869
DaVita HealthCare Partners
6.625%, 11/01/2020		1,435		1,532
6.375%, 11/01/2018		255		271
5.750%, 08/15/2022		10		11
DJO Finance
9.875%, 04/15/2018		4,770		5,235
8.750%, 03/15/2018		970		1,072
7.750%, 04/15/2018		3,295		3,410
Endo Health Solutions
7.000%, 07/15/2019		1,000		1,075
HCA Holdings
7.750%, 05/15/2021		2,460		2,718
6.250%, 02/15/2021		665		711
Health Management Associates
7.375%, 01/15/2020		3,355		3,661
HealthSouth
8.125%, 02/15/2020		3,745		4,148
7.750%, 09/15/2022		549		607
7.250%, 10/01/2018		33		36
5.750%, 11/01/2024		265		274
Hologic
6.250%, 08/01/2020		2,810		3,003
inVentiv Health
11.000%, 08/15/2018 (A)		450		396
10.750%, 08/15/2018 (A)		610		537
Kindred Healthcare
8.250%, 06/01/2019		3,230		3,375


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Surgical Care Affiliates PIK
8.875%, 07/15/2015 (A)	$	1,636	$	1,644
Tenet Healthcare
8.000%, 08/01/2020		2,685		2,947
4.750%, 06/01/2020 (A)		1,430		1,441
4.375%, 10/01/2021 (A)		1,800		1,746
Truven Health Analytics
10.625%, 06/01/2020 (A)		595		672

				58,429


Industrials — 7.9%
Actuant
5.625%, 06/15/2022		4,000		4,120
ADS Waste Holdings
8.250%, 10/01/2020 (A)		630		676
Air Canada
9.250%, 08/01/2015 (A)		3,965		4,181
Air Medical Group Holdings
9.250%, 11/01/2018		4,445		4,878
Aircastle
7.625%, 04/15/2020		415		476
6.750%, 04/15/2017		270		297
Alion Science & Technology
10.250%, 02/01/2015		865		500
Alion Science & Technology PIK
12.000%, 11/01/2014		2,124		2,196
American Airlines Pass-Through Trust, Ser 2011-2, Cl A
8.625%, 10/15/2021		1,001		1,056
Amsted Industries
8.125%, 03/15/2018 (A)		870		933
Anixter
5.625%, 05/01/2019		395		420
ARD Finance PIK
11.125%, 06/01/2018 (A)		1,485		1,626
Ardagh Packaging Finance
9.125%, 10/15/2020 (A)		2,290		2,519
7.375%, 10/15/2017 (A)		300		326
7.000%, 11/15/2020 (A)		3,160		3,239
Associated Materials
9.125%, 11/01/2017		665		703
Atkore International
9.875%, 01/01/2018		910		981
BC Mountain
7.000%, 02/01/2021 (A)		1,090		1,155
Belden
5.500%, 09/01/2022 (A)		830		853
Berry Plastics
9.750%, 01/15/2021		785		907
Boart Longyear Management
7.000%, 04/01/2021 (A)		3,600		3,564
BOE Intermediate Holding
9.000%, 11/01/2017 (A)		835		822


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BOE Merger
9.500%, 11/01/2017 (A)	$	1,743	$	1,817
Bombardier
7.750%, 03/15/2020 (A)		320		374
6.125%, 01/15/2023 (A)		775		810
5.750%, 03/15/2022 (A)		1,065		1,108
Builders FirstSource
13.000%, 02/15/2016 (A) (D)		410		412
7.625%, 06/01/2021 (A)		1,085		1,090
Building Materials Corp of America
6.875%, 08/15/2018 (A)		2,360		2,519
6.750%, 05/01/2021 (A)		700		758
BWAY Holding
10.000%, 06/15/2018		985		1,091
Case New Holland
7.875%, 12/01/2017		605		711
Cemex Espana Luxembourg
9.250%, 05/12/2020 (A)		1,793		1,923
CEVA Group
11.625%, 10/01/2016 (A)		2,735		2,872
11.500%, 04/01/2018 (A) (B)		2,500		2,275
8.375%, 12/01/2017 (A)		2,365		2,448
CHC Helicopter
9.375%, 06/01/2021 (A)		2,100		2,152
Clean Harbors
5.250%, 08/01/2020		3,015		3,143
Consolidated Container
10.125%, 07/15/2020 (A)		1,445		1,629
Crown Americas
4.500%, 01/15/2023 (A)		145		142
DigitalGlobe
5.250%, 02/01/2021 (A)		2,005		2,020
Esterline Technologies
7.000%, 08/01/2020		1,755		1,922
FGI Operating
7.875%, 05/01/2020 (A)		880		948
Florida East Coast Railway
8.125%, 02/01/2017		750		799
GenCorp
7.125%, 03/15/2021 (A)		1,590		1,701
General Cable
5.750%, 10/01/2022 (A)		575		592
Gibraltar Industries
6.250%, 02/01/2021 (A)		874		922
Graphic Packaging International
4.750%, 04/15/2021		1,346		1,359
Great Lakes Dredge & Dock
7.375%, 02/01/2019		1,215		1,280
Griffon
7.125%, 04/01/2018		750		806
H&E Equipment Services
7.000%, 09/01/2022		2,175		2,349
Huntington Ingalls Industries
6.875%, 03/15/2018		600		654


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Interline Brands
7.500%, 11/15/2018	$	865	$	926
Interline Brands PIK
10.000%, 11/15/2018 (A)		310		343
International Lease Finance
8.750%, 03/15/2017		3,280		3,883
6.250%, 05/15/2019		405		442
5.875%, 04/01/2019		1,955		2,097
5.750%, 05/15/2016		170		182
4.625%, 04/15/2021		715		710
Iron Mountain
7.750%, 10/01/2019		2,625		2,930
Kratos Defense & Security Solutions
10.000%, 06/01/2017		1,525		1,662
Liberty Tire Recycling
11.000%, 10/01/2016 (A)		3,900		4,007
Manitowoc
8.500%, 11/01/2020		1,180		1,342
Marquette Transportation
10.875%, 01/15/2017		1,650		1,786
Masonite International
8.250%, 04/15/2021 (A)		2,030		2,253
Meritor
6.750%, 06/15/2021		735		726
Midwest Vanadium
11.500%, 02/15/2018 (A)		1,350		891
Milacron
7.750%, 02/15/2021 (A)		1,490		1,564
Mobile Mini
7.875%, 12/01/2020		1,190		1,318
Mueller Water Products
8.750%, 09/01/2020		504		570
7.375%, 06/01/2017		1,455		1,491
Navistar International
8.250%, 11/01/2021		1,320		1,345
Nortek
8.500%, 04/15/2021		1,510		1,653
8.500%, 04/15/2021 (A)		1,950		2,116
Old AII
10.000%, 12/15/2016 (B)		1,675		—
Old AII PIK
9.000%, 12/15/2014 (B)		950		—
Oshkosh
8.500%, 03/01/2020		1,765		1,964
8.250%, 03/01/2017		705		758
Packaging Dynamics
8.750%, 02/01/2016 (A)		2,724		2,850
Polymer Group
7.750%, 02/01/2019		965		1,040
Polypore International
7.500%, 11/15/2017		980		1,049
Quality Distribution
9.875%, 11/01/2018		4,770		5,330


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
RBS Global
8.500%, 05/01/2018	$	1,205	$	1,304
Silver II Borrower
7.750%, 12/15/2020 (A)		1,830		1,899
Swift Services Holdings
10.000%, 11/15/2018		1,490		1,702
syncreon Global Ireland
9.500%, 05/01/2018 (A)		2,467		2,677
Tekni-Plex
9.750%, 06/01/2019 (A)		579		648
Tempel Steel
12.000%, 08/15/2016 (A)		1,100		1,062
Terex
6.500%, 04/01/2020		700		751
6.000%, 05/15/2021		3,020		3,194
Tervita
8.000%, 11/15/2018 (A)		765		792
Titan International
7.875%, 10/01/2017		4,335		4,638
7.875%, 10/01/2017 (A)		180		193
TRAC Intermodal
11.000%, 08/15/2019 (A)		1,910		2,108
TransDigm
5.500%, 10/15/2020 (A)		2,100		2,174
Trinseo Materials Operating SCA
8.750%, 02/01/2019 (A)		5,335		5,315
Triumph Group
4.875%, 04/01/2021 (A)		590		602
USG
8.375%, 10/15/2018 (A)		1,535		1,689
6.300%, 11/15/2016		1,975		2,089
Viasystems
7.875%, 05/01/2019 (A)		3,825		4,093
Victor Technologies Group
9.000%, 12/15/2017		3,803		4,145
Watco
6.375%, 04/01/2023 (A)		2,440		2,568

				169,925


Information Technology — 4.3%
Advanced Micro Devices
7.500%, 08/15/2022 (A)		3,540		3,451
Amkor Technology
7.375%, 05/01/2018		735		777
6.375%, 10/01/2022 (A)		2,390		2,414
Aspect Software
10.625%, 05/15/2017		4,260		4,441
Audatex North America
6.750%, 06/15/2018 (A)		705		750
Brocade Communications Systems
4.625%, 01/15/2023 (A)		1,000		985


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CDW
12.535%, 10/12/2017	$	641	$	689
8.500%, 04/01/2019		2,970		3,286
8.000%, 12/15/2018		2,865		3,155
Epicor Software
8.625%, 05/01/2019		2,860		3,110
Equinix
5.375%, 04/01/2023		1,900		1,962
4.875%, 04/01/2020		2,810		2,859
First Data
12.625%, 01/15/2021		2,077		2,269
11.750%, 08/15/2021 (A)		690		668
11.250%, 03/31/2016		390		392
11.250%, 01/15/2021 (A)		1,100		1,125
8.875%, 08/15/2020 (A)		1,200		1,326
8.250%, 01/15/2021 (A)		1,850		1,961
7.375%, 06/15/2019 (A)		635		670
6.750%, 11/01/2020 (A)		1,050		1,097
First Data PIK
8.750%, 01/15/2022 (A)		7,497		8,040
Freescale Semiconductor
9.250%, 04/15/2018 (A)		545		593
IAC
4.750%, 12/15/2022 (A)		1,555		1,528
iGATE
9.000%, 05/01/2016		3,819		4,105
IMS Health
6.000%, 11/01/2020 (A)		835		883
Infor US
11.500%, 07/15/2018		610		715
9.375%, 04/01/2019		4,860		5,480
j2 Global
8.000%, 08/01/2020		2,115		2,274
MagnaChip Semiconductor
10.500%, 04/15/2018		1,835		2,032
ManTech International
7.250%, 04/15/2018		895		950
NCR
5.000%, 07/15/2022		1,900		1,914
NeuStar
4.500%, 01/15/2023 (A)		950		926
Nuance Communications
5.375%, 08/15/2020 (A)		3,345		3,387
NXP
9.750%, 08/01/2018 (A)		367		415
5.750%, 02/15/2021 (A)		2,800		2,940
5.750%, 03/15/2023 (A)		455		473
3.750%, 06/01/2018 (A)		550		542
Seagate HDD Cayman
4.750%, 06/01/2023 (A)		1,615		1,566
Sensata Technologies
6.500%, 05/15/2019 (A)		5,248		5,667
Southern Graphics
8.375%, 10/15/2020 (A)		450		484


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SSI Investments II
11.125%, 06/01/2018	$	1,020	$	1,127
Stratus Technologies Bermuda
12.000%, 03/29/2015		2,637		2,703
Stream Global Services
11.250%, 10/01/2014 (A)		805		827
11.250%, 10/01/2014		615		632
SunEdison
7.750%, 04/01/2019		855		834
SunGard Data Systems
7.625%, 11/15/2020		40		44
7.375%, 11/15/2018		975		1,038
6.625%, 11/01/2019 (A)		970		1,021
VeriSign
4.625%, 05/01/2023 (A)		1,000		1,005
WEX
4.750%, 02/01/2023 (A)		1,475		1,471

				93,003


Materials — 5.8%
AK Steel
8.750%, 12/01/2018 (A)		1,350		1,482
7.625%, 05/15/2020		795		711
AM Castle
12.750%, 12/15/2016		300		352
APERAM
7.750%, 04/01/2018 (A)		4,970		4,945
ArcelorMittal
6.125%, 06/01/2018		3,095		3,281
Ashland
4.750%, 08/15/2022 (A)		1,725		1,762
Ball
5.000%, 03/15/2022		1,550		1,604
4.000%, 11/15/2023		825		789
Celanese US Holdings
4.625%, 11/15/2022		3,365		3,458
Chemtura
7.875%, 09/01/2018		2,165		2,371
Clearwater Paper
7.125%, 11/01/2018		175		189
Commercial Metals
4.875%, 05/15/2023		1,250		1,191
Edgen Murray
8.750%, 11/01/2020 (A)		2,155		2,247
Eldorado
6.125%, 12/15/2020 (A)		1,350		1,370
Essar Steel Algoma
9.375%, 03/15/2015 (A)		825		767
FMG Resources
8.250%, 11/01/2019 (A)		940		992
6.875%, 02/01/2018 (A)		2,430		2,472
FMG Resources August 2006 PTY
6.875%, 04/01/2022 (A)		1,540		1,555


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Headwaters
7.625%, 04/01/2019	$	1,435	$	1,539
Hecla Mining
6.875%, 05/01/2021 (A)		3,385		3,275
Hexion US Finance
9.000%, 11/15/2020		1,260		1,282
8.875%, 02/01/2018		2,540		2,651
6.625%, 04/15/2020 (A)		765		796
6.625%, 04/15/2020		540		562
Horsehead Holding
10.500%, 06/01/2017 (A)		870		940
Huntsman International
8.625%, 03/15/2020		535		591
8.625%, 03/15/2021		670		749
4.875%, 11/15/2020		535		540
IAMGOLD
6.750%, 10/01/2020 (A)		5,800		5,307
Ineos Finance
8.375%, 02/15/2019 (A)		1,620		1,806
7.500%, 05/01/2020 (A)		735		807
Ineos Group Holdings
6.125%, 08/15/2018 (A)		1,495		1,476
Inmet Mining
8.750%, 06/01/2020 (A)		1,425		1,535
JMC Steel Group
8.250%, 03/15/2018 (A)		1,730		1,752
KGHM International
7.750%, 06/15/2019 (A)		1,200		1,254
MacDermid
9.500%, 04/15/2017 (A)		1,820		1,884
Mirabela Nickel
8.750%, 04/15/2018 (A)		1,780		1,477
Momentive PIK
1.710%, 06/04/2017 (F) (G)		2,849		2,333
New
7.000%, 04/15/2020 (A)		800		848
6.250%, 11/15/2022 (A)		2,540		2,616
Nexeo Solutions
8.375%, 03/01/2018		874		878
Noranda Aluminum Acquisition
11.000%, 06/01/2019 (A)		1,510		1,484
Novelis
8.750%, 12/15/2020		830		928
8.375%, 12/15/2017		2,700		2,916
Orion Engineered Carbons Bondco GmbH
9.625%, 06/15/2018 (A)		1,928		2,145
Perstorp Holding
8.750%, 05/15/2017 (A)		3,435		3,547
PolyOne
7.375%, 09/15/2020		775		854
Rain CII Carbon
8.250%, 01/15/2021 (A)		825		883
8.000%, 12/01/2018 (A)		390		413


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Reichhold Industries PIK
9.000%, 05/08/2017 (A)	$	1,826	$	1,424
Rentech Nitrogen Partners
6.500%, 04/15/2021 (A)		435		440
Rockwood Specialties Group
4.625%, 10/15/2020		1,820		1,856
Ryerson
11.250%, 10/15/2018 (A)		2,465		2,619
9.000%, 10/15/2017 (A)		1,215		1,312
Sappi Papier Holding GmbH
8.375%, 06/15/2019 (A)		1,470		1,621
7.750%, 07/15/2017 (A)		400		436
6.625%, 04/15/2021 (A)		200		204
Scotts Miracle-Gro
7.250%, 01/15/2018		385		406
6.625%, 12/15/2020		375		408
Sealed Air
8.375%, 09/15/2021 (A)		2,605		3,009
8.125%, 09/15/2019 (A)		1,385		1,568
6.500%, 12/01/2020 (A)		370		412
Smurfit Kappa Acquisitions
4.875%, 09/15/2018 (A)		1,400		1,449
St. Barbara
8.875%, 04/15/2018 (A)		875		849
Steel Dynamics
6.375%, 08/15/2022 (A)		745		812
6.125%, 08/15/2019 (A)		740		805
Taminco Global Chemical
9.750%, 03/31/2020 (A)		3,220		3,647
TPC Group
8.750%, 12/15/2020 (A)		7,695		8,118
US Coatings Acquisition
7.375%, 05/01/2021 (A)		1,165		1,229
Vertellus Specialties
9.375%, 10/01/2015 (A)		825		771
Vulcan Materials
7.500%, 06/15/2021		305		360
7.000%, 06/15/2018		485		550
Walter Energy
9.875%, 12/15/2020 (A)		5,565		5,941
8.500%, 04/15/2021 (A)		2,695		2,708

				124,560


Telecommunication Services — 9.9%
Affinion Group
11.500%, 10/15/2015		513		439
Alcatel-Lucent USA
6.500%, 01/15/2028		1,320		1,049
Avaya
10.500%, 03/01/2021 (A)		1,211		1,017
7.000%, 04/01/2019 (A)		1,610		1,501
Baker & Taylor Acquisitions
15.000%, 04/01/2017 (A)		1,105		773


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Block Communications
7.250%, 02/01/2020 (A)	$	745	$	808
CCO Holdings
7.875%, 04/30/2018		560		593
7.375%, 06/01/2020		1,335		1,490
7.000%, 01/15/2019		1,250		1,336
5.250%, 03/15/2021		400		406
5.250%, 09/30/2022		1,440		1,440
CenturyLink
5.800%, 03/15/2022		1,920		1,963
5.625%, 04/01/2020		2,820		2,915
Cequel Communications Holdings I
6.375%, 09/15/2020 (A)		3,670		3,835
Cincinnati Bell
8.750%, 03/15/2018		3,425		3,511
Clear Channel Communications
9.000%, 12/15/2019 (A)		581		584
9.000%, 03/01/2021		3,335		3,310
Clear Channel Worldwide Holdings
7.625%, 03/15/2020		255		270
7.625%, 03/15/2020		2,135		2,268
6.500%, 11/15/2022 (A)		2,740		2,891
6.500%, 11/15/2022 (A)		1,015		1,066
Clearwire Communications
12.000%, 12/01/2015 (A)		2,095		2,239
8.250%, 12/01/2040 (A)		537		593
Cogent Communications Group
8.375%, 02/15/2018 (A)		605		675
Columbus International
11.500%, 11/20/2014 (A)		1,265		1,407
CommScope
8.250%, 01/15/2019 (A)		1,270		1,391
CommScope Holding
6.625%, 06/01/2020 (A)		2,230		2,202
CSC Holdings
8.625%, 02/15/2019		2,510		2,993
6.750%, 11/15/2021		2,065		2,313
DCP
10.750%, 08/15/2015 (A)		3,000		3,150
Digicel
8.250%, 09/01/2017 (A)		3,729		3,878
Digicel Group
8.250%, 09/30/2020 (A)		2,011		2,142
DISH DBS
7.875%, 09/01/2019		3,385		3,795
6.750%, 06/01/2021		1,225		1,295
6.250%, 05/15/2023 (A)		3,395		3,395
5.875%, 07/15/2022		1,065		1,068
5.125%, 05/01/2020 (A)		465		453
5.000%, 05/15/2017 (A)		3,135		3,135
5.000%, 03/15/2023		2,160		2,041
4.250%, 04/01/2018 (A)		3,075		2,998
Eileme 2
11.625%, 01/31/2020 (A)		655		770


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GCI
8.625%, 11/15/2019	$	775	$	827
6.750%, 06/01/2021		505		494
Griffey Intermediate
7.000%, 10/15/2020 (A)		3,890		3,939
GXS Worldwide
9.750%, 06/15/2015		4,420		4,531
Hughes Satellite Systems
7.625%, 06/15/2021		2,484		2,776
6.500%, 06/15/2019		670		732
Intelsat Jackson Holdings
7.500%, 04/01/2021		160		176
7.250%, 10/15/2020		3,200		3,472
6.625%, 12/15/2022 (A)		890		927
5.500%, 08/01/2023 (A)		320		314
Intelsat Luxembourg
11.250%, 02/04/2017		474		501
8.125%, 06/01/2023 (A)		2,400		2,568
7.750%, 06/01/2021 (A)		3,700		3,890
inVentiv Health
9.000%, 01/15/2018 (A)		790		841
iPCS PIK
3.524%, 05/01/2014 (D)		16		16
Level 3 Communications
11.875%, 02/01/2019		1,585		1,819
8.875%, 06/01/2019		1,205		1,307
Level 3 Financing
9.375%, 04/01/2019		435		480
8.625%, 07/15/2020		835		918
8.125%, 07/01/2019		835		904
7.000%, 06/01/2020		970		1,027
4.215%, 02/15/2015 (D)		1,500		1,501
Liberty Interactive
8.250%, 02/01/2030		3,980		4,378
Lucent Technologies
6.450%, 03/15/2029		4,785		3,840
Lynx I
5.375%, 04/15/2021 (A)		2,525		2,626
Lynx II
6.375%, 04/15/2023 (A)		1,305		1,360
McGraw-Hill Global Education Holdings
9.750%, 04/01/2021 (A)		400		415
MetroPCS Wireless
7.875%, 09/01/2018		605		659
6.625%, 04/01/2023 (A)		1,965		2,078
6.250%, 04/01/2021 (A)		1,865		1,954
Nara Cable Funding
8.875%, 12/01/2018 (A)		1,326		1,379
8.875%, 12/01/2018 (A)		1,125		1,187
Nexstar Broadcasting
6.875%, 11/15/2020 (A)		1,645		1,752
Nexstar/Mission Broadcast
8.875%, 04/15/2017		940		1,022


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nielsen Finance
4.500%, 10/01/2020 (A)	$	1,425	$	1,429
NII International Telecom SCA
7.875%, 08/15/2019 (A)		350		340
PAETEC Holding
9.875%, 12/01/2018		1,135		1,291
Quebecor Media
5.750%, 01/15/2023		755		774
Sable International Finance
8.750%, 02/01/2020 (A)		80		91
7.750%, 02/15/2017 (A)		1,834		1,953
Satelites Mexicanos
9.500%, 05/15/2017		760		817
SBA Telecommunications
8.250%, 08/15/2019		441		483
Sinclair Television Group
9.250%, 11/01/2017 (A)		895		958
8.375%, 10/15/2018		320		354
6.125%, 10/01/2022 (A)		375		391
5.375%, 04/01/2021 (A)		3,650		3,632
Sitel LLC
11.000%, 08/01/2017 (A)		1,275		1,371
Softbank
4.500%, 04/15/2020 (A)		3,407		3,457
Sprint Capital
8.750%, 03/15/2032		6,620		7,712
6.900%, 05/01/2019		1,400		1,515
Sprint Nextel
9.125%, 03/01/2017		1,455		1,702
9.000%, 11/15/2018 (A)		2,245		2,722
8.375%, 08/15/2017		330		380
6.000%, 11/15/2022		35		36
tw telecom holdings
5.375%, 10/01/2022		1,110		1,149
Unitymedia Hessen GmbH & KG
7.500%, 03/15/2019 (A)		2,000		2,170
5.500%, 01/15/2023 (A)		4,335		4,422
Univision Communications
8.500%, 05/15/2021 (A)		4,465		4,833
7.875%, 11/01/2020 (A)		2,750		3,011
5.125%, 05/15/2023 (A)		3,460		3,391
UPCB Finance III
6.625%, 07/01/2020 (A)		1,535		1,635
UPCB Finance V
7.250%, 11/15/2021 (A)		2,235		2,464
UPCB Finance VI
6.875%, 01/15/2022 (A)		2,604		2,812
Videotron
5.000%, 07/15/2022		2,205		2,260
Virgin Media Finance
4.875%, 02/15/2022		2,235		2,255
Visant
10.000%, 10/01/2017		830		795


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
West
8.625%, 10/01/2018	$	3,045	$	3,342
Wind Acquisition Finance
11.750%, 07/15/2017 (A)		1,395		1,468
7.250%, 02/15/2018 (A)		2,815		2,935
7.250%, 02/15/2018 (A)		1,285		1,333
6.500%, 04/30/2020 (A)		1,507		1,548
Windstream
8.125%, 09/01/2018		5		5
7.750%, 10/01/2021		820		882
7.500%, 06/01/2022		860		912
7.500%, 04/01/2023		1,215		1,276
6.375%, 08/01/2023		2,285		2,256
Zayo Group
10.125%, 07/01/2020		2,040		2,372
8.125%, 01/01/2020		1,397		1,551

				214,493


Utilities — 2.4%
AES
8.000%, 10/15/2017		62		73
8.000%, 06/01/2020		195		234
7.375%, 07/01/2021		1,455		1,702
4.875%, 05/15/2023		3,195		3,139
Calpine
7.875%, 07/31/2020 (A)		1,843		2,027
7.500%, 02/15/2021 (A)		1,822		1,977
Elwood Energy
8.159%, 07/05/2026		724		785
Energy Future Intermediate Holding
11.750%, 03/01/2022 (A)		2,890		3,291
10.000%, 12/01/2020		656		747
10.000%, 12/01/2020 (A)		6,450		7,313
6.875%, 08/15/2017 (A)		190		202
GenOn Americas Generation
8.500%, 10/01/2021		1,149		1,327
GenOn Energy
9.875%, 10/15/2020		1,580		1,786
Homer City Generation
8.137%, 10/01/2019		2,665		2,805
LBC Tank Terminals Holding Netherlands
6.875%, 05/15/2023 (A)		1,050		1,091
NRG Energy
8.250%, 09/01/2020		160		179
7.875%, 05/15/2021		3,240		3,613
7.625%, 01/15/2018		1,595		1,798
6.625%, 03/15/2023 (A)		1,622		1,715
NSG Holdings
7.750%, 12/15/2025 (A)		2,100		2,279


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sabine Pass LNG
7.500%, 11/30/2016 (A)	$	1,880	$	2,002
7.500%, 11/30/2016		10,385		11,579

				51,664

Total Corporate Obligations (Cost $1,531,163) ($ Thousands)				1,604,668


LOAN PARTICIPATIONS — 9.7%
Academy Sports, Initial Term Loan
4.750%, 08/03/2018		338		341
4.500%, 08/03/2018		272		274
Advantage Sales and Marketing, Term Loan
8.250%, 06/17/2018		704		712
Air Medical Group Holdings, Term Loan, 1st Lien
0.000%, 05/21/2018 (H)		3,010		3,010
Albertson’s, Cov-Lite, 1st Lien
5.750%, 02/26/2016		1,445		1,452
Alcatel Lucent, 1st Lien
6.250%, 07/31/2016		1,100		1,111
Alcatel-Lucent USA, Term Loan
7.250%, 01/30/2019		1,930		1,949
American Renal Holdings, Term Loan
8.500%, 02/20/2020		2,000		2,012
Applied Systems, Delayed Term Loan
9.500%, 06/08/2017		375		379
Applied Systems, Hybrid Term Loan, 2nd Lien
8.250%, 06/08/2017		605		611
Apria Healthcare Group, Term Loan
6.750%, 04/06/2020		1,750		1,762
Arctic Glacier Holdings, Term Loan
6.000%, 05/09/2019		496		499
Associated Partners, Term Loan
2.000%, 12/24/2015 (I)		2,000		—
Associated Partners, Term Loan, 1st Lien
6.699%, 12/21/2015		2,000		2,000
Astoria Generating, Term Loan
8.500%, 10/26/2017		4,845		5,024
Asurion
4.500%, 05/24/2019		999		1,003
Avaya, Extended Term Loan B-5
8.000%, 03/31/2018		748		714
Berlin Packaging, 2nd Lien
8.750%, 03/28/2020		375		381
Blue Coat Systems, Term Loan
4.500%, 02/15/2018		3,970		3,991
Caribbean Restaurants, Term Loan B
9.000%, 02/17/2017		117		118


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Catalent Pharma Solutions, Term Loan
6.500%, 12/31/2017	$	450	$	455
Cengage Learning Acquisitions, Extended Term Loan, Tranche B
5.720%, 07/05/2017		350		276
Centaur, 1st Lien
5.250%, 02/19/2019		765		772
Ceridian, Extended Term Loan
5.948%, 05/09/2017		2,419		2,435
CKX, Term Loan B
9.000%, 06/21/2017		506		446
Clear Channel
3.848%, 01/29/2016		3,170		2,942
Cleveland Unlimited, Term Loan
15.000%, 07/25/2016		516		521
Cleveland Unlimited, Term Loan A, PIK
10.000%, 01/25/2016 (G)		181		182
Cleveland Unlimited, Term Loan C, PIK
15.000%, 07/25/2016 (G)		84		85
Cleveland Unlimted, Term Loan B
15.000%, 07/25/2016 (G)		172		174
Cole Haan LLC, Cov-Lite, Term Loan, 1st Lien
5.750%, 01/31/2020		843		851
Constellation, Bridge Loan
0.000%, 12/30/2013 (I)		1,500		—
Cooper Gay Swett & Crawford, 2nd Lien
8.250%, 10/16/2020		400		407
Crestwood Holdings, 1st Lien
0.000%, 05/24/2019 (H)		1,530		1,545
Crestwood Holdings, Term Loan
9.750%, 03/20/2018		1,622		1,638
Cristal Inorganic Chemicals US
6.034%, 11/15/2014		1,663		1,664
CSM Bakery Supplies, Cov-Lite, 1st Lien
0.000%, 05/22/2020 (H)		1,470		1,463
DAE Aviation Holdings, Term Loan B1
6.250%, 11/02/2018		1,712		1,737
Deltek Systems, Term Loan, 2nd Lien
10.000%, 10/10/2019		1,000		1,027
Dex Media West
7.250%, 10/24/2014		2,299		1,954
DJO Finance
4.750%, 09/15/2017		1,945		1,969
Doncasters PLC, 2nd Lien
9.500%, 10/09/2020		350		351
DuPont Performance Coatings, Term Loan
4.750%, 02/01/2020		425		428


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Dynegy Power, Term Loan, 1st Lien
9.250%, 04/23/2020	$	303	$	304
Dynegy, Cov-Lite, Term Loan B2
4.000%, 04/23/2020		234		234
Endurance International, 2nd Lien
10.250%, 05/09/2020		4,225		4,267
EP Energy, Term Loan
5.000%, 04/10/2018		3,995		4,014
Equipower Resources, Term Loan, 2nd Lien
10.000%, 06/21/2019		560		575
Essential Power, Term Loan
4.500%, 08/08/2019		5,339		5,375
4.250%, 08/08/2019		68		68
Expert Global, Term Loan
8.500%, 04/03/2018		2,957		2,994
Fender Musical Instruments, 1st Lien
5.750%, 04/03/2019		250		249
First Advantage, 2nd Lien
10.500%, 02/13/2019		700		693
First Advantage, Cov-Lite, Term Loan
6.250%, 02/13/2019		500		501
Fortescue Metals Group
5.250%, 10/18/2017		2,637		2,649
GCA Services Group, Cov-Lite, Term Loan, 2nd Lien
9.250%, 11/01/2020		800		812
Getco, Bridge Loan, 2nd Lien
0.000%, 12/18/2013 (H)		400		—
Global Aviation Holdings, Term Loan
10.000%, 07/13/2017		1,937		1,743
3.000%, 02/13/2018		614		123
Go Daddy Operating, Term Loan
4.250%, 12/16/2018		2,134		2,141
GoGo
11.250%, 06/21/2017		1,146		1,126
Graton Economic Development Authority, Term Loan
9.000%, 08/22/2018		3,175		3,336
Guitar Center, Term Loan
5.540%, 04/09/2017		3,086		3,077
H.J. Heinz, Term Loan B2
0.000%, 03/27/2020 (H)		2,235		2,254
Harrah’s Entertainment, Term Loan B6
5.454%, 01/28/2018		936		836
Harrah’s Las Vegas Propco
3.700%, 02/13/2013		4,770		4,353
Harrah’s Operating, Term Loan B-4
9.500%, 10/31/2016		2,903		2,911
Heinz, Unfunded Bridge Loan
0.000%, 11/14/2013 (H)		2,000		—
Hologic, Term Loan B
4.500%, 08/01/2019		1,290		1,298


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hostess Brands, Term Loan
6.750%, 03/12/2020	$	1,187	$	1,217
6.750%, 04/09/2020		103		106
Inc Research, Term Loan B
6.000%, 07/12/2018		2,126		2,140
Ineos Holdings Limited, Cov-Lite
4.250%, 05/04/2018		2,096		2,095
Integra Telecom, 2nd Lien
9.750%, 02/19/2020		760		780
Integra Telecom, Term Loan
6.000%, 02/22/2019		1,510		1,526
Intrawest ULC, Term Loan, 1st Lien
7.000%, 12/03/2017		3,095		3,155
ION Trading Technologies, Cov- Lite, Term Loan, 2nd Lien
0.000%, 05/21/2021 (H)		2,330		2,347
JCPenney, Cov-Lite, Term Loan B, 1st Lien
6.000%, 05/21/2018		3,385		3,429
Kalispel Tribal Economic Authority
7.500%, 02/25/2017		2,931		2,924
Knight Capital Group, 1st Lien
0.000%, 11/30/2017 (H)		350		349
Lawson Software, Term Loan B
5.250%, 04/05/2018		568		573
Learning Care Group, Term Loan
6.000%, 05/08/2019		350		351
Lone Star
11.000%, 09/02/2019		540		578
Medical Card, Term Loan
12.250%, 09/17/2015		1,868		1,868
3.000%, 09/17/2015		58		58
Medquist, Term Loan B
7.500%, 08/16/2019		5,383		5,309
Merge Healthcare, Term Loan B
6.000%, 04/23/2019		650		653
Metroflag, 2nd Lien, 2nd Lien
14.000%, 01/06/2009 (B)		325		—
Mirion Technologies, 1st Lien
6.250%, 03/30/2018		598		601
Misys, 2nd Lien
12.000%, 12/06/2019		750		874
Mohegan Tribal Gaming Authority, Term Loan
5.500%, 03/31/2015		2,311		2,317
Mohegan Tribal Gaming Authority, Term Loan B
9.000%, 02/28/2016		4,340		4,481
Nana Development, 1st Lien
8.000%, 03/13/2018		500		490
National Financial Partners, Unfunded Term Loan
0.000%, 12/31/2013 (H)		1,075		—


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Navistar International
5.750%, 08/17/2017	$	3,304	$	3,365
Nelson Education, Term Loan B-1
2.784%, 07/04/2014		1,466		1,210
NewPage, Term Loan
7.750%, 12/21/2018		2,294		2,340
Nielsen, Bridge Loan
0.000%, 10/01/2013 (H)		5,250		—
Novell, 2nd Lien
11.000%, 11/22/2018		1,215		1,239
Nuveen Investments, Term Loan, 2nd Lien
8.250%, 02/23/2019		1,050		1,053
NXP Semiconductors, Incremental Term Loan C
4.750%, 01/10/2020		547		558
Obsidian Natural Gas Trust
7.000%, 11/02/2015		1,302		1,309
Ocwen Financial
5.000%, 02/15/2018		420		425
One Call Medical
5.500%, 08/19/2019		2,494		2,508
Pacific Drilling, 1st Lien
0.000%, 05/18/2018 (H)		2,250		2,259
Panda Temple Power, 1st Lien
7.250%, 04/03/2019		1,585		1,619
Panolam Industries International
7.250%, 08/23/2017		928		922
Performance Food Group, Cov-Lite, 2nd Lien
6.250%, 11/07/2019		500		500
Pierre Food, Term Loan, 2nd Lien
9.500%, 10/02/2017		4,475		4,570
Pra International, 2nd Lien
10.500%, 06/10/2019		500		507
Ranpak, 2nd Lien
8.500%, 04/10/2020		400		408
Rice Drilling B, Term Loan, 2nd Lien
8.500%, 10/25/2018		1,994		2,019
Rite Aid, Term Loan, 2nd Lien
5.750%, 08/21/2020		785		811
Sabre Holdings
5.250%, 02/15/2019		3,399		3,439
Sirva Worldwide, Term Loan
7.500%, 03/22/2019		1,700		1,687
Smart & Final, Cov-Lite, 2nd Lien
10.500%, 11/15/2020		1,181		1,205
SpringLeaf Financial
5.500%, 05/10/2017		1,859		1,864
Standard Aero, Term Loan B2
6.250%, 11/02/2018		776		788
Sumtotal Systems, Cov-Lite, Term Loan
6.250%, 11/16/2018		1,000		1,007


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SUPERVALU, Cov-Lite, 1st Lien
5.000%, 03/21/2019	$	4,260	$	4,244
SUPERVALU, Cov-Lite, Term Loan
0.000%, 03/21/2019 (H)		1,055		1,051
SUPERVALU, Term Loan
6.250%, 02/05/2019		1,194		1,190
Targus Group, Term Loan B
11.000%, 05/24/2016		494		479
Telx Group, Term Loan B, 1st Lien
6.250%, 09/25/2017		1,108		1,117
Texas Competitive, Extended Term Loan
4.700%, 10/10/2017		5,830		4,216
Texas Competitive, Non-extended Term Loan
3.775%, 10/10/2014		2,419		1,870
3.699%, 10/10/2014		4,727		3,655
The Pantry, Term Loan B
5.750%, 08/03/2019		1,021		1,031
Transtar Industries, Term Loan, 2nd Lien
9.750%, 10/09/2019		900		925
Travelport, 2nd Lien
9.500%, 01/31/2016		1,838		1,913
Univision Communications, Cov-Lite, 1st Lien
4.500%, 02/28/2020		530		529
US Shipping, 1st Lien
9.000%, 04/11/2018		500		498
Vertafore
9.750%, 10/29/2017		780		797
Wall Street Systems, Cov-Lite, Term Loan, 2nd Lien
9.250%, 10/26/2020		2,150		2,182
Walter Investment Managment, Term Loan
5.750%, 11/28/2017		2,452		2,475
WP Prism (Bausch & Lomb), Term Loan, 1st Lien
6.250%, 05/31/2018		8,900		8,915

Total Loan Participations (Cost $205,472) ($ Thousands)				209,518


COLLATERALIZED DEBT OBLIGATIONS — 9.8%

Other Asset-Backed Securities — 9.8%
AMMC CDO, Ser 11A
0.000%, 10/30/2023 (A)		3,785		3,313
AMMC CDO, Ser 2011-9A
0.000%, 01/15/2022 (A)		2,881		2,665
AMMC CDO, Ser 2012-10A, Cl A
0.000%, 04/11/2022 (A)		3,316		3,134
Battalion CLO II Warehouse
0.000%‡‡‡		1,300		1,300


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup, Ser 2012-3A
0.000%, 01/18/2025 (A)	$	2,697	$	2,508
Claris III
0.574%, 08/04/2021		8,252		7,592
Crown Point CLO II Warehouse
0.000%‡‡‡		2,740		2,740
Figueroa CLO, Ser 2013-1I
0.000%, 03/21/2024 (A)		7,644		7,644
Grayson CLO, Ser 2006-1A, Cl B
0.974%, 11/01/2021 (A) (D)		6,599		5,477
Great Lakes CLO 2012-1, Ser 2012-1A
0.000%, 01/15/2023 (A)		2,877		2,848
Great Lakes CLO, Ser 2012-1A, Cl E
6.074%, 01/15/2023 (A) (D)		3,292		3,062
ICE EM CLO, Ser 2007-1A, Cl A2
1.065%, 08/15/2022 (A) (D)		9,372		8,575
ICE EM CLO, Ser 2007-1A, Cl A3
1.315%, 08/15/2022 (A) (D)		2,736		2,424
KKR CLO Trust, Ser 2012-1A, Cl C
4.809%, 12/15/2024 (A) (D)		3,366		3,393
KVK CLO 2013-1, Ser 2013-1A
0.000%, 04/14/2025 (A)		3,030		2,576
KVK CLO, Ser 2012-2A
0.000%, 02/15/2025 (A)		2,956		2,720
Neuberger Berman CLO, Ser 2012-12A
0.000%, 07/25/2023 (A)		3,984		3,367
Neuberger Berman CLO, Ser 2012-12A, Cl E
7.276%, 07/25/2023 (A) (D)		1,202		1,202
Neuberger Berman CLO, Ser 2012-13A
0.000%, 01/23/2024 (A)		2,886		2,310
Neuberger Berman CLO, Ser 2013-14A
0.000%, 04/28/2025 (A)		3,194		2,970
Newstar Trust, Ser 2007-1A, Cl A1
0.513%, 09/30/2022 (A) (D)		9,215		8,915
NXT Capital CLO, Ser 2012-1A, Cl E
7.776%, 07/20/2022 (A) (D)		3,047		3,039
OCP CLO, Ser 2012-2A
0.000%, 11/22/2023 (A)		2,940		2,528
Red River CLO, Ser 2006-1A, Cl C
0.994%, 07/27/2018 (A) (D)		7,544		6,450
Red River CLO, Ser 2006-1A, Cl D
1.924%, 07/27/2018 (A) (D)		2,441		1,953
Rockwall CDO, Ser 2006-1A, Cl A1LA
0.574%, 08/01/2021 (A) (D)		2,736		2,586
Rockwall CDO, Ser 2006-1A, Cl A1LB
0.774%, 08/01/2021 (A) (D)		23,922		21,530
Rockwall CDO, Ser 2007-1A, Cl A1LA
0.524%, 08/01/2024 (A) (D)		87,470		80,910


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
Venture CDO, Ser 2012-11A
0.000%, 11/14/2022 (A)	$	4,583	$	4,084
Venture CLO XIV Warehouse
0.000%‡‡‡		3,613		3,613
Venture X CLO, Ser 2012-10A
0.000%, 07/20/2022 (A)		2,034		1,943
Venture X CLO, Ser 2013-12A
0.000%, 02/28/2024 (A)		3,067		2,883

Total Collateralized Debt Obligations (Cost $189,691) ($ Thousands)				212,254


PREFERRED STOCK — 1.0%
Ally Financial, 8.500%		5,000		134
Ally Financial, 7.000%		12,215		11,975
Aspen Insurance Holdings, 5.950%* (D)		92,000		2,452
Chesapeake Energy, 5.750% (A)		780		856
Dana Holding, 4.000% (A)		5,754		917
GMAC Capital Trust I, 0.000% (D)		28,000		746
Regions Financial, 6.380%		149,200		3,779
SandRidge Energy, 7.000%		9,200		812

Total Preferred Stock (Cost $18,356) ($ Thousands)				21,671


MUNICIPAL BONDS — 0.6%
California State, Tobacco Securitization, Ser A-1, RB Callable 06/01/17 @ 100
5.750%, 06/01/2047		2,200		2,057
New Jersey State, Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100
4.750%, 06/01/2034		4,345		3,824
Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100
5.000%, 06/01/2041		8,280		7,296

Total Municipal Bonds (Cost $9,818) ($ Thousands)				13,177


ASSET-BACKED SECURITIES — 0.1%

Other Asset-Backed Securities — 0.1%
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9
0.749%, 03/15/2019 (D)		1,681		908
Cajun Global, Ser 2011-1A, Cl A2
5.955%, 02/20/2041 (A)		1,475		1,644
Domino’s Pizza Master Issuer, Ser 2012-1A, Cl A2
5.216%, 01/25/2042 (A)		491		544

Total Asset-Backed Securities (Cost $3,120) ($ Thousands)				3,096


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

CONVERTIBLE BONDS — 0.4%
Liberty Media CV to 16.7764
4.500%, 07/15/2014	$	2,395	$	2,434
4.000%, 11/15/2029		2,255		1,606
3.750%, 02/15/2030		4,410		3,054
Meritor
4.000%, 02/15/2019 (C)		1,047		976
Mirant CV to 14.7167
0.000%, 06/15/2021 (B)		1,950		—
Vector Group CV to 48.8281
3.875%, 06/15/2026 (D)		369		404

Total Convertible Bonds (Cost $7,452) ($ Thousands)				8,474


COMMON STOCK — 0.1%
Aventine Renewable Energy Holdings*		1,334		28
VSS AHC, Cl A* (E) (F) (G)		29,628		354
Core-Mark Holding		691		41
Dana Holdings		70,421		1,332
Delta Air Lines		2,369		42
Global Aviation Holdings, Cl A*		101,199		—
HMH Holdings Delaware* (G)		40,917		1,095
Neenah Enterprises		21,556		156
United Continental Holdings		21		1

Total Common Stock (Cost $4,327) ($ Thousands)				3,049

	Number of Warrants

WARRANTS — 0.1%
B&G Foods, Expires 03/15/17*		2,025		—
CUI Acquisition*‡‡ (F) (G)		46,959		1,878

Total Warrants (Cost $3,901) ($ Thousands)				1,878


CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		57,457,656		57,458

Total Cash Equivalent (Cost $57,458) ($ Thousands)				57,458

Total Investments — 98.7% (Cost $2,030,758) ($ Thousands)			$	2,135,243

A list of the open swap agreements held by the Fund at May 31, 2013, is as follows:

For the year ended May 31, 2013, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $2,162,551 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

‡‡

Expiration date is unavailable.

‡‡‡

Maturity date is unavailable.

(A)

(B)

Security in default on interest payments.

(C)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2013. The coupon on a step bond changes on a specified date.

(D)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2013. The date reported on the Schedule of Investments is the final maturity date.

(E)

Securities considered restricted. The total value of such securities as of May 31, 2013 was $355 ($ Thousands) and represented 0.02% of Net Assets.

(F)

Security considered illiquid. The total value of such security as of May 31, 2013 was $4,566 ($ Thousands) and represented 0.21% of Net Assets.

(G)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2012 was $6,210 ($ Thousands) and represented 0.29% of Net Assets.

(H)

Unsettled bank loan. Interest rate not available.

(I)

Unfunded bank loan.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

LLC — Limited Liability Company

PIK — Payment-in-Kind

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Corporate Obligations	$	—	$	1,599,620	$	5,048	$	1,604,668
Loan Participations		—		199,550		9,968		209,518
Collateralized Debt Obligations		—		—		212,254		212,254
Preferred Stock		1,797		19,874		—		21,671
Municipal Bonds		—		13,177		—		13,177
Asset-Backed Securities		—		3,096		—		3,096
Convertible Bonds		—		8,474		—		8,474
Common Stock		1,444		1,095		510		3,049
Warrants		—		—		1,878		1,878
Cash Equivalent		57,458		—		—		57,458

Total Investments in Securities	$	60,699	$	1,844,886	$	229,658	$	2,135,243


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Credit Default Swaps*	$	—	$	110	$	—	$	110

Swaps are valued at the unrealized appreciation on the instrument.

(1)

Of the $229,658 in Level 3 securities as of May 31, 2013, $6,210 or 0.29% are not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes.

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

For the year ended May 31, 2013, there were no 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.

LOGO


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


CORPORATE OBLIGATIONS — 57.9%

Consumer Discretionary — 6.5%
AutoZone
3.125%, 07/15/2023	$	1,860	$	1,792
Comcast
6.950%, 08/15/2037		2,550		3,392
6.500%, 01/15/2017		100		118
6.450%, 03/15/2037		6,200		7,801
6.400%, 05/15/2038		6,116		7,714
5.900%, 03/15/2016		100		113
5.700%, 07/01/2019		100		121
4.650%, 07/15/2042		1,770		1,809
4.250%, 01/15/2033		4,000		3,992
Comcast Cable Communications Holdings
9.455%, 11/15/2022		950		1,410
COX Communications
7.625%, 06/15/2025		300		380
6.950%, 06/01/2038 (A)		3,183		4,023
4.700%, 12/15/2042 (A)		4,400		4,247
CVS Caremark
6.250%, 06/01/2027		1,640		2,034
6.125%, 09/15/2039		3,825		4,713
5.750%, 05/15/2041		2,295		2,702
CVS Pass-Through Trust
8.353%, 07/10/2031 (A)		6,171		8,192
DIRECTV Holdings
6.350%, 03/15/2040		755		838
6.000%, 08/15/2040		5,705		6,093
5.150%, 03/15/2042		3,705		3,600
Discovery Communications
4.950%, 05/15/2042		250		251
4.875%, 04/01/2043		720		718
Ford Motor
7.400%, 11/01/2046		4,605		5,773
4.750%, 01/15/2043		3,500		3,256
Home Depot
4.200%, 04/01/2043		3,420		3,338


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

Lowe’s
6.875%, 02/15/2028	$	100	$	129
5.125%, 11/15/2041		3,865		4,213
McDonald’s
6.300%, 03/01/2038		5,145		6,841
4.875%, 07/15/2040		910		1,015
3.700%, 02/15/2042		480		442
NBC Universal Media
6.400%, 04/30/2040		1,975		2,490
5.950%, 04/01/2041		3,075		3,704
News America
8.450%, 08/01/2034		160		217
8.150%, 10/17/2036		1,685		2,245
7.850%, 03/01/2039		3,900		5,285
7.750%, 01/20/2024		125		157
7.625%, 11/30/2028		4,616		5,900
7.430%, 10/01/2026		200		249
6.900%, 08/15/2039		4,250		5,295
6.750%, 01/09/2038		1,250		1,458
6.650%, 11/15/2037		700		848
6.400%, 12/15/2035		875		1,034
6.150%, 02/15/2041		4,570		5,335
Target
7.000%, 01/15/2038		737		1,008
6.650%, 08/01/2028		450		570
4.000%, 07/01/2042		3,075		2,921
TCI Communications
7.875%, 02/15/2026		3,000		4,083
Time Warner
7.700%, 05/01/2032		4,309		5,841
7.625%, 04/15/2031		11,985		16,218
6.250%, 03/29/2041		5,400		6,323
Time Warner Cable
8.750%, 02/14/2019		3,500		4,597
6.750%, 06/15/2039		3,830		4,462
5.875%, 11/15/2040		1,645		1,748
5.500%, 09/01/2041		1,475		1,497
4.500%, 09/15/2042		4,285		3,822
Time Warner Entertainment
8.375%, 07/15/2033		3,880		5,265
Viacom
4.375%, 03/15/2043 (A)		6,628		5,986
Wal-Mart Stores
7.550%, 02/15/2030		840		1,186
6.200%, 04/15/2038		2,650		3,384
5.625%, 04/01/2040		5,940		7,149
5.625%, 04/15/2041		7,095		8,555
5.250%, 09/01/2035		50		57
5.000%, 10/25/2040		2,370		2,609
4.000%, 04/11/2043		960		916
Yum! Brands
6.875%, 11/15/2037		1,785		2,241

				215,715


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


Consumer Staples — 4.2%
Ahold Finance USA
6.875%, 05/01/2029	$	885	$	1,113
Altria Group
10.200%, 02/06/2039		2,640		4,204
Anheuser-Busch InBev Finance
4.000%, 01/17/2043		4,800		4,542
2.625%, 01/17/2023		3,975		3,835
Anheuser-Busch InBev Worldwide
8.000%, 11/15/2039		2,490		3,807
6.375%, 01/15/2040		2,075		2,697
3.750%, 07/15/2042		5,727		5,203
2.500%, 07/15/2022		1,050		1,010
Archer-Daniels-Midland
7.000%, 02/01/2031		25		32
Bestfoods
7.250%, 12/15/2026		170		239
Bowdoin College
4.693%, 07/01/2112		12,240		10,961
ConAgra Foods
6.625%, 08/15/2039 (A)		1,415		1,743
3.200%, 01/25/2023		2,025		1,995
Diageo Capital
2.625%, 04/29/2023		5,085		4,876
General Mills
5.400%, 06/15/2040		815		951
Heineken
2.750%, 04/01/2023 (A)		6,120		5,889
Kellogg
3.125%, 05/17/2022		1,830		1,846
Kraft Foods Group
6.875%, 01/26/2039		865		1,135
5.000%, 06/04/2042		5,645		5,917
Kroger
5.000%, 04/15/2042		2,210		2,273
Lorillard Tobacco
8.125%, 05/01/2040		935		1,197
7.000%, 08/04/2041		1,185		1,373
Massachusetts Institute of Technology
5.600%, 07/01/2111		2,194		2,806
Molson Coors Brewing
5.000%, 05/01/2042		2,786		2,862
Mondelez International
7.000%, 08/11/2037		1,265		1,664
6.875%, 02/01/2038		6,690		8,725
6.500%, 02/09/2040		6,990		8,836
Pepsi Bottling Group
7.000%, 03/01/2029		355		478
PepsiCo
5.500%, 01/15/2040		1,675		1,941
4.000%, 03/05/2042		2,505		2,380
Pernod-Ricard
5.500%, 01/15/2042 (A)		750		810
4.450%, 01/15/2022 (A)		350		373


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

Philip Morris International
6.375%, 05/16/2038	$	350	$	439
4.500%, 03/20/2042		4,935		4,830
4.125%, 03/04/2043		4,905		4,586
3.875%, 08/21/2042		2,505		2,254
President and Fellows of Harvard College
5.625%, 10/01/2038		3,149		3,914
3.619%, 10/01/2037		2,000		1,877
Procter & Gamble
8.000%, 09/01/2024		697		1,017
SABMiller Holdings
4.950%, 01/15/2042 (A)		8,874		9,492
3.750%, 01/15/2022 (A)		415		436
Tufts University
5.017%, 04/15/2112		7,900		8,269
Unilever Capital
5.900%, 11/15/2032		945		1,222
University of Southern California
5.250%, 10/01/2111		1,715		2,058

				138,107


Energy — 8.1%
Anadarko Finance
7.500%, 05/01/2031		1,590		2,096
Anadarko Holding
7.150%, 05/15/2028		2,910		3,505
Anadarko Petroleum
6.450%, 09/15/2036		590		718
Apache
5.250%, 02/01/2042		310		328
4.750%, 04/15/2043		5,165		5,153
4.250%, 01/15/2044		10,990		10,235
BG Energy Capital
5.125%, 10/15/2041 (A)		4,600		5,016
Burlington Resources Finance
7.200%, 08/15/2031		25		34
Canadian Natural Resources
6.500%, 02/15/2037		390		468
6.250%, 03/15/2038		3,850		4,545
5.850%, 02/01/2035		150		167
Cenovus Energy
6.750%, 11/15/2039		2,255		2,872
4.450%, 09/15/2042		1,245		1,191
CNOOC Finance
3.875%, 05/02/2022 (A)		2,550		2,601
3.000%, 05/09/2023		5,640		5,355
Conoco Funding
7.250%, 10/15/2031		875		1,212
6.950%, 04/15/2029		1,710		2,266
ConocoPhillips
6.500%, 02/01/2039		10,220		13,379
5.900%, 05/15/2038		4,613		5,635
Devon Energy
7.950%, 04/15/2032		285		389


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

5.600%, 07/15/2041	$	4,690	$	5,143
4.750%, 05/15/2042		1,810		1,762
El Paso Natural Gas
7.500%, 11/15/2026		3,170		4,194
Encana
6.500%, 02/01/2038		4,625		5,517
Eni
5.700%, 10/01/2040 (A)		3,430		3,456
Enterprise Products Operating
6.650%, 10/15/2034		2,310		2,851
6.125%, 10/15/2039		375		438
5.700%, 02/15/2042		7,727		8,668
4.850%, 03/15/2044		2,000		1,989
4.450%, 02/15/2043		2,910		2,735
Gulf South Pipeline
4.000%, 06/15/2022		2,580		2,665
Halliburton
7.600%, 08/15/2096 (A)		675		980
Hess
7.300%, 08/15/2031		3,397		4,251
6.000%, 01/15/2040		2,409		2,698
5.600%, 02/15/2041		1,960		2,082
Kinder Morgan Energy Partners
6.375%, 03/01/2041		7,475		8,801
3.950%, 09/01/2022		2,560		2,646
LASMO
7.300%, 11/15/2027		1,510		1,992
Marathon Oil
6.600%, 10/01/2037		3,820		4,725
Marathon Petroleum
6.500%, 03/01/2041		6,723		8,084
Motiva Enterprises
6.850%, 01/15/2040 (A)		8,395		11,082
Nexen
7.500%, 07/30/2039		2,680		3,689
7.400%, 05/01/2028		2,320		3,033
6.400%, 05/15/2037		1,875		2,307
Noble Energy
4.150%, 12/15/2021		770		834
Panhandle Eastern Pipeline
8.125%, 06/01/2019		725		903
Petrobras Global Finance
5.625%, 05/20/2043		6,145		5,718
4.375%, 05/20/2023		2,470		2,380
Petrobras International Finance
6.875%, 01/20/2040		5,360		5,759
6.750%, 01/27/2041		1,770		1,875
5.875%, 03/01/2018		600		672
Petro-Canada
7.875%, 06/15/2026		35		48
6.800%, 05/15/2038		1,000		1,254
5.950%, 05/15/2035		760		863
Phillips 66
5.875%, 05/01/2042		5,199		6,046


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

Rosneft Oil via Rosneft International Finance
4.199%, 03/06/2022 (A)	$	2,000	$	1,910
Shell International Finance
6.375%, 12/15/2038		4,118		5,513
5.500%, 03/25/2040		2,575		3,132
Sinopec Capital 2013
3.125%, 04/24/2023 (A)		1,875		1,763
Sinopec Group Overseas Development 2012
3.900%, 05/17/2022 (A)		975		996
Southern Natural Gas
7.350%, 02/15/2031		600		778
Spectra Energy Capital
7.500%, 09/15/2038		623		834
6.750%, 02/15/2032		3,450		4,078
3.300%, 03/15/2023		6,180		6,023
Statoil
6.800%, 01/15/2028		400		538
6.500%, 12/01/2028 (A)		1,050		1,390
5.100%, 08/17/2040		475		527
3.950%, 05/15/2043		4,185		3,923
2.450%, 01/17/2023		2,375		2,266
Suncor Energy
6.850%, 06/01/2039		1,550		1,966
6.500%, 06/15/2038		3,785		4,638
Talisman Energy
5.500%, 05/15/2042		1,355		1,390
Tennessee Gas Pipeline
8.375%, 06/15/2032		4,255		5,976
7.000%, 10/15/2028		3,960		5,147
TransCanada PipeLines
7.625%, 01/15/2039		1,800		2,554
7.250%, 08/15/2038		1,670		2,275
Transcontinental Gas PipeLine
7.250%, 12/01/2026		1,610		2,190
5.400%, 08/15/2041		1,505		1,670
4.450%, 08/01/2042		1,100		1,058
Valero Energy
10.500%, 03/15/2039		6,267		10,068
Weatherford International
5.950%, 04/15/2042		4,235		4,356
Williams
8.750%, 03/15/2032		472		630
7.875%, 09/01/2021		545		685
7.750%, 06/15/2031		1,150		1,414

				268,993


Financials — 15.5%
ACE INA Holdings
6.700%, 05/15/2036		2,677		3,601
Aflac
6.900%, 12/17/2039		2,900		3,718
6.450%, 08/15/2040		2,510		3,089


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

AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (A)	$	4,917	$	6,260
Allstate
6.125%, 12/15/2032		445		566
5.550%, 05/09/2035		75		90
5.200%, 01/15/2042		2,785		3,218
Alta Wind Holdings
7.000%, 06/30/2035 (A)		2,491		2,677
American Express
4.050%, 12/03/2042		8,314		7,575
American International Group
6.250%, 05/01/2036		1,005		1,215
4.875%, 06/01/2022		1,710		1,887
Assurant
6.750%, 02/15/2034		2,634		2,875
Bank of America MTN
7.800%, 09/15/2016		65		76
6.000%, 09/01/2017		355		409
6.000%, 10/15/2036		3,935		4,610
5.875%, 02/07/2042		535		626
5.750%, 12/01/2017		6,300		7,214
5.650%, 05/01/2018		2,360		2,703
5.625%, 07/01/2020		675		780
5.000%, 05/13/2021		500		554
3.300%, 01/11/2023		2,545		2,465
Bear Stearns
7.250%, 02/01/2018		400		489
Berkshire Hathaway
4.500%, 02/11/2043		11,852		11,672
Berkshire Hathaway Finance
4.400%, 05/15/2042		2,600		2,520
Blackstone Holdings Finance
6.250%, 08/15/2042 (A)		6,662		7,549
Camden Property Trust‡
4.625%, 06/15/2021		1,325		1,455
Carlyle Holdings II Finance
5.625%, 03/30/2043 (A)		5,566		5,534
CDP Financial
5.600%, 11/25/2039 (A)		7,560		9,058
Chase Capital III
0.837%, 03/01/2027 (B)		250		213
Chase Capital VI
0.899%, 08/01/2028 (B)		2,435		2,021
Chubb
6.500%, 05/15/2038		4,040		5,385
Citigroup
8.500%, 05/22/2019		75		98
8.125%, 07/15/2039		5,830		8,268
6.875%, 03/05/2038		3,370		4,316
6.875%, 02/15/2098		4,559		5,181
6.625%, 06/15/2032		600		686
6.375%, 08/12/2014		50		53
6.125%, 11/21/2017		100		117
6.010%, 01/15/2015		50		54


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

6.000%, 12/13/2013	$	125	$	129
6.000%, 08/15/2017		50		58
5.875%, 05/29/2037		320		376
5.850%, 12/11/2034		249		286
5.500%, 02/15/2017		3,970		4,412
5.300%, 01/07/2016		2,000		2,195
4.587%, 12/15/2015		39		42
2.650%, 03/02/2015		150		154
0.823%, 08/25/2036 (B)		850		679
Commonwealth Bank of Australia MTN
5.000%, 10/15/2019 (A)		1,750		2,026
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
5.800%, 09/30/2110 (A)		8,380		9,236
Deutsche Bank MTN
4.296%, 05/24/2028 (B)		2,395		2,310
Devon OEI Operating
7.500%, 09/15/2027		1,000		1,363
Discover Bank
8.700%, 11/18/2019		1,014		1,332
Discover Financial Services
3.850%, 11/21/2022		3,261		3,284
Duke Realty ‡
4.375%, 06/15/2022		300		312
3.875%, 10/15/2022		730		730
3.625%, 04/15/2023		600		586
EADS Finance
2.700%, 04/17/2023 (A)		2,500		2,427
Farmers Exchange Capital
7.050%, 07/15/2028 (A)		12,307		15,395
FMR
6.500%, 12/14/2040 (A)		525		640
5.150%, 02/01/2043 (A)		2,750		2,829
Ford Holdings
9.300%, 03/01/2030		2,140		3,024
Gazprom OAO Via Gaz Capital
4.950%, 02/06/2028 (A)		2,675		2,561
General Electric Capital MTN
7.500%, 08/21/2035		385		526
6.875%, 01/10/2039		14,775		18,866
6.750%, 03/15/2032		6,912		8,612
5.875%, 01/14/2038		21,030		23,994
Goldman Sachs Group
6.750%, 10/01/2037		15,330		16,719
6.250%, 02/01/2041		3,048		3,567
6.125%, 02/15/2033		8,060		9,216
5.950%, 01/15/2027		4,611		5,011
5.750%, 01/24/2022		2,330		2,667
Guardian Life Insurance of America
7.375%, 09/30/2039 (A)		1,350		1,806
Hartford Financial Services Group
6.625%, 03/30/2040		2,194		2,769
6.100%, 10/01/2041		3,285		3,888
4.300%, 04/15/2043		1,630		1,537


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

HBOS MTN
6.750%, 05/21/2018 (A)	$	4,050	$	4,545
HBOS Capital Funding
6.071%, 06/30/2049 (A) (B)		100		91
HCP‡
6.750%, 02/01/2041		2,225		2,855
6.300%, 09/15/2016		2,195		2,532
3.750%, 02/01/2019		2,620		2,796
Health Care‡
6.500%, 03/15/2041		1,686		2,025
5.125%, 03/15/2043		8,474		8,447
Healthcare Realty Trust‡
5.750%, 01/15/2021		525		595
Heathrow Funding
4.875%, 07/15/2021 (A)		3,070		3,331
HSBC Bank USA
7.000%, 01/15/2039		2,405		3,127
5.875%, 11/01/2034		320		364
5.625%, 08/15/2035		1,290		1,417
HSBC Holdings
7.625%, 05/17/2032		700		918
6.800%, 06/01/2038		335		418
6.500%, 09/15/2037		4,200		5,044
6.100%, 01/14/2042		825		1,023
5.100%, 04/05/2021		3,531		4,024
HSBC Holdings, Ser 2006
6.500%, 05/02/2036		305		365
ING Bank
1.675%, 06/09/2014 (A) (B)		1,050		1,061
International Lease Finance
7.125%, 09/01/2018 (A)		425		501
JPMorgan Chase
6.400%, 05/15/2038		400		496
6.300%, 04/23/2019		1,775		2,136
5.600%, 07/15/2041		7,260		8,381
5.500%, 10/15/2040		100		114
5.400%, 01/06/2042		920		1,033
4.500%, 01/24/2022		1,230		1,333
3.375%, 05/01/2023		2,830		2,689
0.610%, 06/13/2016 (B)		2,000		1,975
JPMorgan Chase Capital XIII
1.234%, 09/30/2034 (B)		3,900		3,237
KKR Group Finance II
5.500%, 02/01/2043 (A)		7,566		7,252
Liberty Mutual Group
6.500%, 05/01/2042 (A)		4,840		5,659
Macquarie Bank MTN
6.625%, 04/07/2021 (A)		7,090		7,937
Massachusetts Mutual Life Insurance
8.875%, 06/01/2039 (A)		2,705		4,143
5.375%, 12/01/2041 (A)		3,210		3,606
Merrill Lynch
8.950%, 05/18/2017 (B)		1,340		1,524
8.680%, 05/02/2017 (B)		1,305		1,471


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

7.750%, 05/14/2038	$	410	$	513
6.110%, 01/29/2037		3,660		3,926
MetLife
7.800%, 11/01/2025 (A)		3,520		4,711
6.400%, 12/15/2036		2,520		2,848
5.875%, 02/06/2041		1,240		1,487
Metropolitan Life Global Funding I
3.875%, 04/11/2022 (A)		435		460
3.000%, 01/10/2023 (A)		3,965		3,906
Morgan Stanley MTN
6.625%, 04/01/2018		4,365		5,138
6.375%, 07/24/2042		5,524		6,488
5.625%, 09/23/2019		11,775		13,337
4.100%, 05/22/2023		855		819
3.750%, 02/25/2023		1,445		1,433
National Capital Trust II
5.486%, 12/29/2049 (A) (B)		500		509
National Rural Utilities Cooperative Finance MTN
8.000%, 03/01/2032		417		599
Nationwide Mutual Insurance
7.875%, 04/01/2033 (A)		4,016		5,015
New York Life Insurance
6.750%, 11/15/2039 (A)		8,125		10,640
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (A)		4,105		5,029
Principal Financial Group
4.625%, 09/15/2042		1,270		1,291
4.350%, 05/15/2043		1,285		1,255
Prudential Financial MTN
6.625%, 12/01/2037		3,815		4,758
6.200%, 11/15/2040		1,045		1,272
5.700%, 12/14/2036		3,385		3,810
Prudential Holdings
8.695%, 12/18/2023 (A)		3,087		3,952
Prudential Insurance of America
8.300%, 07/01/2025 (A)		4,500		6,024
Royal Bank of Scotland Group
7.648%, 08/31/2049 (B)		1,900		1,995
Security Benefit Life
7.450%, 10/01/2033 (A)		5,755		5,829
Simon Property Group‡
6.750%, 02/01/2040		4,740		6,301
4.750%, 03/15/2042		3,360		3,497
SL Green Realty‡
5.000%, 08/15/2018		1,000		1,091
Sydney Airport Finance
3.900%, 03/22/2023 (A)		4,500		4,529
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (A)		4,660		6,132
Toyota Motor Credit MTN
3.400%, 09/15/2021		1,350		1,409
Ventas Realty‡
4.750%, 06/01/2021		2,500		2,732


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

Wachovia Bank
6.600%, 01/15/2038	$	4,070	$	5,209
6.000%, 11/15/2017		300		353
5.850%, 02/01/2037		4,680		5,515
WEA Finance
7.125%, 04/15/2018 (A)		25		31
6.750%, 09/02/2019 (A)		2,090		2,564
ZFS Finance USA Trust II
6.450%, 12/15/2065 (A) (B)		1,939		2,114

				513,427


Health Care — 4.0%
AbbVie
4.400%, 11/06/2042 (A)		5,725		5,592
Amgen
6.400%, 02/01/2039		3,400		4,138
5.750%, 03/15/2040		900		1,029
5.375%, 05/15/2043		5,690		6,237
5.150%, 11/15/2041		3,700		3,925
4.950%, 10/01/2041		825		846
AstraZeneca
6.450%, 09/15/2037		3,522		4,469
4.000%, 09/18/2042		1,825		1,701
Bristol-Myers Squibb
6.875%, 08/01/2097		1,800		2,482
Cardinal Health
3.200%, 03/15/2023		515		502
Catholic Health Initiatives
4.350%, 11/01/2042		8,136		7,817
Celgene
5.700%, 10/15/2040		5,085		5,741
Coventry Health Care
5.450%, 06/15/2021		500		579
Covidien International Finance
2.950%, 06/15/2023		1,290		1,268
GlaxoSmithKline Capital
6.375%, 05/15/2038		3,405		4,372
Highmark
6.125%, 05/15/2041 (A)		3,205		2,976
Humana
4.625%, 12/01/2042		1,068		1,017
Johnson & Johnson
5.950%, 08/15/2037		795		1,030
5.850%, 07/15/2038		1,725		2,220
Kaiser Foundation Hospitals
4.875%, 04/01/2042		5,250		5,545
McKesson
2.700%, 12/15/2022		2,970		2,889
Mead Johnson Nutrition
5.900%, 11/01/2039		990		1,140
Medtronic
2.750%, 04/01/2023		7,240		7,069
Memorial Sloan-Kettering Cancer Center
5.000%, 07/01/2042		1,845		2,012


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

Merck MTN
6.550%, 09/15/2037	$	815	$	1,097
6.500%, 12/01/2033		395		531
5.850%, 06/30/2039		450		553
5.760%, 05/03/2037		2,236		2,890
4.150%, 05/18/2043		1,840		1,792
3.600%, 09/15/2042		1,780		1,594
North Shore Long Island Jewish Health Care
4.800%, 11/01/2042		4,615		4,526
Novartis Capital
2.400%, 09/21/2022		3,105		2,999
NYU Hospitals Center
4.428%, 07/01/2042		4,230		3,988
Pfizer
7.200%, 03/15/2039		1,290		1,820
4.300%, 06/15/2043		3,620		3,605
Roche Holdings
7.000%, 03/01/2039 (A)		6,290		8,888
St. Barnabas Health Care System
4.000%, 07/01/2028		4,375		4,167
Stryker
4.100%, 04/01/2043		2,220		2,162
Thermo Fisher Scientific
3.150%, 01/15/2023		3,020		2,913
UnitedHealth Group
6.625%, 11/15/2037		1,855		2,357
WellPoint
5.950%, 12/15/2034		776		897
5.850%, 01/15/2036		485		560
4.650%, 01/15/2043		2,510		2,492
4.625%, 05/15/2042		150		149
Wyeth
6.000%, 02/15/2036		2,985		3,689
5.950%, 04/01/2037		936		1,147

				131,412


Industrials — 4.4%
ABB Treasury Center USA
4.000%, 06/15/2021 (A)		2,970		3,176
American Airlines, Pass-Through Trust, Ser 2011-2, Cl A
8.625%, 10/15/2021		13		13
BAE Systems
5.800%, 10/11/2041 (A)		4,995		5,659
Boeing
6.875%, 03/15/2039		531		739
6.625%, 02/15/2038		720		977
5.875%, 02/15/2040		3,385		4,262
Burlington Northern Santa Fe
6.200%, 08/15/2036		5,600		6,829
6.150%, 05/01/2037		1,070		1,306
5.750%, 05/01/2040		1,085		1,266
4.400%, 03/15/2042		4,430		4,342


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

4.375%, 09/01/2042	$	1,550	$	1,508
3.450%, 09/15/2021		10		10
Caterpillar
5.200%, 05/27/2041		1,035		1,170
3.803%, 08/15/2042		5,508		5,034
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		5,184		5,883
Continental Airlines, Pass-Through Trust, Ser 2009-1
9.000%, 07/08/2016		5,417		6,256
Continental Airlines, Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024		2,410		2,494
CSX
4.750%, 05/30/2042		4,360		4,419
Deere
3.900%, 06/09/2042		2,390		2,261
FedEx
3.875%, 08/01/2042		9,167		8,389
General Dynamics
3.600%, 11/15/2042		2,570		2,277
General Electric
4.125%, 10/09/2042		6,505		6,207
Lockheed Martin
4.070%, 12/15/2042		2,723		2,490
4.070%, 12/15/2042 (A)		4,768		4,359
Norfolk Southern
6.000%, 03/15/2105		3,703		4,338
6.000%, 05/23/2111		9,295		10,894
5.590%, 05/17/2025		68		80
Northrop Grumman
4.750%, 06/01/2043		13,490		13,333
Northwest Airlines, Pass-Through Trust, Ser 2001-1, Cl A1
7.041%, 04/01/2022		265		296
Precision Castparts
2.500%, 01/15/2023		1,790		1,729
Republic Services
5.700%, 05/15/2041		2,755		3,128
3.550%, 06/01/2022		740		754
Union Pacific
6.625%, 02/01/2029		1,391		1,797
6.250%, 05/01/2034		50		63
5.780%, 07/15/2040		3,314		3,996
United Parcel Service
3.625%, 10/01/2042		1,085		1,011
United Parcel Service of America
8.375%, 04/01/2020 (C)		325		477
United Technologies
5.700%, 04/15/2040		9,285		11,235
4.500%, 06/01/2042		5,305		5,476
3.100%, 06/01/2022		1,985		2,029


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

US Airways, Pass-Through Trust, Ser 2011-1, Cl A
7.125%, 10/22/2023	$	1,821	$	2,131
Waste Management
4.600%, 03/01/2021		2,662		2,952

				147,045


Information Technology — 1.5%
Apple
3.850%, 05/04/2043		9,756		8,953
Applied Materials
5.850%, 06/15/2041		3,184		3,619
Cisco Systems
5.900%, 02/15/2039		1,350		1,659
Corning
5.750%, 08/15/2040		555		632
eBay
4.000%, 07/15/2042		1,805		1,599
Intel
4.000%, 12/15/2032		5,390		5,203
International Business Machines
4.000%, 06/20/2042		3,133		3,047
Juniper Networks
5.950%, 03/15/2041		4,430		4,769
Microsoft
4.500%, 10/01/2040		1,040		1,095
3.750%, 05/01/2043		1,325		1,236
3.500%, 11/15/2042		8,451		7,530
2.125%, 11/15/2022		1,175		1,113
Motorola Solutions
7.500%, 05/15/2025		760		956
Oracle
6.500%, 04/15/2038		4,990		6,551
5.375%, 07/15/2040		1,470		1,705

				49,667


Materials — 2.2%
ArcelorMittal
7.500%, 10/15/2039		3,905		3,925
7.250%, 03/01/2041		350		341
6.750%, 02/25/2022		400		428
Barrick North America Finance
5.750%, 05/01/2043 (A)		5,195		4,869
Dow Chemical
4.375%, 11/15/2042		5,000		4,671
Freeport-McMoRan Copper
5.450%, 03/15/2043 (A)		10,376		9,971
3.875%, 03/15/2023 (A)		5,315		5,173
Newcrest Finance
5.750%, 11/15/2041 (A)		5,847		5,561
Newmont Mining
4.875%, 03/15/2042		7,713		6,629
Praxair
3.550%, 11/07/2042		2,045		1,840


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

Rio Tinto Finance USA
7.125%, 07/15/2028	$	400	$	523
4.125%, 08/21/2042		1,885		1,715
Rohm & Haas
7.850%, 07/15/2029		2,545		3,425
Southern Copper
7.500%, 07/27/2035		2,824		3,191
Teck Resources
6.000%, 08/15/2040		180		183
5.400%, 02/01/2043		3,810		3,588
5.200%, 03/01/2042		1,550		1,416
Vale
5.625%, 09/11/2042		3,975		3,706
Vale Overseas
6.875%, 11/21/2036		2,545		2,731
Xstrata Finance Canada
6.000%, 11/15/2041 (A)		5,706		5,789
5.300%, 10/25/2042 (A)		3,100		3,044

				72,719


Telecommunication Services — 3.3%
Alltel
7.875%, 07/01/2032		1,145		1,619
6.800%, 05/01/2029		480		602
America Movil
6.375%, 03/01/2035		525		604
4.375%, 07/16/2042		2,950		2,617
3.125%, 07/16/2022		1,225		1,169
AT&T
6.550%, 02/15/2039		3,175		3,907
6.500%, 09/01/2037		3,995		4,867
6.300%, 01/15/2038		2,255		2,687
5.550%, 08/15/2041		8,065		8,908
5.350%, 09/01/2040		9,119		9,754
4.350%, 06/15/2045 (A)		3,168		2,939
4.300%, 12/15/2042 (A)		2,846		2,659
British Telecommunications
9.625%, 12/15/2030		2,070		3,207
CenturyLink
7.650%, 03/15/2042		4,035		4,015
5.800%, 03/15/2022		350		358
Deutsche Telekom International Finance
9.250%, 06/01/2032		725		1,113
8.750%, 06/15/2030		2,590		3,739
4.875%, 03/06/2042 (A)		2,980		3,022
GTE
6.940%, 04/15/2028		1,320		1,673
Koninklijke KPN
8.375%, 10/01/2030		1,920		2,482
Telecom Italia Capital
7.721%, 06/04/2038		1,370		1,482
7.200%, 07/18/2036		550		569
6.000%, 09/30/2034		925		888


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

Telefonica Emisiones SAU
7.045%, 06/20/2036	$	3,285	$	3,758
4.570%, 04/27/2023		2,625		2,617
Verizon Communications
7.750%, 12/01/2030		650		876
7.350%, 04/01/2039		2,890		3,882
6.400%, 02/15/2038		7,368		8,917
6.250%, 04/01/2037		760		900
6.000%, 04/01/2041		495		575
4.750%, 11/01/2041		5,075		4,994
3.850%, 11/01/2042		5,980		5,154
Vodafone Group
4.375%, 02/19/2043		16,005		15,068

				111,621


Utilities — 8.2%
AGL Capital
5.875%, 03/15/2041		2,593		3,093
Arizona Public Services
8.000%, 12/30/2015		81		86
Baltimore Gas & Electric
5.200%, 06/15/2033		2,735		2,988
Boston Gas
4.487%, 02/15/2042 (A)		2,147		2,197
Bruce Mansfield Unit
6.850%, 06/01/2034		1,702		1,849
CenterPoint Energy Resources
6.250%, 02/01/2037		2,666		3,224
Cleco Power
6.000%, 12/01/2040		3,625		4,137
Consolidated Edison of New York
6.750%, 04/01/2038		1,725		2,352
6.300%, 08/15/2037		1,440		1,859
Coso Geothermal Power Holdings
7.000%, 07/15/2026 (A)		1,954		1,211
Dominion Resources
5.250%, 08/01/2033		6,405		7,179
4.900%, 08/01/2041		6,923		7,427
DTE Electric
4.000%, 04/01/2043		5,024		4,901
Duke Energy Carolinas
6.100%, 06/01/2037		3,090		3,793
5.300%, 02/15/2040		7,085		8,112
4.000%, 09/30/2042		2,050		1,943
3.050%, 08/15/2022		1,420		1,410
Duke Energy Indiana
6.350%, 08/15/2038		1,390		1,782
Duquesne Light Holdings
6.250%, 08/15/2035		3,125		3,534
5.900%, 12/01/2021 (A)		750		881
Elm Road Generating Station Supercritical
5.848%, 01/19/2041 (A)		2,007		2,308


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

Entergy Louisiana
6.300%, 09/01/2035	$	300	$	300
4.440%, 01/15/2026		3,120		3,430
Entergy Texas
7.125%, 02/01/2019		1,435		1,746
Exelon Generation
6.250%, 10/01/2039		200		229
5.750%, 10/01/2041		6,231		6,722
5.600%, 06/15/2042		9,975		10,548
FirstEnergy, Ser C
7.375%, 11/15/2031		5,705		6,439
Florida Power
6.400%, 06/15/2038		500		642
6.350%, 09/15/2037		4,110		5,302
Florida Power & Light
5.960%, 04/01/2039		2,925		3,713
5.690%, 03/01/2040		5,000		6,214
5.400%, 09/01/2035		3,200		3,780
Georgia Power
5.950%, 02/01/2039		3,850		4,678
5.400%, 06/01/2040		7,610		8,617
4.300%, 03/15/2042		1,855		1,821
4.300%, 03/15/2043		3,350		3,260
Iberdrola Finance Ireland
5.000%, 09/11/2019 (A)		2,200		2,384
Indianapolis Power & Light
6.050%, 10/01/2036 (A)		1,291		1,548
4.875%, 11/01/2041 (A)		2,130		2,332
John Sevier Combined Cycle Generation
4.626%, 01/15/2042		93		101
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,600		3,168
Kentucky Utilities
5.125%, 11/01/2040		1,965		2,279
KeySpan Gas East
5.819%, 04/01/2041 (A)		5,985		7,291
Metropolitan Edison
7.700%, 01/15/2019		350		441
MidAmerican Energy MTN
6.750%, 12/30/2031		730		960
5.800%, 10/15/2036		820		998
MidAmerican Energy Holdings
6.500%, 09/15/2037		3,860		4,896
6.125%, 04/01/2036		1,893		2,279
MidAmerican Funding
6.927%, 03/01/2029		170		217
Nevada Power
5.450%, 05/15/2041		550		648
NextEra Energy Capital Holdings
6.000%, 03/01/2019		2,470		2,917
4.500%, 06/01/2021		4,005		4,411
Niagara Mohawk Power
4.119%, 11/28/2042 (A)		2,000		1,897
2.721%, 11/28/2022 (A)		700		682


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

Nisource Finance
5.950%, 06/15/2041	$	545	$	618
5.250%, 02/15/2043		1,670		1,733
4.800%, 02/15/2044		1,655		1,612
Northeast Utilities
2.800%, 05/01/2023		2,120		2,048
Northern States Power
5.350%, 11/01/2039		2,695		3,214
3.400%, 08/15/2042		1,015		896
Oncor Electric Delivery
7.500%, 09/01/2038		600		836
5.300%, 06/01/2042		13,600		15,319
5.250%, 09/30/2040		2,165		2,439
4.550%, 12/01/2041		1,830		1,846
4.100%, 06/01/2022		2,310		2,488
Pacific Gas & Electric
6.350%, 02/15/2038		1,000		1,283
6.250%, 03/01/2039		2,570		3,231
6.050%, 03/01/2034		3,675		4,567
5.800%, 03/01/2037		2,226		2,658
4.500%, 12/15/2041		1,660		1,688
PacifiCorp
6.000%, 01/15/2039		1,100		1,386
Pennsylvania Electric
6.150%, 10/01/2038		6,420		7,500
Petroleos Mexicanos
5.500%, 06/27/2044		4,215		4,131
5.500%, 06/27/2044 (A)		3,000		2,940
Public Service Electric & Gas MTN
3.650%, 09/01/2042		2,750		2,543
Public Service of Colorado
6.500%, 08/01/2038		725		976
6.250%, 09/01/2037		1,580		2,071
4.750%, 08/15/2041		2,400		2,640
Puget Sound Energy
5.795%, 03/15/2040		440		544
San Diego Gas & Electric
4.300%, 04/01/2042		1,375		1,437
Sempra Energy
6.000%, 10/15/2039		3,565		4,308
South Carolina Electric & Gas
6.050%, 01/15/2038		400		497
Southern California Edison
6.050%, 03/15/2039		4,355		5,548
Southern California Gas
3.750%, 09/15/2042		1,325		1,258
Southern Natural Gas
8.000%, 03/01/2032		655		923
Southern Union
8.250%, 11/15/2029		1,825		2,323
Southwestern Electric Power
6.200%, 03/15/2040		5,095		6,213
Texas-New Mexico Power
6.950%, 04/01/2043 (A)		2,082		2,746


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

Union Electric
8.450%, 03/15/2039	$	2,405	$	3,901
Xcel Energy
4.800%, 09/15/2041		1		1

				273,518

Total Corporate Obligations (Cost $1,799,691) ($ Thousands)				1,922,224


MUNICIPAL BONDS — 5.6%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/2049		2,740		3,648
City of Gainesville, Build America Project, RB
6.024%, 10/01/2040		3,650		4,513
City of Houston, Ser A, GO
6.290%, 03/01/2032		3,935		4,892
City of Houston, Utility System Revenue, Ser A, RB, ASSURED GTY Callable 05/15/19 @ 100
5.250%, 11/15/2033		320		361
City of New York, Build America Project, GO Callable 12/01/20 @ 100
6.646%, 12/01/2031		2,200		2,658
5.817%, 10/01/2031		2,950		3,414
City of Sacramento, RB
6.156%, 05/15/2036		100		122
City of San Francisco, Public Utilities Commission Water Revenue, Ser DE, RB
6.000%, 11/01/2040		3,705		4,520
Commonwealth of Massachusetts, Build America Project, RB
5.731%, 06/01/2040		1,160		1,473
Dallas, Convention Center Hotel Development, RB
7.088%, 01/01/2042		600		753
Dallas, Independent School District, Build America Project, GO, PSF-GTD Callable 02/15/21 @ 100
6.450%, 02/15/2035		3,415		4,137
Florida State, Department of Transportation, RB Callable 07/01/19 @ 100
6.800%, 07/01/2039		580		678
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB
6.116%, 01/15/2040		4,860		6,231
Las Vegas, Valley Water District, GO
7.013%, 06/01/2039		390		455


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

Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049	$	390	$	545
Los Angeles, Community College District, Ser D, GO
6.680%, 08/01/2036		2,965		4,026
Los Angeles, Department of Water & Power, Build America Project, RB
6.008%, 07/01/2039		5,000		6,253
Los Angeles, Unified School District, Build America Project, GO
6.758%, 07/01/2034		3,080		4,106
Maryland State, Transportation Authority, RB
5.888%, 07/01/2043		320		402
Metropolitan New York, Transportation Authority, Build America Project, RB
6.814%, 11/15/2040		710		926
Michigan State University, RB Callable 02/15/30 @ 100
6.173%, 02/15/2050		1,300		1,562
Missouri, Joint Municipal Electric Utility Commission, RB
6.890%, 01/01/2042		600		745
New Jersey, State Turnpike Authority, Build America Project, RB
7.102%, 01/01/2041		1,820		2,548
New York City, Municipal Water Finance Authority, Build America Project, RB
5.724%, 06/15/2042		1,320		1,627
5.440%, 06/15/2043		3,260		3,868
New York City, Municipal Water Finance Authority, Build America Project, RB Callable 06/15/20 @ 100
6.491%, 06/15/2042		6,630		7,927
New York City, Municipal Water Finance Authority, RB Callable 12/15/20 @ 100
5.375%, 06/15/2043		600		685
New York City, Municipal Water Finance Authority, Ser GG, RB Callable 06/15/21 @ 100
5.000%, 06/15/2043		710		774
New York City, Transitional Finance Authority, Build America Project, RB
5.572%, 11/01/2038		2,195		2,675
New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB
5.508%, 08/01/2037		580		707
New York, State Dormitory Authority, Build America Project, RB
5.500%, 03/15/2030		3,295		4,027


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

North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/2049	$	7,207	$	9,663
Ohio State University, Build America Project, RB
4.910%, 06/01/2040		2,785		3,081
Ohio State University, Build America Project, Ser A, RB
4.800%, 06/01/2111		115		119
Port Authority of New York & New Jersey, Build America Project, RB
4.926%, 10/01/2051		725		790
Port Authority of New York & New Jersey, RB
4.458%, 10/01/2062		4,370		4,264
San Diego County, Water Authority, Build America Project, RB
6.138%, 05/01/2049		6,060		7,799
Santa Clara Valley, Transportation Authority, Build America Project, RB
5.876%, 04/01/2032		2,580		3,063
State of California, Build America Project, GO
7.625%, 03/01/2040		2,600		3,731
7.600%, 11/01/2040		580		842
7.550%, 04/01/2039		5,355		7,659
7.500%, 04/01/2034		2,705		3,755
7.300%, 10/01/2039		3,700		5,087
State of California, GO
7.350%, 11/01/2039		4,010		5,546
State of Illinois, Build America Project, GO
7.350%, 07/01/2035		745		905
6.630%, 02/01/2035		3,475		3,959
State of Illinois, Build America Project, GO
6.725%, 04/01/2035		380		437
State of Illinois, GO
5.100%, 06/01/2033		10,690		10,726
State of New York, Build America Project, RB
5.770%, 03/15/2039		5,445		6,583
State of Texas, Build America Project, GO
5.517%, 04/01/2039		450		551
State of Texas, Transportation Communication Authority, Build America Project, Ser B, RB
5.178%, 04/01/2030		5,105		6,078
State of Washington, Build America Project, Ser D, GO
5.481%, 08/01/2039		1,640		1,975


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

Triborough Bridge & Tunnel Authority, Build America Project, RB
5.450%, 11/15/2032	$	3,300	$	3,870
University of California, Build America Project, Ser AD, RB
4.858%, 05/15/2112		12,885		12,685
University of Texas, Permanent University Fund, Build America Project, RB
5.262%, 07/01/2039		1,505		1,787

Total Municipal Bonds (Cost $162,244) ($ Thousands)				186,213


U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.4%
FFCB
5.750%, 05/11/2026		6,525		8,445
FHLB
5.625%, 06/11/2021		960		1,210
FHLMC
6.750%, 03/15/2031		1,080		1,579
3.452%, 12/17/2029 (D)		8,300		4,542
FICO STRIPS, PO
2.024%, 04/05/2019 (D)		1,500		1,348
1.593%, 09/26/2019 (D)		12,145		10,805
0.000%, 12/27/2018 to 09/26/2019		4,430		4,074
Residual Funding Corp. STRIPS
3.386%, 04/15/2030 (D)		14,210		7,926
1.746%, 07/15/2020 (D)		1,706		1,493
Tennessee Valley Authority
7.125%, 05/01/2030		11,165		16,170
5.880%, 04/01/2036		13,625		17,740
5.500%, 06/15/2038		465		581
5.375%, 04/01/2056		12,593		15,480
5.250%, 09/15/2039		6,530		7,917
4.875%, 01/15/2048		635		714
4.625%, 09/15/2060		7,645		8,090
3.500%, 12/15/2042		5,480		5,022
Tennessee Valley Authority STRIPS, PO
0.000%, 01/15/2038		3,700		1,336

Total U.S. Government Agency Obligations (Cost $115,061) ($ Thousands)				114,472


MORTGAGE-BACKED SECURITIES — 1.6%

Agency Mortgage-Backed Obligations — 1.0%
FHLMC CMO, Ser 2004-2733, Cl ME
5.000%, 01/15/2034		366		403
FHLMC CMO, Ser 2004-2748, Cl ZT
5.500%, 02/15/2024		626		691
FHLMC CMO, Ser 2010-3756, Cl PZ
4.000%, 11/15/2040		5,507		5,770
FHLMC CMO, Ser 2013-4150, Cl JZ
3.000%, 01/15/2043		2,835		2,525


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

FNMA
3.841%, 09/01/2020	$	3,847	$	4,242
3.762%, 12/01/2020		3,908		4,306
3.665%, 10/01/2020		3,912		4,270
3.583%, 09/01/2020		2,008		2,182
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/2034		835		1,001
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/2034		475		489
FNMA CMO, Ser 2007-68, Cl SC, IO
6.507%, 07/25/2037 (B)		169		27
GNMA ARM
1.750%, 06/20/2032 (B)		127		133
GNMA CMO, Ser 2004-93, Cl PC
5.000%, 04/16/2034		210		223
GNMA CMO, Ser 2009-8, Cl PS
6.102%, 08/16/2038 (B)		302		42
GNMA CMO, Ser 2010-4, Cl NS, IO
6.192%, 01/16/2040 (B)		317		51
GNMA CMO, Ser 2011-70, Cl BO, PO
0.000%, 05/20/2041 (D)		10,425		7,347

				33,702


Non-Agency Mortgage-Backed Obligations — 0.6%
Bayview Commercial Asset Trust, Ser 2004-2, Cl A
0.623%, 08/25/2034 (A) (B)		2,022		1,880
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1
0.433%, 07/25/2037 (A) (B)		1,639		1,308
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.276%, 08/25/2035 (B)		24		16
Countrywide Home Loans, Ser 2005-2, Cl 1A1
0.513%, 03/25/2035 (B)		164		121
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.408%, 03/19/2045 (B)		233		210
GS Mortgage Securities II, Ser 2011-GC5, Cl A4
3.707%, 08/10/2044		4,540		4,824
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A
0.598%, 11/19/2034 (B)		295		249
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A
0.508%, 08/19/2045 (B)		428		385
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
0.973%, 12/25/2034 (B)		146		118
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
0.993%, 08/25/2034 (B)		81		69


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

Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1
2.852%, 10/25/2034 (B)	$	119	$	118
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.053%, 09/25/2034 (B)		34		31
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A
0.503%, 10/25/2036 (B)		18		14
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 3A3
2.414%, 06/25/2035 (B)		12		12
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/2049		4,410		4,789
RAMP Trust, Ser 2004-SL1, Cl A7
7.000%, 11/25/2031		44		47
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/2031		65		66
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.695%, 12/25/2034 (B)		89		90
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21
0.523%, 01/25/2045 (B)		208		195
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006- AR8, Cl 1A3
2.678%, 04/25/2036 (B)		254		255
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4
3.667%, 11/15/2044		3,590		3,793

				18,590

Total Mortgage-Backed Securities (Cost $46,889) ($ Thousands)				52,292


SOVEREIGN DEBT — 0.6%
Banco Nacional de Desenvolvimento Economico e Social
5.500%, 07/12/2020 (A)		1,300		1,443
Federal Republic of Brazil
5.625%, 01/07/2041		4,800		5,340
International Bank for Reconstruction & Development MTN
3.482%, 10/31/2030 (D)		5,850		2,916
Israel Government AID Bond
5.500%, 09/18/2033		1,400		1,766
2.856%, 08/15/2026 (D)		2,585		1,639
2.580%, 05/15/2024 (D)		1,545		1,106
Province of Quebec Canada MTN
6.350%, 01/30/2026		2,880		3,779


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

United Mexican States MTN
6.050%, 01/11/2040	$	390	$	462
5.950%, 03/19/2019		1,300		1,540
5.750%, 10/12/2110		554		575

Total Sovereign Debt (Cost $21,082) ($ Thousands)				20,566


ASSET-BACKED SECURITIES — 0.6%

Mortgage Related Securities — 0.1%
Bear Stearns Asset-Backed Securities Trust, Ser 2006-HE1, Cl 1A2
0.413%, 12/25/2035 (B)		17		17
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5
6.046%, 03/25/2037		180		169
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B
0.353%, 09/25/2036 (B)		3,734		2,041
Home Equity Asset Trust, Ser 2007-2, Cl 2A1
0.303%, 07/25/2037 (B)		3		3
Oakwood Mortgage Investors, Ser 1998-B, Cl A4
6.350%, 03/15/2017		14		14

				2,244


Other Asset-Backed Securities — 0.5%
Beacon Container Finance, Ser 2012-1A, Cl A
3.720%, 09/20/2027 (A)		2,105		2,149
CAL Funding II, Ser 2012-1A, Cl A
3.470%, 10/25/2027 (A)		3,060		3,110
Conseco Financial, Ser 1998-2, Cl A5
6.240%, 12/01/2028 (B)		95		98
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/2031		21		21
Cronos Containers Program, Ser 2012-1A, Cl A
4.210%, 05/18/2027 (A)		2,138		2,167
Cronos Containers Program, Ser 2012-2A, Cl A
3.810%, 09/18/2027 (A)		933		952
TAL Advantage, Ser 2010-2A, Cl A
4.300%, 10/20/2025 (A)		1,743		1,759
TAL Advantage, Ser 2011-1A, Cl A
4.600%, 01/20/2026 (A)		422		429
Trip Rail Master Funding, Ser 2011-1A, Cl A1A
4.370%, 07/15/2041 (A)		2,107		2,260
Triton Container Finance, Ser 2007-1A, Cl NOTE
0.330%, 02/26/2019 (A) (B)		766		759


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

Triton Container Finance, Ser 2012-1A, Cl A
4.210%, 05/14/2027 (A)	$	2,880	$	2,918

				16,622

Total Asset-Backed Securities (Cost $18,474) ($ Thousands)				18,866


U.S. TREASURY OBLIGATIONS — 28.5%
U.S. Treasury Bills (D) (E)
0.080%, 08/22/2013		1,840		1,840
U.S. Treasury Bonds
6.250%, 05/15/2030		17,130		25,077
6.125%, 08/15/2029		51,627		74,230
5.500%, 08/15/2028		2,580		3,470
5.375%, 02/15/2031		83,674		112,685
5.250%, 11/15/2028		2,650		3,483
5.250%, 02/15/2029		13,035		17,149
4.500%, 05/15/2038		7,000		8,642
4.375%, 02/15/2038		7,350		8,905
4.250%, 05/15/2039		5,400		6,426
4.250%, 11/15/2040		8,820		10,494
3.875%, 08/15/2040		29,835		33,387
3.750%, 08/15/2041		4,430		4,846
3.500%, 02/15/2039		8,000		8,420
3.125%, 11/15/2041		123,105		119,681
3.125%, 02/15/2042		39,385		38,259
3.125%, 02/15/2043		64,775		62,710
3.000%, 05/15/2042		10,770		10,190
2.750%, 08/15/2042		224,780		201,459
2.750%, 11/15/2042		129,815		116,205
U.S. Treasury Inflation-Protected Securities
2.125%, 02/15/2041		8,923		11,618
1.250%, 04/15/2014		2,293		2,328
U.S. Treasury Notes
2.125%, 08/15/2021		9,803		10,022
1.750%, 05/15/2022		14,600		14,308
1.750%, 05/15/2023		23,975		23,098
0.250%, 03/31/2015		1,115		1,114
U.S. Treasury STRIPS
3.181%, 05/15/2039		500		205
2.714%, 05/15/2030		18,900		11,147
2.611%, 11/15/2027 (D)		8,300		5,424

Total U.S. Treasury Obligations (Cost $971,428) ($ Thousands)				946,822


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%*†		66,885,364		66,885

Total Cash Equivalent (Cost $66,885) ($ Thousands)				66,885

Total Investments — 100.2% (Cost $3,201,754) ($ Thousands)			$	3,328,340

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(750	)		Jun-2013	$	1,173
U.S. 2-Year Treasury Note		(702	)		Jun-2013		81
U.S. 5-Year Treasury Note		(272	)		Jun-2013		163
U.S. 5-Year Treasury Note		(1,097	)		Oct-2013		129
U.S. Long Treasury Bond		311			Sep-2013		(584	)
U.S. Ultra Long Treasury Bond		612			Dec-2013		(1,445	)

						$	(483	)

A list of the open swap agreements held by the Fund at May 31, 2013, is as follows:

For the year ended May 31, 2013, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $3,322,291 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

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 May 31, 2013. The date reported on the Schedule of Investments is the final maturity date.

(C)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2013. The coupon on a step bond changes on a specified date.

(D)

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

(E)

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

AID

— Agency for International Development

ARM

— Adjustable Rate Mortgage

— Class

CMO

— Collateralized Mortgage Obligation

FFCB

— Federal Farm Credit Bank

FHLB

— Federal Home Loan Bank

FHLMC

— Federal Home Loan Mortgage Corporation

FICO

— Financing Corporation

FNMA

— Federal National Mortgage Association

GNMA

— Government National Mortgage Association

— General Obligation

— Interest Only

MTN

— Medium Term Note

PLC

— Public Limited Company

— Principal Only

PSF-GTD

— Public Schools Fund Guarantee

— Revenue Bond

Ser

— Series

STRIPS

— Separately Traded Registered Interest and Principal Securities

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,922,224	$	—	$	1,922,224
Municipal Bonds		—		186,213		—		186,213
U.S. Government Agency Obligations		—		114,472		—		114,472
Mortgage-Backed Securities		—		52,292		—		52,292
Sovereign Debt		—		20,566		—		20,566
Asset-Backed Securities		—		18,866		—		18,866
U.S. Treasury Obligations		—		946,822		—		946,822
Cash Equivalent		66,885		—		—		66,885

Total Investments in Securities	$	66,885	$	3,261,455	$	—	$	3,328,340


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(483	)	$	—		$	—	$	(483	)
Credit Default Swaps*		—			(289	)		—		(289	)
Interest Rate Swaps*		—			676			—		676

Total Other Financial Instruments	$	(483	)	$	387		$	—	$	(96	)

Futures contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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

LOGO


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


CORPORATE OBLIGATIONS — 94.4%††

Consumer Discretionary — 11.1%
AutoZone
3.125%, 07/15/2023	$	1,165	$	1,122
Comcast
7.050%, 03/15/2033		950		1,258
6.950%, 08/15/2037		1,915		2,547
6.550%, 07/01/2039		2,495		3,210
6.450%, 03/15/2037		5,595		7,040
6.400%, 05/15/2038		7,125		8,986
4.650%, 07/15/2042		2,980		3,045
4.250%, 01/15/2033		3,280		3,274
Comcast Cable Communications Holdings
9.455%, 11/15/2022		1,380		2,049
COX Communications
8.375%, 03/01/2039 (A)		400		581
6.950%, 06/01/2038 (A)		700		885
5.450%, 12/15/2014		8		9
4.700%, 12/15/2042 (A)		3,800		3,668
4.500%, 06/30/2043 (A)		500		471
3.250%, 12/15/2022 (A)		2,531		2,488
CVS Caremark
6.250%, 06/01/2027		2,340		2,903
6.125%, 09/15/2039		3,690		4,547
5.750%, 05/15/2041		3,310		3,897
CVS Pass-Through Trust
8.353%, 07/10/2031 (A)		4,452		5,910
DIRECTV Holdings
6.375%, 03/01/2041		1,865		2,080
6.350%, 03/15/2040		2,590		2,875
5.150%, 03/15/2042		8,600		8,355
Discovery Communications
6.350%, 06/01/2040		1,265		1,507
4.950%, 05/15/2042		700		704
4.875%, 04/01/2043		1,290		1,286
Ford Motor
7.450%, 07/16/2031		2,030		2,558


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

7.400%, 11/01/2046	$	2,470	$	3,096
4.750%, 01/15/2043		1,770		1,647
Home Depot
5.950%, 04/01/2041		2,250		2,800
Lowe’s MTN
7.110%, 05/15/2037		1,892		2,489
5.800%, 10/15/2036		1,060		1,244
5.125%, 11/15/2041		2,680		2,922
Macy’s Retail Holdings
7.450%, 07/15/2017		40		49
McDonald’s MTN
6.300%, 03/01/2038		2,500		3,325
4.875%, 07/15/2040		690		769
3.700%, 02/15/2042		785		723
NBC Universal Media
5.950%, 04/01/2041		4,350		5,240
4.450%, 01/15/2043		1,000		993
4.375%, 04/01/2021		65		72
News America
8.150%, 10/17/2036		1,251		1,667
7.430%, 10/01/2026		1,450		1,804
7.125%, 04/08/2028		400		483
6.900%, 08/15/2039		1,500		1,869
6.750%, 01/09/2038		3,825		4,463
6.650%, 11/15/2037		6,220		7,534
6.400%, 12/15/2035		2,000		2,363
6.150%, 02/15/2041		4,865		5,679
SES
5.300%, 04/04/2043 (A)		950		971
Target
7.000%, 01/15/2038		1,392		1,903
6.650%, 08/01/2028		345		437
TCI Communications
7.875%, 02/15/2026		950		1,293
Thomson Reuters
4.500%, 05/23/2043		1,300		1,220
Time Warner
7.700%, 05/01/2032		3,600		4,880
7.625%, 04/15/2031		4,450		6,022
6.250%, 03/29/2041		3,256		3,812
5.375%, 10/15/2041		13,475		14,312
4.900%, 06/15/2042		900		904
Time Warner Cable
8.250%, 02/14/2014		75		79
7.300%, 07/01/2038		100		124
6.550%, 05/01/2037		30		34
5.875%, 11/15/2040		9,760		10,370
5.500%, 09/01/2041		7,610		7,726
4.500%, 09/15/2042		4,475		3,992
Time Warner Entertainment
8.375%, 07/15/2033		4,245		5,760
Viacom
4.875%, 06/15/2043		710		701
4.375%, 03/15/2043 (A)		6,041		5,456


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

Wal-Mart Stores
7.550%, 02/15/2030	$	1,070	$	1,511
5.625%, 04/01/2040		4,500		5,416
5.625%, 04/15/2041		5,705		6,879
5.250%, 09/01/2035		800		911
5.000%, 10/25/2040		13,350		14,698
4.000%, 04/11/2043		400		381
Walt Disney MTN
4.125%, 12/01/2041		100		99
2.350%, 12/01/2022		1,970		1,885

Yum! Brands
6.875%, 11/15/2037		1,440		1,808

				232,070


Consumer Staples — 6.1%
Ahold Finance USA
6.875%, 05/01/2029		675		849
Altria Group
10.200%, 02/06/2039		1,500		2,388
9.950%, 11/10/2038		910		1,427
4.250%, 08/09/2042		65		57
Anheuser-Busch
6.450%, 09/01/2037		2,300		2,996
Anheuser-Busch InBev Finance
4.000%, 01/17/2043		1,200		1,135
Anheuser-Busch InBev Worldwide
8.200%, 01/15/2039		770		1,193
8.000%, 11/15/2039		610		933
6.375%, 01/15/2040		210		273
3.750%, 07/15/2042		9,450		8,585
Bestfoods
7.250%, 12/15/2026		170		239
Bowdoin College
4.693%, 07/01/2112		5,275		4,724
Campbell Soup
3.800%, 08/02/2042		1,735		1,515
Cargill
4.100%, 11/01/2042 (A)		1,750		1,657
ConAgra Foods
6.625%, 08/15/2039 (A)		2,500		3,079
4.650%, 01/25/2043		3,691		3,613
Diageo Capital
5.875%, 09/30/2036		485		590
3.875%, 04/29/2043		5,180		4,759
Diageo Investment
4.250%, 05/11/2042		1,130		1,113
Energizer Holdings
4.700%, 05/19/2021		670		706
General Mills
5.400%, 06/15/2040		505		589
4.150%, 02/15/2043		1,855		1,813
Heineken
4.000%, 10/01/2042 (A)		3,150		2,874
2.750%, 04/01/2023 (A)		1,000		962


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

Johns Hopkins University
4.083%, 07/01/2053	$	2,000	$	1,963
Kellogg
3.125%, 05/17/2022		2,335		2,356
Kimberly-Clark
5.300%, 03/01/2041		555		665
Kraft Foods Group
5.000%, 06/04/2042		5,835		6,116
Kroger
5.000%, 04/15/2042		1,365		1,404
Lorillard Tobacco
8.125%, 05/01/2040		1,130		1,446
7.000%, 08/04/2041		1,440		1,668
Molson Coors Brewing
5.000%, 05/01/2042		3,010		3,092

Mondelez International
7.000%, 08/11/2037		1,105		1,454
6.875%, 02/01/2038		5,170		6,743
6.875%, 01/26/2039		1,455		1,907
6.500%, 02/09/2040		8,115		10,258
Pepsi Bottling Group
7.000%, 03/01/2029		370		498
PepsiCo
5.500%, 01/15/2040		2,275		2,636
4.875%, 11/01/2040		1,300		1,388
4.000%, 03/05/2042		6,245		5,933
3.000%, 08/25/2021		16		17
2.750%, 03/05/2022		415		412
Pernod-Ricard
5.500%, 01/15/2042 (A)		1,750		1,890
Philip Morris International
6.375%, 05/16/2038		420		527
4.500%, 03/20/2042		7,165		7,013
4.125%, 03/04/2043		5,995		5,606
3.875%, 08/21/2042		1,690		1,521
President and Fellows of Harvard College
5.625%, 10/01/2038		1,390		1,728
SABMiller
5.700%, 01/15/2014 (A)		15		16
SABMiller Holdings
4.950%, 01/15/2042 (A)		5,915		6,327
Tufts University
5.017%, 04/15/2112		2,314		2,422
Unilever Capital
5.900%, 11/15/2032		1,295		1,674
Wal-Mart Stores
6.500%, 08/15/2037		855		1,125

				127,874


Energy — 12.7%
Anadarko Finance
7.500%, 05/01/2031		4,480		5,906


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

Anadarko Petroleum
6.450%, 09/15/2036	$	2,000	$	2,436
Apache
6.900%, 09/15/2018		10		12
5.100%, 09/01/2040		3,525		3,682
4.750%, 04/15/2043		2,290		2,285
4.250%, 01/15/2044		6,505		6,058
BG Energy Capital
5.125%, 10/15/2041(A)		5,540		6,041
BP Capital Markets
2.750%, 05/10/2023		1,175		1,120
Canadian Natural Resources
6.750%, 02/01/2039		2,660		3,313
6.250%, 03/15/2038		1,500		1,771
Cenovus Energy
6.750%, 11/15/2039		1,395		1,777
4.450%, 09/15/2042		770		737
CNOOC Finance
3.875%, 05/02/2022 (A)		2,500		2,550
3.000%, 05/09/2023		3,695		3,508
Conoco Funding
7.250%, 10/15/2031		940		1,302
6.950%, 04/15/2029		1,950		2,584
ConocoPhillips
6.500%, 02/01/2039		10,250		13,418
5.900%, 05/15/2038		2,400		2,932
ConocoPhillips Canada Funding I
5.950%, 10/15/2036		1,040		1,270
Devon Energy
7.950%, 04/15/2032		755		1,031
6.300%, 01/15/2019		50		59
5.600%, 07/15/2041		2,620		2,873
4.750%, 05/15/2042		1,940		1,888
Devon Financing
7.875%, 09/30/2031		145		195
Diamond Offshore Drilling
5.700%, 10/15/2039		4,000		4,904
El Paso Natural Gas
8.375%, 06/15/2032		1,400		1,966
7.500%, 11/15/2026		765		1,012
Encana
6.625%, 08/15/2037		705		840
5.150%, 11/15/2041		2,450		2,445
Energy Transfer Partners
5.150%, 02/01/2043		3,905		3,770
Eni
5.700%, 10/01/2040 (A)		2,120		2,136
Enterprise Products Operating
6.650%, 10/15/2034		2,930		3,616
5.950%, 02/01/2041		85		97
5.700%, 02/15/2042		7,200		8,077
4.850%, 08/15/2042		1,950		1,943
4.850%, 03/15/2044		700		696
4.450%, 02/15/2043		1,100		1,034
Gulf South Pipeline
4.000%, 06/15/2022		4,300		4,442


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

Halliburton
7.600%, 08/15/2096 (A)	$	805	$	1,168
Hess
7.875%, 10/01/2029		3,500		4,574
5.600%, 02/15/2041		1,490		1,583
Husky Energy
6.800%, 09/15/2037		1,655		2,108
Kinder Morgan Energy Partners MTN
6.950%, 01/15/2038		1,700		2,098
6.375%, 03/01/2041		4,200		4,945
5.625%, 09/01/2041		1,425		1,533
5.000%, 08/15/2042		90		89
3.950%, 09/01/2022		975		1,008
LASMO
7.300%, 11/15/2027		1,605		2,117
Marathon Oil
6.600%, 10/01/2037		2,365		2,925
2.800%, 11/01/2022		1,225		1,181
Marathon Petroleum
6.500%, 03/01/2041		4,100		4,930
Motiva Enterprises
6.850%, 01/15/2040 (A)		7,990		10,547
Nexen
7.500%, 07/30/2039		3,840		5,286
6.400%, 05/15/2037		2,710		3,335
Noble Energy
4.150%, 12/15/2021		855		926
Noble Holding International
3.950%, 03/15/2022		11		11
Oneok Partners
6.850%, 10/15/2037		135		164
Panhandle Eastern Pipeline
8.125%, 06/01/2019		1,000		1,246
Petrobras Global Finance
5.625%, 05/20/2043		6,590		6,132
4.375%, 05/20/2023		1,555		1,498
Petrobras International Finance
6.750%, 01/27/2041		1,370		1,451
Petro-Canada
7.875%, 06/15/2026		20		27
6.800%, 05/15/2038		1,745		2,189
Petroleos Mexicanos
5.500%, 06/27/2044 (A)		2,235		2,190
Phillips 66
5.875%, 05/01/2042		5,675		6,599
Plains All American Pipeline
5.150%, 06/01/2042		1,000		1,055
Pride International
7.875%, 08/15/2040		2,962		4,224
Rosneft Oil via Rosneft International Finance
4.199%, 03/06/2022 (A)		750		716
Ruby Pipeline
6.000%, 04/01/2022 (A)		2,000		2,212


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

Shell International Finance
6.375%, 12/15/2038	$	3,085	$	4,130
5.500%, 03/25/2040		2,500		3,041
Sinopec Capital 2013
3.125%, 04/24/2023 (A)		1,250		1,175
Sinopec Group Overseas Development 2012
3.900%, 05/17/2022 (A)		1,750		1,789
Spectra Energy Capital
6.750%, 02/15/2032		1,550		1,832
3.300%, 03/15/2023		3,200		3,119
Statoil
6.500%, 12/01/2028 (A)		1,105		1,463
5.250%, 04/15/2019		50		59
3.950%, 05/15/2043		1,000		937
3.150%, 01/23/2022		1,005		1,036
2.450%, 01/17/2023		3,325		3,173
Suncor Energy
7.150%, 02/01/2032		625		801
6.850%, 06/01/2039		1,740		2,207
6.500%, 06/15/2038		3,565		4,368
Talisman Energy
6.250%, 02/01/2038		2,310		2,608
5.500%, 05/15/2042		2,500		2,564
Tennessee Gas Pipeline
8.375%, 06/15/2032		4,000		5,618
7.000%, 10/15/2028		3,800		4,939
Texas Eastern Transmission
7.000%, 07/15/2032		1,000		1,292
2.800%, 10/15/2022 (A)		2,560		2,482
Total Capital International
2.700%, 01/25/2023		1,975		1,926
TransCanada PipeLines
7.625%, 01/15/2039		1,300		1,844
7.250%, 08/15/2038		1,490		2,030
6.100%, 06/01/2040		2,955		3,666
Transcontinental Gas PipeLine
7.250%, 12/01/2026		880		1,197
5.400%, 08/15/2041		1,450		1,609
4.450%, 08/01/2042		1,615		1,553
Valero Energy
10.500%, 03/15/2039		2,130		3,422
6.625%, 06/15/2037		2,000		2,422
6.125%, 02/01/2020		1,574		1,888
Weatherford International
5.950%, 04/15/2042		5,515		5,673
Williams
7.750%, 06/15/2031		2,568		3,158
Williams Partners
4.000%, 11/15/2021		375		388

				265,202


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


Financials — 25.9%
ACE INA Holdings
6.700%, 05/15/2036	$	3,382	$	4,550
4.150%, 03/13/2043		210		205
Aflac
6.900%, 12/17/2039		4,000		5,128
AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (A)		6,140		7,818
Alexandria Real Estate Equities‡
4.600%, 04/01/2022		2,150		2,298
Allstate
5.550%, 05/09/2035		185		221
5.350%, 06/01/2033		655		758
5.200%, 01/15/2042		4,730		5,466
Alta Wind Holdings
7.000%, 06/30/2035 (A)		1,957		2,103
American Express
4.050%, 12/03/2042		4,191		3,818
American Express Credit MTN
2.800%, 09/19/2016		33		35
American International Group
6.250%, 05/01/2036		675		816
Assurant
6.750%, 02/15/2034		1,750		1,910
Bank of America MTN
6.000%, 10/15/2036		7,710		9,032
5.000%, 05/13/2021		5,450		6,036
3.300%, 01/11/2023		5,795		5,614
Bank of New York Mellon MTN
4.600%, 01/15/2020		50		57
4.150%, 02/01/2021		50		55
Barclays Bank
5.200%, 07/10/2014		150		157
2.750%, 02/23/2015		100		103
Bear Stearns
6.400%, 10/02/2017		3,760		4,444
Berkshire Hathaway
4.500%, 02/11/2043		7,819		7,700
3.750%, 08/15/2021		98		105
3.400%, 01/31/2022		116		120
Berkshire Hathaway Finance
5.750%, 01/15/2040		2,455		2,859
4.400%, 05/15/2042		5,000		4,845
4.300%, 05/15/2043		2,575		2,452
2.450%, 12/15/2015		13		14
Blackstone Holdings Finance
6.250%, 08/15/2042 (A)		4,882		5,532
BRE Properties‡
5.500%, 03/15/2017		750		843
Camden Property Trust‡
4.625%, 06/15/2021		2,500		2,746
Carlyle Holdings II Finance
5.625%, 03/30/2043 (A)		3,214		3,196


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

CDP Financial
5.600%, 11/25/2039 (A)	$	5,695	$	6,824
Chase Capital VI
0.899%, 08/01/2028 (B)		1,695		1,407
Chubb
6.500%, 05/15/2038		4,455		5,938
Citigroup
8.125%, 07/15/2039		2,690		3,815
6.875%, 03/05/2038		11,940		15,291
6.875%, 02/15/2098		2,545		2,892
5.875%, 05/29/2037		5,161		6,057
5.850%, 12/11/2034		142		163
5.500%, 02/15/2017		2,235		2,484
CNA Financial
5.875%, 08/15/2020		25		29
Commonwealth Bank of Australia MTN
5.000%, 10/15/2019 (A)		2,500		2,895
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA
5.800%, 09/30/2110 (A)		4,875		5,373
5.250%, 05/24/2041		255		283
4.500%, 01/11/2021		75		82
3.875%, 02/08/2022		125		130
Credit Suisse NY MTN
5.400%, 01/14/2020		270		305
DaimlerChrysler
8.500%, 01/18/2031		800		1,208
DDR‡
4.625%, 07/15/2022		1,710		1,827
Deutsche Bank MTN
4.296%, 05/24/2028 (B)		1,580		1,524
Deutsche Bank Financial MTN
5.375%, 03/02/2015		25		27
Devon OEI Operating
7.500%, 09/15/2027		735		1,002
Discover Bank
8.700%, 11/18/2019		474		623
7.000%, 04/15/2020		250		303
Discover Financial Services
3.850%, 11/21/2022		1,526		1,537
Duke Realty‡
4.375%, 06/15/2022		195		203
3.875%, 10/15/2022		1,405		1,405
3.625%, 04/15/2023		395		386
EADS Finance
2.700%, 04/17/2023 (A)		5,565		5,403
Eaton
4.000%, 11/02/2032 (A)		4,570		4,465
ERP Operating‡
4.625%, 12/15/2021		55		61
Essex Portfolio‡
3.250%, 05/01/2023		3,140		3,039


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

Farmers Exchange Capital
7.050%, 07/15/2028 (A)	$	5,000	$	6,255
Farmers Insurance Exchange
8.625%, 05/01/2024 (A)		250		344
Fifth Third Bancorp
8.250%, 03/01/2038		1,390		1,919
FMR
6.500%, 12/14/2040 (A)		1,000		1,219
5.150%, 02/01/2043 (A)		750		771
Ford Holdings
9.300%, 03/01/2030		2,205		3,116
Gazprom OAO Via Gaz Capital
4.950%, 02/06/2028 (A)		1,250		1,197
General Electric Capital MTN
6.875%, 01/10/2039		11,975		15,291
6.750%, 03/15/2032		10,330		12,871
6.000%, 08/07/2019		150		180
5.875%, 01/14/2038		19,605		22,368
5.625%, 09/15/2017		125		145
5.625%, 05/01/2018		200		234
4.625%, 01/07/2021		650		718
3.150%, 09/07/2022		2,255		2,202
Goldman Sachs Group
6.750%, 10/01/2037		12,550		13,687
6.250%, 09/01/2017		600		698
6.250%, 02/01/2041		5,355		6,267
6.150%, 04/01/2018		1,100		1,279
6.125%, 02/15/2033		14,015		16,025
5.950%, 01/15/2027		4,265		4,635
5.375%, 03/15/2020		175		199
5.250%, 07/27/2021		123		137
3.700%, 08/01/2015		55		58
Guardian Life Insurance of America
7.375%, 09/30/2039 (A)		2,810		3,758
Hartford Financial Services Group
6.625%, 03/30/2040		3,212		4,054
6.100%, 10/01/2041		1,800		2,131
5.950%, 10/15/2036		1,300		1,500
4.300%, 04/15/2043		1,270		1,198
HBOS MTN
6.750%, 05/21/2018 (A)		2,000		2,244
HCP‡
6.750%, 02/01/2041		4,500		5,774
3.150%, 08/01/2022		100		97
Health Care‡
6.500%, 03/15/2041		825		991
5.125%, 03/15/2043		3,925		3,913
3.750%, 03/15/2023		4,404		4,407
Healthcare Realty Trust‡
5.750%, 01/15/2021		1,275		1,446
Healthcare Trust of America Holdings‡
3.700%, 04/15/2023 (A)		3,410		3,343


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

Heathrow Funding
4.875%, 07/15/2021 (A)	$	2,500	$	2,713
HSBC Bank
4.750%, 01/19/2021 (A)		150		169
HSBC Bank USA
7.000%, 01/15/2039		3,585		4,661
5.875%, 11/01/2034		1,545		1,756
5.625%, 08/15/2035		1,895		2,081
HSBC Finance
6.676%, 01/15/2021		1,760		2,087
HSBC Holdings
6.800%, 06/01/2038		2,240		2,792
6.500%, 09/15/2037		5,790		6,953
6.100%, 01/14/2042		820		1,017
5.100%, 04/05/2021		2,000		2,279
HSBC Holdings, Ser 2006
6.500%, 05/02/2036		1,185		1,418
International Lease Finance
7.125%, 09/01/2018 (A)		1,500		1,768
6.750%, 09/01/2016 (A)		3,700		4,186
JPMorgan Chase
6.400%, 05/15/2038		3,548		4,396
5.600%, 07/15/2041		3,000		3,463
5.400%, 01/06/2042		7,045		7,907
4.500%, 01/24/2022		490		531
3.375%, 05/01/2023		3,065		2,912
JPMorgan Chase Capital XXI
1.223%, 02/02/2037 (B)		1,000		800
KKR Group Finance II
5.500%, 02/01/2043 (A)		6,182		5,925
Liberty Mutual Group
6.500%, 05/01/2042 (A)		8,777		10,262
Lincoln National
6.300%, 10/09/2037		220		264
6.150%, 04/07/2036		95		113
Macquarie Bank MTN
6.625%, 04/07/2021 (A)		2,500		2,798
5.000%, 02/22/2017 (A)		65		71
Macquarie Group
7.300%, 08/01/2014 (A)		50		53
6.250%, 01/14/2021 (A)		40		45
6.000%, 01/14/2020 (A)		100		109
Massachusetts Mutual Life Insurance
8.875%, 06/01/2039 (A)		3,370		5,161
5.375%, 12/01/2041 (A)		1,100		1,236
Merrill Lynch
7.750%, 05/14/2038		1,800		2,253
6.110%, 01/29/2037		2,265		2,429
MetLife
10.750%, 08/01/2039		405		649
7.800%, 11/01/2025 (A)		2,000		2,677
6.500%, 12/15/2032		350		439
6.400%, 12/15/2036		2,000		2,260
6.375%, 06/15/2034		730		914
5.875%, 02/06/2041		3,820		4,582


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

MetLife Global Funding I MTN
3.125%, 01/11/2016 (A)	$	100	$	105
Morgan Stanley
7.250%, 04/01/2032		2,035		2,566
6.625%, 04/01/2018		2,700		3,178
6.375%, 07/24/2042		8,010		9,408
6.250%, 08/28/2017		200		231
6.250%, 08/09/2026		190		222
6.000%, 04/28/2015		100		108
5.950%, 12/28/2017		100		115
5.375%, 10/15/2015		2,650		2,885
4.100%, 05/22/2023		910		872
3.750%, 02/25/2023		1,880		1,865
National Australia Bank
3.750%, 03/02/2015 (A)		100		105
3.000%, 07/27/2016 (A)		150		158
National City
4.900%, 01/15/2015		50		53
Nationwide Mutual Insurance
9.375%, 08/15/2039 (A)		550		804
6.600%, 04/15/2034 (A)		1,767		1,820
New York Life Global Funding
5.375%, 09/15/2013 (A)		50		51
2.450%, 07/14/2016 (A)		50		52
New York Life Insurance
6.750%, 11/15/2039 (A)		10,095		13,220
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (A)		4,715		5,776
PNC Funding
6.700%, 06/10/2019		100		125
Post Apartment Homes
3.375%, 12/01/2022		1,100		1,087
Principal Financial Group
4.625%, 09/15/2042		3,850		3,912
Prudential Financial MTN
6.625%, 12/01/2037		2,440		3,043
6.625%, 06/21/2040		1,000		1,283
6.200%, 11/15/2040		945		1,150
5.700%, 12/14/2036		2,325		2,617
Prudential Holdings
8.695%, 12/18/2023 (A)		3,500		4,481
Prudential Insurance of America
8.300%, 07/01/2025 (A)		1,000		1,339
Raymond James Financial
5.625%, 04/01/2024		1,950		2,164
Realty Income‡
3.250%, 10/15/2022		3,006		2,972
Siemens Financieringsmaatschappij
6.125%, 08/17/2026 (A)		100		125
Simon Property Group‡
10.350%, 04/01/2019		1,995		2,860
6.750%, 02/01/2040		4,000		5,317
4.750%, 03/15/2042		2,535		2,638
4.375%, 03/01/2021		100		111


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

SL Green Realty‡
5.000%, 08/15/2018	$	3,000	$	3,273
Swiss Re Treasury US
4.250%, 12/06/2042 (A)		2,581		2,438
Sydney Airport Finance
3.900%, 03/22/2023 (A)		2,500		2,516
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (A)		4,330		5,698
Toyota Motor Credit MTN
3.400%, 09/15/2021		1,710		1,785
Travelers
6.250%, 06/15/2037		245		318
5.350%, 11/01/2040		1,285		1,507
Travelers Property Casualty
6.375%, 03/15/2033		310		401
UBS MTN
5.750%, 04/25/2018		100		118
US Bancorp
4.125%, 05/24/2021		22		24
Ventas Realty‡
4.750%, 06/01/2021		2,000		2,185
Wachovia
7.575%, 08/01/2026 (C)		2,375		3,209
5.750%, 06/15/2017		150		173
5.750%, 02/01/2018		350		412
Wachovia Bank
6.600%, 01/15/2038		6,910		8,844
6.180%, 02/15/2036		1,401		1,646
5.850%, 02/01/2037		2,215		2,610
WEA Finance
6.750%, 09/02/2019 (A)		3,000		3,681
Weingarten Realty Investors‡
3.375%, 10/15/2022		1,884		1,823
Wells Fargo MTN
4.600%, 04/01/2021		100		112
3.500%, 03/08/2022		525		544
Wells Fargo Bank
5.950%, 08/26/2036		1,900		2,259
Weyerhaeuser‡
7.375%, 03/15/2032		500		661
ZFS Finance USA Trust II
6.450%, 12/15/2065 (A) (B)		2,500		2,725

				538,597


Health Care — 7.5%
AbbVie
4.400%, 11/06/2042 (A)		9,310		9,093
Aetna
2.750%, 11/15/2022		1,370		1,311
Amgen
6.900%, 06/01/2038		1,575		2,041
5.750%, 03/15/2040		35		40
5.650%, 06/15/2042		4,360		4,900


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

5.375%, 05/15/2043	$	3,835	$	4,204
5.150%, 11/15/2041		10,130		10,747
AstraZeneca
6.450%, 09/15/2037		3,745		4,752
4.000%, 09/18/2042		1,580		1,473
Becton Dickinson
3.125%, 11/08/2021		385		393
Bristol-Myers Squibb
6.125%, 05/01/2038		1,675		2,135
Cardinal Health
4.600%, 03/15/2043		2,138		2,046
Catholic Health Initiatives
4.350%, 11/01/2042		2,525		2,426
Celgene
5.700%, 10/15/2040		3,772		4,258
Covidien International Finance
2.950%, 06/15/2023		810		796
Eli Lilly
7.125%, 06/01/2025		410		558
Express Scripts Holding
6.125%, 11/15/2041		2,070		2,570
GlaxoSmithKline Capital
6.375%, 05/15/2038		15		19
2.850%, 05/08/2022		5,090		5,078
2.800%, 03/18/2023		2,000		1,961
Highmark
6.125%, 05/15/2041 (A)		1,000		928
4.750%, 05/15/2021 (A)		1,330		1,297
Humana
4.625%, 12/01/2042		802		764
Johns Hopkins Health System
2.767%, 05/15/2023		1,750		1,687
Johnson & Johnson
5.950%, 08/15/2037		1,100		1,426
5.850%, 07/15/2038		1,500		1,930
Kaiser Foundation Hospitals
4.875%, 04/01/2042		3,175		3,353
Mayo Clinic
3.774%, 11/15/2043		2,000		1,844
McKesson
2.700%, 12/15/2022		1,500		1,459
Mead Johnson Nutrition
5.900%, 11/01/2039		620		714
Medtronic
4.000%, 04/01/2043		6,370		6,036
Memorial Sloan-Kettering Cancer Center
5.000%, 07/01/2042		1,000		1,090
Merck
6.550%, 09/15/2037		1,430		1,925
6.500%, 12/01/2033		520		699
5.850%, 06/30/2039		690		849
5.760%, 05/03/2037		1,100		1,422
4.150%, 05/18/2043		3,460		3,371
3.600%, 09/15/2042		2,850		2,553


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

North Shore Long Island Jewish Health Care
4.800%, 11/01/2042	$	2,400	$	2,354
NYU Hospitals Center
4.428%, 07/01/2042		2,650		2,499
Perrigo
2.950%, 05/15/2023		1,030		996
Pfizer
7.200%, 03/15/2039		3,530		4,979
4.300%, 06/15/2043		2,060		2,052
Roche Holdings
7.000%, 03/01/2039 (A)		10,670		15,077
Shands Teaching Hospital and Clinics
4.741%, 12/01/2042		1,750		1,711
St. Barnabas Health Care System
4.000%, 07/01/2028		2,240		2,134
St. Jude Medical
4.750%, 04/15/2043		2,250		2,241
Stryker
4.100%, 04/01/2043		1,220		1,188
Sutter Health
2.286%, 08/15/2053		2,000		1,943
Thermo Fisher Scientific
3.150%, 01/15/2023		2,240		2,160
UnitedHealth Group
6.875%, 02/15/2038		1,411		1,851
6.625%, 11/15/2037		2,500		3,176
6.500%, 06/15/2037		385		485
5.950%, 02/15/2041		215		257
5.800%, 03/15/2036		325		380
5.700%, 10/15/2040		1,065		1,235
4.375%, 03/15/2042		70		69
3.950%, 10/15/2042		1,250		1,145
WellPoint
5.950%, 12/15/2034		737		852
5.875%, 06/15/2017		50		58
5.850%, 01/15/2036		710		820
4.650%, 01/15/2043		5,720		5,679
2.375%, 02/15/2017		20		21
Wyeth
6.000%, 02/15/2036		535		661
5.950%, 04/01/2037		4,425		5,420

				155,591


Industrials — 5.9%
ABB Treasury Center USA
4.000%, 06/15/2021 (A)		1,840		1,967
Air Canada, Pass-Through Trust, Ser 2013-1, Cl A
4.125%, 05/15/2025 (A)		540		553
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A
5.250%, 01/31/2021		9		10


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

BAE Systems
5.800%, 10/11/2041 (A)	$	3,565	$	4,039
BAE Systems Holdings
5.200%, 08/15/2015 (A)		15		16
Boeing
6.875%, 03/15/2039		640		891
6.625%, 02/15/2038		850		1,153
5.875%, 02/15/2040		1,990		2,505
Burlington Northern Santa Fe
7.290%, 06/01/2036		1,333		1,786
6.150%, 05/01/2037		1,800		2,198
4.450%, 03/15/2043		1,250		1,235
4.400%, 03/15/2042		7,040		6,900
Canadian National Railway, Ser 2006
6.200%, 06/01/2036		2,665		3,472
Caterpillar
5.200%, 05/27/2041		640		724
3.803%, 08/15/2042		850		777
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		4,825		5,476
Continental Airlines, Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024		725		750
CSX
4.750%, 05/30/2042		5,625		5,701
Deere
3.900%, 06/09/2042		1,920		1,816
Delta Air Lines, Pass-Through Trust, Ser 2009-1, Cl A
7.750%, 12/17/2019		1,124		1,321
FedEx
4.100%, 04/15/2043		4,740		4,419
3.875%, 08/01/2042		4,937		4,518
General Dynamics
3.600%, 11/15/2042		3,732		3,307
General Electric
4.125%, 10/09/2042		4,970		4,743
Honeywell International
5.700%, 03/15/2037		300		370
5.375%, 03/01/2041		295		356
Lockheed Martin
4.850%, 09/15/2041		1,885		1,928
4.070%, 12/15/2042		4,472		4,089
Norfolk Southern
6.000%, 03/15/2105		2,045		2,396
6.000%, 05/23/2111		4,205		4,928
5.590%, 05/17/2025		37		43
3.000%, 04/01/2022		1,380		1,377
Northrop Grumman
4.750%, 06/01/2043		2,720		2,688
3.250%, 08/01/2023		5,920		5,839


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

Pitney Bowes
6.250%, 03/15/2019	$	15	$	17
Raytheon
4.700%, 12/15/2041		300		312
Republic Services
5.700%, 05/15/2041		3,475		3,945
Stanley Black & Decker
2.900%, 11/01/2022		1,430		1,403
Union Pacific
6.625%, 02/01/2029		1,425		1,841
5.780%, 07/15/2040		3,350		4,039
4.163%, 07/15/2022		108		118
United Parcel Service
3.625%, 10/01/2042		690		643
United Technologies
5.700%, 04/15/2040		4,480		5,421
4.500%, 06/01/2042		11,640		12,016
US Airways Pass-Through Trust, Ser 2012-1, Cl A
5.900%, 10/01/2024		2,495		2,789
Waste Management
7.750%, 05/15/2032		200		277
7.375%, 03/11/2019		25		31
7.100%, 08/01/2026		130		168
6.125%, 11/30/2039		2,870		3,494
4.600%, 03/01/2021		1,645		1,824

				122,629


Information Technology — 3.0%
Apple
3.850%, 05/04/2043		6,415		5,887
Applied Materials
5.850%, 06/15/2041		2,300		2,614
Cisco Systems
5.500%, 01/15/2040		1,585		1,867
Corning
5.750%, 08/15/2040		345		393
eBay
4.000%, 07/15/2042		1,245		1,103
HP Enterprise Services
6.000%, 08/01/2013		85		86
Intel
4.800%, 10/01/2041		3,985		4,095
4.000%, 12/15/2032		7,087		6,841
2.700%, 12/15/2022		2,540		2,444
International Business Machines
6.220%, 08/01/2027		3,345		4,319
5.875%, 11/29/2032		300		382
5.600%, 11/30/2039		462		558
4.000%, 06/20/2042		3,593		3,494
Intuit
5.750%, 03/15/2017		25		28
Juniper Networks
5.950%, 03/15/2041		3,000		3,230


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

Microsoft
5.300%, 02/08/2041	$	895	$	1,059
4.500%, 10/01/2040		675		711
3.750%, 05/01/2043		3,955		3,689
3.500%, 11/15/2042		5,455		4,861
Motorola Solutions
7.500%, 05/15/2025		680		855
3.500%, 03/01/2023		2,000		1,956
Oracle
6.500%, 04/15/2038		4,145		5,442
5.375%, 07/15/2040		2,415		2,801
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/2022		3,953		4,050

				62,765


Materials — 3.2%
ArcelorMittal
7.250%, 03/01/2041		2,025		1,974
Barrick North America Finance
7.500%, 09/15/2038		35		40
5.750%, 05/01/2043 (A)		9,210		8,632
Dow Chemical
5.250%, 11/15/2041		350		375
4.375%, 11/15/2042		4,630		4,326
E.I. du Pont de Nemours
2.800%, 02/15/2023		1,960		1,935
Freeport-McMoRan Copper
5.450%, 03/15/2043 (A)		7,042		6,767
3.875%, 03/15/2023 (A)		4,155		4,044
Newcrest Finance
5.750%, 11/15/2041 (A)		5,891		5,603
Newmont Mining
5.875%, 04/01/2035		100		101
4.875%, 03/15/2042		4,182		3,595
Praxair
3.550%, 11/07/2042		1,275		1,147
Rio Tinto Finance USA
9.000%, 05/01/2019		150		203
5.200%, 11/02/2040		20		22
4.750%, 03/22/2042		205		207
4.125%, 08/21/2042		1,800		1,638
3.500%, 11/02/2020		50		52
3.500%, 03/22/2022		1,375		1,379
Rohm & Haas
7.850%, 07/15/2029		4,490		6,042
Southern Copper
7.500%, 07/27/2035		1,750		1,977
6.750%, 04/16/2040		590		617
5.250%, 11/08/2042		950		823
Teck Resources
5.400%, 02/01/2043		2,025		1,907
5.200%, 03/01/2042		750		685
Union Carbide
7.750%, 10/01/2096		25		29


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

Vale
5.625%, 09/11/2042	$	2,960	$	2,760
Vale Overseas
6.875%, 11/21/2036		2,000		2,147
Xstrata Finance Canada
6.000%, 11/15/2041 (A)		4,504		4,569
5.300%, 10/25/2042 (A)		2,005		1,969

				65,565


Telecommunication Services — 6.7%
Alltel
7.875%, 07/01/2032		1,105		1,562
6.800%, 05/01/2029		1,030		1,291
America Movil
6.375%, 03/01/2035		100		115
6.125%, 03/30/2040		1,785		2,024
4.375%, 07/16/2042		4,685		4,157
3.125%, 07/16/2022		1,250		1,193
AT&T
6.550%, 02/15/2039		1,625		1,999
6.500%, 09/01/2037		3,942		4,802
6.300%, 01/15/2038		13,580		16,184
5.600%, 05/15/2018		100		118
5.550%, 08/15/2041		4,485		4,954
5.350%, 09/01/2040		7,940		8,493
4.350%, 06/15/2045 (A)		7,938		7,364
4.300%, 12/15/2042 (A)		3,718		3,474
3.000%, 02/15/2022		50		50
BellSouth
6.875%, 10/15/2031		105		124
6.000%, 11/15/2034		130		141
5.200%, 09/15/2014		50		53
Bellsouth Capital Funding
7.875%, 02/15/2030		305		389
British Telecommunications
9.625%, 12/15/2030		2,620		4,059
Centel Capital
9.000%, 10/15/2019		25		30
CenturyLink
7.650%, 03/15/2042		2,200		2,189
Deutsche Telekom International Finance
9.250%, 06/01/2032		2,161		3,316
8.750%, 06/15/2030		2,590		3,739
4.875%, 03/06/2042 (A)		2,845		2,885
France Telecom
5.375%, 01/13/2042		1,795		1,918
GTE
8.750%, 11/01/2021		100		134
6.940%, 04/15/2028		1,280		1,622
Koninklijke KPN
8.375%, 10/01/2030		2,715		3,510
Qwest
7.250%, 09/15/2025		1,000		1,163


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

Rogers Communications
4.500%, 03/15/2043	$	2,232	$	2,212
Telecom Italia Capital
7.721%, 06/04/2038		750		811
7.200%, 07/18/2036		2,000		2,070
6.175%, 06/18/2014		33		35
Telefonica Emisiones SAU
7.045%, 06/20/2036		2,505		2,866
6.421%, 06/20/2016		75		84
6.221%, 07/03/2017		65		73
5.462%, 02/16/2021		152		164
4.570%, 04/27/2023		2,790		2,781
Verizon Communications
8.750%, 11/01/2018		107		143
7.750%, 12/01/2030		630		849
7.350%, 04/01/2039		3,000		4,030
6.900%, 04/15/2038		100		128
6.400%, 02/15/2038		3,925		4,750
6.000%, 04/01/2041		3,105		3,608
5.850%, 09/15/2035		2,700		3,059
4.750%, 11/01/2041		8,090		7,961
3.850%, 11/01/2042		5,410		4,663
Vodafone Group
6.150%, 02/27/2037		300		357
4.375%, 02/19/2043		11,330		10,667
2.950%, 02/19/2023		4,380		4,222

				138,585


Utilities — 12.3%
AGL Capital
6.375%, 07/15/2016		100		115
5.875%, 03/15/2041		2,000		2,385
4.400%, 06/01/2043		1,200		1,178
3.500%, 09/15/2021		68		72
Alabama Power
5.200%, 06/01/2041		335		382
American Transmission Systems
5.250%, 01/15/2022 (A)		1,135		1,268
American Water Capital
6.085%, 10/15/2017		25		29
Appalachian Power
7.000%, 04/01/2038		600		786
6.700%, 08/15/2037		50		63
5.800%, 10/01/2035		125		143
4.600%, 03/30/2021		605		674
Arizona Public Service
8.750%, 03/01/2019		2,705		3,580
Arizona Public Services
4.500%, 04/01/2042		12		12
Baltimore Gas & Electric
6.350%, 10/01/2036		125		158
5.200%, 06/15/2033		1,580		1,726
Boston Gas
4.487%, 02/15/2042 (A)		1,325		1,356


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

Bruce Mansfield Unit
6.850%, 06/01/2034	$	2,072	$	2,251
CenterPoint Energy
6.500%, 05/01/2018		130		157
CenterPoint Energy Resources
6.625%, 11/01/2037		1,037		1,344
6.250%, 02/01/2037		775		937
4.500%, 01/15/2021		40		45
Cleco Power
6.000%, 12/01/2040		2,500		2,853
Connecticut Light & Power
5.650%, 05/01/2018		35		41
2.500%, 01/15/2023		1,200		1,169
Consolidated Edison of New York
6.750%, 04/01/2038		1,915		2,611
6.200%, 06/15/2036		145		184
5.700%, 06/15/2040		100		123
5.500%, 12/01/2039		75		89
4.200%, 03/15/2042		325		324
3.950%, 03/01/2043		3,030		2,885
Dominion Resources
5.250%, 08/01/2033		5,050		5,660
4.900%, 08/01/2041		3,235		3,471
4.050%, 09/15/2042		1,000		936
DTE Electric
3.950%, 06/15/2042		180		174
3.900%, 06/01/2021		30		33
DTE Energy
6.375%, 04/15/2033		120		147
Duke Energy
3.550%, 09/15/2021		17		18
3.050%, 08/15/2022		3,380		3,356
2.150%, 11/15/2016		25		26
Duke Energy Carolinas
6.450%, 10/15/2032		230		293
6.100%, 06/01/2037		2,140		2,627
5.300%, 02/15/2040		3,840		4,397
4.250%, 12/15/2041		1,565		1,539
4.000%, 09/30/2042		4,915		4,659
3.900%, 06/15/2021		50		55
Duke Energy Indiana
6.350%, 08/15/2038		1,675		2,147
Duke Energy Progress
6.300%, 04/01/2038		130		166
4.100%, 05/15/2042		740		714
Duquesne Light Holdings
6.250%, 08/15/2035		2,500		2,827
El Paso Electric
3.300%, 12/15/2022		1,500		1,463
Electricite de France
5.250%, 12/29/2049 (A) (B)		2,250		2,259
Elm Road Generating Station Supercritical
5.848%, 01/19/2041 (A)		1,000		1,150


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

Entergy Louisiana
4.800%, 05/01/2021	$	1,000	$	1,118
4.440%, 01/15/2026		1,390		1,528
Exelon Generation
6.250%, 10/01/2039		4,480		5,119
5.750%, 10/01/2041		5,465		5,896
5.600%, 06/15/2042		4,140		4,378
5.200%, 10/01/2019		100		112
FirstEnergy, Ser C
7.375%, 11/15/2031		2,983		3,367
Florida Power
6.400%, 06/15/2038		360		462
6.350%, 09/15/2037		1,880		2,425
Florida Power & Light
5.960%, 04/01/2039		2,360		2,996
5.690%, 03/01/2040		4,163		5,174
4.050%, 06/01/2042		5,000		4,921
3.800%, 12/15/2042		2,215		2,086
Georgia Power
5.650%, 03/01/2037		225		263
5.400%, 06/01/2040		8,270		9,365
4.300%, 03/15/2042		7,255		7,121
Iberdrola Finance Ireland
5.000%, 09/11/2019 (A)		1,500		1,625
Indiana Michigan Power
6.050%, 03/15/2037		500		592
Indianapolis Power & Light
6.050%, 10/01/2036 (A)		710		851
4.875%, 11/01/2041 (A)		1,290		1,412
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,500		3,046
Kentucky Utilities
5.125%, 11/01/2040		2,365		2,743
KeySpan Gas East
5.819%, 04/01/2041 (A)		3,600		4,386
Massachusetts Electric
5.900%, 11/15/2039 (A)		70		85
MidAmerican Energy MTN
6.750%, 12/30/2031		465		611
5.800%, 10/15/2036		836		1,018
MidAmerican Energy Holdings
6.500%, 09/15/2037		4,125		5,232
6.125%, 04/01/2036		3,400		4,093
5.950%, 05/15/2037		555		660
Nevada Power
6.650%, 04/01/2036		210		275
NextEra Energy Capital Holdings
6.000%, 03/01/2019		1,530		1,807
Niagara Mohawk Power
4.119%, 11/28/2042 (A)		2,000		1,897
Nisource Finance
5.950%, 06/15/2041		500		567
5.800%, 02/01/2042		2,000		2,213
4.800%, 02/15/2044		3,740		3,644


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

Northeast Utilities
2.800%, 05/01/2023	$	1,335	$	1,290
Northern States Power
7.125%, 07/01/2025		285		385
6.200%, 07/01/2037		2,500		3,255
3.400%, 08/15/2042		645		569
2.600%, 05/15/2023		1,760		1,721
Oglethorpe Power
5.375%, 11/01/2040		1,705		1,883
5.250%, 09/01/2050		65		68
Oncor Electric Delivery
7.000%, 09/01/2022		175		226
6.800%, 09/01/2018		35		43
5.300%, 06/01/2042		4,924		5,546
5.250%, 09/30/2040		4,050		4,563
4.550%, 12/01/2041		4,500		4,540
4.100%, 06/01/2022		2,100		2,262
Pacific Gas & Electric
6.250%, 03/01/2039		3,880		4,878
6.050%, 03/01/2034		3,800		4,722
5.800%, 03/01/2037		1,205		1,439
3.250%, 09/15/2021		18		19
PacifiCorp
6.000%, 01/15/2039		1,795		2,261
5.500%, 01/15/2019		310		369
Pennsylvania Electric
6.150%, 10/01/2038		3,600		4,206
6.050%, 09/01/2017		50		58
Potomac Electric Power
4.150%, 03/15/2043		2,000		1,999
PPL Electric Utilities
5.200%, 07/15/2041		1,100		1,272
PPL Energy Supply
4.600%, 12/15/2021		100		106
Progress Energy
7.050%, 03/15/2019		1,720		2,145
4.400%, 01/15/2021		25		28
PSEG Power
5.125%, 04/15/2020		50		56
4.150%, 09/15/2021		127		134
Public Service Electric & Gas MTN
3.650%, 09/01/2042		4,035		3,731
Public Service of Colorado
6.250%, 09/01/2037		1,910		2,504
3.950%, 03/15/2043		5,310		5,161
Public Service of Oklahoma
4.400%, 02/01/2021		27		30
Puget Sound Energy
5.795%, 03/15/2040		300		371
San Diego Gas & Electric
6.000%, 06/01/2026		625		801
Sempra Energy
9.800%, 02/15/2019		50		69
6.000%, 10/15/2039		4,000		4,833


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

South Carolina Electric & Gas
5.450%, 02/01/2041	$	85	$	99
Southern California Edison
6.000%, 01/15/2034		385		486
5.950%, 02/01/2038		510		642
5.500%, 08/15/2018		25		30
5.500%, 03/15/2040		160		192
4.050%, 03/15/2042		6,405		6,272
Southern California Gas
3.750%, 09/15/2042		2,360		2,241
Southern Natural Gas
8.000%, 03/01/2032		400		563
7.350%, 02/15/2031		2,960		3,839
Southern Union
8.250%, 11/15/2029		1,500		1,910
Southwestern Electric Power
6.200%, 03/15/2040		1,734		2,114
Southwestern Public Service
8.750%, 12/01/2018		40		53
Texas-New Mexico Power
6.950%, 04/01/2043 (A)		2,500		3,297
Tucson Electric Power
3.850%, 03/15/2023		2,250		2,239
Union Electric
8.450%, 03/15/2039		2,930		4,752
Virginia Electric and Power
8.875%, 11/15/2038		235		389
Wisconsin Electric Power
2.950%, 09/15/2021		3		3

				256,809

Total Corporate Obligations (Cost $2,002,164) ($ Thousands)				1,965,687


MUNICIPAL BONDS — 2.1%
City of Chicago, GO
6.257%, 01/01/2040		1,280		1,384
City of Houston, Ser A, GO
6.290%, 03/01/2032		3,650		4,537
City of New York, GO
5.985%, 12/01/2036		1,175		1,456
City of San Francisco, Public Utilities Commission Water Revenue, Ser DE, RB
6.000%, 11/01/2040		400		488
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB
6.116%, 01/15/2040		2,280		2,923
Los Angeles, Department of Water & Power, Ser C, RB
5.516%, 07/01/2027		1,905		2,287
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		750		1,049


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

Los Angeles, Community College District, Ser D, GO
6.680%, 08/01/2036	$	1,000	$	1,358
New Jersey State, Turnpike Authority, RB
7.414%, 01/01/2040		100		145
New Jersey, State Turnpike Authority, Build America Project, RB
7.102%, 01/01/2041		100		140
New York City, Build America Project, GO
5.206%, 10/01/2031		1,500		1,725
Ohio State University, Build America Project, RB
4.910%, 06/01/2040		1,685		1,864
Port Authority of New York & New Jersey, Build America Project, RB
4.926%, 10/01/2051		495		539
Port Authority of New York & New Jersey, RB
4.458%, 10/01/2062		600		585
San Diego County, Water Authority, Build America Project, RB
6.138%, 05/01/2049		1,910		2,458
San Francisco, Public Utilities, RB
6.000%, 11/01/2040		1,250		1,528
State of California, Build America Project, GO
7.625%, 03/01/2040		200		287
7.600%, 11/01/2040		950		1,379
7.550%, 04/01/2039		90		129
State of Connecticut, Ser A, GO
5.850%, 03/15/2032		2,210		2,701
State of Illinois, GO
5.100%, 06/01/2033		2,900		2,910
State of Missouri, Health & Education, Ser A, RB
3.685%, 02/15/2047		1,135		1,103
State of New York, Build America Project, RB
5.770%, 03/15/2039		4,180		5,054
State of Texas, Transportation Communication Authority, Build America Project, Ser B, RB
5.178%, 04/01/2030		1,730		2,060
State of Washington, Build America Project, Ser D, GO
5.481%, 08/01/2039		815		981
University of California, Build America Project, RB
5.770%, 05/15/2043		250		300


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

University of California, Build America Project, Ser AD, RB
4.858%, 05/15/2112	$	2,800	$	2,756

Total Municipal Bonds (Cost $44,232) ($ Thousands)				44,126


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.3%
Tennessee Valley Authority
5.375%, 04/01/2056		3,935		4,837
3.500%, 12/15/2042		2,525		2,314

Total U.S. Government Agency Obligations (Cost $7,826) ($ Thousands)				7,151


SOVEREIGN DEBT — 0.2%
International Bank for Reconstruction & Development MTN
3.482%, 10/31/2030 (D)		2,605		1,299
Province of Quebec Canada MTN
6.350%, 01/30/2026		2,000		2,624

Total Sovereign Debt (Cost $4,107) ($ Thousands)				3,923


U.S. TREASURY OBLIGATIONS — 1.5%
U.S. Treasury Bills (D) (E)
0.079%, 08/22/2013		535		535
U.S. Treasury Bonds
6.125%, 08/15/2029		1,967		2,828
3.125%, 02/15/2043		12,610		12,208
2.750%, 08/15/2042		14,540		13,032
2.750%, 11/15/2042		1,660		1,486
U.S. Treasury Notes
1.750%, 05/15/2023		2,275		2,192

Total U.S. Treasury Obligations (Cost $32,932) ($ Thousands)				32,281


CASH EQUIVALENT — 1.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%*†		30,301,678		30,302

Total Cash Equivalent (Cost $30,302) ($ Thousands)				30,302

Total Investments — 100.0% (Cost $2,121,563) ($ Thousands)			$	2,083,470

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(495	)		Jun-2013	$	788
U.S. 10-Year Treasury Note		(62	)		Sep-2013		(2	)
U.S. 2-Year Treasury Note		(323	)		Jun-2013		47
U.S. 5-Year Treasury Note		(112	)		Jun-2013		67
U.S. 5-Year Treasury Note		(452	)		Oct-2013		53
U.S. Long Treasury Bond		72			Sep-2013		(135	)
U.S. Ultra Long Treasury Bond		383			Dec-2013		(720	)

						$	98

For the year ended May 31, 2013, 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 year.

Percentages are based on a Net Assets of $2,082,952 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

††

More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes.

‡

Real Estate Investment Trust.

(A)

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2013. The date reported on the Schedule of Investments is the final maturity date.

(C)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2013. The coupon on a step bond changes on a specified date.

(D)

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

(E)

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

Cl — Class

GO — General Obligation

MTN — Medium Term Note

RB — Revenue Bond

Ser — Series

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,965,687	$	—	$	1,965,687
Municipal Bonds		—		44,126		—		44,126
U.S. Government Agency Obligations		—		7,151		—		7,151
Sovereign Debt		—		3,923		—		3,923
U.S. Treasury Obligations		—		32,281		—		32,281
Cash Equivalent		30,302		—		—		30,302

Total Investments in Securities	$	30,302	$	2,053,168	$	—	$	2,083,470


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	98	$	—	$	—	$	98

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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

LOGO


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


CORPORATE OBLIGATIONS — 40.1%

Consumer Discretionary — 2.5%
Amazon.com
0.650%, 11/27/2015	$	825	$	823
Best Buy
7.250%, 07/15/2013		530		532
Comcast
5.850%, 11/15/2015		350		393
DIRECTV Holdings LLC
3.550%, 03/15/2015		650		679
Hasbro
6.125%, 05/15/2014		300		315
Johnson Controls
0.683%, 02/04/2014 (A)		1,140		1,143
Maytag MTN
6.450%, 08/15/2014		1,300		1,384
NBCUniversal Enterprise
0.965%, 04/15/2018 (A) (B)		1,400		1,412
0.817%, 04/15/2016 (A) (B)		765		768
NBCUniversal Media LLC
2.100%, 04/01/2014		1,608		1,629
Newell Rubbermaid
2.000%, 06/15/2015		700		712
Thomson Reuters
0.875%, 05/23/2016		1,250		1,243
Time Warner Cable
7.500%, 04/01/2014		685		723
Viacom
1.250%, 02/27/2015		590		593
Walt Disney MTN
0.450%, 12/01/2015		1,000		998

				13,347


Consumer Staples — 3.6%
Anheuser-Busch InBev Worldwide
4.125%, 01/15/2015		1,200		1,265
0.800%, 07/15/2015		500		501
0.637%, 07/14/2014 (A)		855		858


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BAT International Finance
1.400%, 06/05/2015 (B)	$	1,365	$	1,377

Bottling Group LLC
6.950%, 03/15/2014		750		787
Campbell Soup
0.574%, 08/01/2014 (A)		1,150		1,152
Coca-Cola Enterprises
0.590%, 02/18/2014 (A)		725		727
ConAgra Foods
1.300%, 01/25/2016		1,250		1,258
Costco Wholesale
0.650%, 12/07/2015		2,155		2,161
General Mills
0.576%, 01/29/2016 (A)		1,250		1,251
Heineken
0.800%, 10/01/2015 (B)		390		389
Kellogg
0.505%, 02/13/2015 (A)		1,000		1,002
Kimberly-Clark
0.394%, 05/15/2016 (A)		1,390		1,389
Kraft Foods Group
1.625%, 06/04/2015		750		760
PepsiCo
0.800%, 08/25/2014		745		748
Philip Morris International
2.500%, 05/16/2016		750		785
Reynolds American
1.050%, 10/30/2015		310		311
SABMiller Holdings
1.850%, 01/15/2015 (B)		700		711
Walgreen
0.780%, 03/13/2014 (A)		1,600		1,603

				19,035


Energy — 1.5%
BP Capital Markets
0.881%, 03/11/2014 (A)		245		246
0.785%, 05/10/2018 (A)		1,500		1,504
0.700%, 11/06/2015		1,120		1,117
Kinder Morgan Energy Partners
5.000%, 12/15/2013		750		767
Schlumberger Investment
0.830%, 09/12/2014 (A) (B)		870		876
Schlumberger Norge
1.250%, 08/01/2017 (B)		205		203
Total Capital Canada
0.657%, 01/15/2016 (A)		1,960		1,969
TransCanada PipeLines
0.750%, 01/15/2016		1,175		1,171

				7,853


Financials — 24.2%
ABN AMRO Bank
1.375%, 01/22/2016 (B)		1,000		1,001


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

American Express
0.863%, 05/22/2018 (A)	$	1,000	$	1,002
American Express Centurion Bank
0.725%, 11/13/2015 (A)		1,210		1,212
American Honda Finance MTN
1.000%, 08/11/2015 (B)		643		647
0.648%, 05/26/2016 (A) (B)		2,600		2,603
American International Group
4.250%, 09/15/2014		1,350		1,408
Australia & New Zealand Banking Group NY
0.835%, 05/15/2018 (A)		625		625
Bank of America MTN
1.696%, 01/30/2014 (A)		570		574
1.500%, 10/09/2015		2,015		2,027
1.250%, 01/11/2016		850		848
Bank of Montreal
1.300%, 10/31/2014 (B)		1,325		1,341
0.879%, 04/09/2018 (A)		1,000		1,005
Bank of New York Mellon MTN
3.100%, 01/15/2015		800		834
0.714%, 03/06/2018 (A)		700		701
0.546%, 07/28/2014 (A)		925		927
Bank of Nova Scotia
1.850%, 01/12/2015		1,525		1,554
0.950%, 03/15/2016		500		501
0.721%, 09/11/2015 (A)		625		627
Bank of Tokyo-Mitsubishi UFJ
0.723%, 02/26/2016 (A) (B)		750		751
BB&T MTN
3.375%, 09/25/2013		871		879
0.976%, 04/28/2014 (A)		1,180		1,186
Berkshire Hathaway
0.800%, 02/11/2016		700		702
BNP Paribas MTN
3.030%, 12/20/2014 (A)		1,030		1,066
BPCE
2.375%, 10/04/2013 (B)		696		700
1.526%, 04/25/2016 (A)		950		957
Caisse Centrale Desjardins du Quebec
1.700%, 09/16/2013 (B)		1,345		1,350
Canadian Imperial Bank of Commerce
0.900%, 09/19/2014 (B)		300		302
0.900%, 10/01/2015		525		526
Capital One
0.734%, 03/22/2016 (A)		1,250		1,248
Capital One Financial
2.150%, 03/23/2015		800		816
1.427%, 07/15/2014 (A)		1,626		1,641
Caterpillar Financial Services MTN
1.100%, 05/29/2015		600		606
CDP Financial
3.000%, 11/25/2014 (B)		1,710		1,771
Citigroup
4.875%, 05/07/2015		750		796


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

1.250%, 01/15/2016	$	2,350	$	2,347
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
2.125%, 10/13/2015		1,940		1,998
0.760%, 03/18/2016 (A)		1,000		1,004
Credit Agricole Home Loan SFH
1.026%, 07/21/2014 (A) (B)		800		803
Credit Suisse NY
2.200%, 01/14/2014		475		480
1.237%, 01/14/2014 (A)		1,340		1,347
Daimler Finance North America LLC
2.300%, 01/09/2015 (B)		825		841
1.250%, 01/11/2016 (B)		750		750
1.059%, 04/10/2014 (A) (B)		550		552
0.879%, 01/09/2015 (A) (B)		1,380		1,385
Danske Bank
1.327%, 04/14/2014 (A) (B)		775		779
ERAC USA Finance LLC
2.750%, 07/01/2013 (B)		352		353
2.250%, 01/10/2014 (B)		186		188
1.400%, 04/15/2016 (B)		335		335
Fifth Third Bank
0.683%, 02/26/2016 (A)		1,320		1,320
Ford Motor Credit LLC
1.525%, 05/09/2016 (A)		1,170		1,175
General Electric Capital MTN
1.314%, 07/02/2015 (A)		1,635		1,657
1.145%, 05/09/2016 (A)		625		633
0.994%, 04/02/2018 (A)		500		503
Glencore Funding LLC
1.431%, 05/27/2016 (A) (B)		1,350		1,349
Goldman Sachs Group MTN
1.600%, 11/23/2015		875		885
1.476%, 04/30/2018 (A)		875		879
1.274%, 11/21/2014 (A)		810		815
0.777%, 01/12/2015 (A)		1,170		1,169
Hartford Financial Services Group
4.625%, 07/15/2013		455		457
HSBC Bank
1.078%, 01/17/2014 (A) (B)		639		642
0.915%, 05/15/2018 (A) (B)		650		647
HSBC Bank USA NY
4.625%, 04/01/2014		1,200		1,240
HSBC USA
2.375%, 02/13/2015		1,320		1,355
Hyundai Capital America
1.625%, 10/02/2015 (B)		870		876
ING Bank
2.000%, 10/18/2013 (B)		435		437
1.924%, 09/25/2015 (A) (B)		890		906
ING US
3.150%, 02/15/2018 (B)		650		662
International Lease Finance
6.500%, 09/01/2014 (B)		850		901


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

Intesa Sanpaolo
3.125%, 01/15/2016	$	650	$	646
JPMorgan Chase
4.650%, 06/01/2014		653		680
1.176%, 01/25/2018 (A)		675		681
1.102%, 01/24/2014 (A)		130		131
0.937%, 10/15/2015 (A)		585		588
0.893%, 02/26/2016 (A)		1,830		1,836
Manufacturers & Traders Trust
0.575%, 03/07/2016 (A)		610		610
MassMutual Global Funding II
0.657%, 01/14/2014 (A) (B)		1,312		1,315
MetLife Institutional Funding II
0.650%, 01/06/2015 (A) (B)		1,630		1,633
Metropolitan Life Global Funding I
1.700%, 06/29/2015 (B)		1,000		1,018
1.500%, 01/10/2018 (B)		740		733
Monumental Global Funding
0.477%, 01/15/2014 (A) (B)		697		697
Morgan Stanley
1.523%, 02/25/2016 (A)		2,420		2,430
National Rural Utilities Cooperative Finance
1.000%, 02/02/2015		750		756
0.555%, 04/04/2014 (A)		200		200
0.523%, 05/27/2016 (A)		1,650		1,650
0.356%, 02/18/2014 (A)		675		675
New York Life Global Funding
0.800%, 02/12/2016 (B)		790		787
Nissan Motor Acceptance
4.500%, 01/30/2015 (B)		835		884
Nordea Bank
1.750%, 10/04/2013 (B)		435		437
0.735%, 05/13/2016 (A) (B)		900		900
PACCAR Financial MTN
0.545%, 02/08/2016 (A)		1,000		1,004
Pentair Finance
1.350%, 12/01/2015		345		346
Petrobras Global Finance BV
1.894%, 05/20/2016 (A)		2,800		2,822
PNC Bank
0.800%, 01/28/2016		1,000		998
0.596%, 04/29/2016 (A)		1,230		1,230
Pricoa Global Funding I
5.450%, 06/11/2014 (B)		671		705
Principal Life Global Funding II
1.000%, 12/11/2015 (B)		1,265		1,268
0.904%, 07/09/2014 (A) (B)		400		402
0.643%, 05/27/2016 (A) (B)		1,030		1,030
Principal Life Income Funding Trusts MTN
5.100%, 04/15/2014		540		561
0.473%, 11/08/2013 (A)		250		250
Prudential Financial MTN
5.100%, 09/20/2014		638		673


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

Royal Bank of Canada MTN
0.850%, 03/08/2016	$	1,780	$	1,778
0.645%, 03/08/2016 (A)		800		802
0.510%, 01/06/2015 (A)		900		900
Royal Bank of Scotland Group
2.550%, 09/18/2015		295		303
Simon Property Group‡
6.750%, 05/15/2014		900		938
SLM MTN
3.875%, 09/10/2015		400		408
Societe Generale
2.200%, 09/14/2013 (B)		725		728
SSIF Nevada
0.977%, 04/14/2014 (A) (B)		100		101
Standard Chartered
1.225%, 05/12/2014 (A) (B)		775		781
State Street
0.631%, 03/07/2014 (A)		590		591
Sumitomo Mitsui Banking
1.350%, 07/18/2015		650		657
Sun Life Financial Global Funding III
0.530%, 10/06/2013 (A) (B)		795		795
SunTrust Banks
3.600%, 04/15/2016		1,250		1,332
Svenska Handelsbanken
0.732%, 03/21/2016 (A)		1,000		1,003
Swedbank Hypotek
0.734%, 03/28/2014 (A) (B)		925		928
Toronto-Dominion Bank
0.577%, 07/14/2014 (A)		1,250		1,253
0.453%, 05/01/2015 (A)		2,205		2,205
Toyota Motor Credit
0.564%, 05/17/2016 (A)		2,760		2,761
TSMC Global
0.950%, 04/03/2016 (B)		550		546
UBS MTN
5.875%, 07/15/2016		1,000		1,121
US Bank
0.557%, 10/14/2014 (A)		1,140		1,141
USAA Capital
3.500%, 07/17/2014 (B)		450		465
Ventas Realty‡
3.125%, 11/30/2015		717		755
Volkswagen International Finance
2.875%, 04/01/2016 (B)		1,225		1,282
1.625%, 08/12/2013 (B)		231		231
0.894%, 04/01/2014 (A) (B)		925		926
Wachovia Bank
0.653%, 11/03/2014 (A)		2,450		2,455
Wells Fargo MTN
1.500%, 07/01/2015		750		761
0.906%, 04/23/2018 (A)		1,250		1,258
Western Union
2.375%, 12/10/2015		145		147

				126,332


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


Health Care — 1.8%
AbbVie
1.200%, 11/06/2015 (B)	$	2,511	$	2,521
Express Scripts Holding
2.750%, 11/21/2014		1,400		1,437
McKesson
0.950%, 12/04/2015		395		396
Merck
0.464%, 05/18/2016 (A)		900		901
Quest Diagnostics
1.134%, 03/24/2014 (A)		850		854
Sanofi
0.594%, 03/28/2014 (A)		200		201
Teva Pharmaceutical Finance III BV
0.782%, 03/21/2014 (A)		1,590		1,595
Thermo Fisher Scientific
2.050%, 02/21/2014		189		191
UnitedHealth Group
0.398%, 08/28/2014 (A)		1,000		1,001
WellPoint
1.250%, 09/10/2015		211		212

				9,309


Industrials — 1.1%
Boeing
0.283%, 11/03/2014 (A)		1,270		1,271
Danaher
1.300%, 06/23/2014		1,170		1,180
General Electric
0.850%, 10/09/2015		2,295		2,300
Penske Truck Leasing
2.500%, 07/11/2014 (B)		85		87
Precision Castparts
0.700%, 12/20/2015		235		235
Tyco Electronics Group
5.950%, 01/15/2014		445		459

				5,532


Information Technology — 0.9%
Dell
0.884%, 04/01/2014 (A)		500		499
Hewlett-Packard
0.673%, 05/30/2014 (A)		1,550		1,546
Xerox
1.094%, 05/16/2014 (A)		2,495		2,492

				4,537


Materials — 0.7%
Anglo American Capital
2.150%, 09/27/2013 (B)		869		872
Rio Tinto Finance USA
8.950%, 05/01/2014		1,000		1,074


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

Xstrata Finance Canada
2.050%, 10/23/2015 (B)	$	1,350	$	1,361
Yara International
5.250%, 12/15/2014 (B)		450		476

				3,783


Telecommunication Services — 2.1%
AT&T
0.800%, 12/01/2015		800		799
0.660%, 02/12/2016 (A)		2,850		2,854
BellSouth
5.200%, 09/15/2014		361		382
British Telecommunications
1.405%, 12/20/2013 (A)		1,350		1,357
Cellco Partnership
5.550%, 02/01/2014		1,090		1,124
Qwest
3.530%, 06/15/2013 (A)		410		410
Telecom Italia Capital
5.250%, 11/15/2013		620		631
Verizon Communications
1.250%, 11/03/2014		750		757
0.474%, 03/06/2015 (A) (B)		1,550		1,547
Vodafone Group
0.659%, 02/19/2016 (A)		1,200		1,201

				11,062


Utilities — 1.7%
Appalachian Power
0.665%, 08/16/2013 (A)		850		850
Commonwealth Edison
1.625%, 01/15/2014		264		266
Dominion Resources
1.800%, 03/15/2014		1,100		1,110
DTE Energy
0.987%, 06/03/2013 (A)		1,180		1,180
Duke Energy
6.300%, 02/01/2014		1,030		1,068
Duke Energy, Carolinas LLC
5.750%, 11/15/2013		175		179
Georgia Power
1.300%, 09/15/2013		225		225
0.600%, 03/15/2016 (A)		1,180		1,181
NextEra Energy Capital Holdings
1.611%, 06/01/2014		350		353
Northeast Utilities
1.030%, 09/20/2013 (A)		615		616
Pacific Gas & Electric
6.250%, 12/01/2013		500		514
Sempra Energy
1.040%, 03/15/2014 (A)		1,200		1,205

				8,747

Total Corporate Obligations (Cost $208,838) ($ Thousands)				209,537


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


ASSET-BACKED SECURITIES — 28.7%

Automotive — 18.1%
Ally Auto Receivables Trust, Ser 2010-3, Cl A3
1.110%, 10/15/2014	$	22	$	22
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/2014		72		72
Ally Auto Receivables Trust, Ser 2010-5, Cl B
2.450%, 06/15/2016 (B)		410		419
Ally Auto Receivables Trust, Ser 2011-1, Cl A4
2.230%, 03/15/2016		1,000		1,015
Ally Auto Receivables Trust, Ser 2011-5, Cl A3
0.990%, 11/16/2015		658		660
Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/2014		230		230
Ally Auto Receivables Trust, Ser 2012-4, Cl A3
0.590%, 01/17/2017		675		675
Ally Auto Receivables Trust, Ser 2012-5, Cl A3
0.620%, 03/15/2017		700		700
Ally Auto Receivables Trust, Ser 2012-SN1, Cl A2
0.510%, 12/22/2014		1,297		1,297
Ally Auto Receivables Trust, Ser 2012-SN1, Cl A4
0.700%, 12/21/2015		325		325
Ally Auto Receivables Trust, Ser 2013-1, Cl A3
0.630%, 05/15/2017		1,600		1,597
Ally Auto Receivables Trust, Ser 2013-SN1, Cl A3
0.720%, 05/20/2016		1,145		1,145
Ally Master Owner Trust, Ser 2011-1, Cl A1
1.069%, 01/15/2016 (A)		1,833		1,840
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/2016		1,250		1,265
Ally Master Owner Trust, Ser 2011-4, Cl A2
1.540%, 09/15/2016		517		523

Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/2017		500		506
Ally Master Owner Trust, Ser 2012-3, Cl A2
1.210%, 06/15/2017		515		518


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

Ally Master Owner Trust, Ser 2013-1, Cl A1
0.649%, 02/15/2018 (A)	$	610	$	611
Ally Master Owner Trust, Ser 2013-2, Cl A
0.649%, 04/15/2018 (A)		1,425		1,425
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl B
3.720%, 11/17/2014		35		35
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/2015		54		54
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/2015		1,453		1,460
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/2017		402		411
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3
1.390%, 09/08/2015		567		568
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/2016		1,728		1,732
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl B
2.280%, 06/08/2016		345		351
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/2015		113		113
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2
0.910%, 10/08/2015		161		161
AmeriCredit Automobile Receivables Trust, Ser 2012-2, Cl A3
1.050%, 10/11/2016		140		141
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A2
0.710%, 12/08/2015		579		580
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3
0.620%, 06/08/2017		675		675
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2
0.490%, 06/08/2016		875		875
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A3
0.650%, 12/08/2017		930		929

ARI Fleet Lease Trust, Ser 2012- A, Cl A
0.749%, 03/15/2020 (A) (B)		109		109
ARI Fleet Lease Trust, Ser 2012- B, Cl A
0.499%, 01/15/2021 (A) (B)		1,203		1,204


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

ARI Fleet Lease Trust, Ser 2013- A, Cl A2
0.700%, 12/15/2015 (B)	$	585	$	585
Avis Budget Rental Car Funding, Ser 2010-2A, Cl A
3.630%, 08/20/2014 (B)		119		119
Avis Budget Rental Car Funding LLC, Ser 2011-1A, Cl A11
1.850%, 11/20/2014 (B)		422		424
CarMax Auto Owner Trust, Ser 2009-2, Cl A4
2.820%, 12/15/2014		97		97
CarMax Auto Owner Trust, Ser 2010-2, Cl A3
1.410%, 02/16/2015		135		136
CarMax Auto Owner Trust, Ser 2010-3, Cl A3
0.990%, 02/17/2015		237		237
CarMax Auto Owner Trust, Ser 2011-3, Cl B
2.170%, 07/17/2017		875		898
CarMax Auto Owner Trust, Ser 2012-1, Cl A3
0.890%, 09/15/2016		347		349
CarMax Auto Owner Trust, Ser 2012-3, Cl A3
0.520%, 07/17/2017		385		385
CarMax Auto Owner Trust, Ser 2012-3, Cl C
1.500%, 08/15/2018		225		224
CarMax Auto Owner Trust, Ser 2013-1, Cl A2
0.420%, 03/15/2016		425		425
CFC LLC, Ser 2013-1A, Cl A
1.650%, 07/17/2017 (B)		215		215
Chesapeake Funding LLC, Ser 2011-2A, Cl A
1.448%, 04/07/2024 (A) (B)		1,188		1,202
Chesapeake Funding LLC, Ser 2012-1A
0.948%, 11/07/2023 (A) (B)		2,160		2,170
Chesapeake Funding LLC, Ser 2012-2A, Cl A
0.648%, 05/07/2024 (A) (B)		1,200		1,202
Credit Acceptance Auto Loan Trust, Ser 2013-1A, Cl A
1.210%, 10/15/2020 (B)		560		558
Enterprise Fleet Financing LLC, Ser 2012-1, Cl A2
1.140%, 11/20/2017 (B)		1,082		1,086

Enterprise Fleet Financing LLC, Ser 2012-2, Cl A2
0.720%, 04/20/2018 (B)		1,000		1,000


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

Enterprise Fleet Financing LLC, Ser 2013-1, Cl A2
0.680%, 09/20/2018 (B)	$	1,235	$	1,234
Fifth Third Auto Trust, Ser 2013- A, Cl A2
0.450%, 01/15/2016		1,005		1,005
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2
0.900%, 10/15/2018 (B)		600		599
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A4
1.420%, 01/15/2015		750		755
Ford Credit Auto Lease Trust, Ser 2012-B, Cl A2
0.540%, 11/15/2014		410		410
Ford Credit Auto Lease Trust, Ser 2012-B, Cl A3
0.570%, 09/15/2015		520		520
Ford Credit Auto Owner Trust, Ser 2010-B, Cl A3
0.980%, 10/15/2014		11		11
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3
0.840%, 06/15/2015		243		244
Ford Credit Auto Owner Trust, Ser 2012-A, Cl B
1.880%, 08/15/2017		875		893
Ford Credit Auto Owner Trust, Ser 2012-C, Cl A3
0.580%, 12/15/2016		386		387
Ford Credit Auto Owner Trust, Ser 2013-A, Cl A2
0.380%, 11/15/2015		605		605
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2
0.799%, 02/15/2016 (A)		847		850
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.669%, 01/15/2016 (A)		1,738		1,741
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A
1.920%, 01/15/2019		875		895
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2
0.579%, 01/15/2018 (A)		2,145		2,145
GE Dealer Floorplan Master Note Trust, Ser 2011-1
0.799%, 07/20/2016 (A)		670		673


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

GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A
0.768%, 02/20/2017 (A)	$	2,078	$	2,090
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A
0.688%, 06/20/2017 (A)		1,625		1,632
GE Dealer Floorplan Master Note Trust, Ser 2012-4, Cl A
0.639%, 10/20/2017 (A)		2,465		2,472
Harley Davidson Motorcycle Trust, Ser 2013-1, Cl A3
0.650%, 07/16/2018		1,000		997
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/2015		3		3
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/2016		888		890
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A2
0.710%, 05/15/2015		73		73
Harley-Davidson Motorcycle Trust, Ser 2012-1, Cl A3
0.680%, 04/15/2017		1,700		1,704
Hertz Vehicle Financing LLC, Ser 2010-1A, Cl A1
2.600%, 02/25/2015 (B)		402		406
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/2016 (B)		418		427
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/2015		403		404
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3
0.770%, 01/15/2016		297		298
Honda Auto Receivables Owner Trust, Ser 2012-3, Cl A3
0.560%, 05/15/2016		450		450
Honda Auto Receivables Owner Trust, Ser 2012-4, Cl A3
0.520%, 08/18/2016		585		584
Huntington Auto Trust, Ser 2011- 1A, Cl A3
1.010%, 01/15/2016 (B)		482		483
Huntington Auto Trust, Ser 2012- 2, Cl A3
0.510%, 04/17/2017		545		545
Hyundai Auto Receivables Trust, Ser 2010-A, Cl A3
1.500%, 10/15/2014		19		19

Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/2015		113		113


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

Hyundai Auto Receivables Trust, Ser 2011-A, Cl B
2.450%, 04/15/2016	$	425	$	436
Hyundai Auto Receivables Trust, Ser 2012-C, Cl A3
0.530%, 04/17/2017		675		675
Hyundai Auto Receivables Trust, Ser 2013-A, Cl A2
0.400%, 12/15/2015		1,250		1,250
Mercedes-Benz Auto Lease Trust, Ser 2012-A, Cl A3
0.880%, 11/17/2014		500		501
Mercedes-Benz Auto Lease Trust, Ser 2013-A, Cl A3
0.590%, 02/15/2016		965		964
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/2015		301		302
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3
0.470%, 10/17/2016		985		984
Mercedes-Benz Master Owner Trust, Ser 2012-AA
0.790%, 11/15/2017 (B)		500		499
Mercedes-Benz Master Owner Trust, Ser 2012-BA, Cl A
0.469%, 11/15/2016 (A) (B)		2,050		2,048
MMCA Automobile Trust, Ser 2012-A, Cl A2
0.810%, 08/15/2014 (B)		204		204
Navistar Financial Dealer Note Master Trust, Ser 2011-1, Cl A
1.343%, 10/25/2016 (A) (B)		450		451
Navistar Financial Owner Trust, Ser 2012-A, Cl A2
0.850%, 03/18/2015 (B)		894		895
Nissan Auto Lease Trust, Ser 2011-A, Cl A3
1.040%, 08/15/2014		291		291
Nissan Auto Lease Trust, Ser 2012-A, Cl A3
0.980%, 05/15/2015		500		502
Nissan Auto Lease Trust, Ser 2012-B, Cl A2A
0.450%, 06/15/2015		330		330
Nissan Auto Lease Trust, Ser 2013-A, Cl A2A
0.450%, 09/15/2015		1,000		1,000
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4
1.310%, 09/15/2016		1,200		1,207


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

Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A3
0.460%, 10/17/2016	$	150	$	150
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A3
0.500%, 05/15/2017		615		614
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.669%, 05/15/2017 (A)		1,230		1,236
Porsche Financial Auto Securitization Trust, Ser 2011- 1, Cl A3
0.840%, 01/16/2015 (B)		31		31
Porsche Innovative Lease Owner Trust, Ser 2011-1
1.090%, 09/22/2014 (B)		283		284
Porsche Innovative Lease Owner Trust, Ser 2011-1, Cl A4
1.260%, 11/20/2017 (B)		575		578
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3
0.540%, 12/21/2015 (B)		430		430
Prestige Auto Receivables Trust, Ser 2013-1A, Cl A2
1.090%, 02/15/2018 (B)		1,775		1,774
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl C
3.890%, 07/17/2017		860		884
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/2015		290		290
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2
0.830%, 04/15/2015		697		698
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A2
0.790%, 08/17/2015		664		666
Santander Drive Auto Receivables Trust, Ser 2013-1, Cl A2
0.480%, 02/16/2016		595		595
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl A3
0.700%, 09/15/2017		1,200		1,199
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl A3
0.700%, 10/16/2017		865		865
SNAAC Auto Receivables Trust, Ser 2013-1A
1.140%, 07/16/2018 (B)		554		554
Toyota Auto Receivables Owner Trust, Ser 2012-B, Cl A3
0.460%, 07/15/2016		1,250		1,249
Toyota Auto Receivables Owner Trust, Ser 2013-A, Cl A3
0.550%, 01/17/2017		280		280


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

Volkswagen Auto Loan Enhanced Trust, Ser 2011-1, Cl A4
1.980%, 09/20/2017	$	1,000	$	1,019
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2
0.610%, 10/20/2014		181		181
Volkswagen Auto Loan Enhanced Trust, Ser 2013-1, Cl A2
0.370%, 01/20/2016		915		915
Volvo Financial Equipment LLC, Ser 2013-1A
0.740%, 03/15/2017 (B)		960		959
World Omni Auto Receivables Trust, Ser 2012-B, Cl A3
0.610%, 06/15/2017		700		700
World Omni Automobile Lease Securitization Trust, Ser 2011- A, Cl A3
1.490%, 10/15/2014		287		287
World Omni Automobile Lease Securitization Trust, Ser 2011- A, Cl A4
1.780%, 09/15/2016		247		249
World Omni Automobile Lease Securitization Trust, Ser 2012- A, Cl A3
0.930%, 11/16/2015		2,199		2,207
World Omni Master Owner Trust, Ser 2013-1, Cl A
0.549%, 02/15/2018 (A) (B)		955		955

				94,500


Credit Cards — 3.2%
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A
1.640%, 11/15/2016 (B)		665		665
American Express Credit Account Master Trust, Ser 2007-2, Cl B
0.379%, 09/15/2016 (A)		1,135		1,135
American Express Credit Account Master Trust, Ser 2009-2, Cl A
1.449%, 03/15/2017 (A)		476		483
American Express Credit Account Master Trust, Ser 2012-2, Cl B
0.990%, 03/15/2018		565		567
Bank of America Credit Card Trust, Ser 2006-A14, Cl A14
0.261%, 04/15/2016 (A)		400		400
Capital One Multi-Asset Execution Trust, Ser 2013-A2, Cl A2
0.379%, 02/15/2019 (A)		1,155		1,155
Chase Issuance Trust, Ser 2008- A13, Cl A13
1.780%, 09/15/2015 (A)		200		201
Chase Issuance Trust, Ser 2012- A3, Cl A3
0.790%, 06/15/2017		825		829


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

Chase Issuance Trust, Ser 2012- A5, Cl A5
0.590%, 08/15/2017	$	1,125	$	1,124

Citibank Omni Master Trust, Ser 2009-A13, Cl A13
5.350%, 08/15/2018 (B)		750		792
Citibank Omni Master Trust, Ser 2009-A14A, Cl A14
2.949%, 08/15/2018 (A) (B)		1,100		1,133
Discover Card Execution Note Trust, Ser 2012-A1, Cl A1
0.810%, 08/15/2017		550		552
Discover Card Execution Note Trust, Ser 2012-A3, Cl A3
0.860%, 11/15/2017		301		303
Discover Card Execution Note Trust, Ser 2013-A3, Cl A3
0.378%, 10/15/2018 (A)		1,115		1,115
Dryrock Issuance Trust, Ser 2012- 1, Cl A
0.349%, 08/15/2017 (A)		425		425
Dryrock Issuance Trust, Ser 2012- 2, Cl A
0.640%, 08/15/2018		1,215		1,210
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A
0.749%, 01/15/2017 (A)		659		661
Golden Credit Card Trust, Ser 2012-3A
0.649%, 07/17/2017 (A) (B)		765		770
Golden Credit Card Trust, Ser 2012-5A, Cl A
0.790%, 09/15/2017 (B)		675		675
Gracechurch Card Funding, Ser 2012-1A, Cl A1
0.899%, 02/15/2017 (A) (B)		1,000		1,007
Gracechurch Card Funding, Ser 2012-4A, Cl A
0.899%, 06/15/2017 (A) (B)		1,000		1,007
Master Credit Card Trust, Ser 2012-2A, Cl A
0.780%, 04/21/2017 (B)		420		420

				16,629


Mortgage Related Securities — 1.1%
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
0.533%, 01/25/2035 (A)		615		602
Ameriquest Mortgage Securities, Ser 2005-R3, Cl A1A
0.400%, 05/25/2035 (A)		32		31
Asset-Backed Securities Home Equity, Ser 2005-HE3, Cl M2
0.862%, 04/25/2035 (A)		109		109
Citigroup Mortgage Loan Trust, Ser 2006-HE1, Cl A4
0.463%, 01/25/2036 (A)		186		184


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

HSBC Home Equity Loan Trust, Ser 2005-1, Cl A
0.489%, 01/20/2034 (A)	$	857	$	844
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.358%, 01/20/2036 (A)		2,627		2,576
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.348%, 03/20/2036 (A)		732		725
HSBC Home Equity Loan Trust, Ser 2006-3, Cl A4
0.438%, 03/20/2036 (A)		884		857

				5,928


Other Asset-Backed Securities — 6.3%
Apidos CLO XII, Ser 2013-12A
1.373%, 04/15/2025 (A) (B)		1,100		1,100
Atrium CDO, Ser 2013-10A, Cl A
1.396%, 07/16/2025 (A) (B)		1,165		1,163
Babson CLO, Ser 2013-IA, Cl A
1.312%, 04/20/2025 (A) (B)		1,200		1,200
Carlyle Global Market Strategies CLO, Ser 2013-2A
1.464%, 04/18/2025 (A) (B)		325		325
CIFC Funding, Ser 2013-1A, Cl A1
1.432%, 04/16/2025 (A) (B)		1,060		1,060
CNH Equipment Trust, Ser 2010- A, Cl A4
2.490%, 01/15/2016		568		571
CNH Equipment Trust, Ser 2010- C, Cl A3
1.170%, 05/15/2015		176		177
CNH Equipment Trust, Ser 2011- C, Cl A2
0.900%, 04/15/2015		55		55
CNH Equipment Trust, Ser 2011- C, Cl A3
1.190%, 12/15/2016		990		995
CNH Equipment Trust, Ser 2012- C, Cl A3
0.570%, 12/15/2017		280		279
CNH Equipment Trust, Ser 2013- A, Cl A2
0.440%, 07/15/2016		785		785
GE Equipment Midticket LLC, Ser 2010-1, Cl A4
1.470%, 07/14/2015 (B)		446		448
GE Equipment Midticket LLC, Ser 2012-1, Cl A2
0.470%, 01/22/2015		275		275
GE Equipment Midticket LLC, Ser 2012-1, Cl A3
0.600%, 05/23/2016		270		270


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

GE Equipment Small Ticket LLC, Ser 2011-2A, Cl A2
1.140%, 06/23/2014 (B)	$	38	$	38
GE Equipment Small Ticket LLC, Ser 2012-1A, Cl A2
0.850%, 11/21/2014 (B)		306		306
GE Equipment Transportation LLC, Ser 2011-1, Cl A4
1.330%, 05/20/2019		335		336
GE Equipment Transportation LLC, Ser 2012-1, Cl A2
0.770%, 09/22/2014		538		538
GE Equipment Transportation LLC, Ser 2012-1, Cl A3
0.990%, 11/23/2015		312		313
GE Equipment Transportation LLC, Ser 2012-2, Cl A3
0.620%, 07/25/2016		1,761		1,759
HLSS Servicer Advance Receivables-Backed Notes, Ser 2012-T2, Cl A2
1.990%, 10/15/2045 (B)		765		780
HLSS Servicer Advance Receivables-Backed Notes, Ser 2013-T2, Cl A2
1.147%, 05/16/2044 (B)		350		350
HLSS Servicer Advance Receivables-Backed Notes, Ser 2013-T1, Cl A1
0.898%, 01/15/2044 (B)		1,990		1,991
HLSS Servicer Advance Receivables-Backed Notes, Ser 2013-T1, Cl A2
1.495%, 01/16/2046 (B)		420		423
JCP&L Transition Funding LLC, Ser 2002-A, Cl A3
5.810%, 12/05/2015		195		198
John Deere Owner Trust, Ser 2012-B, Cl A2
0.430%, 02/17/2015		516		517
John Deere Owner Trust, Ser 2012-B, Cl A3
0.530%, 07/15/2016		605		605
John Deere Owner Trust, Ser 2013-A, Cl A3
0.600%, 03/15/2017		1,600		1,598
Katonah, Ser 2005-7A, Cl B
0.710%, 11/15/2017 (A) (B)		696		682
Macquarie Equipment Funding Trust, Ser 2012-A, Cl A2
0.610%, 04/20/2015 (B)		1,135		1,136
Madison Park Funding I, Ser 2007-4A, Cl A1B
0.584%, 03/22/2021 (A) (B)		580		553
MMAF Equipment Finance LLC, Ser 2012-AA, Cl A2
0.840%, 01/12/2015 (B)		789		790


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

Nelnet Education Loan Funding, Ser 2004-2A, Cl A4
0.413%, 08/26/2019 (A)	$	548	$	547
Octagon Investment Partners XVI, Ser 2013-1A, Cl A
1.425%, 07/17/2025 (A) (B)		1,000		998
OHA Credit Partners VIII, Ser 2013-8A, Cl A
1.395%, 04/20/2025 (A) (B)		690		687
OHA Intrepid Leveraged Loan Fund, Ser 2013-1AR, Cl AR
1.196%, 04/20/2021 (A) (B)		1,250		1,250
PSE&G Transition Funding LLC, Ser 2001-1, Cl A6
6.610%, 06/15/2015		67		67
Securitized Asset-Backed Receivables LLC, Ser 2005- FR4, Cl M1
0.920%, 01/25/2036 (A)		75		75
Sierra Timeshare Receivables Funding LLC, Ser 2007-2A, Cl A2
1.199%, 09/20/2019 (A) (B)		56		56
SLM Student Loan Trust, Ser 2005-5, Cl A2
0.356%, 10/25/2021 (A)		53		53
SLM Student Loan Trust, Ser 2005-8, Cl A2
0.366%, 07/25/2022 (A)		29		29
SLM Student Loan Trust, Ser 2005-9, Cl A4
0.376%, 01/25/2023 (A)		637		636
SLM Student Loan Trust, Ser 2006-4, Cl A4
0.356%, 04/25/2023 (A)		908		908
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.276%, 07/25/2017 (A)		527		527
SLM Student Loan Trust, Ser 2007-3, Cl A2
0.286%, 10/25/2017 (A)		134		133
SLM Student Loan Trust, Ser 2007-7, Cl A2
0.501%, 01/25/2016 (A)		91		91
SLM Student Loan Trust, Ser 2008-5, Cl A2
1.376%, 10/25/2016 (A)		416		417
SLM Student Loan Trust, Ser 2008-6, Cl A2
0.826%, 10/25/2017 (A)		102		102
SLM Student Loan Trust, Ser 2011-1
0.713%, 03/25/2026 (A)		460		462
SLM Student Loan Trust, Ser 2011-A, Cl A1
1.199%, 10/15/2024 (A) (B)		203		204


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

SLM Student Loan Trust, Ser 2011-B, Cl A1
1.049%, 12/16/2024 (A) (B)	$	635	$	638
SLM Student Loan Trust, Ser 2012-5, Cl A1
0.400%, 11/25/2016 (A)		1,233		1,234
SLM Student Loan Trust, Ser 2012-6, Cl A1
0.353%, 02/27/2017 (A)		508		508
SLM Student Loan Trust, Ser 2012-7, Cl A1
0.353%, 02/27/2017 (A)		633		633
SLM Student Loan Trust, Ser 2013-1
0.343%, 02/27/2017 (A)		532		532
SMS Student Loan Trust, Ser 1999-A, Cl A2
0.526%, 10/28/2029 (A)		381		381

				32,784

Total Asset-Backed Securities (Cost $149,679) ($ Thousands)				149,841


MORTGAGE-BACKED SECURITIES — 19.7%

Agency Mortgage-Backed Obligations — 8.1%
FHLMC
1.000%, 08/20/2014 to 10/13/2015		3,400		3,419
FHLMC ARM (A)
2.377%, 05/01/2036		221		233
2.217%, 02/01/2022		278		297
2.190%, 02/01/2030		208		221
FHLMC CMO, Ser 1993-1599, Cl C
6.100%, 10/15/2023		18		18
FHLMC CMO, Ser 2003-2654, Cl OG
5.000%, 02/15/2032		116		117
FHLMC CMO, Ser 2004-2890, Cl KC
4.500%, 02/15/2019		99		101
FHLMC CMO, Ser 2005-2931, Cl AM
4.500%, 07/15/2019		351		359
FHLMC CMO, Ser 2005-3019, Cl DB
4.500%, 05/15/2019		58		58
FHLMC CMO, Ser 2009-3558, Cl AW
4.750%, 08/15/2019		531		541
FHLMC CMO, Ser 2010-3634, Cl EA
4.000%, 11/15/2023		510		522
FHLMC CMO, Ser 2778, Cl JD
5.000%, 12/15/2032		89		91
FHLMC CMO, Ser 2793, Cl GE
5.500%, 11/15/2032		402		408
FHLMC TBA
2.500%, 06/15/2027		1,400		1,427
FNMA
6.000%, 01/01/2027 to 04/01/2040		1,186		1,293


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

5.419%, 11/01/2013	$	365	$	365
5.000%, 02/01/2023 to 03/01/2025		1,413		1,522
4.710%, 03/01/2014		1,172		1,184
1.990%, 01/01/2017		425		429
1.940%, 01/01/2017		497		507
FNMA ARM (A)
2.340%, 01/01/2029		32		34
2.245%, 11/01/2025		25		27
2.178%, 11/01/2023		75		78
2.140%, 09/01/2024		174		182
2.129%, 09/01/2024		70		72
2.042%, 05/01/2028		152		162
1.340%, 11/01/2021		40		41
FNMA Benchmark REMIC CMO, Ser 2007-B1, Cl BE
5.450%, 12/25/2020		263		266
FNMA CMO, Ser 1993-220, Cl FA
0.819%, 11/25/2013(A)		2		2
FNMA CMO, Ser 1993-58, Cl H
5.500%, 04/25/2023		44		48
FNMA CMO, Ser 2001-33, Cl FA
0.650%, 07/25/2031(A)		51		52
FNMA CMO, Ser 2002-64, Cl FG
0.450%, 10/18/2032(A)		39		39
FNMA CMO, Ser 2002-77, Cl CB
5.000%, 12/25/2017		374		398
FNMA CMO, Ser 2010-64, Cl EH
5.000%, 10/25/2035		340		352
FNMA CMO, Ser 2011-109, Cl PK
4.000%, 08/25/2041		412		423
FNMA, Ser 2009-M2, Cl A1
2.387%, 01/25/2019		616		619
FNMA, Ser M3, Cl A1
2.587%, 03/25/2020		442		452
FNMA TBA
3.500%, 06/15/2026 to 06/01/2042		3,100		3,243
3.000%, 06/25/2027		8,028		8,353
2.500%, 06/25/2027		5,889		6,009
GNMA ARM
4.500%, 09/20/2039(A)		217		230
GNMA CMO, Ser 2009-104, Cl NJ
4.250%, 07/20/2036		471		488
GNMA CMO, Ser 2009-113, Cl MJ
4.000%, 03/16/2023		1,417		1,475
GNMA CMO, Ser 2009-24, Cl A
4.500%, 03/20/2034		219		222
GNMA CMO, Ser 2010-122, Cl A
1.897%, 01/16/2032		235		237
GNMA CMO, Ser 2010-43, Cl JA
3.000%, 09/20/2037		560		578
GNMA CMO, Ser 2011-110, Cl A
2.237%, 03/16/2033		260		265


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

NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.650%, 10/07/2020 (A)	$	1,611	$	1,622
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 2A
1.840%, 10/07/2020		28		29
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.568%, 11/06/2017 (A)		418		419
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.648%, 01/08/2020 (A)		995		998
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.600%, 02/06/2020 (A)		582		584
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A
0.580%, 03/06/2020 (A)		751		753
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A
0.583%, 05/07/2020 (A)		629		630

				42,494


Non-Agency Mortgage-Backed Obligations — 11.6%
Arkle Master Issuer, Ser 2010-2A, Cl 1A1
1.690%, 05/17/2060 (A) (B)		956		958
Arkle Master Issuer, Ser 2011-1A, Cl 2A
1.540%, 05/17/2060 (A) (B)		550		551
Banc of America Merrill Lynch Commercial Mortgage, Ser 2003-2, Cl A4
5.061%, 03/11/2041 (A)		356		357
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
3.098%, 07/25/2035 (A)		644		621
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
3.100%, 11/25/2035 (A)		77		70
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
2.903%, 02/25/2036 (A)		182		142
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
2.866%, 06/25/2035 (A)		249		223
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
2.887%, 08/25/2035 (A)		414		338
Bear Stearns Commercial Mortgage Securities Trust, Ser PWR5
4.978%, 07/11/2042 (A)		215		223
Bear Stearns Commercial Mortgage Securities, Ser 2003-PWR2, Cl A4
5.186%, 05/11/2039 (A)		508		510


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

Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4
4.933%, 02/13/2042 (A)	$	1,048	$	1,112
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW10, Cl A4
5.405%, 12/11/2040 (A)		925		1,010
Bear Stearns Commercial Mortgage Securities, Ser PW18, Cl A2
5.613%, 06/11/2050		140		142
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1
0.685%, 09/10/2045		410		409
Citigroup Commercial Mortgage Trust, Ser C2, Cl A5
4.733%, 10/15/2041		1,575		1,641
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.848%, 09/25/2034 (A)		120		121
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
2.951%, 03/25/2036 (A)		354		301
Commercial Mortgage Acceptance, Ser 1998-C2, Cl F
5.440%, 09/15/2030 (B)		27		27
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.299%, 12/15/2020 (A) (B)		12		11
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1
3.156%, 07/10/2046 (B)		997		1,040
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR1, Cl A1
1.116%, 05/15/2045		962		969
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A1
0.666%, 11/15/2045		267		266
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl A1
0.704%, 10/15/2045		614		612
Commercial Mortgage Pass-Through Certificates, Ser 2012- CR5, Cl A1
0.673%, 12/10/2045		522		520
Commercial Mortgage Pass-Through Certificates, Ser CR2, Cl A1
0.824%, 08/15/2045		302		302
Commercial Mortgage Trust, Ser 2012-LC4, Cl A1
1.156%, 12/10/2044		574		577
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-29, Cl 1A1
0.740%, 02/25/2035 (A)		50		48


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

Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 3A1A
2.843%, 02/20/2036 (A)	$	315	$	265
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4
5.137%, 08/15/2036 (A)		82		82
Credit Suisse First Boston Mortgage Securities, Ser 2003-C5, Cl A4
4.900%, 12/15/2036 (A)		892		896
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (B)		760		811
FDIC Commercial Mortgage Trust, Ser 2012-C1, Cl A
0.841%, 05/25/2035 (A) (B)		1,235		1,237
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.754%, 02/25/2048 (A) (B)		393		393
Fosse Master Issuer, Ser 2011-1A
1.677%, 10/18/2054 (A) (B)		844		853
GE Capital Commercial Mortgage, Ser 2004-C3, Cl A4
5.189%, 07/10/2039 (A)		1,352		1,404
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.406%, 05/10/2040 (A)		242		243
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4
4.547%, 12/10/2041		67		67
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.808%, 11/19/2035 (A)		386		346
Greenwich Capital Commercial Funding, Ser 2003-C2, Cl A4
4.915%, 01/05/2036		221		223
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/2036 (A)		727		743
GS Mortgage Securities II, Ser 2004-GG2, Cl A5
5.279%, 08/10/2038 (A)		176		177
GS Mortgage Securities II, Ser 2007-EOP, Cl A1
1.103%, 03/06/2020 (A) (B)		310		311
GS Mortgage Securities II, Ser 2007-EOP, Cl A3
1.456%, 03/06/2020 (A) (B)		1,016		1,019
GS Mortgage Securities II, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (B)		727		778
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1
0.662%, 11/10/2045		362		361


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

GS Mortgage Securities II, Ser GC3, Cl A1
2.331%, 03/10/2044 (B)	$	338	$	344
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
3.099%, 07/25/2035 (A)		452		374
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.776%, 01/25/2036 (A)		583		534
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
2.891%, 05/25/2047 (A)		426		349
Impac CMB Trust, Ser 2004-9, Cl 1A1
0.960%, 01/25/2035 (A)		119		115
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.720%, 04/25/2035 (A)		133		130
Impac CMB Trust, Ser 2005-3, Cl A1
0.680%, 08/25/2035 (A)		124		107
Impac CMB Trust, Ser 2005-5, Cl A1
0.840%, 08/25/2035 (A)		100		90
Impac CMB Trust, Ser 2005-8, Cl 1A
0.460%, 02/25/2036 (A)		319		285
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-LN1, Cl A2
4.920%, 10/15/2037 (A)		466		467
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C1, Cl A3
4.719%, 01/15/2038		684		695
JPMorgan Chase Commercial Mortgage Securities Pass-Through, Ser 2004-C2, Cl A3
5.212%, 05/15/2041 (A)		900		926
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A4
5.570%, 06/12/2041 (A)		382		398
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/2043 (B)		750		788
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C2, Cl A1
2.749%, 11/15/2043 (B)		832		863
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/2046 (B)		1,164		1,174
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A1
1.600%, 08/15/2046		2,078		2,104
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-LC9, Cl A1
0.670%, 12/15/2047		274		272
JPMorgan Chase Commercial Mortgage Securities, Ser C8, Cl A1
0.705%, 10/15/2045		205		204
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2
4.903%, 10/15/2042		503		510


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

JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1
3.025%, 08/25/2035 (A)	$	259	$	246
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1
2.765%, 05/25/2037 (A)		327		260
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/2032 (A)		127		128
LB-UBS Commercial Mortgage Trust, Ser 2004-C8
4.799%, 12/15/2029 (A)		1,206		1,252
LB-UBS Commercial Mortgage Trust, Ser C6, Cl A6
5.020%, 08/15/2029 (A)		1,770		1,832
LB-UBS Commercial Mortgage Trust, Ser C7, Cl A6
4.786%, 10/15/2029 (A)		490		508
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1
0.470%, 04/25/2035 (A)		129		125
Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5
4.855%, 10/12/2041 (A)		866		901
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
3.349%, 06/25/2037 (A)		485		377
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012- C6, Cl A1
0.664%, 11/15/2045		172		171
Morgan Stanley Capital I, Ser 2003-T11, Cl A4
5.150%, 06/13/2041		189		189
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4
4.800%, 01/13/2041		656		662
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A5
5.110%, 06/15/2040 (A)		1,122		1,156
Morgan Stanley Capital I, Ser 2004-T13, Cl A4
4.660%, 09/13/2045		1,221		1,232
Morgan Stanley Capital I, Ser 2004-T15, Cl A4
5.270%, 06/13/2041 (A)		600		620
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A4
5.168%, 01/14/2042		635		665
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051		621		614
MortgageIT Trust, Ser 2005-5, Cl A1
0.460%, 12/25/2035 (A)		452		422


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

Mortgage-Linked Amortizing Notes CMO, Ser 2012-1, Cl A10
2.060%, 01/15/2022	$	205	$	209
Paragon Mortgages, Ser 2006-12A, Cl A2C
0.510%, 11/15/2038 (A) (B)		172		153
Paragon Mortgages, Ser 2007-15A, Cl A2C
0.390%, 12/15/2039 (A) (B)		416		367
Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1
4.041%, 07/27/2037 (A)		360		300
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.468%, 01/20/2035 (A)		56		54
Silverstone Master Issuer, Ser 2012-1A, Cl 1A
1.826%, 01/21/2055 (A) (B)		225		230
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A
1.270%, 06/25/2058 (A) (B)		807		808
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1
0.726%, 08/10/2049		464		463
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4
0.673%, 12/10/2045		374		372
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5
0.779%, 03/10/2046		955		952
UBS-Citigroup Commercial Mortgage Trust, Ser 2011-C1, Cl A1
1.524%, 01/10/2045		1,041		1,052
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A4
4.964%, 11/15/2035 (A)		456		463
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/2042		625		664
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4
5.239%, 10/15/2044 (A)		545		589
Wachovia Bank Commercial Mortgage Trust, Ser C22
5.290%, 12/15/2044 (A)		1,050		1,144
Wachovia Bank Commercial Mortgage Trust, Ser C6, Cl A4
5.125%, 08/15/2035 (A)		194		194
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.480%, 03/25/2036 (A)		523		468
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1
0.687%, 10/15/2045		470		469


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

Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.625%, 01/25/2035 (A)	$	263	$	261
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006- AR10, Cl 2A1
2.633%, 07/25/2036 (A)		419		378
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006- AR12, Cl 1A1
3.037%, 09/25/2036 (A)		307		266
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl A1
2.501%, 02/15/2044 (B)		171		174
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/2044 (B)		1,056		1,074
WFRBS Commercial Mortgage Trust, Ser 2012-C10, Cl A1
0.734%, 12/15/2045		1,271		1,269
WFRBS Commercial Mortgage Trust, Ser 2012-C6, Cl A1
1.081%, 04/15/2045		1,189		1,196
WFRBS Commercial Mortgage Trust, Ser C9, Cl A1
0.673%, 11/15/2045		1,551		1,545

				60,513

Total Mortgage-Backed Securities (Cost $102,866) ($ Thousands)				103,007


U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.8%
FFCB
0.730%, 08/15/2016		2,600		2,602
0.300%, 08/21/2014		2,505		2,507
FHLB
2.750%, 03/13/2015		750		782
FHLMC
0.375%, 04/28/2014		500		501
FNMA
1.250%, 06/20/2016		375		375
0.750%, 02/01/2016 to 09/27/2016		8,025		8,030
0.710%, 12/04/2015		1,130		1,130
0.550%, 02/27/2015		3,935		3,945
0.500%, 03/30/2016		5,000		4,990
NCUA Guaranteed Notes
0.219%, 06/12/2013 (A)		382		382

Total U.S. Government Agency Obligations (Cost $25,255) ($ Thousands)				25,244


MUNICIPAL BONDS — 3.5%
City of Austin, Electric Utility Revenue, Ser B, RB
0.672%, 11/15/2015		1,840		1,836
City of New York, Ser D-2, GO
3.250%, 12/01/2014		500		520


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

El Paso, Taxable Pension, GO
3.610%, 08/15/2014	$	2,030	$	2,104
Florida, Hurricane Catastrophe Fund Finance, Ser A, RB
1.298%, 07/01/2016		1,165		1,166
Irvine, Ranch Water District Joint Powers Agency, RB
2.605%, 03/15/2014		550		559
Kalamazoo, Hospital Finance Authority, Ser B, RB
3.125%, 05/15/2041 (A)		1,270		1,306
Louisiana, Local Government Environmental Facilities & Community Development Authority, RB
1.110%, 02/01/2016		130		130
Nebraska, Public Power District, Ser A, RB
5.140%, 01/01/2014		715		735
New Jersey, Transportation Trust Fund Authority, Ser B, RB
1.087%, 12/15/2016		2,135		2,127
New Jersey, Economic Development Authority, Build America Project, RB
1.280%, 06/15/2013 (A)		580		580
New Jersey, Economic Development Authority, Ser 00, RB
1.059%, 03/01/2016		1,265		1,261
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC
4.252%, 01/01/2016		1,565		1,607
New York, Dormitory Authority, Ser A, RB
5.600%, 12/15/2014		175		188
New York, Urban Development, RB
2.626%, 12/15/2014		605		624
North Carolina, Eastern Municipal Power Agency, Ser C, RB
4.430%, 01/01/2014		650		664

Oregon, School Boards Association, Ser A, GO, NATL- RE FGIC
0.000%, 06/30/2015		500		489
Philadelphia, Industrial Development, RB
1.200%, 04/01/2014		205		206
State of California, GO
5.450%, 04/01/2015		305		331
State of Illinois, GO
4.071%, 01/01/2014		1,000		1,018
Wisconsin, General Fund, Ser A, RB
0.798%, 05/01/2015		820		823

Total Municipal Bonds (Cost $18,244) ($ Thousands)				18,274


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


U.S. TREASURY OBLIGATION (C) (D) — 0.2%
U.S. Treasury Notes
0.375%, 01/15/2016	$	875	$	874

Total U.S. Treasury Obligation (Cost $874) ($ Thousands)				874


CASH EQUIVALENT — 0.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†		648,357		648

Total Cash Equivalent (Cost $648) ($ Thousands)				648

Total Investments — 97.1% (Cost $506,404) ($ Thousands)			$	507,425

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Short			Expiration Date		Unrealized Appreciation ($ Thousands)
U.S. 10-Year Treasury Note		(45	)		Sep-2013	$	4
U.S. 2-Year Treasury Note		(10	)		Sep-2013		—
U.S. 5-Year Treasury Note		(60	)		Oct-2013		1

						$	5

Percentages

are based on a Net Assets of $522,593 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2013. The date reported on the Schedule of Investments is the final maturity date.

(B)

(C)

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

(D)

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

AMBAC

— American Municipal Bond Assurance Corporation

ARM

— Adjustable Rate Mortgage

CDO

— Collateralized Debt Obligation

— Class

CLO

— Collateralized Loan Obligation

CMO

— Collateralized Mortgage Obligation

FDIC

— Federal Deposit Insurance Corporation

FFCB

— Federal Farm Credit Bank

FGIC

— Federal Guaranty Insurance Company

FHLB

— Federal Home Loan Bank

FHLMC

— Federal Home Loan Mortgage Corporation

FNMA

— Federal National Mortgage Association

GNMA

— Government National Mortgage Association

— General Obligation

LLC

— Limited Liability Company

MTN

— Medium Term Note

NATL-RE

— National Public Finance Guarantee Corporation

NCUA

— National Credit Union Association

— Revenue Bond

REMIC

— Real Estate Mortgage Investment Conduit

Re-REMIC

— Resecuritization of Real Estate Mortgage Investment Conduit

Ser

— Series

TBA

— To Be Announced

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s

investments and other financial instruments carried at value ($ Thousands).


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Corporate Obligations	$	—	$	209,537	$	—	$	209,537
Asset-Backed Securities		—		149,516		325		149,841
Mortgage-Backed Securities		—		103,007		—		103,007
U.S. Government Agency Obligations		—		25,244		—		25,244
Municipal Bonds		—		18,274		—		18,274
U.S. Treasury Obligation		—		874		—		874
Cash Equivalent		648		—		—		648

Total Investments in Securities	$	648	$	506,452	$	325	$	507,425


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	5	$	—	$	—	$	5

(1)

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets.

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, the transfers out of Level 3 were due to changes in the availability of observable inputs used to determine fair value.

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

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

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

LOGO


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

GLOBAL BONDS — 89.0%

Angola — 0.1%
Republic of Angola Via Northern Lights III
7.000%, 08/16/2019		1,313	$	1,405


Argentina — 0.6%
City of Buenos Aires Argentina
9.950%, 03/01/2017 (A)		1,267		1,115
Republic of Argentina
8.750%, 06/02/2017		492		385
8.280%, 12/31/2033		2,684		1,584
8.280%, 12/31/2033		684		391
7.000%, 10/03/2015		360		311
7.000%, 10/03/2015		1,772		1,529
6.000%, 03/31/2023 (B)		172		138
2.500%, 03/31/2019 (C)		458		157
0.000%, 03/31/2023 (B) (D)		1,680		1,260
WPE International Cooperatief
10.375%, 09/30/2020		900		711
10.375%, 09/30/2020 (A)		550		434

				8,015


Azerbaijan — 0.1%
State Oil of the Azerbaijan Republic MTN
5.450%, 02/09/2017		679		721
4.750%, 03/13/2023		200		195

				916


Belarus — 0.2%
Republic of Belarus
8.950%, 01/26/2018		1,590		1,725
8.750%, 08/03/2015		1,380		1,435

				3,160


Bermuda — 0.0%
Bermuda Government International Bond
4.138%, 01/03/2023 (A)		880		909


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Bolivia — 0.0%
Bolivian Government International Bond
4.875%, 10/29/2022			300	$	296


Bosnia and Herzegovina — 0.0%
Republic of Bosnia & Herzegovina
2.063%, 12/11/2021 (D)	DEM		1,500		815


Brazil — 7.5%
Andrade Gutierrez International SA
4.000%, 04/30/2018			203		201
Banco do Brasil
6.250%, 12/31/2049 (A) (D)			363		351
3.875%, 10/10/2022			230		216
Banco Nacional de Desenvolvimento Economico e Social
6.500%, 06/10/2019 (A)			720		825
5.500%, 07/12/2020			100		111
5.500%, 07/12/2020 (A)			400		444
Barclays, CLN (Federal Republic of Brazil)
10.000%, 01/01/2017	BRL		3,140		1,493
10.000%, 01/01/2021	BRL		900		415
10.000%, 01/01/2023	BRL		17,640		8,130
6.000%, 08/15/2020	BRL		940		1,132
BM&F Bovespa
5.500%, 07/16/2020 (A)			406		445
BR Properties
9.000%, 12/31/2049 (A)			180		191
Braskem Finance
7.375%, 10/04/2049			100		104
Brazil Letras do Tesouro Nacional
8.690%, 01/01/2015	BRL		12,930		5,307
Brazil Notas do Tesouro Nacional Serie B
13.199%, 05/15/2015	BRL		3,630		4,116
10.674%, 08/15/2020	BRL		8,419		10,143
6.000%, 08/15/2050	BRL		1,710		2,196
Brazil Notas do Tesouro Nacional Serie F
10.000%, 01/01/2017	BRL		1,945		925
10.000%, 01/01/2021	BRL		3,079		1,418
10.000%, 01/01/2023	BRL		5,054		2,329
Centrais Eletricas Brasileiras
5.750%, 10/27/2021			230		240
Cia Energetica de Sao Paulo MTN
9.750%, 01/15/2015			670		492
ESAL GmbH
6.250%, 02/05/2023 (A)			296		294
Federal Republic of Brazil
10.250%, 01/10/2028	BRL		980		524
10.125%, 05/15/2027			1,393		2,326


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
8.875%, 04/15/2024			510	$	750
8.500%, 01/05/2024	BRL		10,320		5,184
8.250%, 01/20/2034			4,226		6,128
8.000%, 01/15/2018			1,091		1,255
7.125%, 01/20/2037			2,410		3,157
5.875%, 01/15/2019			840		981
4.875%, 01/22/2021			2,179		2,446
2.625%, 01/05/2023			3,435		3,186
Fibria Overseas Finance
6.750%, 03/03/2021			600		657
General Shopping Finance
10.000%, 12/31/2049 (A)			43		44
Globo Comunicacao e Participacoes
6.250%, 07/20/2015 (C)			162		171
HSBC, CLN (Federal Republic of Brazil)
10.000%, 01/01/2017	BRL		8,230		3,913
10.000%, 01/01/2021	BRL		7,500		3,455
10.000%, 01/01/2021	BRL		7,120		3,280
6.000%, 08/15/2022	BRL		900		1,092
Hypermarcas
6.500%, 04/20/2021 (A)			200		213
Itau Unibanco Holding
5.650%, 03/19/2022 (A)			232		240
5.125%, 05/13/2023 (A)			388		386
JBS Finance II
8.250%, 01/29/2018			80		85
8.250%, 01/29/2018 (A)			1,100		1,166
JPMorgan Chase, CLN (Nota do Tesouro Nacional)
10.000%, 01/01/2017	BRL		23,730		11,283
10.000%, 01/01/2023	BRL		2,800		1,290
6.000%, 05/15/2015	BRL		390		442
Marfrig Holding Europe
8.375%, 05/09/2018			1,052		968
Marfrig Overseas
9.500%, 05/04/2020			1,700		1,589
Minerva Luxembourg
12.250%, 02/10/2022			800		956
12.250%, 02/10/2022 (A)			500		598
7.750%, 01/31/2023			200		206
7.750%, 01/31/2023 (A)			295		304
Odebrecht Drilling Norbe VIII
6.350%, 06/30/2021			295		317
6.350%, 06/30/2021 (A)			187		202
Odebrecht Finance
5.125%, 06/26/2022 (A)			200		209
OGX Austria GmbH
8.500%, 06/01/2018 (A)			742		423
8.375%, 04/01/2022			600		330
8.375%, 04/01/2022 (A)			700		385
OSX 3 Leasing
9.250%, 03/20/2015 (A)			600		570
QGOG Atlantic
5.250%, 07/30/2018 (A)			301		311


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Samarco Mineracao
4.125%, 11/01/2022 (A)			457	$	431
Schahin II Finance
5.875%, 09/25/2022 (A)			697		723
Vale
5.625%, 09/11/2042			340		317
Vale Overseas
8.250%, 01/17/2034			410		501
6.875%, 11/21/2036			280		301
Voto-Votorantim Overseas Trading Operations
6.625%, 09/25/2019 (A)			600		684

					105,497


Chile — 1.0%
Automotores Gildemeister
6.750%, 01/15/2023			600		549
Banco del Estado de Chile
4.125%, 10/07/2020			160		168
4.125%, 10/07/2020 (A)			300		315
3.875%, 02/08/2022 (A)			250		256
Bonos de la Tesoreria de la Republica en pesos
6.000%, 01/01/2020	CLP		90,000		188
BRT Escrow
8.000%, 08/18/2018 (A)			1,221		1,076
Cencosud
4.875%, 01/20/2023 (A)			300		300
Chile Government International Bond
5.500%, 08/05/2020	CLP		563,000		1,186
3.250%, 09/14/2021			596		612
Empresa Nacional del Petroleo
6.250%, 07/08/2019			200		224
6.250%, 07/08/2019 (A)			30		34
5.250%, 08/10/2020			120		128
5.250%, 08/10/2020 (A)			280		298
Nacional del Cobre de Chile
7.500%, 01/15/2019			190		236
6.150%, 10/24/2036			958		1,102
6.150%, 10/24/2036 (A)			569		655
5.625%, 09/21/2035			1,760		1,896
4.250%, 07/17/2042 (A)			1,136		1,002
3.875%, 11/03/2021			447		458
3.875%, 11/03/2021 (A)			450		462
3.750%, 11/04/2020			220		226
3.750%, 11/04/2020 (A)			310		318
3.000%, 07/17/2022 (A)			1,660		1,584
SMU
7.750%, 02/08/2020			600		624
Telefonica Chile
3.875%, 10/12/2022 (A)			401		385

					14,282


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

China — 1.7%
Agile Property Holdings
8.875%, 04/28/2017			551	$	584
Amber Circle Funding
3.250%, 12/04/2022			1,020		975
Bestgain Real Estate
2.625%, 03/13/2018			200		192
China Overseas Finance Cayman II
5.500%, 11/10/2020			100		111
China Overseas Finance Cayman V
3.950%, 11/15/2022			200		197
China Railway Resources Huitung
3.850%, 02/05/2023			330		322
China Shanshui Cement Group
10.500%, 04/27/2017			200		222
10.500%, 04/27/2017			200		223
10.500%, 04/27/2017 (A)			750		834
CNPC General Capital
3.400%, 04/16/2023 (A)			380		371
CNPC HK Overseas Capital
5.950%, 04/28/2041			400		469
COSCO Finance 2011
4.000%, 12/03/2022			200		194
Country Garden Holdings
11.250%, 04/22/2017			410		448
7.500%, 01/10/2023			400		407
7.500%, 01/10/2023 (A)			202		206
Evergrande Real Estate Group
13.000%, 01/27/2015			300		321
13.000%, 01/27/2015			400		428
13.000%, 01/27/2015 (A)			350		374
9.250%, 01/19/2016	CNY		5,600		930
7.500%, 01/19/2014	CNY		3,280		540
Franshion Development
6.750%, 04/15/2021 (A)			430		454
Gemdale International Investment
7.125%, 11/16/2017			700		738
Hidili Industry International Development
8.625%, 11/04/2015			800		659
Longfor Properties
9.500%, 04/07/2016			600		648
Mega Advance Investments
5.000%, 05/12/2021 (A)			200		219
MIE Holdings
9.750%, 05/12/2016 (A)			200		212
Sinochem Offshore Capital
1.800%, 01/18/2014	CNY		3,000		485
Sinochem Overseas Capital
6.300%, 11/12/2040			290		321
4.500%, 11/12/2020			2,429		2,585
4.500%, 11/12/2020 (A)			5,168		5,500
Sinopec Capital 2013
3.125%, 04/24/2023 (A)			1,369		1,287


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Sinopec Group Overseas Development 2012
4.875%, 05/17/2042 (A)			320	$	322
Sunac China Holdings
12.500%, 10/16/2017			400		458
9.375%, 04/05/2018			1,300		1,355
Tencent Holdings
4.625%, 12/12/2016 (A)			200		216
3.375%, 03/05/2018 (A)			230		235

					24,042


Colombia — 3.5%
Bancolombia
5.125%, 09/11/2022			284		281
Bogota Distrito Capital
9.750%, 07/26/2028	COP		300,000		231
9.750%, 07/26/2028 (A)	COP		10,018,000		7,712
Citigroup Funding, CLN (Republic of Colombia) MTN
11.000%, 07/27/2020	COP		8,365,000		5,705
Colombia Telecomunicaciones ESP
5.375%, 09/27/2022 (A)			200		197
Colombian TES
10.000%, 07/24/2024	COP		3,012,000		2,122
7.500%, 08/26/2026	COP		2,650,000		1,525
Ecopetrol
7.625%, 07/23/2019			40		49
7.625%, 07/23/2019 (A)			210		256
Emgesa ESP
8.750%, 01/25/2021	COP		940,000		579
Empresa de Energia de Bogota
6.125%, 11/10/2021			200		217
Empresas Publicas de Medellin ESP
8.375%, 02/01/2021	COP		334,000		202
Grupo Aval
5.250%, 02/01/2017 (A)			200		210
4.750%, 09/26/2022 (A)			234		229
Gruposura Finance
5.700%, 05/18/2021 (A)			272		297
Pacific Rubiales Energy
5.125%, 03/28/2023 (A)			334		337
Republic of Colombia
12.000%, 10/22/2015	COP		490,000		300
11.750%, 02/25/2020			3,018		4,595
10.375%, 01/28/2033			160		265
9.850%, 06/28/2027	COP		4,375,000		3,279
8.125%, 05/21/2024			1,140		1,579
7.750%, 04/14/2021	COP		4,434,000		2,783
7.375%, 01/27/2017			310		369
7.375%, 03/18/2019			1,992		2,487
7.375%, 09/18/2037			4,770		6,511
6.125%, 01/18/2041			1,770		2,120


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
4.375%, 07/12/2021			2,154	$	2,337
4.375%, 03/21/2023	COP		1,484,000		744
2.625%, 03/15/2023			1,113		1,035
Titulos de Tesoreria
7.000%, 02/25/2015	COP		620,000		731
Transportadora de Gas Internacional ESP
5.700%, 03/20/2022 (A)			200		217

					49,501


Costa Rica — 0.1%
Costa Rica Government International Bond
5.625%, 04/30/2043 (A)			701		685
4.375%, 04/30/2025 (A)			693		676
4.250%, 01/26/2023			690		673
Instituto Costarricense de Electricidad
6.375%, 05/15/2043 (A)			290		272

					2,306


Croatia — 0.7%
Republic of Croatia
6.750%, 11/05/2019			2,655		2,958
6.625%, 07/14/2020			2,413		2,665
6.375%, 03/24/2021			1,330		1,452
6.375%, 03/24/2021 (A)			200		219
6.250%, 04/27/2017			200		216
6.250%, 04/27/2017 (A)			1,216		1,315
5.875%, 07/09/2018	EUR		170		239
5.500%, 04/04/2023 (A)			382		390
Zagrebacki Holding
5.500%, 07/10/2017	EUR		950		1,052

					10,506


Czech Republic — 0.1%
Central European Media Enterprises
11.625%, 09/15/2016	EUR		900		1,231
11.625%, 09/15/2016 (A)	EUR		600		821

					2,052


Dominican Republic — 0.5%
Republic of Dominican Republic
9.040%, 01/23/2018			1,827		2,028
7.500%, 05/06/2021			2,889		3,272
7.500%, 05/06/2021 (A)			520		589
5.875%, 04/18/2024 (A)			780		796

					6,685


Ecuador — 0.0%
Republic of Ecuador
9.375%, 12/15/2015			580		603


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

Egypt — 0.1%
Arab Republic of Egypt
6.875%, 04/30/2040		300	$	234
5.750%, 04/29/2020		200		170
5.750%, 04/29/2020 (A)		270		229
Nile Finance
5.250%, 08/05/2015		260		234

				867


El Salvador — 0.2%
Republic of El Salvador
8.250%, 04/10/2032		150		173
7.750%, 01/24/2023		367		428
7.650%, 06/15/2035		110		118
7.650%, 06/15/2035		400		428
7.625%, 02/01/2041 (A)		150		160
7.375%, 12/01/2019		440		507
7.375%, 12/01/2019 (A)		250		288
5.875%, 01/30/2025		500		503
Telemovil Finance
8.000%, 10/01/2017		600		649

				3,254


Gabon — 0.0%
Republic of Gabonese Republic
8.200%, 12/12/2017		100		117


Georgia — 0.1%
Georgian Railway JSC
7.750%, 07/11/2022 (A)		420		487
Republic of Georgia
6.875%, 04/12/2021		200		233
6.875%, 04/12/2021 (A)		310		360

				1,080


Germany — 0.3%
Desarrolladora Homex MTN
10.000%, 01/06/2021		3,500		3,579
Deutsche Bank, CLN (Cablevision) MTN
9.375%, 02/13/2018 (A)		1,107		825

				4,404


Ghana — 0.1%
Republic of Ghana
8.500%, 10/04/2017		490		551
8.500%, 10/04/2017 (A)		300		338

				889


Guatemala — 0.2%
Guatemala Government Bond
5.750%, 06/06/2022		1,050		1,134
4.875%, 02/13/2028		600		585


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
4.875%, 02/13/2028 (A)			364	$	355

					2,074


Hong Kong — 0.4%
Central China Real Estate
12.250%, 10/20/2015			500		549
CFG Investment
9.750%, 07/30/2019			550		507
CFG Investment SAC
9.750%, 07/30/2019 (A)			550		507
China Oriental Group
8.000%, 08/18/2015			200		202
8.000%, 08/18/2015 (A)			650		656
Fosun International
7.500%, 05/12/2016			600		630
Hengdeli Holdings
6.250%, 01/29/2018			990		1,006
Hutchison Whampoa International 10
6.000%, 12/31/2049 (D)			264		280
Industrial & Commercial Bank of China Asia MTN
5.125%, 11/30/2020			610		661
Shimao Property Holdings
11.000%, 03/08/2018			600		674

					5,672


Hungary — 3.0%
Magyar Export-Import Bank RT
5.500%, 02/12/2018 (A)			215		222
Republic of Hungary
8.000%, 02/12/2015	HUF		1,541,330		7,134
7.750%, 08/24/2015	HUF		1,522,550		7,118
7.625%, 03/29/2041			2,264		2,468
7.000%, 06/24/2022	HUF		632,000		3,031
6.750%, 02/24/2017	HUF		271,840		1,267
6.750%, 11/24/2017	HUF		1,469,330		6,891
6.500%, 06/24/2019	HUF		167,000		782
6.375%, 03/29/2021			1,716		1,864
6.250%, 01/29/2020			850		921
6.000%, 01/11/2019	EUR		1,024		1,431
6.000%, 11/24/2023	HUF		88,440		398
5.500%, 05/06/2014	GBP		598		923
5.500%, 12/22/2016	HUF		458,390		2,061
5.500%, 12/20/2018	HUF		119,000		530
5.375%, 02/21/2023			1,224		1,220
5.000%, 03/30/2016	GBP		253		386
4.125%, 02/19/2018			1,640		1,634
3.500%, 07/18/2016	EUR		1,819		2,354

					42,635


India — 0.3%
Bharti Airtel International Netherlands
5.125%, 03/11/2023			300		297


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
5.125%, 03/11/2023 (A)			283	$	280
Export-Import Bank of India MTN
4.000%, 08/07/2017			220		229
ICICI Bank
5.750%, 11/16/2020			100		108
5.750%, 11/16/2020 (A)			127		138
NTPC MTN
4.750%, 10/03/2022			200		208
Reliance Holdings USA
6.250%, 10/19/2040			300		335
5.400%, 02/14/2022 (A)			250		273
Vedanta Resources
8.250%, 06/07/2021			900		972
8.250%, 06/07/2021 (A)			200		216
7.125%, 05/31/2023 (A)			268		266
6.000%, 01/31/2019 (A)			531		529

					3,851


Indonesia — 4.9%
Adaro Indonesia
7.625%, 10/22/2019 (A)			480		511
Deutsche Bank, CLN (Republic of Indonesia)
7.000%, 05/15/2022	IDR		6,000,000		659
7.000%, 05/15/2027	IDR		2,500,000		266
Indo Energy Finance II
6.375%, 01/24/2023			300		291
6.375%, 01/24/2023 (A)			408		396
Indonesia Treasury Bond
6.125%, 05/15/2028	IDR		13,000,000		1,263
Indosat Palapa
7.375%, 07/29/2020 (A)			210		229
JPMorgan, CLN (Republic of Indonesia)
7.000%, 05/15/2022	IDR		126,000,000		13,833
6.250%, 04/15/2017	IDR		1,600,000		171
6.125%, 05/15/2028	IDR		1,700,000		165
5.625%, 05/15/2023	IDR		3,800,000		378
5.250%, 05/15/2018	IDR		22,300,000		2,291
Majapahit Holding
8.000%, 08/07/2019			200		245
8.000%, 08/07/2019 (A)			350		428
7.875%, 06/29/2037 (A)			215		270
7.750%, 10/17/2016			160		184
7.750%, 10/17/2016			250		287
7.750%, 01/20/2020 (A)			320		388
Pertamina Persero
6.500%, 05/27/2041 (A)			820		834
6.000%, 05/03/2042 (A)			1,450		1,374
5.625%, 05/20/2043 (A)			970		875
4.875%, 05/03/2022 (A)			550		553
Perusahaan Listrik Negara
5.500%, 11/22/2021 (A)			390		417
5.250%, 10/24/2042			200		178


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Republic of Indonesia
11.625%, 03/04/2019			1,006	$	1,444
11.625%, 03/04/2019			1,981		2,843
11.625%, 03/04/2019 (A)			2,610		3,745
11.000%, 10/15/2014	IDR		5,300,000		586
10.375%, 05/04/2014			170		184
8.500%, 10/12/2035			531		759
8.500%, 10/12/2035			100		143
8.500%, 10/12/2035			1,840		2,631
8.250%, 06/15/2032	IDR		50,032,000		5,873
7.750%, 01/17/2038			924		1,234
7.750%, 01/17/2038			4,137		5,523
7.000%, 05/15/2022	IDR		28,020,000		3,076
6.875%, 01/17/2018			3,045		3,593
6.875%, 01/17/2018 (A)			100		118
6.625%, 05/15/2033	IDR		20,880,000		2,076
6.625%, 02/17/2037			70		83
6.625%, 02/17/2037			100		119
6.250%, 04/15/2017	IDR		17,400,000		1,856
5.875%, 03/13/2020			310		356
5.875%, 03/13/2020 (A)			790		906
5.625%, 05/15/2023	IDR		11,280,000		1,123
4.875%, 05/05/2021			1,111		1,194
4.875%, 05/05/2021 (A)			550		591
3.750%, 04/25/2022			476		469
3.375%, 04/15/2023 (A)			2,114		1,998

					69,009


Iraq — 0.3%
Republic of Iraq
5.800%, 01/15/2028			5,097		4,460


Israel — 0.2%
Altice Financing
8.000%, 12/15/2019	EUR		540		773
7.875%, 12/15/2019			900		996
Altice Finco
9.875%, 12/15/2020			800		908

					2,677


Ivory Coast — 0.3%
Government of Ivory Coast
7.100%, 12/31/2032			3,527		3,280
3.750%, 12/31/2032			1,485		1,381

					4,661


Jamaica — 0.2%
Digicel Group
10.500%, 04/15/2018			770		836
8.250%, 09/30/2020			1,600		1,704
8.250%, 09/30/2020 (A)			500		533

					3,073


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

Kazakhstan — 1.7%
ATF Bank JSC
9.000%, 05/11/2016		400	$	388
Development Bank of Kazakhstan JSC
4.125%, 12/10/2022		880		839
Halyk Savings Bank of Kazakhstan
7.250%, 01/28/2021 (A)		700		757
KazAgro National Management Holding JSC
4.625%, 05/24/2023 (A)		420		400
Kazakhstan Temir Zholy Finance
6.950%, 07/10/2042		500		564
6.375%, 10/06/2020		660		743
Kazatomprom
6.250%, 05/20/2015		250		264
6.250%, 05/20/2015 (A)		350		370
Kazkommertsbank MTN
8.000%, 11/03/2015		400		398
7.875%, 04/07/2014		100		101
7.500%, 11/29/2016		1,000		977
Kazkommertsbank JSC Via Citigroup Global Markets
8.700%, 04/07/2014 (C) (D)		600		591
KazMunaiGaz Finance Sub
11.750%, 01/23/2015		1,859		2,122
9.125%, 07/02/2018		1,068		1,327
9.125%, 07/02/2018 (A)		986		1,225
7.000%, 05/05/2020		2,117		2,469
6.375%, 04/09/2021		200		225
6.375%, 04/09/2021 (A)		3,065		3,448
KazMunayGas National JSC
7.000%, 05/05/2020 (A)		1,331		1,552
5.750%, 04/30/2043 (A)		1,979		1,900
4.400%, 04/30/2023 (A)		1,518		1,469
Tengizchevroil Finance
6.124%, 11/15/2014		138		141
Zhaikmunai Via Zhaikmunai International
7.125%, 11/13/2019		750		804
7.125%, 11/13/2019 (A)		1,020		1,094

				24,168


Latvia — 0.1%
Republic of Latvia
2.750%, 01/12/2020		900		866


Lithuania — 1.0%
Republic of Lithuania
7.375%, 02/11/2020		480		597
7.375%, 02/11/2020 (A)		800		994
6.625%, 02/01/2022		1,300		1,570
6.625%, 02/01/2022 (A)		300		362
6.125%, 03/09/2021		5,166		6,018
6.125%, 03/09/2021 (A)		1,716		1,999


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
5.125%, 09/14/2017			480	$	527
4.850%, 02/07/2018	EUR		1,050		1,507

					13,574


Malaysia — 4.4%
Axiata SPV1 Labuan
5.375%, 04/28/2020			290		323
Malayan Banking MTN
3.250%, 09/20/2022 (D)			200		201
Malaysia Government Bond
5.248%, 09/15/2028	MYR		2,100		802
4.392%, 04/15/2026	MYR		10,900		3,799
4.262%, 09/15/2016	MYR		28,330		9,412
4.160%, 07/15/2021	MYR		13,310		4,530
4.012%, 09/15/2017	MYR		24,350		8,072
3.892%, 03/15/2027	MYR		1,348		453
3.844%, 04/15/2033	MYR		1,110		365
3.580%, 09/28/2018	MYR		7,450		2,436
3.502%, 05/31/2027	MYR		2,100		672
3.492%, 03/31/2020	MYR		13,443		4,364
3.480%, 03/15/2023	MYR		4,750		1,541
3.418%, 08/15/2022	MYR		11,873		3,828
3.314%, 10/31/2017	MYR		7,720		2,494
3.260%, 03/01/2018	MYR		14,170		4,562
3.197%, 10/15/2015	MYR		13,750		4,460
3.172%, 07/15/2016	MYR		2,755		888
Penerbangan Malaysia
5.625%, 03/15/2016			741		824
Petroliam Nasional
7.625%, 10/15/2026			106		147
Petronas Capital
7.875%, 05/22/2022			1,541		2,093
5.250%, 08/12/2019			260		299
5.250%, 08/12/2019 (A)			4,144		4,759
Petronas Capital Registered
7.875%, 05/22/2022			46		63
Wakala Global Sukuk
4.646%, 07/06/2021 (A)			410		455

					61,842


Mexico — 7.7%
America Movil
3.125%, 07/16/2022			200		191
BBVA Bancomer
6.750%, 09/30/2022 (A)			650		730
6.008%, 05/17/2022 (D)			600		615
Cemex
9.500%, 06/15/2018 (A)			243		272
9.000%, 01/11/2018 (A)			344		368
Cemex Espana Luxembourg
9.875%, 04/30/2019			200		224
9.250%, 05/12/2020			900		965
9.250%, 05/12/2020			400		429
9.250%, 05/12/2020 (A)			789		846


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Cemex Finance
9.375%, 10/12/2022 (A)			843	$	944
Comision Federal de Electricidad
5.750%, 02/14/2042 (A)			570		587
4.875%, 05/26/2021			200		216
4.875%, 05/26/2021 (A)			300		324
Desarrolladora Homex
9.750%, 03/25/2020			200		68
9.750%, 03/25/2020 (A)			700		259
GEO
9.250%, 06/30/2020			498		189
8.875%, 03/27/2022 (A)			200		76
Grupo Bimbo
4.875%, 06/30/2020 (A)			215		233
4.500%, 01/25/2022 (A)			100		106
Grupo Senda
10.500%, 10/03/2015			4,390		4,511
Grupo Televisa
6.000%, 05/15/2018			174		201
Metalsa
4.900%, 04/24/2023 (A)			234		233
Mexican Bonos, Ser M20
8.000%, 12/07/2023	MXP		10,150		947
Mexican Bonos
10.000%, 11/20/2036	MXP		25,400		2,830
8.500%, 12/13/2018	MXP		12,119		1,114
8.500%, 05/31/2029	MXP		43,730		4,285
8.500%, 11/18/2038	MXP		33,673		3,297
8.000%, 12/17/2015	MXP		8		1
8.000%, 06/11/2020	MXP		6		1
7.750%, 12/14/2017	MXP		14,673		1,285
7.750%, 05/29/2031	MXP		83,152		7,553
7.750%, 11/13/2042	MXP		11,800		1,066
7.500%, 06/03/2027	MXP		143,493		13,025
6.500%, 06/10/2021	MXP		69,480		5,846
6.500%, 06/09/2022	MXP		113,340		9,493
6.250%, 06/16/2016	MXP		3,830		314
5.000%, 06/15/2017	MXP		26,991		2,129
Mexican Udibonos
4.000%, 11/15/2040	MXP		3,300		1,536
2.500%, 12/10/2020	MXP		15,680		6,443
2.000%, 06/09/2022	MXP		3,970		1,553
Mexichem
6.750%, 09/19/2042 (A)			419		458
4.875%, 09/19/2022 (A)			200		207
Mexico Cetes
4.490%, 06/27/2013 (I)	MXP		208,459		1,620
Mexico Generadora de Energia S de rl
5.500%, 12/06/2032 (A)			200		201
NII Capital
10.000%, 08/15/2016			1,395		1,409
7.625%, 04/01/2021			1,076		896
Oceanografia
11.250%, 07/15/2015			1,386		1,199


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Pemex Project Funding Master Trust
6.625%, 06/15/2035			1,576	$	1,805
5.750%, 03/01/2018			974		1,105
Petroleos Mexicanos
8.000%, 05/03/2019			460		573
6.500%, 06/02/2041			1,200		1,344
6.000%, 03/05/2020			200		229
6.000%, 03/05/2020 (A)			80		92
5.500%, 06/27/2044			50		49
5.500%, 06/27/2044 (A)			190		186
3.500%, 01/30/2023 (A)			210		200
Southern Copper
6.750%, 04/16/2040			162		169
5.250%, 11/08/2042			225		195
United Mexican States MTN
8.300%, 08/15/2031			400		590
7.500%, 04/08/2033			450		623
6.050%, 01/11/2040			2,120		2,512
5.950%, 03/19/2019			1,656		1,962
5.750%, 10/12/2110			6,636		6,885
5.125%, 01/15/2020			2,422		2,761
4.750%, 03/08/2044			2,376		2,358
3.625%, 03/15/2022			380		393
United Mexican States, Ser A MTN
6.750%, 09/27/2034			2,189		2,796
Urbi Desarrollos Urbanos
9.750%, 02/03/2022			1,000		220
9.750%, 02/03/2022 (A)			500		110
9.500%, 01/21/2020			1,030		227

					108,679


Mongolia — 0.1%
Mongolia Government International Bond
5.125%, 12/05/2022			400		373
Mongolian Mining MTN
8.875%, 03/29/2017			1,280		1,216

					1,589


Morocco — 0.2%
Kingdom of Morocco
5.500%, 12/11/2042			700		664
5.500%, 12/11/2042 (A)			200		190
4.250%, 12/11/2022			600		584
4.250%, 12/11/2022 (A)			967		942

					2,380


Nigeria — 1.2%
Afren
11.500%, 02/01/2016			900		1,058
11.500%, 02/01/2016 (A)			700		823
10.250%, 04/08/2019 (A)			400		470
Nigeria Treasury Bill
13.750%, 01/09/2014	NGN		127,930		755


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
12.260%, 12/19/2013	NGN		84,000	$	498
11.780%, 01/23/2014	NGN		236,000		1,385
11.100%, 12/05/2013	NGN		10,000		60
10.970%, 09/05/2013	NGN		29,000		177
10.720%, 03/06/2014	NGN		25,000		146
10.510%, 10/10/2013	NGN		20,000		122
10.150%, 04/10/2014	NGN		110,000		632
6.270%, 03/20/2014	NGN		444,390		2,570
Republic of Nigeria
16.390%, 01/27/2022	NGN		170,000		1,334
16.390%, 01/27/2022	NGN		122,750		963
16.000%, 06/29/2019	NGN		127,000		919
16.000%, 06/29/2019	NGN		256,000		1,853
15.100%, 04/27/2017	NGN		90,540		623
10.700%, 05/30/2018	NGN		8,000		48
6.750%, 01/28/2021 (A)			550		627
Sea Trucks Group
9.000%, 03/26/2018			600		609
9.000%, 03/26/2018 (A)			700		711

					16,383


Pakistan — 0.1%
Pakistan Mobile Communications
8.625%, 11/13/2013 (A)			330		325
Republic of Pakistan
7.125%, 03/31/2016			100		97
7.125%, 03/31/2016			450		436
6.875%, 06/01/2017			10		10
6.875%, 06/01/2017			630		605

					1,473


Panama — 1.0%
ENA Norte Trust
4.950%, 04/25/2023			294		304
Republic of Panama
9.375%, 01/16/2023			595		851
9.375%, 04/01/2029			4,107		6,493
8.875%, 09/30/2027			1,525		2,289
8.125%, 04/28/2034			2,249		3,171
7.125%, 01/29/2026			100		131
6.700%, 01/26/2036			910		1,163
4.300%, 04/29/2053			140		124

					14,526


Paraguay — 0.1%
Republic of Paraguay
4.625%, 01/25/2023			350		346
Telefonica Celular del Paraguay
6.750%, 12/13/2022			200		218
6.750%, 12/13/2022			400		436

					1,000


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Peru — 1.3%
Ajecorp
6.500%, 05/14/2022 (A)			200	$	216
Azucarera del Peru
6.375%, 08/02/2022 (A)			124		128
Banco de Credito del Peru
5.375%, 09/16/2020			10		11
5.375%, 09/16/2020 (A)			306		331
BBVA Banco Continental
5.000%, 08/26/2022 (A)			195		199
Cementos Pacasmayo SAA
4.500%, 02/08/2023 (A)			225		218
Inkia Energy
8.375%, 04/04/2021 (A)			348		390
Peru Enhanced Pass-Through Finance
4.360%, 06/02/2025 (A)			1,000		660
2.770%, 05/31/2018			269		243
2.700%, 05/31/2018 (A)			304		274
Republic of Peru
9.910%, 05/05/2015	PEI		785		327
8.750%, 11/21/2033			5,190		8,109
8.600%, 08/12/2017	PEI		2,260		998
8.200%, 08/12/2026	PEI		1,440		682
7.840%, 08/12/2020	PEI		3,020		1,315
7.350%, 07/21/2025			1,730		2,338
7.125%, 03/30/2019			180		225
6.950%, 08/12/2031	PEI		1,500		625
Volcan Cia Minera SAA
5.375%, 02/02/2022 (A)			112		114

					17,403


Philippines — 1.5%
Development Bank of Philippines
5.500%, 03/25/2021			370		417
National Power
9.625%, 05/15/2028			1,100		1,705
Power Sector
7.390%, 12/02/2024 (A)			650		856
Power Sector Assets & Liabilities Management
7.390%, 12/02/2024			250		329
Republic of Philippines
10.625%, 03/16/2025			1,466		2,412
9.500%, 02/02/2030			2,938		4,693
8.375%, 06/17/2019			460		609
7.750%, 01/14/2031			2,767		3,881
6.375%, 10/23/2034			600		766
6.250%, 01/14/2036	PHP		52,000		1,538
5.500%, 03/30/2026			620		738
4.000%, 01/15/2021			1,293		1,398
3.900%, 11/26/2022	PHP		52,000		1,313

					20,655


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Poland — 6.4%
CEDC Finance International
8.875%, 12/01/2016 (B)	EUR		500	$	531
Eileme 2
11.750%, 01/31/2020	EUR		700		1,068
11.625%, 01/31/2020 (A)			1,350		1,586
Polish Television Holding MTN
13.000%, 11/15/2014 (C)	EUR		100		139
11.000%, 11/15/2014 (A) (C)	EUR		400		557
Republic of Poland
6.375%, 07/15/2019			8,742		10,534
6.250%, 10/24/2015	PLN		3,300		1,079
5.750%, 10/25/2021	PLN		19,935		7,038
5.750%, 09/23/2022	PLN		23,715		8,433
5.750%, 04/25/2029	PLN		3,680		1,368
5.500%, 04/25/2015	PLN		20,890		6,652
5.500%, 10/25/2019	PLN		8,000		2,733
5.250%, 10/25/2017	PLN		4,988		1,646
5.125%, 04/21/2021			200		228
5.000%, 03/23/2022			4,553		5,134
4.750%, 10/25/2016	PLN		5,500		1,765
4.750%, 04/25/2017	PLN		20,930		6,753
4.000%, 10/25/2023	PLN		35,130		11,018
3.750%, 04/25/2018	PLN		11,540		3,591
3.000%, 08/24/2016	PLN		36,480		11,729
3.000%, 03/17/2023			900		862
2.750%, 08/25/2023	PLN		6,558		2,209
2.470%, 07/25/2014	PLN		12,530		3,680

					90,333


Qatar — 0.6%
Qtel International Finance
7.875%, 06/10/2019			613		785
4.750%, 02/16/2021			300		327
4.500%, 01/31/2043			250		235
3.875%, 01/31/2028			200		190
3.875%, 01/31/2028 (A)			200		190
3.250%, 02/21/2023 (A)			255		242
State of Qatar
9.750%, 06/15/2030			623		1,034
6.550%, 04/09/2019			348		426
6.400%, 01/20/2040			1,241		1,570
6.400%, 01/20/2040 (A)			438		554
5.750%, 01/20/2042 (A)			850		986
5.250%, 01/20/2020			326		376
5.250%, 01/20/2020 (A)			1,486		1,713

					8,628


Romania — 0.9%
Romania Government Bond
5.900%, 07/26/2017	RON		2,830		865
5.850%, 07/28/2014	RON		5,660		1,689
5.850%, 04/26/2023	RON		930		293


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
5.800%, 10/26/2015	RON		5,650	$	1,706
5.750%, 04/29/2020	RON		1,390		425
5.600%, 11/28/2018	RON		600		182
Romanian Government International Bond MTN
6.750%, 02/07/2022			2,768		3,264
6.750%, 02/07/2022 (A)			390		460
6.500%, 06/18/2018	EUR		776		1,141
6.000%, 10/19/2013	RON		3,620		1,073
5.850%, 07/28/2014	RON		20		6
4.375%, 08/22/2023			1,390		1,375
4.375%, 08/22/2023 (A)			508		503

					12,982


Russia — 9.6%
Alfa Bank Via Alfa Bond Issuance
7.500%, 09/26/2019			650		696
7.500%, 09/26/2019 (A)			475		509
Brunswick Rail Finance
6.500%, 11/01/2017			650		677
Credit Bank of Moscow Via CBOM Finance
7.700%, 02/01/2018			1,200		1,271
EDC Finance
4.875%, 04/17/2020 (A)			250		247
Edel Capital for Sinek Capital SA
7.700%, 08/03/2015			600		635
EuroChem Mineral & Chemical Via EuroChem GI
5.125%, 12/12/2017 (A)			250		253
Evraz Group
9.500%, 04/24/2018			1,000		1,112
6.750%, 04/27/2018			800		798
6.750%, 04/27/2018 (A)			200		200
Far Eastern Shipping
8.750%, 05/02/2020 (A)			850		876
8.000%, 05/02/2018 (A)			1,500		1,519
Gaz Capital
6.510%, 03/07/2022			300		337
Gazprom Neft OAO Via GPN Capital
4.375%, 09/19/2022			1,227		1,178
4.375%, 09/19/2022 (A)			600		576
Gazprom OAO Via Gaz Capital
9.250%, 04/23/2019			991		1,261
4.950%, 07/19/2022 (A)			932		945
4.950%, 02/06/2028			300		287
4.950%, 02/06/2028 (A)			893		855
Metalloinvest Finance
6.500%, 07/21/2016			800		843
5.625%, 04/17/2020			300		298
MTS International Funding
8.625%, 06/22/2020			400		489
8.625%, 06/22/2020 (A)			1,050		1,283
5.000%, 05/30/2023 (A)			950		940


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Nord
6.375%, 05/07/2018 (A)			200	$	196
Novatek Finance
5.326%, 02/03/2016			375		397
OAO TMK Capital
7.750%, 01/27/2018			1,500		1,558
OJSC Novolipetsk Steel
4.450%, 02/19/2018 (A)			290		285
Promsvyazbank Via PSB Finance
10.200%, 11/06/2019			850		921
8.500%, 04/25/2017			400		435
Ritekro
11.520%, 11/07/2022 (E) (F)			538		200
Rosneft Oil Via Rosneft International Finance
4.199%, 03/06/2022			550		525
Russian Agricultural Bank Via RSHB Capital
6.000%, 06/03/2021 (D)			425		436
5.298%, 12/27/2017 (A)			415		433
Russian Federal Bond - OFZ
8.150%, 02/03/2027	RUB		138,377		4,604
7.600%, 04/14/2021	RUB		522,525		16,852
7.600%, 07/20/2022	RUB		100,246		3,241
7.500%, 03/15/2018	RUB		53,400		1,739
7.500%, 02/27/2019	RUB		313,400		10,185
7.400%, 04/19/2017	RUB		42,321		1,370
7.400%, 06/14/2017	RUB		108,100		3,500
7.350%, 01/20/2016	RUB		17,740		571
7.100%, 03/13/2014	RUB		138,300		4,366
7.050%, 01/19/2028	RUB		24,537		738
7.000%, 12/03/2014 (C)	RUB		35,860		1,095
7.000%, 06/03/2015	RUB		21,780		693
7.000%, 01/25/2023	RUB		80,380		2,494
6.900%, 08/03/2016	RUB		213,100		6,783
6.200%, 01/31/2018	RUB		13,800		428
Russian Foreign Bond - Eurobond
12.750%, 06/24/2028			924		1,732
7.850%, 03/10/2018	RUB		445,000		14,669
7.850%, 03/10/2018 (A)	RUB		10,000		330
7.500%, 03/31/2030			12,519		15,210
5.625%, 04/04/2042			200		219
5.625%, 04/04/2042 (A)			400		438
5.000%, 04/29/2020			300		334
3.250%, 04/04/2017 (A)			1,200		1,249
Russian Railways Via RZD Capital
5.700%, 04/05/2022			399		433
Russian Standard Bank Via Russian Standard Finance
9.250%, 07/11/2017			1,200		1,301
Sberbank of Russia Via SB Capital
6.125%, 02/07/2022			310		342
6.125%, 02/07/2022 (A)			290		320
6.125%, 02/07/2022 (A)			200		220


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
5.717%, 06/16/2021		400	$	430
5.250%, 05/23/2023 (A)		290		283
5.125%, 10/29/2022 (A)		275		272
SCF Capital
5.375%, 10/27/2017 (A)		409		411
Severstal OAO Via Steel Capital
6.700%, 10/25/2017		304		323
5.900%, 10/17/2022		400		387
5.900%, 10/17/2022 (A)		202		195
Sibur Securities
3.914%, 01/31/2018 (A)		520		499
VEB-Leasing Via VEB Leasing Investment
5.125%, 05/27/2016		340		363
Vimpel Communications Via VIP Finance Ireland
7.748%, 02/02/2021		200		221
VimpelCom Holdings
7.504%, 03/01/2022		400		433
7.504%, 03/01/2022 (A)		600		649
6.255%, 03/01/2017		200		211
5.200%, 02/13/2019 (A)		300		298
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/2018		300		353
9.125%, 04/30/2018 (A)		400		471
7.748%, 02/02/2021 (A)		1,490		1,647
Vnesheconombank Via VEB Finance
6.902%, 07/09/2020		1,720		1,985
6.902%, 07/09/2020 (A)		835		964
6.800%, 11/22/2025		230		259
6.800%, 11/22/2025 (A)		600		677
6.025%, 07/05/2022 (A)		860		933
5.450%, 11/22/2017 (A)		340		368
VTB Bank Via VTB Capital
6.950%, 10/17/2022		451		470
6.315%, 02/22/2018		1,046		1,134
VTB Capital
6.875%, 05/29/2018		570		626
6.551%, 10/13/2020 (A)		960		1,044
6.250%, 06/30/2035		396		426

				135,259


Senegal — 0.1%
Republic of Senegal
8.750%, 05/13/2021		400		468
8.750%, 05/13/2021 (A)		650		761

				1,229


Serbia — 0.2%
Republic of Serbia
7.250%, 09/28/2021		1,100		1,220
7.250%, 09/28/2021 (A)		600		665
5.250%, 11/21/2017 (A)		200		204


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
4.875%, 02/25/2020			500	$	492

					2,581


Singapore — 0.5%
MMI International
8.000%, 03/01/2017 (A)			250		258
Sea Production
10.292%, 02/14/2014			5,226		4,808
STATS ChipPAC
4.500%, 03/20/2018 (A)			201		200
Yanlord Land Group
9.500%, 05/04/2017			1,170		1,240

					6,506


Slovak Republic — 0.1%
Slovakia Government International Bond
4.375%, 05/21/2022 (A)			1,403		1,498


Slovenia — 0.0%
Slovenia Government International Bond
5.500%, 10/26/2022 (A)			841		816


South Africa — 5.6%
Edcon PTY
9.500%, 03/01/2018	EUR		800		1,050
9.500%, 03/01/2018	EUR		230		301
Gold Field Orogen
4.875%, 10/07/2020			200		186
Republic of South Africa
13.500%, 09/15/2015	ZAR		16,440		1,899
10.500%, 12/21/2026	ZAR		109,489		13,504
8.750%, 02/28/2048	ZAR		16,500		1,656
8.500%, 06/23/2017			3,038		3,715
8.250%, 09/15/2017	ZAR		37,490		3,990
8.000%, 12/21/2018	ZAR		123,230		13,077
7.750%, 02/28/2023	ZAR		108,416		11,179
7.250%, 01/15/2020	ZAR		30,580		3,120
7.000%, 02/28/2031	ZAR		75,159		6,657
6.875%, 05/27/2019			2,540		3,026
6.750%, 03/31/2021	ZAR		73,630		7,265
6.500%, 02/28/2041	ZAR		17,600		1,371
6.250%, 03/31/2036	ZAR		24,460		1,895
6.250%, 03/08/2041			580		674
5.875%, 05/30/2022			800		918
5.500%, 03/09/2020			1,269		1,412
4.665%, 01/17/2024			932		967
Sappi Papier Holding GmbH
8.375%, 06/15/2019			200		220
8.375%, 06/15/2019 (A)			400		441
Transnet SOC
4.000%, 07/26/2022 (A)			305		287

					78,810


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Sri Lanka — 0.1%
Bank of Ceylon
6.875%, 05/03/2017 (A)			360	$	374
Democratic Socialist Republic of Sri Lanka
7.400%, 01/22/2015 (A)			170		179
6.250%, 10/04/2020			820		845
6.250%, 07/27/2021 (A)			530		543
5.875%, 07/25/2022 (A)			200		200

					2,141


Supra-National — 0.1%
Inter-American Development Bank MTN
5.490%, 08/20/2015	IDR		18,690,000		1,684


Thailand — 2.8%
PTT Global Chemical
4.250%, 09/19/2022 (A)			200		206
PTTEP Canada International Finance MTN
5.692%, 04/05/2021			200		228
Thailand Government Bond
5.670%, 03/13/2028	THB		3,000		119
3.875%, 06/13/2019	THB		48,613		1,671
3.650%, 12/17/2021	THB		262,210		8,833
3.625%, 05/22/2015	THB		177,220		5,956
3.625%, 06/16/2023	THB		130,313		4,348
3.580%, 12/17/2027	THB		70,171		2,245
3.250%, 06/16/2017	THB		164,050		5,491
2.800%, 10/10/2017	THB		112,000		3,679
1.250%, 03/12/2028	THB		31,119		1,035
Thailand Government Index-Linked Bond
1.200%, 07/14/2021	THB		162,352		5,432

					39,243


Turkey — 7.2%
Akbank
5.000%, 10/24/2022			250		259
3.875%, 10/24/2017 (A)			150		154
Export Credit Bank of Turkey
5.875%, 04/24/2019 (A)			200		223
Republic of Turkey
11.875%, 01/15/2030			685		1,267
10.500%, 01/15/2020	TRY		1,690		1,084
10.000%, 12/04/2013	TRY		1,400		759
10.000%, 06/17/2015	TRY		1,900		1,082
9.500%, 01/12/2022	TRY		8,697		5,400
9.000%, 05/21/2014	TRY		5,138		2,971
9.000%, 01/27/2016	TRY		2,400		1,356
9.000%, 03/08/2017	TRY		19,139		11,068
8.500%, 09/14/2022	TRY		11,540		6,797


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
8.000%, 02/14/2034			2,434	$	3,408
7.500%, 09/24/2014	TRY		550		298
7.500%, 09/24/2014	TRY		50		27
7.500%, 07/14/2017			3,004		3,635
7.500%, 11/07/2019			1,437		1,821
7.375%, 02/05/2025			2,280		2,998
7.250%, 03/05/2038			470		620
7.100%, 03/08/2023	TRY		5,350		2,906
7.100%, 03/08/2023	TRY		2,300		1,249
7.000%, 09/26/2016			880		1,023
7.000%, 03/11/2019			280		344
7.000%, 06/05/2020			577		720
6.875%, 03/17/2036			2,385		3,005
6.750%, 04/03/2018			6,842		8,193
6.750%, 05/30/2040			414		520
6.500%, 01/07/2015	TRY		10,950		5,860
6.250%, 09/26/2022			675		823
6.000%, 01/14/2041			1,540		1,771
5.625%, 03/30/2021			410		478
5.125%, 03/25/2022			3,237		3,658
4.875%, 04/16/2043			600		599
4.500%, 02/11/2015	TRY		1,771		1,002
4.000%, 04/29/2015	TRY		5,773		3,262
4.000%, 04/01/2020	TRY		3,623		2,320
3.250%, 03/23/2023 (G)			6,056		5,889
3.000%, 02/23/2022	TRY		16,649		8,881
2.700%, 07/17/2013	TRY		4,005		2,120
Turkiye Garanti Bankasi
7.375%, 03/07/2018	TRY		1,740		933
5.250%, 09/13/2022 (A)			400		422
4.000%, 09/13/2017 (A)			300		309
Yuksel Insaat
9.500%, 11/10/2015			358		247

					101,761


Ukraine — 2.2%
Biz Finance for Ukreximbank
8.375%, 04/27/2015			3,723		3,714
DTEK Finance
9.500%, 04/28/2015 (A)			100		105
7.875%, 04/04/2018			1,200		1,191
Ferrexpo Finance
7.875%, 04/07/2016			1,500		1,489
7.875%, 04/07/2016 (A)			205		203
Financing of Infrastrucural Projects State Enterprise
9.000%, 12/07/2017 (A)			444		461
Government of Ukraine
9.250%, 07/24/2017			2,110		2,268
9.250%, 07/24/2017 (A)			1,611		1,732
7.950%, 02/23/2021			530		546
7.950%, 02/23/2021 (A)			350		360
7.800%, 11/28/2022			1,820		1,838
7.800%, 11/28/2022 (A)			3,482		3,516


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
7.750%, 09/23/2020			500	$	512
7.500%, 04/17/2023 (A)			1,255		1,224
6.875%, 09/23/2015 (A)			484		490
6.250%, 06/17/2016			200		197
6.250%, 06/17/2016 (A)			700		689
Metinvest
10.250%, 05/20/2015			1,680		1,789
8.750%, 02/14/2018			800		800
8.750%, 02/14/2018 (A)			341		341
MHP
8.250%, 04/02/2020			400		394
8.250%, 04/02/2020 (A)			1,000		970
Mriya Agro Holding
9.450%, 04/19/2018 (A)			1,581		1,565
NAK Naftogaz Ukraine
9.500%, 09/30/2014			1,783		1,840
Oschadbank Via SSB #1
8.250%, 03/10/2016			630		624
State Export-Import Bank of Ukraine JSC Via Biz Finance
8.750%, 01/22/2018			970		951
Ukraine Railways Via Shortline
9.500%, 05/21/2018 (A)			250		248
Ukrlandfarming
10.875%, 03/26/2018 (A)			600		588

					30,645


United Arab Emirates — 0.9%
Atlantic Finance
10.750%, 05/27/2014 (C)			1,050		1,123
Dana Gas Sukuk
9.000%, 10/31/2017 (A)			508		511
Dolphin Energy
5.888%, 06/15/2019			507		555
DP World MTN
6.850%, 07/02/2037			1,600		1,812
DP World Sukuk
6.250%, 07/02/2017			400		442
Dubai Electricity & Water Authority
7.375%, 10/21/2020			440		531
7.375%, 10/21/2020 (A)			740		893
Dubai Holding Commercial Operations MTN
4.750%, 01/30/2014	EUR		1,800		2,336
Dubai Holding MTN
6.000%, 02/01/2017	GBP		900		1,399
Emaar Sukuk MTN
6.400%, 07/18/2019			200		220
Emirate of Abu Dhabi MTN
7.750%, 10/05/2020			1,160		1,428
Emirates Airline
5.125%, 06/08/2016			320		336
4.500%, 02/06/2025			400		389
Jafz Sukuk
7.000%, 06/19/2019			250		284


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
MAF Global Securities MTN
5.250%, 07/05/2019		550	$	599

				12,858


United States — 0.3%
Citigroup Funding MTN
16.390%, 01/31/2022 (A)		398		423
7.000%, 10/25/2019 (A)		1,100		1,187
6.000%, 08/16/2018		2,301		2,161

				3,771


Uruguay — 0.5%
Republic of Uruguay PIK
7.875%, 01/15/2033		1,798		2,463
Republic of Uruguay
8.000%, 11/18/2022		942		1,272
7.625%, 03/21/2036		2,277		3,097
4.125%, 11/20/2045		811		709

				7,541


Venezuela — 3.7%
Government of Venezuela
13.625%, 08/15/2018		497		537
13.625%, 08/15/2018		1,493		1,672
12.750%, 08/23/2022		12,064		13,119
11.950%, 08/05/2031		4,951		5,075
11.950%, 08/05/2031		294		301
11.750%, 10/21/2026		3,803		3,860
10.750%, 09/19/2013		210		213
9.250%, 09/15/2027		1,047		953
9.250%, 05/07/2028		660		584
9.000%, 05/07/2023		2,200		1,972
9.000%, 05/07/2023		1,174		1,052
8.500%, 10/08/2014		560		570
8.250%, 10/13/2024		580		487
7.750%, 10/13/2019		780		698
7.650%, 04/21/2025		340		272
7.000%, 12/01/2018		1,409		1,254
7.000%, 03/31/2038		90		67
6.000%, 12/09/2020		380		302
6.000%, 12/09/2020		150		119
Petroleos de Venezuela
12.750%, 02/17/2022		310		329
8.500%, 11/02/2017		5,492		5,176
5.500%, 04/12/2037		670		424
5.375%, 04/12/2027		1,953		1,274
5.250%, 04/12/2017		582		495
5.000%, 10/28/2015		781		717
4.900%, 10/28/2014		10,745		10,316
4.900%, 10/28/2014		141		135

				51,973


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Vietnam — 0.1%
Socialist Republic of Vietnam
6.875%, 01/15/2016			440	$	475
6.750%, 01/29/2020			640		720
Vietnam Joint Stock Commercial Bank for Industry and Trade
8.000%, 05/17/2017 (A)			400		420

					1,615


Zambia — 0.0%
First Quantum Minerals
7.250%, 10/15/2019 (A)			250		249
Zambia Government International Bond
5.375%, 09/20/2022			300		282

					531

Total Global Bonds (Cost $1,231,753) ($ Thousands)					1,256,656


LOAN PARTICIPATIONS — 0.4%

Angola — 0.1%
Republic of Angola
2.317%, 04/30/2016 (E) (F)	EUR		758		941


Indonesia — 0.1%
PT Bumi Resources
11.200%, 08/07/2013			1,973		1,936


Singapore — 0.1%
Morton Bay Senior
6.220%, 12/31/2013 (E) (F)			3,020		2,282


United Arab Emirates — 0.1%
Dubai World
1.000%, 09/30/2015			500		350
1.000%, 09/30/2018			1,015		630

					980

Total Loan Participations (Cost $6,951) ($ Thousands)					6,139


CONVERTIBLE BONDS — 0.1%
Dana Gas Sukuk CV to 13.3333 Shares
7.000%, 10/31/2017 (A)			508		507
Pyrus CV to 83,858.42969 Shares
7.500%, 12/20/2015			700		973
Suzlon Energy CV to 533.2762 Shares
8.194%, 07/25/2014			500		325

Total Convertible Bonds (Cost $1,667) ($ Thousands)					1,805


Description		Face Amount (1) (Thousands)/ Shares/Contracts		Market Value ($ Thousands)

TIME DEPOSITS — 3.6%

United States — 3.6%
Brown Brothers Harriman
4.150% 06/03/2013	ZAR		11	$	—
0.030% 06/03/2013			50,484		50,484
0.001% 06/03/2013	EUR		415		538

Total Time Deposits (Cost $51,022) ($ Thousands)					51,022


AFFILIATED PARTNERSHIP — 0.4%

United States — 0.4%
SEI Liquidity Fund, L.P.
0.100%†** (H)			5,164,383		5,164

Total Affiliated Partnership (Cost $5,164) ($ Thousands)					5,164

Total Investments — 93.5% (Cost $1,296,557) ($ Thousands)				$	1,320,786


PURCHASED OPTIONS — 0.0%

United States — 0.0%
Euro FX Currency Put Option, Expires 09/11/2013, Strike Price $1.27*			10,600,000	$	139
Euro FX Currency Put Option, Expires 10/04/2013, Strike Price $1.28*			9,300,000		154
Euro FX Currency Put Option, Expires 11/08/2013, Strike Price $1.26*			9,300,000		150

Total Purchased Options (Cost $617) ($ Thousands)				$	443

A list of the open forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/3/13-6/14/13		PEI	17,228		USD	6,457	$	148
6/3/13-7/26/13		USD	6,674		PEI	17,866		(134	)
6/3/13-8/29/13		TRY	6,706		USD	3,567		18
6/4/13		USD	3,732		BRL	7,661		(139	)
6/4/13-6/14/13		USD	8,435		COP	15,644,939		(244	)
6/4/13-7/5/13		COP	26,332,649		USD	13,975		201
6/4/13-9/4/13		BRL	32,665		USD	15,670		469
6/5/13-7/17/13		NGN	214,847		USD	1,339		(2	)
6/5/13-7/17/15		CNH	224,004		USD	34,290		(1,531	)
6/5/13-7/17/15		USD	34,223		CNH	224,004		1,597
6/6/13-6/14/13		USD	3,419		CLP	1,673,066		(71	)
6/6/13-6/20/13		CLP	3,657,804		USD	7,582		268
6/10/13-6/28/13		USD	9,884		PLN	31,700		(286	)


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/10/13-8/30/13		PLN	86,610		USD	26,933	$	788
6/14/13		MXP	295,589		USD	23,680		664
6/14/13-7/12/13		THB	275,795		USD	9,242		138
6/14/13-7/23/13		USD	7,533		THB	222,917		(179	)
6/14/13-7/26/13		USD	23,740		MXP	293,380		(937	)
6/17/13		IDR	47,666,061		USD	4,830		(30	)
6/17/13		INR	686,909		USD	12,477		346
6/17/13		USD	3,479		INR	190,018		(123	)
6/17/13-7/22/13		EUR	14,497		USD	19,029		239
6/17/13-7/22/13		GBP	1,815		USD	2,807		56
6/17/13-7/22/13		USD	760		EUR	581		(7	)
6/18/13		MYR	17,280		USD	5,640		68
6/18/13-8/22/13		USD	14,735		MYR	44,464		(442	)
6/21/13-6/28/13		USD	1,898		RON	6,361		(24	)
6/24/13		PHP	72,333		USD	1,751		40
6/24/13		TWD	267,167		USD	9,026		93
6/24/13		USD	1,740		TWD	52,155		4
6/28/13		USD	1,050		ZAR	10,535		(6	)
6/28/13-8/29/13		USD	1,214		TRY	2,243		(24	)
6/28/13-8/30/13		HUF	1,529,318		USD	6,627		(24	)
6/28/13-8/30/13		RUB	597,217		USD	18,773		276
6/28/13-8/30/13		ZAR	139,431		USD	14,175		380
7/17/13		USD	1,248		NGN	199,943		—
7/31/13-8/30/13		USD	67		CZK	1,336		—
8/12/13		CNY	9,259		USD	1,497		(5	)
8/21/13-8/30/13		USD	821		RUB	26,284		(9	)
8/21/13-9/3/13		USD	1,282		HUF	291,717		(16	)
8/30/13		RON	4,674		USD	1,375		7
9/18/13-10/3/13		USD	2,120		ARS	13,739		212
9/27/13		ARS	2,128		USD	360		(1	)

							$	1,778

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	$	(23,591	)	$	23,650	$	59
Barclays PLC		(84,282	)		85,184		902
Brown Brothers Harriman		(94	)		94		—
Citigroup		(44,375	)		44,548		173
Credit Suisse First Boston		(2,725	)		2,890		165
Deutsche Bank		(48,006	)		48,523		517
Goldman Sachs		(9,165	)		8,968		(197	)
HSBC		(94,502	)		94,374		(128	)
JPMorgan Chase Bank		(31,313	)		31,645		332
Standard Chartered Bank		(2,033	)		2,009		(24	)
UBS		(26,463	)		26,442		(21	)

						$	1,778

A list of the open swap agreements held by the Fund at May 31, 2013, is as follows:

For the year ended May 31, 2013, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $1,411,893 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

(1)

In U.S. dollars unless otherwise indicated.

(A)

(B)

Security in default on interest payments.

(C)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2013. The coupon on a step bond changes on a specified date.

(D)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2013. The date reported on the Schedule of Investments is the final maturity date.

(E)

Securities considered illiquid. The total value of such securities as of May 31, 2013 was $3,423 ($ Thousands) and represented 0.24% of Net Assets.

(F)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2013 was $3,423 ($ Thousands) and represented 0.24% of Net Assets.

(G)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $4,863 ($ Thousands).

(H)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2013 was $5,164 ($ Thousands).

(I)

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

ARS — Argentine Peso

BRL — Brazilian Real

CLN — Credit-Linked Note

CLP — Chilean Peso

CNH — Chinese Offshore Yuan

CNY — Chinese Yuan

COP — Colombian Peso

CV — Convertible Security

CZK — Czech Koruna

DEM — German Mark

EUR — Euro

GBP — British Pound Sterling

HUF — Hungarian Forint

IDR — Indonesian Rupiah

INR — Indian Rupee

L.P. — Limited Partnership

MTN — Medium Term Note

MXP — Mexican Peso

MYR — Malaysian Ringgit

NGN — Nigerian Naira

PEI — Peruvian Inca

PHP — Philippine Peso

PIK — Payment-in-Kind

PLC — Public Limited Company

PLN — Polish Zloty

RON — Romanian Leu

RUB — Russian Ruble

Ser — Series

SGD — Singapore Dollar

THB — Thai Baht

TRY — New Turkish Lira

TWD — New Taiwan Dollar

USD — U.S. Dollar

ZAR — South African Rand

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Global Bonds	$	—	$	1,256,456	$	200	$	1,256,656
Loan Participations		—		980		5,159		6,139
Convertible Bonds		—		1,805		—		1,805
Time Deposits		51,022		—		—		51,022
Affiliated Partnership		—		5,164		—		5,164

Total Investments in Securities	$	51,022	$	1,264,405	$	5,359	$	1,320,786


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Purchased Options	$	—	$	443		$	—	$	443
Forwards Contracts*		—		1,778			—		1,778
Interest Rate Swaps*		—		(247	)		—		(247	)
Total Return Swaps*		—		(544	)		—		(544	)

Total Other Financial Instruments	$	—	$	1,430		$	—	$	1,430

(1)

A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets.

Forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

LOGO


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


U.S. TREASURY OBLIGATIONS — 99.3%
U.S. Treasury Inflation-Protected Securities
2.625%, 07/15/2017	$	12,242	$	14,169
2.500%, 07/15/2016		16,451		18,402
2.375%, 01/15/2017		14,274		16,066
2.000%, 07/15/2014		19,616		20,306
2.000%, 01/15/2016		16,827		18,218
1.875%, 07/15/2015		16,880		18,049
1.625%, 01/15/2015		19,410		20,242
1.625%, 01/15/2018		12,972		14,537
0.500%, 04/15/2015		19,210		19,757
0.125%, 04/15/2016		33,720		34,879
0.125%, 04/15/2017		37,904		39,500
0.125%, 04/15/2018		15,311		16,055

Total U.S. Treasury Obligations (Cost $250,130) ($ Thousands)				250,180

Total Investments — 99.3% (Cost $250,130) ($ Thousands)			$	250,180

Percentages are based on Net Assets of $251,852 ($ Thousands).

As of May 31, 2013, all of the Fund’s investments were considered level 2, in accordance with ASC-820.

For the year ended May 31, 2013, there were no transfers between Level 1 and

Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

Amounts designated as “—” are $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 — 11.7%
Amazon.com*		0.7	%		28,200	$	7,587
Comcast, Cl A		0.7			204,300		8,203
Home Depot		0.8			115,700		9,101
McDonald’s		0.7			77,700		7,504
News, Cl A		0.4			155,500		4,993
Walt Disney		0.8			139,700		8,812
Other Securities		7.6					86,886

							133,086


Consumer Staples — 10.4%
Altria Group		0.5			156,100		5,635
Coca-Cola		1.0			296,100		11,841
Coca-Cola Enterprises		0.1			21,700		806
CVS Caremark		0.5			95,600		5,505
PepsiCo		0.9			119,300		9,636
Philip Morris International		1.0			127,300		11,573
Procter & Gamble		1.4			210,800		16,181
Wal-Mart Stores		0.9			129,400		9,684
Other Securities		4.1					47,579

							118,440


Energy — 10.4%
Chevron		1.6			149,800		18,388
ConocoPhillips		0.5			94,800		5,815
Exxon Mobil		2.8			345,100		31,221
Occidental Petroleum		0.5			62,500		5,754
Schlumberger		0.7			102,900		7,515
Other Securities		4.3					49,804

							118,497


Financials — 16.2%
American Express		0.5			74,600		5,648
American International Group*		0.5			114,700		5,100
Bank of America		1.0			836,100		11,421
Berkshire Hathaway, Cl B*		1.4			140,700		16,050
Citigroup		1.1			234,700		12,202
Goldman Sachs Group		0.5			34,000		5,511
JPMorgan Chase		1.4			295,300		16,121


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
US Bancorp		0.5	%		144,900	$	5,080
Wells Fargo		1.4			378,300		15,340
Other Securities		7.9					91,191

							183,664


Health Care — 12.5%
AbbVie		0.5			122,800		5,242
Amgen		0.5			58,100		5,841
Bristol-Myers Squibb		0.5			127,100		5,848
Gilead Sciences*		0.6			118,100		6,434
Johnson & Johnson		1.6			215,600		18,149
Merck		1.0			233,600		10,909
Pfizer		1.3			554,800		15,107
Other Securities		6.5					74,797

							142,327


Industrials — 10.0%
3M		0.5			49,300		5,437
Boeing		0.5			52,900		5,238
General Electric		1.6			801,900		18,700
Union Pacific		0.5			36,400		5,628
United Technologies		0.5			65,400		6,206
Other Securities		6.4					72,130

							113,339


Information Technology — 17.9%
Apple		2.9			72,300		32,512
Cisco Systems		0.9			412,300		9,928
Google, Cl A*		1.6			20,600		17,930
Intel		0.8			382,600		9,290
International Business Machines		1.5			80,800		16,808
Microsoft		1.8			581,300		20,276
Oracle		0.9			285,600		9,642
Qualcomm		0.7			133,000		8,443
Visa, Cl A		0.6			40,000		7,126
Other Securities		6.2					71,503

							203,458


Materials — 3.4%
Other Securities		3.4					37,721


Telecommunication Services — 2.7%
AT&T		1.3			423,900		14,832
Verizon Communications		0.9			220,900		10,709
Other Securities		0.5					5,537

							31,078


Utilities — 3.2%
Other Securities		3.2					35,803

Total Common Stock (Cost $992,130) ($ Thousands)							1,117,413


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

CASH EQUIVALENT — 0.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		0.5%		5,702,681	$	5,703

Total Cash Equivalent (Cost $5,703) ($ Thousands)						5,703

Total Investments — 98.9% (Cost $997,833) ($ Thousands)					$	1,123,116


PURCHASED OPTION — 0.2%
June 2013 SPX UO Index Option Put, Expires 6/22/2013, Strike Price $1,575*				3,000	$	2,490

Total Purchased Option (Cost $1,479) ($ Thousands)					$	2,490

A list of the open forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation ($ Thousands)
7/25/13		EUR	360,735		USD	471,394	$	3,808
7/25/13		JPY	10,968,782		USD	111,818		3,145

							$	6,953

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
BNP Paribas	$	(161,614	)	$	165,834	$	4,220
Citigroup		(11,545	)		11,534		(11	)
Goldman Sachs		(34,881	)		34,871		(10	)
UBS		(368,218	)		370,972		2,754

						$	6,953

Percentages are based on a Net Assets of $1,135,631 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

Cl — Class

EUR — Euro

JPY — Japanese Yen

SPX — Standard & Poor’s 500 Index

USD — United States Dollar

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,117,413	$	—	$	—	$	1,117,413
Cash Equivalent		5,703		—		—		5,703

Total Investments in Securities	$	1,123,116	$	—	$	—	$	1,123,116


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Purchased Option	$	2,490	$	—	$	—	$	2,490
Forwards Contracts*		—		6,953		—		6,953

Total Other Financial Instruments	$	2,490	$	6,953	$	—	$	9,443

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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

LOGO


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

U.S. TREASURY OBLIGATIONS — 51.2%
U.S. Treasury Inflation-Protected Securities
2.625%, 07/15/2017 (A)	$	13,258	$	15,346
2.500%, 07/15/2016		21,508		24,059
2.375%, 01/15/2017		1,408		1,585
2.125%, 01/15/2019		2,320		2,705
2.000%, 07/15/2014		21,432		22,185
2.000%, 01/15/2016		13,552		14,672
1.875%, 07/15/2015		7,420		7,934
1.625%, 01/15/2015		18,264		19,047
1.625%, 01/15/2018		8,922		9,998
1.375%, 07/15/2018		15,560		17,469
0.625%, 07/15/2021		1,244		1,348
0.500%, 04/15/2015		4,356		4,479
0.125%, 04/15/2016		7,872		8,143
0.125%, 04/15/2018		6,238		6,541

Total U.S. Treasury Obligations (Cost $156,510) ($ Thousands)				155,511


REGISTERED INVESTMENT COMPANY — 19.1%
Credit Suisse Commodity Return Strategy Fund		7,694,235		57,938

Total Registered Investment Company (Cost $63,780) ($ Thousands)				57,938


FOREIGN COMMON STOCK — 14.3%

Australia — 0.7%
Arrium (B)		156,380		118
BHP Billiton (B)		58,180		1,903
Stockland‡ (B)		15,180		53

				2,074


Brazil — 0.7%
Petroleo Brasileiro ADR, Cl A		37,670		702
Petroleo Brasileiro ADR		88,930		1,580

				2,282


Description	Shares		Market Value ($ Thousands)

Canada — 3.4%
Agnico Eagle Mines		15,974	$	521
Agrium		7,163		664
Allied Properties, Cl Trust Unit‡		4,980		162
Artis Real Estate Investment Trust, Cl Trust Unit‡		9,740		154
Brookfield Residential Properties*		7,853		173
Cameco		23,460		512
Chartwell Retirement Residences‡		11,330		119
Cominar, Cl Trust Unit‡		8,240		180
Dominion Diamond*		17,000		255
Dundee, Cl A (Canada)‡		5,340		176
Goldcorp		59,080		1,759
Granite Real Estate Investment Trust‡		4,740		175
Kinross Gold		168,150		1,106
Morguard‡		4,990		90
New Gold*		46,580		318
North American Palladium*		243,730		266
RioCan, Cl Trust Unit‡		7,001		186
Suncor Energy		60,840		1,851
Teck Cominco, Cl B		36,460		977
West Fraser Timber		1,530		114
Yamana Gold		58,260		689

				10,447


China — 0.4%
China Petroleum & Chemical (B)		1,256,000		1,281
Evergrande Real Estate Group (B)		81,000		32

				1,313


France — 0.2%
Total (B)		16,000		797


Germany — 0.3%
BASF (B)		8,440		816


Italy — 0.7%
Eni (B)		89,270		2,024


Japan — 0.2%
JFE Holdings (B)		25,200		515


Netherlands — 0.3%
Koninklijke DSM (B)		12,449		815
LyondellBasell Industries, Cl A		1		—

				815


Norway — 0.5%
Aker Solutions (B)		34,240		503
Seadrill		16,020		649
Statoil (B)		21,700		489

				1,641


Description	Shares		Market Value ($ Thousands)

Russia — 0.9%
Gazprom OAO ADR (B)		253,080	$	1,887
MMC Norilsk Nickel ADR (B)		55,850		800

				2,687


Singapore — 0.0%
Mapletree Commercial Trust (B)		44,000		46
UOL Group (B)		9,000		48

				94


South Africa — 0.1%
Exxaro Resources (B)		21,900		344


Sweden — 0.2%
Lundin Petroleum (B)		22,910		473


Switzerland — 0.1%
Glencore Xstrata (B)		66,029		320


Thailand — 0.4%
Banpu (B)		64,550		636
PTT NVDR (B)		57,900		620

				1,256


Turkey — 0.1%
Koza Altin Isletmeleri (B)		15,050		265


United Kingdom — 5.0%
Anglo American (B)		56,280		1,287
BG Group (B)		89,380		1,628
BP (B)		476,090		3,395
InterContinental Hotels Group (B)		1,863		54
Johnson Matthey (B)		8,780		338
Mondi (B)		37,870		497
Rio Tinto (B)		73,760		3,143
Royal Dutch Shell, Cl A (B)		107,276		3,572
Royal Dutch Shell, Cl B (B)		34,770		1,196

				15,110


Ukraine — 0.1%
MHP GDR		18,730		346

Total Foreign Common Stock (Cost $46,121) ($ Thousands)				43,619


COMMON STOCK — 10.5%

Consumer Discretionary — 0.1%
Regal Entertainment Group, Cl A		9,560		169
SeaWorld Entertainment*		3,181		112

				281


Consumer Staples — 0.2%
Bunge		7,290		508


Description	Shares		Market Value ($ Thousands)

Energy — 6.0%
Anadarko Petroleum		12,730	$	1,114
Cabot Oil & Gas		4,800		338
Chevron		22,160		2,720
Diamond Offshore Drilling		7,010		482
EOG Resources		7,440		961
Exxon Mobil		79,010		7,148
Halliburton		15,110		632
Helmerich & Payne		4,060		251
Hess		9,600		647
Murphy Oil		8,110		514
Noble Energy		8,800		507
Occidental Petroleum		17,415		1,603
Schlumberger		13,170		962
Valero Energy		8,130		330

				18,209


Financials — 3.1%
American Realty Capital Properties‡		3,904		59
Armada Hoffler Properties‡*		6,057		69
Ashford Hospitality Trust		14,360		190
Associated Estates Realty‡		11,820		194
AvalonBay Communities		1,425		189
BioMed Realty Trust‡		3,640		76
Boston Properties		1,920		205
Brandywine Realty Trust		7,740		110
CBL & Associates Properties		1,090		25
Chesapeake Lodging Trust‡		4,540		102
Corporate Office Properties Trust‡		1,346		36
CubeSmart‡		2,170		34
CyrusOne‡		5,320		115
DDR‡		8,602		150
Digital Realty Trust‡		2,800		171
Douglas Emmett‡		7,340		187
Duke Realty‡		7,200		119
EPR Properties‡		930		49
Equity Residential‡		4,410		249
Extra Space Storage‡		4,842		203
Federal Realty Investment Trust‡		840		91
Franklin Street Properties‡		1,570		21
General Growth Properties‡		11,350		233
HCP‡		9,220		437
Health Care‡		4,790		326
Home Properties‡		1,130		69
Host Hotels & Resorts‡		11,720		209
Inland Real Estate‡		10,520		108
Investors Real Estate Trust‡		8,219		74
Kimco Realty‡		6,230		138
Lexington Realty Trust‡		10,621		134
Liberty Property Trust‡		2,470		100
LTC Properties‡		4,810		200
Macerich‡		1,070		69


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Mack-Cali Realty‡		4,080	$	108
Medical Properties Trust‡		15,015		223
Mid-America Apartment Communities‡		3,490		237
Omega Healthcare Investors‡		7,960		258
Parkway Properties‡		4,228		73
Pebblebrook Hotel Trust‡		1,010		27
Pennsylvania Real Estate Investment Trust‡		6,970		139
Post Properties‡		920		44
Prologis‡		6,800		274
Public Storage‡		2,330		354
Realty Income‡		3,800		173
RLJ Lodging Trust‡		10,190		236
Sabra Health Care‡		5,170		140
Senior Housing Properties Trust‡		8,660		224
Simon Property Group‡		6,340		1,055
SL Green Realty‡		550		48
Spirit Realty Capital‡		2,709		54
STAG Industrial‡		8,653		190
Sun Communities‡		4,250		212
Ventas‡		5,720		408
Vornado Realty Trust‡		2,340		187

				9,405


Industrials — 0.1%
Masco		8,300		174
Ply Gem Holdings*		2,290		53

				227


Materials — 1.0%
Commercial Metals		42,960		663
Freeport-McMoRan Copper & Gold, Cl B		31,800		987
Monsanto		12,490		1,257
United States Steel		18,990		336

				3,243

Total Common Stock (Cost $28,585) ($ Thousands)				31,873


CORPORATE OBLIGATIONS — 4.0%

Consumer Discretionary — 0.6%
CBS
5.750%, 04/15/2020	$	145		168
3.375%, 03/01/2022		4		4
Comcast
6.450%, 03/15/2037		40		50
DIRECTV Holdings
4.600%, 02/15/2021		60		65
3.800%, 03/15/2022		165		167
Dollar General
4.125%, 07/15/2017		29		31
Macy’s Retail Holdings
3.875%, 01/15/2022		300		314


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
News America
6.150%, 02/15/2041	$	75	$	88
4.500%, 02/15/2021		90		100
3.000%, 09/15/2022		95		93
Omnicom Group
3.625%, 05/01/2022		58		58
Time Warner
4.700%, 01/15/2021		130		145
3.400%, 06/15/2022		180		182
Time Warner Cable
4.125%, 02/15/2021		65		69
4.000%, 09/01/2021		75		78
Wynn Las Vegas
5.375%, 03/15/2022		105		110

				1,722


Consumer Staples — 0.2%
Bunge Finance
4.100%, 03/15/2016		125		133
ConAgra Foods
3.200%, 01/25/2023		82		81
Kroger
3.400%, 04/15/2022		218		221
Reynolds American
3.250%, 11/01/2022		107		104
Tyson Foods
4.500%, 06/15/2022		210		224

				763


Energy — 0.8%
Cimarex Energy
5.875%, 05/01/2022		54		58
DCP Midstream
4.750%, 09/30/2021 (C)		75		79
Energy Transfer Partners
5.200%, 02/01/2022		80		88
4.650%, 06/01/2021		85		91
Enterprise Products Operating
5.200%, 09/01/2020		110		127
Kinder Morgan Energy Partners
4.150%, 03/01/2022		48		50
3.950%, 09/01/2022		261		270
Marathon Petroleum
5.125%, 03/01/2021		47		54
Nabors Industries
9.250%, 01/15/2019		84		106
Noble Energy
8.250%, 03/01/2019		174		225
Phillips 66
4.300%, 04/01/2022		225		243
Spectra Energy Capital
6.200%, 04/15/2018		115		137
Transocean
2.500%, 10/15/2017		93		94


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Valero Energy
6.125%, 02/01/2020	$	149	$	179
Weatherford International
5.125%, 09/15/2020		155		167
Williams
3.700%, 01/15/2023		232		224
Williams Partners
4.000%, 11/15/2021		150		155
3.350%, 08/15/2022		105		102

				2,449


Financials — 1.4%
American International Group
6.400%, 12/15/2020		60		73
5.600%, 10/18/2016		60		68
4.875%, 06/01/2022		155		171
American Tower
5.050%, 09/01/2020‡		145		159
3.500%, 01/31/2023‡		110		107
Bank of America MTN
5.200%, 12/29/2049 (D)		216		214
5.000%, 05/13/2021		200		221
3.300%, 01/11/2023		155		150
Capital One Financial
4.750%, 07/15/2021		145		162
Citigroup
6.875%, 03/05/2038		40		51
5.950%, 12/29/2049 (D)		250		261
Fifth Third Bancorp
3.500%, 03/15/2022		67		69
Ford Motor Credit
5.000%, 05/15/2018		200		220
Goldman Sachs Group MTN
5.750%, 01/24/2022		5		6
5.375%, 03/15/2020		40		45
5.250%, 07/27/2021		110		123
3.625%, 02/07/2016		40		42
Hartford Financial Services Group
5.500%, 03/30/2020		80		93
5.125%, 04/15/2022		85		97
HCP
5.375%, 02/01/2021‡		205		235
Health Care
5.250%, 01/15/2022‡		240		270
Host Hotels & Resorts
5.250%, 03/15/2022‡		70		77
HSBC Finance
6.676%, 01/15/2021		60		71
JPMorgan Chase
6.400%, 05/15/2038		40		50
5.150%, 04/05/2023 (D)		90		91
4.500%, 01/24/2022		140		152
Lincoln National
4.200%, 03/15/2022		110		118


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MetLife
7.717%, 02/15/2019	$	50	$	65
5.700%, 06/15/2035		65		75
Morgan Stanley
5.500%, 07/28/2021		168		189
4.750%, 03/22/2017		40		44
3.750%, 02/25/2023		181		180
Murray Street Investment Trust I
4.647%, 03/09/2017 (E)		18		20
Nationwide Financial Services
5.375%, 03/25/2021 (C)		130		145
Prudential Financial
5.625%, 06/15/2043 (D)		115		121
SLM MTN
7.250%, 01/25/2022		165		173
Vesey Street Investment Trust I
4.404%, 09/01/2016 (E)		49		53

				4,461


Health Care — 0.1%
Humana
6.450%, 06/01/2016		115		131
Watson Pharmaceuticals
3.250%, 10/01/2022		77		76
WellPoint
3.300%, 01/15/2023		75		75

				282


Industrials — 0.2%
BE Aerospace
5.250%, 04/01/2022		105		110
CSX
4.750%, 05/30/2042		165		167
Republic Services
3.800%, 05/15/2018		130		140

				417


Information Technology — 0.2%
Hewlett-Packard
4.650%, 12/09/2021		73		75
Intel
4.800%, 10/01/2041		95		98
Motorola Solutions
3.500%, 03/01/2023		169		165
Total System Services
3.750%, 06/01/2023		87		85
2.375%, 06/01/2018		90		90

				513


Materials — 0.2%
Ball
5.000%, 03/15/2022		105		109


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Dow Chemical
5.900%, 02/15/2015	$	55	$	60
4.375%, 11/15/2042		39		37
4.250%, 11/15/2020		65		71
4.125%, 11/15/2021		85		90
Eagle Spinco
4.625%, 02/15/2021 (C)		24		24
International Paper
7.950%, 06/15/2018		110		140
4.750%, 02/15/2022		135		149

				680


Telecommunication Services — 0.1%
AT&T
5.350%, 09/01/2040		113		121
3.000%, 02/15/2022		90		90
U.S. Cellular
6.700%, 12/15/2033		70		72
Verizon Communications
7.350%, 04/01/2039		125		168

				451


Utilities — 0.2%
CMS Energy
5.050%, 03/15/2022		52		59
Constellation Energy Group
5.150%, 12/01/2020		26		29
MidAmerican Energy Holdings
6.125%, 04/01/2036		140		168
ONEOK
4.250%, 02/01/2022		170		177
Pacific Gas & Electric
4.500%, 12/15/2041		65		66

				499

Total Corporate Obligations (Cost $12,008) ($ Thousands)				12,237


ASSET-BACKED SECURITIES — 3.7%

Automotive — 2.7%
Ally Auto Receivables Trust, Ser 2013-SN1, Cl A3
0.720%, 05/20/2016		477		477
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/2016		385		389
Ally Master Owner Trust, Ser 2013-1, Cl A2
1.000%, 02/15/2018		260		260
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/2015		10		10


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3
0.960%, 01/09/2017	$	210	$	211
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2
0.490%, 04/08/2016		258		258
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2
0.490%, 06/08/2016		235		235
Avis Budget Rental Car Funding, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (C)		150		152
Bank of America Auto Trust, Ser 2012-1, Cl A4
1.030%, 12/15/2016		170		171
BMW Floorplan Master Owner Trust, Ser 2012-1A, Cl A
0.599%, 09/15/2017 (C) (D)		425		426
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A2
0.620%, 07/20/2016		202		202
CFC, Ser 2013-1A, Cl A
1.650%, 07/17/2017 (C)		245		245
Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A
1.300%, 06/15/2017 (C)		141		141
Exeter Automobile Receivables Trust, Ser 2013-1A, Cl A
1.290%, 10/16/2017 (C)		160		160
Fifth Third Auto Trust, Ser 2013-A
0.610%, 09/15/2017		221		221
Flagship Credit Auto Trust, Ser 2013-1, Cl A
1.320%, 04/16/2018 (C)		131		132
Ford Auto Securitization Trust, Ser 2013-R1A, Cl A2
1.676%, 09/15/2016 (C)		207		200
Ford Credit Auto Owner Trust, Ser 2012-D, Cl B
1.010%, 05/15/2018		100		100
Ford Credit Floorplan Master Owner Trust, Ser 2010-3, Cl A2
1.899%, 02/15/2017 (C) (D)		450		461
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1
0.740%, 09/15/2016		480		481
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2
0.579%, 01/15/2018 (D)		257		257
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A
0.688%, 06/20/2017 (D)		255		256
Hertz Vehicle Financing, Ser 2013-1A, Cl A1
1.120%, 08/25/2017 (C)		715		713


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Huntington Auto Trust, Ser 2011-1A, Cl A3
1.010%, 01/15/2016 (C)	$	112	$	112
Hyundai Auto Lease Securitization Trust, Ser 2013-A, Cl A3
0.660%, 06/15/2016 (C)		273		273
Mercedes-Benz Auto Lease Trust, Ser 2013-A, Cl A3
0.590%, 02/15/2016		200		200
Mercedes-Benz Master Owner Trust, Ser 2012-AA
0.790%, 11/15/2017 (C)		342		341
Navistar Financial Owner Trust, Ser 2012-A, Cl A2
0.850%, 03/18/2015 (C)		171		172
Nissan Auto Lease Trust, Ser 2012-A, Cl A2A
0.680%, 07/15/2014		93		93
Porsche Innovative Lease Owner Trust, Ser 2011-1
1.090%, 09/22/2014 (C)		131		131
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A2
0.470%, 09/15/2015		220		220
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl C
1.810%, 04/15/2019		313		313
SMART Trust, Ser 2012-4US, Cl A2A
0.670%, 06/14/2015		155		155

				8,168


Credit Cards — 0.7%
American Express Credit Account Master Trust, Ser 2012-5, Cl A
0.590%, 05/15/2018		270		270
Cabela’s Master Credit Card Trust, Ser 2013-1A, Cl A
2.710%, 02/17/2026 (C)		265		260
Chase Issuance Trust, Ser 2013- A1, Cl A1
1.300%, 02/18/2020		305		304
Dryrock Issuance Trust, Ser 2012- 2, Cl A
0.640%, 08/15/2018		275		274
GE Capital Credit Card Master Note Trust, Ser 2012-6, Cl A
1.360%, 08/17/2020		250		251
GE Capital Credit Card Master Note Trust, Ser 2012-7, Cl A
1.760%, 09/15/2022		215		212
GE Capital Credit Card Master Note Trust, Ser 2013-1
1.350%, 03/15/2021		370		367


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Penarth Master Issuer, Ser 2012- 1A, Cl A1
0.768%, 03/18/2014 (C) (D)	$	174	$	175
World Financial Network Credit Card Master Trust, Ser 2013-A, Cl A
1.610%, 12/15/2021		161		160

				2,273


Other Asset-Backed Securities — 0.3%
CGRBS, Ser 2013-VN05
3.187%, 03/13/2035		285		286
CIT Equipment Collateral, Ser 2012-VT1, Cl A3
1.100%, 08/22/2016 (C)		170		171
CNH Equipment Trust, Ser 2012- A, Cl A3
0.940%, 05/15/2017		132		133
GSAA Trust, Ser 2006-5, Cl 2A3
0.463%, 03/25/2036 (D)		268		182

				772

Total Asset-Backed Securities (Cost $11,233) ($ Thousands)				11,213


MORTGAGE-BACKED SECURITIES — 3.6%

Agency Mortgage-Backed Obligations — 0.6%
FNMA TBA
3.500%, 07/01/2041		1,785		1,844


Non-Agency Mortgage-Backed Obligations — 3.0%
Banc of America Commercial Mortgage Trust, Ser 2006-5, Cl A4
5.414%, 09/10/2047		300		334
Banc of America Commercial Mortgage Trust, Ser 2007-5, Cl AM
5.772%, 02/10/2051 (D)		78		86
Bear Stearns Commercial Mortgage Securities Trust, Ser 2006-T24, Cl AJ
5.600%, 10/12/2041 (D)		110		106
Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A1A
5.742%, 03/15/2049 (D)		195		217
COMM Mortgage Trust, Ser SFS, Cl A1
1.873%, 04/12/2035 (C)		146		144
Commercial Mortgage Pass-Through Certificates, Ser 2006-C3, Cl AJ
5.989%, 06/15/2038 (D)		105		106
Commercial Mortgage Trust, Ser 2007-GG9, Cl AM
5.475%, 03/10/2039		26		28
Commercial Mortgage Trust, Ser 2007-GG9, Cl A4
5.444%, 03/10/2039		263		297


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CW Capital Cobalt, Ser 2007-C3, Cl A4
5.985%, 05/15/2046 (D)	$	310	$	357
Extended Stay America Trust, Ser 2013-ESFL, Cl A2FL
0.898%, 12/05/2031 (C) (D)		140		140
Extended Stay America Trust, Ser 2013-ESH7, Cl A17
2.295%, 12/05/2031 (C)		180		177
First Horizon Alternative Mortgage Securities Trust, Ser 2006-FA3, Cl A9
6.000%, 07/25/2036		193		175
GS Mortgage Securites, Ser 2013-G1, Cl A1
2.059%, 04/10/2031 (C)		261		260
GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/2038 (D)		215		236
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A3
2.773%, 11/10/2045		142		138
GS Mortgage Securities II, Ser 2013-KYO, Cl A
1.048%, 11/08/2029 (C) (D)		280		281
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A4
3.377%, 05/10/2045		345		356
GS Mortgage Securities, Ser 2013-KING, Cl A
2.706%, 12/10/2027 (C)		287		292
IndyMac INDX Mortgage Loan Trust, Ser 2006-AR15, Cl A1
0.313%, 07/25/2036 (D)		217		167
IndyMac INDX Mortgage Loan Trust, Ser 2006-AR27, Cl 2A2
0.393%, 10/25/2036 (D)		230		198
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl AM
5.910%, 02/12/2049 (D)		100		111
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl A4
6.002%, 06/15/2049 (D)		82		93
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl AM
6.200%, 02/15/2051 (D)		75		85
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C2, Cl A1
2.749%, 11/15/2043 (C)		143		149
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A4
5.424%, 02/15/2040		305		345


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl A3
5.430%, 02/15/2040	$	310	$	345
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A2
4.960%, 07/12/2038		92		93
Merrill Lynch Mortgage Trust, Ser 2006-C2, Cl A1A
5.739%, 08/12/2043 (D)		198		222
ML-CFC Commercial Mortgage Trust, Ser 2006-4, Cl A1A
5.166%, 12/12/2049 (D)		746		831
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl A4
5.700%, 09/12/2049		300		342
Morgan Stanley Capital I Trust, Ser 2007-T27, Cl A1A
5.647%, 06/11/2042 (D)		461		531
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A4
3.091%, 08/10/2049		98		98
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A5
2.850%, 12/10/2045		194		189
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4
3.185%, 03/10/2046		449		450
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C25, Cl A1A
5.728%, 05/15/2043 (D)		522		583
Wachovia Bank Commercial Mortgage Trust, Ser 2006-WL7A, Cl A2
0.318%, 09/15/2021 (C) (D)		210		209
WFRBS Commercial Mortgage Trust, Ser 2013-C14, Cl A5
3.337%, 06/15/2046		280		289

				9,060

Total Mortgage-Backed Securities (Cost $10,865) ($ Thousands)				10,904


FOREIGN BONDS — 2.4%
AngloGold Ashanti Holdings
5.375%, 04/15/2020		77		79
Asciano Finance
5.000%, 04/07/2018 (C)		130		143
Baidu
2.250%, 11/28/2017		200		199
Barclays Bank
7.625%, 11/21/2022		250		251
Barclays Bank MTN
6.625%, 03/30/2022		130		200
Basell Finance
8.100%, 03/15/2027 (C)		70		95


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BBVA US Senior SAU
3.250%, 05/16/2014	$	135	$	136
Cia Minera Milpo SAA
4.625%, 03/28/2023 (C)		280		269
CNOOC Finance
3.000%, 05/09/2023		320		304
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
3.950%, 11/09/2022		250		249
Danske Bank MTN
5.684%, 12/31/2049 (D)		92		138
Delhaize Group
6.500%, 06/15/2017		115		132
Deutsche Telekom International Finance
8.750%, 06/15/2030		100		144
4.875%, 03/06/2042 (C)		170		173
Embraer
5.150%, 06/15/2022		48		51
Encana
3.900%, 11/15/2021		325		341
Gazprom OAO Via Gaz Capital MTN
6.212%, 11/22/2016		130		144
Gerdau Trade
5.750%, 01/30/2021 (C)		105		109
4.750%, 04/15/2023 (C)		200		194
Globo Comunicacao e Participacoes
5.307%, 05/11/2017 (C) (E)		200		212
HSBC Holdings
5.100%, 04/05/2021		40		46
4.000%, 03/30/2022		250		265
ING Bank
2.000%, 09/25/2015 (C)		220		223
KazMunayGas National JSC
7.000%, 05/05/2020 (C)		120		140
Korea National Oil
3.125%, 04/03/2017 (C)		200		206
LBG Capital No.2
15.000%, 12/21/2019		140		264
MTS International Funding
5.000%, 05/30/2023 (C)		200		198
Nomura Holdings MTN
2.000%, 09/13/2016		248		248
Perusahaan Listrik Negara
5.500%, 11/22/2021 (C)		200		214
Petronas Capital
5.250%, 08/12/2019 (C)		125		144
Rogers Communications
4.000%, 06/06/2022		20		20
Royal Bank of Scotland MTN
9.500%, 03/16/2022 (D)		40		47
Sociedad Quimica y Minera de Chile
3.625%, 04/03/2023 (C)		280		274
Standard Chartered MTN
4.000%, 07/12/2022 (D)		245		252
Talent Yield Investments
4.500%, 04/25/2022 (C)		200		210


Description		Face Amount ($ Thousands) (1)/Shares		Market Value ($ Thousands)
Telecom Italia Capital
7.175%, 06/18/2019			60	$	71
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/2022			180		184
Telefonica Emisiones SAU
5.462%, 02/16/2021			70		76
Vale
5.625%, 09/11/2042			210		196
Vodafone Group
6.150%, 02/27/2037			140		167
WPP Finance
4.750%, 11/21/2021			265		284

Total Foreign Bonds (Cost $7,207) ($ Thousands)					7,292


PREFERRED STOCK — 0.7%

Financials — 0.0%
Allstate			1,975		52


Materials — 0.7%
Vale ADR, Cl B			152,770		2,059

Total Preferred Stock (Cost $2,545) ($ Thousands)					2,111


SOVEREIGN DEBT — 0.2%
Indonesia Government International Bond
3.375%, 04/15/2023 (C)			300		284

Qatar Government International Bond
4.500%, 01/20/2022 (C)			200		221

Total Sovereign Debt (Cost $506) ($ Thousands)					505


TIME DEPOSITS — 2.1%
Brown Brothers Harriman
4.150%, 06/01/2013	ZAR		46		5
1.903%, 06/01/2013	AUD		7		7
0.484%, 06/01/2013	NOK		105		18
0.280%, 06/01/2013	CAD		12		12
0.100%, 06/01/2013	SEK		31		5
0.076%, 06/01/2013	GBP		18		27
0.030%, 06/01/2013			6,394		6,394
0.005%, 06/01/2013	SGD		5		4
0.005%, 06/01/2013	HKD		66		8
0.005%, 06/01/2013	JPY		350		3
0.001%, 06/01/2013	EUR		45		59

Total Time Deposits (Cost $6,542) ($ Thousands)					6,542

Total Investments — 111.8% (Cost $345,902) ($ Thousands)				$	339,745


Description	Contracts			Market Value ($ Thousands)

PURCHASED OPTIONS — 0.0%

United States — 0.0%
iShares MSCI Emerging Markets Index, Expires 07/20/2013, Strike Price $41*		700		$	88
S&P 500 Index, Expires 07/20/2013, Strike Price $1,500*		45			34

Total Purchased Options (Cost $118) ($ Thousands)				$	122


WRITTEN OPTION — 0.0%

United States — 0.0%
Dec 2013 SPX U.S. Index, Expires 12/21/2013, Strike Price $1,750*		(45	)	$	(105	)

Total Written Option (Premiums Received $34) ($ Thousands)				$	(105	)

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contracts	Number of Contract Short			Expiration Date		Unrealized Appreciation ($ Thousands)
U.S. 10-Year Treasury Note		(88	)		Sep-2013	$	92
U.S. 2-Year Treasury Note		(4	)		Sep-2013		—
U.S. 5-Year Treasury Note		(48	)		Oct-2013		5
U.S. Long Treasury Bond		(11	)		Sep-2013		26

						$	123

A list of the open forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/4/13-7/2/13		BRL	14,670		USD	7,132	$	277
6/7/13-9/17/13		CAD	10,639		USD	10,436		145
6/13/13		CNY	4,903		USD	789		(9	)
6/13/13		NOK	7,333		USD	1,259		13
6/13/13		RUB	64,547		USD	2,070		53
6/13/13		SEK	2,085		USD	318		4
6/13/13		SGD	112		USD	91		2
6/13/13		THB	24,035		USD	818		25
6/13/13		TRY	273		USD	152		6
6/13/13		USD	366		BRL	769		(7	)
6/13/13		USD	1,561		GBP	1,046		25
6/13/13		ZAR	4,243		USD	470		48
6/13/13-9/17/13		AUD	3,599		USD	3,667		222
6/13/13-9/17/13		EUR	8,898		USD	11,630		98
6/13/13-9/17/13		GBP	8,535		USD	13,127		188
6/13/13-9/17/13		JPY	514,223		USD	5,187		94
6/13/13-9/17/13		USD	5,771		CNY	36,212		125

							$	1,309

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Counterparty	Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays PLC	$	(4,242	)	$	4,260	$	18
BNP Paribas		(3,474	)		3,532		58
Brown Brothers Harriman		(2,880	)		2,980		100
Citigroup		(5,832	)		5,894		62
Credit Suisse First Boston		(356	)		361		5
Deutsche Bank		(743	)		751		8
Goldman Sachs		(24,031	)		24,700		669
HSBC		(4,032	)		4,013		(19	)
JPMorgan Chase Bank		(2,194	)		2,244		50
Royal Bank of Canada		(9,030	)		9,156		126
Royal Bank of Scotland		(4,977	)		5,203		226
Standard Chartered Bank		(1,077	)		1,068		(9	)
UBS		(808	)		823		15

						$	1,309

A list of the open swap agreements held by the Fund at May 31, 2013, is as follows:

For the year ended May 31, 2013, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $303,899 ($ Thousands).

Non-income producing security.

‡

Real Estate Investment Trust.

(1)

In U.S. dollars unless otherwise indicated.

(A)

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

(B)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2013 was $29,895 ($ Thousands) and represented 9.84% of Net Assets.

(C)

(D)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2013. The date reported on the Schedule of Investments is the final maturity date.

(E)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2013. The coupon on a step bond changes on a specified date.

ADR — American Depositary Receipt

AUD — Australian Dollar

BRL — Brazilian Real

CAD — Canadian Dollar

Cl — Class

CNY — Chinese Yuan

EUR — Euro

EURIBOR — Euro Interbank Offered Rate

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

NOK — Norwegian Krone

NVDR — Non-Voting Depositary Receipt

PLC — Public Limited Company

RUB — Russian Rouble

S&P — Standard & Poor’s

SEK — Swedish Krona

Ser — Series

SGD — Singapore Dollar

SPX — Standard & Poor’s 500 Index

TBA — To Be Announced

THB — Thai Bhat

TRY — Turkish New Lira

USD — United States Dollar

ZAR — South African Rand

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	155,511	$	—	$	155,511
Registered Investment Company		57,938		—		—		57,938
Foreign Common Stock		13,724		29,895		—		43,619
Common Stock		31,873		—		—		31,873
Corporate Obligations		—		12,237		—		12,237
Asset-Backed Securities		—		11,213		—		11,213
Mortgage-Backed Securities		—		10,904		—		10,904
Foreign Bonds		—		7,292		—		7,292
Preferred Stock		2,059		52		—		2,111
Sovereign Debt		—		505		—		505
Time Deposits		6,542		—		—		6,542

Total Investments in Securities	$	112,136	$	227,609	$	—	$	339,745


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Purchased Options	$	—	$	122		$	—	$	122
Written Option		—		(105	)		—		(105	)
Futures Contracts*		123		—			—		123
Forwards Contracts*		—		1,309			—		1,309
Credit Default Swaps*		—		23			—		23
Interest Rate Swaps*		—		16			—		16
Total Return Swaps*		—		632			—		632
Reverse Repurchase Agreements		—		(38,354	)		—		(38,354	)

Total Other Financial Instruments	$	123	$	(36,357	)	$	—	$	(36,234	)

Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2013, there were no 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.

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

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

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 25 registered funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Extended Market Index, Small Cap, Small Cap II, Small/Mid Cap Equity, U.S. Managed Volatility, International Equity, World Equity Ex-US, Screened World Equity Ex-US, Opportunistic Income, Core Fixed Income, High Yield Bond, Long Duration, Long Duration Corporate Bond, Ultra Short Duration Bond, Emerging Markets Debt, Real Return, Dynamic Asset Allocation, Multi-Asset Real Return, Strategic U.S. Large Cap Equity, Emerging Markets Equity and Global Equity Funds (each a “Fund,” collectively, the “Funds”) each of which are diversified Funds with the exception of the Emerging Markets Debt and Multi-Asset Real Return Funds. 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.

Effective January 1, 2013, the Enhanced LIBOR Opportunities Fund changed its name to the Opportunistic Income Fund.

As of May 31, 2013, 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 (“U.S. 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) and 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. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser, as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, continuously monitors the reliability of prices obtained from any pricing service and will notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify the Trust’s Fair Value Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices. 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 determined to be unreliable or cannot be valued using methodologies described above 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 the Committee designated by the Trust’s Board of Trustees. The Committee is currently composed of two members of the Board of Trustees, as well as representatives from SIMC and its affiliates. The Committee provides regular reports to the Board concerning investments for which market prices are not readily available or may be unreliable. 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. Examples of factors the Committee may consider are: (i) the facts giving rise to the need to fair value; (ii) the last trade price; (iii) the performance of the market or the issuer’s industry; (iv) the liquidity of the security; (v) the size of the holding in a Fund; or (vi) any other appropriate information. The determination of a security’s fair value price often involves the consideration of a number of subjective factors and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.

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, Screened World Equity Ex-US and Multi-Asset Real Return Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these funds that hold international securities will value the non-U.S. securities within that fund that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.

In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in a orderly 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)

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a

systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the New York Stock Exchange. These are generally categorized as Level 2 in the hierarchy.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

The valuation techniques used by the Funds to measure fair value during the year ended May 31, 2013 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the year ended May 31, 2013, there have been no significant changes to the Trust’s fair valuation methodologies. For details of the investment classification, reference the Summary Schedules of Investments/Schedules of Investments.

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 — To the extent consistent with its investment objective and strategies, 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, a Fund’s 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.

Reverse repurchase agreements outstanding as of May 31, 2013 were as follows:


Multi-Asset Real Return Fund
Principal Amount ($ Thousands)	Counterparty	Value ($ Thousands)
$8,580	Bank of America, 0.14%	$	8,580
8,182	JPMorgan, 0.16%		8,182
6,597	JPMorgan, 0.16%		6,597
6,121	Bank of America, 0.14%		6,121
3,102	Morgan Stanley, 0.15%		3,102
2,162	Bank of America, 0.14%		2,162
1,448	Bank of America, 0.14%		1,448
1,103	Bank of America, 0.14%		1,103
1,059	Bank of America, 0.14%		1,059

		$	38,354

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 May 31, 2013, if applicable.

Futures Contracts — 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. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. 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 contracts are 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, futures contracts involve 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 May 31, 2013, if applicable.

Options/Swaptions Written/Purchased — 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, Dynamic Asset Allocation and Multi-Asset Real Return Funds had options/swaption contracts as of May 31, 2013, as disclosed in the Funds’ Schedules of Investments or Summary 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 May 31, 2013, if applicable.

Securities Sold Short — To the extent consistent with its investment objective and strategies, 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 May 31, 2013, none of the Funds held any short positions.

Swap Agreements — To the extent consistent with its investment objective and strategies, a Fund may invest in swap contracts mainly 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 bonds), 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 Statements 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 Statements 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 May 31, 2013, if applicable.

Forward Treasury Commitments — To the extent consistent with its investment objective and strategies, 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 — To the extent consistent with its investment objective and strategies, 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, Extended Market Index, Small Cap, Small Cap II, Small/Mid Cap Equity, U.S. Managed Volatility, Opportunistic Income, Emerging Markets Debt, Real Return and Multi-Asset Real Return Funds; declared daily and paid monthly for the Core Fixed Income, High Yield Bond, Long Duration, Long Duration Corporate Bond and Ultra Short Duration Bond Funds; declared and paid at least annually for the International Equity, World Equity Ex-US, Screened World Equity Ex-US and Dynamic Asset Allocation Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — As of May 31, 2013, 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 May 31, 2013, 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

To the extent consistent with its investment objective and strategies, a Fund may enter into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. A Fund uses these swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset-backed securities.

The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.

If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the-counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.

As of May 31, 2013, the High Yield Bond, Core Fixed Income and Long Duration Funds are the buyers (“receiving protection”) on a total notional amount of $17.9 million, $15.3 million and $5.0 million, respectively. Additionally, the Core Fixed Income and Multi-Asset Real Return Funds are the sellers (“providing protection”) on a total notional amount of $3.6 million and $1.1 million, respectively. 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 seller 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 effect of derivative instruments on the Statements of Operations for the year ended May 31, 2013.

Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):

The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.

Written options transactions entered into during the year ended May 31, 2013, are summarized as follows:


Core Fixed Income Fund
	Number of Contracts			Premium ($ Thousands)
Balance at beginning of period		7,022,098		$	1,021
Written		16,613,341			1,475
Expired		(16,611,922	)		(936	)
Closing buys		(2,741	)		(1,256	)
Balance at end of period		7,020,776		$	304


Dynamic Asset Allocation Fund
	Number of Contracts			Premium ($ Thousands)
Balance at beginning of period		—		$	—
Written		1,500			2,696
Closing buys		(1,500	)		(2,696	)
Balance at end of period		—		$	—


Multi-Asset Real Return Fund
	Number of Contracts			Premium ($ Thousands)
Balance at beginning of period		45		$	102
Written		170			199
Expired		(15	)		(12	)
Closing buys		(155	)		(255	)
Balance at end of period		45		$	34

As of May 31, 2013, the Funds had cash and/or securities at least equal to the value of written options.

5. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Administration and Transfer Agency Agreement — SEI Investments Global Funds Services (the “Administrator”) serves as administrator to the Funds. The Administrator provides certain administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the year ended May 31, 2013, the Administrator has voluntarily agreed to waive all of its fee.

Investment Advisory Agreement — 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 and the Administrator plan to voluntarily waive a portion of its fees in order to keep investment advisory and administration fees at a specified level. The Funds’ Adviser and Administrator may discontinue all or part of these voluntary waivers 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	%		0.26	%
Large Cap Diversified Alpha Fund		0.400			0.31
Large Cap Disciplined Equity Fund		0.400			0.18
Large Cap Index Fund		0.170			0.06
Extended Market Index Fund		0.120			0.06
Small Cap Fund		0.650			0.54
Small Cap II Fund		0.650			0.59
Small/Mid Cap Equity Fund		0.650			0.50
U.S. Managed Volatility Fund		0.650			0.35
International Equity Fund		0.505			0.46
World Equity Ex-US Fund		0.550			0.45
Screened World Equity Ex-US Fund		0.650			0.80
Opportunistic Income Fund		0.450			0.41
Core Fixed Income Fund		0.300			0.14
High Yield Bond Fund		0.4875			0.35
Long Duration Fund		0.300			0.20
Long Duration Corporate Bond Fund		0.300			0.20
Ultra Short Duration Bond Fund		0.150			0.18
Emerging Markets Debt Fund		0.850			0.55
Real Return Fund		0.220			0.20
Dynamic Asset Allocation Fund		0.600			0.50
Multi-Asset Real Return Fund		0.550			0.40

Effective July 1, 2012, voluntary expense waivers were discontinued.

As of May 31, 2013, 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

AJO, L.P.

AQR Capital Management, LLC

Brown Advisory LLC

Delaware Investment Fund Advisers

LSV Asset Management

Waddell & Reed Investment Management Company

WestEnd Advisors LLC

Large Cap Diversified Alpha Fund

AJO,L.P.

Delaware Investment Fund Advisers

INTECH Investment Management, LLC

Tocqueville Asset Management, L.P.

WestEnd Advisors LLC

Large Cap Disciplined Equity Fund

Analytic Investors, Inc.

INTECH Investment Management, LLC

Lazard Asset Management LLC

Oppenheimer Funds, Inc.

Quantitative Management Associates, LLC

Large Cap Index Fund

SSgA Funds Management, Inc.

Extended Market Index Fund

SSgA Funds Management, Inc.

Investment Sub-Adviser

Small Cap Fund

AllianceBernstein L.P.

AQR Capital Management, LLC

Artisan Partners Limited Partnership

Janus Capital Management, Inc.

J.P. Morgan Investment Management

Lee Munder Capital Group, LLC

LSV Asset Management

Robeco Investment Management, Inc.

Security Capital Research and Management, Inc.

Timberline Asset Management, LLC

William Blair & Company, LLC

Small Cap II Fund

Alliance Bernstein L.P.

AQR Capital Management, LLC

Fiduciary Management Associates, LLC

Lee Munder Capital Group, LLC

Timberline Asset Management, LLC

Small/Mid Cap Equity Fund

AllianceBernstein L.P.

Century Capital Management, LLC

Integrity Asset Management, LLC

Janus Capital Management, Inc.

Lee Munder Capital Group, LLC

LSV Asset Management

Robeco Investment Management, Inc.

Security Capital Research and Management Incorporated

Timberline Asset Management LLC

Wellington Management Company, LLP

William Blair & Company, LLC

U.S. Managed Volatility Fund

AJO, L.P.

Analytic Investors, LLC

LSV Asset Management

International Equity Fund

Acadian Asset Management LLC

Causeway Capital Management LLC

del Rey Global Investors, LLC

INTECH Investment Management, LLC

Neuberger Berman Management LLC

Schroder Investment Management North America, Inc.

Tradewinds Global Investors LLC

World Equity Ex-US Fund

Acadian Asset Management LLC

EARNEST Partners, LLC

JO Hambro Capital Management Limited

McKinley Capital Management, LLC

NFJ Investment Group LLC

Thornburg Investment Management LLC

Screened World Equity Ex-US Fund

Acadian Asset Management LLC

EARNEST Partners, LLC

McKinley Capital Management, LLC

Thornburg Investment Management LLC

Opportunistic Income Fund

Ares Management, LLC

Investment Sub-Adviser

Wellington Management Company, LLP

Core Fixed Income Fund

Jennison Associates LLC

J.P. Morgan Investment Management, Inc.

Metropolitan West Asset Management, LLC

Wells Capital Management, Inc.

Western Asset Management Company

Western Asset Management Company Limited

High Yield Bond Fund

Ares Management, LLC

Brigade Capital Management, LLC

Delaware Investment Fund Advisers

Guggenheim Partners Investment Management, LLC

J.P. Morgan Investment Management, Inc.

Long Duration Fund

Income Research & Management

Jennison Associates LLC

Legal & General Investment Management America, Inc.

Metropolitan West Asset Management LLC

Long Duration Corporate Bond Fund

Income Research & Management

Jennison Associates LLC

Legal & General Investment Management America, Inc.

Metropolitan West Asset Management LLC

Ultra Short Duration Bond Fund

Logan Circle Partners, L.P.

Wellington Management Company, LLP

Emerging Markets Debt Fund

Ashmore Investment Management Limited

Stone Harbor Investment Partners, L.P.

Real Return Fund

Wellington Management Company, LLC

Dynamic Asset Allocation Fund

SSgA Funds Management, Inc.

Multi-Asset Real Return Fund

AllianceBernstein 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 year ended May 31, 2013, were as follows ($ Thousands):


Large Cap Fund	$	41
Large Cap Diversified Alpha Fund		2


Large Cap Disciplined Equity Fund	$	175
Large Cap Index Fund		5
Small Cap Fund		167
Small Cap II Fund		4
Small/Mid Cap Equity Fund		28
World Equity Ex-US Fund		38

Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Distributor, the Adviser and/or the Administrator. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly and interim 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, Small/Mid Cap Equity and U.S. Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended May 31, 2013, were as follows ($ Thousands):


Large Cap Fund	$	385
Small Cap Fund		247
Small/Mid Cap Equity Fund		972
U.S. Managed Volatility Fund		1,022

Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of each Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statements of Operations and the effect on each Fund’s expense ratio, as a percentage of each Fund’s average daily net assets for the year ended May 31, 2013, 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.

To the extent consistent with its investment objectives, a Fund may invest in the SEI LIBOR Plus Portfolio, a portfolio of SEI Alpha Strategy Portfolios, LP. The SEI LIBOR Plus Portfolio seeks to maximize total return consistent with the preservation of capital and prudent investment management.

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 reviewed by the Board of Trustees annually. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.

During the year ended May 31, 2013, the Trust borrowed funds from SEI Liquid Asset Trust Prime Obligation Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):


Account Name	Date		Amount Borrowed		Interest Paid		Rate
Large Cap Fund		12/03/2012	$	15,000	$	317		0.38	%
Large Cap Fund		03/01/2013		11,000		550		0.36
Large Cap Disciplined Equity Fund		10/02/2012		45,000		900		0.36
Small Cap II Fund		08/01/2012		5,000		97		0.35
Small/Mid Cap Equity Fund		03/01/2013		6,500		195		0.36
U.S. Managed Volatility Fund		05/03/2013		16,370		637		0.35
High Yield Bond Fund		07/02/2012		24,751		255		0.37
High Yield Bond Fund		07/03/2012		17,974		389		0.39
High Yield Bond Fund		03/01/2013		12,332		370		0.36
High Yield Bond Fund		04/01/2013		13,021		130		0.36
High Yield Bond Fund		04/02/2013		29,323		293		0.36

The Trust had no outstanding borrowings or loans under the Program at May 31, 2013.

7. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the year ended May 31, 2013, were as follows:


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	854,275	$	854,275
Sales		—		1,149,381		1,149,381
Large Cap Diversified Alpha Fund
Purchases		—		244,089		244,089
Sales		—		323,253		323,253
Large Cap Disciplined Equity Fund
Purchases		—		5,916,773		5,916,773
Sales		—		7,080,832		7,080,832
Large Cap Index Fund
Purchases		—		788,779		788,779
Sales		—		238,672		238,672
Extended Market Index Fund⁽¹⁾
Purchases		—		165,307		165,307
Sales		—		4,587		4,587
Small Cap Fund
Purchases		—		650,613		650,613
Sales		—		816,327		816,327
Small Cap II Fund
Purchases		—		305,568		305,568
Sales		—		181,650		181,650
Small/Mid Cap Fund
Purchases		—		1,929,789		1,929,789
Sales		—		2,309,532		2,309,532
U.S. Managed Volatility Fund
Purchases		—		547,485		547,485
Sales		—		368,118		368,118
International Equity Fund
Purchases		—		163,624		163,624
Sales		—		334,401		334,401
World Equity Ex-US Fund
Purchases		—		3,428,764		3,428,764
Sales		—		2,865,512		2,865,512
Screened World Equity Ex-US Fund
Purchases		—		41,784		41,784
Sales		—		41,190		41,190
Opportunistic Income Fund
Purchases		70,065		592,967		663,032
Sales		62,941		26,133		89,074
Core Fixed Income Fund
Purchases		19,510,993		2,843,334		22,354,327
Sales		19,823,285		2,978,877		22,802,162
High Yield Bond Fund
Purchases		—		1,248,831		1,248,831
Sales		—		1,194,266		1,194,266
Long Duration Fund
Purchases		2,379,388		1,346,829		3,726,217
Sales		3,041,366		2,635,945		5,677,311
Long Duration Corporate Bond Fund⁽²⁾
Purchases		1,192,308		2,770,335		3,962,643
Sales		1,158,304		732,187		1,890,491
Ultra Short Duration Bond Fund
Purchases		292,748		296,119		588,867
Sales		279,054		185,929		464,983
Emerging Markets Debt Fund
Purchases		—		1,489,826		1,489,826
Sales		—		1,308,450		1,308,450


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Real Return Fund
Purchases	$	249,435	$	—	$	249,435
Sales		272,807		—		272,807
Dynamic Asset Allocation Fund
Purchases		—		699,516		699,516
Sales		—		266,699		266,699
Multi-Asset Real Return Fund
Purchases		142,222		125,782		268,004
Sales		51,239		43,803		95,042

(1)

Fund commenced operations on February 28, 2013.

(2)

Fund commenced operations on July 29, 2012.

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 U.S. 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.

Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on Real Estate Investment Trust securities, reclassification of income and expense from swap transactions, basis adjustments for investments in partnerships, net operating losses, collateralized loan/debt obligations, gains and losses on passive foreign investment companies and certain foreign currency related transactions and non taxable in-kind redemptions, have been reclassified to/ from the following accounts as of May 31, 2013:


	Undistributed Net Investment Income (Loss) ($ Thousands)			Accumulated Realized Gain (Loss) ($ Thousands)			Paid-in Capital ($ Thousands)
Large Cap Fund	$	34		$	(34	)	$	—
Large Cap Diversified Alpha Fund		21			(17	)		(4	)
Large Cap Disciplined Equity Fund		18,064			(9,764	)		(8,300	)
Large Cap Index Fund		134			(134	)		—
Extended Market Index Fund		17			(17	)		—
Small Cap Fund		685			(685	)		—
Small Cap II Fund		56			(56	)		—
Small/Mid Cap Equity Fund		1,235			(1,235	)		—
U.S. Managed Volatility Fund		148			(148	)		—
International Equity Fund		34			(34	)		—
World Equity Ex-US Fund		(412	)		412			—
Screened World Equity Ex-US Fund		89			(89	)		—
Opportunistic Income Fund		6,496			(6,496	)		—
Core Fixed Income Fund		18,663			(18,639	)		(24	)
High Yield Bond Fund		3,585			(2,619	)		(966	)
Long Duration Fund		(2,193	)		(113,210	)		115,403
Long Duration Corporate Bond Fund		61			(61	)		—
Ultra Short Duration Fund		523			(496	)		(27	)
Emerging Markets Debt Fund		16,576			(16,576	)		—
Real Return Fund		94			(94	)		—
Dynamic Asset Allocation Fund		(140	)		140			—
Multi-Asset Real Return Fund		(3,297	)		5,853			(2,556	)

These reclassifications have no impact on net assets or net asset value per share.

The tax character of dividends and distributions paid during the last two years or periods ended May 31, 2013 were as follows:

As of May 31, 2013, the components of distributable earnings/(accumulated losses) were as follows:

Post-October losses represent losses realized on investment transactions from November 1, 2012 through May 31, 2013 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 losses incurred in taxable years beginning before December 22, 2010 may be carried forward for a maximum period of eight years and applied against future net capital gains as follows:

For Federal income tax purposes, the cost of securities owned at May 31, 2013, 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, passive foreign investment companies, defaulted bond 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 May 31, 2013, was as follows:


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Large Cap Fund	$	1,504,912	$	495,696	$	(32,928	)	$	462,768
Large Cap Diversified Alpha Fund		268,759		48,579		(4,416	)		44,163
Large Cap Disciplined Equity Fund		4,514,579		1,191,581		(91,490	)		1,100,091
Large Cap Index Fund		1,822,168		549,163		(37,861	)		511,302
Extended Market Index Fund		178,126		10,089		(2,939	)		7,150
Small Cap Fund		870,987		129,676		(39,064	)		90,612
Small Cap II Fund		240,555		39,366		(5,346	)		34,020
Small/Mid Cap Equity Fund		2,292,335		404,404		(69,144	)		335,260
U.S. Managed Volatility Fund		943,554		174,077		(6,844	)		167,233
International Equity Fund		227,024		26,113		(22,409	)		3,704
World Equity Ex-US Fund		5,996,382		913,974		(242,194	)		671,780
Screened World Equity Ex-US Fund		58,181		7,116		(2,732	)		4,384
Opportunistic Income Fund		1,002,221		12,253		(5,182	)		7,071
Core Fixed Income Fund		7,008,891		241,359		(110,784	)		130,575
High Yield Bond Fund		2,038,195		131,107		(34,059	)		97,048
Long Duration Fund		3,217,421		192,035		(81,116	)		110,919
Long Duration Corporate Bond Fund		2,123,197		27,010		(66,737	)		(39,727	)
Ultra Short Duration Fund		506,405		1,947		(927	)		1,020
Emerging Markets Debt Fund		1,300,885		60,905		(41,004	)		19,901
Real Return Fund		250,438		2,028		(2,286	)		(258	)
Dynamic Asset Allocation Fund		1,002,038		137,226		(16,148	)		121,078
Multi-Asset Real Return Fund		348,102		5,145		(13,502	)		(8,357	)

Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of May 31, 2013, no provision for income tax would be required in the Funds’ financial statements. The Funds’ 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, High Yield Bond, Long Duration, Long Duration Corporate Bond, Ultra Short Duration Bond and Multi-Asset Real Return 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 year ended May 31, 2013, the Core Fixed Income, Long Duration, Long Duration Corporate Bond, and Ultra Short Duration Funds 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 (Redeemed) (Thousands)			Value ($ Thousands)		Gain ($ Thousands)
Core Fixed Income
7/31/2012		18,108		$	195,406	$	—
9/28/2012		7,720			83,603		—
Long Duration Fund
6/29/2012		(155,797	)		1,495,648		115,402
7/31/2012		7,281			72,886		—
2/28/2013		4,931			44,429		—
Long Duration Corporate Bond Fund
6/29/2012		149,565			1,495,648
9/28/2012		5,819			60,636		—
Ultra Short Duration Bond Fund
11/30/2012		2,511			25,206		—

During the year ended May 31, 2012, the Large Cap Index, Small/Mid Cap Equity and Long Duration Funds 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 (Redeemed) (Thousands)			Value ($ Thousands)			Gain ($ Thousands)
Large Cap Index Fund
1/5/2012		272		$	29,489		$	—
2/3/2012		176			20,013			—
Small/Mid Cap Equity Fund
8/3/2011		(2,758	)		(35,388	)		4,996
Long Duration Fund
8/3/2011		4,633			41,416			—
2/3/2012		34,942			327,759			—
4/13/2012		37,389			345,848			—

11. SECURITIES LENDING

To the extent consistent with its investment objective and strategies, a Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking-to-market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity.

Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.

Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund, L.P., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.

12. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosure and/or adjustments were required to the financial statements as of May 31, 2013 except for the following:

We have audited the accompanying statements of assets and liabilities of the SEI Institutional Investments Trust comprised of the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Extended Market Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Equity Fund, U.S. Managed Volatility Fund, International Equity Fund, World Equity Ex-US Fund, Screened World Equity Ex-US Fund, Opportunistic Income Fund (formerly the Enhanced LIBOR Opportunities Fund), Core Fixed Income Fund, High Yield Bond Fund, Long Duration Fund, Long Duration Corporate Bond Fund, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund, Real Return Fund, Dynamic Asset Allocation Fund and Multi-Asset Real Return Fund (collectively, the “Funds”), including the schedules of investments or summary schedules of investments, as applicable, as of May 31, 2013, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, the statement of cash flows for the year then ended for the Multi-Asset Real Return Fund, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2013, by correspondence with the custodians and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Investments Trust as of May 31, 2013, the results of their operations for the year or period then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, the cash flows for the year then ended for the Multi-Asset Real Return Fund and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

As disclosed in note 12 to the financial statements, on March 26, 2013, the Board of Trustees approved the closing and liquidation of the International Equity Fund, and the Fund liquidated and ceased operations on June 26, 2013.

Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.

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 12/1/2012		Ending Account Value 5/31/2013		Annualized Expense Ratios			Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,172.70		0.18	%	$	0.98
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.03		0.18	%	$	0.91
Large Cap Diversified Alpha Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,153.60		0.24	%	$	1.29
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.73		0.24	%	$	1.21
Large Cap Disciplined Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,165.30		0.16	%	$	0.86
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.13		0.16	%	$	0.81


	Beginning Account Value 12/1/2012		Ending Account Value 5/31/2013		Annualized Expense Ratios			Expense Paid During Period*
Large Cap Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,166.90		0.03	%	$	0.16
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.78		0.03	%	$	0.15
Exented Market Index Fund — Commenced 2/28/13
Actual Fund Return
Class A Shares	$	1,000.00	$	1,078.40		0.11	%	$	0.29	**
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.38		0.11	%	$	0.56	*
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,212.10		0.47	%	$	2.59
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.59		0.47	%	$	2.37


	Beginning Account Value 12/1/2012		Ending Account Value 5/31/2013		Annualized Expense Ratios			Expense Paid During Period*
Small Cap II Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,201.20		0.47	%	$	2.58
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.59		0.47	%	$	2.37
Small/Mid Cap Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,203.90		0.45	%	$	2.47
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.69		0.45	%	$	2.27
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,146.60		0.24	%	$	1.28
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.73		0.24	%	$	1.21
International Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,096.50		0.42	%	$	2.20
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.84		0.42	%	$	2.12
World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,098.70		0.34	%	$	1.78
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.24		0.34	%	$	1.72
Screened World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,085.30		0.45	%	$	2.34
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.69		0.45	%	$	2.27
Opportunistic Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,021.70		0.20	%	$	1.01
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.93		0.20	%	$	1.01
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	995.70		0.12	%	$	0.60
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.33		0.12	%	$	0.61


	Beginning Account Value 12/1/2012		Ending Account Value 5/31/2013		Annualized Expense Ratios			Expense Paid During Period*
High Yield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,065.20		0.30	%	$	1.54
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.44		0.30	%	$	1.51
Long Duration Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	958.40		0.16	%	$	0.78
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.13		0.16	%	$	0.81
Long Duration Corporate Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	969.00		0.15	%	$	0.74
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.18		0.15	%	$	0.76
Ultra Short Duration Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,005.10		0.11	%	$	0.55
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.38		0.11	%	$	0.56
Emerging Markets Debt Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	991.30		0.48	%	$	2.38
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.54		0.48	%	$	2.42
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	985.70		0.10	%	$	0.50
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.43		0.10	%	$	0.50
Dynamic Asset Allocation Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,168.30		0.08	%	$	0.43
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.53		0.08	%	$	0.40
Multi-Asset Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	962.30		0.29	%	$	1.42
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.49		0.29	%	$	1.46

*	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period shown).

**	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 92/365 (to reflect the period since inception to period end).

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)

SEI Institutional Investments Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers are also 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 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(s). In connection with their consideration of such approval(s), 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 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 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 from third party affiliates. This information is provided 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 sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of sub-advisory fees that SIMC pays the Sub-Advisers compared with the fees each charge to comparable mutual funds (although for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party); (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds (although for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party); (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance systems; (ix) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (x) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (xi) the Funds’ performance compared with similar mutual funds (although for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party).

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

At the December 4-5, 2012 and March 26-27, 2013 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 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 each Sub-Adviser’s personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s and each Sub-Adviser’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 including the fact that, for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party. 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 including the fact that, for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees for the applicable Funds 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 concluded 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 each of SIMC and the Sub-Advisers is 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.

For shareholders who do not have a May 31, 2013, taxable year end, this notice is for informational purposes only. For shareholders with a May 31, 2013, taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended May 31, 2013, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:

Items (A), (B) and (C) are based on the percentage of each Fund’s total distribution.

Items (D) and (E) are based on the percentage of ordinary income distributions of each Fund. Item (F) is based on the percentage of gross income of each Fund.

Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.

Robert A. Nesher, Chairman

Trustees

William M. Doran

George J. Sullivan, Jr.

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Officers

Robert A. Nesher

President and Chief Executive Officer

Peter A. Rodriguez

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

Aaron Buser

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

Stephen G. MacRae

Vice President

Edward McCusker

Anti-Money Laundering Compliance Officer

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 Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.

(a)(1) The Registrant’s Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2013 and 2012 as follows:

(e)(1) The Registrant’s Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.

The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules and whether the provision of such services would impair the auditor’s independence.

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.

Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.

All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.

In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.

(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

(g) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2013 and 2012 were $244,000 and $266,000, respectively. Non-audit fees consist of SSAE No. 16 review of fund

accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax compliance and consulting services for various service affiliates of the registrant.

(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.

(a) 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, Extended Market Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Equity 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 Opportunistic Income Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Bond Fund, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund, Real Return Fund, Dynamic Asset Allocation Fund and Multi-Asset Real Return Fund are included as part of the report to shareholders filed under Item 1 of this form.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.3%

Consumer Discretionary — 12.7%
Abercrombie & Fitch, Cl A		22,900	$	1,147
Apollo Group, Cl A (A) *		17,364		347
Autoliv (A)		21,400		1,679
Best Buy (A)		66,600		1,835
Big Lots *		17,400		593
Cablevision Systems, Cl A (A)		3,600		55
CBS, Cl B		159,600		7,900
Charter Communications, Cl A *		32,410		3,627
Chipotle Mexican Grill, Cl A (A) *		13,680		4,938
Coach		185,664		10,817
Comcast, Cl A		115,800		4,649
Cooper Tire & Rubber		32,100		830
CST Brands * (A)		7,666		233
Dillard’s, Cl A (A)		65,400		6,034
DIRECTV *		68,400		4,181
Foot Locker		25,200		865
Ford Motor		167,800		2,631
Fossil *		47,239		5,017
GameStop, Cl A (A)		202,200		6,705
Gannett (A)		159,400		3,427
Gap		90,000		3,649
Gildan Activewear, Cl A		35,700		1,476
Harley-Davidson		154,805		8,443
Home Depot		91,580		7,204
Jarden *		29,900		1,393
Kohl’s (A)		61,600		3,167
L Brands		21,900		1,095
Lear		53,600		3,215
Liberty Interactive, Cl A *		463,575		10,407
Lowe’s		45,400		1,912
Macy’s		111,000		5,366
Magna International, Cl A (A)		21,600		1,439
Newell Rubbermaid		60,200		1,628
News, Cl A		142,400		4,573
News, Cl B		239,000		7,705
NIKE, Cl B		246,599		15,205
Nordstrom		169,933		9,995
Panera Bread, Cl A (A) *		19,800		3,798
priceline.com *		12,300		9,889
PulteGroup *		18,100		391
RadioShack (A) *		27,400		101
Ralph Lauren, Cl A		34,370		6,018
Sally Beauty Holdings *		125,575		3,844
Signet Jewelers		27,600		1,891
Starbucks		123,631		7,797
Target		182,565		12,688
Time Warner		30,700		1,792
Time Warner Cable, Cl A		60,200		5,750
TRW Automotive Holdings *		19,200		1,216
Tupperware Brands		15,900		1,287
Under Armour, Cl A (A) *		65,970		4,090
Walt Disney		171,260		10,803
Whirlpool		76,000		9,710
Wyndham Worldwide		19,900		1,157
Yum! Brands		52,720		3,572

				241,176


Description	Shares		Market Value ($ Thousands)

Consumer Staples — 10.4%
Altria Group		20,300	$	733
Anheuser-Busch InBev		100,144		9,205
Archer-Daniels-Midland		65,500		2,111
Avon Products		35,200		830
Bunge		3,800		264
Coca-Cola		69,800		2,791
Coca-Cola Enterprises		117,100		4,351
ConAgra Foods		42,500		1,432
Constellation Brands, Cl A *		7,800		414
Costco Wholesale		184,020		20,181
CVS Caremark		311,594		17,942
Dr. Pepper Snapple Group (A)		20,000		920
Energizer Holdings		25,400		2,431
Estee Lauder, Cl A		297,419		20,159
General Mills		25,100		1,182
Hershey		16,100		1,435
Hillshire Brands		41,400		1,434
Ingredion		41,400		2,820
Kimberly-Clark		52,400		5,074
Kroger		209,900		7,067
Mead Johnson Nutrition, Cl A		144,310		11,699
Mondelez International, Cl A		373,100		10,992
PepsiCo		79,300		6,405
Philip Morris International		84,680		7,698
Procter & Gamble		108,200		8,305
Safeway (A)		190,200		4,377
Smithfield Foods *		68,900		2,270
SUPERVALU (A)		60,800		393
Tyson Foods, Cl A		295,500		7,387
Walgreen		272,725		13,025
Wal-Mart Stores		65,800		4,924
Whole Foods Market		324,038		16,805

				197,056


Energy — 9.8%
Alpha Natural Resources * (A)		88,600		592
Apache		19,600		1,610
Chevron		222,700		27,336
ConocoPhillips		176,200		10,808
Core Laboratories		41,972		5,782
CVR Energy		42,500		2,670
EOG Resources		100,125		12,926
Exxon Mobil		398,300		36,034
FMC Technologies *		118,183		6,578
Halliburton		31,100		1,301
Helmerich & Payne		21,800		1,346
Hess		37,000		2,494
Kinder Morgan		305,163		11,590
Marathon Oil		143,200		4,925
Marathon Petroleum		156,400		12,903
Murphy Oil (A)		100,000		6,332
National Oilwell Varco		41,750		2,935
Noble Energy		98,400		5,673
Occidental Petroleum		59,390		5,468
Patterson-UTI Energy (A)		161,200		3,387
Phillips 66		147,750		9,836
Schlumberger		91,349		6,671
Valero Energy		145,100		5,895

				185,092


Description	Shares		Market Value ($ Thousands)

Financials — 16.6%
ACE		17,400	$	1,560
Aflac		29,700		1,654
Allied World Assurance Holdings		31,500		2,816
Allstate		125,700		6,064
American Capital *		140,900		1,878
American Capital Agency		9,400		243
American Financial Group		32,294		1,568
American International Group *		240,650		10,699
American Tower, Cl A		10,900		848
Ameriprise Financial		64,900		5,291
Annaly Capital Management		71,700		974
Associated Banc		95,600		1,473
Assurant		108,300		5,387
Axis Capital Holdings		77,600		3,380
Bank of America		563,900		7,703
Bank of New York Mellon		127,200		3,824
Berkshire Hathaway, Cl B *		30,900		3,525
BlackRock, Cl A		1,000		279
Boston Properties		2,900		309
Brandywine Realty Trust		56,000		793
Capital One Financial		148,240		9,032
CBL & Associates Properties		65,600		1,508
CBRE Group, Cl A *		68,700		1,593
Charles Schwab		558,562		11,093
Citigroup		525,050		27,297
CME Group, Cl A		81,625		5,545
CNA Financial		21,600		738
Digital Realty Trust ‡ (A)		3,300		201
Discover Financial Services		187,900		8,908
Endurance Specialty Holdings		19,600		987
Everest Re Group		50,400		6,532
Fifth Third Bancorp		367,900		6,696
General Growth Properties ‡		14,500		298
Goldman Sachs Group		60,200		9,757
Hartford Financial Services Group		110,300		3,379
HCC Insurance Holdings		6,000		257
HCP ‡		8,000		379
Hospitality Properties Trust ‡		35,500		1,036
Host Hotels & Resorts ‡		14,300		254
Huntington Bancshares		788,700		6,112
IntercontinentalExchange (A) *		47,025		8,051
Jones Lang LaSalle		1,200		110
JPMorgan Chase		629,220		34,349
KeyCorp		800,000		8,624
Kimco Realty ‡		11,200		248
Lincoln National		158,800		5,663
Macerich ‡		3,600		234
MetLife		43,500		1,923
Montpelier Re Holdings		49,200		1,230
Morgan Stanley		42,300		1,096
PartnerRe		86,200		7,814
PNC Financial Services Group		53,200		3,811
Popular *		19,400		582
Progressive (A)		335,800		8,560
Prologis ‡		9,000		363
Protective Life (A)		89,700		3,470
Prudential Financial		42,700		2,945
Public Storage ‡		2,700		410
Realogy Holdings *		23,200		1,198
Regions Financial		545,200		4,978


Description	Shares		Market Value ($ Thousands)

Reinsurance Group of America, Cl A		39,500	$	2,603
RenaissanceRe Holdings		16,000		1,375
Simon Property Group ‡		8,300		1,381
SL Green Realty ‡		2,500		217
SLM		123,900		2,942
State Street		44,100		2,918
SunTrust Banks		43,500		1,396
T. Rowe Price Group		20,000		1,517
Travelers		119,400		9,996
Unum Group (A)		107,700		3,067
US Bancorp		94,200		3,303
Validus Holdings		31,300		1,130
Ventas ‡		4,915		351
Vornado Realty Trust ‡		3,600		288
Wells Fargo		595,600		24,152
Weyerhaeuser ‡		14,700		438

				314,603


Health Care — 13.5%
Abbott Laboratories		127,800		4,687
AbbVie		20,500		875
Actavis *		10,700		1,319
Aetna		104,400		6,304
Alexion Pharmaceuticals *		40,020		3,903
Allergan		90,350		8,989
AmerisourceBergen		71,300		3,856
Amgen		168,577		16,947
Baxter International		20,800		1,463
Biogen Idec *		52,978		12,582
Boston Scientific *		172,700		1,596
Bristol-Myers Squibb		121,110		5,572
Cardinal Health		48,000		2,254
Celgene *		140,283		17,346
Cigna		60,300		4,094
Community Health Systems		30,400		1,464
Covance *		62,402		4,654
Covidien		68,540		4,359
DaVita *		43,180		5,357
Eli Lilly		67,800		3,604
Endo Health Solutions *		14,300		519
Express Scripts Holding *		308,447		19,161
Gilead Sciences *		94,050		5,124
HCA Holdings		88,700		3,465
Humana		73,770		5,959
Idexx Laboratories (A) *		47,481		3,914
Intuitive Surgical *		14,486		7,207
Johnson & Johnson		242,307		20,397
McKesson		32,800		3,735
Medtronic		21,900		1,117
Merck		204,100		9,532
Novo Nordisk ADR		38,480		6,199
Omnicare (A)		26,300		1,211
Perrigo		39,625		4,593
Pfizer		1,137,730		30,980
Shire ADR		49,730		4,897
United Therapeutics *		78,300		5,205
UnitedHealth Group		34,400		2,154
Warner Chilcott, Cl A		5,400		104
WellPoint		71,900		5,534
Zimmer Holdings		45,700		3,588

				255,820


Description	Shares		Market Value ($ Thousands)

Industrials — 8.6%
AECOM Technology *		26,200	$	807
AGCO		88,400		4,903
Alaska Air Group *		43,300		2,460
Alliant Techsystems		19,756		1,551
Avery Dennison		1,500		65
Canadian Pacific Railway		67,480		8,907
Caterpillar		54,550		4,680
Copa Holdings, Cl A		12,600		1,655
Cummins		57,550		6,885
Danaher		105,147		6,500
Deere		36,700		3,197
Delta Air Lines		283,200		5,101
Engility Holdings *		6,500		166
Exelis		16,200		197
FedEx		19,100		1,840
Fluor (A)		160,019		10,115
General Dynamics		21,400		1,650
General Electric		305,300		7,120
Ingersoll-Rand		3,000		173
ITT		72,400		2,183
Kansas City Southern		47,660		5,276
KBR		32,400		1,169
L-3 Communications Holdings, Cl 3		108,800		9,258
Lockheed Martin		35,900		3,799
Norfolk Southern		30,300		2,320
Northrop Grumman		127,200		10,480
Oshkosh Truck *		44,800		1,784
Pall		114,730		7,825
Parker Hannifin		16,800		1,676
Pentair		149,450		8,704
Raytheon		137,200		9,143
Roper Industries		47,662		5,921
RR Donnelley & Sons (A)		91,000		1,208
Southwest Airlines		201,300		2,852
Stericycle *		58,342		6,404
Timken		54,000		3,065
Union Pacific		55,860		8,637
United Continental Holdings (A) *		62,900		2,042
URS		13,300		644
Waste Management (A)		12,700		532

				162,894


Information Technology — 18.8%
Accenture, Cl A		108,547		8,913
Adobe Systems *		476,511		20,447
Altera		88,940		2,952
Amdocs		83,000		2,963
Amphenol, Cl A		68,008		5,298
Analog Devices		78,850		3,622
Ansys *		51,951		3,870
Apple		55,615		25,009
Applied Materials		417,170		6,341
BMC Software *		36,125		1,636
Broadridge Financial Solutions		7,900		214
Brocade Communications
Systems *		51,300		279
CA		89,100		2,433
Cisco Systems		749,480		18,047
Citrix Systems *		63,864		4,110


Description	Shares		Market Value ($ Thousands)

Cognizant Technology Solutions, Cl A *		44,038	$	2,847
Computer Sciences		54,100		2,413
CoreLogic *		83,200		2,180
Corning		177,200		2,724
Dell		146,300		1,953
eBay *		135,300		7,320
EMC		425,682		10,540
Facebook, Cl A *		110,160		2,682
Fidelity National Information Services		40,100		1,801
First Solar * (A)		43,000		2,338
Fiserv *		3,100		270
Genpact		231,871		4,487
Google, Cl A *		21,505		18,718
Harris		23,600		1,183
Hewlett-Packard		129,700		3,167
Ingram Micro, Cl A *		125,800		2,404
Intel		162,900		3,955
International Business Machines		57,264		11,912
Intuit		141,525		8,271
Lender Processing Services		27,700		917
Marvell Technology Group		62,500		677
Mastercard, Cl A		47,977		27,359
Microsoft		244,300		8,521
National Instruments		124,767		3,543
NetApp		147,819		5,548
Oracle		288,768		9,749
Qualcomm		450,283		28,584
SAIC (A)		80,600		1,169
Salesforce.com * (A)		95,300		4,034
Seagate Technology		82,500		3,554
Symantec		200,700		4,494
TE Connectivity		29,200		1,296
Tech Data *		46,200		2,316
Teradata *		222,520		12,405
Texas Instruments		176,220		6,325
VeriFone Holdings *		90,025		2,100
VeriSign *		115,750		5,445
Visa, Cl A		94,600		16,852
Vishay Intertechnology (A) *		59,500		866
Western Digital		144,900		9,175
Xerox		319,300		2,807
Yahoo! *		93,600		2,462

				357,497


Materials — 3.2%
Ashland (A)		9,500		845
CF Industries Holdings		35,600		6,798
Domtar		14,300		1,036
Dow Chemical		237,460		8,183
Eastman Chemical		24,000		1,721
Ecolab		65,507		5,533
Freeport-McMoRan Copper & Gold, Cl B		43,500		1,351
Huntsman		102,600		1,996
International Paper		34,100		1,574
Louisiana-Pacific *		69,700		1,225
LyondellBasell Industries, Cl A, (A)		145,230		9,680
Monsanto		74,310		7,479
Newmont Mining		6,400		219


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

Owens-Illinois *		45,900	$	1,260
Packaging Corp of America		28,900		1,416
PPG Industries		3,401		522
Reliance Steel & Aluminum		13,500		888
Rock Tenn, Cl A		26,250		2,593
Steel Dynamics (A)		66,500		1,020
Syngenta ADR		69,866		5,438
Westlake Chemical		3,000		280

				61,057


Telecommunication Services — 2.0%
AT&T		238,000		8,328
Crown Castle International *		302,539		21,556
SBA Communications, Cl A (A) *		41,770		3,144
Sprint Nextel *		249,000		1,818
Verizon Communications		81,400		3,946

				38,792


Utilities — 1.7%
AES		323,300		3,944
Ameren		76,700		2,611
American Electric Power		162,300		7,437
DTE Energy		7,500		500
Duke Energy		8,100		542
Edison International		90,500		4,157
Entergy		48,600		3,347
Exelon		40,800		1,279
NV Energy		182,200		4,271
Public Service Enterprise Group		122,700		4,054

				32,142

Total Common Stock (Cost $1,357,903) ($ Thousands)				1,846,129


	Number Of Warrants
WARRANTS — 0.0%
Kinder Morgan, Expires 2017 *		101,260		569

Total Warrants (Cost $193) ($ Thousands)				569


AFFILIATED PARTNERSHIP — 4.6%
SEI Liquidity Fund, L.P. 0.100% ** † (B)		86,698,189		86,698

Total Affiliated Partnership (Cost $86,698) ($ Thousands)				86,698


CASH EQUIVALENTS — 1.6%
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund 0.010% **		2,151,956		2,152
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		28,990,159		28,990

Total Cash Equivalents (Cost $31,142) ($ Thousands)				31,142


U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bills 0.093%, 06/27/2013 (C)(D)	$	3,142		3,142

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		123		Jun-2013	$	(113	)
S&P Mid 400 Index E-MINI		11		Jun-2013		(3	)

					$	(116	)

Percentages are based on a Net Assets of $1,897,837 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

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 May 31, 2013. The total value of securities on loan at May 31, 2013 was $83,442 ($ 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 May 31, 2013 was $86,698 ($ Thousands).

(C)

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

(D)

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

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poors

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,846,129	$	—	$	—	$	1,846,129
Warrant		569		—		—		569
Affiliated Partnership		—		86,698		—		86,698
Cash Equivalents		31,142		—		—		31,142
U.S. Treasury Obligation		—		3,142		—		3,142

Total Investments in Securities	$	1,877,840	$	89,840	$	—	$	1,967,680


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(116	)	$	—	$	—	$	(116	)

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.8%

Consumer Discretionary — 16.6%
Aaron’s		8,600	$	242
Aeropostale *		41,100		600
Amazon.com *		100		27
AMC Networks, Cl A *		700		45
Ascena Retail Group *		40,200		817
Cablevision Systems, Cl A		5,900		89
Carmax *		400		19
Carnival, Cl A		19,300		639
Chico’s FAS		3,200		58
Cinemark Holdings		200		6
Coach		35,633		2,076
Comcast, Cl A		78,500		3,152
CST Brands *		2,522		77
Delphi Automotive		400		20
Dillard’s, Cl A		4,600		424
DIRECTV *		12,600		770
Discovery Communications, Cl A *		10,500		828
DISH Network, Cl A		1,900		73
DR Horton		4,800		117
Expedia		1,200		69
Ford Motor		10,000		157
GameStop, Cl A		17,300		574
Gannett		6,400		138
Gap		25,000		1,014
General Motors *		5,700		193
Gildan Activewear, Cl A		7,000		290
Goodyear Tire & Rubber *		2,800		42
H&R Block		20,600		603
Hanesbrands		12,100		603
Hasbro		300		13
Home Depot		34,900		2,745
Jarden *		6,150		286
L Brands		5,400		270
Lamar Advertising, Cl A *		2,700		126
Las Vegas Sands		500		29
Lear		6,900		414
Leggett & Platt		6,600		211
Lennar, Cl A		7,400		291
Liberty Global, Cl A *		6,300		465
Liberty Interactive, Cl A *		139,225		3,125
Liberty Media *		5,200		649
Liberty Ventures, Ser A *		1,700		139
LKQ *		15,000		367
Lowe’s		35,100		1,478
Macy’s		10,700		517
Madison Square Garden, Cl A *		2,600		152
Magna International, Cl A		4,900		326
McDonald’s		3,700		357
McGraw-Hill		18,280		997
Mohawk Industries *		1,900		211
NetFlix *		200		45
Newell Rubbermaid		34,600		936
News, Cl A		14,800		475
NIKE, Cl B		59,564		3,673
Nordstrom		35,057		2,062
NVR *		300		295
priceline.com *		3,300		2,653


Description	Shares		Market Value ($ Thousands)

PulteGroup *		18,300	$	395
Royal Caribbean Cruises		8,400		294
Sally Beauty Holdings *		31,550		966
Scripps Networks Interactive, Cl A		700		47
Service International		1,900		34
Signet Jewelers		5,800		397
Staples		50,540		758
Starz - Liberty Capital *		5,300		123
Target		31,406		2,183
Thomson Reuters		2,600		87
Time Warner		23,800		1,389
Time Warner Cable, Cl A		15,800		1,509
TJX		8,700		440
Toll Brothers *		600		21
TRW Automotive Holdings *		800		51
Urban Outfitters *		5,300		222
Virgin Media		13,800		685
Visteon *		800		51
Walt Disney		50,762		3,202
Whirlpool		9,900		1,265
Williams-Sonoma		2,500		135

				51,323


Consumer Staples — 10.0%
Altria Group		1,000		36
Avon Products		11,600		274
Brown-Forman, Cl B		2,900		200
Bunge		300		21
Campbell Soup		17,150		734
Clorox		1,500		124
Coca-Cola Enterprises		28,200		1,048
Colgate-Palmolive		16,750		969
ConAgra Foods		6,200		209
Constellation Brands, Cl A *		6,100		323
Costco Wholesale		20,783		2,279
CVS Caremark		35,010		2,016
Dr. Pepper Snapple Group		6,900		317
Energizer Holdings		1,000		96
Estee Lauder, Cl A		29,951		2,030
General Mills		9,800		461
Green Mountain Coffee Roasters *		3,800		278
Hershey		16,100		1,435
Hillshire Brands		8,300		287
HJ Heinz		8,500		615
Hormel Foods		2,400		96
Ingredion		1,800		123
JM Smucker		3,300		333
Kellogg		3,100		192
Kimberly-Clark		17,500		1,694
Kraft Foods Group		19,600		1,081
Kroger		32,800		1,105
McCormick		6,200		428
Molson Coors Brewing, Cl B		3,600		178
Mondelez International, Cl A		68,341		2,013
PepsiCo		27,625		2,231
Philip Morris International		2,100		191
Procter & Gamble		3,200		246
Safeway		21,400		493
Sysco		11,400		385
Tyson Foods, Cl A		25,800		645
Walgreen		57,200		2,732


Description	Shares		Market Value ($ Thousands)

Wal-Mart Stores		13,710	$	1,026
Whole Foods Market		39,244		2,035

				30,979


Energy — 8.3%
Apache		10,910		896
Baker Hughes		18,280		831
Cabot Oil & Gas		8,300		584
Cameron International *		300		18
Cheniere Energy *		700		20
Chevron		8,500		1,043
ConocoPhillips		15,400		945
CVR Energy		9,900		622
Dresser-Rand Group *		1,500		91
EOG Resources		25,025		3,231
EQT		6,400		511
Exxon Mobil		35,560		3,217
Halliburton		400		17
Helmerich & Payne		1,300		80
Hess		800		54
HollyFrontier		12,000		594
Kinder Morgan		76,693		2,913
Marathon Oil		24,100		829
Marathon Petroleum		27,600		2,277
Murphy Oil		27,020		1,711
Noble Energy		800		46
Patterson-UTI Energy		19,800		416
Phillips 66		22,900		1,524
Schlumberger		11,430		835
Southwestern Energy *		10,100		381
Tesoro		7,100		438
Valero Energy		36,400		1,479

				25,603


Financials — 11.3%
ACE		200		18
Aflac		15,630		870
Allied World Assurance Holdings		4,600		411
Allstate		11,200		540
American Capital *		16,200		216
American Express		10,175		770
American Tower, Cl A		500		39
Ameriprise Financial		5,100		416
Aon		400		25
Arch Capital Group *		6,400		328
Ares Capital		2,300		40
Aspen Insurance Holdings		500		18
Axis Capital Holdings		4,400		192
Bank of America		85,400		1,167
Berkshire Hathaway, Cl B *		600		68
BlackRock, Cl A		300		84
CapitalSource		4,900		46
CBL & Associates Properties		2,000		46
CBOE Holdings		4,700		189
CBRE Group, Cl A *		23,010		533
Cincinnati Financial		200		10
Citigroup		39,600		2,059
CME Group, Cl A		20,525		1,394
Corporate Office Properties Trust ‡		300		8
Corrections Corp of America ‡		5,797		204
Discover Financial Services		27,500		1,304
Eaton Vance		5,100		212


Description	Shares		Market Value ($ Thousands)

Everest Re Group		5,700	$	739
Extra Space Storage ‡		2,900		121
Fidelity National Financial, Cl A		34,505		908
Fifth Third Bancorp		53,800		979
Genworth Financial, Cl A *		14,900		161
Goldman Sachs Group		10,800		1,750
Hartford Financial Services Group		12,800		392
HCC Insurance Holdings		4,200		180
Howard Hughes *		300		30
Hudson City Bancorp		4,800		41
Huntington Bancshares		116,200		900
IntercontinentalExchange *		11,775		2,016
JPMorgan Chase		36,100		1,971
KeyCorp		88,000		949
Lazard, Cl A		22,144		750
Lincoln National		5,900		210
M&T Bank		3,600		378
MetLife		16,650		736
MFA Mortgage Investments ‡		9,600		84
Moody’s		2,100		139
Morgan Stanley		17,700		458
MSCI, Cl A *		16,690		588
National Retail Properties ‡		5,200		186
Old Republic International		4,400		60
PartnerRe		6,300		571
Piedmont Office Realty Trust, Cl A ‡		5,000		95
Popular *		4,800		144
Progressive		84,350		2,150
Rayonier ‡		5,100		283
Regions Financial		79,300		724
RenaissanceRe Holdings		3,100		267
Senior Housing Properties Trust ‡		2,400		62
SunTrust Banks		19,100		613
Travelers		12,600		1,055
Unum Group		800		23
US Bancorp		4,700		165
Ventas ‡		700		50
Waddell & Reed Financial, Cl A		1,400		64
Wells Fargo		14,500		588
Weyerhaeuser ‡		52,485		1,565
Willis Group Holdings		13,940		545
XL Group, Cl A		3,900		123

				35,020


Health Care — 13.2%
Abbott Laboratories		9,900		363
AbbVie		6,200		265
Actavis *		7,800		962
Aetna		616		37
Agilent Technologies		13,030		592
Allergan		22,700		2,258
AmerisourceBergen		17,900		968
Amgen		38,028		3,823
Ariad Pharmaceuticals *		9,600		176
Baxter International		5,700		401
Biogen Idec *		9,753		2,316
BioMarin Pharmaceutical *		300		19
Boston Scientific *		3,000		28
Brookdale Senior Living, Cl A *		700		20
Cardinal Health		14,600		686
Celgene *		39,339		4,864


Description	Shares		Market Value ($ Thousands)

Cigna		8,300	$	564
Community Health Systems		1,400		67
Covance *		1,100		82
Covidien		100		7
DaVita *		3,400		422
Edwards Lifesciences *		500		33
Eli Lilly		31,500		1,674
Express Scripts Holding *		33,132		2,058
Forest Laboratories *		21,680		862
Gilead Sciences *		26,524		1,445
Health Management Associates, Cl A *		4,300		59
Hologic *		28,740		596
Humana		9,700		783
Illumina *		2,100		148
Johnson & Johnson		42,265		3,558
Life Technologies *		400		29
McKesson		8,200		934
MEDNAX *		500		46
Merck		13,200		616
Mettler Toledo International *		600		131
Mylan Laboratories *		18,600		567
Novo Nordisk ADR		9,675		1,559
Perrigo		9,950		1,153
Pfizer		104,150		2,836
Regeneron Pharmaceuticals *		700		170
ResMed		6,400		307
Sirona Dental Systems *		2,400		170
St. Jude Medical		17,795		769
Teleflex		10,030		786
Tenet Healthcare *		3,500		166
Thermo Fisher Scientific		800		71
Thoratec *		2,700		84
United Therapeutics *		6,500		432
Zimmer Holdings		400		32
Zoetis *		500		16

				41,010


Industrials — 6.6%
ADT		1,000		41
AECOM Technology *		14,400		443
Alaska Air Group *		7,700		438
Alliant Techsystems		1,300		102
BE Aerospace *		1,000		63
C.H. Robinson Worldwide		3,900		221
Caterpillar		6,300		540
Chicago Bridge & Iron		900		57
Colfax *		1,500		75
Copa Holdings, Cl A		1,400		184
Copart *		3,300		113
Covanta Holding		2,200		45
Crane		600		36
Delta Air Lines		46,100		830
Diana Shipping *		32,740		332
Eaton		3,600		238
Emerson Electric		13,870		797
Expeditors International of Washington		1,300		51
Flowserve		2,300		387
Fluor		10,100		638
Fortune Brands Home & Security		6,200		262
Gardner Denver		400		30


Description	Shares		Market Value ($ Thousands)

General Electric		44,060	$	1,028
GrafTech International *		82,415		691
Illinois Tool Works		9,550		670
Ingersoll-Rand		19,740		1,136
Iron Mountain		7,200		258
ITT		27,150		818
Kirby *		300		23
L-3 Communications Holdings, Cl 3		12,800		1,089
Lennox International		1,000		64
Lockheed Martin		6,800		720
Manitowoc		800		17
Masco		13,300		280
Northrop Grumman		32,130		2,647
Oshkosh Truck *		9,700		386
Owens Corning *		400		17
Raytheon		26,000		1,733
Republic Services, Cl A		5,100		174
Rockwell Collins		12,815		830
Ryder System		400		25
Snap-on		800		73
Southwest Airlines		1,500		21
TransDigm Group *		400		58
Trinity Industries		2,900		119
Union Pacific		5,700		882
United Continental Holdings *		9,300		302
URS		6,600		320
Valmont Industries		100		15
Waste Connections		2,100		85

				20,404


Information Technology — 19.1%
Activision Blizzard		20,000		289
Adobe Systems *		113,918		4,888
Alliance Data Systems *		200		35
Amdocs		20,900		746
AOL *		800		28
Apple		7,125		3,204
Automatic Data Processing		11,600		797
BMC Software *		9,050		410
Cadence Design Systems *		6,700		101
Check Point Software Technologies *		13,470		675
Cisco Systems		43,300		1,043
Cognizant Technology Solutions, Cl A *		800		52
Computer Sciences		19,000		848
CoreLogic *		4,100		107
Cree *		900		56
eBay *		41,200		2,229
Electronic Arts *		7,100		163
EMC		87,506		2,167
Facebook, Cl A *		2,400		58
First Solar *		5,500		299
FleetCor Technologies *		2,200		192
Genpact *		5,400		105
Google, Cl A *		5,310		4,622
Harris		4,600		230
Ingram Micro, Cl A *		14,800		283
International Business Machines		10,003		2,081
Intuit		35,525		2,076
IPG Photonics *		900		53
Jack Henry & Associates		2,600		122


Description	Shares		Market Value ($ Thousands)

Linear Technology		700	$	26
LSI *		73,435		543
Marvell Technology Group		19,700		214
Mastercard, Cl A		6,645		3,789
Microsoft		92,190		3,216
Motorola Solutions		5,400		313
NeuStar, Cl A *		2,300		111
Oracle		87,007		2,937
Qualcomm		81,980		5,204
Rackspace Hosting *		6,700		252
Riverbed Technology *		44,550		689
SanDisk *		6,200		366
Seagate Technology		8,400		362
Solera Holdings		3,300		181
Stratasys *		900		75
Symantec		42,900		961
Teradata *		28,375		1,582
VeriFone Holdings *		54,850		1,280
VeriSign *		29,025		1,365
Visa, Cl A		36,300		6,466
Western Digital		14,000		886
Yahoo! *		6,300		166
Zebra Technologies, Cl A *		500		23

				58,966


Materials — 3.6%
Allied Nevada Gold *		5,800		45
Ashland		600		53
Bemis		2,300		90
CF Industries Holdings		3,700		707
E.I. du Pont de Nemours		15,800		882
Eastman Chemical		1,700		122
Ecolab		1,200		101
International Flavors & Fragrances		1,400		112
International Paper		2,000		92
Louisiana-Pacific *		16,700		294
LyondellBasell Industries, Cl A		25,100		1,673
Monsanto		400		40
NewMarket		300		82
Newmont Mining		17,585		603
Owens-Illinois *		25,395		697
Packaging Corp of America		13,300		652
PPG Industries		400		61
Rock Tenn, Cl A		4,200		415
Royal Gold		3,000		164
Sealed Air		35,568		854
Sherwin-Williams		3,400		641
Southern Copper		9,100		283
Syngenta ADR		17,525		1,364
Valspar		2,800		201
Vulcan Materials		900		48
Westlake Chemical		1,100		103
WR Grace *		9,555		808

				11,187


Telecommunication Services — 3.6%
AT&T		56,500		1,977
BCE		6,100		273
Crown Castle International *		85,138		6,066
Frontier Communications		55,700		231
SBA Communications, Cl A *		5,700		429
Sprint Nextel *		105,900		773


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

Verizon Communications		31,300	$	1,517

				11,266


Utilities — 2.5%
AES		23,900		291
AGL Resources		6,100		258
American Electric Power		23,200		1,063
Aqua America		2,600		81
Atmos Energy		3,500		148
Centerpoint Energy		2,700		63
DTE Energy		6,000		400
Edison International		19,200		882
Great Plains Energy		900		20
ITC Holdings		1,900		165
National Fuel Gas		3,300		202
NextEra Energy		14,200		1,074
NRG Energy		15,600		398
NV Energy		42,200		989
Pepco Holdings		2,900		60
Pinnacle West Capital		300		17
PPL		7,100		211
Public Service Enterprise Group		23,700		783
Questar		700		17
Sempra Energy		4,800		390
UGI		5,000		191
Vectren		500		17

				7,720

Total Common Stock (Cost $248,240) ($ Thousands)				293,478


EXCHANGE TRADED FUND — 0.3%
SPDR Gold Trust		6,470		866

Total Exchange Traded Fund (Cost $993) ($ Thousands)				866


	Number Of Warrants

WARRANTS — 0.1%
Kinder Morgan, Expires 2017 *		28,240		159

Total Warrants (Cost $54) ($ Thousands)				159


CASH EQUIVALENT — 5.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		16,838,688		16,839

Total Cash Equivalent (Cost $16,839) ($ Thousands)				16,839


U.S. TREASURY OBLIGATIONS (A)(B) — 0.5%
U.S. Treasury Bills
0.120%, 06/27/2013	$	514		514
0.042%, 07/25/2013		1,066		1,066

Total U.S. Treasury Obligations (Cost $1,580) ($ Thousands)				1,580

Total Investments — 101.1% (Cost $267,706) ($ Thousands)			$	312,922

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		13		Jun-2013	$	(7	)
S&P 500 Index EMINI		110		Jun-2013		(110	)

					$	(117	)

Percentages are based on a Net Assets of $309,577 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust.

(A)

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

(B)

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

ADR — American Depositary Receipt

Cl — Class

Ser — Series

S&P — Standard & Poor’s

SPDR — Standard & Poor’s Depository Receipt

The following is a list of inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	293,478	$	—	$	—	$	293,478
Exchange Traded Fund		866		—		—		866
Warrant		159		—		—		159
Cash Equivalent		16,839		—		—		16,839
U.S. Treasury Obligations		—		1,580		—		1,580

Total Investments in Securities	$	311,342	$	1,580	$	—	$	312,922


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(117	)	$	—	$	—	$	(117	)

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.5%

Consumer Discretionary — 11.7%
Advance Auto Parts		40,560	$	3,307
AMC Networks, Cl A *		2,900		186
American Eagle Outfitters		152,265		3,013
AutoNation *		18,700		866
AutoZone *		101,168		41,361
Bally Technologies * (A)		34,250		1,951
Brinker International (A)		292,261		11,460
Cablevision Systems, Cl A (A)		102,600		1,551
Carmax * (A)		12,600		589
Carnival, Cl A		98,500		3,260
Carter’s		3,500		252
CBS, Cl B		102,600		5,079
Chico’s FAS (A)		100,100		1,808
Cinemark Holdings		20,500		601
Coach		75,400		4,393
Comcast, Cl A		1,360,625		53,836
Delphi Automotive		359,749		17,559
Dillard’s, Cl A		54,600		5,038
DIRECTV *		168,498		10,300
Discovery Communications, Cl A * (A)		85,600		6,750
DR Horton (A)		138,300		3,369
Expedia (A)		47,300		2,718
Foot Locker		20,400		700
Ford Motor		1,099,711		17,243
GameStop, Cl A (A)		49,000		1,625
Gannett (A)		279,233		6,004
Gap		273,400		11,086
General Motors * (A)		21,535		730
Goodyear Tire & Rubber *		735,884		11,141
H&R Block		175,400		5,134
Hasbro (A)		64,430		2,866
Home Depot		637,367		50,135
Iconix Brand Group * (A)		67,450		2,030
International Game Technology		184,300		3,295
Jack in the Box *		18,000		657
John Wiley & Sons, Cl A		4,000		159
Kohl’s (A)		149,776		7,700
L Brands		19,300		965
Lear		22,101		1,326
Leggett & Platt (A)		87,700		2,806
Lennar, Cl A (A)		99,000		3,893
Lowe’s		266,000		11,201
Macy’s		891,462		43,093
Marriott International, Cl A		6,900		290
Matthews International, Cl A (A)		80,660		3,093
McDonald’s		189,032		18,255
McGraw-Hill		486,200		26,522
Modine Manufacturing *		173,338		1,777
NetFlix * (A)		2,300		520
Newell Rubbermaid		154,500		4,178
News, Cl A		111,400		3,577
NIKE, Cl B		173,100		10,673
O’Reilly Automotive *		500		55
Polaris Industries (A)		17,600		1,681
PulteGroup * (A)		273,886		5,913
PVH		8,800		1,014
Ralph Lauren, Cl A		25,600		4,482


Description	Shares		Market Value ($ Thousands)

Regal Entertainment Group, Cl A (A)		174,898	$	3,096
Ross Stores		353,450		22,727
Scripps Networks Interactive, Cl A		39,600		2,667
Smith & Wesson Holding * (A)		31,800		290
Starbucks		55,800		3,519
Starz - Liberty Capital *		41,096		948
Target		258,356		17,956
Taylor Morrison Home, Cl A *		440,800		11,386
Tenneco *		46,355		2,056
Texas Roadhouse, Cl A		66,275		1,567
Thor Industries (A)		39,000		1,666
Time Warner		410,270		23,947
Time Warner Cable, Cl A		82,416		7,872
TJX		665,860		33,699
Tupperware Brands		21,600		1,749
Urban Outfitters *		62,000		2,600
Vera Bradley * (A)		95,795		2,251
Viacom, Cl B		398,805		26,277
Virgin Media (A)		37,165		1,846
Visteon *		2,800		178
Walt Disney		161,750		10,203
Whirlpool		138,100		17,644
Wyndham Worldwide		49,700		2,889
Wynn Resorts		2,100		285
Yum! Brands		73,300		4,966

				649,350


Consumer Staples — 9.4%
Altria Group		914,354		33,008
Archer-Daniels-Midland		301,800		9,727
Brown-Forman, Cl B		18,200		1,252
Bunge (A)		212,532		14,792
Cal-Maine Foods		2,100		94
Campbell Soup (A)		49,700		2,128
Central Garden and Pet, Cl A *		191,800		1,456
Clorox		7,600		631
Coca-Cola		347,674		13,903
Coca-Cola Enterprises		423,432		15,735
Colgate-Palmolive		84,000		4,859
ConAgra Foods		27,700		933
Constellation Brands, Cl A *		85,100		4,511
Costco Wholesale		33,200		3,641
CVS Caremark		654,608		37,692
Dean Foods * (A)		82,084		861
Dr. Pepper Snapple Group (A)		369,980		17,012
General Mills		7,000		330
Henkel		40,992		3,352
Herbalife (A)		99,383		4,638
Hershey		25,000		2,228
HJ Heinz		33,800		2,446
Hormel Foods		27,900		1,111
Ingredion		33,500		2,282
JM Smucker		189,625		19,145
Kellogg		25,400		1,576
Kimberly-Clark		90,270		8,741
Kraft Foods Group		446,340		24,607
Kroger		682,067		22,965
McCormick (A)		31,500		2,176
Medifast * (A)		18,500		533
Molson Coors Brewing, Cl B		234,950		11,609
Mondelez International, Cl A		382,013		11,254


Description	Shares		Market Value ($ Thousands)

PepsiCo		286,392	$	23,132
Philip Morris International		1,001,143		91,014
Pilgrim’s Pride *		32,800		392
Procter & Gamble		335,324		25,739
Safeway (A)		298,923		6,878
Sysco (A)		298,090		10,076
TreeHouse Foods *		22,650		1,483
Tyson Foods, Cl A		655,977		16,399
Wal-Mart Stores		834,879		62,483
WhiteWave Foods, Cl A * (A)		20,968		366
WhiteWave Foods, Cl B * (A)		16,472		272

				519,462


Energy — 10.5%
Anadarko Petroleum		77,300		6,761
Apache		183,655		15,084
Cabot Oil & Gas		117,900		8,296
Chevron		1,125,753		138,186
ConocoPhillips		871,915		53,483
Consol Energy		206,035		7,145
Diamond Offshore Drilling (A)		30,600		2,106
Dresser-Rand Group *		36,100		2,188
Ensco, Cl A		188,700		11,354
EOG Resources		4,500		581
EQT		51,700		4,130
Exxon Mobil		943,024		85,315
Halliburton		45,400		1,900
Helmerich & Payne		24,100		1,488
HollyFrontier		147,743		7,313
Key Energy Services *		329,695		2,136
Kinder Morgan		79,860		3,033
Marathon Oil		114,454		3,936
Marathon Petroleum		251,800		20,774
Murphy Oil (A)		24,600		1,558
National Oilwell Varco		531,770		37,383
Noble Energy		378,238		21,805
Occidental Petroleum		198,741		18,298
Oil States International *		21,810		2,148
PDC Energy *		43,400		2,222
Peabody Energy		549,885		10,816
Phillips 66		473,522		31,522
Pioneer Natural Resources		27,300		3,786
Schlumberger		423,127		30,901
Solazyme * (A)		138,400		1,705
Southwestern Energy *		50,600		1,907
Superior Energy Services *		8,300		222
Tesoro		213,681		13,174
Ultra Petroleum * (A)		105,369		2,400
Valero Energy		482,496		19,604
Williams		32,600		1,147

				575,807


Financials — 14.3%
ACE		3,300		296
Aflac		97,810		5,447
Allstate		444,646		21,450
American Assets Trust		13,600		438
American Capital Agency		434,297		11,205
American Capital Mortgage Investment		32,400		683
American Express		721,953		54,659
American Financial Group		11,200		544
American International Group *		545,907		24,271


Description	Shares		Market Value ($ Thousands)

American Tower, Cl A		29,000	$	2,257
Ameriprise Financial		14,936		1,217
Annaly Capital Management		201,800		2,740
Aon		7,800		497
Arch Capital Group * (A)		33,435		1,712
Axis Capital Holdings		96,088		4,186
Bank of America		2,942,706		40,197
Bank of New York Mellon		68,500		2,059
BB&T		55,400		1,824
Berkshire Hathaway, Cl B *		79,574		9,077
BlackRock, Cl A		30,600		8,543
Brown & Brown		85,500		2,759
Camden Property Trust		45,520		3,152
Capital One Financial		46,800		2,852
CBRE Group, Cl A *		16,235		377
Chubb		89,100		7,761
Cincinnati Financial		90,500		4,284
CIT Group *		738,858		34,047
Citigroup		1,859,175		96,658
CME Group, Cl A		202,810		13,777
Corrections Corp of America ‡		137,250		4,824
Discover Financial Services		684,370		32,446
East West Bancorp		82,580		2,175
EverBank Financial		148,300		2,328
Extra Space Storage ‡		71,095		2,978
Fidelity National Financial, Cl A		320,557		8,434
Franklin Resources		8,500		1,316
Franklin Street Properties ‡		14,600		199
General Growth Properties ‡		73,200		1,503
Genworth Financial, Cl A *		268,700		2,905
Goldman Sachs Group		155,201		25,155
Hartford Financial Services Group		117,200		3,590
Hudson City Bancorp		267,400		2,273
Huntington Bancshares		290,400		2,250
IntercontinentalExchange * (A)		53,175		9,104
Invesco		49,100		1,657
Jones Lang LaSalle		44,127		4,052
JPMorgan Chase		1,599,101		87,295
Kilroy Realty ‡ (A)		54,485		2,883
Lexington Realty Trust ‡ (A)		212,165		2,671
Lincoln National		251,700		8,976
M&T Bank (A)		50,840		5,333
Macerich ‡ (A)		48,670		3,159
Marsh & McLennan		545,360		21,825
MetLife		247,400		10,937
Moody’s (A)		136,230		9,051
Morgan Stanley		1,335,490		34,589
MSCI, Cl A *		208,160		7,336
NASDAQ OMX Group		10,800		340
Nelnet, Cl A		20,800		812
Northern Trust		3,400		198
PacWest Bancorp (A)		107,505		3,099
PartnerRe		135,734		12,304
Plum Creek Timber ‡		254,024		12,117
Popular *		6,637		199
Raymond James Financial		76,720		3,373
Realogy Holdings *		26,780		1,383
Regions Financial		300,543		2,744
Reinsurance Group of America, Cl A		7,300		481
Select Income ‡		3,800		104
Signature Bank NY *		33,260		2,567


Description	Shares		Market Value ($ Thousands)

Simon Property Group ‡		18,889	$	3,144
SLM		6,100		145
State Street		6,100		404
SunTrust Banks		136,200		4,371
Symetra Financial		29,700		415
TCF Financial (A)		157,700		2,271
Torchmark (A)		22,200		1,432
Travelers		96,600		8,087
US Bancorp		897,109		31,453
Vornado Realty Trust ‡		26,320		2,104
Waddell & Reed Financial, Cl A		45,430		2,092
Wells Fargo		400,355		16,234
Weyerhaeuser ‡		303,600		9,053
Winthrop Realty Trust ‡		14,500		180
Wintrust Financial (A)		47,980		1,811
XL Group, Cl A		96,640		3,037

				786,167


Health Care — 12.9%
Abbott Laboratories		489,940		17,966
AbbVie		736,092		31,424
Actavis *		231,040		28,485
Aetna		9,471		572
Agilent Technologies		27,611		1,255
Alexion Pharmaceuticals *		10,500		1,024
Allergan		2,800		279
AmerisourceBergen (A)		102,969		5,568
Amgen		417,016		41,923
Ariad Pharmaceuticals *		121,700		2,232
Baxter International		429,390		30,199
Biogen Idec *		72,900		17,313
Bristol-Myers Squibb		105,717		4,864
Brookdale Senior Living, Cl A *		73,500		2,084
Bruker *		9,000		149
C.R. Bard		10,100		1,041
Cardinal Health		289,201		13,581
CareFusion *		155,565		5,717
Celgene *		127,900		15,815
Charles River Laboratories International *		16,115		698
Cigna		10,500		713
Covance *		25,338		1,889
Covidien		633,270		40,276
DaVita *		39,300		4,876
Edwards Lifesciences *		36,600		2,432
Eli Lilly		703,058		37,374
Express Scripts Holding *		615,880		38,258
Gilead Sciences * (A)		258,795		14,099
Haemonetics *		57,510		2,374
HCA Holdings		161,235		6,298
Henry Schein *		17,560		1,691
Humana		57,500		4,645
Intuitive Surgical *		2,100		1,045
Johnson & Johnson		606,506		51,056
Magellan Health Services *		23,100		1,259
McKesson		185,760		21,151
Medtronic		263,973		13,465
Merck		532,419		24,864
Mylan Laboratories *		435,075		13,261
PerkinElmer		71,200		2,230
Pfizer		4,164,475		113,399
Quintiles Transnational Holdings *		52,200		2,299


Description	Shares		Market Value ($ Thousands)

Regeneron Pharmaceuticals *		2,800	$	677
Sanofi-Aventis		114,980		12,295
St. Jude Medical		68,900		2,979
Stryker		100,200		6,652
Team Health Holdings *		40,300		1,574
Tenet Healthcare *		52,200		2,473
UnitedHealth Group		590,470		36,981
Vertex Pharmaceuticals *		133,330		10,708
WellPoint		15,200		1,170
Zimmer Holdings (A)		6,200		487
Zoetis * (A)		291,965		9,343

				706,482


Industrials — 9.6%
3M		28,666		3,161
ACCO Brands *		111,400		796
Actuant, Cl A (A)		86,370		2,937
ADT		248,040		10,068
AECOM Technology *		9,900		305
Alaska Air Group *		26,175		1,487
Alliant Techsystems		27,100		2,128
AO Smith		6,800		267
Avery Dennison		9,900		431
Babcock & Wilcox		73,800		2,190
BE Aerospace *		38,000		2,411
Boeing		193,882		19,198
C.H. Robinson Worldwide		48,700		2,761
Canadian National Railway		125,250		12,684
Carlisle		17,100		1,118
Caterpillar		13,428		1,152
Cintas (A)		16,800		767
CNH Global * (A)		96,985		4,204
CSX		1,235,270		31,141
Deere		75,400		6,568
Delta Air Lines		372,795		6,714
Dun & Bradstreet (A)		9,800		962
Eaton		3,800		251
Echo Global Logistics *		97,294		1,739
Emerson Electric		451,393		25,937
Equifax		77,400		4,714
Expeditors International of Washington		17,800		695
FedEx		63,500		6,118
Flowserve		30,700		5,162
Fluor (A)		33,100		2,092
General Dynamics		87,000		6,708
General Electric		2,587,775		60,347
Honeywell International		279,633		21,940
Hub Group, Cl A *		57,869		2,101
Illinois Tool Works		52,700		3,696
Ingersoll-Rand		130,400		7,502
Iron Mountain		91,900		3,294
Joy Global (A)		237,655		12,852
Kansas City Southern		6,800		753
KAR Auction Services		94,245		2,210
Kennametal		42,300		1,833
L-3 Communications Holdings, Cl 3		162,680		13,842
Lennox International		33,600		2,150
Lockheed Martin		198,156		20,971
Masco		293,835		6,176
MasTec * (A)		76,945		2,447
Matson		21,300		536
Middleby *		8,915		1,457


Description	Shares		Market Value ($ Thousands)

Norfolk Southern		96,500	$	7,391
Northrop Grumman		170,703		14,064
Oshkosh Truck *		106,100		4,225
Parker Hannifin (A)		84,900		8,470
Pitney Bowes (A)		731,265		10,735
Quanta Services *		57,385		1,628
Raytheon		85,400		5,691
Republic Services, Cl A		353,325		12,048
Rockwell Collins		4,300		278
Rollins		5,300		134
Roper Industries		4,000		497
Ryder System		30,800		1,942
Snap-on		36,000		3,279
Southwest Airlines		23,100		328
SPX		21,890		1,728
Terex *		180,620		6,479
Toro		27,300		1,301
Towers Watson, Cl A		218,720		16,990
Trimas *		87,440		2,820
Trinity Industries		70,391		2,881
Tyco International		763,345		25,809
UniFirst		5,600		531
Union Pacific		81,800		12,648
United Parcel Service, Cl B		314,930		27,052
United Technologies		214,403		20,347
Valmont Industries		16,900		2,574
WW Grainger		23,100		5,947

				528,790


Information Technology — 18.5%
Accenture, Cl A		86,800		7,127
Amdocs		217,470		7,764
AOL *		246,517		8,544
Apple		410,514		184,600
ARRIS Group *		16,300		247
Arrow Electronics *		12,500		497
Autodesk *		49,025		1,850
Automatic Data Processing		83,300		5,724
Avnet *		63,600		2,173
Blackhawk Network Holdings, Cl A * (A)		102,310		2,437
Booz Allen Hamilton Holding, Cl A		64,101		1,118
Broadridge Financial Solutions		37,800		1,026
CA		97,400		2,660
Cadence Design Systems * (A)		183,020		2,769
Cisco Systems		3,682,273		88,669
Cognizant Technology Solutions, Cl A *		18,300		1,183
CommVault Systems *		12,400		868
Computer Sciences		362,942		16,191
CoreLogic *		99,400		2,604
Corning		838,500		12,888
eBay *		809,830		43,812
Electronic Arts *		101,700		2,338
EMC (A)		731,360		18,109
Facebook, Cl A *		429,110		10,449
First Solar * (A)		88,364		4,805
Fiserv *		13,200		1,151
FleetMatics Group * (A)		62,300		1,853
FLIR Systems		106,015		2,583
Google, Cl A *		61,304		53,360
Harris		194,203		9,735


Description	Shares		Market Value ($ Thousands)

Hewlett-Packard		477,800	$	11,668
Informatica *		62,500		2,272
Ingram Micro, Cl A *		194,933		3,725
Intel		39,799		966
International Business Machines		569,653		118,499
Intuit		136,600		7,983
j2 Global (A)		43,615		1,783
Jabil Circuit		32,100		644
JDS Uniphase *		45,800		624
Juniper Networks *		53,500		949
Lender Processing Services		54,400		1,800
Littelfuse		26,375		1,938
LSI *		2,422,091		17,924
Marvell Technology Group		88,500		959
Mastercard, Cl A		37,119		21,167
Microsemi *		80,505		1,766
Microsoft		2,803,783		97,796
NetApp		35,300		1,325
Netscout Systems * (A)		109,765		2,673
ON Semiconductor *		252,930		2,165
Oracle		1,726,249		58,278
Paychex (A)		20,000		745
Pegasystems		4,100		133
Qualcomm		925,415		58,745
Red Hat *		53,810		2,595
Seagate Technology		226,216		9,745
SolarWinds *		11,600		489
SS&C Technologies Holdings *		63,986		2,024
Symantec		668,073		14,958
Syntel *		9,700		620
Texas Instruments		256,130		9,193
VeriSign *		500		23
Visa, Cl A		138,762		24,719
Web.com Group *		101,800		2,137
Western Digital		296,500		18,774
Western Union		296,536		4,857
Xerox		325,624		2,862
Xilinx		45,665		1,856
Yahoo! *		247,499		6,509

				1,017,022


Materials — 3.5%
Airgas (A)		7,400		761
Ball		11,200		483
Bemis		39,300		1,539
Caesarstone Sdot-Yam *		75,600		2,174
Carpenter Technology		53,785		2,590
Celanese, Cl A		8,200		405
CF Industries Holdings		52,000		9,930
E.I. du Pont de Nemours (A)		111,891		6,242
Eastman Chemical		135,265		9,701
Ecolab		60,300		5,094
Freeport-McMoRan Copper & Gold, Cl B		372,388		11,563
International Flavors & Fragrances		17,300		1,389
International Paper		12,800		591


Description	Shares		Market Value ($ Thousands)

LyondellBasell Industries, Cl A (A)		458,215	$	30,540
Monsanto		280,072		28,187
Mosaic		77,900		4,738
Newmont Mining		368,337		12,627
Owens-Illinois *		146,300		4,016
PPG Industries		35,400		5,438
Praxair		12,500		1,429
Rock Tenn, Cl A		17,995		1,777
Rockwood Holdings		31,385		2,092
Schweitzer-Mauduit International (A)		57,240		2,751
Sherwin-Williams		53,100		10,011
Silver Wheaton (A)		20,365		483
Southern Copper (A)		115,874		3,609
US Silica Holdings (A)		141,335		3,122
Vulcan Materials (A)		512,340		27,451

				190,733


Telecommunication Services — 2.4%
America Movil, Ser L		373,860		7,443
AT&T		1,262,671		44,181
CenturyLink		416,355		14,219
Crown Castle International *		91,100		6,491
Frontier Communications (A)		645,500		2,672
Sprint Nextel * (A)		3,276,246		23,917
Verizon Communications		708,703		34,358

				133,281


Utilities — 1.7%
AES		705,800		8,611
AGL Resources		66,300		2,807
Ameren		116,000		3,949
American Electric Power		150,369		6,890
American Water Works		61,100		2,440
California Water Service Group		138,220		2,727
CMS Energy		89,850		2,421
Dominion Resources		37,700		2,132
DTE Energy		52,400		3,490
Duke Energy		3,401		228
Edison International		497,153		22,839
NextEra Energy		137,422		10,392
NRG Energy		281,315		7,179
ONEOK		33,900		1,530
Pepco Holdings		33,400		694
Pinnacle West Capital		4,100		231
PPL (A)		37,900		1,126
Public Service Enterprise Group		47,300		1,563
SCANA		36,300		1,831
Sempra Energy		57,900		4,707
Southern		5,700		250
Xcel Energy		90,800		2,608

				90,645

Total Common Stock (Cost $4,466,619) ($ Thousands)				5,197,739


PREFERRED STOCK — 0.3%

Preferred Stock — 0.3%
Henkel		149,551		14,460

Total Preferred Stock (Cost $12,723) ($ Thousands)				14,460


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

AFFILIATED PARTNERSHIPS — 4.0%
SEI LIBOR Plus Portfolio** †		1,137,968	$	8,660
SEI Liquidity Fund, L.P. 0.100% ** † (B)		210,764,245		210,764

Total Affiliated Partnerships (Cost $222,144) ($ Thousands)				219,424


CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		147,864,259		147,864

Total Cash Equivalent (Cost $147,864) ($ Thousands)				147,864


U.S. TREASURY OBLIGATIONS (C) (D) — 0.6%
U.S. Treasury Bills
0.130%, 07/25/2013	$	4,073		4,073
0.075%, 06/27/2013		28,711		28,710
0.087%, 06/20/2013		2,400		2,400

Total U.S. Treasury Obligations (Cost $35,182) ($ Thousands)				35,183

Total Investments — 102.1% (Cost $4,884,532) ($ Thousands)			$	5,614,670

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		1,194		Jun-2013	$	446
S&P Composite Index		206		Jun-2013		5,594

					$	6,040

For the year ended May 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivativetype during the year.

Percentages are based on a Net Assets of $5,500,315 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

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 May 31, 2013. The total value of securities on loan at May 31, 2013 was $202,848 ($ 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 May 31, 2013 was $210,764 ($ Thousands).

(C)

Security, or 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

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

S&P — Standard & Poor’s

Ser — Series

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	5,197,739	$	—	$	—	$	5,197,739
Preferred Stock		14,460		—		—		14,460
Affiliated Partnerships		8,660		210,764		—		219,424
Cash Equivalent		147,864		—		—		147,864
U.S. Treasury
Obligations		—		35,183		—		35,183

Total Investments in Securities	$	5,368,723	$	245,947	$	—	$	5,614,670


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	6,040	$	—	$	—	$	6,040

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.4%

Consumer Discretionary — 12.4%
Aaron’s		7,400	$	208
Abercrombie & Fitch, Cl A		10,802		541
Advance Auto Parts		9,708		791
Allison Transmission Holdings		2,500		59
Amazon.com *		47,489		12,776
AMC Networks, Cl A *		7,085		454
American Eagle Outfitters		24,371		482
Apollo Group, Cl A *		12,264		245
Ascena Retail Group *		15,200		309
AutoNation *		4,332		201
AutoZone *		4,707		1,924
Bally Technologies * (A)		4,500		256
Bed Bath & Beyond *		28,715		1,960
Best Buy (A)		38,047		1,048
Big Lots *		9,600		327
BorgWarner *		14,582		1,182
Brinker International		9,483		372
Cablevision Systems, Cl A (A)		25,642		388
Carmax * (A)		29,060		1,359
Carnival, Cl A		52,900		1,751
Carter’s		6,000		433
CBS, Cl B		76,169		3,770
Charter Communications, Cl A *		6,000		672
Chico’s FAS		17,700		320
Chipotle Mexican Grill, Cl A *		4,019		1,451
Choice Hotels International (A)		2,584		102
Cinemark Holdings		14,200		417
Clear Channel Outdoor Holdings, Cl A *		700		6
Coach		36,867		2,148
Comcast, Cl A		352,425		14,150
CST Brands * (A)		7,148		217
Darden Restaurants		15,522		804
Deckers Outdoor * (A)		4,900		263
Delphi Automotive		41,200		2,011
DeVry (A)		7,600		238
Dick’s Sporting Goods		12,358		647
Dillard’s, Cl A		3,000		277
DIRECTV *		76,339		4,667
Discovery Communications, Cl A *		32,500		2,563
DISH Network, Cl A *		24,662		950
Dollar General *		23,500		1,241
Dollar Tree *		29,058		1,396
DR Horton (A)		34,068		830
DreamWorks Animation SKG, Cl A (A) *		6,434		141
DSW, Cl A		3,600		266
Dunkin’ Brands Group (A)		7,500		297
Expedia (A)		8,967		515
Family Dollar Stores		11,662		713
Foot Locker		18,569		637
Ford Motor		495,484		7,769
Fossil *		7,500		797
GameStop, Cl A (A)		15,800		524
Gannett		34,859		749
Gap		38,021		1,542
Garmin (A)		13,500		472


Description	Shares		Market Value ($ Thousands)

General Motors * (A)		102,900	$	3,487
Gentex (A)		18,132		415
Genuine Parts (A)		19,571		1,522
GNC Holdings, Cl A		8,600		387
Goodyear Tire & Rubber *		30,352		460
Guess? (A)		7,700		245
H&R Block		33,925		993
Hanesbrands		13,843		690
Harley-Davidson		29,003		1,582
Harman International Industries		8,768		466
Hasbro (A)		15,667		697
Home Depot		200,715		15,788
HomeAway *		4,300		131
Hyatt Hotels, Cl A *		5,700		234
International Game Technology		33,543		600
Interpublic Group		58,775		836
ITT Educational Services *		1,921		46
J.C. Penney (A) *		22,351		393
Jarden *		14,850		692
John Wiley & Sons, Cl A (A)		5,842		232
Johnson Controls		91,445		3,416
Kohl’s (A)		28,319		1,456
L Brands		28,557		1,428
Lamar Advertising, Cl A *		9,840		460
Las Vegas Sands		53,593		3,103
Lear		12,300		738
Leggett & Platt (A)		17,319		554
Lennar, Cl A (A)		19,830		780
Liberty Global, Cl A *		33,371		2,459
Liberty Interactive, Cl A *		70,047		1,573
Liberty Media *		13,420		1,676
Liberty Ventures, Ser A *		4,403		359
LKQ *		36,000		881
Lowe’s		149,010		6,275
Macy’s		52,730		2,549
Madison Square Garden, Cl A *		7,760		454
Marriott International, Cl A		26,687		1,121
Mattel		42,242		1,890
McDonald’s		133,480		12,890
McGraw-Hill		38,439		2,097
MGM Resorts International *		59,039		896
Michael Kors Holdings *		10,400		653
Mohawk Industries *		7,766		863
Morningstar		3,100		213
NetFlix * (A)		7,100		1,606
Newell Rubbermaid		38,365		1,037
News, Cl A		276,185		8,868
NIKE, Cl B		95,934		5,915
Nordstrom		20,012		1,177
Norwegian Cruise Line Holdings * (A)		6,900		212
NVR *		624		614
Omnicom Group (A)		33,744		2,096
O’Reilly Automotive *		15,540		1,692
Panera Bread, Cl A * (A)		3,162		607
Penn National Gaming *		8,189		451
PetSmart		13,773		930
Polaris Industries (A)		8,600		821
priceline.com *		6,600		5,306
PulteGroup *		42,145		910
PVH		8,500		979
Ralph Lauren, Cl A		7,780		1,362


Description	Shares		Market Value ($ Thousands)

Regal Entertainment Group, Cl A (A)		7,388	$	131
Ross Stores		28,053		1,804
Royal Caribbean Cruises		20,800		728
Sally Beauty Holdings *		21,000		643
Scripps Networks Interactive, Cl A		11,272		759
Sears Holdings * (A)		3,428		167
Service International		31,494		566
Signet Jewelers		11,700		802
Sirius XM Radio (A) *		476,900		1,660
Staples (A)		87,664		1,315
Starbucks		100,506		6,339
Starwood Hotels & Resorts Worldwide		24,784		1,693
Starz - Liberty Capital *		13,420		310
Target		87,685		6,094
Tempur-Pedic International (A) *		9,700		410
Tesla Motors * (A)		9,000		880
Thomson Reuters		46,600		1,556
Thor Industries (A)		5,500		235
Tiffany (A)		16,125		1,254
Time Warner		126,879		7,406
Time Warner Cable, Cl A		39,584		3,781
TJX		98,708		4,996
Toll Brothers *		21,451		733
Tractor Supply		8,700		974
TripAdvisor * (A)		11,067		714
TRW Automotive Holdings *		13,693		867
Tupperware Brands		6,500		526
Ulta Salon Cosmetics & Fragrance *		7,652		695
Under Armour, Cl A * (A)		9,600		595
Urban Outfitters *		13,120		550
VF (A)		10,817		1,989
Viacom, Cl B		66,069		4,353
Virgin Media (A)		35,320		1,754
Visteon *		5,400		343
Walt Disney		234,472		14,790
Washington Post, Cl B		657		307
Weight Watchers International		3,362		154
Wendy’s (A)		26,800		159
Whirlpool		9,387		1,199
Williams-Sonoma (A)		11,062		597
Wyndham Worldwide		18,568		1,079
Wynn Resorts		10,096		1,372
Yum! Brands		61,548		4,170

				275,340


Consumer Staples — 9.6%
Altria Group		268,040		9,676
Archer-Daniels-Midland		89,079		2,871
Avon Products		52,006		1,226
Beam		20,020		1,298
Brown-Forman, Cl B		18,827		1,296
Bunge		18,300		1,274
Campbell Soup (A)		21,178		907
Church & Dwight		17,507		1,065
Clorox		16,303		1,354
Coca-Cola		508,640		20,341
Coca-Cola Enterprises		31,115		1,156
Colgate-Palmolive		126,150		7,297
ConAgra Foods		57,286		1,930


Description	Shares		Market Value ($ Thousands)

Constellation Brands, Cl A *		19,831	$	1,051
Costco Wholesale		57,381		6,293
Crimson Wine Group * (A)		2,442		21
CVS Caremark		168,752		9,717
Dean Foods * (A)		23,187		243
Dr. Pepper Snapple Group		26,600		1,223
Energizer Holdings		6,441		616
Estee Lauder, Cl A		28,508		1,932
Flowers Foods		13,950		465
Fresh Market *		2,500		124
General Mills		86,592		4,077
Green Mountain Coffee Roasters * (A)		19,400		1,419
Herbalife (A)		14,200		663
Hershey		18,798		1,675
Hillshire Brands		18,200		630
HJ Heinz		43,137		3,121
Hormel Foods		18,478		736
Ingredion		7,900		538
JM Smucker		14,011		1,415
Kellogg		30,003		1,862
Kimberly-Clark		52,118		5,047
Kraft Foods Group		78,902		4,350
Kroger		66,073		2,225
Lorillard (A)		50,250		2,133
McCormick (A)		16,893		1,167
Mead Johnson Nutrition, Cl A		25,186		2,042
Molson Coors Brewing, Cl B		15,562		769
Mondelez International, Cl A		234,606		6,911
Monster Beverage *		18,300		999
Nu Skin Enterprises, Cl A (A)		6,700		394
PepsiCo		205,052		16,562
Philip Morris International		223,268		20,297
Procter & Gamble		358,274		27,501
Reynolds American		40,720		1,959
Safeway (A)		29,820		686
Smithfield Foods *		19,175		632
Sysco (A)		79,448		2,685
Tyson Foods, Cl A		30,965		774
Walgreen		114,625		5,475
Wal-Mart Stores		221,579		16,583
WhiteWave Foods, Cl A * (A)		5,923		103
WhiteWave Foods, Cl B * (A)		8,435		139
Whole Foods Market		46,904		2,432

				211,377


Energy — 9.7%
Alpha Natural Resources * (A)		28,065		187
Anadarko Petroleum		66,240		5,794
Apache		52,159		4,284
Atwood Oceanics *		7,200		378
Baker Hughes		55,840		2,540
Cabot Oil & Gas		26,300		1,850
Cameron International *		30,444		1,853
CARBO Ceramics (A)		2,500		165
Cheniere Energy *		26,400		775
Chesapeake Energy (A)		82,166		1,795
Chevron		257,802		31,645
Cimarex Energy		10,500		736
Cobalt International Energy *		24,900		646
Concho Resources *		13,200		1,104
ConocoPhillips		166,476		10,212
Consol Energy		28,944		1,004


Description	Shares		Market Value ($ Thousands)

Continental Resources *		4,800	$	389
Denbury Resources * (A)		47,324		868
Devon Energy		51,213		2,911
Diamond Offshore Drilling		8,509		585
Dresser-Rand Group *		10,434		632
Energen		8,937		484
EOG Resources		35,945		4,641
EQT		16,766		1,339
Era Group *		2,600		67
EXCO Resources (A)		13,400		109
Exxon Mobil		610,238		55,208
FMC Technologies *		30,020		1,671
Golar LNG (A)		5,500		187
Halliburton		122,797		5,139
Helmerich & Payne		11,850		732
Hess		38,712		2,610
HollyFrontier		26,326		1,303
Kinder Morgan		66,422		2,523
Kosmos Energy *		9,200		95
Laredo Petroleum Holdings * (A)		2,000		39
Marathon Oil		94,976		3,266
Marathon Petroleum		45,688		3,769
McDermott International *		34,300		328
Murphy Oil (A)		24,354		1,542
Nabors Industries		36,000		576
National Oilwell Varco		57,080		4,013
Newfield Exploration *		16,699		397
Noble Energy		48,124		2,774
Occidental Petroleum		106,754		9,829
Oceaneering International		13,200		957
Oil States International *		7,000		689
Patterson-UTI Energy (A)		19,632		412
PBF Energy, Cl A (A)		5,800		169
Peabody Energy		33,074		651
Phillips 66		83,088		5,531
Pioneer Natural Resources		18,144		2,516
QEP Resources		21,746		617
Range Resources		20,339		1,529
Rowan, Cl A *		16,686		555
RPC (A)		5,550		70
SandRidge Energy * (A)		60,700		314
Schlumberger		175,163		12,792
SEACOR Holdings *		2,600		200
SM Energy		8,200		497
Southwestern Energy *		43,376		1,635
Spectra Energy		83,309		2,547
Superior Energy Services *		22,100		590
Teekay		3,800		147
Tesoro		20,046		1,236
Tidewater (A)		6,370		351
Ultra Petroleum * (A)		21,600		492
Unit *		6,027		272
Valero Energy		74,736		3,037
Whiting Petroleum *		15,600		719
Williams		90,846		3,196
World Fuel Services		8,900		363
WPX Energy * (A)		22,248		428

				215,506


Financials — 16.7%
ACE		45,300		4,062
Affiliated Managers Group *		6,220		1,020


Description	Shares		Market Value ($ Thousands)

Aflac		62,856	$	3,500
Alexander & Baldwin *		3,882		137
Alexandria Real Estate Equities (A)		8,300		568
Alleghany *		2,104		821
Allied World Assurance Holdings		4,600		411
Allstate		66,125		3,190
American Campus Communities ‡ (A)		11,600		474
American Capital *		47,600		635
American Capital Agency		44,959		1,160
American Express		131,834		9,981
American Financial Group		10,614		515
American International Group *		86,323		3,838
American National Insurance		222		22
American Tower, Cl A		52,822		4,112
Ameriprise Financial		28,300		2,307
Annaly Capital Management		124,811		1,695
Aon (A)		37,844		2,410
Apartment Investment & Management, Cl A		17,899		542
Arch Capital Group * (A)		16,500		845
Ares Capital		28,916		496
Arthur J Gallagher (A)		16,004		699
Aspen Insurance Holdings		9,500		349
Associated Banc		21,584		333
Assurant		10,893		542
Assured Guaranty		21,200		480
AvalonBay Communities		15,741		2,088
Axis Capital Holdings		12,700		553
Bank of America		1,411,463		19,281
Bank of Hawaii		5,582		281
Bank of New York Mellon		158,909		4,777
BankUnited		3,500		86
BB&T		88,606		2,917
Berkshire Hathaway, Cl B *		232,900		26,567
BioMed Realty Trust ‡ (A)		19,100		400
BlackRock, Cl A		16,985		4,742
BOK Financial		3,275		213
Boston Properties		19,184		2,045
Brandywine Realty Trust		18,000		255
BRE Properties		9,520		476
Brown & Brown		18,224		588
Camden Property Trust		9,747		675
Capital One Financial		77,325		4,712
CapitalSource		29,082		274
Capitol Federal Financial		17,624		209
CBL & Associates Properties		15,700		361
CBOE Holdings		10,900		438
CBRE Group, Cl A *		42,817		992
Charles Schwab		136,685		2,715
Chimera Investment ‡		127,100		388
Chubb		36,418		3,172
Cincinnati Financial		17,786		842
CIT Group *		25,600		1,180
Citigroup		383,904		19,959
City National (A)		5,838		366
CME Group, Cl A		44,870		3,048
CNA Financial		1,700		58
Comerica		23,853		942
Commerce Bancshares		9,703		422
CommonWealth		19,825		405


Description	Shares		Market Value ($ Thousands)

Corporate Office Properties Trust ‡		10,300	$	274
Corrections Corp of America ‡		14,641		515
Cullen/Frost Bankers (A)		6,568		423
DDR ‡ (A)		42,100		735
Digital Realty Trust ‡ (A)		15,500		944
Discover Financial Services		67,089		3,181
Douglas Emmett ‡		19,600		500
Duke Realty ‡		33,309		552
ETRADE Financial		30,600		356
East West Bancorp		17,900		471
Eaton Vance (A)		14,310		594
Endurance Specialty Holdings		5,400		272
Equity Lifestyle Properties ‡		5,100		393
Equity Residential ‡		44,187		2,499
Erie Indemnity, Cl A		2,419		184
Essex Property Trust ‡ (A)		4,569		718
Everest Re Group		6,900		894
Extra Space Storage ‡		15,300		641
Federal Realty Investment Trust ‡		7,696		829
Federated Investors, Cl B (A)		9,458		262
Fidelity National Financial, Cl A		23,304		613
Fifth Third Bancorp		113,782		2,071
First Citizens BancShares, Cl A		600		118
First Horizon National (A)		31,256		359
First Niagara Financial Group		43,600		426
First Republic Bank		12,800		476
Forest City Enterprises, Cl A *		17,642		331
Franklin Resources		18,803		2,911
Fulton Financial		24,795		285
General Growth Properties ‡		66,253		1,360
Genworth Financial, Cl A *		60,792		657
Goldman Sachs Group		61,275		9,932
Hanover Insurance Group		6,193		311
Hartford Financial Services Group		56,110		1,719
Hatteras Financial ‡		12,100		312
HCC Insurance Holdings		12,541		537
HCP ‡		61,174		2,898
Health Care ‡		38,583		2,625
Home Properties ‡ (A)		7,300		444
Hospitality Properties Trust ‡		15,366		448
Host Hotels & Resorts ‡		90,240		1,605
Howard Hughes *		3,473		346
Hudson City Bancorp		65,328		555
Huntington Bancshares		105,334		816
Interactive Brokers Group, Cl A		2,200		35
IntercontinentalExchange * (A)		9,100		1,558
Invesco		56,200		1,896
Janus Capital Group (A)		23,965		210
Jones Lang LaSalle		5,500		505
JPMorgan Chase		497,734		27,171
Kemper		6,260		214
KeyCorp		121,295		1,308
Kilroy Realty ‡ (A)		8,100		428
Kimco Realty ‡ (A)		51,744		1,146
Lazard, Cl A		16,300		552
Legg Mason (A)		20,181		707
Leucadia National		38,606		1,211
Liberty Property Trust ‡		12,806		520
Lincoln National		34,688		1,237
Loews		38,736		1,775


Description	Shares		Market Value ($ Thousands)

LPL Financial Holdings		5,700	$	211
M&T Bank (A)		15,734		1,651
Macerich ‡ (A)		16,911		1,098
Mack-Cali Realty ‡		10,898		289
Markel *		1,950		1,020
Marsh & McLennan		73,865		2,956
MBIA (A) *		13,559		193
Mercury General		2,396		107
MetLife		113,209		5,005
MFA Mortgage Investments ‡		44,200		388
Mid-America Apartment Communities ‡		5,100		347
Moody’s		24,927		1,656
Morgan Stanley		204,878		5,306
MSCI, Cl A *		16,500		581
NASDAQ OMX Group		14,500		456
National Retail Properties ‡ (A)		11,400		409
New York Community Bancorp (A)		57,272		749
Northern Trust		27,005		1,570
NYSE Euronext		30,600		1,231
Old Republic International		32,990		449
PartnerRe		6,300		571
People’s United Financial (A)		50,834		700
Piedmont Office Realty Trust, Cl A ‡ (A)		21,400		406
Plum Creek Timber ‡ (A)		19,521		931
PNC Financial Services Group		70,322		5,038
Popular *		10,653		320
Post Properties ‡		6,700		320
Principal Financial Group (A)		38,208		1,446
ProAssurance		7,600		382
Progressive		75,880		1,934
Prologis ‡		67,518		2,721
Protective Life		13,309		515
Prudential Financial		62,363		4,301
Public Storage ‡		19,268		2,925
Raymond James Financial		14,221		625
Rayonier ‡		14,804		820
Realogy Holdings *		4,800		248
Realty Income ‡ (A)		24,000		1,091
Regency Centers ‡		11,108		573
Regions Financial		177,187		1,618
Reinsurance Group of America, Cl A		9,999		659
RenaissanceRe Holdings		5,300		456
Retail Properties of America, Cl A ‡		11,300		172
SEI (B)		17,442		534
Senior Housing Properties Trust ‡		22,000		569
Signature Bank NY *		7,500		579
Simon Property Group ‡		40,081		6,671
SL Green Realty ‡		10,768		937
SLM		64,714		1,536
St. Joe * (A)		8,061		165
StanCorp Financial Group		5,642		256
State Street		61,094		4,043
SunTrust Banks		68,446		2,196
SVB Financial Group *		5,500		426
Synovus Financial		98,672		270
T. Rowe Price Group		32,480		2,464
Tanger Factory Outlet Centers ‡		9,800		338


Description	Shares		Market Value ($ Thousands)

Taubman Centers ‡		7,200	$	580
TCF Financial (A)		20,301		292
TD Ameritrade Holding		31,945		749
TFS Financial (A) *		10,200		112
Torchmark (A)		12,025		776
Travelers		51,975		4,351
UDR ‡		29,793		726
Unum Group		34,805		991
US Bancorp		249,797		8,758
Validus Holdings		13,126		474
Valley National Bancorp (A)		24,716		230
Ventas ‡		39,192		2,797
Vornado Realty Trust ‡		23,636		1,890
Waddell & Reed Financial, Cl A		10,700		493
Washington Federal		13,263		232
Weingarten Realty Investors ‡ (A)		14,967		477
Wells Fargo		640,766		25,983
Weyerhaeuser ‡		68,392		2,039
White Mountains Insurance Group		747		442
WR Berkley		15,014		615
XL Group, Cl A		40,000		1,257
Zions Bancorporation (A)		25,702		721

				369,849


Health Care — 12.1%
Abbott Laboratories		207,776		7,619
AbbVie		207,376		8,853
Actavis *		16,018		1,975
Aetna		51,235		3,093
Agilent Technologies		44,264		2,012
Alere *		9,300		238
Alexion Pharmaceuticals *		24,400		2,380
Allergan		40,596		4,039
Allscripts Healthcare Solutions *		21,800		302
AmerisourceBergen		32,624		1,764
Amgen		102,358		10,290
Ariad Pharmaceuticals *		24,600		451
Baxter International		73,275		5,153
Becton Dickinson		25,744		2,539
Biogen Idec *		31,700		7,528
BioMarin Pharmaceutical * (A)		13,300		834
Bio-Rad Laboratories, Cl A *		2,500		284
Boston Scientific *		181,839		1,680
Bristol-Myers Squibb		222,259		10,226
Brookdale Senior Living, Cl A *		12,100		343
Bruker *		11,900		197
C.R. Bard		10,685		1,102
Cardinal Health		44,029		2,068
CareFusion *		24,064		884
Catamaran * (A)		25,648		1,262
Celgene *		54,780		6,774
Cerner *		18,148		1,784
Charles River Laboratories International * (A)		6,143		266
Cigna		36,655		2,489
Community Health Systems *		11,362		547
Cooper		6,604		746
Covance *		6,836		510
Covidien		64,500		4,102
DaVita *		12,008		1,490
Dentsply International (A)		17,298		722


Description	Shares		Market Value ($ Thousands)

Edwards Lifesciences *		14,414	$	958
Eli Lilly		135,461		7,201
Endo Health Solutions *		17,097		621
Express Scripts Holding *		106,636		6,624
Forest Laboratories *		37,373		1,486
Gilead Sciences *		199,234		10,854
HCA Holdings		22,200		867
Health Management Associates, Cl A *		32,122		443
Health Net *		10,602		338
Henry Schein *		11,484		1,106
Hill-Rom Holdings		7,724		279
Hologic *		34,800		722
Hospira *		20,081		696
Humana		20,075		1,622
Idexx Laboratories * (A)		7,252		598
Illumina * (A)		15,105		1,062
Incyte (A) *		12,200		271
Intuitive Surgical *		5,400		2,687
Johnson & Johnson		358,909		30,213
Laboratory Corp of America Holdings * (A)		12,311		1,225
Life Technologies *		22,770		1,687
LifePoint Hospitals *		6,576		327
McKesson		31,566		3,594
Medivation *		10,000		486
MEDNAX *		6,100		566
Medtronic		137,185		6,998
Merck		398,443		18,607
Mettler Toledo International * (A)		3,836		837
Mylan Laboratories *		50,819		1,549
Myriad Genetics *		11,300		363
Omnicare (A)		14,331		660
Onyx Pharmaceuticals * (A)		7,700		735
Patterson		11,683		457
PerkinElmer		16,234		508
Perrigo (A)		11,700		1,356
Pfizer		925,080		25,190
QIAGEN *		29,200		546
Quest Diagnostics		20,144		1,246
Regeneron Pharmaceuticals *		9,600		2,322
ResMed (A)		18,835		904
Salix Pharmaceuticals *		9,900		601
Sirona Dental Systems *		8,600		610
St. Jude Medical		39,346		1,701
Stryker		42,004		2,789
Techne		4,541		302
Teleflex		5,240		410
Tenet Healthcare *		12,798		606
Thermo Fisher Scientific		49,025		4,329
Thoratec * (A)		6,400		199
United Therapeutics *		6,400		425
UnitedHealth Group		136,820		8,569
Universal Health Services, Cl B		11,076		766
Varian Medical Systems (A) *		13,530		907
VCA Antech *		10,839		277
Vertex Pharmaceuticals *		26,900		2,160
Warner Chilcott, Cl A		21,000		403
Waters *		11,272		1,090
WellPoint		40,931		3,150
Zimmer Holdings (A)		23,125		1,816


Description	Shares		Market Value ($ Thousands)

Zoetis * (A)		15,900	$	509

				266,976


Industrials — 10.6%
3M		91,333		10,071
ADT		29,200		1,185
AECOM Technology *		11,700		360
AGCO		12,000		666
Air Lease, Cl A (A)		7,900		221
Alliant Techsystems		4,136		325
Ametek		30,680		1,324
Armstrong World Industries *		1,900		99
Avery Dennison		15,710		683
Babcock & Wilcox		14,650		435
BE Aerospace *		10,166		645
Boeing		98,691		9,772
C.H. Robinson Worldwide		20,686		1,173
Carlisle		9,466		619
Caterpillar		86,288		7,403
Chicago Bridge & Iron		13,095		829
Cintas (A)		13,957		637
Clean Harbors *		7,500		429
CNH Global (A) *		3,500		152
Colfax * (A)		5,500		274
Con-way		7,023		267
Copa Holdings, Cl A		4,100		538
Copart *		12,918		444
Covanta Holding (A)		13,700		280
Crane		6,100		364
CSX		139,596		3,519
Cummins		25,912		3,100
Danaher		77,402		4,785
Deere		53,019		4,618
Delta Air Lines		108,100		1,947
Donaldson		18,244		684
Dover		23,757		1,859
Dun & Bradstreet (A)		5,556		545
Eaton		61,618		4,070
Emerson Electric		97,420		5,598
Engility Holdings *		1,546		39
Equifax		14,656		893
Exelis		23,402		284
Expeditors International of Washington		27,048		1,056
Fastenal (A)		36,724		1,916
FedEx		42,244		4,070
Flowserve		6,600		1,110
Fluor (A)		21,508		1,360
Fortune Brands Home & Security		16,520		698
Gardner Denver		7,200		544
GATX		5,800		290
General Cable		4,700		166
General Dynamics		42,772		3,298
General Electric		1,384,523		32,287
Graco		6,424		414
GrafTech International * (A)		11,500		96
Harsco		10,270		240
Hertz Global Holdings *		25,800		667
Honeywell International		102,890		8,073
Hubbell, Cl B		7,892		793
Huntington Ingalls Industries		6,096		337
IDEX		10,393		572


Description	Shares		Market Value ($ Thousands)

IHS, Cl A *		6,100	$	641
Illinois Tool Works		53,980		3,786
Ingersoll-Rand		37,000		2,129
Iron Mountain		17,490		627
ITT *		11,551		348
Jacobs Engineering Group *		17,002		969
JB Hunt Transport Services		10,972		808
Joy Global (A)		12,833		694
Kansas City Southern		14,000		1,550
KAR Auction Services		2,100		49
KBR		18,480		667
Kennametal		10,000		433
Kirby *		6,900		539
L-3 Communications Holdings, Cl 3		12,377		1,053
Landstar System		5,765		304
Lennox International		8,200		525
Lincoln Electric Holdings		10,400		622
Lockheed Martin		34,929		3,697
Manitowoc (A)		16,600		349
Manpowergroup		9,884		566
Masco		44,209		929
Matson		3,882		97
MRC Global *		3,500		99
MSC Industrial Direct, Cl A		4,920		407
Navistar International * (A)		9,000		323
Nielsen Holdings		15,100		512
Nordson		8,000		570
Norfolk Southern		43,833		3,357
Northrop Grumman		32,178		2,651
Oshkosh Truck *		11,359		452
Owens Corning *		16,900		739
Paccar		45,370		2,432
Pall (A)		14,045		958
Parker Hannifin		18,704		1,866
Pentair		26,273		1,530
Pitney Bowes (A)		18,085		266
Polypore International * (A)		5,800		218
Precision Castparts		19,446		4,160
Quanta Services *		26,200		744
Raytheon		42,468		2,830
Regal-Beloit		4,900		331
Republic Services, Cl A		38,542		1,314
Robert Half International		17,676		615
Rockwell Automation		17,904		1,576
Rockwell Collins (A)		16,779		1,086
Rollins		5,900		149
Roper Industries		12,200		1,515
RR Donnelley & Sons (A)		22,577		300
Ryder System		6,306		398
Snap-on		6,491		591
Southwest Airlines		97,720		1,385
Spirit Aerosystems Holdings, Cl A *		12,200		264
SPX		5,411		427
Stanley Black & Decker		20,293		1,608
Stericycle * (A)		10,826		1,188
Terex *		13,648		490
Textron (A)		33,622		906
Timken		12,269		696
Toro		7,620		363
Towers Watson, Cl A		6,000		466
TransDigm Group *		6,200		906


Description	Shares		Market Value ($ Thousands)

Trinity Industries		12,600	$	516
Triumph Group		6,200		481
Tyco International		58,400		1,975
Union Pacific		62,716		9,697
United Continental Holdings *		46,600		1,513
United Parcel Service, Cl B		95,641		8,215
United Rentals * (A)		11,600		659
United Technologies		119,790		11,368
URS		9,500		460
UTi Worldwide		13,200		209
Valmont Industries		2,900		442
Verisk Analytics, Cl A *		18,700		1,100
WABCO Holdings *		9,724		733
Wabtec		6,600		726
Waste Connections (A)		15,450		622
Waste Management		62,894		2,637
WESCO International * (A)		5,400		401
WW Grainger		7,281		1,875
Xylem		24,902		701

				235,523


Information Technology — 17.1%
Accenture, Cl A		85,200		6,996
Activision Blizzard		56,456		815
Adobe Systems *		67,102		2,879
Advanced Micro Devices (A) *		63,134		252
Akamai Technologies *		21,618		997
Alliance Data Systems * (A)		6,112		1,082
Altera		40,473		1,343
Amdocs		20,700		739
Amphenol, Cl A		20,292		1,581
Analog Devices		39,112		1,796
Ansys *		12,000		894
AOL *		12,134		421
Apple		122,045		54,881
Applied Materials		163,155		2,480
Arrow Electronics *		16,189		644
Atmel *		46,100		363
Autodesk *		29,437		1,111
Automatic Data Processing		65,292		4,487
Avago Technologies, Cl A		31,000		1,169
Avnet *		18,210		622
AVX		1,424		17
BMC Software *		19,489		883
Broadcom, Cl A		70,168		2,520
Broadridge Financial Solutions		15,473		420
Brocade Communications Systems *		58,400		317
CA		45,138		1,233
Cadence Design Systems *		38,363		580
Cisco Systems		702,127		16,907
Citrix Systems *		22,987		1,479
Cognizant Technology Solutions, Cl A *		41,388		2,676
Computer Sciences		16,664		743
Compuware		21,851		245
Comverse *		1		—
Concur Technologies * (A)		6,800		549
CoreLogic *		9,984		262
Corning		204,658		3,146
Cree * (A)		14,622		912
Cypress Semiconductor (A)		19,400		218
Dell		200,243		2,673


Description	Shares		Market Value ($ Thousands)

Diebold		7,029	$	226
Dolby Laboratories, Cl A (A) *		6,443		225
DST Systems		4,595		313
eBay *		152,811		8,267
EchoStar, Cl A *		3,732		148
Electronic Arts *		35,265		811
EMC		277,897		6,881
Equinix *		6,100		1,236
F5 Networks *		10,138		844
Facebook, Cl A *		52,800		1,286
FactSet Research Systems (A)		4,900		481
Fairchild Semiconductor International, Cl A *		16,200		235
Fidelity National Information Services		31,890		1,432
Fiserv *		17,169		1,496
FleetCor Technologies *		7,600		662
FLIR Systems		19,100		465
Fortinet *		19,400		374
Freescale Semiconductor * (A)		3,500		56
Fusion-io * (A)		8,000		116
Gartner *		11,500		651
Genpact *		15,700		304
Global Payments		9,734		467
Google, Cl A *		33,829		29,445
Harris		15,089		756
Hewlett-Packard		261,870		6,395
IAC		10,032		486
Informatica *		15,300		556
Ingram Micro, Cl A *		18,923		362
Intel		659,758		16,019
International Business Machines		142,498		29,642
Intuit		40,086		2,343
IPG Photonics (A) *		4,000		237
Itron *		4,300		181
Jabil Circuit		19,974		401
Jack Henry & Associates		13,500		633
JDS Uniphase *		28,640		390
Juniper Networks *		65,725		1,165
Kla-Tencor		21,309		1,199
Lam Research *		19,552		915
Lender Processing Services		9,214		305
Lexmark International, Cl A (A)		9,086		277
Linear Technology		29,257		1,097
LinkedIn, Cl A *		8,600		1,441
LSI *		77,148		571
Marvell Technology Group		61,600		668
Mastercard, Cl A		14,300		8,155
Maxim Integrated Products		37,200		1,097
Microchip Technology (A)		23,322		851
Micron Technology (A) *		119,816		1,399
Micros Systems * (A)		11,600		490
Microsoft		983,400		34,301
Molex (A)		19,170		562
Motorola Solutions		37,833		2,193
National Instruments		9,904		281
NCR *		19,689		658
NetApp		50,155		1,882
NetSuite * (A)		4,000		350
NeuStar, Cl A *		8,277		401
Nuance Communications * (A)		29,700		564
Nvidia		78,756		1,141


Description	Shares		Market Value ($ Thousands)

ON Semiconductor *		57,800	$	495
Oracle		474,320		16,013
Pandora Media * (A)		12,800		218
Paychex (A)		40,707		1,515
PMC - Sierra *		21,000		126
Polycom *		22,700		257
Qualcomm		224,959		14,280
Rackspace Hosting *		13,400		503
Red Hat *		24,227		1,168
Riverbed Technology *		19,700		305
Rovi *		11,000		284
SAIC (A)		35,600		516
Salesforce.com * (A)		78,852		3,338
SanDisk *		30,569		1,804
ServiceNow *		1,900		70
Silicon Laboratories *		5,400		232
Skyworks Solutions *		23,200		554
SolarWinds *		7,600		320
Solera Holdings		8,600		471
Splunk *		1,500		70
Stratasys * (A)		3,000		252
Symantec		89,448		2,003
Synopsys *		19,582		714
Tech Data *		5,350		268
Teradata *		20,889		1,165
Teradyne * (A)		23,063		414
Texas Instruments		152,008		5,456
TIBCO Software *		22,000		469
Total System Services		23,691		557
Trimble Navigation *		30,428		849
Vantiv, Cl A *		5,100		136
VeriFone Holdings *		13,400		313
Verint Systems *		1		—
VeriSign *		18,985		893
Visa, Cl A		68,700		12,238
Vishay Intertechnology * (A)		12,950		189
VMware, Cl A *		11,300		804
Western Digital		27,930		1,769
Western Union		78,028		1,278
Workday, Cl A *		2,200		141
Xerox		160,096		1,407
Xilinx		33,557		1,364
Yahoo! *		147,581		3,881
Zebra Technologies, Cl A *		6,525		298
Zynga, Cl A * (A)		7,000		24

				377,538


Materials — 3.6%
Air Products & Chemicals		28,694		2,709
Airgas		7,315		753
Albemarle		10,944		732
Alcoa (A)		135,702		1,153
Allegheny Technologies (A)		13,297		367
Allied Nevada Gold *		11,400		88
Aptargroup		8,200		465
Ashland (A)		10,276		914
Ball		18,850		814
Bemis		12,774		500
Cabot		8,073		331
Carpenter Technology		5,500		265
Celanese, Cl A		18,983		937
CF Industries Holdings		8,166		1,559
Cliffs Natural Resources (A)		17,300		312


Description	Shares		Market Value ($ Thousands)

Commercial Metals		14,800	$	228
Compass Minerals International		4,100		358
Crown Holdings *		18,151		769
Cytec Industries		5,681		406
Domtar		4,200		304
Dow Chemical (A)		158,870		5,475
E.I. du Pont de Nemours (A)		123,992		6,918
Eastman Chemical		19,428		1,393
Ecolab		35,108		2,966
FMC *		17,420		1,092
Freeport-McMoRan Copper & Gold, Cl B		138,024		4,286
Greif, Cl A		3,500		182
Huntsman		23,129		450
International Flavors & Fragrances		10,891		874
International Paper		55,655		2,569
Intrepid Potash (A) *		6,800		128
LyondellBasell Industries, Cl A (A)		43,500		2,899
Martin Marietta Materials (A)		6,363		694
MeadWestvaco		21,258		744
Molycorp * (A)		7,600		50
Monsanto		70,550		7,100
Mosaic		40,378		2,456
NewMarket (A)		900		247
Newmont Mining		62,033		2,127
Nucor		39,390		1,753
Owens-Illinois *		20,391		560
Packaging Corp of America		12,099		593
PPG Industries		19,123		2,938
Praxair		39,825		4,553
Reliance Steel & Aluminum		10,300		677
Rock Tenn, Cl A		8,700		859
Rockwood Holdings		9,800		653
Royal Gold		8,000		438
RPM International		18,269		605
Scotts Miracle-Gro, Cl A (A)		5,306		251
Sealed Air		24,668		593
Sherwin-Williams		10,737		2,024
Sigma-Aldrich (A)		15,348		1,284
Silgan Holdings		4,455		208
Sonoco Products		12,446		436
Southern Copper (A)		19,868		619
Steel Dynamics		27,900		428
Tahoe Resources *		7,500		109
United States Steel (A)		20,483		362
Valspar		12,464		893
Vulcan Materials		15,857		849
Walter Industries (A)		8,000		136
Westlake Chemical		1,900		177
WR Grace *		9,200		778

				79,390


Telecommunication Services — 2.5%
AT&T		718,333		25,134
CenturyLink		78,354		2,676
Clearwire, Cl A *		24,800		111
Crown Castle International *		39,696		2,828
Frontier Communications (A)		134,195		556
Groupon, Cl A *		2,500		19
Level 3 Communications * (A)		17,646		378
NII Holdings * (A)		13,620		105


Description	Shares		Market Value ($ Thousands)

SBA Communications, Cl A * (A)		15,400	$	1,159
Sprint Nextel *		405,444		2,960
Telephone & Data Systems		11,780		274
T-Mobile US *		22,300		478
tw telecom, Cl A *		18,600		531
US Cellular *		831		33
Verizon Communications		372,276		18,048
Windstream (A)		71,447		574

				55,864


Utilities — 3.1%
AES		81,624		995
AGL Resources		14,447		612
Alliant Energy		14,576		718
Ameren		30,890		1,052
American Electric Power		65,450		2,999
American Water Works		21,300		851
Aqua America (A)		16,277		506
Atmos Energy		10,891		460
Calpine *		51,500		1,046
Centerpoint Energy		54,415		1,261
CMS Energy		31,542		850
Consolidated Edison		37,416		2,135
Dominion Resources		76,312		4,316
DTE Energy		21,364		1,423
Duke Energy		93,316		6,246
Edison International		41,479		1,905
Entergy		21,998		1,515
Exelon		114,476		3,588
FirstEnergy		53,427		2,084
Great Plains Energy		17,371		392
Hawaiian Electric Industries (A)		11,946		313
Integrys Energy Group		9,602		552
ITC Holdings		5,200		450
MDU Resources Group		25,521		660
National Fuel Gas (A)		9,189		562
NextEra Energy		55,773		4,218
NiSource		34,221		983
Northeast Utilities		38,908		1,621
NRG Energy		35,300		901
NV Energy		23,900		560
OGE Energy		12,068		819
ONEOK		26,058		1,176
Pepco Holdings (A)		28,144		585
PG&E		53,918		2,422
Pinnacle West Capital		13,292		751
PPL (A)		74,226		2,204
Public Service Enterprise Group		64,952		2,146
Questar		22,046		536
SCANA		14,220		717
Sempra Energy		32,723		2,660
Southern		115,603		5,075
TECO Energy		29,500		520
UGI		13,850		529
Vectren		8,791		302
Westar Energy		15,700		498
Wisconsin Energy (A)		29,298		1,196
Xcel Energy		60,281		1,730

				69,640

Total Common Stock (Cost $1,620,927) ($ Thousands)				2,157,003


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

AFFILIATED PARTNERSHIP — 5.7%
SEI Liquidity Fund, L.P. 0.100% **† (C)		125,066,291	$	125,066

Total Affiliated Partnership (Cost $125,066) ($ Thousands)				125,066


CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% **†		48,251,267		48,251

Total Cash Equivalent (Cost $48,251) ($ Thousands)				48,251


U.S. TREASURY OBLIGATION (D)(E) — 0.1%
U.S. Treasury Bill
0.035%, 08/08/2013	$	3,150		3,150

Total U.S. Treasury Obligation (Cost $3,150) ($ Thousands)				3,150

Total Investments — 105.4% (Cost $1,797,394) ($ Thousands)			$	2,333,470

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		603		Jun-2013	$	2,707
S&P Mid 400 Index E-MINI		46		Jun-2013		342

					$	3,049

Percentages are based on a Net Assets of $2,214,088 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

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 May 31, 2013. The total value of securities on loan at May 31, 2013 was $120,266 ($ Thousands).

(B)

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

(C)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $125,066 ($ Thousands).

(D)

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

(E)

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

— Class

L.P.

— Limited Partnership

Ser

— Series

S&P

— Standard & Poor’s

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands).


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	2,157,003	$	—	$	—	$	2,157,003
Affiliated Partnership		—		125,066		—		125,066
Cash Equivalent		48,251		—		—		48,251
U.S. Treasury Obligation		—		3,150		—		3,150

Total Investments in Securities	$	2,205,254	$	128,216	$	—	$	2,333,470


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	3,049	$	—	$	—	$	3,049

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.6%

Consumer Discretionary — 16.6%
1-800-Flowers.com, Cl A *		1,700	$	10
Aaron’s		4,116		116
Advance Auto Parts		3,799		310
Aeropostale *		3,549		52
AFC Enterprises *		1,039		38
Allison Transmission Holdings		1,176		28
AMC Networks, Cl A *		2,960		190
American Axle & Manufacturing Holdings *		2,998		53
American Eagle Outfitters		10,222		202
American Greetings, Cl A		1,481		27
American Public Education *		827		31
America’s Car-Mart *		250		11
Ameristar Casinos		1,492		39
ANN *		2,235		69
Arbitron		1,123		53
Arctic Cat		435		20
Asbury Automotive Group *		1,198		49
Ascena Retail Group *		6,568		134
Ascent Capital Group, Cl A *		554		40
Bally Technologies (A) *		2,125		121
Barnes & Noble *		1,427		32
Bassett Furniture Industries		433		6
Beazer Homes USA * (A)		1,261		26
bebe stores inc		1,520		8
Belo, Cl A		4,184		47
Big 5 Sporting Goods		923		18
Big Lots *		2,646		90
Biglari Holdings *		42		17
BJ’s Restaurants *		1,142		43
Black Diamond *		804		7
Bloomin’ Brands *		1,050		24
Blue Nile *		631		22
Blyth		420		6
Bob Evans Farms		1,287		59
Body Central *		1,000		12
Bon-Ton Stores		800		17
Boyd Gaming * (A)		2,745		36
Bravo Brio Restaurant Group *		1,076		19
Bridgepoint Education *		642		8
Bright Horizons Family Solutions *		335		12
Brinker International		3,782		148
Brown Shoe		1,976		41
Brunswick		4,783		161
Buckle		1,151		62
Buffalo Wild Wings *		827		79
Cabela’s *		2,439		164
Caesars Entertainment *		1,683		24
Callaway Golf (A)		3,306		23
Capella Education *		638		28
Career Education *		2,054		6
Carmike Cinemas *		942		17
Carriage Services, Cl A		906		17
Carter’s		2,570		185
Cato, Cl A		1,296		32
Cavco Industries *		331		16
CEC Entertainment		835		33


Description	Shares		Market Value ($ Thousands)

Central European Media Enterprises, Cl A *		1,306	$	4
Charter Communications, Cl A *		2,565		287
Cheesecake Factory (A)		2,923		117
Chico’s FAS		8,851		160
Children’s Place Retail Stores *		1,033		55
Choice Hotels International		1,177		46
Churchill Downs		534		45
Chuy’s Holdings *		135		5
Cinemark Holdings		6,040		177
Citi Trends *		597		8
Clear Channel Outdoor Holdings, Cl A *		2,296		20
Coinstar *		1,543		90
Columbia Sportswear		522		31
Conn’s *		609		30
Cooper Tire & Rubber		2,632		68
Core-Mark Holding		509		30
Corinthian Colleges * (A)		3,043		8
Cracker Barrel Old Country Store		844		76
Crocs *		3,903		69
CSS Industries		492		14
CST Brands *		3,400		103
Culp		361		6
Cumulus Media, Cl A *		1,239		5
Dana Holdings		7,898		149
Deckers Outdoor * (A)		1,904		102
Denny’s *		4,563		28
Destination Maternity		756		19
Destination XL Group *		842		4
DeVry		3,581		112
Dick’s Sporting Goods		5,135		269
Digital Generation *		548		4
Dillard’s, Cl A		1,562		144
DineEquity		672		49
DISH Network, Cl A *		10,419		402
Domino’s Pizza		3,058		181
Dorman Products *		1,040		46
DreamWorks Animation SKG, Cl A *		2,891		63
Drew Industries *		849		32
DSW, Cl A		1,746		129
Dunkin’ Brands Group		3,830		152
Education Management *		1,700		11
Entercom Communications, Cl A *		882		8
Entravision Communications, Cl A *		3,200		15
Ethan Allen Interiors		1,276		40
EW Scripps, Cl A *		1,770		24
Exide Technologies *		1,560		1
Express *		4,862		106
Federal Mogul, Cl A *		1,725		17
Fiesta Restaurant Group *		805		29
Fifth & Pacific *		6,398		138
Finish Line, Cl A		2,211		47
Fisher Communications		568		23
Five Below *		405		16
Foot Locker		7,914		272
Francesca’s Holdings *		1,524		44
Fred’s, Cl A		1,779		28
Fuel Systems Solutions *		294		5
General Motors (A) *		37,990		1,288


Description	Shares		Market Value ($ Thousands)

Genesco *		1,369	$	93
Gentex		7,595		174
Gentherm *		1,448		27
G-III Apparel Group *		603		25
Global Sources *		768		5
GNC Holdings, Cl A		3,678		166
Grand Canyon Education *		1,715		55
Group 1 Automotive		1,335		85
Guess? (A)		3,417		109
Hanesbrands		5,038		251
Harte-Hanks		2,346		21
Haverty Furniture		963		24
Helen of Troy *		1,348		53
hhgregg *		1,100		17
Hibbett Sports *		1,112		63
Hillenbrand		2,385		57
HomeAway *		1,377		42
Hooker Furniture		410		7
Hot Topic		1,982		28
Hovnanian Enterprises, Cl A * (A)		4,915		30
HSN		1,911		109
Hyatt Hotels, Cl A *		2,427		100
Iconix Brand Group (A) *		2,751		83
International Speedway, Cl A		1,198		42
Interval Leisure Group		1,698		37
iRobot *		1,002		34
Isle of Capri Casinos *		879		7
ITT Educational Services *		1,256		30
Jack in the Box *		2,021		74
JAKKS Pacific		427		4
Jamba *		1,535		5
Jarden *		5,607		261
John Wiley & Sons, Cl A		2,572		102
Jones Group		3,570		52
Jos. A. Bank Clothiers * (A)		1,196		54
Journal Communications, Cl A *		2,299		15
K12 *		1,188		35
KB Home		4,385		97
Kimball International, Cl B		1,725		17
Kirkland’s *		528		8
Krispy Kreme Doughnuts *		2,671		46
Lamar Advertising, Cl A *		4,097		191
Las Vegas Sands		19,704		1,141
La-Z-Boy, Cl Z		2,326		43
LeapFrog Enterprises, Cl A *		2,538		24
Lear		4,771		286
Libbey *		1,085		23
Liberty Global, Cl A *		13,020		960
Liberty Interactive, Cl A *		26,916		604
Liberty Media *		5,335		666
Liberty Ventures, Ser A *		1,946		159
Life Time Fitness *		2,278		114
LifeLock *		363		4
Lin TV, Cl A *		1,777		22
Lincoln Educational Services		922		6
Lions Gate Entertainment (A) *		4,309		124
Lithia Motors, Cl A		989		52
Live Nation *		7,603		103
LKQ *		15,104		370
Loral Space & Communications *		500		30
Luby’s *		770		7
Lumber Liquidators Holdings *		1,526		125


Description	Shares		Market Value ($ Thousands)

M/I Homes *		1,094	$	27
Mac-Gray		484		7
Madison Square Garden, Cl A *		3,140		184
Maidenform Brands *		736		13
Marcus		361		5
MarineMax *		396		5
Marriott Vacations Worldwide *		1,174		52
Matthews International, Cl A		1,205		46
Mattress Firm Holding *		611		22
McClatchy, Cl A *		2,354		6
MDC Holdings		2,189		81
MDC Partners, Cl A		1,284		23
Men’s Wearhouse		2,168		79
Meredith (A)		1,544		63
Meritage Homes *		1,311		62
MGM Resorts International *		20,474		311
Michael Kors Holdings *		4,354		274
Modine Manufacturing *		2,374		24
Mohawk Industries *		2,937		327
Monro Muffler (A)		1,328		62
Morgans Hotel Group *		2,200		15
Morningstar		1,220		84
Movado Group		820		30
Multimedia Games Holding *		1,304		33
National CineMedia		2,507		42
New York Times, Cl A *		5,882		62
Nexstar Broadcasting Group, Cl A		422		12
Norwegian Cruise Line Holdings *		1,169		36
Nutrisystem		559		5
NVR *		275		270
Office Depot (A) *		12,353		54
OfficeMax		3,846		50
Orbitz Worldwide *		1,500		11
Orient-Express Hotels, Cl A *		4,330		51
Overstock.com *		700		18
Oxford Industries		654		43
Panera Bread, Cl A (A) *		1,420		272
Papa John’s International *		721		46
Penn National Gaming *		3,454		190
Penske Auto Group		1,788		57
Pep Boys-Manny Moe & Jack *		2,465		30
Perry Ellis International *		239		5
PetMed Express		1,196		16
Pier 1 Imports		5,289		123
Pinnacle Entertainment *		2,660		52
Polaris Industries (A)		3,307		316
Pool		2,570		132
Quiksilver *		5,850		46
RadioShack (A) *		5,390		20
ReachLocal *		600		8
Red Robin Gourmet Burgers *		667		35
Regal Entertainment Group, Cl A (A)		3,505		62
Regis (A)		2,527		47
Rent-A-Center, Cl A		3,240		119
Rentrak *		188		4
Restoration Hardware Holdings *		411		23
Royal Caribbean Cruises		7,808		273
Ruby Tuesday *		3,179		29
Rue21 *		788		33
Ruth’s Hospitality Group		1,872		21


Description	Shares		Market Value ($ Thousands)

Ryland Group (A)		2,416	$	109
Saga Communications, Cl A *		93		4
Saks *		4,451		66
Sally Beauty Holdings *		7,591		232
Scholastic		1,167		35
Scientific Games, Cl A *		2,662		29
Sears Holdings (A) *		2,026		99
Sears Hometown and Outlet Stores *		449		25
Select Comfort *		2,509		56
Service International		11,389		205
SHFL Entertainment *		2,487		43
Shoe Carnival		776		19
Shutterfly *		2,125		104
Shutterstock *		197		9
Signet Jewelers		4,355		298
Sinclair Broadcast Group, Cl A		3,411		92
Sirius XM Radio (A) *		193,179		672
Six Flags Entertainment		1,829		136
Skechers U.S.A., Cl A *		1,682		38
Smith & Wesson Holding * (A)		3,083		28
Sonic *		2,633		35
Sonic Automotive, Cl A		1,864		42
Sotheby’s		3,661		136
Spartan Motors		1,248		8
Speedway Motorsports		235		4
Stage Stores		1,354		31
Standard Motor Products		966		33
Standard Pacific (A) *		5,069		45
Starz - Liberty Capital *		5,839		135
Stein Mart *		1,891		24
Steiner Leisure *		677		34
Steinway Musical Instruments *		276		8
Steven Madden *		1,801		87
Stewart Enterprises, Cl A		3,460		45
Stoneridge *		1,030		12
Strayer Education *		517		28
Sturm Ruger		842		42
Superior Industries International		723		13
Tempur-Pedic International (A) *		2,723		115
Tenneco *		3,263		145
Tesla Motors * (A)		3,479		340
Texas Roadhouse, Cl A		2,666		63
Thomson Reuters		18,885		631
Thor Industries		2,390		102
Tilly’s, Cl A *		843		14
Toll Brothers *		7,439		254
Town Sports International Holdings *		461		5
Tractor Supply		3,660		410
TRI Pointe Homes *		473		8
True Religion Apparel *		1,167		37
TRW Automotive Holdings *		5,193		329
Tuesday Morning *		2,186		19
Tumi Holdings *		698		17
Tupperware Brands		2,724		221
Ulta Salon Cosmetics & Fragrance *		3,273		297
Under Armour, Cl A *		4,008		249
Unifi *		780		15
Universal Electronics *		787		21
Universal Technical Institute		413		5


Description	Shares		Market Value ($ Thousands)

Vail Resorts		1,912	$	122
Valassis Communications (A)		1,709		44
Vera Bradley (A) *		970		23
Virgin Media (A)		14,067		699
Visteon *		2,665		169
Vitacost.com *		844		7
Vitamin Shoppe *		1,284		56
VOXX International, Cl A *		664		7
Weight Watchers International		1,174		54
Wendy’s		11,951		71
West Marine *		537		6
Wet Seal, Cl A *		4,951		25
Weyco Group		263		6
Williams-Sonoma (A)		4,637		250
Winmark		95		6
Winnebago Industries *		1,335		28
WMS Industries *		2,384		60
Wolverine World Wide (A)		2,598		136
World Wrestling Entertainment, Cl A		534		5
Zagg *		515		3
Zumiez *		1,103		35

				28,805


Consumer Staples — 3.3%
Alico		143		7
Alliance One International *		4,660		17
Andersons		833		42
Annie’s *		100		4
B&G Foods, Cl A		2,211		64
Boston Beer, Cl A *		383		59
Boulder Brands *		2,778		29
Bunge		7,443		518
Calavo Growers		626		19
Cal-Maine Foods		664		30
Casey’s General Stores		2,059		125
Central Garden and Pet, Cl A *		2,029		15
Chefs’ Warehouse *		221		4
Chiquita Brands International *		2,782		28
Church & Dwight		7,099		432
Coca-Cola Bottling		289		17
Darling International *		6,357		125
Dean Foods *		10,100		106
Diamond Foods *		1,119		17
Dole Food *		1,870		18
Elizabeth Arden *		1,251		59
Energizer Holdings		3,145		301
Female Health		1,300		12
Flowers Foods		5,872		196
Fresh Del Monte Produce		1,681		45
Fresh Market *		1,188		59
Green Mountain Coffee Roasters *		6,979		510
Hain Celestial Group *		2,130		142
Harbinger Group *		2,478		21
Harris Teeter Supermarkets (A)		1,999		94
Herbalife		5,572		260
Hillshire Brands		6,204		215
Ingles Markets, Cl A		745		16
Ingredion		3,965		270
Inter Parfums		806		24
J&J Snack Foods		864		66


Description	Shares		Market Value ($ Thousands)

John B. Sanfilippo & Son *		319	$	6
Lancaster Colony		1,029		85
Limoneira		195		4
Medifast *		664		19
Nash Finch		240		5
National Beverage *		452		7
Natural Grocers by Vitamin Cottage *		285		8
Nature’s Sunshine Products		437		7
Nu Skin Enterprises, Cl A		2,505		147
Nutraceutical International *		362		7
Oil-Dri Corp of America		210		6
Omega Protein *		766		8
Pantry *		1,249		16
Pilgrim’s Pride *		2,807		34
Post Holdings *		1,169		49
Prestige Brands Holdings *		2,179		64
Pricesmart		1,023		86
Revlon, Cl A *		220		4
Rite Aid *		28,527		84
Roundy’s		1,300		10
Sanderson Farms		1,041		72
Seaboard		14		39
Seneca Foods, Cl A *		462		15
Smithfield Foods *		7,258		239
Snyders-Lance		1,886		49
Spartan Stores		1,108		20
Spectrum Brands Holdings		1,039		63
Star Scientific * (A)		2,818		4
SUPERVALU (A) *		9,316		60
Susser Holdings *		506		24
Tootsie Roll Industries (A)		855		27
TreeHouse Foods *		1,909		125
United Natural Foods (A) *		2,598		137
Universal (A)		1,045		61
USANA Health Sciences *		316		22
Vector Group (A)		2,496		40
Village Super Market, Cl A		462		17
WD-40		686		37
Weis Markets		404		17
WhiteWave Foods, Cl A (A) *		4,652		81
WhiteWave Foods, Cl B *		2,874		48

				5,819


Energy — 5.4%
Abraxas Petroleum *		3,194		7
Alon USA Energy		196		4
Alpha Natural Resources * (A)		9,323		62
Approach Resources (A) *		1,498		38
Arch Coal (A)		9,216		48
Atwood Oceanics *		3,040		160
Basic Energy Services *		1,573		21
Berry Petroleum, Cl A		2,775		120
Bill Barrett (A) *		2,164		49
Bonanza Creek Energy *		588		22
BPZ Resources * (A)		2,021		4
Bristow Group		1,903		120
C&J Energy Services *		1,995		37
Cal Dive International *		1,930		4
Callon Petroleum *		785		3
CARBO Ceramics		850		56
Carrizo Oil & Gas *		1,709		44


Description	Shares		Market Value ($ Thousands)

Cheniere Energy *		11,065	$	325
Cimarex Energy		4,461		313
Clayton Williams Energy *		116		5
Clean Energy Fuels (A) *		2,988		40
Cloud Peak Energy *		2,689		52
Cobalt International Energy *		9,515		247
Comstock Resources		2,173		35
Concho Resources *		5,342		447
Contango Oil & Gas *		635		22
Continental Resources *		2,198		178
Crosstex Energy		1,839		35
CVR Energy		697		44
Dawson Geophysical *		552		20
Delek US Holdings		809		29
Diamondback Energy *		475		16
Dresser-Rand Group *		3,955		240
Dril-Quip *		2,087		189
Endeavour International * (A)		4,800		16
Energen		3,789		205
Energy XXI Bermuda		4,281		109
EPL Oil & Gas *		1,301		40
Era Group *		993		26
Evolution Petroleum *		627		7
EXCO Resources (A)		5,531		45
Exterran Holdings *		3,583		104
Forest Oil *		5,432		25
Forum Energy Technologies *		1,105		33
FX Energy *		1,063		4
GasLog		1,250		17
Gastar Exploration *		3,800		9
Geospace Technologies *		498		43
Golar LNG (A)		1,802		61
Goodrich Petroleum *		793		10
Green Plains Renewable Energy *		1,390		22
Gulf Island Fabrication		772		16
Gulfmark Offshore, Cl A		1,180		54
Gulfport Energy *		3,981		190
Halcon Resources * (A)		5,006		26
Harvest Natural Resources *		786		2
Helix Energy Solutions Group *		5,669		135
Hercules Offshore *		6,926		48
HollyFrontier		10,554		522
Hornbeck Offshore Services *		1,512		79
ION Geophysical *		5,869		38
Key Energy Services *		6,559		42
KiOR, Cl A * (A)		1,093		5
Knightsbridge Tankers (A)		943		7
Kodiak Oil & Gas *		14,211		125
Kosmos Energy *		3,175		33
Laredo Petroleum Holdings * (A)		1,189		23
Lufkin Industries		1,757		155
Magnum Hunter Resources (A) *		6,893		24
Matador Resources *		1,000		10
Matrix Service *		1,381		23
McDermott International *		12,770		122
McMoRan Exploration *		4,332		72
Midstates Petroleum *		891		6
Mitcham Industries *		256		4
Natural Gas Services Group *		944		21
Newpark Resources *		4,020		45
Nordic American Tankers		2,477		21
Northern Oil And Gas *		2,839		37


Description	Shares		Market Value ($ Thousands)

Nuverra Environmental Solutions * (A)		6,589	$	25
Oasis Petroleum *		4,197		156
Oceaneering International		5,546		402
Oil States International *		2,799		276
Panhandle Oil and Gas, Cl A		141		4
Parker Drilling *		5,851		26
Patterson-UTI Energy		7,722		162
PBF Energy, Cl A (A)		1,077		31
PDC Energy *		1,293		66
Penn Virginia *		1,086		5
PetroQuest Energy *		1,123		5
PHI *		643		23
Pioneer Energy Services *		2,036		14
Quicksilver Resources * (A)		6,330		14
Rentech *		10,865		24
Resolute Energy *		2,294		19
Rex Energy *		1,990		33
RigNet *		641		16
Rosetta Resources *		3,185		149
RPC (A)		2,699		34
Sanchez Energy *		230		5
SandRidge Energy * (A)		26,193		135
Scorpio Tankers		8,143		77
SEACOR Holdings *		974		75
SemGroup, Cl A		2,244		117
Ship Finance International (A)		2,176		37
SM Energy		3,313		201
Solazyme * (A)		1,830		23
Stone Energy *		2,184		49
Superior Energy Services *		8,260		220
Swift Energy (A) *		1,983		27
Synergy Resources *		2,162		15
Targa Resources		1,559		100
Teekay		1,554		60
Teekay Tankers, Cl A (A)		2,423		7
Tesco *		1,569		20
TETRA Technologies *		3,505		36
TGC Industries		636		5
Tidewater		2,746		151
Triangle Petroleum *		3,137		17
Ultra Petroleum *		7,992		182
Unit *		2,595		117
Uranium Energy (A) *		1,698		4
Vaalco Energy *		2,970		18
Vantage Drilling *		10,246		20
W&T Offshore (A)		1,738		26
Warren Resources *		1,449		4
Western Refining (A)		2,399		80
Whiting Petroleum *		6,058		279
Willbros Group *		2,254		15
World Fuel Services		3,841		156

				9,459


Financials — 22.1%
1st Source		780		19
1st United Bancorp		1,092		7
Acadia Realty Trust		2,239		58
Affiliated Managers Group *		2,611		428
Agree Realty		647		22
Alexander & Baldwin *		1,777		63
Alexander’s ‡		88		27


Description	Shares		Market Value ($ Thousands)

Alexandria Real Estate Equities		3,661	$	251
Alleghany *		867		338
Allied World Assurance Holdings		1,904		170
American Assets Trust		1,491		48
American Campus Communities ‡		5,362		219
American Capital *		16,511		220
American Capital Agency		20,221		522
American Capital Mortgage Investment		2,465		52
American Equity Investment Life Holding (A)		2,778		45
American Financial Group		4,153		202
American National Bankshares		306		7
American National Insurance		331		33
American Safety Insurance Holdings *		181		4
Ameris Bancorp *		1,252		21
AMERISAFE		833		28
Ames National		310		6
Amtrust Financial Services (A)		1,181		39
Annaly Capital Management		49,514		672
Anworth Mortgage Asset		6,168		35
Apollo Commercial Real Estate Finance		1,437		24
Apollo Investments		12,338		102
Apollo Residential Mortgage ‡		1,087		21
Arch Capital Group *		6,936		355
Ares Capital		13,915		239
Argo Group International Holdings		1,396		55
Arlington Asset Investment, Cl A		712		19
ARMOUR Residential REIT ‡		20,396		105
Arrow Financial		202		5
Arthur J Gallagher (A)		6,091		266
Ashford Hospitality Trust		2,471		33
Aspen Insurance Holdings		2,995		110
Associated Banc		9,286		143
Associated Estates Realty ‡		2,189		36
Assured Guaranty		8,987		203
Astoria Financial		3,865		38
AV Homes *		407		5
Axis Capital Holdings		5,368		234
Baldwin & Lyons, Cl B		181		4
Bancfirst		325		14
Banco Latinoamericano de Comercio Exterior, Cl E		1,312		30
Bancorp *		1,604		23
Bancorpsouth (A)		3,982		68
Bank Mutual		899		5
Bank of Hawaii		2,424		122
Bank of Kentucky Financial		233		6
Bank of Marin Bancorp		107		4
Bank of the Ozarks		1,285		56
BankFinancial		797		6
BankUnited		1,596		39
Banner		851		27
BBCN Bancorp		3,395		44
Beneficial Mutual Bancorp *		1,826		16
Berkshire Hills Bancorp		1,150		31
BGC Partners, Cl A		4,736		26
BioMed Realty Trust ‡		9,729		204


Description	Shares		Market Value ($ Thousands)

BlackRock Kelso Capital		3,363	$	34
BofI Holding *		609		29
BOK Financial		1,093		71
Boston Private Financial Holdings		3,515		35
Brandywine Realty Trust		6,939		98
BRE Properties		3,990		199
Bridge Bancorp		312		7
Brookline Bancorp		3,274		28
Brown & Brown		6,176		199
Bryn Mawr Bank		622		14
C&F Financial		300		14
Calamos Asset Management, Cl A		382		4
Camden National		539		20
Camden Property Trust		4,338		300
Campus Crest Communities		2,872		36
Capital Bank Financial, Cl A *		360		6
Capital City Bank Group *		800		9
Capital Southwest		156		22
CapitalSource		8,893		84
Capitol Federal Financial		8,187		97
CapLease		3,806		33
Capstead Mortgage		4,218		52
Cardinal Financial		1,341		20
Cash America International		1,279		61
Cathay General Bancorp		3,315		67
CBL & Associates Properties		7,782		179
CBOE Holdings		4,638		186
Cedar Realty Trust ‡		3,538		20
Center Bancorp		483		6
Centerstate Banks		585		5
Central Pacific Financial *		1,110		20
Chatham Lodging Trust ‡		935		17
Chemical Financial		1,299		34
Chesapeake Lodging Trust ‡		2,167		49
Chimera Investment ‡		54,326		166
CIT Group *		10,237		472
Citizens, Cl A *		2,233		14
Citizens & Northern		240		5
City Holding		685		27
City National		2,440		153
CNA Financial		1,175		40
CNB Financial		248		4
CNO Financial Group		10,825		134
CoBiz Financial		1,971		17
Cohen & Steers		836		32
Colonial Properties Trust ‡		4,795		106
Colony Financial ‡		2,800		62
Columbia Banking System		2,109		46
Commerce Bancshares		3,647		159
CommonWealth		6,344		130
Community Bank System (A)		1,702		50
Community Trust Bancorp		658		23
Consolidated-Tomoka Land		174		6
Coresite Realty ‡		773		25
Corporate Office Properties Trust ‡		3,830		102
Corrections Corp of America ‡		5,802		204
Cousins Properties ‡		4,046		42
Cowen Group, Cl A *		1,721		5
Crawford, Cl B		520		4


Description	Shares		Market Value ($ Thousands)

Credit Acceptance *		332	$	38
CubeSmart ‡		7,222		113
Cullen/Frost Bankers		2,805		181
CVB Financial		3,879		45
CyrusOne ‡		929		20
CYS Investments ‡		9,562		98
DCT Industrial Trust ‡		14,886		110
DDR ‡		14,314		250
DFC Global *		1,991		30
Diamond Hill Investment Group *		54		4
DiamondRock Hospitality ‡		10,107		96
Digital Realty Trust ‡ (A)		6,574		400
Dime Community Bancshares		1,583		23
Douglas Emmett ‡		7,385		188
Duke Realty ‡		16,595		275
DuPont Fabros Technology ‡		2,621		64
Dynex Capital ‡		2,593		26
Eagle Bancorp *		706		16
East West Bancorp		7,186		189
EastGroup Properties ‡		1,685		99
Eaton Vance		6,025		250
Education Realty Trust ‡		4,873		51
eHealth *		1,074		26
Employers Holdings		1,474		36
Encore Capital Group *		975		35
Endurance Specialty Holdings		2,383		120
Enstar Group *		351		44
Enterprise Financial Services		1,249		19
EPR Properties ‡ (A)		2,551		134
Equity Lifestyle Properties ‡		2,216		171
Equity One ‡		2,385		56
Erie Indemnity, Cl A		1,387		105
ESB Financial		517		6
Essex Property Trust ‡		1,927		303
EverBank Financial		1,124		18
Evercore Partners, Cl A		1,276		51
Everest Re Group		2,544		330
Excel Trust ‡		2,118		28
Extra Space Storage ‡		5,718		240
Ezcorp, Cl A *		2,157		41
FBL Financial Group, Cl A		582		24
FBR *		169		4
Federal Agricultural Mortgage, Cl C		488		15
Federal Realty Investment Trust ‡		3,286		354
Federated Investors, Cl B (A)		4,870		135
FelCor Lodging Trust ‡*		5,663		35
Fidelity National Financial, Cl A		11,553		304
Fidus Investment		273		5
Fifth Street Finance		6,831		72
Financial Engines		2,664		115
Financial Institutions		767		15
First American Financial		5,672		135
First Bancorp		697		11
First BanCorp *		3,516		21
First Busey		4,011		18
First California Financial Group *		821		7
First Cash Financial Services *		1,258		68
First Citizens BancShares, Cl A		191		38
First Commonwealth Financial		4,501		32
First Community Bancshares		942		14
First Connecticut Bancorp		1,048		15


Description	Shares		Market Value ($ Thousands)

First Defiance Financial		192	$	4
First Financial		612		19
First Financial Bancorp		2,549		39
First Financial Bankshares (A)		1,728		95
First Financial Holdings		914		19
First Financial Northwest		1,491		15
First Industrial Realty Trust ‡		5,753		97
First Interstate Bancsystem, Cl A		912		18
First Merchants		1,433		24
First Midwest Bancorp		3,342		44
First Niagara Financial Group		18,547		181
First of Long Island		153		5
First Potomac Realty Trust ‡		2,322		32
First Republic Bank		5,343		199
Firsthand Technology Value Fund *		600		12
FirstMerit		8,697		164
Flushing Financial		1,070		17
FNB (Pennsylvania)		5,908		68
Forest City Enterprises, Cl A *		7,945		149
Forestar Group *		1,532		35
Fox Chase Bancorp		253		4
Franklin Financial *		262		5
Franklin Street Properties ‡		4,996		68
Fulton Financial		10,812		124
FXCM, Cl A		1,250		17
GAMCO Investors, Cl A		322		17
General Growth Properties ‡		26,875		552
Geo Group ‡		3,790		132
German American Bancorp		744		16
Getty Realty ‡		1,272		27
GFI Group		3,849		16
Glacier Bancorp		3,080		60
Gladstone Capital		424		4
Gladstone Commercial ‡		219		4
Gladstone Investment		525		4
Glimcher Realty Trust ‡		5,911		69
Global Indemnity, Cl A *		202		5
Golub Capital BDC		961		17
Government Properties Income Trust ‡		1,866		45
Gramercy Property Trust ‡*		1,695		8
Great Southern Bancorp		599		16
Green Dot, Cl A *		1,255		23
Greenhill		1,271		63
Greenlight Capital Re, Cl A *		1,309		32
GSV Capital *		749		6
Guaranty Bancorp		605		7
Hancock Holding		4,114		117
Hanmi Financial *		1,078		17
Hanover Insurance Group		2,017		101
Hatteras Financial ‡		5,283		136
HCC Insurance Holdings		5,321		228
Healthcare Realty Trust ‡		4,655		124
Heartland Financial USA		875		24
Hercules Technology Growth Capital		2,903		39
Heritage Financial		307		4
Hersha Hospitality Trust, Cl A ‡		7,578		43
HFF, Cl A *		1,495		28
Highwoods Properties ‡		4,168		152
Hilltop Holdings *		1,929		31


Description	Shares		Market Value ($ Thousands)

Home BancShares		998	$	42
Home Federal Bancorp		546		7
Home Loan Servicing Solutions		2,247		51
Home Properties ‡		2,735		166
Homeowners Choice		315		11
HomeStreet		172		4
HomeTrust Bancshares *		1,102		18
Horace Mann Educators		1,814		44
Hospitality Properties Trust ‡		7,341		214
Howard Hughes *		1,417		141
Hudson Pacific Properties ‡		1,870		40
Hudson Valley Holding		305		5
Iberiabank		1,284		66
ICG Group *		1,888		21
Independent Bank		1,002		33
Infinity Property & Casualty		514		30
Inland Real Estate ‡		3,482		36
Interactive Brokers Group, Cl A		1,827		29
International Bancshares		2,350		51
International FCStone *		268		5
Invesco Mortgage Capital ‡		7,171		134
Investment Technology Group *		2,017		28
Investors Bancorp		1,997		40
Investors Real Estate Trust ‡		4,031		36
iStar Financial ‡*		3,718		44
Janus Capital Group (A)		8,012		70
JAVELIN Mortgage Investment ‡		500		8
Jones Lang LaSalle		2,259		207
Kansas City Life Insurance		165		6
KCAP Financial		1,405		15
Kearny Financial *		607		6
Kemper		2,136		73
Kennedy-Wilson Holdings		2,229		38
Kilroy Realty ‡		3,943		209
Kite Realty Group Trust ‡		3,321		20
Knight Capital Group, Cl A *		8,395		30
Ladenburg Thalmann Financial Services *		6,700		11
Lakeland Bancorp		1,670		17
Lakeland Financial		805		22
LaSalle Hotel Properties ‡		5,142		136
Lazard, Cl A		6,031		204
Lexington Realty Trust ‡		8,390		106
Liberty Property Trust ‡		5,375		218
LPL Financial Holdings		2,162		80
LTC Properties ‡		1,917		80
Mack-Cali Realty ‡		4,767		126
Maiden Holdings		2,423		26
Main Street Capital		1,349		39
MainSource Financial Group		1,090		15
Manning & Napier, Cl A		272		5
Markel *		663		347
MarketAxess Holdings		1,552		67
Marlin Business Services		322		8
MB Financial		2,381		61
MBIA *		7,682		109
MCG Capital		4,383		22
Meadowbrook Insurance Group		2,953		24
Medallion Financial		952		14
Medical Properties Trust ‡		8,062		120
Medley Capital		1,432		21
Mercantile Bank		357		6


Description	Shares		Market Value ($ Thousands)

Merchants Bancshares		207	$	6
Mercury General		1,178		53
Meridian Interstate Bancorp *		338		6
Metro Bancorp		277		5
MetroCorp Bancshares *		605		6
MFA Mortgage Investments ‡		18,897		166
MGIC Investment *		17,218		106
Mid-America Apartment Communities ‡		2,219		151
MidWestOne Financial Group		269		6
Monmouth Real Estate Investment, Cl A ‡		2,046		21
Montpelier Re Holdings		2,089		52
Mortgage Investment Trust		1,188		27
MSCI, Cl A *		6,369		224
MVC Capital		1,258		16
National Bankshares		136		5
National Financial Partners *		1,831		46
National Health Investors ‡		1,164		72
National Interstate		124		4
National Penn Bancshares		5,289		52
National Retail Properties ‡		6,043		217
National Western Life Insurance, Cl A		141		28
Nationstar Mortgage Holdings *		846		34
Navigators Group *		483		28
NBT Bancorp		1,908		38
Nelnet, Cl A		1,031		40
Netspend Holdings *		1,425		23
New Mountain Finance		1,279		19
New York Community Bancorp (A)		22,639		296
New York Mortgage Trust ‡		2,938		20
NewStar Financial *		1,393		18
NGP Capital Resources		883		6
Nicholas Financial		700		10
Northfield Bancorp		405		5
Northrim BanCorp		269		6
NorthStar Realty Finance ‡ (A)		8,216		69
Northwest Bancshares		4,199		52
OceanFirst Financial		288		4
Ocwen Financial *		5,561		238
OFG Bancorp		2,125		38
Old National Bancorp		4,361		58
Old Republic International		13,644		186
Omega Healthcare Investors ‡ (A)		5,877		190
OmniAmerican Bancorp *		615		14
One Liberty Properties ‡		624		17
OneBeacon Insurance Group, Cl A		1,235		18
Oppenheimer Holdings, Cl A		364		7
Oritani Financial		2,124		33
Pacific Continental		365		4
PacWest Bancorp (A)		1,346		39
Park National		505		35
Park Sterling *		870		5
Parkway Properties ‡		1,305		22
PartnerRe		2,934		266
Pebblebrook Hotel Trust ‡		2,603		68
PennantPark Investment		3,011		34
Penns Woods Bancorp		152		6


Description	Shares		Market Value ($ Thousands)

Pennsylvania Real Estate Investment Trust ‡		3,799	$	76
PennyMac Mortgage Investment Trust ‡		2,463		53
Peoples Bancorp		210		4
PHH *		2,432		49
Phoenix *		241		10
PICO Holdings *		1,121		25
Piedmont Office Realty Trust, Cl A ‡		9,166		174
Pinnacle Financial Partners *		1,525		38
Piper Jaffray *		1,077		38
Platinum Underwriters Holdings		1,748		100
Popular *		5,456		164
Portfolio Recovery Associates *		786		120
Post Properties ‡		2,911		139
Potlatch ‡		1,720		78
Preferred Bank *		237		4
Primerica		1,929		68
PrivateBancorp, Cl A		2,819		55
ProAssurance		3,225		162
Prospect Capital		11,658		121
Prosperity Bancshares (A)		2,569		129
Protective Life		4,302		166
Provident Financial Holdings		374		6
Provident Financial Services		2,679		41
Provident New York Bancorp		2,345		22
PS Business Parks ‡		1,028		78
Radian Group (A)		9,348		120
RAIT Financial Trust ‡		3,021		23
Ramco-Gershenson Properties ‡		2,637		41
Raymond James Financial		5,881		259
Rayonier ‡		6,253		346
Realogy Holdings *		2,602		134
Realty Income ‡ (A)		10,036		456
Redwood Trust ‡		3,305		63
Regency Centers ‡		4,667		241
Reinsurance Group of America, Cl A		3,816		251
RenaissanceRe Holdings		2,343		201
Renasant		1,160		28
Republic Bancorp, Cl A		198		5
Resource Capital ‡		4,905		30
Retail Opportunity Investments ‡		2,559		36
Retail Properties of America, Cl A ‡		3,703		57
RLI		891		67
RLJ Lodging Trust ‡		6,537		151
Rockville Financial		1,638		21
Rouse Properties ‡ (A)		1,117		22
Ryman Hospitality Properties ‡ (A)		1,360		52
S&T Bancorp		1,332		26
Sabra Health Care REIT ‡		1,662		45
Safeguard Scientifics *		1,096		17
Safety Insurance Group		431		23
Sandy Spring Bancorp		847		18
Saul Centers ‡		444		20
SCBT Financial		699		35
Seacoast Banking Corp of Florida *		2,990		6
SEI (B)		7,119		218


Description	Shares		Market Value ($ Thousands)

Select Income ‡		621	$	17
Selective Insurance Group		2,384		57
Senior Housing Properties Trust ‡		9,807		254
Sierra Bancorp		478		7
Signature Bank NY *		2,570		198
Silver Bay Realty Trust ‡		1,546		28
Simmons First National, Cl A		518		13
SL Green Realty ‡		4,440		386
Solar Capital		2,017		46
Solar Senior Capital		230		4
Southside Bancshares		1,078		24
Southwest Bancorp *		379		5
Sovran Self Storage ‡		1,693		110
Spirit Realty Capital ‡		1,505		30
St. Joe *		2,820		58
STAG Industrial ‡		1,656		36
StanCorp Financial Group		2,010		91
Starwood Property Trust ‡		8,680		220
State Auto Financial		1,090		20
State Bank Financial		1,584		25
StellarOne		1,336		21
Sterling Bancorp, Cl N		1,889		23
Sterling Financial		1,290		29
Stewart Information Services		941		26
Stifel Financial * (A)		3,282		118
Strategic Hotels & Resorts ‡ *		7,688		62
Suffolk Bancorp *		600		9
Summit Hotel Properties ‡		2,629		26
Sun Bancorp *		1,661		5
Sun Communities ‡		1,921		96
Sunstone Hotel Investors ‡ *		8,880		107
Susquehanna Bancshares		10,123		122
SVB Financial Group *		2,282		177
SWS Group *		1,049		6
SY Bancorp		635		15
Symetra Financial		3,383		47
Synovus Financial		42,646		117
Tanger Factory Outlet Centers ‡		4,849		167
Taubman Centers ‡		3,087		249
Taylor Capital Group *		315		5
TCF Financial		8,739		126
TD Ameritrade Holding		11,973		281
Tejon Ranch *		647		20
Terreno Realty ‡		1,163		22
Territorial Bancorp		773		18
Texas Capital Bancshares *		1,723		76
TFS Financial *		3,543		39
THL Credit		297		5
Thomas Properties Group		1,219		7
TICC Capital (A)		2,505		25
Tompkins Financial		405		17
Tower Group International		1,816		35
TowneBank		1,394		20
Triangle Capital		1,200		34
Trico Bancshares		909		18
Trustco Bank		4,626		26
Trustmark		3,739		95
Two Harbors Investment ‡		18,740		207
UDR ‡		12,779		311
UMB Financial		1,745		93
UMH Properties ‡		900		9
Umpqua Holdings		4,793		65


Description	Shares		Market Value ($ Thousands)

Union First Market Bankshares		681	$	14
United Bankshares (A)		2,176		57
United Community Banks *		2,074		25
United Financial Bancorp		1,102		17
United Fire Group		971		26
Universal Health Realty Income Trust ‡		516		23
Univest Corp of Pennsylvania		923		17
Urstadt Biddle Properties, Cl A ‡		1,156		24
Validus Holdings		5,426		196
Valley National Bancorp (A)		10,772		100
ViewPoint Financial Group		1,510		29
Virginia Commerce Bancorp *		1,405		19
Virtus Investment Partners *		308		71
Waddell & Reed Financial, Cl A		4,502		207
Walker & Dunlop *		223		4
Walter Investment Management *		1,536		56
Washington Banking		307		4
Washington Federal		5,736		100
Washington Real Estate Investment Trust ‡		3,513		98
Washington Trust Bancorp		470		13
Webster Financial		3,051		71
Weingarten Realty Investors ‡		6,368		203
WesBanco		1,165		29
West Bancorporation		585		7
Westamerica Bancorporation (A)		1,155		52
Western Alliance Bancorp *		3,203		47
Western Asset Mortgage Capital ‡		949		17
Westfield Financial		872		7
Westwood Holdings Group		328		14
White Mountains Insurance Group		255		151
Whitestone REIT ‡		277		5
Wilshire Bancorp		3,163		21
Winthrop Realty Trust ‡		1,749		22
Wintrust Financial		1,549		58
WisdomTree Investments *		2,775		35
World Acceptance *		376		35
WR Berkley		5,824		239
WSFS Financial		443		22

				38,473


Health Care — 10.3%
Abaxis		1,093		48
ABIOMED *		1,512		33
Acadia Healthcare *		1,187		40
Accretive Health *		2,633		30
Accuray * (A)		3,863		21
Achillion Pharmaceuticals *		3,398		28
Acorda Therapeutics *		1,742		58
Aegerion Pharmaceuticals *		1,506		110
Affymetrix (A) *		1,360		5
Air Methods *		2,177		82
Akorn *		2,527		37
Alere *		4,321		111
Align Technology *		3,813		136
Alkermes *		6,353		199
Allscripts Healthcare Solutions *		9,253		128
Almost Family *		309		6
Alnylam Pharmaceuticals *		2,389		73
AMAG Pharmaceuticals *		703		13


Description	Shares		Market Value ($ Thousands)

Amedisys *		1,671	$	21
AMN Healthcare Services *		2,009		27
Amsurg, Cl A *		1,366		49
Analogic		520		41
AngioDynamics *		470		5
Anika Therapeutics *		470		7
Antares Pharma *		5,608		23
Arena Pharmaceuticals * (A)		11,853		105
Ariad Pharmaceuticals *		9,624		177
Arqule *		2,366		6
Array BioPharma *		5,460		32
ArthroCare *		1,195		41
Assisted Living Concepts, Cl A *		382		5
Astex Pharmaceuticals *		4,685		23
athenahealth *		1,892		160
AtriCure *		720		7
Atrion		130		29
Auxilium Pharmaceuticals *		2,170		32
AVANIR Pharmaceuticals, Cl A * (A)		7,847		26
AVEO Pharmaceuticals *		2,378		6
BioDelivery Sciences International *		1,800		8
BioMarin Pharmaceutical *		6,246		392
Bio-Rad Laboratories, Cl A *		1,053		120
Bio-Reference Labs *		1,147		35
BioScrip *		2,111		30
Brookdale Senior Living, Cl A *		5,146		146
Bruker *		3,932		65
Cadence Pharmaceuticals *		3,058		20
Cambrex *		1,760		24
Cantel Medical		985		34
Capital Senior Living *		1,312		34
Cardiovascular Systems *		925		19
Catamaran *		10,407		512
Celldex Therapeutics *		3,556		45
Centene *		2,759		137
Cepheid *		3,569		124
Cerus * (A)		1,897		10
Charles River Laboratories International *		2,606		113
Chemed		845		59
Chindex International *		800		13
Clovis Oncology *		666		24
Community Health Systems *		4,795		231
Computer Programs & Systems		502		25
Conceptus *		1,169		36
CONMED		1,208		40
Cooper		2,434		275
Coronado Biosciences *		730		7
Corvel *		317		16
Covance *		2,918		218
Cross Country Healthcare *		1,079		6
CryoLife		1,045		6
Cubist Pharmaceuticals *		3,365		185
Curis *		4,264		16
Cyberonics *		1,146		55
Cynosure, Cl A *		633		16
Cytori Therapeutics *		2,432		6
Dendreon (A) *		6,966		28
Depomed *		3,055		18
Derma Sciences *		483		6


Description	Shares		Market Value ($ Thousands)

DexCom *		3,024	$	63
Dyax *		4,982		16
Dynavax Technologies *		9,390		25
Emergent Biosolutions *		1,484		21
Emeritus *		1,351		34
Endo Health Solutions *		5,811		211
Endocyte *		970		13
Endologix *		2,495		34
Ensign Group		818		30
Enzon Pharmaceuticals *		1,506		5
Exact Sciences *		2,954		33
Exactech *		339		6
ExamWorks Group *		1,445		27
Exelixis (A) *		8,200		40
Five Star Quality Care *		827		4
Fluidigm *		753		13
Furiex Pharmaceuticals *		542		20
Genomic Health *		797		29
Gentiva Health Services *		1,679		18
Geron *		2,670		3
Globus Medical, Cl A *		600		9
Greatbatch *		830		27
GTx *		2,700		16
Haemonetics *		2,747		113
Halozyme Therapeutics *		4,458		32
Hanger *		1,509		48
Harvard Bioscience *		1,037		5
HCA Holdings *		8,480		331
Health Management Associates, Cl A *		13,572		187
Health Net *		4,470		142
HealthSouth *		3,941		115
HealthStream *		964		26
Healthways *		1,721		23
HeartWare International *		679		62
Henry Schein *		4,443		428
Hill-Rom Holdings		3,401		123
Hi-Tech Pharmacal *		601		19
HMS Holdings *		4,631		115
Hologic *		13,655		283
ICU Medical *		527		38
Idenix Pharmaceuticals * (A)		5,394		26
Idexx Laboratories (A) *		2,901		239
Illumina *		6,279		442
ImmunoGen *		3,552		65
Immunomedics *		2,657		10
Impax Laboratories *		2,988		57
Incyte (A) *		5,171		115
Infinity Pharmaceuticals *		1,294		35
Insulet *		2,221		66
Integra LifeSciences Holdings *		852		32
Intercept Pharmaceuticals *		176		6
InterMune *		3,672		36
Invacare		1,589		25
IPC The Hospitalist *		600		29
Ironwood Pharmaceuticals, Cl A * (A)		3,254		43
Isis Pharmaceuticals (A) *		5,994		130
Jazz Pharmaceuticals *		2,234		152
Keryx Biopharmaceuticals * (A)		3,794		30
Kindred Healthcare *		2,465		33
Landauer		473		25


Description	Shares		Market Value ($ Thousands)

Lannett *		1,000	$	11
Lexicon Pharmaceuticals *		10,540		25
LHC Group *		784		17
LifePoint Hospitals *		2,596		129
Ligand Pharmaceuticals, Cl B *		828		25
Luminex *		1,955		38
Magellan Health Services *		1,140		62
MAKO Surgical * (A)		2,028		25
MannKind (A) *		6,643		44
Masimo *		2,193		47
MedAssets *		2,539		42
Medicines *		3,057		98
Medidata Solutions *		1,047		72
Medivation *		3,804		185
MEDNAX *		2,578		239
Merge Healthcare *		2,399		8
Meridian Bioscience		1,841		40
Merit Medical Systems *		2,075		20
Mettler Toledo International *		1,582		345
Molina Healthcare * (A)		1,336		51
Momenta Pharmaceuticals *		2,154		28
MWI Veterinary Supply *		592		72
Myriad Genetics *		4,326		139
National Healthcare		494		23
National Research, Cl A *		312		5
National Research, Cl B *		52		2
Natus Medical *		958		14
Navidea Biopharmaceuticals (A) *		7,605		18
Nektar Therapeutics *		4,995		47
Neogen *		1,020		56
Neurocrine Biosciences *		3,000		39
NewLink Genetics (A) *		316		5
Novavax *		6,953		13
NPS Pharmaceuticals *		3,864		61
NuVasive *		1,878		41
NxStage Medical *		2,447		34
Omnicare (A)		5,396		248
Omnicell *		1,512		27
OncoGenex Pharmaceutical *		535		6
Oncothyreon (A) *		3,800		7
Onyx Pharmaceuticals * (A)		3,660		349
Opko Health * (A)		4,829		32
Optimer Pharmaceuticals (A) *		1,660		25
OraSure Technologies *		1,039		5
Orexigen Therapeutics *		3,961		25
Orthofix International *		840		23
Osiris Therapeutics *		1,000		11
Owens & Minor (A)		3,439		118
Pacira Pharmaceuticals *		645		19
Pain Therapeutics *		2,988		8
Palomar Medical Technologies *		1,089		15
PAREXEL International *		2,646		121
PDL BioPharma (A)		6,100		50
Pharmacyclics *		2,993		274
PharMerica *		950		15
PhotoMedex *		265		4
Pozen *		1,028		5
Progenics Pharmaceuticals *		1,496		6
Providence Service *		958		25
QIAGEN *		12,248		229
Quality Systems		1,815		32
Questcor Pharmaceuticals		2,931		100


Description	Shares		Market Value ($ Thousands)

Quidel *		1,312	$	31
Raptor Pharmaceutical *		2,707		21
Repligen *		1,722		14
Repros Therapeutics * (A)		942		16
ResMed (A)		7,299		350
Rigel Pharmaceuticals *		3,959		18
Rochester Medical *		419		6
RTI Biologics *		1,118		5
Sagent Pharmaceuticals *		375		7
Salix Pharmaceuticals *		3,257		198
Sangamo Biosciences *		2,570		21
Santarus *		2,389		53
Sciclone Pharmaceuticals *		3,201		15
Seattle Genetics *		5,000		172
Select Medical Holdings		1,965		16
Sequenom * (A)		5,717		24
Sirona Dental Systems *		2,922		207
Solta Medical *		2,684		6
Spectranetics *		1,624		30
Spectrum Pharmaceuticals *		2,979		24
Staar Surgical *		2,378		21
STERIS		3,098		140
Sunesis Pharmaceuticals *		1,135		6
SurModics *		644		15
Symmetry Medical *		1,188		11
Synageva BioPharma *		506		21
Synergy Pharmaceuticals *		2,915		15
Synta Pharmaceuticals * (A)		2,254		17
Team Health Holdings *		1,208		47
Techne		2,025		135
Teleflex		2,202		172
TESARO *		400		14
Theravance *		3,309		116
Thoratec *		3,227		101
Threshold Pharmaceuticals *		895		5
Tornier *		908		14
Triple-S Management, Cl B *		1,166		25
Trius Therapeutics *		1,185		9
Unilife (A) *		6,571		22
United Therapeutics *		2,564		170
Universal American *		2,216		20
Universal Health Services, Cl B		4,647		321
US Physical Therapy		626		18
Utah Medical Products		200		9
Vanda Pharmaceuticals *		2,600		24
Vanguard Health Systems *		1,588		21
Vascular Solutions *		918		14
VCA Antech *		4,683		120
Vertex Pharmaceuticals *		10,442		839
Vical *		4,189		15
ViroPharma *		2,816		77
Vivus (A) *		4,377		64
Vocera Communications *		142		2
Volcano (A) *		2,349		45
Warner Chilcott, Cl A		8,873		170
WellCare Health Plans *		2,366		123
West Pharmaceutical Services		1,865		128
Wright Medical Group *		1,959		49
XenoPort *		2,416		13
XOMA *		4,530		19
ZIOPHARM Oncology * (A)		1,273		3


Description	Shares		Market Value ($ Thousands)

Zoetis (A)		5,193	$	166

				17,986


Industrials — 14.6%
AAON		645		21
AAR		1,829		37
ABM Industries		2,355		57
Acacia Research		2,149		54
ACCO Brands * (A)		5,129		37
Accuride *		955		5
Aceto		1,517		19
Actuant, Cl A *		3,942		134
Acuity Brands		2,246		169
Advisory Board *		1,584		84
AECOM Technology *		5,512		170
Aegion, Cl A *		1,703		39
Aerovironment *		925		19
AGCO		5,023		279
Air Lease, Cl A (A)		3,731		104
Air Transport Services Group *		2,936		18
Aircastle		2,557		40
Alamo Group		335		14
Alaska Air Group *		3,761		214
Albany International, Cl A		1,198		38
Allegiant Travel, Cl A *		650		60
Alliant Techsystems		1,544		121
Altra Holdings		1,189		34
AMERCO *		400		69
Ameresco, Cl A *		779		6
American Railcar Industries		477		16
American Science & Engineering		455		27
American Woodmark *		484		18
Ametek		12,295		530
Ampco-Pittsburgh		333		6
AO Smith		4,158		163
Apogee Enterprises		1,311		35
Applied Industrial Technologies		2,261		109
Argan *		379		6
Arkansas Best		1,390		26
Armstrong World Industries *		877		46
Astec Industries		963		34
Astronics *		629		23
Atlas Air Worldwide Holdings *		1,169		54
Avis Budget Group *		5,560		184
AZZ		1,096		45
Babcock & Wilcox		5,924		176
Barnes Group		2,352		71
Barrett Business Services		434		25
BE Aerospace *		5,030		319
Beacon Roofing Supply *		2,570		106
Belden		2,423		129
Blount International *		2,285		31
Brady, Cl A		2,227		72
Briggs & Stratton (A)		2,149		50
Brink’s		2,006		54
Builders FirstSource *		2,470		17
CAI International *		472		12
Capstone Turbine *		16,835		19
Carlisle		3,277		214
Casella Waste Systems, Cl A *		1,391		6
CBIZ *		745		5
CDI		269		4


Description	Shares		Market Value ($ Thousands)

Celadon Group		1,075	$	21
Chart Industries *		1,372		133
Chicago Bridge & Iron		5,392		341
CIRCOR International		815		42
CLARCOR		2,723		148
Clean Harbors *		2,876		164
CNH Global *		1,194		52
Coleman Cable		800		15
Colfax *		2,589		129
Columbus McKinnon *		1,165		25
Comfort Systems USA		1,291		18
Commercial Vehicle Group *		492		4
Consolidated Graphics *		444		21
Con-way		3,068		117
Copa Holdings, Cl A		1,728		227
Copart *		5,350		184
Corporate Executive Board		1,861		114
Covanta Holding		5,858		120
CRA International *		205		4
Crane		2,629		157
Cubic		689		33
Curtiss-Wright		1,978		72
Delta Air Lines		42,145		759
Deluxe		2,754		103
DigitalGlobe *		2,232		67
Donaldson		7,746		291
Douglas Dynamics		1,222		17
DXP Enterprises *		362		21
Dycom Industries *		1,507		34
Dynamic Materials		265		4
Echo Global Logistics *		786		14
EMCOR Group		3,587		143
Encore Wire		803		28
Energy Recovery *		887		4
EnerNOC *		860		11
EnerSys		2,583		129
Engility Holdings *		910		23
Ennis		1,388		24
EnPro Industries *		868		44
ESCO Technologies		1,177		38
Esterline Technologies *		1,690		124
Exelis		10,028		122
ExOne * (A)		400		20
Exponent		643		36
Federal Signal *		3,047		27
Flow International *		1,744		7
Fortune Brands Home & Security		8,173		346
Forward Air		1,718		67
Franklin Covey *		491		7
Franklin Electric		1,981		67
FreightCar America		233		4
FTI Consulting *		1,768		67
FuelCell Energy (A) *		5,961		8
Furmanite *		737		5
G&K Services, Cl A		839		40
Gardner Denver		2,603		196
GATX		2,552		127
GenCorp (A) *		2,679		37
Generac Holdings *		945		38
General Cable		2,137		76
Genesee & Wyoming, Cl A *		2,274		202


Description	Shares		Market Value ($ Thousands)

Gibraltar Industries *		1,460	$	24
Global Power Equipment Group		930		15
Gorman-Rupp		782		23
GP Strategies *		782		20
Graco		3,135		202
GrafTech International (A) *		5,217		44
Graham		196		5
Granite Construction		1,711		53
Great Lakes Dredge & Dock		1,880		16
Greenbrier *		1,123		26
Griffon		2,137		25
H&E Equipment Services *		1,325		30
Hardinge		463		6
Harsco		4,428		103
Hawaiian Holdings *		2,880		17
Healthcare Services Group		2,839		64
Heartland Express		2,172		31
Heico		2,785		141
Heidrick & Struggles International		1,352		19
Herman Miller		2,443		69
Hertz Global Holdings *		12,814		331
Hexcel *		4,598		160
HNI		1,949		72
Houston Wire & Cable		355		5
Hub Group, Cl A *		1,562		57
Hubbell, Cl B		3,089		310
Huntington Ingalls Industries		2,259		125
Hurco *		235		7
Huron Consulting Group *		1,011		45
Hyster-Yale Materials Handling		502		31
ICF International *		968		29
IDEX		4,341		239
IHS, Cl A *		2,599		273
II-VI *		2,343		39
InnerWorkings *		1,587		17
Insperity		1,012		30
Insteel Industries		941		17
Interface, Cl A		2,545		43
ITT		4,963		150
JB Hunt Transport Services		4,649		342
JetBlue Airways * (A)		9,981		62
John Bean Technologies		1,331		29
Kadant		625		19
Kaman		1,173		40
KAR Auction Services		1,329		31
Kaydon		1,477		40
KBR		7,645		276
Kelly Services, Cl A		1,295		23
Kennametal		4,214		183
KEYW Holding *		1,268		19
Kforce *		937		14
Kirby *		2,926		228
Knight Transportation		2,537		43
Knoll		2,163		34
Korn/Ferry International *		2,158		38
Kratos Defense & Security Solutions *		1,516		9
Landstar System		2,544		134
Layne Christensen *		969		21
LB Foster, Cl A		471		21
Lennox International		2,729		175


Description	Shares		Market Value ($ Thousands)

Lincoln Electric Holdings		4,333	$	259
Lindsay Manufacturing		527		43
LMI Aerospace *		181		3
LSI Industries		2,000		16
Lydall *		332		5
Manitowoc		7,050		148
Manpowergroup		4,156		238
Marten Transport		797		19
MasTec (A) *		2,362		75
Matson		1,852		47
McGrath RentCorp		1,148		38
Meritor *		4,895		35
Met-Pro		608		8
Michael Baker		173		5
Middleby *		975		159
Miller Industries		411		7
Mine Safety Appliances		1,144		57
Mistras Group *		897		19
Mobile Mini *		1,683		57
Moog, Cl A *		2,424		121
MRC Global *		1,012		29
MSC Industrial Direct, Cl A		2,403		199
Mueller Industries		854		46
Mueller Water Products, Cl A		6,912		53
Multi-Color		757		22
MYR Group *		979		20
NACCO Industries, Cl A		305		17
National Presto Industries		191		15
Navigant Consulting *		2,341		31
Navistar International *		3,791		136
NCI Building Systems *		948		14
Nielsen Holdings		6,367		216
NN *		687		6
Nordson		3,312		236
Nortek *		342		24
Northwest Pipe *		186		5
Odyssey Marine Exploration * (A)		1,425		5
Old Dominion Freight Line *		3,790		163
On Assignment *		1,869		49
Orbital Sciences *		2,558		46
Orion Marine Group *		1,874		22
Oshkosh Truck *		4,817		192
Owens Corning *		6,260		274
Pacer International *		1,424		9
Park-Ohio Holdings *		318		12
Patriot Transportation Holding *		238		7
Pendrell *		8,751		21
PGT *		1,300		11
Pike Electric *		938		11
Polypore International * (A)		2,560		96
Powell Industries *		264		12
Preformed Line Products		90		6
Primoris Services		1,347		29
Proto Labs * (A)		299		16
Quad, Cl A (A)		1,162		27
Quality Distribution *		810		7
Quanex Building Products		1,765		33
Raven Industries		1,555		47
RBC Bearings *		995		49
Regal-Beloit		2,225		150
Republic Airways Holdings *		2,296		25
Resources Connection		1,981		22


Description	Shares		Market Value ($ Thousands)

Rexnord *		1,326	$	26
Roadrunner Transportation Systems *		772		21
Rollins		2,675		68
RPX *		1,210		19
RR Donnelley & Sons (A)		9,672		128
Rush Enterprises, Cl A *		1,499		38
Saia *		595		28
Simpson Manufacturing (A)		1,743		51
SkyWest		2,322		33
SolarCity *		431		19
Spirit Aerosystems Holdings, Cl A *		6,375		138
Spirit Airlines *		1,847		56
SPX		2,494		197
Standard Parking *		798		18
Standex International		529		28
Steelcase, Cl A		3,357		46
Sterling Construction *		591		6
Sun Hydraulics		977		32
Swift Transporation, Cl A *		3,409		57
Swisher Hygiene (A) *		4,332		4
Sykes Enterprises *		1,811		29
TAL International Group		1,284		54
Taser International *		2,669		25
Team *		857		31
Teledyne Technologies *		1,937		150
Tennant		838		41
Terex *		5,770		207
Tetra Tech *		3,542		98
Textainer Group Holdings		653		24
Thermon Group Holdings *		782		15
Timken		4,509		256
Titan International		2,372		55
Titan Machinery * (A)		812		17
TMS International, Cl A		472		7
Toro		3,200		152
Towers Watson, Cl A		3,133		243
TransDigm Group *		2,605		381
Trex *		670		37
Trimas *		1,376		44
Trinity Industries		4,271		175
Triumph Group		2,596		202
TrueBlue *		1,828		43
Tutor Perini *		1,651		31
Twin Disc		170		4
UniFirst		640		61
United Continental Holdings *		16,952		550
United Rentals (A) *		4,847		275
United Stationers		1,737		60
Universal Forest Products		855		34
URS		3,971		192
US Airways Group (A) *		8,623		151
US Ecology		640		17
USG *		3,982		109
UTi Worldwide		4,395		70
Valmont Industries		1,214		185
Verisk Analytics, Cl A *		7,472		439
Viad		971		24
Wabash National *		3,141		33
WABCO Holdings *		3,310		250
Wabtec		2,453		270


Description	Shares		Market Value ($ Thousands)

WageWorks *		271	$	8
Waste Connections		6,403		258
Watsco		1,559		136
Watts Water Technologies, Cl A		1,256		60
Werner Enterprises		1,890		47
Wesco Aircraft Holdings *		946		17
WESCO International (A) *		2,266		168
Woodward Governor		3,642		143
XPO Logistics *		937		16

				25,362


Information Technology — 14.2%
3D Systems *		4,447		216
Accelrys *		2,620		22
ACI Worldwide *		2,204		103
Active Network (A) *		1,442		10
Activision Blizzard		21,806		315
Actuate		2,744		19
Acxiom *		3,274		72
ADTRAN		2,797		65
Advanced Energy Industries *		1,819		33
Advent Software *		1,368		45
Aeroflex Holding *		729		6
Agilysys *		900		10
Alliance Data Systems * (A)		2,589		458
Alpha & Omega Semiconductor *		1,100		9
Amdocs		8,668		309
American Software, Cl A		472		4
Amkor Technology (A) *		4,013		18
ANADIGICS *		2,864		6
Anaren *		757		18
Angie’s List *		1,648		39
Anixter International *		1,541		118
Ansys *		4,817		359
AOL *		3,465		120
Applied Micro Circuits *		3,298		25
ARRIS Group *		6,270		95
Arrow Electronics *		5,525		220
Aruba Networks *		6,139		92
ASML Holding, Cl G		1,514		123
Aspen Technology *		4,967		152
Atmel *		23,382		184
ATMI *		1,478		35
Avago Technologies, Cl A		12,468		470
Aviat Networks *		1,216		3
Avid Technology *		597		4
Avnet *		7,099		243
AVX		2,278		27
Axcelis Technologies *		7,300		12
Badger Meter		662		29
Bankrate *		2,149		31
Bel Fuse, Cl B		388		6
Benchmark Electronics *		2,530		49
Black Box		1,009		27
Blackbaud		1,955		59
Blucora *		1,829		33
Booz Allen Hamilton Holding, Cl A		1,265		22
Bottomline Technologies *		1,671		46
Broadridge Financial Solutions		6,597		179
BroadSoft (A) *		1,294		36


Description	Shares		Market Value ($ Thousands)

Brocade Communications Systems *		24,647	$	134
Brooks Automation		3,003		32
Cabot Microelectronics *		1,024		37
CACI International, Cl A *		932		60
Cadence Design Systems *		14,347		217
CalAmp *		1,856		24
Calix *		2,145		22
Callidus Software *		1,356		8
Cardtronics *		1,885		54
Cass Information Systems		490		22
Cavium *		2,131		70
Ceva *		1,338		22
Checkpoint Systems *		1,945		27
CIBER *		3,887		16
Ciena *		4,186		70
Cirrus Logic *		2,795		51
Cognex		2,379		107
Coherent *		1,053		60
Cohu		477		5
CommVault Systems *		2,384		167
Computer Task Group		792		18
Compuware		11,660		131
comScore *		1,647		33
Comtech Telecommunications		832		22
Comverse *		1,000		30
Concur Technologies *		2,411		195
Constant Contact *		1,566		23
Convergys		5,987		109
CoreLogic *		5,183		136
Cornerstone OnDemand (A) *		1,499		61
CoStar Group *		1,463		164
Cray *		1,770		32
Cree *		5,923		369
CSG Systems International *		1,517		33
CTS		2,045		25
Cypress Semiconductor		6,095		69
Daktronics		2,080		21
Datalink *		597		7
Dealertrack Technologies *		1,800		58
Demand Media *		1,687		14
Demandware *		245		8
Dice Holdings *		2,190		20
Diebold		3,433		111
Digi International *		501		5
Digimarc		276		6
Digital River *		1,777		31
Diodes *		1,642		39
Dolby Laboratories, Cl A (A) *		2,604		91
DSP Group *		862		7
DST Systems		1,750		119
DTS *		1,044		21
EarthLink		5,033		30
Ebix		1,425		28
EchoStar, Cl A *		1,803		72
Electro Rent		1,059		18
Electro Scientific Industries		445		5
Electronics for Imaging *		2,028		57
Ellie Mae *		1,163		26
Emulex *		4,088		25
Entegris *		5,908		62
Entropic Communications *		5,249		22


Description	Shares		Market Value ($ Thousands)

Envestnet *		1,195	$	27
EPIQ Systems		1,590		19
ePlus *		144		7
Equinix *		2,398		486
Euronet Worldwide *		2,188		67
ExactTarget *		193		4
Exar *		1,892		21
ExlService Holdings *		1,023		30
Extreme Networks *		5,087		18
Fabrinet *		1,215		18
Facebook, Cl A *		21,469		523
FactSet Research Systems (A)		2,386		234
Fair Isaac		1,491		73
Fairchild Semiconductor International, Cl A *		7,009		102
FARO Technologies *		608		23
FEI		2,052		148
Finisar * (A)		3,954		52
FleetCor Technologies *		2,573		224
FleetMatics Group *		178		5
FormFactor *		3,767		22
Forrester Research		664		24
Fortinet *		6,999		135
Freescale Semiconductor * (A)		2,307		37
Fusion-io (A) *		2,902		42
Gartner *		4,837		274
Genpact *		6,750		131
Global Cash Access Holdings *		3,316		22
Global Payments		4,128		198
Globecomm Systems *		1,244		16
Glu Mobile (A) *		3,700		10
GSI Group *		562		5
GT Advanced Technologies * (A)		6,229		28
Guidance Software *		594		5
Guidewire Software *		769		31
Harmonic *		5,434		33
Heartland Payment Systems		2,011		64
Higher One Holdings * (A)		1,534		17
Hittite Microwave *		1,717		93
IAC		4,121		200
iGATE *		1,486		22
Immersion *		1,567		24
Imperva *		483		19
Infinera * (A)		5,184		55
Infoblox *		303		7
Informatica *		5,685		207
Ingram Micro, Cl A *		8,146		156
Inphi *		462		5
Insight Enterprises *		1,998		38
Integrated Device Technology *		6,245		53
Integrated Silicon Solution *		1,905		21
Interactive Intelligence Group *		668		34
InterDigital		2,230		103
Intermec *		2,795		28
Internap Network Services *		2,584		21
International Rectifier * (A)		3,006		66
Intersil, Cl A		5,572		46
IntraLinks Holdings *		726		4
InvenSense, Cl A * (A)		1,877		24
IPG Photonics *		1,720		102
Itron *		1,711		72
Ixia *		1,858		29


Description	Shares		Market Value ($ Thousands)

IXYS		480	$	5
j2 Global (A)		1,957		80
Jack Henry & Associates		4,519		212
Jive Software *		1,234		21
Kemet *		2,462		11
Keynote Systems		308		4
Kopin *		1,323		5
KVH Industries *		297		4
Lattice Semiconductor *		5,462		28
Lender Processing Services		4,512		149
Lexmark International, Cl A (A)		3,380		103
LinkedIn, Cl A *		3,306		554
Lionbridge Technologies *		1,118		3
Liquidity Services * (A)		1,222		49
Littelfuse		903		66
LivePerson *		2,491		23
LogMeIn *		1,113		28
LTX-Credence *		2,741		16
Manhattan Associates *		870		65
ManTech International, Cl A		822		22
Market Leader *		833		9
Marvell Technology Group		21,402		232
Maxim Integrated Products		14,904		440
MAXIMUS		1,858		139
MaxLinear, Cl A *		2,300		15
Maxwell Technologies *		564		4
Measurement Specialties *		677		30
MEMC Electronic Materials *		10,109		82
Mentor Graphics		5,140		98
Mercury Systems *		2,123		19
Methode Electronics		1,284		20
Micrel		2,393		24
Micros Systems *		4,271		180
Microsemi *		4,814		106
MicroStrategy, Cl A *		353		32
Mindspeed Technologies * (A)		1,400		5
MKS Instruments		2,223		63
MoneyGram International *		1,105		22
Monolithic Power Systems *		1,451		36
Monotype Imaging Holdings		1,660		38
Monster Worldwide *		5,608		31
MoSys *		2,200		10
Move *		1,935		22
MTS Systems		689		42
Nanometrics *		1,244		18
National Instruments		4,967		141
NCR *		8,183		273
NETGEAR *		1,592		53
Netscout Systems *		1,658		40
NetSuite *		1,803		158
NeuStar, Cl A *		3,532		171
Newport *		1,795		24
NIC *		2,822		47
Nuance Communications (A) *		12,581		239
Numerex, Cl A *		477		5
NVE *		94		5
OmniVision Technologies *		2,342		43
ON Semiconductor *		23,800		204
OpenTable *		1,226		82
Oplink Communications *		1,066		18
OSI Systems *		868		50
Palo Alto Networks *		333		16


Description	Shares		Market Value ($ Thousands)

Pandora Media (A) *		4,371	$	74
Park Electrochemical		982		24
Parkervision * (A)		4,352		19
PC Connection *		831		14
PDF Solutions *		1,453		27
Pegasystems		818		26
Perficient *		1,900		24
Pericom Semiconductor *		911		6
Photronics *		3,129		24
Plantronics		2,269		105
Plexus *		1,528		45
PLX Technology *		889		4
PMC - Sierra *		8,954		54
Polycom *		9,747		110
Power Integrations		1,389		59
Power-One *		3,384		21
PRGX Global *		936		5
Procera Networks *		1,381		20
Progress Software *		2,458		58
PROS Holdings *		999		29
PTC *		6,390		160
QLIK Technologies *		4,525		139
QLogic *		4,022		39
Quantum * (A)		12,478		19
QuinStreet *		1,186		9
Rackspace Hosting *		5,677		213
Rambus *		5,110		40
RealD (A) *		1,964		30
RealNetworks *		844		6
RealPage * (A)		1,646		31
Responsys *		1,990		19
RF Micro Devices *		11,847		65
Richardson Electronics		515		6
Riverbed Technology *		8,750		135
Rofin-Sinar Technologies *		1,315		35
Rogers *		693		32
Rosetta Stone *		700		12
Rovi *		5,534		143
Ruckus Wireless (A) *		317		4
Rudolph Technologies *		1,707		21
Sanmina *		3,566		48
Sapient *		5,254		68
ScanSource *		1,196		38
SciQuest *		538		12
Seachange International *		1,543		17
Semtech *		3,475		127
ServiceNow *		569		21
ServiceSource International *		2,646		22
ShoreTel *		970		4
Sigma Designs *		1,313		6
Silicon Graphics International *		1,590		24
Silicon Image *		4,561		28
Silicon Laboratories *		2,382		102
Skyworks Solutions *		9,865		235
SolarWinds *		3,260		137
Solera Holdings		3,627		199
Sonus Networks *		10,101		32
Sourcefire *		1,678		94
Spansion, Cl A *		2,282		31
Splunk *		684		32
SPS Commerce *		429		23
SS&C Technologies Holdings *		1,509		48


Description	Shares		Market Value ($ Thousands)

Stamps.com *		655	$	25
STEC *		1,327		5
Stratasys (A) *		1,669		140
SunPower, Cl A (A) *		2,036		39
Super Micro Computer *		1,651		17
Supertex *		203		4
support.com *		981		5
Symmetricom *		833		4
Synaptics *		1,487		61
Synchronoss Technologies *		1,197		38
SYNNEX *		1,170		47
Synopsys *		7,952		290
Syntel *		677		43
Take-Two Interactive Software *		3,339		56
Tangoe *		1,555		23
Tech Data *		2,065		103
TeleTech Holdings *		727		16
Tellabs		16,613		34
Telular *		635		8
Tessera Technologies		2,330		48
TIBCO Software *		8,648		184
TiVo *		5,286		68
Travelzoo *		287		8
Trimble Navigation *		12,820		358
TriQuint Semiconductor *		7,539		53
Trulia *		249		8
TTM Technologies *		2,787		23
Tyler Technologies *		1,587		110
Ubiquiti Networks *		600		11
Ultimate Software Group *		1,535		171
Ultra Clean Holdings *		1,052		6
Ultratech *		1,168		43
Unisys *		1,883		39
United Online		4,262		29
Universal Display *		1,708		51
Unwired Planet *		3,218		7
Valueclick *		4,094		108
Vantiv, Cl A *		1,708		45
Vasco Data Security International *		554		5
Veeco Instruments *		2,201		93
VeriFone Holdings *		5,729		134
Verint Systems *		2,250		76
ViaSat *		1,956		137
VirnetX Holding (A) *		1,842		44
Virtusa *		949		22
Vishay Intertechnology (A) *		7,217		105
Vishay Precision Group *		464		7
VistaPrint (A) *		1,499		69
VMware, Cl A *		4,517		321
Vocus *		398		3
Volterra Semiconductor *		1,475		21
Web.com Group *		1,639		34
WebMD Health, Cl A *		2,193		65
Websense *		1,781		44
WEX *		2,076		153
Workday, Cl A *		1,089		70
XO Group *		1,415		15
Xoom *		670		12
Yelp, Cl A *		298		9
Zebra Technologies, Cl A *		2,764		126
Zillow, Cl A (A) *		137		8


Description	Shares		Market Value ($ Thousands)

Zix *		1,213	$	5
Zygo *		320		5
Zynga, Cl A *		4,674		16

				24,653


Materials — 5.5%
A. Schulman		1,329		38
ADA-ES *		677		25
AEP Industries *		180		15
AK Steel Holding (A) *		6,900		24
Albemarle		4,643		311
Allied Nevada Gold *		3,878		30
AM Castle *		923		16
AMCOL International		1,156		37
American Vanguard		1,199		37
Aptargroup		3,466		197
Arabian American Development *		817		6
Ashland		4,008		356
Axiall		3,725		161
Balchem		1,288		62
Berry Plastics Group *		1,338		28
Boise *		4,506		36
Boise Cascade *		670		20
Buckeye Technologies		1,703		64
Cabot		3,432		141
Calgon Carbon *		2,418		44
Carpenter Technology		2,001		96
Celanese, Cl A		7,992		394
Century Aluminum *		2,659		26
Chemtura *		5,329		122
Clearwater Paper *		1,051		50
Coeur Mining *		4,561		65
Commercial Metals		4,941		76
Compass Minerals International		1,740		152
Crown Holdings *		7,635		323
Cytec Industries		2,017		144
Deltic Timber		496		31
Domtar		1,825		132
Eagle Materials		2,583		191
Ferro *		4,105		28
Flotek Industries *		2,196		38
FutureFuel		376		5
General Moly *		1,340		3
Glatfelter		1,871		46
Globe Specialty Metals		2,702		33
Gold Resource		1,558		15
Golden Star Resources * (A)		13,515		10
Graphic Packaging Holding *		6,417		49
Greif, Cl A		1,319		69
H.B. Fuller		2,733		114
Hawkins		473		19
Haynes International		523		26
Headwaters *		3,320		35
Hecla Mining (A)		19,356		74
Horsehead Holding *		2,209		25
Huntsman		10,024		195
Innophos Holdings		989		50
Innospec *		1,013		42
Intrepid Potash (A) *		2,360		44
Kaiser Aluminum		854		54
KapStone Paper and Packaging *		1,721		50
KMG Chemicals		309		7


Description	Shares		Market Value ($ Thousands)

Koppers Holdings		873	$	36
Kraton Performance Polymers *		1,480		31
Kronos Worldwide (A)		1,084		18
Landec *		1,493		21
Louisiana-Pacific *		7,342		129
LSB Industries *		839		28
Martin Marietta Materials		2,401		262
Materion		974		29
McEwen Mining (A) *		10,068		26
Midway Gold *		5,336		6
Minerals Technologies		1,524		65
Molycorp * (A)		4,747		31
Myers Industries		1,718		25
Neenah Paper		793		25
NewMarket		397		109
Olin		4,316		108
Olympic Steel		327		8
OM Group *		1,483		44
OMNOVA Solutions *		2,467		18
Packaging Corp of America		5,049		247
Paramount Gold and Silver * (A)		2,528		4
PolyOne		5,332		137
Quaker Chemical		634		41
Reliance Steel & Aluminum		3,938		259
Resolute Forest Products *		3,492		53
Rock Tenn, Cl A		3,635		359
Rockwood Holdings		3,605		240
Royal Gold		3,402		186
RPM International		6,888		228
RTI International Metals *		1,343		39
Schnitzer Steel Industries, Cl A		1,156		29
Schweitzer-Mauduit International		1,338		64
Scotts Miracle-Gro, Cl A		2,259		107
Sensient Technologies		2,735		113
Silgan Holdings		2,012		94
Sonoco Products		5,321		186
Southern Copper		8,429		263
Steel Dynamics		11,537		177
Stepan		825		45
Stillwater Mining *		4,980		60
SunCoke Energy *		3,046		47
Tahoe Resources *		3,488		51
Texas Industries *		1,223		87
Tredegar		1,141		29
Universal Stainless & Alloy Products *		134		4
US Silica Holdings		226		5
Valspar		4,826		346
Walter Industries		2,626		45
Wausau Paper		2,219		26
Westlake Chemical		855		80
Worthington Industries		2,902		100
WR Grace *		3,824		323
Zep		1,221		20
Zoltek *		1,636		21

				9,615


Telecommunication Services — 1.0%
8x8 *		3,514		29
Atlantic Telegraph-Network		267		13
Cbeyond *		541		5
Cincinnati Bell *		9,086		31


Description	Shares		Market Value ($ Thousands)

Clearwire, Cl A *		15,242	$	68
Cogent Communications Group		2,004		55
Consolidated Communications Holdings		1,826		31
Fairpoint Communications *		770		7
General Communication, Cl A *		1,903		17
Groupon, Cl A *		2,441		19
Hawaiian Telcom Holdco *		205		5
IDT, Cl B *		603		10
inContact *		2,028		15
Iridium Communications *		2,646		19
Leap Wireless International *		2,932		17
Level 3 Communications *		8,592		184
Lumos Networks		571		8
magicJack VocalTec (A) *		536		8
Neutral Tandem		2,553		15
NII Holdings * (A)		7,776		60
NTELOS Holdings		298		5
ORBCOMM *		1,386		5
Premiere Global Services *		2,318		28
Primus Telecommunications Group *		800		9
SBA Communications, Cl A (A) *		6,219		468
Shenandoah Telecommunications		1,352		22
Telephone & Data Systems		5,155		120
T-Mobile US *		9,605		206
tw telecom, Cl A *		7,831		223
US Cellular *		652		26
USA Mobility		1,232		17
Vonage Holdings *		7,720		21

				1,766


Utilities — 3.6%
ALLETE		2,070		98
Alliant Energy		5,718		282
American States Water		837		44
American Water Works		9,018		360
Aqua America		7,250		225
Artesian Resources, Cl A		284		6
Atlantic Power		5,621		27
Atmos Energy		4,682		198
Avista		2,452		66
Black Hills		2,002		95
California Water Service Group		2,041		40
Calpine *		19,572		398
CH Energy Group		667		43
Chesapeake Utilities		477		25
Cleco		3,222		147
Connecticut Water Service		606		17
Consolidated Water		1,000		11
Delta Natural Gas		500		11
El Paso Electric		1,736		62
Empire District Electric		1,856		40
Genie Energy, Cl B *		1,000		9
Great Plains Energy		7,223		163
Hawaiian Electric Industries		5,158		135
IDACORP		2,724		129
ITC Holdings		2,725		236
Laclede Group		1,803		85
MDU Resources Group		9,832		254
MGE Energy		1,043		56


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

Middlesex Water		901	$	17
National Fuel Gas		3,788		232
New Jersey Resources		2,247		102
Northwest Natural Gas		1,176		50
NorthWestern		1,546		64
NV Energy		12,162		285
OGE Energy		5,038		342
Ormat Technologies *		1,034		24
Otter Tail		1,546		42
Piedmont Natural Gas		3,992		135
PNM Resources		4,417		99
Portland General Electric		4,100		125
Questar		9,308		226
SJW		864		23
South Jersey Industries		1,798		105
Southwest Gas		2,541		120
UGI		5,864		224
UIL Holdings		2,750		107
Unitil		458		13
UNS Energy		2,216		104
Vectren		4,343		149
Westar Energy		6,570		208
WGL Holdings		2,761		119
York Water		252		5

				6,182

Total Common Stock (Cost $160,899) ($ Thousands)				168,120


AFFILIATED PARTNERSHIP — 7.7%
SEI Liquidity Fund, L.P. 0.100% **† (C)		13,400,661		13,401

Total Affiliated Partnership (Cost $13,401) ($ Thousands)				13,401


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% **†		3,600,163		3,600

Total Cash Equivalent (Cost $3,600) ($ Thousands)				3,600


U.S. TREASURY OBLIGATION (D)(E) —0.1%
U.S. Treasury Bills
0.037%, 08/08/2013	$	155		155

Total U.S. Treasury Obligation (Cost $155) ($ Thousands)				155

Total Investments — 106.4% (Cost $178,055) ($ Thousands)			$	185,276

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		13		Jun-2013	$	70
S&P Mid 400 Index E-MINI		21		Jun-2013		108

					$	178

Percentages are based on a Net Assets of $174,107 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

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 May 31, 2013. The total value of securities on loan at May 31, 2013 was $12,767 ($ Thousands).

(B)

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

(C)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $13,401 ($ Thousands).

(D)

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

(E)

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

Cl — Class

L.P. — Limited Partnership

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

Ser — Series

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	168,120	$	—	$	—	$	168,120
Affiliated Partnership		—		13,401		—		13,401
Cash Equivalent		3,600		—		—		3,600
U.S. Treasury Obligation		—		155		—		155

Total Investments in Securities	$	171,720	$	13,556	$	—	$	185,276


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	178	$	—	$	—	$	178

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.1%

Consumer Discretionary — 14.3%
Aeropostale *		30,179	$	441
America’s Car-Mart *		6,400		289
Ameristar Casinos		3,000		79
ANN *		29,893		917
Arctic Cat		54,176		2,540
Beazer Homes USA * (A)		36,537		756
Belo, Cl A		93,767		1,052
Big Lots *		40,985		1,396
Biglari Holdings *		1,410		568
BJ’s Restaurants * (A)		40,811		1,532
Blue Nile *		1,800		64
Bob Evans Farms		12,600		582
Boyd Gaming * (A)		20,640		269
Bravo Brio Restaurant Group *		35,400		637
Bright Horizons Family Solutions *		26,902		970
Brown Shoe		35,500		738
Brunswick		40,532		1,361
Cabela’s *		24,330		1,632
Callaway Golf (A)		63,406		435
Capella Education *		9,900		431
Career Education *		160,500		478
Carmike Cinemas *		6,300		112
Carter’s		28,739		2,071
Cato, Cl A		34,800		866
CEC Entertainment		10,500		421
Children’s Place Retail Stores *		14,460		771
Coinstar * (A)		19,300		1,124
Columbia Sportswear (A)		7,031		423
Conn’s * (A)		43,910		2,162
Cooper Tire & Rubber		41,116		1,062
Core-Mark Holding		16,733		990
Corinthian Colleges * (A)		129,700		337
Crocs *		4,100		72
CSS Industries		10,800		299
Dana Holdings		38,585		730
Deckers Outdoor * (A)		12,329		662
Destination Maternity		15,400		384
Destination XL Group *		80,400		399
Dick’s Sporting Goods		12,010		629
Dorman Products (A)		22,547		1,004
DreamWorks Animation SKG, Cl A * (A)		45,600		1,001
Drew Industries		2,600		98
Ethan Allen Interiors (A)		18,885		592
Express *		46,499		1,014
Federal Mogul, Cl A *		13,400		131
Five Below * (A)		32,890		1,258
Francesca’s Holdings (A) *		84,180		2,403
Fred’s, Cl A (A)		35,200		558
GameStop, Cl A (A)		36,833		1,221
Genesco *		5,425		367
G-III Apparel Group *		2,400		101
Gordmans Stores *		52,095		667
Grand Canyon Education *		43,816		1,407
Helen of Troy *		11,900		472
hhgregg * (A)		44,400		692
Hibbett Sports * (A)		42,277		2,411
Hillenbrand		6,300		150


Description	Shares		Market Value ($ Thousands)

HomeAway * (A)		69,726	$	2,132
Hot Topic		9,700		136
Hovnanian Enterprises, Cl A * (A)		45,400		279
Ignite Restaurant Group *		24,500		448
Imax *		21,243		550
Jack in the Box *		40,308		1,471
JAKKS Pacific (A)		12,900		130
Jones Group (A)		34,700		506
Jos. A. Bank Clothiers * (A)		14,700		660
Journal Communications, Cl A *		63,900		423
K12 * (A)		28,583		850
Krispy Kreme Doughnuts *		124,095		2,149
Libbey (A) *		101,800		2,154
Life Time Fitness * (A)		12,195		608
Lincoln Educational Services		4,800		33
LKQ *		34,199		837
Loral Space & Communications *		6,600		397
Lumber Liquidators Holdings * (A)		24,535		2,014
M/I Homes *		2,200		55
Maidenform Brands *		46,153		840
Marriott Vacations Worldwide *		8,500		376
Matthews International, Cl A (A)		63,113		2,421
Mattress Firm Holding *		2,160		78
MDC Holdings		5,400		200
MDC Partners, Cl A		106,300		1,874
Men’s Wearhouse		32,238		1,167
Meredith (A)		19,065		781
Modine Manufacturing *		37,900		388
Monro Muffler Brake (A)		54,701		2,572
Morgans Hotel Group *		11,700		78
Movado Group		13,900		502
Multimedia Games Holding *		20,500		525
NACCO Industries, Cl A		6,600		370
National CineMedia		114,327		1,899
Nutrisystem (A)		64,200		580
Office Depot * (A)		27,900		123
OfficeMax (A)		8,400		109
Orient-Express Hotels, Cl A *		61,028		723
Oxford Industries (A)		14,279		938
Panera Bread, Cl A * (A)		5,035		966
Papa John’s International *		4,100		264
Pep Boys-Manny Moe & Jack * (A)		31,490		389
Perry Ellis International		19,700		416
PetMed Express (A)		39,700		532
Pier 1 Imports (A)		93,973		2,179
Pool		7,200		371
Quiksilver * (A)		60,156		473
RadioShack (A)		23,000		85
ReachLocal *		73,100		1,016
Red Robin Gourmet Burgers *		33,383		1,753
Regis (A)		72,622		1,337
Rent-A-Center, Cl A		45,200		1,653
Restoration Hardware Holdings * (A)		10,600		592
Scholastic (A)		28,000		847
Scientific Games, Cl A *		32,054		349
Shutterfly * (A)		48,200		2,349
Six Flags Entertainment		13,592		1,014
Skechers U.S.A., Cl A * (A)		29,200		657
Smith & Wesson Holding * (A)		50,300		458


Description	Shares		Market Value ($ Thousands)

SodaStream International * (A)		19,207	$	1,225
Sonic *		42,000		551
Sotheby’s		11,660		434
Stage Stores		15,900		366
Standard Motor Products		21,200		717
Standard Pacific * (A)		116,679		1,033
Steiner Leisure *		1,900		97
Stewart Enterprises, Cl A (A)		55,500		722
Tesla Motors *		2,033		199
TRI Pointe Homes * (A)		15,750		265
Tumi Holdings *		14,200		344
Universal Electronics *		22,900		612
Vail Resorts		7,830		501
Valassis Communications (A)		800		21
Vitamin Shoppe *		27,748		1,214
Wet Seal, Cl A *		176,200		874
Winnebago Industries *		3,200		66
WMS Industries *		39,700		1,006
Wolverine World Wide (A)		60,590		3,172
Zumiez * (A)		47,277		1,504

				111,227


Consumer Staples — 2.8%
Andersons		9,500		484
Annie’s * (A)		12,860		500
Casey’s General Stores (A)		34,003		2,066
Central Garden and Pet, Cl A *		21,557		164
Chefs’ Warehouse *		27,408		518
Chiquita Brands International *		202,400		2,044
Coca-Cola Bottling		2,800		167
Darling International *		65,077		1,276
Dole Food * (A)		110,799		1,049
Fairway Group Holdings, Cl A *		15,000		327
Fresh Del Monte Produce		63,000		1,686
Fresh Market *		23,071		1,143
Harris Teeter Supermarkets (A)		700		33
Ingles Markets, Cl A		11,100		244
Ingredion		7,402		504
J&J Snack Foods		6,770		514
Lancaster Colony (A)		8,000		660
Medifast * (A)		13,100		378
Nash Finch		7,100		154
Pantry *		34,064		426
Pilgrim’s Pride *		51,900		621
Post Holdings *		2,000		84
Prestige Brands Holdings *		32,542		956
Rite Aid *		364,600		1,072
Sanderson Farms (A)		6,409		442
Seneca Foods, Cl A *		3,900		125
Spartan Stores (A)		40,892		727
Spectrum Brands Holdings		2,700		163
TreeHouse Foods *		8,414		551
Universal (A)		8,700		510
USANA Health Sciences * (A)		20,100		1,409
WD-40		3,900		211
Weis Markets		6,700		274
WhiteWave Foods, Cl A * (A)		26,810		468

				21,950


Energy — 5.9%
Alberta Oilsands *		536,100		16
Alon USA Energy		1,800		33
Resources (A) *		45,200		1,139


Description	Shares		Market Value ($ Thousands)

Bill Barrett * (A)		30,000	$	677
Bonanza Creek Energy *		9,730		361
Bristow Group		4,000		251
C&J Energy Services *		3,800		71
Cloud Peak Energy *		73,700		1,415
Comstock Resources		69,900		1,127
Contango Oil & Gas *		2,500		87
CVR Energy		1,600		100
Delek US Holdings		38,780		1,397
Dresser-Rand Group *		29,836		1,808
Dril-Quip *		33,432		3,024
Emerald Oil *		41,491		254
Energy XXI Bermuda (A)		29,600		756
EPL Oil & Gas *		28,500		868
Era Group *		4,100		105
Forest Oil * (A)		59,600		271
Forum Energy Technologies * (A)		33,245		987
Frontline * (A)		45,300		84
Goodrich Petroleum * (A)		22,515		283
Green Plains Renewable Energy *		19,200		305
Gulfmark Offshore, Cl A (A)		33,874		1,553
Gulfport Energy *		11,142		531
Helix Energy Solutions Group *		42,825		1,022
Hornbeck Offshore Services * (A)		14,631		761
Key Energy Services *		155,984		1,011
Kinder Morgan Escrow *		69,898		—
Knightsbridge Tankers (A)		1,900		13
Laredo Petroleum Holdings * (A)		71,379		1,382
Lufkin Industries		9,135		806
Matador Resources * (A)		47,655		476
McDermott International *		68,036		650
Mitcham Industries *		3,700		58
Newpark Resources * (A)		59,900		668
Oasis Petroleum *		97,847		3,636
Oceaneering International		11,675		846
Oil States International *		5,570		549
Parker Drilling *		256,800		1,145
Penn Virginia		74,900		349
PetroQuest Energy *		22,600		103
Pioneer Energy Services *		120,847		843
Rentech		54,400		120
REX American Resources *		1,500		42
Rosetta Resources *		16,544		775
Scorpio Tankers (A)		177,700		1,686
SEACOR Holdings *		4,100		315
Ship Finance International (A)		55,900		949
StealthGas *		73,100		773
Stone Energy *		14,000		315
Superior Energy Services *		14,700		392
Swift Energy * (A)		36,248		492
Targa Resources		7,560		487
Tesco *		40,100		512
Tesoro		1,600		99
TETRA Technologies *		58,405		608
TGC Industries		32,755		276
Tidewater (A)		18,000		992
Triangle Petroleum *		10,100		55
Unit *		19,500		881
USEC * (A)		36,800		14
Vaalco Energy * (A)		122,900		752


Description	Shares		Market Value ($ Thousands)

W&T Offshore		3,800	$	56
Western Refining (A)		29,300		978
Willbros Group *		55,700		375
World Fuel Services (A)		46,362		1,888

				45,653


Financials — 20.3%
1st Source		6,200		150
Acadia Realty Trust		17,855		463
Affiliated Managers Group *		7,735		1,268
Agree Realty		7,600		253
Alexandria Real Estate Equities		4,650		319
Allied World Assurance Holdings		4,900		438
American Assets Trust		14,405		464
American Capital Mortgage Investment		18,200		384
American Equity Investment Life Holding (A)		78,900		1,278
AMERISAFE		2,000		68
Amtrust Financial Services (A)		21,650		715
Anworth Mortgage Asset		123,600		696
Apartment Investment & Management, Cl A		24,681		747
Apollo Investments *		14,400		119
Ares Capital		1,950		33
Argo Group International Holdings		21,890		867
Artisan Partners Asset Management, Cl A *		3,425		160
Ashford Hospitality Trust		32,500		429
Aspen Insurance Holdings		6,100		224
Associated Banc		14,000		216
Associated Estates Realty ‡		14,400		237
AvalonBay Communities		7,012		930
Banco Latinoamericano de Comercio Exterior, Cl E		46,900		1,075
Bancorpsouth (A)		85,000		1,459
Bank of the Ozarks (A)		37,283		1,627
BankUnited		34,498		848
Banner		45,102		1,447
Berkshire Hills Bancorp		33,215		891
BGC Partners, Cl A		8,400		46
BioMed Realty Trust ‡		30,700		643
BlackRock Kelso Capital (A)		80,300		800
Boston Private Financial Holdings (A)		88,608		873
Boston Properties		7,028		749
Brandywine Realty Trust		23,900		338
Camden National		4,600		173
Campus Crest Communities		104,300		1,319
CapLease		45,800		395
Capstead Mortgage		21,600		265
Cardinal Financial		18,717		283
CBL & Associates Properties		40,388		929
Central Pacific Financial *		60,210		1,104
Chesapeake Lodging Trust ‡		25,300		571
City Holding (A)		12,400		491
CNO Financial Group		309,005		3,813
CoBiz Financial		48,325		418
Cohen & Steers (A)		14,600		551
Colonial Properties Trust ‡		17,200		380
Columbia Banking System (A)		11,400		249


Description	Shares		Market Value ($ Thousands)

CommonWealth		11,800	$	241
Community Bank System (A)		6,000		176
Community Trust Bancorp		8,400		296
Coresite Realty ‡		20,155		647
Cousins Properties ‡		13,600		140
Credit Acceptance *		2,200		251
CubeSmart ‡		24,000		376
Customers Bancorp *		17,200		295
CYS Investments ‡		26,800		276
Dime Community Bancshares		27,100		390
Douglas Emmett ‡		27,080		690
Dynex Capital ‡		28,900		294
Eagle Bancorp *		53,651		1,208
East West Bancorp		20,395		537
EastGroup Properties ‡		35,559		2,090
Education Realty Trust ‡		105,867		1,107
Employers Holdings		74,253		1,837
Encore Capital Group * (A)		18,000		642
Endurance Specialty Holdings		26,809		1,349
Equity One ‡ (A)		32,492		758
Equity Residential ‡		25,437		1,438
Essex Property Trust ‡ (A)		2,050		322
FBR *		54,675		1,323
Federal Realty Investment Trust ‡		2,000		216
Federated Investors, Cl B (A)		21,431		593
Financial Engines (A)		54,469		2,349
First American Financial		15,000		358
First Commonwealth Financial		88,800		640
First Financial Holdings		2,200		46
First Horizon National (A)		114,945		1,320
First Industrial Realty Trust ‡		13,200		223
First Merchants		16,500		273
First Midwest Bancorp		113,326		1,491
First NBC Bank Holding *		14,592		367
First Potomac Realty Trust ‡		2,100		29
FirstMerit		39,024		736
Flagstar Bancorp *		14,400		202
Flushing Financial		28,000		438
FNB (Pennsylvania)		13,400		154
Forest City Enterprises, Cl A *		23,770		446
Fulton Financial		32,600		375
FXCM, Cl A (A)		54,158		751
General Growth Properties ‡		31,676		650
Geo Group ‡		8,300		289
Getty Realty ‡ (A)		10,500		220
Glimcher Realty Trust ‡		35,400		414
Government Properties Income Trust ‡		29,400		715
Great American Group *		92,182		14
Hancock Holding		34,051		972
Hanover Insurance Group		41,639		2,092
Hatteras Financial ‡		27,400		707
HCP ‡		23,748		1,125
Health Care ‡		15,250		1,037
Healthcare Realty Trust ‡		7,800		208
Hercules Technology Growth Capital		12,000		161
Highwoods Properties ‡ (A)		32,555		1,186
Home BancShares		3,800		160
Home Loan Servicing Solutions		28,400		649
Horace Mann Educators		103,375		2,512


Description	Shares		Market Value ($ Thousands)

Hospitality Properties Trust ‡		8,200	$	239
Host Hotels & Resorts ‡		45,959		818
Iberiabank		27,603		1,423
Infinity Property & Casualty		30,943		1,787
Inland Real Estate ‡		71,800		737
International Bancshares (A)		30,100		656
Investment Technology Group *		60,200		831
Investors Bancorp		23,370		462
Investors Real Estate Trust ‡		6,900		62
Janus Capital Group		12,200		107
Jones Lang LaSalle		6,078		558
Kennedy-Wilson Holdings (A)		133,100		2,284
Kimco Realty ‡		20,000		443
LaSalle Hotel Properties ‡		13,270		350
Lexington Realty Trust ‡ (A)		135,155		1,702
LPL Financial Holdings		16,287		604
LTC Properties ‡		17,600		732
Macerich ‡		13,336		866
Mack-Cali Realty ‡		37,238		987
Maiden Holdings		140,600		1,502
MainSource Financial Group		29,400		409
MarketAxess Holdings		19,655		852
MCG Capital		14,200		70
Meadowbrook Insurance Group (A)		265,300		2,128
Medallion Financial		23,200		345
MFA Mortgage Investments ‡		108,128		949
MGIC Investment * (A)		18,500		114
Mid-America Apartment Communities ‡		12,171		827
Montpelier Re Holdings		46,200		1,155
MSCI, Cl A *		23,964		845
National Health Investors ‡ (A)		2,500		156
National Penn Bancshares (A)		54,715		541
National Retail Properties ‡ (A)		9,240		331
NBT Bancorp		26,100		519
Nelnet, Cl A		75,200		2,937
Northfield Bancorp		73,246		839
Northwest Bancshares		9,800		122
OceanFirst Financial		10,300		143
Ocwen Financial *		40,900		1,750
OFG Bancorp (A)		49,050		872
Old National Bancorp		71,313		953
OmniAmerican Bancorp *		14,900		332
One Liberty Properties ‡		3,700		98
Oritani Financial		20,300		311
PacWest Bancorp (A)		59,767		1,723
Pebblebrook Hotel Trust ‡		59,571		1,563
PennantPark Investment (A)		87,393		974
PennyMac Mortgage Investment Trust ‡		24,200		524
PHH *		9,100		184
PICO Holdings *		25,958		586
Pinnacle Financial Partners *		3,600		90
Piper Jaffray *		15,700		561
Platinum Underwriters Holdings		56,346		3,217
Popular *		15,600		468
Potlatch ‡ (A)		13,000		591
Primerica *		22,200		782
ProAssurance		26,753		1,343
Prologis ‡		39,117		1,576
Prospect Capital (A)		69,100		718


Description	Shares		Market Value ($ Thousands)

Prosperity Bancshares (A)		10,540	$	528
Protective Life		10,500		406
Provident Financial Services		38,200		581
PS Business Parks ‡		5,600		427
Public Storage ‡		8,671		1,316
Radian Group (A)		27,395		353
RAIT Financial Trust ‡		6,566		50
Ramco-Gershenson Properties ‡		56,700		885
Regency Centers ‡		9,115		470
Reinsurance Group of America, Cl A		11,305		745
Republic Bancorp, Cl A (A)		11,400		271
Retail Opportunity Investments ‡		12,200		171
RLJ Lodging Trust ‡		13,050		302
Sabra Health Care ‡ (A)		28,566		773
Safeguard Scientifics *		35,544		561
Selective Insurance Group		20,365		483
Signature Bank NY *		18,210		1,405
Simon Property Group ‡		14,591		2,429
SL Green Realty ‡		6,695		582
Solar Capital		18,700		430
Southside Bancshares (A)		9,765		221
Sovran Self Storage ‡		4,000		260
STAG Industrial ‡		11,600		255
Starwood Property Trust ‡		31,700		804
Stifel Financial * (A)		35,585		1,281
Sun Communities ‡		1,000		50
Sunstone Hotel Investors ‡*		69,050		833
Susquehanna Bancshares		104,789		1,259
SVB Financial Group *		9,580		741
Symetra Financial		62,900		878
Synovus Financial		99,955		274
Tanger Factory Outlet Centers ‡		25,689		886
TCF Financial (A)		46,006		663
THL Credit		29,000		440
TICC Capital (A)		44,500		437
Titanium Asset Management (B)(C)(D) *		132,700		105
Tompkins Financial		4,200		174
Tower Group International		32,845		635
Two Harbors Investment ‡		72,800		803
UDR ‡ (A)		28,300		690
UMB Financial (A)		700		37
Umpqua Holdings (A)		19,300		261
Union First Market Bankshares		15,200		304
United Community Banks *		47,000		557
Universal Health Realty Income Trust ‡		1,300		59
Validus Holdings		31,300		1,130
Ventas ‡		11,840		845
ViewPoint Financial Group		46,700		884
Virginia Commerce Bancorp *		17,600		239
Vornado Realty Trust ‡		10,700		855
Washington Real Estate Investment Trust ‡ (A)		7,900		220
Webster Financial		8,000		187
Weingarten Realty Investors ‡ (A)		10,200		325
WesBanco		7,700		193
Western Alliance Bancorp *		80,525		1,184
Wilshire Bancorp		52,800		348
Winthrop Realty Trust ‡		51,700		642
WisdomTree Investments *		79,860		993


Description	Shares		Market Value ($ Thousands)

WSFS Financial		16,900	$	849
Zions Bancorporation (A)		24,368		684

				158,297


Health Care — 12.1%
Acadia Healthcare *		103,338		3,451
ACADIA Pharmaceuticals * (A)		16,000		225
Accuray * (A)		277,500		1,490
Achillion Pharmaceuticals *		56,935		475
Acorda Therapeutics *		11,180		374
Aegerion Pharmaceuticals * (A)		11,860		864
Affymax * (A)		240,100		497
Akorn * (A)		51,264		745
Alere *		46,700		1,195
Align Technology * (A)		19,670		703
Almost Family *		100		2
AMAG Pharmaceuticals *		14,000		259
Amedisys *		27,100		334
Amsurg, Cl A *		22,046		783
Analogic		3,300		262
Ariad Pharmaceuticals *		40,745		747
Arqule *		55,000		149
Array BioPharma *		70,500		412
ArthroCare *		12,300		417
Assisted Living Concepts, Cl A *		7,400		88
athenahealth *		19,043		1,610
Auxilium Pharmaceuticals * (A)		14,700		219
BioScrip *		69,849		977
Bruker *		38,140		631
Cambrex *		24,200		333
Cantel Medical		3,800		129
Celldex Therapeutics *		27,852		356
Centene *		18,958		938
Cepheid * (A)		7,700		268
Charles River Laboratories International *		15,201		658
Chemed (A)		3,800		266
Chimerix *		16,720		359
Computer Programs & Systems		5,200		261
Conceptus *		40,211		1,246
CONMED		47,313		1,558
Coronado Biosciences *		44,787		443
Cubist Pharmaceuticals * (A)		30,764		1,690
Cyberonics * (A)		—		—
DexCom *		59,180		1,233
Dynavax Technologies * (A)		112,200		293
Emergent Biosolutions *		46,400		659
Emeritus *		39,230		997
Endocyte *		16,700		229
Endologix * (A)		79,320		1,066
Ensign Group (A)		16,000		577
Exact Sciences *		100,807		1,133
ExamWorks Group * (A)		100,913		1,883
Five Star Quality Care *		28,700		147
Fluidigm * (A)		39,764		678
Furiex Pharmaceuticals *		17,932		663
Gentiva Health Services *		58,800		627
Greatbatch *		39,995		1,288
Halozyme Therapeutics * (A)		53,510		378
Hanger *		2,000		64
Health Net *		18,610		593
HealthSouth (A) *		77,341		2,265


Description	Shares		Market Value ($ Thousands)

HeartWare International * (A)		9,590	$	875
Hill-Rom Holdings		7,100		257
Hi-Tech Pharmacal		17,200		550
HMS Holdings * (A)		61,977		1,543
Hyperion Therapeutics *		14,269		286
ICON *		51,498		1,768
ICU Medical *		17,657		1,261
Impax Laboratories *		9,800		186
Imris *		124,420		322
Incyte * (A)		33,963		753
Infinity Pharmaceuticals *		23,077		622
Insulet * (A)		36,750		1,097
Intercept Pharmaceuticals *		6,021		201
Invacare		39,700		615
IPC The Hospitalist * (A)		16,783		818
Ironwood Pharmaceuticals, Cl A * (A)		36,417		486
Isis Pharmaceuticals * (A)		51,613		1,117
Jazz Pharmaceuticals *		16,360		1,112
Keryx Biopharmaceuticals * (A)		214,979		1,722
Kindred Healthcare *		17,500		236
LHC Group *		14,000		308
LifePoint Hospitals *		4,900		244
Magellan Health Services *		17,170		936
Masimo		46,399		1,005
Medical Action Industries *		74,800		628
Medivation *		11,985		582
MEDNAX * (A)		20,557		1,908
Merit Medical Systems *		29,600		292
Momenta Pharmaceuticals * (A)		20,900		275
Nektar Therapeutics *		48,470		459
Neurocrine Biosciences *		30,600		396
NewLink Genetics * (A)		28,244		461
Novadaq Technologies * (A)		148,136		2,009
NuVasive *		8,500		185
Onyx Pharmaceuticals * (A)		14,370		1,372
Optimer Pharmaceuticals * (A)		36,179		538
OraSure Technologies *		42,200		185
Orexigen Therapeutics *		145,345		920
Orthofix International *		21,800		603
Owens & Minor (A)		9,600		328
Pacira Pharmaceuticals * (A)		24,221		710
PAREXEL International * (A)		40,130		1,834
PDL BioPharma (A)		206,800		1,706
PerkinElmer		21,304		667
Pharmacyclics *		6,350		582
PharMerica *		55,000		859
Pozen * (A)		40,400		214
Puma Biotechnology *		21,284		829
Quality Systems (A)		1,500		27
Questcor Pharmaceuticals (A)		7,900		270
Quidel * (A)		58,282		1,393
Repros Therapeutics * (A)		13,810		239
Rigel Pharmaceuticals *		20,900		97
Sagent Pharmaceuticals *		29,450		530
Santarus *		42,500		946
Sarepta Therapeutics * (A)		6,680		236
Sciclone Pharmaceuticals *		83,600		402
Seattle Genetics * (A)		10,370		356
Select Medical Holdings		63,400		501
Sirona Dental Systems *		13,665		969
Skilled Healthcare Group, Cl A *		21,800		155


Description	Shares		Market Value ($ Thousands)

Spectranetics *		55,376	$	1,036
STERIS (A)		8,900		404
Symmetry Medical *		38,400		358
Synageva BioPharma *		17,816		734
Syneron Medical *		69,654		620
Synta Pharmaceuticals * (A)		31,920		236
Team Health Holdings *		25,094		980
Techne		20,374		1,355
Teleflex		6,439		504
TESARO *		10,476		358
Threshold Pharmaceuticals * (A)		103,910		594
Tornier *		27,868		441
Trinity Biotech ADR		8,000		140
Trius Therapeutics *		47,260		363
Unilife * (A)		179,450		592
ViroPharma *		12,990		357
Vocera Communications *		22,580		333
Volcano * (A)		18,991		363
WellCare Health Plans *		21,996		1,147
XenoPort *		48,500		267

				94,352


Industrials — 17.9%
AAR		9,300		187
ABM Industries		23,300		563
ACCO Brands * (A)		48,500		347
Actuant, Cl A (A)		94,194		3,203
Acuity Brands (A)		12,470		936
Advisory Board *		9,557		505
Aegean Marine Petroleum Network		53,600		521
Air Transport Services Group *		149,329		903
Aircastle		85,500		1,353
Alamo Group		4,800		204
Alaska Air Group *		3,800		216
Albany International, Cl A		21,200		673
Alliant Techsystems		8,600		675
Altra Holdings		11,400		328
AMERCO *		1,200		207
American Science & Engineering		2,100		126
Ampco-Pittsburgh		9,900		182
Apogee Enterprises		23,300		622
Applied Industrial Technologies		600		29
Armstrong World Industries *		12,510		650
Astec Industries		14,700		519
Atlas Air Worldwide Holdings *		20,800		966
Avis Budget Group *		15,825		525
Beacon Roofing Supply * (A)		20,164		831
Belden		26,024		1,391
Blount International *		15,900		213
Brady, Cl A		8,871		289
Briggs & Stratton (A)		900		21
Brink’s		41,500		1,114
Carlisle		26,540		1,736
Celadon Group		12,700		248
Chart Industries *		12,895		1,254
CIRCOR International		18,420		941
CLARCOR		15,277		829
Clean Harbors *		7,522		430
Comfort Systems USA		27,586		381
Consolidated Graphics *		3,600		168


Description	Shares		Market Value ($ Thousands)

Corporate Executive Board		21,829	$	1,336
CRA International *		13,945		250
Cubic		22,336		1,063
Curtiss-Wright		38,016		1,382
Deluxe		12,000		449
DigitalGlobe *		53,628		1,621
Ducommun *		8,800		171
DXP Enterprises *		7,870		465
Dycom Industries *		67,845		1,544
EMCOR Group		74,220		2,950
Encore Wire		11,400		394
EnerSys		1,900		95
Ennis		7,900		135
EnPro Industries * (A)		9,363		472
Exponent		3,500		196
Flow International *		115,000		456
Fortune Brands Home & Security		26,670		1,127
FreightCar America		8,500		154
FTI Consulting * (A)		87,203		3,313
G&K Services, Cl A		48,416		2,339
Genco Shipping & Trading * (A)		4,800		8
Generac Holdings *		19,350		784
General Cable		17,312		612
Genesee & Wyoming, Cl A *		36,814		3,278
Gibraltar Industries *		16,200		263
Global Brass & Copper Holdings *		16,500		218
Global Power Equipment Group (A)		45,800		728
Graco		14,710		948
GrafTech International * (A)		231,601		1,943
Granite Construction		31,400		969
Great Lakes Dredge & Dock		113,100		939
Greenbrier *		5,000		117
H&E Equipment Services * (A)		3,600		81
Hawaiian Holdings * (A)		115,300		687
Heico, Cl A		47,405		1,754
HEICO		12,662		641
Heritage-Crystal Clean * (A)		58,360		878
Hexcel *		102,817		3,575
Hub Group, Cl A *		39,632		1,439
Hyster-Yale Materials Handling		5,400		334
ICF International *		33,600		1,013
IDEX		15,725		866
Insperity		15,500		467
Interface, Cl A		92,636		1,556
ITT		11,400		344
JetBlue Airways * (A)		49,100		305
John Bean Technologies		12,400		268
Kadant		40,413		1,209
Kaman		8,500		288
KAR Auction Services		30,431		714
Kaydon		42,271		1,143
Kelly Services, Cl A		18,800		333
Kennametal		9,682		420
KEYW Holding * (A)		47,599		702
Kforce *		33,600		500
Kirby *		22,584		1,763
Korn/Ferry International *		3,800		67
Landstar System		22,148		1,169
Layne Christensen *		4,300		92
LB Foster, Cl A		6,900		306


Description	Shares		Market Value ($ Thousands)

Lennox International		8,393	$	537
Lincoln Electric Holdings		17,370		1,039
Lindsay Manufacturing (A)		8,968		729
LS Starrett, Cl A		700		7
Marten Transport		34,710		833
Meritor *		89,800		650
Metalico *		26,000		37
Middleby *		13,080		2,138
Miller Industries		6,700		110
Mine Safety Appliances		5,700		285
Mobile Mini *		19,949		671
Moog, Cl A *		15,436		773
MSC Industrial Direct, Cl A		9,366		774
Mueller Industries		8,600		468
Mueller Water Products, Cl A		68,200		519
MYR Group *		26,700		540
National Presto Industries		1,500		115
Navigant Consulting *		42,800		564
Nordson		19,982		1,423
Northwest Pipe *		14,860		409
Old Dominion Freight Line *		64,181		2,764
Orbital Sciences *		23,300		424
Orion Marine Group *		117,405		1,410
Pacer International *		25,400		155
Pitney Bowes (A)		27,000		396
Ply Gem Holdings *		14,729		340
Polypore International * (A)		34,902		1,313
Quad, Cl A (A)		29,700		692
Rand Logistics *		24,000		134
RBC Bearings *		13,052		639
Regal-Beloit		8,578		579
Resources Connection		34,500		378
Ritchie Bros Auctioneers (A)		64,905		1,344
Rush Enterprises, Cl A * (A)		41,417		1,064
Ryder System		29,700		1,872
Saia *		44,242		2,114
Simpson Manufacturing (A)		17,525		513
SkyWest		34,864		489
Spirit Aerosystems Holdings, Cl A *		1,700		37
Spirit Airlines *		35,730		1,087
Standard Parking *		53,733		1,199
Standex International		3,500		183
Steelcase, Cl A		140,112		1,939
Swift Transportation, Cl A *		125,830		2,119
TAL International Group (A)		4,500		190
Taser International *		55,600		528
Teledyne Technologies *		7,358		568
Tennant		11,456		565
Terex *		14,300		513
Tetra Tech *		68,217		1,881
Titan Machinery * (A)		4,000		82
TMS International, Cl A		60,400		916
Towers Watson, Cl A		20,182		1,568
Trex * (A)		19,680		1,094
Trimas *		21,363		689
Triumph Group		11,708		909
TrueBlue *		86,790		2,043
Tutor Perini *		105,300		1,950
UniFirst		1,000		95
United Rentals * (A)		19,645		1,117
United Stationers		6,900		238


Description	Shares		Market Value ($ Thousands)

US Ecology		37,220	$	1,019
USG * (A)		30,478		833
Valmont Industries		7,010		1,068
Wabash National *		63,700		669
Wabtec		19,902		2,189
WageWorks *		11,862		344
Watsco (A)		10,980		958
Watts Water Technologies, Cl A		15,034		716
Werner Enterprises		22,420		561
WESCO International * (A)		28,969		2,151
Woodward		16,000		626

				139,804


Information Technology — 17.3%
Active Network * (A)		2,200		15
Actuate *		50,600		342
Acxiom *		29,890		657
ADTRAN		89,833		2,077
Advanced Energy Industries *		40,300		741
Advent Software *		2,535		84
Amkor Technology * (A)		79,900		363
Amtech Systems *		1,300		7
Arrow Electronics *		22,300		887
Aruba Networks *		60,260		900
Aspen Technology *		63,286		1,938
Atmel *		67,375		530
Benchmark Electronics *		47,497		926
Black Box		14,900		401
Blackbaud		60,528		1,836
Blackhawk Network Holdings, Cl A *		2,449		58
Blucora *		27,200		496
Broadridge Financial Solutions		78,375		2,127
BroadSoft * (A)		21,840		605
Brooks Automation		7,200		77
CACI International, Cl A * (A)		24,410		1,566
Cadence Design Systems (A) *		190,166		2,877
Calix *		63,700		667
Cavium (A) *		94,936		3,110
Ceva *		6,200		104
ChannelAdvisor *		8,410		143
CIBER *		229,400		936
Ciena * (A)		59,633		998
Coherent *		9,024		518
CommVault Systems *		13,032		912
Comtech Telecommunications		28,438		751
Convergys		57,186		1,039
Cornerstone OnDemand * (A)		37,986		1,544
CoStar Group * (A)		22,444		2,509
Cray *		24,300		442
CSG Systems International *		37,300		807
Cyan *		52,269		698
Dealertrack Technologies *		89,300		2,879
Demandware * (A)		37,150		1,137
Dice Holdings * (A)		2,200		20
Diebold		71,502		2,303
Digi International *		90,600		869
Digital River *		19,700		344
Diodes *		22,700		536
DTS *		40,318		797
EarthLink		213,615		1,267
Electronics for Imaging *		3,800		106


Description	Shares		Market Value ($ Thousands)

Ellie Mae *		19,400	$	434
Emulex *		133,229		830
Entegris *		27,300		284
Envestnet *		148,275		3,407
Euronet Worldwide *		39,697		1,211
ExactTarget *		25,296		582
Exar *		121,400		1,369
ExlService Holdings *		22,502		660
Fairchild Semiconductor International, Cl A *		107,971		1,567
FARO Technologies *		1,800		67
FleetMatics Group *		30,116		896
FormFactor *		37,000		218
Forrester Research		6,100		221
Fortinet *		35,120		676
Fusion-io * (A)		21,130		306
Genpact *		26,290		509
Global Cash Access Holdings *		46,400		306
GT Advanced Technologies * (A)		23,400		104
Guidewire Software *		69,206		2,835
Harmonic *		62,300		380
Hittite Microwave *		23,419		1,271
Imation *		12,000		49
Imperva *		16,320		650
Infinera * (A)		139,549		1,469
Infoblox *		137,614		3,348
Inphi *		79,726		814
Insight Enterprises *		32,300		622
Integrated Device Technology *		85,053		725
Interactive Intelligence Group * (A)		23,196		1,165
Intermec *		20,800		205
Internap Network Services *		80,269		640
International Rectifier * (A)		31,650		696
Intersil, Cl A		71,000		582
IntraLinks Holdings *		39,345		242
InvenSense, Cl A * (A)		84,937		1,094
Itron *		4,000		168
j2 Global (A)		13,856		567
Kemet *		20,300		93
Lender Processing Services		9,300		308
Lexmark International, Cl A (A)		25,300		772
Limelight Networks *		105,000		249
Liquidity Services * (A)		19,108		764
LivePerson *		134,846		1,246
LTX-Credence *		26,800		152
Manhattan Associates *		9,300		698
Marin Software * (A)		9,823		118
Maxwell Technologies * (A)		14,700		106
Measurement Specialties *		40,962		1,821
Mentor Graphics		24,200		460
Micrel		2,200		22
MicroStrategy, Cl A *		6,824		624
MKS Instruments		31,797		895
Model N * (A)		29,625		599
Monolithic Power Systems		8,977		221
Monotype Imaging Holdings		2,100		48
Move *		28,750		327
MTS Systems		5,200		314
Multi-Fineline Electronix *		8,850		141
Nanometrics *		33,300		481
National Instruments		7,208		205


Description	Shares		Market Value ($ Thousands)

Netscout Systems *		5,700	$	139
NetSuite * (A)		5,200		456
Newport *		25,900		341
NIC		7,500		125
NICE Systems ADR		7,450		275
ON Semiconductor *		59,960		513
OpenTable * (A)		7,250		484
Oplink Communications *		800		14
OSI Systems *		11,900		688
Palo Alto Networks * (A)		7,830		380
Pandora Media * (A)		32,290		550
Park Electrochemical		16,100		389
Photronics *		54,700		417
Plantronics		20,772		960
PLX Technology *		34,700		157
Power Integrations (A)		9,060		387
Power-One *		62,400		395
PRGX Global *		94,600		518
Progress Software *		40,800		959
PROS Holdings *		6,300		182
PTC *		95,989		2,410
Pulse Electronics * (A)		2,300		7
QLogic *		86,400		842
Quantum * (A)		84,100		130
Rally Software Development *		28,729		630
RealD * (A)		53,339		805
RealNetworks *		1,050		8
RealPage * (A)		95,109		1,811
RF Micro Devices *		163,425		902
Ruckus Wireless * (A)		30,250		379
Rudolph Technologies *		35,280		432
Saba Software *		105,800		913
Sanmina *		22,100		300
Semtech *		32,540		1,189
ServiceSource International *		58,060		473
Silicon Image *		12,600		77
SolarWinds *		8,381		353
Solera Holdings		7,313		401
Sonus Networks *		286,671		920
Sourcefire *		27,752		1,553
Spansion, Cl A *		14,500		199
Splunk *		12,120		567
SPS Commerce *		23,067		1,245
SS&C Technologies Holdings *		81,870		2,590
STEC *		16,800		59
Stratasys * (A)		7,577		637
Sykes Enterprises * (A)		61,400		971
Synaptics *		19,090		788
SYNNEX * (A)		7,200		292
Tableau Software, Cl A *		9,606		491
Tangoe * (A)		69,710		1,039
Tech Data *		31,400		1,574
TeleCommunication Systems, Cl A *		77,200		181
TeleTech Holdings *		25,800		580
Tellabs		256,100		530
Teradyne * (A)		50,150		900
Tessco Technologies		9,400		215
Travelzoo *		8,800		253
Trulia * (A)		39,492		1,214
Tyler Technologies *		8,728		602
Ultimate Software Group * (A)		5,825		648


Description	Shares		Market Value ($ Thousands)

Ultra Clean Holdings *		39,320	$	228
Ultratech *		51,200		1,867
Unisys *		18,600		384
United Online (A)		126,900		864
Veeco Instruments * (A)		21,905		928
Vishay Intertechnology * (A)		15,733		229
VistaPrint * (A)		25,706		1,181
Vocus *		5,100		45
Volterra Semiconductor *		14,500		204
WebMD Health, Cl A *		4,600		136
Websense *		37,300		927
WEX *		13,897		1,027
Yelp, Cl A * (A)		12,327		367
Zebra Technologies, Cl A *		14,909		681
Zillow, Cl A * (A)		3,488		196

				134,482


Materials — 3.4%
A. Schulman		19,800		572
Allegheny Technologies		15,960		440
Boise * (A)		98,200		791
Cabot		14,300		585
Century Aluminum *		27,100		269
Chemtura *		12,700		291
Coeur Mining *		7,600		108
Compass Minerals International (A)		11,685		1,020
Cytec Industries		7,257		519
Ferro *		47,000		322
Glatfelter		27,800		688
Globe Specialty Metals		11,600		142
Greif, Cl A		12,583		656
GSE Holding *		134,118		857
H.B. Fuller		39,700		1,650
Haynes International		5,300		259
Headwaters *		80,900		858
Horsehead Holding * (A)		43,200		497
Innophos Holdings		13,068		661
Innospec *		25,100		1,030
Intrepid Potash * (A)		70,612		1,326
Koppers Holdings		2,000		82
Kraton Performance Polymers *		13,500		280
LSB Industries *		14,200		480
Materion		4,300		128
McEwen Mining * (A)		30,500		78
Minerals Technologies		30,270		1,290
Myers Industries		8,500		125
Neenah Paper		17,200		540
Noranda Aluminum Holding		88,000		356
Olin		18,700		466
OM Group *		4,000		117
Owens-Illinois *		24,546		674
PolyOne		81,500		2,094
Rock Tenn, Cl A		400		40
RTI International Metals * (A)		35,271		1,023
Schnitzer Steel Industries, Cl A (A)		37,900		936
Schweitzer-Mauduit International		8,600		413
Scotts Miracle-Gro, Cl A (A)		11,688		553
Sensient Technologies		43,393		1,791
Silgan Holdings		21,044		984


Description	Shares		Market Value ($ Thousands)

Wausau Paper		2,400	$	28
Worthington Industries (A)		4,900		168

				26,187


Telecommunication Services — 0.3%
Atlantic Telegraph-Network		11,600		578
Boingo Wireless * (A)		78,700		570
Iridium Communications * (A)		24,000		171
Neutral Tandem		19,800		115
USA Mobility		16,000		216
Vonage Holdings *		114,600		314

				1,964


Utilities — 1.8%
ALLETE		10,210		483
American States Water		1,700		90
Cadiz * (A)		64,700		380
California Water Service Group		9,400		186
CH Energy Group		900		58
Chesapeake Utilities		7,129		377
Cleco		31,778		1,446
Dynegy * (A)		8,200		200
El Paso Electric		8,900		319
Empire District Electric (A)		22,000		478
Great Plains Energy		62,465		1,410
IDACORP		14,775		698
Laclede Group (A)		18,700		885
MGE Energy		2,400		128
NorthWestern		17,500		721
Otter Tail		2,200		60
Piedmont Natural Gas		21,900		740
PNM Resources		32,165		721
Portland General Electric		79,053		2,406
Southwest Gas		10,931		518
UIL Holdings (A)		13,771		537
UNS Energy		8,900		417
Westar Energy		8,259		262
WGL Holdings		17,834		765

				14,285

Total Common Stock (Cost $649,008) ($ Thousands)				748,201


EXCHANGE TRADED FUNDS — 1.1%
iShares Russell 2000 Growth Index Fund (A)		31,929		3,592
iShares Russell 2000 Index Fund (A)		17,458		1,708
iShares Russell 2000 Value Index Fund (A)		45,600		3,936

Total Exchange Traded Funds (Cost $8,624) ($ Thousands)				9,236


	Number Of Warrants
WARRANTS — 0.0%
Dynegy, Expires 2017 *		2,629		5
Magnum Hunter Resource, Expires 08/29/14 *		5,126		—

Total Warrants (Cost $32) ($ Thousands)				5


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

CONVERTIBLE BOND — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/2014 (E)	$	2,856	$	3

Total Convertible Bond (Cost $445) ($ Thousands)				3


AFFILIATED PARTNERSHIP — 22.2%
SEI Liquidity Fund, L.P. 0.100% **† (F)		173,278,252		173,278

Total Affiliated Partnership (Cost $173,278) ($ Thousands)				173,278


CASH EQUIVALENT — 3.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% **†		27,185,676		27,186

Total Cash Equivalent (Cost $27,186) ($ Thousands)				27,186


U.S. TREASURY OBLIGATIONS (G)(H) — 0.5%
U.S. Treasury Bills
0.075%, 06/27/2013		240		240
0.053%, 07/25/2013		3,450		3,450

Total U.S. Treasury Obligations (Cost $3,690) ($ Thousands)				3,690

Total Investments — 123.4% (Cost $862,263) ($ Thousands)			$	961,599

The open futures contracts held by the Fund at May 31, 2013, are as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		50		Jun-2013	$	(47	)

Percentages are based on a Net Assets of $778,976 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

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 May 31, 2013. The total value of securities on loan at May 31, 2013 was $166,755 ($ Thousands).

(B)

Securities considered illiquid. The total value of such securities as of May 31, 2013 was $105 ($ Thousands) and represented 0.01% of Net Assets.

(C)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2013 was $105 ($ Thousands) and represented 0.01% of Net Assets.

(D)

Securities considered restricted. The total value of such securities as of May 31, 2013 was $105 ($ Thousands) and represented 0.01% of Net Assets.

(E)

Security in default on interest payments.

(F)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $173,278 ($ Thousands).

(G)

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

(H)

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

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

NY — New York

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands).


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Common Stock	$	748,096	$	105	$	—	$	748,201
Exchange Traded Funds		9,236		—		—		9,236
Warrants		5		—		—		5
Convertible Bond		—		—		3		3
Affiliated Partnership		—		173,278		—		173,278
Cash Equivalent		27,186		—		—		27,186
U.S. Treasury Obligations		—		3,690		—		3,690

Total Investments in Securities	$	784,523	$	177,073	$	3	$	961,599


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts^*	$	(47	)	$	—	$	—	$	(47	)

(1)

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets.

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 99.1%

Consumer Discretionary — 16.4%
Aaron’s		14,910	$	419
Aeropostale *		15,613		228
America’s Car-Mart *		2,600		117
Ameristar Casinos		3,800		100
ANN *		19,581		601
Arctic Cat		9,773		458
Beazer Homes USA * (A)		22,051		456
Belo, Cl A		45,180		507
Biglari Holdings *		650		262
BJ’s Restaurants * (A)		18,478		694
Bravo Brio Restaurant Group *		12,000		216
Bright Horizons Family Solutions *		14,249		514
Brown Shoe		23,300		485
Brunswick		18,371		617
Cabela’s *		12,850		862
Callaway Golf (A)		32,954		226
Capella Education *		4,100		179
Career Education *		62,700		187
Carmike Cinemas *		8,400		149
Cato, Cl A		10,300		256
Cheesecake Factory (A)		12,570		502
Children’s Place Retail Stores *		400		21
Columbia Sportswear		3,656		220
Conn’s *		13,293		654
Cooper Tire & Rubber		11,665		301
Core-Mark Holding		8,000		474
Corinthian Colleges * (A)		92,800		241
Cracker Barrel Old Country Store		1,100		98
Destination Maternity		13,200		329
Dick’s Sporting Goods		6,365		333
Dorman Products (A)		10,216		455
Drew Industries		11,780		445
Ethan Allen Interiors (A)		9,822		308
Express *		23,154		505
Five Below * (A)		8,012		306
Francesca’s Holdings * (A)		28,297		808
Fred’s, Cl A		13,800		219
GameStop, Cl A (A)		16,688		553
G-III Apparel Group *		1,000		42
Grand Canyon Education *		22,561		725
Helen of Troy *		8,700		345
hhgregg *		12,800		200
Hibbett Sports *		9,425		537
HomeAway *		24,171		739
Hot Topic		1,800		25
Hovnanian Enterprises, Cl A * (A)		42,100		258
Imax * (A)		9,625		249
Jack in the Box *		18,019		658
JAKKS Pacific		3,915		40
Krispy Kreme Doughnuts *		21,100		365
Lions Gate Entertainment * (A)		12,600		363
LKQ *		18,120		444
Loral Space & Communications		5,100		307
Lumber Liquidators Holdings * (A)		8,110		666
M/I Homes *		7,400		184


Description	Shares		Market Value ($ Thousands)

Maidenform Brands *		3,100	$	56
Matthews International, Cl A		10,186		391
Mattress Firm Holding *		1,150		41
Men’s Wearhouse		5,862		212
Modine Manufacturing *		19,500		200
Monro Muffler (A)		14,129		664
Movado Group		21,630		781
Multimedia Games Holding *		9,600		246
NACCO Industries, Cl A		2,400		134
National CineMedia		23,010		382
New York Times, Cl A *		6,800		72
Nutrisystem (A)		14,500		131
Office Depot * (A)		30,800		136
OfficeMax		3,400		44
Orient-Express Hotels, Cl A *		39,624		469
Oxford Industries (A)		12,764		838
Panera Bread, Cl A * (A)		2,665		511
Papa John’s International *		2,400		155
Perry Ellis International		8,800		186
PetMed Express (A)		28,100		376
Pier 1 Imports (A)		50,177		1,164
Red Robin Gourmet Burgers *		11,847		622
Regis (A)		8,747		161
Restoration Hardware Holdings *		5,617		314
Ryland Group (A)		12,320		558
Scholastic		6,200		187
Scientific Games, Cl A *		16,670		182
Shutterfly *		23,327		1,137
Six Flags Entertainment		6,890		514
Smith & Wesson Holding * (A)		21,400		195
Sonic *		23,400		307
Standard Motor Products		11,000		372
Standard Pacific * (A)		52,886		468
Steiner Leisure *		4,800		244
Steven Madden *		11,390		552
Stewart Enterprises, Cl A		22,700		295
Tenneco *		10,230		454
Vail Resorts (A)		6,100		391
Vitamin Shoppe * (A)		12,599		551
Wet Seal, Cl A *		91,900		456
Winnebago Industries *		2,400		50
Zumiez * (A)		21,429		682

				36,333


Consumer Staples — 3.6%
Andersons		7,600		387
Casey’s General Stores (A)		11,298		686
Central Garden and Pet, Cl A *		11,211		85
Chefs’ Warehouse *		14,540		275
Chiquita Brands International *		44,000		444
Darling International *		33,172		650
Dole Food * (A)		13,813		131
Elizabeth Arden *		10,760		507
Fresh Del Monte Produce		23,700		634
Fresh Market *		10,453		518
Ingredion		3,830		261
Lancaster Colony		500		41
Medifast * (A)		7,600		219
Pantry *		17,716		222
Pilgrim’s Pride *		30,500		365
Post Holdings *		1,200		51


Description	Shares		Market Value ($ Thousands)

Prestige Brands Holdings *		11,497	$	338
Rite Aid *		122,300		360
Sanderson Farms (A)		4,416		304
Snyders-Lance		15,490		401
Spectrum Brands Holdings		1,300		78
TreeHouse Foods *		4,353		285
USANA Health Sciences * (A)		6,700		470
WD-40		3,300		179
Weis Markets		1,800		74

				7,965


Energy — 5.7%
Bristow Group (A)		5,000		314
Clayton Williams Energy *		700		31
Cloud Peak Energy *		12,700		244
Comstock Resources		3,500		57
CVR Energy		4,100		258
Delek US Holdings		5,100		184
Dril-Quip *		4,900		443
Emerald Oil *		22,442		137
Energy XXI Bermuda (A)		23,600		603
EPL Oil & Gas *		11,300		344
Forest Oil * (A)		4,700		21
Forum Energy Technologies * (A)		19,919		591
Goodrich Petroleum * (A)		11,701		147
Green Plains Renewable Energy *		6,500		103
Gulfmark Offshore, Cl A (A)		10,230		469
Halcon Resources * (A)		66,568		352
Helix Energy Solutions Group *		19,171		457
Hornbeck Offshore Services *		6,629		345
Key Energy Services *		32,705		212
Knightsbridge Tankers (A)		7,300		51
Kodiak Oil & Gas * (A)		8,600		76
Laredo Petroleum Holdings * (A)		19,423		376
Matador Resources * (A)		25,280		252
McDermott International *		35,197		336
Mitcham Industries *		7,100		111
Oasis Petroleum *		32,685		1,215
Oceaneering International		6,200		449
Oil States International *		2,960		292
Parker Drilling *		44,700		199
Penn Virginia		40,000		186
PetroQuest Energy *		27,100		124
Pioneer Energy Services *		59,212		413
Quicksilver Resources * (A)		19,000		42
Rentech		61,700		136
Rosetta Resources *		15,886		744
Ship Finance International (A)		20,400		346
Stone Energy *		11,800		266
Swift Energy * (A)		26,839		364
Targa Resources		900		58
Tesco *		26,200		334
TETRA Technologies *		2,900		30
Triangle Petroleum *		12,400		67
Vaalco Energy *		43,300		265
W&T Offshore (A)		800		12
Western Refining (A)		7,000		234
Willbros Group *		36,600		246

				12,536


Description	Shares		Market Value ($ Thousands)

Financials — 19.5%
Affiliated Managers Group *		2,770	$	454
American Assets Trust		1,900		61
AMERISAFE		1,000		34
Amtrust Financial Services (A)		12,846		424
Argo Group International Holdings		12,210		484
Associated Estates Realty ‡		27,680		455
Banco Latinoamericano de Comercio Exterior, Cl E		15,800		362
Bank of the Ozarks (A)		16,100		703
BankUnited		17,847		439
Banner		11,975		384
BBCN Bancorp		16,790		216
BGC Partners, Cl A		4,200		23
BlackRock Kelso Capital		33,500		334
Boston Private Financial Holdings (A)		15,615		154
Brandywine Realty Trust		39,090		554
Brookline Bancorp		6,000		51
Campus Crest Communities		15,800		200
Capital Bank Financial, Cl A *		11,790		211
Cardinal Financial		9,728		147
CBL & Associates Properties		12,519		288
Chesapeake Lodging Trust ‡		18,600		419
City Holding		7,300		289
CNO Financial Group		11,600		143
Colonial Properties Trust ‡		25,520		564
Columbia Banking System (A)		30,120		658
Community Bank System (A)		1,900		56
Coresite Realty ‡		8,100		260
Cousins Properties ‡		24,400		252
Credit Acceptance *		1,759		200
DiamondRock Hospitality ‡		65,480		623
DuPont Fabros Technology ‡ (A)		22,820		553
Eagle Bancorp *		14,421		325
EastGroup Properties ‡		12,718		747
Education Realty Trust ‡		28,057		293
Employers Holdings		26,407		653
Encore Capital Group * (A)		2,500		89
Endurance Specialty Holdings		22,079		1,111
Equity One ‡ (A)		16,899		394
Evercore Partners, Cl A		13,940		554
Federated Investors, Cl B (A)		11,146		308
First American Financial		8,000		191
First Commonwealth Financial		36,300		262
First Horizon National (A)		37,779		434
First Industrial Realty Trust ‡		2,600		44
First Midwest Bancorp		36,559		481
First NBC Bank Holding *		7,553		190
FirstMerit		21,658		409
Forestar Group *		3,700		85
Fulton Financial		43,760		503
Geo Group ‡		7,900		275
Getty Realty ‡ (A)		4,400		92
Glimcher Realty Trust ‡		42,700		499
Government Properties Income Trust ‡		1,800		44
Hancock Holding		17,644		504
Hanover Insurance Group		22,385		1,124


Description	Shares		Market Value ($ Thousands)

Healthcare Realty Trust ‡		5,100	$	136
Hercules Technology Growth Capital		9,500		127
Home BancShares (A)		4,300		181
Horace Mann Educators		40,786		991
Hudson Pacific Properties ‡		1,400		30
Iberiabank		22,550		1,162
Infinity Property & Casualty		11,856		685
Inland Real Estate ‡ (A)		52,100		535
International Bancshares (A)		4,400		96
Investment Technology Group *		19,300		267
Investors Bancorp		10,856		215
Jones Lang LaSalle		2,760		253
Lexington Realty Trust ‡ (A)		41,271		520
LTC Properties ‡		5,400		225
Markel *		51		27
Medical Properties Trust ‡		28,660		425
MFA Mortgage Investments ‡		56,030		492
MGIC Investment *		9,400		58
Mid-America Apartment Communities ‡		6,329		430
Montpelier Re Holdings		19,500		487
National Health Investors ‡		900		56
National Penn Bancshares (A)		18,335		181
NBT Bancorp (A)		14,700		292
Nelnet, Cl A		14,200		555
Ocwen Financial *		6,100		261
OFG Bancorp		11,780		209
Oritani Financial		14,800		227
PacWest Bancorp (A)		19,358		558
Pebblebrook Hotel Trust ‡		14,157		371
PennantPark Investment		13,600		152
Pennsylvania Real Estate Investment Trust ‡		5,100		101
Pinnacle Financial Partners *		6,500		163
Piper Jaffray *		10,300		368
Platinum Underwriters Holdings		23,234		1,327
Potlatch ‡		3,400		154
Primerica *		6,600		232
ProAssurance		8,879		446
Prospect Capital		51,800		538
Prosperity Bancshares (A)		8,090		405
Provident Financial Services		14,300		218
PS Business Parks ‡		2,400		183
Ramco-Gershenson Properties ‡		33,500		523
Reinsurance Group of America, Cl A		5,858		386
Retail Opportunity Investments ‡		7,400		104
RLJ Lodging Trust ‡		8,000		185
Sabra Health Care ‡ (A)		15,000		406
Signature Bank NY *		5,710		441
Silver Bay Realty Trust ‡		595		11
Solar Capital		17,500		402
Sovran Self Storage ‡		2,000		130
STAG Industrial ‡		14,600		321
Starwood Property Trust ‡		6,300		160
Stifel Financial * (A)		12,192		439
Sun Communities ‡		7,390		369
Susquehanna Bancshares		74,698		897
SVB Financial Group *		4,732		366


Description	Shares		Market Value ($ Thousands)

Symetra Financial		16,700	$	233
Synovus Financial		51,985		142
Tanger Factory Outlet Centers ‡		9,767		337
TCF Financial (A)		23,926		345
Texas Capital Bancshares *		13,728		606
TICC Capital (A)		39,300		386
Tower Group International		6,000		116
Two Harbors Investment ‡		12,200		135
Umpqua Holdings		2,200		30
ViewPoint Financial Group		12,600		239
Washington Federal		24,750		433
Webster Financial		25,320		591
Wilshire Bancorp		44,700		295
Zions Bancorporation (A)		12,607		354

				43,327


Health Care — 13.6%
Acadia Healthcare *		33,767		1,127
Accuray * (A)		5,600		30
Acorda Therapeutics *		2,600		87
Affymax * (A)		55,000		114
Akorn * (A)		55,172		802
Align Technology *		10,430		373
Alkermes *		11,900		372
AMAG Pharmaceuticals *		2,000		37
Amedisys *		17,100		211
Amsurg, Cl A *		24,911		885
Analogic		9,580		761
Arena Pharmaceuticals * (A)		6,000		53
Arqule *		31,600		86
Array BioPharma *		31,400		183
ArthroCare *		2,000		68
athenahealth *		3,504		296
AVEO Pharmaceuticals *		8,600		22
BioScrip *		31,661		443
Cantel Medical		6,500		221
Celldex Therapeutics *		10,659		136
Centene *		8,590		425
Cepheid * (A)		4,140		144
Charles River Laboratories International *		17,736		768
Chemed		900		63
Computer Programs & Systems		2,800		140
CONMED		8,900		293
Coronado Biosciences * (A)		20,292		200
Cubist Pharmaceuticals * (A)		8,414		462
DexCom *		26,813		558
Dynavax Technologies *		35,500		93
Emergent Biosolutions *		27,400		389
Endocyte * (A)		19,400		266
Ensign Group		7,300		263
Exact Sciences *		3,000		34
ExamWorks Group *		20,987		392
Furiex Pharmaceuticals *		8,125		300
Gentiva Health Services *		31,800		339
Greatbatch *		2,900		93
HealthSouth *		38,552		1,129
HeartWare International * (A)		5,080		464
Hi-Tech Pharmacal		500		16
HMS Holdings *		28,092		699
Hyperion Therapeutics *		7,564		152


Description	Shares		Market Value ($ Thousands)

ICON *		15,755	$	541
ICU Medical *		9,700		692
Impax Laboratories *		10,000		189
Infinity Pharmaceuticals *		10,818		292
Integra LifeSciences Holdings *		1,700		64
Intercept Pharmaceuticals *		3,190		107
Invacare		10,800		167
IPC The Hospitalist *		8,322		406
Isis Pharmaceuticals * (A)		24,030		520
Jazz Pharmaceuticals *		8,680		590
Keryx Biopharmaceuticals * (A)		74,903		600
Kindred Healthcare *		3,700		50
LHC Group *		13,800		303
Masimo *		19,760		428
MEDNAX *		7,474		694
Momenta Pharmaceuticals *		4,600		60
MWI Veterinary Supply *		1,100		134
NewLink Genetics * (A)		12,791		209
NPS Pharmaceuticals *		13,800		217
NuVasive *		2,800		61
Onyx Pharmaceuticals * (A)		5,265		503
Optimer Pharmaceuticals * (A)		17,181		256
OraSure Technologies *		16,700		73
Orexigen Therapeutics *		81,952		519
Orthofix International *		8,600		238
Pacira Pharmaceuticals * (A)		12,937		379
PAREXEL International *		19,212		878
PDL BioPharma (A)		88,200		728
PerkinElmer		11,039		346
Pharmacyclics *		3,290		301
PharMerica *		18,100		283
Pozen *		25,100		133
Puma Biotechnology *		4,209		164
Repros Therapeutics * (A)		7,330		127
Rigel Pharmaceuticals *		33,100		153
Santarus *		24,600		548
Sarepta Therapeutics * (A)		3,540		125
Sciclone Pharmaceuticals *		63,900		307
Select Medical Holdings		22,000		174
Sirona Dental Systems *		7,270		516
Spectranetics *		25,111		470
STERIS		1,300		59
Synageva BioPharma *		3,140		129
Team Health Holdings *		28,047		1,096
Teleflex		3,331		261
TESARO *		5,560		190
Threshold Pharmaceuticals * (A)		29,300		168
Trius Therapeutics *		21,430		164
WellCare Health Plans *		5,205		271
West Pharmaceutical Services		700		48
Wright Medical Group *		2,100		53
XenoPort *		38,700		213

				30,186


Industrials — 17.2%
Actuant, Cl A (A)		50,650		1,722
Advisory Board *		4,332		229
Aegion, Cl A *		1,900		43
Aircastle		22,100		350
Albany International, Cl A		5,300		168
Altra Holdings		4,900		141


Description	Shares		Market Value ($ Thousands)

AMERCO		100	$	17
American Science & Engineering		2,100		126
Apogee Enterprises		15,100		403
Atlas Air Worldwide Holdings *		2,300		107
Avis Budget Group *		7,173		238
Beacon Roofing Supply * (A)		21,586		890
Belden		15,763		842
Brady, Cl A		5,589		182
Carlisle		7,590		496
Chart Industries *		11,030		1,073
CIRCOR International		11,370		581
CLARCOR		6,935		376
Consolidated Graphics *		1,800		84
Con-way		10,650		405
Corporate Executive Board		9,891		605
Curtiss-Wright		21,247		773
Deluxe		500		19
DigitalGlobe *		24,358		736
Dycom Industries *		35,320		803
EMCOR Group		4,700		187
EnerSys		1,600		80
EnPro Industries * (A)		4,844		244
Esterline Technologies *		8,800		646
Exponent		1,800		101
FreightCar America		2,300		42
G&K Services, Cl A		18,895		913
General Cable		8,971		317
Genesee & Wyoming, Cl A *		17,628		1,570
Granite Construction		3,300		102
H&E Equipment Services		17,200		385
Hexcel *		38,512		1,339
IDEX		8,340		459
Insperity		9,400		283
Interface, Cl A		38,184		641
John Bean Technologies		9,200		199
Kadant		6,168		185
KAR Auction Services		15,744		369
Kaydon		8,306		225
Kelly Services, Cl A		2,400		42
KEYW Holding * (A)		25,244		372
Kforce *		18,400		274
Kirby *		7,593		593
Lennox International		3,806		244
Lincoln Electric Holdings		9,210		551
Lindsay Manufacturing (A)		4,080		331
Manitowoc (A)		20,890		439
MasTec * (A)		20,220		643
Meritor *		7,200		52
Middleby *		3,595		588
Mine Safety Appliances		3,900		195
Mistras Group *		1,200		26
Mobile Mini *		9,039		304
Mueller Industries		3,900		212
Mueller Water Products, Cl A		45,600		347
MYR Group *		16,600		336
Navigant Consulting *		10,600		140
Old Dominion Freight Line *		7,281		313
On Assignment *		15,050		392
Orbital Sciences *		27,460		499
Orion Marine Group *		18,977		228


Description	Shares		Market Value ($ Thousands)

Ply Gem Holdings *		3,458	$	80
Primoris Services		11,500		245
Proto Labs * (A)		3,910		216
RBC Bearings *		6,860		336
Regal-Beloit		4,438		300
Resources Connection		21,300		233
Saia *		12,200		583
SkyWest		7,600		107
Standex International		3,500		183
Steelcase, Cl A		44,295		613
Swift Transporation, Cl A *		41,377		697
Taser International *		29,000		275
Team *		1,000		36
Teledyne Technologies *		8,979		693
Terex *		7,410		266
Tetra Tech *		19,719		544
Towers Watson, Cl A		4,854		377
Trex *		10,130		563
Trimas *		11,103		358
Triumph Group		6,067		471
TrueBlue *		32,610		768
Tutor Perini *		1,300		24
UniFirst		500		47
United Rentals * (A)		10,420		592
US Ecology		16,864		462
USG *		13,809		377
Valmont Industries		3,720		567
WageWorks *		5,376		156
Watts Water Technologies, Cl A		7,813		372
WESCO International * (A)		4,261		316
Woodward Governor		10,703		419

				38,093


Information Technology — 16.5%
ACI Worldwide *		11,150		519
Active Network * (A)		9,800		66
Actuate *		34,100		230
Advanced Energy Industries *		18,900		348
Aruba Networks *		13,790		206
Aspen Technology *		31,321		959
ATMI *		2,400		57
Benchmark Electronics *		8,300		162
Black Box		6,400		172
Blucora *		16,300		297
CACI International, Cl A * (A)		3,333		214
Cadence Design Systems *		40,474		612
Calix *		21,800		228
Cardtronics *		14,530		415
Cavium (A) *		34,538		1,131
Ceva *		5,900		99
Ciena * (A)		31,631		529
Cognex		7,640		343
Coherent		4,677		268
CommVault Systems *		3,378		236
comScore *		5,700		113
Comtech Telecommunications		4,713		124
Convergys		18,151		330
CoStar Group (A) *		9,141		1,022
Cray *		11,000		200
CSG Systems International *		13,800		298
Cyan *		12,112		162


Description	Shares		Market Value ($ Thousands)

Dealertrack Technologies *		31,079	$	1,002
Demandware * (A)		8,930		273
Dice Holdings *		2,700		24
Diebold		14,444		465
Digital River *		8,000		140
EarthLink		23,500		139
Electronics for Imaging *		14,840		414
Ellie Mae *		9,200		206
Emulex *		52,753		329
Entegris *		42,130		439
Envestnet *		17,355		399
ExactTarget *		13,420		309
ExlService Holdings *		9,337		274
Extreme Networks *		26,600		95
Fairchild Semiconductor International, Cl A *		56,661		822
FEI		5,660		408
FleetMatics Group *		15,970		475
FormFactor *		35,900		211
Fortinet *		8,340		161
Global Cash Access Holdings *		36,800		243
Glu Mobile * (A)		5,200		14
Guidewire Software *		22,148		907
Harmonic * (A)		39,500		241
Hittite Microwave *		5,664		307
Infinera * (A)		31,238		329
Infoblox *		43,534		1,059
Insight Enterprises *		16,000		308
Interactive Intelligence Group *		10,535		529
Intermec *		3,300		33
Internap Network Services *		36,382		290
InvenSense, Cl A * (A)		71,204		917
Ixia *		25,908		407
Kemet *		13,100		60
Limelight Networks *		62,700		149
Liquidity Services * (A)		9,886		396
LTX-Credence *		21,800		124
Manhattan Associates *		6,660		500
MEMC Electronic Materials *		10,600		86
Mentor Graphics		8,400		160
MKS Instruments		9,792		276
Monotype Imaging Holdings		2,200		50
Move *		27,300		311
Nanometrics *		3,100		45
Netscout Systems *		3,700		90
Newport *		4,500		59
OSI Systems *		13,792		798
Pandora Media * (A)		17,130		292
Photronics *		12,800		98
Plantronics		5,472		253
PLX Technology *		27,000		122
Power Integrations		4,810		205
Power-One *		35,900		227
Procera Networks *		900		13
Progress Software *		400		9
PROS Holdings *		1,900		55
PTC *		40,496		1,017
Quantum * (A)		30,300		47
RF Micro Devices *		84,602		467
Sanmina *		3,200		43


Description	Shares		Market Value ($ Thousands)

Sapient *		5,200	$	67
Semtech *		31,110		1,137
Silicon Image *		13,600		83
Silicon Laboratories *		10,840		466
SolarWinds *		108		5
Sonus Networks *		150,098		482
Sourcefire * (A)		8,691		486
Spansion, Cl A *		10,200		140
SPS Commerce *		10,451		564
STEC *		15,800		56
Sykes Enterprises *		10,200		161
Synaptics *		10,120		418
Tableau Software, Cl A *		3,084		158
Take-Two Interactive Software *		20,170		336
Tangoe * (A)		63,324		944
TeleTech Holdings *		2,600		58
Tellabs		126,800		262
Teradyne * (A)		26,600		477
Travelzoo *		7,000		201
Trulia *		7,986		245
Ultimate Software Group *		2,640		294
Unisys *		8,400		173
United Online		47,900		326
Veeco Instruments * (A)		11,621		493
Vishay Intertechnology * (A)		8,139		119
Volterra Semiconductor *		4,200		59
WEX *		6,297		465
Zebra Technologies, Cl A *		7,729		353

				36,489


Materials — 3.8%
A. Schulman		12,800		370
Allegheny Technologies		8,257		228
Axiall		700		30
Boise		22,300		180
Century Aluminum *		8,800		87
Chemtura *		11,300		259
Clearwater Paper *		2,000		96
Coeur Mining *		400		6
Compass Minerals International (A)		6,041		527
Cytec Industries		3,760		269
Ferro *		14,600		100
Flotek Industries *		11,620		202
Greif, Cl A		6,544		341
H.B. Fuller		11,740		488
Haynes International		700		34
Headwaters *		15,300		162
Horsehead Holding *		8,000		92
Innophos Holdings		6,761		342
Innospec		9,100		373
Intrepid Potash (A)		10,746		202
Koppers Holdings		3,700		152
Kraton Performance Polymers *		6,300		131
LSB Industries *		900		30
Minerals Technologies		14,010		597
Myers Industries		5,200		77
Noranda Aluminum Holding		47,500		192
OM Group *		800		24
Owens-Illinois *		12,699		349
PolyOne		42,730		1,098


Description	Shares		Market Value ($ Thousands)

Quaker Chemical		1,500	$	97
RTI International Metals * (A)		10,042		291
Scotts Miracle-Gro, Cl A (A)		6,079		287
Sensient Technologies		6,476		267
Silgan Holdings		5,659		265
SunCoke Energy *		12,600		195
Worthington Industries		3,700		127

				8,567


Telecommunication Services — 0.1%
Consolidated Communications Holdings		3,000		51
magicJack VocalTec * (A)		5,200		78
Neutral Tandem		800		5
Vonage Holdings *		39,600		108

				242


Utilities — 2.7%
ALLETE		10,250		485
American States Water		5,400		287
Avista		100		3
California Water Service Group		15,500		306
Cleco		12,144		553
El Paso Electric		1,400		50
Great Plains Energy		32,486		733
IDACORP		8,784		415
Laclede Group		1,500		71
MGE Energy		700		37
Otter Tail		5,600		153
PNM Resources		7,100		159
Portland General Electric		44,710		1,361
UIL Holdings (A)		12,620		492
UNS Energy		13,280		622
Westar Energy		4,273		135
WGL Holdings		1,300		56

				5,918

Total Common Stock (Cost $184,260) ($ Thousands)				219,656


EXCHANGE TRADED FUNDS — 1.1%
iShares Russell 2000 Growth Index Fund (A)		14,213		1,599
iShares Russell 2000 Index Fund (A)		9,080		888

Total Exchange Traded Funds (Cost $2,192) ($ Thousands)				2,487


AFFILIATED PARTNERSHIP — 18.6%
SEI Liquidity Fund, L.P. 0.100% **† (B)		41,129,582		41,130

Total Affiliated Partnership (Cost $41,130) ($ Thousands)				41,130


CASH EQUIVALENT — 4.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% **†		10,118,854		10,119

Total Cash Equivalent (Cost $10,119) ($ Thousands)				10,119


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

U.S. TREASURY OBLIGATIONS (C) — 0.5%
U.S. Treasury Bills
0.087%, 07/25/2013	$	529	$	529
0.080%, 06/27/2013		654		654

Total U.S. Treasury Obligations (Cost $1,183) ($ Thousands)				1,183

Total Investments — 123.9% (Cost $238,884) ($ Thousands)			$	274,575

Percentages are based on a Net Assets of $221,697 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

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 May 31, 2013. The total value of securities on loan at May 31, 2013 was $39,632 ($ 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 May 31, 2013 was $41,130 ($ Thousands).

(C)

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

Cl — Class

L.P. — Limited Partnership

NY — New York

The following is a summary of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	219,656	$	—	$	—	$	219,656
Exchange Traded Funds		2,487		—		—		2,487
Affiliated Partnership		—		41,130		—		41,130
Cash Equivalent		10,119		—		—		10,119
U.S. Treasury Obligations		—		1,183		—		1,183

Total Investments in Securities	$	232,262	$	42,313	$	—	$	274,575

During the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

During the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.0%

Consumer Discretionary — 13.6%
Abercrombie & Fitch, Cl A		38,738	$	1,940
Aeropostale *		57,271		837
AFC Enterprises *		40,830		1,489
Allison Transmission Holdings		76,604		1,823
America’s Car-Mart *		3,300		149
ANN *		46,795		1,436
Arctic Cat		17,142		804
Asbury Automotive Group *		59,999		2,472
Autoliv (A)		36,100		2,832
Beazer Homes USA * (A)		67,188		1,391
Belo, Cl A		218,297		2,449
Big Lots *		96,765		3,295
BJ’s Restaurants * (A)		83,727		3,143
Bloomin’ Brands * (A)		165,414		3,848
Bob Evans Farms		20,100		928
Bravo Brio Restaurant Group *		20,200		364
Bright Horizons Family Solutions *		73,570		2,652
Brinker International (A)		20,900		819
Brunswick		171,700		5,764
Buffalo Wild Wings * (A)		34,640		3,324
Cabela’s *		64,046		4,295
Callaway Golf (A)		120,645		826
Carter’s		89,303		6,436
Cato, Cl A		46,500		1,158
CEC Entertainment		27,580		1,105
Cheesecake Factory (A)		50,580		2,019
Children’s Place Retail Stores *		21,690		1,157
Columbia Sportswear (A)		13,377		805
Conn’s * (A)		68,627		3,378
Cooper Tire & Rubber		72,778		1,881
Core-Mark Holding		16,549		979
Dana Holdings		170,630		3,228
Darden Restaurants (A)		34,112		1,767
Deckers Outdoor * (A)		47,449		2,547
Destination XL Group *		74,600		370
Dick’s Sporting Goods		32,870		1,720
Dillard’s, Cl A		25,000		2,307
Dollar General *		33,872		1,788
Dorman Products * (A)		46,217		2,058
DR Horton (A)		191,345		4,661
DSW, Cl A		42,530		3,147
Dunkin’ Brands Group (A)		33,601		1,331
Ethan Allen Interiors (A)		35,934		1,127
Express *		184,542		4,023
Five Below * (A)		85,883		3,284
Francesca’s Holdings * (A)		240,526		6,867
GameStop, Cl A (A)		126,102		4,182
Gannett (A)		251,161		5,400
Genesco *		13,145		888
Gildan Activewear, Cl A		72,814		3,011
Grand Canyon Education *		116,443		3,740
Harley-Davidson		27,849		1,519
Harman International Industries		27,700		1,471
Hasbro (A)		32,006		1,424
Hibbett Sports * (A)		165,200		9,421
HomeAway * (A)		164,496		5,030
HSN		61,399		3,493
Ignite Restaurant Group *		22,700		415
Imax *		126,945		3,289


Description	Shares		Market Value ($ Thousands)

International Game Technology		75,000	$	1,341
Interpublic Group		90,841		1,292
iRobot * (A)		73,950		2,499
Jack in the Box *		70,881		2,586
Jones Group		104,300		1,520
K12 * (A)		14,700		437
Krispy Kreme Doughnuts *		139,040		2,408
La-Z-Boy, Cl Z		110,108		2,034
Lear		31,200		1,871
Libbey *		94,500		2,000
Life Time Fitness * (A)		71,730		3,575
Lincoln Educational Services		41,174		284
LKQ *		93,541		2,290
Lumber Liquidators Holdings * (A)		41,870		3,438
Matthews International, Cl A (A)		51,664		1,981
Mattress Firm Holding *		5,920		213
MDC Partners, Cl A		98,700		1,740
Men’s Wearhouse		52,789		1,911
Meredith (A)		27,535		1,128
Monro Muffler (A)		125,462		5,899
National CineMedia		351,023		5,831
Newell Rubbermaid		67,396		1,822
Nutrisystem		34,900		315
Orient-Express Hotels, Cl A *		117,806		1,395
Oxford Industries (A)		15,391		1,011
Panera Bread, Cl A * (A)		13,780		2,643
Pep Boys-Manny Moe & Jack * (A)		76,285		941
PetSmart		23,826		1,608
Pier 1 Imports (A)		362,273		8,401
Polaris Industries (A)		38,800		3,706
Quiksilver *		603,724		4,751
RadioShack * (A)		65,700		243
Red Robin Gourmet Burgers *		48,917		2,569
Regis (A)		95,720		1,762
Rent-A-Center, Cl A		24,700		904
Restoration Hardware Holdings * (A)		29,008		1,621
Royal Caribbean Cruises		39,886		1,396
Ryland Group (A)		98,865		4,476
Sally Beauty Holdings *		123,077		3,767
Samsonite International		1,099,500		2,868
Scholastic		45,700		1,382
Scientific Games, Cl A *		60,990		664
Shutterfly * (A)		111,829		5,451
Sinclair Broadcast Group, Cl A		39,700		1,073
Six Flags Entertainment		24,389		1,819
Skechers U.S.A., Cl A *		18,710		421
SodaStream International *		8,596		548
Stage Stores		58,700		1,351
Standard Pacific * (A)		342,894		3,035
Steven Madden *		54,282		2,633
Taylor Morrison Home, Cl A *		94,000		2,428
Tenneco *		112,570		4,994
TRW Automotive Holdings *		49,200		3,117
Ulta Salon Cosmetics & Fragrance *		22,796		2,069
Vail Resorts (A)		18,960		1,214
Vitamin Shoppe *		58,578		2,562
Whirlpool		16,900		2,159
Wolverine World Wide (A)		117,671		6,160
Wyndham Worldwide		77,149		4,484
Zumiez (A) *		96,950		3,085

				292,432


Description	Shares		Market Value ($ Thousands)

Consumer Staples — 2.7%
Casey’s General Stores (A)		114,083	$	6,932
Central Garden and Pet, Cl A *		41,018		311
Chefs’ Warehouse * (A)		75,032		1,417
Chiquita Brands International *		117,300		1,185
Coca-Cola Enterprises		36,318		1,349
Darling International *		169,949		3,333
Dole Food * (A)		149,167		1,413
Elizabeth Arden *		50,314		2,370
Energizer Holdings		18,200		1,742
Fresh Del Monte Produce		57,800		1,547
Fresh Market * (A)		47,294		2,343
Hain Celestial Group * (A)		39,815		2,653
Ingredion		34,152		2,326
Inter Parfums		12,900		386
J&J Snack Foods		14,705		1,116
JM Smucker		14,097		1,423
Kroger		57,150		1,924
Molson Coors Brewing, Cl B		36,948		1,826
Omega Protein *		90,700		990
Pantry *		64,814		811
Prestige Brands Holdings *		24,197		711
Safeway (A)		108,400		2,494
Sanderson Farms (A)		25,883		1,784
Smithfield Foods *		65,800		2,167
Spartan Stores		64,658		1,149
Spectrum Brands Holdings		50,734		3,059
SUPERVALU * (A)		94,000		607
Sysco (A)		47,130		1,593
TreeHouse Foods * (A)		15,968		1,046
Tyson Foods, Cl A		48,202		1,205
USANA Health Sciences * (A)		42,000		2,944
Weis Markets		17,700		724

				56,880


Energy — 5.7%
Alberta Oilsands *		1,600,500		46
Approach Resources (A) *		42,000		1,058
Bill Barrett * (A)		27,800		627
Bonanza Creek Energy *		23,575		876
Comstock Resources		21,400		345
Core Laboratories		19,621		2,703
CVR Energy		28,700		1,803
Diamondback Energy *		35,310		1,192
Dresser-Rand Group *		105,341		6,384
Dril-Quip *		56,041		5,069
Emerald Oil *		113,329		692
EPL Oil & Gas *		7,500		228
EQT		22,806		1,822
Forum Energy Technologies * (A)		155,118		4,605
Geospace Technologies *		15,943		1,385
Goodrich Petroleum *		42,841		538
Gulfmark Offshore, Cl A (A)		26,346		1,208
Gulfport Energy *		135,751		6,474
Helix Energy Solutions Group * (A)		190,173		4,538
Helmerich & Payne (A)		40,200		2,482
Hornbeck Offshore Services * (A)		29,990		1,560
Key Energy Services *		119,652		775
Kinder Morgan Escrow *		646		—
Kodiak Oil & Gas * (A)		444,683		3,904
Laredo Petroleum Holdings * (A)		100,247		1,941


Description	Shares		Market Value ($ Thousands)

Lufkin Industries		11,232	$	991
Matador Resources * (A)		130,470		1,302
McDermott International *		265,726		2,538
Nabors Industries		131,025		2,097
Newfield Exploration *		66,622		1,585
Newpark Resources * (A)		108,900		1,214
Oasis Petroleum *		174,719		6,493
Oceaneering International		31,980		2,318
Oil States International *		15,263		1,503
Painted Pony Petroleum *		204,380		1,849
Parker Drilling *		301,100		1,343
PDC Energy * (A)		95,054		4,866
Pioneer Energy Services *		220,276		1,538
Pioneer Natural Resources		15,130		2,098
Range Resources		16,967		1,276
Rex Energy * (A)		114,580		1,903
Rosetta Resources *		84,069		3,939
Scorpio Tankers (A)		165,000		1,566
SemGroup, Cl A		60,830		3,183
Spectra Energy		73,067		2,234
StealthGas *		67,900		718
Superior Energy Services *		128,931		3,440
Swift Energy * (A)		68,971		935
Targa Resources		20,714		1,334
Tesoro		64,000		3,946
TETRA Technologies *		136,135		1,417
Trican Well Service		255,430		3,591
Ultra Petroleum * (A)		126,317		2,878
USEC * (A)		61,099		23
W&T Offshore (A)		47,000		693
Western Refining (A)		91,500		3,053
World Fuel Services		59,096		2,407

				122,526


Financials — 20.5%
1st Source		800		19
Acadia Realty Trust *		43,245		1,121
Affiliated Managers Group *		14,250		2,337
Alexandria Real Estate Equities		33,650		2,305
Allied World Assurance Holdings		15,000		1,341
Allstate		45,773		2,208
Altisource Residential, Cl B *		74,150		1,353
American Assets Trust		34,900		1,124
American Capital Mortgage Investment		16,900		356
American Equity Investment Life Holding (A)		58,200		943
American Financial Group		150,694		7,318
Ameriprise Financial		61,093		4,980
Apartment Investment & Management, Cl A		76,558		2,317
Arch Capital Group * (A)		105,435		5,399
Ares Capital		43,000		738
Artisan Partners Asset Management, Cl A *		2,436		114
Aspen Insurance Holdings		34,400		1,264
Associated Banc		73,700		1,136
Assured Guaranty		130,960		2,963
AvalonBay Communities		21,713		2,880
Banco Latinoamericano de Comercio Exterior, Cl E		84,745		1,943
Bancorpsouth (A)		329,471		5,654
Bank of the Ozarks		62,188		2,714
BankUnited		65,466		1,609


Description	Shares		Market Value ($ Thousands)

Banner		93,328	$	2,994
Berkshire Hills Bancorp		48,005		1,288
BioMed Realty Trust ‡ (A)		95,400		1,997
Boston Private Financial Holdings (A)		199,003		1,960
Boston Properties		21,450		2,286
Brandywine Realty Trust		142,700		2,021
Calamos Asset Management, Cl A		41,900		441
Campus Crest Communities		77,900		985
CapLease		210,800		1,817
Cardinal Financial		35,614		539
CBL & Associates Properties (A)		116,533		2,679
Central Pacific Financial *		55,900		1,025
Chimera Investment ‡		245,200		748
CNA Financial		54,600		1,866
CNO Financial Group		665,245		8,209
CoBiz Financial		117,060		1,013
Colonial Properties Trust ‡		45,100		997
Comerica		27,700		1,094
Commerce Bancshares		1		—
CommonWealth		67,750		1,385
Community Trust Bancorp		15,687		552
Coresite Realty ‡		14,910		479
Countrywide *		35,500		253
CubeSmart ‡		169,407		2,651
Customers Bancorp *		16,000		275
CYS Investments ‡		125,100		1,286
DDR ‡ (A)		203,321		3,550
DiamondRock Hospitality ‡		309,873		2,947
Digital Realty Trust ‡ (A)		19,257		1,173
Dime Community Bancshares		50,900		733
Douglas Emmett ‡		36,850		939
Eagle Bancorp * (A)		115,541		2,601
East West Bancorp		131,200		3,456
EastGroup Properties ‡		58,671		3,448
Eaton Vance (A)		66,707		2,769
Education Realty Trust ‡		214,591		2,245
Employers Holdings		100,828		2,494
Endurance Specialty Holdings		72,722		3,660
Equity One ‡ (A)		61,825		1,442
Equity Residential ‡		78,350		4,431
Essex Property Trust ‡ (A)		6,200		974
Everest Re Group		19,700		2,553
FBR *		50,733		1,228
Federal Realty Investment Trust ‡		6,250		673
Federated Investors, Cl B (A)		40,776		1,128
Fidelity National Financial, Cl A		94,299		2,481
Fifth Third Bancorp		142,198		2,588
Financial Engines (A)		131,520		5,671
First Horizon National (A)		646,702		7,424
First Midwest Bancorp		164,532		2,165
First NBC Bank Holding *		27,713		696
First Niagara Financial Group		593,266		5,796
FirstMerit		70,213		1,325
Flushing Financial		66,600		1,041
Forest City Enterprises, Cl A * (A)		57,585		1,080
Fulton Financial		93,546		1,075
FXCM, Cl A (A)		88,679		1,230
General Growth Properties ‡		97,220		1,996
Genworth Financial, Cl A *		335,734		3,629
Geo Group ‡		7,700		268


Description	Shares		Market Value ($ Thousands)

Government Properties Income Trust ‡		13,800	$	336
Great American Group *		91,400		14
Hancock Holding		115,772		3,305
Hanover Insurance Group		75,904		3,813
Hartford Financial Services Group		64,820		1,985
HCP ‡		73,300		3,473
Health Care ‡		47,150		3,208
Highwoods Properties ‡ (A)		31,080		1,132
Home Loan Servicing Solutions		26,400		603
Horace Mann Educators		136,167		3,309
Hospitality Properties Trust ‡		89,900		2,623
Host Hotels & Resorts ‡		247,241		4,398
Huntington Bancshares		801,230		6,209
Iberiabank		65,507		3,376
Infinity Property & Casualty		26,911		1,554
International Bancshares (A)		47,046		1,025
Investment Technology Group *		184,775		2,552
Investors Bancorp		41,428		819
Janus Capital Group (A)		269,327		2,362
Jones Lang LaSalle		38,865		3,569
Kennedy-Wilson Holdings		123,600		2,121
KeyCorp		485,427		5,233
Kimco Realty ‡ (A)		61,550		1,363
LaSalle Hotel Properties ‡		21,495		568
Lexington Realty Trust ‡ (A)		655,780		8,256
Liberty Property Trust ‡		50,611		2,054
Lincoln National		51,900		1,851
LPL Financial Holdings		99,218		3,679
Macerich ‡		41,148		2,671
Mack-Cali Realty ‡		73,150		1,939
Maiden Holdings		109,200		1,166
MarketAxess Holdings		48,448		2,101
Meadowbrook Insurance Group		337,500		2,707
Medical Properties Trust ‡		214,576		3,184
MFA Mortgage Investments ‡		374,636		3,289
Mid-America Apartment Communities ‡		23,157		1,574
Montpelier Re Holdings		75,900		1,897
MSCI, Cl A *		74,273		2,617
National Penn Bancshares (A)		294,427		2,909
National Retail Properties ‡ (A)		22,385		803
Nelnet, Cl A		91,100		3,558
Northfield Bancorp		67,963		779
NorthStar Realty Finance ‡ (A)		394,339		3,324
Ocwen Financial *		73,750		3,155
OFG Bancorp (A)		93,095		1,655
Old National Bancorp		70,775		946
OmniAmerican Bancorp *		13,800		307
PacWest Bancorp (A)		100,090		2,886
PartnerRe		43,534		3,946
Pebblebrook Hotel Trust ‡		229,190		6,014
Pennsylvania Real Estate Investment Trust ‡		167,400		3,330
Platinum Underwriters Holdings		27,270		1,557
Popular *		215,812		6,475
Potlatch ‡ (A)		81,484		3,702
ProAssurance		104,128		5,227
Prologis ‡		120,909		4,873
Prosperity Bancshares (A)		25,530		1,279
Public Storage ‡		26,578		4,035
Radian Group (A)		66,340		854
RAIT Financial Trust ‡		22,999		176


Description	Shares		Market Value ($ Thousands)

Regency Centers ‡		28,200	$	1,455
Regions Financial		213,300		1,947
Reinsurance Group of America, Cl A		70,293		4,632
Republic Bancorp, Cl A (A)		37,026		882
RLJ Lodging Trust ‡		40,200		931
Ryman Hospitality Properties ‡ (A)		93,739		3,586
Safeguard Scientifics *		86,105		1,359
Selective Insurance Group		49,320		1,170
Signature Bank NY *		29,470		2,274
Simon Property Group ‡		45,029		7,495
SL Green Realty ‡ (A)		19,500		1,696
Southside Bancshares (A)		39,823		902
StanCorp Financial Group (A)		36,700		1,667
Starwood Property Trust ‡ (A)		25,500		647
Sterling Financial		111,534		2,523
Stifel Financial * (A)		61,180		2,202
Sunstone Hotel Investors * ‡		369,001		4,450
SunTrust Banks		70,298		2,256
Susquehanna Bancshares		455,981		5,476
SVB Financial Group * (A)		77,621		6,007
Synovus Financial		1,060,857		2,907
Tanger Factory Outlet Centers ‡		57,105		1,969
TCF Financial (A)		188,327		2,712
THL Credit		26,900		408
Titanium Asset Management * (B)(C)(D)		147,000		116
Tower Group International (A)		79,238		1,532
Two Harbors Investment ‡		39,500		436
UDR ‡ (A)		87,150		2,124
United Community Banks *		43,600		517
Unum Group (A)		147,780		4,209
Validus Holdings		53,600		1,936
Ventas ‡		36,450		2,601
ViewPoint Financial Group		31,700		600
Virtus Investment Partners *		10,280		2,383
Vornado Realty Trust ‡		33,100		2,646
Waddell & Reed Financial, Cl A		69,017		3,178
Weingarten Realty Investors ‡ (A)		31,550		1,006
WesBanco		53,800		1,348
Western Alliance Bancorp *		341,171		5,015
Willis Group Holdings		47,139		1,841
Winthrop Realty Trust ‡		117,300		1,456
WisdomTree Investments *		119,130		1,482
WSFS Financial		15,700		789
Zions Bancorporation (A)		341,670		9,584

				441,962


Health Care — 9.9%
Acadia Healthcare * (A)		164,526		5,494
Accuray * (A)		254,100		1,364
Akorn *		140,727		2,045
Alere *		43,400		1,110
Algeta *		39,603		1,544
Align Technology * (A)		53,840		1,925
Alkermes *		40,920		1,279
AmerisourceBergen		24,894		1,346
Amsurg, Cl A *		41,948		1,490
Arena Pharmaceuticals * (A)		151,990		1,344
Ariad Pharmaceuticals *		78,173		1,434
athenahealth * (A)		42,707		3,611
BioMarin Pharmaceutical * (A)		31,297		1,962
BioScrip *		143,238		2,002


Description	Shares		Market Value ($ Thousands)

CareFusion *		59,751	$	2,196
Celldex Therapeutics *		54,863		702
Centene *		38,861		1,924
Cepheid * (A)		21,320		741
Charles River Laboratories International *		120,359		5,213
Community Health Systems *		91,431		4,404
CONMED		34,435		1,134
Coronado Biosciences *		91,810		907
Covance *		41,870		3,123
Cubist Pharmaceuticals * (A)		87,769		4,823
DexCom *		121,305		2,527
Endo Health Solutions * (A)		98,836		3,588
Endologix * (A)		190,368		2,558
Ensign Group		28,800		1,039
ExamWorks Group * (A)		94,949		1,772
Exelixis * (A)		219,580		1,063
Furiex Pharmaceuticals *		36,757		1,359
Greatbatch *		39,715		1,279
Health Net *		91,344		2,911
HealthSouth *		245,346		7,186
HeartWare International *		46,450		4,239
Hill-Rom Holdings		20,700		748
HMS Holdings * (A)		127,104		3,165
Hologic *		100,646		2,088
Humana		24,900		2,011
Hyperion Therapeutics *		39,047		784
ICON *		81,297		2,792
ICU Medical *		18,960		1,354
Idexx Laboratories * (A)		24,413		2,013
ImmunoGen * (A)		92,680		1,703
Incyte * (A)		116,488		2,583
Infinity Pharmaceuticals *		50,482		1,360
Insulet * (A)		64,620		1,930
Intercept Pharmaceuticals *		16,472		551
Invacare		15,300		237
IPC The Hospitalist * (A)		42,939		2,094
Ironwood Pharmaceuticals, Cl A * (A)		212,647		2,839
Isis Pharmaceuticals * (A)		112,495		2,435
Jazz Pharmaceuticals *		44,780		3,043
Keryx Biopharmaceuticals * (A)		338,866		2,714
Kindred Healthcare *		41,100		555
LifePoint Hospitals *		29,900		1,487
Magellan Health Services *		67,355		3,671
Masimo *		120,806		2,615
Medical Action Industries *		69,600		585
Medicines * (A)		63,340		2,040
Medivation *		25,353		1,231
MEDNAX * (A)		69,842		6,483
Mettler Toledo International * (A)		7,389		1,613
NewLink Genetics * (A)		57,759		942
NPS Pharmaceuticals *		134,320		2,116
Onyx Pharmaceuticals * (A)		42,100		4,018
Optimer Pharmaceuticals * (A)		81,129		1,207
Orexigen Therapeutics *		223,728		1,416
Pacira Pharmaceuticals * (A)		66,312		1,943
PAREXEL International * (A)		91,433		4,177
Patterson		31,583		1,234
PDL BioPharma (A)		117,800		972
PerkinElmer		40,494		1,268
Pharmacyclics *		25,779		2,362
PharMerica *		51,500		804
Puma Biotechnology *		21,703		845
Quest Diagnostics (A)		31,032		1,919


Description	Shares		Market Value ($ Thousands)

Questcor Pharmaceuticals (A)		22,600	$	772
Quidel * (A)		57,762		1,381
Repros Therapeutics * (A)		37,810		655
Salix Pharmaceuticals *		45,080		2,735
Sarepta Therapeutics * (A)		18,280		646
Sciclone Pharmaceuticals *		183,521		883
Seattle Genetics * (A)		80,296		2,756
Select Medical Holdings		143,000		1,130
Sirona Dental Systems *		37,520		2,662
Skilled Healthcare Group, Cl A * (A)		98,400		698
Spectranetics *		113,614		2,125
Symmetry Medical *		35,600		332
Synageva BioPharma *		42,323		1,745
Team Health Holdings *		119,092		4,653
Techne (A)		44,636		2,969
Teleflex		12,220		957
TESARO *		28,682		981
Trinity Biotech ADR		7,000		123
Trius Therapeutics *		96,790		742
United Therapeutics *		39,800		2,645
Universal Health Services, Cl B		79,532		5,499
Varian Medical Systems * (A)		53,661		3,596
Volcano * (A)		70,101		1,339
WellCare Health Plans *		123,611		6,445

				213,054


Industrials — 17.3%
AAR		47,800		959
ABM Industries		21,600		522
ACCO Brands * (A)		45,000		322
Actuant, Cl A (A)		216,480		7,360
Acuity Brands (A)		31,690		2,379
Advisory Board *		19,601		1,035
Aegean Marine Petroleum Network		49,800		484
AGCO		67,600		3,750
Air Transport Services Group *		105,800		640
Aircastle		119,900		1,897
Alliant Techsystems		29,500		2,316
Altra Holdings		88,381		2,546
AMERCO *		13,118		2,262
Apogee Enterprises		76,092		2,030
Applied Industrial Technologies		56,667		2,724
Armstrong World Industries *		58,966		3,064
Avis Budget Group * (A)		153,724		5,097
BE Aerospace *		66,101		4,193
Beacon Roofing Supply *		41,335		1,704
Belden		55,323		2,957
Blount International *		14,100		189
Brady, Cl A		16,832		548
Briggs & Stratton (A)		136,391		3,192
Brink’s		34,700		931
Carlisle		39,200		2,564
Chart Industries *		35,300		3,434
Cintas (A)		38,140		1,741
CIRCOR International		26,690		1,364
CLARCOR		31,342		1,700
Clean Harbors * (A)		73,578		4,209
Colfax *		43,961		2,194
Consolidated Graphics *		26,200		1,222
Corporate Executive Board		44,746		2,738
Cubic		17,282		823
Curtiss-Wright		25,079		912
Deluxe (A)		175,740		6,573


Description	Shares		Market Value ($ Thousands)

DigitalGlobe *		216,091	$	6,532
Dover (A)		24,753		1,937
DXP Enterprises *		25,270		1,493
Dycom Industries *		272,395		6,197
EMCOR Group		144,992		5,763
Engility Holdings *		6,300		161
EnPro Industries * (A)		17,767		895
Esterline Technologies *		60,955		4,474
Expeditors International of Washington		77,015		3,006
Flow International *		107,000		425
Flowserve		8,941		1,503
Fluor		31,951		2,020
FTI Consulting * (A)		68,040		2,585
G&K Services, Cl A		73,774		3,564
General Cable (A)		32,907		1,163
Genesee & Wyoming, Cl A *		123,606		11,007
Global Power Equipment Group (A)		42,000		668
GrafTech International (A) *		558,666		4,687
Great Lakes Dredge & Dock		105,000		871
Heico, Cl A		126,890		4,695
Hertz Global Holdings *		147,629		3,813
Hexcel *		270,332		9,399
ICF International *		31,200		941
IDEX (A)		43,040		2,369
Interface, Cl A		229,478		3,855
ITT		54,400		1,640
JetBlue Airways * (A)		45,600		283
Joy Global (A)		30,926		1,672
Kadant		88,787		2,656
KAR Auction Services		57,750		1,354
Kaydon		30,389		822
Kennametal		117,152		5,077
KEYW Holding * (A)		130,302		1,922
Kirby *		39,040		3,048
L-3 Communications Holdings, Cl 3		34,600		2,944
Landstar System		118,620		6,262
Lennox International		17,219		1,102
Lincoln Electric Holdings		47,540		2,843
Lindsay Manufacturing (A)		18,370		1,493
Lydall *		49,700		719
Middleby *		18,570		3,036
Mobile Mini *		40,891		1,376
Moog, Cl A *		100,394		5,027
MSC Industrial Direct, Cl A		40,972		3,387
Navigant Consulting *		31,000		409
Navistar International * (A)		71,295		2,557
NN *		85,100		788
Nordson		42,147		3,002
Northwest Pipe *		35,995		990
Old Dominion Freight Line *		258,158		11,116
On Assignment *		101,721		2,649
Orion Marine Group * (A)		115,412		1,386
Oshkosh Truck *		51,500		2,051
Owens Corning *		159,510		6,971
Parker Hannifin		19,918		1,987
Performant Financial *		154,097		1,700
Pitney Bowes (A)		25,100		368
Ply Gem Holdings *		17,869		413
Polypore International * (A)		178,593		6,719
Primoris Services		140,958		3,004
Rand Logistics *		23,000		129
RBC Bearings *		35,704		1,748


Description	Shares		Market Value ($ Thousands)

Regal-Beloit		92,664	$	6,256
Ritchie Bros Auctioneers (A)		170,049		3,520
Rollins		3,649		92
Ryder System		24,400		1,538
Sensata Technologies Holding *		181,300		6,364
Simpson Manufacturing (A)		42,448		1,242
SkyWest		49,700		697
Spirit Aerosystems Holdings, Cl A *		191,343		4,135
Spirit Airlines *		106,880		3,253
Standard Parking *		61,937		1,382
Stanley Black & Decker		26,223		2,077
Steelcase, Cl A		160,603		2,223
Swift Transporation, Cl A *		166,665		2,807
TAL International Group (A)		32,200		1,361
Teledyne Technologies *		47,398		3,660
Tennant		55,378		2,732
Terex *		113,349		4,066
Tetra Tech *		72,144		1,989
Textron (A)		132,956		3,585
Timken		82,140		4,662
Titan Machinery * (A)		3,300		68
TMS International, Cl A		56,100		851
Towers Watson, Cl A		42,160		3,275
TransDigm Group *		24,694		3,608
Trimas *		40,649		1,311
Triumph Group		22,255		1,728
TrueBlue *		253,823		5,975
Tutor Perini *		98,200		1,819
United Rentals * (A)		53,790		3,057
URS		58,900		2,853
US Ecology		76,295		2,089
USG * (A)		62,477		1,708
Valmont Industries		19,182		2,922
Wabash National *		59,100		621
Wabtec		37,955		4,175
WageWorks *		170,606		4,942
Watts Water Technologies, Cl A (A)		28,605		1,362
Werner Enterprises		54,290		1,359
WESCO International * (A)		110,647		8,216
Xylem		69,165		1,946

				372,774


Information Technology — 17.5%
Acxiom *		61,265		1,347
ADTRAN (A)		56,768		1,312
Amdocs		44,400		1,585
ARRIS Group *		210,676		3,188
Arrow Electronics *		86,675		3,446
Aruba Networks *		123,060		1,839
Aspen Technology *		130,895		4,008
Atmel *		985,922		7,759
Avnet *		34,300		1,172
Benchmark Electronics *		81,800		1,595
Black Box		42,000		1,130
Blackbaud		178,852		5,426
Broadridge Financial Solutions		192,902		5,235
Brocade Communications Systems *		228,700		1,242
CACI International, Cl A * (A)		26,946		1,728
Cadence Design Systems * (A)		893,370		13,517
Cavium * (A)		166,597		5,458
CIBER *		213,000		869


Description	Shares		Market Value ($ Thousands)

Ciena * (A)		341,356	$	5,714
Coherent *		17,158		985
CommVault Systems *		15,284		1,070
Computer Sciences		33,500		1,495
Comtech Telecommunications		36,982		976
Concur Technologies * (A)		54,010		4,360
Convergys		184,682		3,356
Cornerstone OnDemand * (A)		54,610		2,219
CoStar Group * (A)		76,200		8,520
Cyan *		63,273		845
Dealertrack Technologies *		248,867		8,023
Demandware * (A)		46,090		1,411
Diebold		124,915		4,024
Digi International *		84,100		807
Diodes *		21,100		498
DTS * (A)		87,500		1,729
EarthLink		191,655		1,137
Emulex *		134,546		838
Entegris *		266,210		2,774
Envestnet *		78,516		1,804
Euronet Worldwide *		137,241		4,186
ExactTarget *		69,247		1,593
Exar *		112,700		1,271
ExlService Holdings *		42,243		1,239
Fair Isaac		74,490		3,656
Fairchild Semiconductor International, Cl A *		467,680		6,786
Fidelity National Information Services		52,857		2,373
FleetMatics Group *		216,192		6,432
Fortinet *		43,032		829
Gartner * (A)		53,550		3,032
Genpact *		63,680		1,232
GT Advanced Technologies * (A)		154,200		686
Guidewire Software *		134,673		5,516
Harris		54,900		2,752
Heartland Payment Systems (A)		92,313		2,960
Hittite Microwave *		25,519		1,385
IAC		71,875		3,485
Imation *		41,300		169
Imperva *		103,320		4,115
Infinera *		161,209		1,698
Infoblox *		196,961		4,792
Informatica *		118,540		4,310
Inphi *		63,829		652
Insight Enterprises *		72,500		1,396
Integrated Device Technology *		628,318		5,353
Interactive Intelligence Group * (A)		47,507		2,385
Internap Network Services *		164,613		1,314
Intersil, Cl A		268,462		2,201
IntraLinks Holdings *		95,310		585
InvenSense, Cl A * (A)		174,114		2,243
IPG Photonics * (A)		25,440		1,509
Itron *		12,366		519
Ixia * (A)		154,990		2,436
j2 Global (A)		28,980		1,185
Jabil Circuit		123,006		2,467
Jack Henry & Associates		84,687		3,974
JDS Uniphase *		292,040		3,978
Juniper Networks *		107,681		1,909
Kla-Tencor		16,200		912
Lattice Semiconductor *		483,244		2,489
Lexmark International, Cl A (A)		49,300		1,504


Description	Shares		Market Value ($ Thousands)

Liquidity Services * (A)		36,262	$	1,451
Littelfuse		37,323		2,743
LivePerson * (A)		143,374		1,325
LSI *		115,300		853
Measurement Specialties *		66,858		2,972
MEMC Electronic Materials *		208,490		1,683
Microchip Technology (A)		54,365		1,983
MKS Instruments		35,919		1,011
Molex (A)		64,435		1,890
Monolithic Power Systems *		21,741		534
MTS Systems		12,200		736
ON Semiconductor *		518,085		4,435
OSI Systems *		24,392		1,411
Palo Alto Networks * (A)		57,430		2,786
Pandora Media * (A)		277,035		4,715
Plantronics		32,825		1,516
Plexus *		94,632		2,761
Power Integrations (A)		24,810		1,059
PRGX Global *		88,000		482
Progress Software *		72,952		1,715
PTC *		421,032		10,572
Pulse Electronics * (A)		4,300		14
RealD * (A)		174,441		2,632
RealPage * (A)		184,642		3,516
RF Micro Devices *		310,330		1,713
Rogers *		51,648		2,390
Saba Software *		98,200		847
SAIC (A)		116,700		1,692
Seagate Technology		65,900		2,839
Semtech * (A)		89,070		3,255
ServiceNow *		70,515		2,592
Shutterstock * (A)		52,750		2,497
SolarWinds *		551		23
Solera Holdings		65,620		3,594
Sonus Networks *		571,871		1,836
Sourcefire * (A)		39,321		2,200
Splunk *		43,220		2,021
SPS Commerce *		47,285		2,552
SS&C Technologies Holdings *		205,029		6,485
Stamps.com *		7,300		278
Stratasys * (A)		24,010		2,018
Symantec		78,916		1,767
Synaptics *		52,260		2,156
Synopsys *		81,864		2,984
Tableau Software, Cl A *		15,910		813
Tangoe *		142,893		2,131
Tech Data *		31,800		1,594
Teradata *		47,145		2,628
Teradyne * (A)		137,290		2,463
Trimble Navigation *		115,561		3,224
TriQuint Semiconductor *		599,073		4,218
Trulia * (A)		147,418		4,532
Tyler Technologies *		7,874		543
Ultimate Software Group * (A)		11,929		1,328
Ultra Clean Holdings *		95,251		553
Ultratech *		94,712		3,453
United Online (A)		147,700		1,006
Veeco Instruments * (A)		59,964		2,542
Verint Systems *		101,550		3,409
Virtusa *		70,620		1,657
Vishay Intertechnology * (A)		277,032		4,034
VistaPrint * (A)		80,134		3,682
Web.com Group * (A)		206,230		4,329
Western Digital		44,700		2,831
WEX *		60,188		4,446
WNS Holdings ADR *		165,110		2,658


Description	Shares		Market Value ($ Thousands)

Zebra Technologies, Cl A *		28,352	$	1,295

				377,852


Materials — 4.9%
Air Products & Chemicals		19,293		1,821
Albemarle		23,610		1,580
Allegheny Technologies (A)		99,229		2,736
Ashland (A)		37,307		3,317
Axiall		38,558		1,664
Boise * (A)		199,100		1,605
Buckeye Technologies (A)		49,100		1,830
Cabot		53,600		2,194
Chemtura *		87,751		2,012
Cliffs Natural Resources (A)		17,700		319
Compass Minerals International (A)		46,689		4,074
Crown Holdings *		52,770		2,235
Cytec Industries		13,793		986
Domtar		18,100		1,312
Eastman Chemical		14,400		1,033
Glatfelter (A)		51,000		1,261
Globe Specialty Metals		10,700		131
Greif, Cl A		55,636		2,898
GSE Holding *		123,400		788
H.B. Fuller		61,905		2,573
Headwaters *		311,950		3,310
Horsehead Holding * (A)		28,300		326
Huntsman		111,600		2,171
Innophos Holdings		24,799		1,254
Intrepid Potash * (A)		39,341		739
Kaiser Aluminum (A)		50,291		3,190
KapStone Paper and Packaging*		128,580		3,730
Louisiana-Pacific * (A)		168,750		2,965
LSB Industries *		9,200		311
Methanex		50,990		2,254
Minerals Technologies		34,805		1,483
Neenah Paper		35,800		1,125
Nucor		30,159		1,342
Olin		74,800		1,865
OM Group *		4,700		138
Owens-Illinois *		98,247		2,697
Packaging Corp of America		46,350		2,271
PolyOne		365,377		9,386
Reliance Steel & Aluminum		38,809		2,553
Rock Tenn, Cl A		44,289		4,375
Rockwood Holdings		72,110		4,807
RTI International Metals * (A)		167,121		4,848
Schweitzer-Mauduit International		35,900		1,725
Scotts Miracle-Gro, Cl A (A)		56,435		2,668
Sensient Technologies		51,822		2,139
Silgan Holdings (A)		77,468		3,623
Steel Dynamics (A)		61,000		936
UFP Technologies *		60,200		1,155

				105,755


Telecommunication Services — 0.3%
Iridium Communications *		139,300		993
Neutral Tandem		48,200		281
SBA Communications, Cl A * (A)		34,267		2,579
USA Mobility		76,117		1,026
Vonage Holdings *		481,600		1,320

				6,199


Utilities — 2.6%
AGL Resources		53,132		2,249


Description	Shares		Market Value ($ Thousands)

ALLETE		24,730	$	1,170
Ameren		42,000		1,430
Avista		54,700		1,461
Cadiz * (A)		60,000		353
Chesapeake Utilities		17,278		915
Cleco		66,386		3,021
Dynegy * (A)		8,000		195
Edison International		26,252		1,206
El Paso Electric		85,802		3,071
Empire District Electric		20,400		443
Great Plains Energy		224,484		5,067
IDACORP (A)		28,114		1,328
NorthWestern		12,100		498
NRG Energy		134,121		3,423
NV Energy		155,671		3,649
Piedmont Natural Gas (A)		20,300		686
PNM Resources		161,524		3,622
Portland General Electric		177,306		5,397
SCANA		27,187		1,371
Southwest Gas		26,475		1,253
TECO Energy (A)		88,085		1,551
UGI		137,142		5,237
UIL Holdings (A)		15,389		600
Vectren		79,584		2,733
Westar Energy		15,673		497
WGL Holdings		30,120		1,293
Xcel Energy		57,350		1,647

				55,366

Total Common Stock (Cost $1,689,590) ($ Thousands)				2,044,800


EXCHANGE TRADED FUNDS — 0.9%
iShares Russell 2000 Growth Index Fund (A)		111,361		12,527
iShares Russell 2000 Index Fund (A)		33,218		3,250
iShares Russell 2000 Value Index Fund (A)		43,200		3,729
iShares Russell Midcap Value Index Fund		1,651		97

Total Exchange Traded Funds (Cost $18,284) ($ Thousands)				19,603


	Number Of Warrants

WARRANTS — 0.0%
Magnum Hunter Resource, Expires 08/29/14 *		18,718		—

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


AFFILIATED PARTNERSHIP — 21.7%
SEI Liquidity Fund, L.P.
0.100% ** † (E)		467,277,078		467,277

Total Affiliated Partnership (Cost $467,277) ($ Thousands)				467,277


CASH EQUIVALENT — 4.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010% ** †		88,647,658		88,648

Total Cash Equivalent (Cost $88,648) ($ Thousands)				88,648


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

U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Bills
0.094%, 06/27/2013 (F)(G)	$	7,267	$	7,267

Total U.S. Treasury Obligation (Cost $7,267) ($ Thousands)				7,267

Total Investments — 122.0% (Cost $2,271,066) ($ Thousands)			$	2,627,595

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		334		Jun-2013	$	727
S&P Mid 400 Index E-MINI		258		Jun-2013		454

					$	1,181

Percentages are based on a Net Assets of $2,153,745 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

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 May 31, 2013. The total value of securities on loan at May 31, 2013 was $449,160 ($ Thousands).

(B)

Securities considered illiquid. The total value of such securities as of May 31, 2013 was $116 ($ Thousands) and represented 0.01% of Net Assets.

(C)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2013 was $116 ($ Thousands) and represented 0.01% of Net Assets.

(D)

Securities considered restricted. The total value of such securities as of May 31, 2013 was $116 ($ Thousands) and represented 0.01% of Net Assets.

(E)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $467,277 ($ Thousands).

(F)

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

(G)

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

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Common Stock	$	2,044,684	$	—	$	116	$	2,044,800
Exchange Traded Funds		19,603		—		—		19,603
Affiliated Partnership		—		467,277		—		467,277
Cash Equivalent		88,648		—		—		88,648
U.S. Treasury Obligation		—		7,267		—		7,267

Total Investments in Securities	$	2,152,935	$	474,544	$	116	$	2,627,595


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	1,181	$	—	$	—	$	1,181

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

(1)

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the year in relation to the net assets.

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no transfers between Level 2 and Level 3 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.


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 93.1%

Consumer Discretionary — 6.3%
Aaron’s		72,900	$	2,048
Brinker International		24,909		977
Canadian Tire, Cl A		51,300		4,135
Choice Hotels International		52,900		2,089
Cinemark Holdings		94,700		2,779
Cogeco Cable		13,400		584
Cracker Barrel Old Country Store		32,600		2,916
DIRECTV *		147,000		8,986
GameStop, Cl A		58,000		1,923
Genuine Parts		16,100		1,252
H&R Block		116,400		3,407
Hasbro		40,200		1,788
Jarden *		29,100		1,355
Kohl’s		78,100		4,015
Madison Square Garden, Cl A *		57,800		3,383
PetSmart		84,932		5,733
Regal Entertainment Group, Cl A		113,000		2,000
Scripps Networks Interactive, Cl A		35,300		2,378
Shaw Communications, Cl B		141,300		3,151
Target		208,389		14,483
Time Warner Cable, Cl A		34,700		3,314

				72,696


Consumer Staples — 18.8%
Altria Group		215,520		7,780
Archer-Daniels-Midland		47,000		1,515
Bunge		97,555		6,790
Cal-Maine Foods		34,600		1,548
Campbell Soup		169,630		7,262
Church & Dwight		61,198		3,722
Clorox		128,686		10,691
Coca-Cola Enterprises		136,122		5,058
Colgate-Palmolive		110,054		6,366
ConAgra Foods		200,300		6,748
CVS Caremark		137,600		7,923
Dr. Pepper Snapple Group		190,150		8,743
Energizer Holdings		35,900		3,436
Flowers Foods		99,900		3,334
Fresh Del Monte Produce		79,800		2,136
General Mills		68,400		3,220
Harris Teeter Supermarkets		26,800		1,260
Hershey		93,857		8,364
HJ Heinz		45,568		3,297
Hormel Foods		256,770		10,225
Ingredion		41,100		2,800
JM Smucker		32,500		3,281
Kellogg		74,064		4,596
Kimberly-Clark		133,030		12,881
Kraft Foods Group		9,233		509
Kroger		308,441		10,385
Lorillard		38,100		1,617
McCormick		27,256		1,883
Metro, Cl A		86,800		5,829
Molson Coors Brewing, Cl B		92,000		4,546
Philip Morris International		83,423		7,584
Reynolds American		127,938		6,155
Safeway		238,500		5,488
Sysco		110,039		3,719


Description	Shares		Market Value ($ Thousands)

TreeHouse Foods *		35,300	$	2,311
Tyson Foods, Cl A		148,300		3,707
Universal		43,100		2,527
Walgreen		144,800		6,916
Wal-Mart Stores		233,800		17,497
Weis Markets		37,000		1,514

				215,163


Energy — 3.6%
Cenovus Energy		28,200		844
Chevron		90,000		11,048
ConocoPhillips		132,300		8,115
Diamond Offshore Drilling		10,100		695
Exxon Mobil		166,200		15,036
Imperial Oil		64,400		2,508
TransCanada		66,900		3,067

				41,313


Financials — 16.7%
Alleghany *		16,405		6,398
Allied World Assurance Holdings		111,163		9,939
Allstate		83,500		4,028
American Campus Communities ‡		72,300		2,952
American Capital Agency		79,200		2,043
Arch Capital Group *		95,868		4,909
Axis Capital Holdings		75,200		3,276
BOK Financial		17,600		1,146
Canadian Imperial Bank of Commerce		40,100		3,040
CBOE Holdings		81,300		3,263
Chubb		75,000		6,533
Endurance Specialty Holdings		40,800		2,053
Equity Lifestyle Properties ‡		38,300		2,956
Erie Indemnity, Cl A		40,000		3,036
Essex Property Trust ‡		6,400		1,006
Everest Re Group		98,993		12,831
Federal Realty Investment Trust ‡		10,195		1,098
Fidelity National Financial, Cl A		108,509		2,855
First Citizens BancShares, Cl A		3,741		738
First Niagara Financial Group		337,200		3,294
Genworth MI Canada		22,800		538
Government Properties Income Trust ‡		56,000		1,361
Hancock Holding		102,400		2,924
Hanover Insurance Group		30,500		1,532
HCC Insurance Holdings		145,700		6,243
Home Properties ‡		50,839		3,089
Liberty Property Trust ‡		11,801		479
MFA Mortgage Investments ‡		260,700		2,289
Mid-America Apartment Communities ‡		48,891		3,323
National Bank of Canada		45,600		3,366
National Retail Properties ‡		33,500		1,202
PartnerRe		201,369		18,254
PennyMac Mortgage Investment Trust ‡		137,200		2,970
Piedmont Office Realty Trust, Cl A ‡		152,700		2,900
Platinum Underwriters Holdings		46,600		2,661
Plum Creek Timber ‡		58,739		2,802
Primerica *		71,100		2,504


Description	Shares		Market Value ($ Thousands)

Prosperity Bancshares		63,500	$	3,181
Public Storage ‡		13,767		2,090
Realty Income ‡		16,000		727
RenaissanceRe Holdings		158,845		13,654
Senior Housing Properties Trust ‡		35,200		910
Signature Bank NY *		42,400		3,272
Silver Bay Realty Trust ‡		9,496		169
Tanger Factory Outlet Centers ‡		94,916		3,273
TFS Financial *		298,000		3,272
Tompkins Financial		22,059		916
Tower Group International		21,187		410
Travelers		96,600		8,087
Two Harbors Investment ‡		270,600		2,985
Validus Holdings		274,205		9,902
Washington Federal		7,153		125
White Mountains Insurance Group		5,200		3,074

				191,878


Health Care — 14.6%
Abbott Laboratories		99,795		3,659
AbbVie		87,600		3,740
Actavis *		59,283		7,309
Aetna		84,900		5,126
AmerisourceBergen		256,471		13,870
Amgen		157,640		15,847
AstraZeneca ADR		107,100		5,489
Baxter International		38,600		2,715
Becton Dickinson		105,488		10,403
Cardinal Health		210,951		9,906
Celgene *		29,200		3,611
Cooper		15,400		1,740
Cubist Pharmaceuticals *		59,800		3,286
Eli Lilly		112,915		6,003
Endo Health Solutions *		26,900		976
Greatbatch *		40,900		1,317
Humana		12,600		1,018
Johnson & Johnson		168,942		14,222
Magellan Health Services *		33,800		1,842
McKesson		122,929		13,997
Medtronic		47,400		2,418
Merck		130,200		6,080
Orthofix International *		29,900		827
Patterson		79,400		3,103
PDL BioPharma		156,300		1,289
Pfizer		349,100		9,506
Quest Diagnostics		20,800		1,286
Techne		49,585		3,298
United Therapeutics *		48,800		3,244
UnitedHealth Group		47,100		2,950
WellPoint		37,800		2,910
Zimmer Holdings		58,300		4,577

				167,564


Industrials — 5.9%
Alliant Techsystems		45,600		3,580
C.H. Robinson Worldwide		50,900		2,886
Covanta Holding		32,600		666
Dun & Bradstreet		27,400		2,689
FTI Consulting *		42,400		1,611
General Dynamics		54,500		4,202


Description	Shares		Market Value ($ Thousands)

L-3 Communications Holdings, Cl 3		111,700	$	9,504
Landstar System		49,400		2,608
Lockheed Martin		82,074		8,686
Northrop Grumman		102,800		8,470
Old Dominion Freight Line *		77,400		3,333
Raytheon		144,100		9,603
Rollins		137,200		3,466
TransDigm Group *		21,100		3,083
Verisk Analytics, Cl A *		54,900		3,229

				67,616


Information Technology — 8.2%
Activision Blizzard		214,200		3,091
Amdocs		363,453		12,975
AOL *		98,666		3,420
BMC Software *		64,400		2,917
Broadridge Financial Solutions		123,800		3,360
CACI International, Cl A *		23,100		1,482
Cisco Systems		325,100		7,828
CSG Systems International *		69,600		1,505
Dell		109,300		1,459
FLIR Systems		125,000		3,045
Global Payments		57,700		2,767
Harris		81,816		4,102
IAC		25,453		1,234
Ingram Micro, Cl A *		181,800		3,474
Intel		232,700		5,650
International Business Machines		59,152		12,305
Jack Henry & Associates		24,400		1,145
Microsoft		227,200		7,925
National Instruments		24,600		699
NeuStar, Cl A *		43,100		2,089
SAIC		443,100		6,425
Tech Data *		36,400		1,824
Total System Services		124,000		2,915

				93,636


Materials — 1.7%
Aptargroup		53,700		3,046
Ball		87,200		3,764
Barrick Gold		35,900		756
Bemis		69,000		2,701
Compass Minerals International		37,000		3,229
Greif, Cl A		11,500		599
Newmont Mining		50,483		1,731
Silgan Holdings		66,100		3,091

				18,917


Telecommunication Services — 2.6%
AT&T		130,700		4,573
BCE		17,900		800
NTT DOCOMO ADR		91,700		1,346
Rogers Communications, Cl B		67,800		3,083
SBA Communications, Cl A *		21,400		1,611
SK Telecom ADR		207,600		4,214
Verizon Communications		200,058		9,699
Vodafone Group ADR		141,800		4,105

				29,431


Utilities — 14.7%
AGL Resources		74,600		3,158
Alliant Energy		114,514		5,641


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

Ameren		112,600	$	3,833
American Electric Power		144,905		6,640
American States Water		40,800		2,168
American Water Works		226,980		9,065
Atmos Energy		146,400		6,181
Cleco		62,400		2,840
CMS Energy		266,538		7,183
Consolidated Edison		138,467		7,902
DTE Energy		184,975		12,321
Edison International		294,275		13,519
El Paso Electric		37,100		1,328
Entergy		67,900		4,677
Great Plains Energy		72,400		1,634
Hawaiian Electric Industries		199,993		5,234
IDACORP		49,500		2,338
Integrys Energy Group		15,491		891
ITC Holdings		23,905		2,069
Laclede Group		73,500		3,479
NextEra Energy		75,794		5,731
NV Energy		180,700		4,236
Pepco Holdings		8,024		167
PG&E		131,500		5,906
Pinnacle West Capital		117,874		6,657
Portland General Electric		145,500		4,429
PPL		107,000		3,178
Public Service Enterprise Group		189,729		6,269
SCANA		36,492		1,841
Southern		59,572		2,615
UGI		107,524		4,106
Vectren		183,040		6,286
Westar Energy		65,646		2,082
WGL Holdings		26,000		1,116
Wisconsin Energy		185,188		7,557
Xcel Energy		160,428		4,607

				168,884

Total Common Stock (Cost $899,319) ($ Thousands)				1,067,098


CASH EQUIVALENT — 3.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010% ** †		42,175,790		42,176

Total Cash Equivalent (Cost $42,176) ($ Thousands)				42,176


U.S. TREASURY OBLIGATION (A)(B) — 0.1%
U.S. Treasury Bills
0.075%, 06/27/2013	$	1,513		1,513

Total U.S. Treasury Obligation (Cost $1,513) ($ Thousands)				1,513

Total Investments — 96.9% (Cost $943,008) ($ Thousands)			$	1,110,787

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index EMINI

674

Jun-2013

197

Percentages are based on a Net Assets of $1,145,980 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust.

(A)

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

(B)

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

ADR — American Depositary Receipt

Cl — Class

S&P — Standard & Poors

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,067,098	$	—	$	—	$	1,067,098
Cash Equivalent		42,176		—		—		42,176
U.S. Treasury Obligation		—		1,513		—		1,513

Total Investments in Securities	$	1,109,274	$	1,513	$	—	$	1,110,787


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	197	$	—	$	—	$	197

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.2%

Australia — 2.9%
Alumina * (A)		24,308	$	24
Amcor (A)		42,598		403
AMP (A)		15,099		74
APA Group (A)		5,483		34
Australia & New Zealand Banking Group (A)		4,340		113
Beach Energy (A)		20,242		23
Bendigo Bank (A)		1,747		17
BGP Holdings *		39,545		—
BHP Billiton ADR		4,700		307
BlueScope Steel * (A)		2,013		10
Boral (A)		21,629		94
Brambles (A)		139,484		1,217
Caltex Australia (A)		13,542		290
CFS Retail Property Trust Group (A)		5,135		10
Coca-Cola Amatil (A)		1,442		18
Cochlear (A)		1,415		87
Commonwealth Bank of Australia (A)		3,618		230
Crown (A)		4,650		57
CSL (A)		10,696		610
Dexus Property Group (A)		67,093		70
DuluxGroup (A)		6,048		26
Flight Centre (A)		1,228		46
Goodman Group ‡ (A)		37,964		186
GPT Group (A)		4,938		18
Iluka Resources (A)		31,285		330
Insurance Australia Group (A)		53,278		288
K&S (A)		2,648		4
Lend Lease Group (A)		7,432		71
Macquarie Group (A)		2,969		121
Newcrest Mining (A)		33,750		462
Qantas Airways * (A)		62,890		95
Ramsay Health Care (A)		3,067		101
Resolute Mining (A)		7,169		5
Stockland ‡(A)		1,088		4
Suncorp Group (A)		15,562		185
Tatts Group (A)		30,386		93
Telstra (A)		79,672		361
Toll Holdings (A)		1,676		8
Transurban Group (A)		6,537		43
Treasury Wine Estates (A)		3,330		19
Wesfarmers (A)		2,681		100
Westfield Group ‡(A)		9,699		107
Westfield Retail Trust (A)		36,464		107
Westpac Banking (A)		4,441		120
Woolworths (A)		952		30

				6,618


Austria — 0.3%
Andritz (A)		8,148		443
Erste Group Bank (A)		3,895		125
IMMOFINANZ (A)		20,683		84
OMV (A)		522		24
Raiffeisen International Bank Holding (A)		221		7


Description	Shares		Market Value ($ Thousands)

Vienna Insurance Group (A)		697	$	34

				717


Belgium — 1.1%
Ageas (A)		13,450		492
Anheuser-Busch InBev (A)		3,667		337
Belgacom (A)		35,884		802
Colruyt (A)		12,070		614
Delhaize Group (A)		636		41
KBC Groep * (A)		5,785		229
Solvay (A)		190		27
UCB (A)		1,892		102

				2,644


Brazil — 0.4%
Banco Santander Brasil ADR		31,823		227
Centrais Eletricas Brasileiras *		69,683		180
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR		5,724		281
Fibria Celulose ADR *		21,928		241
Petroleo Brasileiro ADR *		387		7
Tim Participacoes ADR		530		10

				946


Canada — 3.8%
Agrium		6,700		620
Bank of Nova Scotia		6,000		343
Barrick Gold		45,340		958
Cameco		26,210		568
Canadian Natural Resources		2,800		84
Canadian Pacific Railway		3,908		521
Canam Group *		700		6
Cenovus Energy		9,255		278
Dollarama		8,200		577
Equal Energy		1,590		6
Imperial Oil		14,700		576
Intertape Polymer Group		500		6
Kinross Gold		110,924		711
Magna International, Cl A		9,500		635
New Gold *		53,200		363
Silver Wheaton		17,200		409
Suncor Energy		32,250		980
Talisman Energy		29,238		341
Toronto-Dominion Bank		9,077		737

				8,719


China — 0.3%
Bank of China (A)		456,000		215
China First Chemical Holdings (A)		22,000		5
Huaneng Power International (A)		152,100		155
Industrial & Commercial Bank of China (A)		484,000		339
Shanghai Electric Group (A)		262,000		97

				811


Denmark — 0.9%
AP Moeller - Maersk, Cl B (A)		19		135
Carlsberg, Cl B (A)		544		52
Coloplast, Cl B (A)		3,012		171
Jyske Bank * (A)		14,200		559
Novo-Nordisk, Cl B (A)		3,227		522
PER Aarsleff, Cl B		73		7


Description	Shares		Market Value ($ Thousands)

TrygVesta (A)		6,500	$	544

				1,990


Finland — 0.3%
Cramo (A)		429		5
Huhtamaki (A)		2,060		39
Kone, Cl B (A)		1,329		116
Neste Oil (A)		1,193		17
Orion, Cl B (A)		2,576		63
Pohjola Bank, Cl A (A)		3,772		61
Sampo, Cl A (A)		3,260		132
Stora Enso, Cl R (A)		23,449		169
Tieto (A)		272		6
UPM-Kymmene (A)		4,618		49
Wartsila Abp, Cl B (A)		403		19

				676


France — 11.3%
Air France-KLM * (A)		3,331		32
Alstom (A)		7,796		292
Areva * (A)		12,755		212
Arkema (A)		13,470		1,382
Assystem		993		22
AtoS (A)		1,160		84
AXA (A)		34,421		693
BNP Paribas (A)		41,970		2,449
Boursorama * (A)		883		7
Bureau Veritas (A)		1,046		120
Capital Gemini (A)		897		44
Carrefour (A)		20,886		610
Cegid Group		983		19
CGG * (A)		586		14
Cie Lebon		48		7
Ciments Francais		109		6
CNP Assurances (A)		2,714		41
Compagnie Generale des Etablissements Michelin, Cl B (A)		4,291		374
Credit Agricole * (A)		26,385		246
Credit Agricole Ile de France		100		7
Credit Agricole Toulouse		66		5
Credit Industriel et Commercial		33		5
Danone (A)		4,000		294
Dassault Systemes (A)		236		30
Devoteam		486		6
Electricite de France (A)		13,502		305
Essilor International (A)		8,584		942
Eurazeo *		66		3
Eutelsat Communications (A)		13,428		416
Exel Industries, Cl A		113		5
Fonciere Des Regions ‡(A)		72		6
Gecina ‡(A)		475		58
Iliad (A)		326		68
Kering (A)		3,344		725
Klepierre ‡(A)		1,191		51
Lafarge (A)		4,436		316
Legrand (A)		19,422		949
Les Nouveaux Constructeurs Investissement		681		7
L’Oreal (A)		4,172		701
LVMH Moet Hennessy Louis Vuitton (A)		3,609		636
Montupet (A)		250		5


Description	Shares		Market Value ($ Thousands)

Nexity (A)		936	$	33
Oeneo		1,550		6
Osiatis		432		5
Pernod-Ricard (A)		3,078		369
Plastic Omnium (A)		433		23
Publicis Groupe (A)		8,500		606
Renault (A)		1,528		118
Rexel (A)		38,327		864
Safran (A)		19,116		1,013
Sanofi-Aventis (A)		44,881		4,772
Schneider Electric (A)		27,868		2,199
SES Global (A)		2,439		72
Societe BIC (A)		20		2
Societe Generale (A)		6,612		263
Societe Internationale de Plantations d’Heveas		73		6
Sodexo (A)		9,573		813
Sword Group		327		5
Technip (A)		4,994		554
Teleperformance (A)		276		13
Thales (A)		7,679		372
Total (A)		20,450		1,019
Unibail-Rodamco (A)		349		85
Valeo (A)		125		8
Vallourec (A)		6,173		334
Vivendi (A)		13,850		270
Wendel (A)		845		93

				26,111


Germany — 9.0%
Adidas (A)		6,912		749
Allianz (A)		2,984		460
BASF (A)		1,176		114
Bayer (A)		14,999		1,598
Bayerische Motoren Werke (A)		570		54
Borussia Dortmund GmbH & KGaA (A)		3,568		15
Brenntag (A)		4,954		752
Commerzbank * (A)		17,030		175
Constantin Medien *		2,771		5
Continental (A)		7,208		940
DaimlerChrysler (A)		28,422		1,800
Deutsche Bank (A)		21,615		1,001
Deutsche Boerse (A)		18,918		1,216
Deutsche Lufthansa * (A)		25,178		539
Deutsche Post (A)		24,468		615
Deutsche Telekom (A)		114		1
E.ON (A)		10,552		177
Fresenius (A)		323		38
Fresenius Medical Care (A)		3,360		227
GEA Group (A)		19,526		706
Gildemeister (A)		1,037		24
Grammer (A)		513		18
Hannover Rueckversicherung (A)		1,432		107
HeidelbergCement (A)		14,666		1,102
Henkel (A)		1,557		126
Infineon Technologies (A)		87,142		739
Kabel Deutschland Holding (A)		1,552		146
Lanxess (A)		1,276		94
Linde (A)		8,631		1,648
Merck KGaA (A)		2,570		406
Muenchener Rueckversicherungs (A)		5,317		989


Description	Shares		Market Value ($ Thousands)

SAP (A)		8,450	$	630
SAP ADR		7,500		551
Siemens (A)		19,052		2,003
Sixt (A)		887		20
Suedzucker (A)		5,949		201
Symrise (A)		17,734		721
ThyssenKrupp * (A)		657		13
Ultrasonic * (A)		495		7
Volkswagen (A)		173		37

				20,764


Greece — 0.0%
Hellenic Telecommunications Organization * (A)		1,777		16
OPAP (A)		2,814		23

				39


Hong Kong — 3.2%
AIA Group (A)		199,000		880
Asia Orient Holdings * (A)		40,000		7
BOC Hong Kong Holdings (A)		15,500		52
Chaoda Modern Agriculture *		1,048,000		—
Cheung Kong Holdings (A)		4,000		56
China Merchants Holdings International (A)		90,000		297
China Mobile (A)		47,100		498
China Mobile ADR		15,600		808
CNOOC (A)		398,000		697
First Pacific (A)		36,000		48
Galaxy Entertainment Group * (A)		52,000		270
Hang Seng Bank (A)		3,300		53
Henderson Land Development (A)		22,000		154
HKT Trust (A)		51,000		58
Hong Kong & China Gas (A)		24,500		69
Hong Kong Exchanges and Clearing (A)		1,200		20
Hongkong Land Holdings (A)		91,000		629
Hopewell Holdings (A)		15,000		54
Hopewell Hong Kong Properties * (B)		600		—
Hutchison Whampoa (A)		2,600		27
Hysan Development (A)		11,000		49
Jardine Matheson Holdings (A)		9,300		610
Jardine Strategic Holdings (A)		23,021		921
Kerry Properties (A)		11,000		45
MGM China Holdings * (A)		2,400		6
MTR (A)		4,000		16
New World Development (A)		104,000		165
Power Assets Holdings (A)		6,500		57
SJM Holdings (A)		24,000		65
Sun Hung Kai Properties (A)		6,000		79
Swire Pacific, Cl A (A)		1,000		13
Swire Properties (A)		17,400		54
Wharf Holdings (A)		18,000		159
Wheelock (A)		22,000		123
Yue Yuen Industrial Holdings (A)		123,000		358

				7,397


India — 0.4%
Idea Cellular * (A)		363,003		842


Indonesia — 0.1%


Description	Shares		Market Value ($ Thousands)

Bank Mandiri Persero (A)		341,400	$	337


Ireland — 0.5%
Dragon Oil (A)		16,800		158
James Hardie Industries (A)		10,374		98
Kerry Group, Cl A		412		23
Ryanair Holdings ADR *		10,300		503
Seagate Technology		232		10
Smurfit Kappa Group (A)		22,266		370

				1,162


Israel — 1.3%
Bank Hapoalim * (A)		7,873		36
Bank Leumi Le-Israel * (A)		8,439		30
Bezeq Israeli Telecommunication (A)		429,205		555
Check Point Software Technologies *		31,351		1,570
Teva Pharmaceutical Industries ADR		20,061		766

				2,957


Italy — 1.1%
Assicurazioni Generali (A)		1,318		24
Atlantia (A)		3,625		62
Banca Intesa (A)		79,900		149
Banche Popolari Unite (A)		4,153		18
Banco Popolare Scarl * (A)		17,221		25
Enel (A)		87,752		329
ERG (A)		22,620		228
Exor (A)		7,727		244
Fiat * (A)		7,320		57
Fiat Industrial (A)		954		11
Finmeccanica * (A)		43,578		240
FNM * (A)		19,072		6
Iren * (A)		4,385		5
Luxottica Group (A)		105		5
Mediobanca (A)		12,630		83
Prysmian (A)		262		6
Safilo Group * (A)		719		14
Snam (A)		116,564		551
Telecom Italia (A)		666,618		411
UniCredit (A)		8,408		47

				2,515


Japan — 15.7%
AEON Financial Service (A)		900		24
Aeon Mall (A)		1,500		39
Aichi Electric (A)		2,000		6
Alfresa Holdings (A)		1,100		57
Alpen (A)		1,800		35
Alps Logistics (A)		600		6
Amada (A)		2,000		14
Anabuki Kosan (A)		2,000		7
Aoyama Trading (A)		700		19
Arakawa Chemical Industries (A)		1,700		14
Arcland Sakamoto (A)		1,600		30
Asics (A)		2,700		41
Astellas Pharma (A)		20,900		1,062
AT-Group (A)		3,000		51
Bank of Yokohama (A)		28,000		136
Benesse (A)		14,100		518
Bridgestone (A)		28,700		927


Description	Shares		Market Value ($ Thousands)

CAC (A)		1,900	$	17
Calsonic Kansei (A)		23,000		99
Casio Computer (A)		5,300		47
C-Cube (A)		2,600		13
Central Japan Railway (A)		3,500		383
Chiyoda (A)		2,000		21
Chugai Pharmaceutical (A)		3,000		60
Credit Saison (A)		300		7
Dai Nippon Printing (A)		57,500		487
Daicel (A)		4,000		32
Daihatsu Diesel Manufacturing (A)		1,000		5
Daihatsu Motor * (A)		8,000		169
Daiichi Jitsugyo (A)		2,000		9
Daiichi Kensetsu		1,200		12
Daiichi Sankyo (A)		9,900		162
Daikin Industries (A)		800		35
Dainippon Sumitomo Pharma (A)		8,400		115
Daito Trust Construction (A)		3,700		343
Daiwa House Industry (A)		24,000		451
Daiwa Securities Group * (A)		33,000		268
East Japan Railway (A)		8,000		589
FANUC * (A)		10,500		1,538
Fast Retailing (A)		100		33
Fuji Heavy Industries (A)		13,000		291
Fuji Soft (A)		500		11
FUJIFILM Holdings (A)		22,400		460
Fujitsu * (A)		21,000		86
Fukuda (A)		2,000		7
Grandy House (A)		2,700		10
Hachijuni Bank (A)		25,400		129
Hankyu Hanshin Holdings (A)		15,000		79
Haruyama Trading (A)		1,000		7
Hino Motors (A)		27,000		381
Hirose Electric (A)		100		13
Hiroshima Bank (A)		5,000		20
Hisamitsu Pharmaceutical (A)		1,000		49
Hitachi (A)		107,000		716
Hitachi Construction Machinery (A)		300		7
Hokuriku Gas (A)		5,000		13
Hulic (A)		4,200		35
IHI (A)		2,000		7
Iida Home Max (A)		3,700		55
IT Holdings (A)		7,000		97
Iwatani (A)		4,000		15
Japan Airlines (A)		1,900		97
Japan Carlit (A)		1,100		6
Japan Exchange Group (A)		100		9
Japan Prime Realty Investment, Cl A ‡ (A)		1		3
Japan Real Estate Investment, Cl A ‡ (A)		1		10
Japan Retail Fund Investment, Cl A ‡ (A)		40		76
JFE Holdings * (A)		300		6
JGC (A)		36,000		1,188
Kamei (A)		600		5
Kanematsu * (A)		20,000		24
Kansai Paint (A)		69,000		887
Kao (A)		10,000		312
KDDI (A)		23,700		1,064


Description	Shares		Market Value ($ Thousands)

Keio (A)		1,000	$	7
Keyence (A)		2,800		850
Kikkoman (A)		1,000		16
Kobe Steel * (A)		6,000		8
Kohsoku (A)		700		6
KU Holdings (A)		800		7
Kubota (A)		4,000		58
KVK (A)		1,000		6
Lawson (A)		5,200		376
LIXIL Group (A)		100		2
Mabuchi Motor (A)		17,700		841
Maezawa Kyuso Industries (A)		400		5
Makita (A)		3,800		202
Marubeni (A)		1,000		7
Maruka Machinery (A)		400		5
Maruzen - General Commercial Kitchen Appliances & Equipment (A)		1,000		8
Matsui Construction (A)		2,000		7
Mazda Motor * (A)		25,000		96
Miraca Holdings (A)		7,800		335
Misawa Homes (A)		4,300		91
Mitsubishi Estate (A)		3,000		73
Mitsubishi Heavy Industries (A)		3,000		18
Mitsubishi Logistics (A)		3,000		41
Mitsubishi Tanabe Pharma (A)		17,900		227
Mitsui Engineering & Shipbuilding (A)		3,000		5
Mitsui Fudosan (A)		4,000		110
Mitsui Sumitomo Insurance Group Holdings (A)		25,500		622
Mitsui Trust Holdings (A)		107,610		439
Mizuho Financial Group (A)		7,100		13
Namco Bandai Holdings (A)		3,600		58
NEC Fielding (A)		1,900		23
Nihon Unisys (A)		2,600		23
Nintendo (A)		4,600		452
Nippo (A)		6,000		77
Nippon Building Fund, Cl A ‡ (A)		2		20
Nippon Road (A)		4,000		20
Nippon Telegraph & Telephone (A)		22,900		1,124
Nippon Telegraph & Telephone ADR		21,343		528
Nitto Denko (A)		1,200		71
Nomura Holdings * (A)		37,900		286
Nomura Real Estate Holdings (A)		7,100		157
North Pacific Bank (A)		42,400		139
NTT Data (A)		17		57
NTT Urban Development (A)		4		5
Nuflare Technology (A)		1		8
Obayashi (A)		2,000		10
Onoken (A)		700		7
Oriental Land (A)		300		41
ORIX (A)		1,300		17
Otsuka (A)		300		28
Otsuka Holdings (A)		5,500		175
Panasonic * (A)		26,000		197
Park24 (A)		1,500		28
Relo Holdings (A)		400		18
Ricoh (A)		4,000		46
Rohm (A)		8,100		294


Description	Shares		Market Value ($ Thousands)

Sankyo (A)		5,700	$	249
Santen Pharmaceutical (A)		6,200		247
Sato Shoji (A)		1,100		6
Secom (A)		8,000		401
Seibu Electric Industry (A)		3,000		12
Seino Holdings (A)		13,000		99
Sekisui Chemical (A)		64,000		633
Sekisui House (A)		21,000		271
Seven & I Holdings (A)		32,100		1,085
Shimano (A)		100		8
Shin-Etsu Chemical * (A)		11,200		698
Shinko Shoji (A)		700		6
Shinsho (A)		3,000		5
Shionogi (A)		4,300		80
Shiseido (A)		46,300		655
Showa (A)		5,200		63
SMC (A)		10,100		1,906
Softbank * (A)		9,100		452
Sojitz (A)		69,100		119
Sony (A)		6,300		124
Sony Financial Holdings (A)		500		7
Sugi Holdings (A)		9,800		326
Sumitomo Forestry (A)		1,800		21
Sumitomo Metal Mining (A)		1,000		13
Sumitomo Mitsui Financial Group (A)		33,800		1,327
Sumitomo Realty & Development (A)		4,000		152
Suruga Bank (A)		4,000		60
Suzuken (A)		2,100		66
Suzuki Motor (A)		29,100		704
Sysmex (A)		1,000		65
T&D Holdings (A)		400		5
Tachibana Eletech (A)		900		8
Tachikawa (A)		1,200		6
Taiyo Nippon Sanso (A)		1,000		7
Tobu Railway (A)		4,000		21
Toho Holdings (A)		4,700		84
Tokyo Electron (A)		9,700		475
Tokyu (A)		5,000		31
Tokyu Land (A)		9,000		81
Toshiba (A)		1,000		5
Toshiba TEC (A)		7,000		36
Toyoda Gosei (A)		200		5
Toyota Motor (A)		38,800		2,253
Toyota Motor ADR		3,160		371
Toyota Tsusho (A)		5,600		147
Tsumura (A)		1,600		45
Wacoal Holdings (A)		26,723		269
Warabeya Nichiyo (A)		1,700		28
Yachiyo Industry (A)		900		7
Yakult Honsha (A)		1,400		59
Yamaha Motor (A)		1,600		25
Yaskawa Electric (A)		1,000		12
Yokogawa Electric (A)		1,900		23
Yuasa Trading (A)		5,000		9

				36,318


Jersey — 0.0%
Randgold Resources (A)		157		13


Mexico — 0.0%


Description	Shares		Market Value ($ Thousands)

Bio Pappel *		2,246	$	5
Grupo Financiero Banorte, Ser O		11,900		76
Industrias Bachoco		5,443		15

				96


Netherlands — 5.1%
Aegon (A)		58,923		401
Akzo Nobel (A)		34,413		2,195
ASML Holding (A)		7,004		578
Boskalis Westminster (A)		366		15
European Aeronautic Defense and Space (A)		8,576		492
Gemalto		2,212		185
Heineken (A)		11,529		800
Heineken Holding (A)		282		16
ING Groep * (A)		54,362		505
KAS Bank ADR		1,202		14
Koninklijke Ahold (A)		71,717		1,160
Koninklijke DSM (A)		2,936		192
Koninklijke Philips (A)		4,438		125
Koninklijke Vopak (A)		1,260		76
LyondellBasell Industries, Cl A		287		19
NXP Semiconductor *		351		11
Randstad Holding (A)		1,482		63
Reed Elsevier (A)		87,413		1,429
Tetragon Financial Group		568		6
TNT * (A)		152,955		414
TNT Express (A)		106,172		814
Unilever (A)		38,739		1,578
Wolters Kluwer (A)		38,585		841

				11,929


New Zealand — 0.1%
Contact Energy (A)		7,115		29
Fletcher Building (A)		17,477		116

				145


Norway — 1.8%
Aker Solutions (A)		547		8
DnB (A)		124,523		2,008
Gjensidige Forsikring (A)		5,100		77
Orkla (A)		65,560		550
Seadrill (A)		5,909		238
Statoil (A)		55,740		1,255
Telenor (A)		1,118		24

				4,160


Portugal — 0.1%
Energias de Portugal (A)		31,206		100
Galp Energia SGPS, Cl B (A)		3,605		59

				159


Russia — 0.7%
Gazprom OAO ADR *		44,534		337
NovaTek OAO GDR (A)		2,335		259
Sberbank of Russia ADR *		87,748		1,071

				1,667


Singapore — 1.2%
CapitaCommercial Trust ‡ (A)		47,000		56
CapitaLand (A)		52,000		141
ComfortDelGro (A)		35,000		53
DBS Group Holdings (A)		30,000		406
Keppel (A)		15,180		126


Description	Shares		Market Value ($ Thousands)

Keppel Land (A)		19,000	$	56
Keppel REIT		3,036		4
New Toyo International Holdings (A)		48,000		12
SembCorp Industries (A)		109,000		417
SembCorp Marine (A)		150,000		512
Singapore Airlines (A)		52,000		440
Singapore Technologies Engineering (A)		32,000		103
Singapore Telecommunications (A)		2,000		6
STATS ChipPAC * (A)		32,000		10
UE E&C (A)		10,000		6
United Overseas Bank (A)		22,300		376
UOL Group (A)		11,000		58

				2,782


South Africa — 0.1%
Gold Fields (A)		37,700		229
Impala Platinum Holdings (A)		7,600		80

				309


South Korea — 1.8%
Hana Financial Group (A)		190		6
Hyundai Motor * (A)		4,109		764
KB Financial Group ADR		7,284		238
KT ADR		31,600		533
KT&G		9,652		680
LG.Philips LCD * (A)		7,480		206
Samsung Electronics * (A)		1,119		1,508
SK Telecom ADR		18,064		367

				4,302


Spain — 0.9%
Acciona (A)		278		17
ACS Actividades Construcciones y Servicios (A)		463		13
Amadeus IT Holding, Cl A (A)		5,239		159
Banco Bilbao Vizcaya Argentaria (A)		2,229		21
Banco Popular Espanol * (A)		219,292		181
Banco Santander Central Hispano (A)		1,482		10
Distribuidora Internacional de Alimentacion (A)		14,960		117
Enagas (A)		3,393		84
Ferrovial (A)		7,036		113
Gas Natural (A)		2,310		48
Grifols (A)		3,151		115
Iberdrola (A)		4,222		23
Inditex (A)		785		97
Indra Sistemas (A)		45,800		598
Red Electrica (A)		398		21
Tecnicas Reunidas (A)		10,281		495
Zardoya Otis (A)		2,184		30

				2,142


Sweden — 2.4%
Assa Abloy, Cl B (A)		3,461		138
Atlas Copco, Cl B (A)		81		2
Boliden (A)		2,217		32
Electrolux, Cl B (A)		12,791		343
Elekta, Cl B (A)		44,434		674
Getinge, Cl B (A)		1,085		32


Description	Shares		Market Value ($ Thousands)

Hexagon, Cl B (A)		3,366	$	97
Investor, Cl B (A)		1,325		38
Lundin Petroleum * (A)		1,037		21
Nordea Bank (A)		71,622		877
Sandvik (A)		42,851		598
Skandinaviska Enskilda Banken, Cl A (A)		68,737		713
Svenska Cellulosa, Cl B (A)		2,705		67
Svenska Handelsbanken, Cl A (A)		2,610		112
Swedbank, Cl A (A)		25,984		616
Telefonaktiebolaget LM Ericsson, Cl B (A)		89,580		1,049
Telefonaktiebolaget LM Ericsson ADR		23,216		271

				5,680


Switzerland — 8.7%
Actelion (A)		176		11
Baloise Holding (A)		873		85
Coca-Cola HBC *		927		26
Compagnie Financiere Richemont (A)		1,533		135
Credit Suisse Group (A)		13,181		388
EMS-Chemie Holding (A)		190		56
Givaudan (A)		1,455		1,868
Holcim (A)		213		16
Julius Baer Group * (A)		17,719		697
Lonza Group (A)		148		11
Nestle (A)		30,099		1,987
Novartis (A)		35,181		2,511
OC Oerlikon (A)		18,752		226
Partners Group Holding (A)		2,358		598
Roche Holding (A)		17,457		4,313
Schindler Holding		334		48
SGS (A)		541		1,208
Sika (A)		298		731
Sulzer (A)		6,519		1,085
Swatch Group (A)		75		7
Swiss Life Holding (A)		2,095		346
Swiss Re (A)		2,420		177
Syngenta (A)		2,006		780
UBS		85,143		1,490
Weatherford International *		18,863		254
Zurich Insurance Group (A)		4,169		1,099

				20,153


Taiwan — 0.1%
United Microelectronics ADR		72,529		157


Thailand — 0.0%
Krung Thai Bank (A)		15,800		12


Turkey — 0.1%
Turkiye Is Bankasi, Cl C (A)		40,696		150


United Kingdom — 18.5%
3i Group (A)		19,426		100
Aberdeen Asset Management (A)		23,778		167
Afren * (A)		193,790		381
Aggreko (A)		183		5
Amlin (A)		114,563		721


Description	Shares		Market Value ($ Thousands)

Antofagasta (A)		1,616	$	23
ARM Holdings (A)		5,771		84
Associated British Foods (A)		19,808		542
AstraZeneca (A)		10,630		543
Aviva (A)		147,280		739
Babcock International Group (A)		7,978		140
BAE Systems (A)		100,500		613
Balfour Beatty (A)		225,037		787
Barclays (A)		371,097		1,774
Barratt Developments * (A)		34,091		164
Beazley (A)		1,968		7
BG Group (A)		120,298		2,190
BHP Billiton (A)		50,472		1,448
BP (A)		79,076		564
BP PLC ADR		5,636		242
British American Tobacco (A)		24,629		1,350
British Land ‡ (A)		2,547		24
British Polythene Industries (A)		806		7
British Sky Broadcasting Group (A)		583		7
BT Group, Cl A (A)		51,114		232
Bunzl (A)		39,759		772
Capita (A)		48,921		711
Carnival (A)		4,805		160
Centamin * (A)		22,576		13
Centrica (A)		118,328		679
Compass Group (A)		9,376		123
Diageo (A)		35,576		1,049
Experian (A)		37,081		680
Fresnillo (A)		2,064		36
GlaxoSmithKline (A)		17,319		447
Hammerson ‡ (A)		6,484		50
Hargreaves Lansdown (A)		5,247		76
Hill & Smith Holdings		928		6
Home Retail Group (A)		333,386		787
HSBC Holdings		212,689		2,329
ICAP (A)		82,885		457
IMI (A)		1,711		33
Imperial Tobacco Group (A)		6,076		218
Inmarsat (A)		10,612		98
InterContinental Hotels Group (A)		2,994		86
International Consolidated Airlines Group * (A)		3,881		16
Intertek Group (A)		3,579		174
ITV (A)		65,645		130
J Sainsbury (A)		17,507		99
Johnson Matthey (A)		2,115		81
Kingfisher (A)		1,348		7
Land Securities Group ‡ (A)		4,335		61
Legal & General Group (A)		70,198		189
Lloyds Banking Group * (A)		1,096,961		1,017
Marks & Spencer Group (A)		454		3
Michael Page International (A)		90,844		526
Micro Focus International (A)		2,429		25
Mondi (A)		6,088		80
National Grid (A)		2,181		26
Next (A)		3,680		257
Novae Group		1,125		8
Old Mutual (A)		45,643		141
Pearson (A)		441		8
Persimmon * (A)		3,156		58
Petrofac (A)		63,155		1,281


Description	Shares		Market Value ($ Thousands)

Premier Oil (A)		114,112	$	619
Prudential (A)		61,729		1,036
QinetiQ (A)		35,860		100
Rank Group		2,046		5
Reed Elsevier (A)		73,160		816
Rexam (A)		72,623		580
Rio Tinto (A)		24,436		1,042
Rolls-Royce Holdings (A)		40,650		736
Royal Bank of Scotland Group * (A)		21,073		106
Royal Dutch Shell, Cl A (A)		26,128		870
Royal Dutch Shell, Cl A (GBP) (A)		26,315		874
Royal Dutch Shell, Cl B (A)		15,178		522
Royal Dutch Shell ADR, Cl B		5,625		387
SABMiller (A)		15,029		754
Schroders (A)		7,041		251
Shire (A)		24,451		803
SIG (A)		2,784		7
SSE (A)		318		7
Standard Life (A)		57,646		340
Subsea 7 * (A)		26,430		580
Synthomer (A)		8,047		25
Tate & Lyle (A)		2,664		33
Taylor Wimpey PLC (A)		32,793		49
Tesco (A)		314,694		1,739
Tullow Oil (A)		26,981		424
Unilever (A)		19,874		833
United Utilities Group (A)		3,266		37
Vodafone Group (A)		494,036		1,429
Weir Group (A)		709		25
Whitbread (A)		4,215		183
William Hill (A)		37,213		248
Willis Group Holdings		12,300		480
Wolseley (A)		5,923		301
WPP (A)		46,044		782
Xchanging (A)		9,733		20

				42,894


United States — 1.0%
Addus HomeCare *		357		6
Alon USA Energy		4,211		77
Autoliv		5,000		392
Axis Capital Holdings		7,836		341
Computer Sciences		7,603		339
Delek US Holdings		259		9
Manning & Napier, Cl A		264		5
Manpowergroup		4,033		231
Marathon Petroleum		2,711		224
Newmont Mining		13,300		456
Northrop Grumman		702		58
Phillips 66		240		16
Renewable Energy Group *		860		12
Republic Airways Holdings *		2,063		22
TravelCenters of America *		1,128		13
US Concrete *		320		5
Valero Energy		246		10
Valueclick *		777		21

				2,237

Total Common Stock (Cost $214,206) ($ Thousands)				220,550


Description	Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)

PREFERRED STOCK — 0.6%

Germany — 0.6%
Bayerische Motoren Werke (A)		125	$	9
Henkel (A)		5,064		486
Jungheinrich (A)		143		6
KSB (A)		9		5
Porsche Automobil Holding (A)		960		79
ProSiebenSat.1 Media (A)		2,192		87
Volkswagen (A)		3,257		705

Total Preferred Stock (Cost $1,266) ($ Thousands)				1,377


	Number Of Rights
RIGHTS — 0.0%

Italy — 0.0%
Exor, Expires 06/06/13		7,727		—
Exor (Preferred), Expires 06/06/13		7,727		—

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


CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		3,132,179		3,132

Total Cash Equivalent (Cost $3,132) ($ Thousands)				3,132


TIME DEPOSITS — 2.1%
Brown Brothers Harriman
4.150%, 06/01/2013 ZAR		6		1
1.903%, 06/01/2013 AUD		43		41
1.667%, 06/01/2013 NZD		27		22
0.484%, 06/01/2013 NOK		9		1
0.280%, 06/01/2013 CAD		—		—
0.100%, 06/01/2013 SEK		1		—
0.076%, 06/01/2013 GBP		27		40
0.030%, 06/01/2013		4,667		4,667
0.005%, 06/01/2013 HKD		87		11
0.005%, 06/01/2013 JPY		3,205		32
0.005%, 06/01/2013 SGD		1		1
0.001%, 06/01/2013 CHF		41		43
0.001%, 06/01/2013 EUR		78		101
(0.10)%, 06/01/2013 DKK		23		4

Total Time Deposits (Cost $4,964) ($ Thousands)				4,964


U.S. TREASURY OBLIGATION (C)(D) — 0.3%
U.S. Treasury Bills
2.766%, 06/27/2013		705		705

Total U.S. Treasury Obligation (Cost $705) ($ Thousands)				705

Total Investments — 99.6% (Cost $224,273) ($ Thousands)			$	230,728

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Hang Seng Index		1		Jun-2013	$	(2	)
SPI 200 Index		4		Jun-2013		(5	)
Topix Index		8		Jun-2013		(36	)

					$	(43	)

Percentages are based on a Net Assets of $231,661 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(1)

In U.S. dollars unless otherwise indicated.

(A)

(B)

(C)

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

(D)

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

ADR — American Depositary Receipt

ARM — Adjustable Rate Mortgage

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EUR — Euro

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

PLC — Public Limited Company

REIT — Real Estate Investment Trust

SGD — Singapore Dollar

SEK — Swedish Krona

Ser — Series

SGD — Singapore Dollar

SPI — Share Price Index

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	22,899	$	197,651	$	—	$	220,550
Preferred Stock		—		1,377		—		1,377
Cash Equivalent		3,132		—		—		3,132
Time Deposits		4,964		—		—		4,964
U.S. Treasury Obligation		—		705		—		705

Total Investments in Securities	$	30,995	$	199,733	$	—	$	230,728


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *	$	(43	)	$	—	$	—	$	(43	)

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.5%

Argentina — 0.1%
MercadoLibre (A)		67,500	$	7,737

Australia — 1.8%
Amcor (B)		967,139		9,141
Australia & New Zealand Banking Group ADR		830,800		21,759
Bendigo Bank (B)		46,797		440
BGP Holdings *		239,898		—
BHP Billiton ADR (A)		334,936		21,878
BlueScope Steel * (B)		197,656		985
Boral (B)		475,114		2,056
Caltex Australia (B)		698,894		14,933
CSL (B)		58,810		3,352
Downer EDI (B)		308,011		1,087
DuluxGroup (B)		625,671		2,739
Federation Centres ‡ (B)		1,083,678		2,573
NRW Holdings (B)		347,290		379
Nufarm (B)		93,961		408
Primary Health Care (B)		141,845		691
Qantas Airways * (B)		1,943,663		2,945
Resolute Mining (B)		1,184,013		881
Rio Tinto (B)		29,790		1,546
Sigma Pharmaceuticals (B)		489,088		374
Sims Group (A)(B)		302,197		2,784
Tabcorp Holdings (B)		454,670		1,428
Telstra (B)		829,590		3,758
Telstra ADR		559,600		12,585

				108,722


Austria — 1.1%
AMS (B)		3,657		350
Conwert Immobilien Invest (B)		949,560		11,046
Erste Group Bank (B)		607,386		19,452
OMV (B)		148,939		6,851
Schoeller-Bleckmann Oilfield Equipment (B)		276,236		28,255

				65,954


Belgium — 0.3%
Anheuser-Busch InBev (B)		117,815		10,818
Delhaize Group (A)(B)		74,919		4,763

				15,581


Brazil — 3.3%
Banco Bradesco ADR (A)		2,623,461		42,316
Banco do Brasil		2,421,000		28,541
Cia de Saneamento Basico do Estadode Sao Paulo ADR * (A)		3,140,670		39,949
Cia Paranaense de Energia ADR (A)		1,312,400		20,434
Cia Vale do Rio Doce ADR, Cl B (A)		1,303,500		18,770
Embraer ADR (A)		382,672		13,880
Kroton Educacional		304,100		4,382
Natura Cosmeticos		439,700		10,406
Petroleo Brasileiro ADR *		506,000		8,992
Tim Participacoes ADR		79,399		1,521
Totvs		951,523		16,487

				205,678


Canada — 4.7%
Agrium (A)		299,900		27,774


Description	Shares		Market Value ($ Thousands)

Canadian National Railway		190,453	$	19,387
Canadian Tire, Cl A		6,500		524
Canfor *		185,800		3,125
CCL Industries, Cl B		5,700		364
Celestica *		139,300		1,289
Cenovus Energy		284,317		8,539
Dorel Industries, Cl B		21,800		870
Empire, Cl A		32,200		2,094
Genworth MI Canada		32,500		766
George Weston		4,900		395
Granite Real Estate Investment Trust ‡ (A)		24,932		923
Laurentian Bank of Canada		11,200		478
Lululemon Athletica * (A)		253,334		19,712
Magna International, Cl A (A)		543,000		36,260
Manulife Financial (A)		1,821,000		28,772
Methanex		89,000		3,950
Metro, Cl A		15,900		1,068
Norbord		35,235		1,156
Potash Corp of Saskatchewan		397,650		16,709
Quebecor, Cl B		72,600		3,250
Rogers Communications, Cl B		296,953		13,455
Royal Bank of Canada		105,400		6,275
Saputo		107,700		5,281
Suncor Energy		147,900		4,500
Superior Plus		37,800		436
Teck Cominco, Cl B		563,950		15,109
Toronto-Dominion Bank		271,600		21,959
Transcontinental, Cl A		20,300		242
Valeant Pharmaceuticals International *		315,020		29,074
West Fraser Timber		37,700		2,809
Yamana Gold		1,500,800		17,319

				293,864


Chile — 0.1%
Enersis ADR		230,029		3,855


China — 4.1%
Agricultural Bank of China (B)		909,000		423
Anhui Conch Cement (B)		5,179,500		16,756
Anton Oilfield Services Group (A)(B)		7,221,000		6,178
Baidu ADR *		170,152		16,444
Bank of China (B)		39,142,000		18,435
Bank of Communications (B)		1,141,000		869
China Construction Bank (B)		2,072,000		1,670
China Merchants Bank (B)		1,755,099		3,512
China Oilfield Services (B)		11,257,400		23,639
China Petroleum & Chemical (B)		22,116,900		22,555
China Shipping Container Lines * (A)(B)		42,678,900		10,823
Industrial & Commercial Bank of China (B)		55,654,402		38,938
Mindray Medical International ADR (A)		528,301		21,671
Shanghai Friendship Group, Cl B (B)		16,620		20
SINA *		89,500		5,164
Sinopharm Group (B)		3,233,386		8,712
Tencent Holdings (B)		757,400		29,811
Weichai Power (B)		5,469,600		20,069


Description	Shares		Market Value ($ Thousands)

Yanzhou Coal Mining ADR (A)		727,900	$	7,323

				253,012


Colombia — 0.3%
Bancolombia ADR, Cl R (A)		300,406		17,394


Czech Republic — 0.2%
Komercni Banka (B)		62,153		11,712


Denmark — 1.1%
AP Moeller - Maersk, Cl B (B)		207		1,475
Carlsberg, Cl B (B)		255,900		24,229
Coloplast, Cl B (B)		45,545		2,589
GN Store Nord (B)		203,565		3,885
Jyske Bank *(B)		5,865		231
Novo-Nordisk, Cl B (B)		166,672		26,933
Pandora (B)		237,780		8,189
Rockwool International, Cl B (B)		2,009		273

				67,804


Finland — 0.2%
Huhtamaki (B)		15,460		292
Konecranes (B)		72,020		2,469
Neste Oil (B)		17,217		249
Orion, Cl B (B)		40,639		997
Stora Enso, Cl R (A)(B)		929,110		6,703
Tieto (B)		10,912		223
UPM-Kymmene (A)(B)		198,080		2,103

				13,036


France — 3.6%
Air France-KLM * (B)		676,826		6,494
Air Liquide (B)		163,847		21,009
AtoS (B)		19,133		1,392
BNP Paribas (B)		178,866		10,437
Capital Gemini (B)		318,212		15,454
Compagnie Generale des Etablissements Michelin, Cl B (B)		201,900		17,569
Etablissements Maurel et Prom (B)		40,065		688
France Telecom ADR (A)		1,182,400		11,942
Iliad (B)		21,150		4,412
LVMH Moet Hennessy Louis Vuitton (B)		156,366		27,542
Publicis Groupe (B)		295,201		21,061
Rallye (B)		5,843		229
Renault (B)		108,973		8,386
Safran (B)		165,030		8,747
Sanofi-Aventis (B)		240,800		25,602
Societe Generale (B)		379,686		15,099
Technicolor * (B)		55,226		234
Teleperformance (B)		193,007		9,058
Thales (B)		57,065		2,762
Total (B)		185,610		9,250
Valeo (B)		57,596		3,827

				221,194


Germany — 7.9%
Aareal Bank * (B)		25,770		634
Adidas (B)		462,997		50,194
Allianz (B)		101,821		15,683
BASF (B)		287,873		27,819
Beiersdorf (B)		59,805		5,378


Description	Shares		Market Value ($ Thousands)

Celesio (B)		102,453	$	2,099
Deutsche Bank (B)		525,528		24,347
Deutsche Boerse (B)		414,300		26,632
Deutsche Lufthansa * (B)		963,214		20,606
Duerr (B)		47,320		3,059
E.ON (B)		70,196		1,179
Freenet * (B)		198,591		4,231
Fresenius Medical Care (B)		317,484		21,493
GEA Group (B)		751,622		27,203
Gerresheimer (B)		9,019		537
Gildemeister (B)		37,137		849
Hannover Rueckversicherung (B)		9,392		705
Henkel (B)		332,600		26,975
Hugo Boss (A)(B)		226,354		25,131
Kabel Deutschland Holding (B)		277,699		26,073
KUKA * (B)		28,658		1,351
Leoni (B)		5,676		282
Merck KGaA (B)		71,544		11,291
Muenchener Rueckversicherungs (B)		117,048		21,769
Norddeutsche Affinerie (B)		127,186		7,612
Rheinmetall (B)		85,761		4,261
SAF-Holland * (B)		28,897		287
SAP (A)(B)		637,530		47,574
Siemens (B)		388,581		40,843
Suedzucker (B)		250,310		8,445
Symrise (B)		762,589		30,989
TUI * (B)		295,329		3,584
United Internet (B)		58,779		1,664

				490,779


Hong Kong — 3.2%
AIA Group (B)		6,771,340		29,935
Chaoda Modern Agriculture *		52,790		—
CLP Holdings (B)		567,500		4,782
CNOOC (B)		9,720,274		17,027
Daphne International Holdings (B)		15,184,000		13,684
First Pacific (B)		20,967,289		27,749
Hang Seng Bank (B)		751,600		12,064
Hong Kong Exchanges and Clearing (B)		1,221,177		20,442
Jardine Matheson Holdings (B)		405,429		26,606
Melco Crown Entertainment ADR *		218,420		5,194
Orient Overseas International (B)		3,815,500		23,913
Power Assets Holdings (B)		581,500		5,108
SJM Holdings (B)		1,437,000		3,899
Skyworth Digital Holdings (B)		3,922,000		2,630
Sun Hung Kai Properties (B)		392,000		5,187

				198,220


India — 1.4%
Axis Bank (B)		998,967		25,205
HCL Technologies (B)		55,782		734
ICICI Bank ADR		921,352		41,433
Indian Bank (B)		90,444		227
ITC (B)		783,210		4,709
Lupin (B)		26,129		340
Tata Motors ADR		451,700		12,390

				85,038


Indonesia — 1.1%
Bank Rakyat Indonesia Persero (B)		32,579,742		29,460
Kalbe Farma (B)		185,268,345		27,348
Telekomunikasi Indonesia Persero (B)		2,990,000		3,357


Description	Shares		Market Value ($ Thousands)

Telekomunikasi Indonesia Persero ADR		101,663	$	4,595

				64,760


Ireland — 0.7%
Accenture, Cl A (A)		224,033		18,395
ICON *		794,178		27,272

				45,667


Israel — 0.6%
Bank Hapoalim * (B)		766,649		3,542
Israel Chemicals (B)		934,480		10,377
Teva Pharmaceutical Industries ADR		569,900		21,770

				35,689


Italy — 0.9%
Azimut Holding (B)		326,230		6,162
Brembo (B)		17,559		289
Exor (B)		206,377		6,522
Fiat * (A)(B)		502,522		3,927
Gtech Spa * (B)		110,189		2,955
Mediaset * (B)		171,175		530
Safilo Group * (B)		20,195		385
Saipem (B)		399,430		10,621
Tod’s (B)		178,892		25,464

				56,855


Japan — 12.8%
Aeon (B)		49,600		576
Alfresa Holdings (B)		106,500		5,506
Alpen (B)		13,300		255
Alpine Electronics (B)		80,100		746
Aoyama Trading (B)		29,400		809
Arnest One (B)		68,600		1,235
Asahi Kasei (B)		273,000		1,827
Bridgestone (B)		455,215		14,700
Calsonic Kansei (B)		850,000		3,655
Canon Marketing Japan (B)		20,400		276
Central Glass (B)		73,000		224
Central Japan Railway (B)		52,200		5,718
Coca-Cola West (B)		45,600		807
COMSYS Holdings (B)		81,900		990
Daicel (B)		395,000		3,138
Daihatsu Motor * (B)		423,000		8,927
Daiichikosho		23,200		590
Daikyo (B)		1,523,000		4,518
Dainippon Sumitomo Pharma (B)		441,300		6,065
Daito Trust Construction (B)		179,400		16,611
Daiwa House Industry (B)		908,000		17,071
Daiwa Securities Group * (B)		919,000		7,478
DCM Holdings (B)		66,300		500
Denso (B)		849,400		34,913
Dowa Holdings (B)		389,000		3,209
FANUC * (B)		80,711		11,825
Fuji Electric * (B)		324,000		1,049
Fuji Soft (B)		11,300		242
Fujitsu * (B)		1,051,000		4,328
Hino Motors (B)		373,000		5,265
HIS (B)		97,900		3,891
Hitachi (B)		7,578,300		50,746
Honda Motor ADR (A)		441,429		16,584
Hoosiers Holdings		32,800		323
Idemitsu Kosan (B)		3,500		282
IHI (B)		159,000		579


Description	Shares		Market Value ($ Thousands)

Ines (B)		34,900	$	247
IT Holdings (B)		195,100		2,706
Iwatani (B)		101,000		376
Izumi (B)		19,200		458
Japan Airlines (B)		316,600		16,145
Japan Exchange Group (B)		285,500		26,175
Jin (A)(B)		45,500		2,355
KDDI (B)		859,416		38,572
Komatsu (B)		1,372,471		34,192
Kubota (B)		793,779		11,438
Kyokuto Securities * (B)		12,200		224
Kyowa Exeo (B)		71,400		786
Kyowa Hakko Kirin (B)		22,000		245
Maeda Road Construction (B)		87,000		1,142
Matsumotokiyoshi Holdings (B)		16,700		416
Mazda Motor * (B)		537,000		2,055
Medipal Holdings (B)		541,900		7,188
MEIJI Holdings (B)		6,000		262
Misawa Homes (B)		98,000		2,073
Mitsubishi UFJ Financial Group (B)		5,588,056		32,264
Mitsui ADR		82,300		21,028
Mitsui Engineering & Shipbuilding (B)		225,000		363
Mitsui Matsushima (B)		258,000		406
Mitsui Trust Holdings (B)		9,067,046		36,956
Mizuho Financial Group (B)		12,193,700		23,096
Morinaga Milk Industry (B)		80,000		226
Nagoya Railroad (B)		90,000		235
Namco Bandai Holdings (B)		522,600		8,427
NEC Capital Solutions (B)		9,300		214
NEC Networks & System Integration (B)		39,800		846
Nichii Gakkan (B)		250,400		2,281
Nichirei (B)		45,000		222
Nihon Unisys (B)		28,300		256
Nippo (B)		166,000		2,137
Nippon Flour Mills (B)		78,000		368
Nippon Steel & Sumitomo Metal * (B)		5,387,000		13,435
Nippon Telegraph & Telephone (B)		439,900		21,584
Nissan Tokyo Sales Holdings (B)		327,000		1,039
Nitto Denko ADR		834,060		24,830
NOF (B)		45,000		236
Nomura Holdings * (B)		760,200		5,735
Nomura Real Estate Holdings (B)		165,600		3,653
North Pacific Bank (B)		224,800		735
Otsuka (B)		20,100		1,853
Otsuka Holdings (B)		22,100		705
Pigeon (B)		22,400		1,786
Resona Holdings (B)		208,000		928
Round One (B)		72,600		446
SCSK (B)		13,100		264
Secom (B)		473,100		23,735
Sega Sammy Holdings (B)		537,300		12,700
Seino Holdings (B)		201,000		1,529
Shimachu (B)		17,100		423
Showa (B)		20,600		253
Showa Shell Sekiyu (B)		51,500		405
SKY Perfect JSAT Holdings (B)		4,256		1,824
Softbank * (B)		711,130		35,363
Sojitz (B)		1,858,000		3,186
Sumitomo Forestry (B)		25,500		298
Sumitomo Mitsui Financial Group (B)		192,400		7,557
Suzuken (B)		146,000		4,603


Description	Shares		Market Value ($ Thousands)

Sysmex (B)		410,574	$	26,797
Takashimaya (B)		69,000		637
Toagosei (B)		341,000		1,394
Toho Holdings (B)		193,600		3,455
Tokai Tokyo Securities * (B)		2,997,200		20,200
Token (B)		4,540		227
Tokyo Seimitsu (B)		60,500		1,261
Toppan Printing (B)		36,000		233
Toshiba TEC (B)		168,000		852
Toyoda Gosei (B)		57,800		1,379
Toyota Motor (B)		730,109		42,389
Tsuruha Holdings (B)		37,900		3,036
UNY Group Holdings (B)		67,200		440
Wacom (B)		470,000		5,777
Watabe Wedding (B)		7,955		59
Zenkoku Hosho (B)		18,000		577

				789,656


Malaysia — 0.1%
Hong Leong Financial Group (B)		94,700		455
Malayan Banking (B)		1,853,900		6,095
RHB Capital (B)		180,000		509
Tenaga Nasional (B)		456,800		1,230

				8,289


Mexico — 0.6%
Alfa, Cl A		330,212		779
Grupo Financiero Banorte, Ser O		1,831,135		11,658
Grupo Financiero Santander Mexico ADR *		757,193		11,979
Wal-Mart de Mexico		5,135,600		15,090

				39,506


Netherlands — 3.6%
AerCap Holdings *		63,374		1,098
ASML Holding (B)		262,891		21,695
Chicago Bridge & Iron		490,468		31,047
Core Laboratories (A)		324,577		44,714
European Aeronautic Defense and Space (A)(B)		375,514		21,560
Heineken Holding (B)		51,727		3,044
LyondellBasell Industries, Cl A (A)		429,325		28,614
Nutreco (B)		37,964		1,607
NXP Semiconductor *		940,980		29,029
Randstad Holding (B)		32,621		1,394
Reed Elsevier (B)		1,587,200		25,935
Ternium ADR		33,376		778
TomTom * (B)		49,095		256
Yandex, Cl A *		429,144		11,655

				222,426


New Zealand — 0.0%
Trade Me (B)		596,605		2,367


Norway — 2.0%
DnB (B)		2,181,356		35,174
DNO International * (B)		163,666		292
Norsk Hydro (A)(B)		3,021,328		13,656
Seadrill (B)		35,400		1,428
SpareBank 1 SMN (B)		33,373		289
Statoil (A)(B)		870,230		19,593
Statoil ADR (A)		1,872,022		42,158


Description	Shares		Market Value ($ Thousands)

Telenor (B)		563,800	$	11,825

				124,415


Peru — 0.1%
Credicorp		37,380		5,144


Philippines — 0.0%
Metropolitan Bank & Trust (B)		107,000		319


Poland — 0.0%
Polski Koncern Naftowy Orlen * (B)		37,153		591
Tauron Polska Energia (B)		321,681		419

				1,010


Qatar — 0.4%
Industries Qatar QSC (B)		566,995		25,886


Russia — 0.7%
Lukoil ADR		411,081		24,069
Mail.ru Group GDR *		645,732		18,029

				42,098


Singapore — 1.6%
ComfortDelGro (B)		376,000		565
DBS Group Holdings (B)		1,842,000		24,926
Ezion Holdings (B)		3,077,000		5,513
Golden Agri-Resources (B)		48,399,700		21,963
Keppel (B)		2,786,647		23,053
United Overseas Bank ADR		719,200		24,323

				100,343


South Africa — 0.6%
Aspen Pharmacare Holdings (B)		184,255		3,792
Sasol ADR (A)		775,100		34,399
Telkom *		253,773		376

				38,567


South Korea — 3.8%
Hana Financial Group (B)		357,820		11,933
Hanjin Shipping * (B)		134,180		904
Hyundai Mobis (B)		87,123		21,790
Hyundai Motor * (B)		56,417		10,492
Kia Motors (B)		220,267		11,430
Kolao Holdings (B)		46,960		1,323
KT (B)		121,340		4,148
LG.Philips LCD * (B)		466,210		12,836
POSCO (B)		41,435		11,729
POSCO ADR (A)		284,200		20,079
Samsung Electronics (B)		55,820		75,210
SK Holdings * (B)		60,747		9,449
SK Telecom (B)		6,110		1,128
SK Telecom ADR (A)		1,270,400		25,789
Woori Finance Holdings (B)		372,880		3,884
Woori Finance Holdings ADR (A)		392,000		12,297

				234,421


Spain — 0.6%
Amadeus IT Holding, Cl A (A)(B)		1,105,901		33,656
Banco Popular Espanol * (B)		180		—
Grifols (B)		86,855		3,171

				36,827


Sweden — 2.3%


Description	Shares		Market Value ($ Thousands)

Electrolux, Cl B (B)		60,554	$	1,625
Getinge, Cl B (A)(B)		1,073,866		31,979
Hennes & Mauritz, Cl B (A)(B)		510,085		17,389
Hexagon, Cl B (A)(B)		910,351		26,314
Holmen, Cl B (A)(B)		30,513		825
Nordea Bank (B)		1,142,743		13,990
Skandinaviska Enskilda Banken, Cl A (B)		194,601		2,018
Svenska Cellulosa ADR		548,000		13,645
Swedbank, Cl A (B)		803,723		19,072
Telefonaktiebolaget LM Ericsson ADR (A)		1,575,600		18,387

				145,244


Switzerland — 6.2%
Actelion (B)		444,885		26,481
Bucher Industries (B)		1,014		237
Credit Suisse Group (B)		955,914		28,155
Credit Suisse Group ADR (A)		619,975		18,252
EMS-Chemie Holding (B)		11,430		3,377
Forbo Holding (B)		3,531		2,160
Georg Fischer (B)		5,364		2,456
Givaudan (B)		20,743		26,629
Julius Baer Group * (B)		312,572		12,301
Nestle (B)		204,401		13,493
Novartis (B)		347,512		24,806
Novartis ADR		360,626		25,879
OC Oerlikon (B)		604,741		7,285
Roche Holding (B)		284,021		70,173
Swatch Group, Cl B (B)		10,787		6,127
Swiss Life Holding (B)		38,451		6,352
Swiss Re (B)		94,182		6,892
Syngenta (B)		40,870		15,888
Transocean (A)		448,883		22,547
UBS (B)		1,762,492		30,817
Zurich Insurance Group ADR (A)		1,348,600		35,832

				386,139


Taiwan — 1.6%
Advanced Semiconductor Engineering		5,639,750		23,687
Fubon Financial Holding (B)		9,047,949		11,901
Hermes Microvision (B)		88,000		2,849
HON HAI Precision Industry (B)		1,853,000		4,688
Innolux * (B)		5,358,000		3,575
MediaTek (B)		2,176,000		26,862
Taishin Financial Holding (B)		2,389,610		1,022
Taiwan PCB Techvest * (B)		182,000		246
Taiwan Semiconductor Manufacturing ADR (A)		724,000		13,510
TPK Holding (B)		168,000		3,307
United Microelectronics (B)		3,643,000		1,600
United Microelectronics ADR		1,211,600		2,629

				95,876


Thailand — 1.1%
Advanced Info Service (B)		893,300		7,726
Airports of Thailand (B)		238,300		1,452
Bangkok Bank (B)		1,174,300		7,931
CP ALL (B)		16,986,531		24,140
Krung Thai Bank		16,807,850		12,291
Pruksa Real Estate (B)		2,331,500		1,969
PTT Global Chemical (B)		349,100		832
Thai Airways International (B)		482,300		533


Description	Shares		Market Value ($ Thousands)

Thaicom (B)		4,055,700	$	4,831
Thanachart Capital (B)		1,205,600		1,809
Total Access Communication (B)		1,651,300		6,249

				69,763


Turkey — 1.4%
Akbank (B)		3,810,901		18,075
Kardemir Karabuk Demir Celik Sanayi ve Ticaret, Cl D * (B)		3,027,350		2,597
KOC Holding ADR		442,350		12,607
Turk Hava Yollari (B)		2,165,095		10,014
Turkiye Garanti Bankasi (B)		1,792,079		9,219
Turkiye Is Bankasi, Cl C (B)		4,737,672		17,491
Turkiye Vakiflar Bankasi Tao, Cl D (B)		4,525,161		14,292

				84,295


United Kingdom — 15.9%
3i Group (B)		6,029,833		30,911
Aberdeen Asset Management (B)		812,120		5,695
ARM Holdings (B)		641,221		9,371
ARM Holdings ADR (A)		1,168,359		51,268
Ashtead Group (B)		432,770		4,091
Associated British Foods (B)		624,872		17,086
AstraZeneca (B)		462,729		23,623
AstraZeneca ADR (A)		716,000		36,695
BAE Systems ADR (A)		1,095,000		26,992
Barclays (B)		8,481,991		40,542
Berkeley Group Holdings (B)		151,450		4,835
BP (B)		313,767		2,238
BP PLC ADR (A)		333,202		14,298
British American Tobacco (B)		470,443		25,794
Burberry Group (B)		563,371		12,294
Cairn Energy * (B)		404,542		1,663
Carnival (B)		416,780		13,930
CSR (B)		64,970		539
Diageo (B)		1,257,639		37,070
Diageo ADR (A)		105,800		12,512
Drax Group (B)		26,733		231
EnQuest * (B)		459,062		893
Ensco, Cl A		189,300		11,390
Experian (B)		1,376,861		25,268
GlaxoSmithKline (B)		249,910		6,452
Halma (B)		336,730		2,624
Home Retail Group (A)(B)		1,009,815		2,383
HSBC Holdings		5,931,891		64,950
Imperial Tobacco Group (B)		623,500		22,325
Interserve (B)		32,790		241
Kingfisher (B)		4,179,226		21,726
Marks & Spencer Group ADR (A)		990,400		14,064
Micro Focus International (B)		120,600		1,248
Mondi (B)		476,401		6,257
Pace		116,725		446
Pearson (B)		645,434		11,970
Persimmon * (B)		298,020		5,468
QinetiQ (B)		540,438		1,516
Reckitt Benckiser Group (B)		371,639		26,518
Rio Tinto (B)		86,661		3,693
Rio Tinto ADR (A)		906,713		38,735
Rolls-Royce Holdings (B)		1,025,940		18,569
Royal Bank of Scotland Group * (B)		2,708,511		13,647
Royal Dutch Shell, Cl A (B)		1,358,917		45,247
Royal Dutch Shell, Cl A (GBP) (B)		329,219		10,933
Royal Dutch Shell ADR, Cl A		493,300		32,740


Description	Shares		Market Value ($ Thousands)

RPC Group (B)		75,736	$	461
SABMiller (B)		296,188		14,868
Sage Group (B)		5,074,100		27,945
Sage Group ADR		577,600		12,898
Shire (B)		1,032,431		33,908
Standard Chartered (B)		915,541		21,153
Subsea 7 * (B)		446,951		9,817
Taylor Wimpey PLC (B)		2,068,099		3,087
Tesco (B)		4,332,700		23,940
Tullow Oil (B)		484,648		7,610
Unilever ADR (A)		573,433		24,090
WH Smith (B)		20,284		231
William Hill (B)		559,001		3,728
WPP (B)		2,405,072		40,855

				985,572


United States — 3.4%
Alon USA Energy		55,651		1,019
Axis Capital Holdings		589,600		25,683
Boise *		298,237		2,404
Cambrex *		91,410		1,258
Carnival, Cl A (A)		590,419		19,543
Central Garden and Pet *		35,753		278
Computer Sciences		386,494		17,241
Delek US Holdings		97,114		3,499
Everest Re Group (A)		214,083		27,747
Exelis		21,454		260
Green Plains Renewable Energy *		22,786		362
Greenbrier *		17,320		406
Liberty Global, Cl A *		155,100		11,431
Marathon Petroleum		125,948		10,391
Northrop Grumman		35,257		2,905
Pantry *		21,144		265
PharMerica *		16,824		263
RenaissanceRe Holdings		145,700		12,525
Renewable Energy Group *		21,662		293
Schlumberger		309,985		22,638
Tesoro		90,169		5,559
TravelCenters of America *		25,977		289
Tyson Foods, Cl A		20,725		518
Virgin Media (A)		534,913		26,564
Western Refining (A)		38,884		1,297
Yum! Brands (A)		257,470		17,443

				212,081

Total Common Stock (Cost $5,217,286) ($ Thousands)				5,912,795


PREFERRED STOCK — 0.9%

Brazil — 0.3%
Cia Brasileira de Distribuicao Grupo Pao de Acucar, Cl Preference		84,600		4,110
Itau Unibanco Holding ADR		1,110,413		16,700

				20,810


Germany — 0.6%
Henkel (B)		83,631		8,025
Volkswagen (B)		120,700		26,138

				34,163

Total Preferred Stock (Cost $54,383) ($ Thousands)				54,973


Description	Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)

	Number Of Rights
RIGHTS — 0.0%

Italy — 0.0%
Exor, Expires 06/06/13		206,377	$	—
Exor (Preferred), Expires 06/06/13		206,377		—

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


AFFILIATED PARTNERSHIP — 9.2%
SEI Liquidity Fund, L.P.
0.100% **† (C)		570,536,741		570,537

Total Affiliated Partnership (Cost $570,537) ($ Thousands)				570,537


CASH EQUIVALENT — 0.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		25,307,648		25,308

Total Cash Equivalent (Cost $25,308) ($ Thousands)				25,308


TIME DEPOSITS — 1.5%
Brown Brothers Harriman
4.150%, 06/01/2013 ZAR		56		6
1.903%, 06/01/2013 AUD		183		175
1.667%, 06/01/2013 NZD		461		368
0.484%, 06/01/2013 NOK		2,738		465
0.280%, 06/01/2013 CAD		104		101
0.100%, 06/01/2013 SEK		4,540		683
0.076%, 06/01/2013 GBP		2,746		4,163
0.030%, 06/01/2013		81,091		81,091
0.005%, 06/01/2013 HKD		6,188		797
0.005%, 06/01/2013 JPY		17,860		177
0.005%, 06/01/2013 SGD		385		304
0.001%, 06/01/2013 CHF		2,001		2,086
0.001%, 06/01/2013 EUR		1,248		1,618
(0.10)%, 06/01/2013 DKK		1,309		227

Total Time Deposits (Cost $92,261) ($ Thousands)				92,261


U.S. TREASURY OBLIGATIONS (D) (E) — 0.2%
U.S. Treasury Bills
0.080%, 06/27/2013		7,521		7,521
0.070%, 07/25/2013		4,767		4,767

Total U.S. Treasury Obligations (Cost $12,287) ($ Thousands)				12,288

Total Investments — 107.7% (Cost $5,972,062) ($ Thousands)			$	6,668,162

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		1,174		Jun-2013	$	329
FTSE 100 Index		379		Jun-2013		180
Hang Seng Index		41		Jun-2013		(15	)
S&P TSX 60 Index		113		Jun-2013		119
SPI 200 Index		103		Jun-2013		(203	)
Topix Index		238		Jun-2013		(412	)

					$	(2	)

Percentages are based on a Net Assets of $6,192,852 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2013. The total value of securities on loan at May 31, 2013 was $540,135 ($ Thousands).

(B)

(C)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2013 was $570,537 ($ Thousands).

(D)

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

(E)

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

NOK — Norwegian Krone

NZD — New Zealand Dollar

PLC — Public Limited Company

SEK — Swedish Krona

Ser — Series

SGD — Singapore Dollar

SPI — Share Price Index

TSX — Toronto Stock Exchange

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	1,909,986		$	4,002,809	$	—	$	5,912,795
Preferred Stock		20,810			34,163		—		54,973
Affiliated Partnership		—			570,537		—		570,537
Cash Equivalent		25,308			—		—		25,308
Time Deposits		92,261			—		—		92,261
U.S. Treasury Obligations		—			12,288		—		12,288

Total Investments in Securities	$	2,048,365		$	4,619,797	$	—	$	6,668,162


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

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

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 91.4%

Argentina — 0.2%
MercadoLibre		1,100	$	126


Australia — 1.7%
BGP Holdings *		4,500		—
BHP Billiton ADR		4,614		301
Caltex Australia (A)		3,705		79
Commonwealth Bank of Australia (A)		5,747		366
CSL (A)		1,110		63
Federation Centres ‡ (A)		20,627		49
K&S (A)		2,260		4
Rio Tinto (A)		560		29
Tassal Group (A)		8,132		16
Telstra (A)		15,800		72
Westpac Banking (A)		2,739		74

				1,053


Austria — 2.1%
Conwert Immobilien Invest (A)		13,048		152
Erste Group Bank (A)		8,680		278
OMV (A)		9,483		436
Schoeller-Bleckmann Oilfield Equipment (A)		3,719		380
Strabag (A)		1,589		34
Voestalpine (A)		106		4

				1,284


Belgium — 0.1%
Recticel (A)		4,647		32
Sioen Industries (A)		1,719		16

				48


Brazil — 1.5%
Banco Bradesco ADR		14,249		230
Banco do Brasil		21,300		251
Embraer ADR		6,087		221
Kroton Educacional		5,800		83
Natura Cosmeticos		7,465		177

				962


Canada — 4.2%
Agrium		2,900		269
Canadian National Railway		3,558		362
Canadian Natural Resources		8,800		263
Canfor *		3,200		54
Cenovus Energy		4,004		120
Chorus Aviation, Cl A		840		2
Exco Technologies		600		3
Intertape Polymer Group		12,872		160
Lululemon Athletica *		3,627		282
Magellan Aerospace *		1,300		6
Parkland Fuel		211		4
Potash Corp of Saskatchewan		5,603		235
Rogers Communications, Cl B		4,082		185
Royal Bank of Canada		2,000		119
Suncor Energy		2,800		85
Talisman Energy		22,800		268
Teck Cominco, Cl B		8,100		217

				2,634


Chile — 0.1%


Description	Shares		Market Value ($ Thousands)

Enersis ADR		2,614	$	44


China — 5.7%
Agricultural Bank of China (A)		456,000		212
Anhui Conch Cement (A)		73,000		236
Anton Oilfield Services Group (A)		138,000		118
Baidu ADR *		2,635		255
Bank of China (A)		642,000		302
China Construction Bank (A)		402,000		324
China Merchants Bank (A)		25,811		52
China Oilfield Services (A)		153,800		323
China Shipping Container Lines * (A)		589,000		149
Industrial & Commercial Bank of China (A)		1,150,836		805
Mindray Medical International ADR		7,276		299
SINA *		1,250		72
Sinopharm Group (A)		45,636		123
Weichai Power (A)		74,200		272

				3,542


Colombia — 0.4%
Bancolombia ADR, Cl R		4,170		241


Czech Republic — 0.3%
Komercni Banka (A)		887		167


Denmark — 0.9%
Novo-Nordisk, Cl B (A)		2,447		395
Pandora (A)		4,560		157

				552


Finland — 1.3%
Atria, Cl A		3,056		25
HKScan, Cl A		2,192		11
Konecranes (A)		1,400		48
Neste Oil (A)		13,023		188
Norvestia, Cl B (A)		38		—
Orion, Cl B (A)		6,944		170
Pohjola Bank, Cl A (A)		8,822		143
Stora Enso, Cl R (A)		518		4
Tieto (A)		1,555		32
UPM-Kymmene (A)		16,148		172

				793


France — 5.0%
Air Liquide (A)		2,539		326
BNP Paribas (A)		6,604		385
Bongrain (A)		180		12
Burelle (A)		141		63
Cie Lebon		46		6
Compagnie Generale des Etablissements Michelin, Cl B (A)		4,385		382
Constructions Industrielles de la Mediterranee *		38		4
Esso Francaise (A)		190		12
Fleury Michon		114		6
Iliad (A)		400		83
Les Nouveaux Constructeurs Investissement		3,175		31
LVMH Moet Hennessy Louis Vuitton (A)		2,333		411
Publicis Groupe (A)		4,355		311


Description	Shares		Market Value ($ Thousands)

Renault (A)		2,080	$	160
Safran (A)		2,500		133
Societe Generale (A)		6,050		241
Teleperformance (A)		1,140		54
Tessi (A)		971		103
Thales (A)		4,941		239
UBISOFT Entertainment * (A)		11,900		155

				3,117


Germany — 5.3%
Adidas (A)		3,090		335
ADVA Optical Networking * (A)		249		1
Allianz (A)		1,444		222
BASF (A)		4,536		438
Bayer (A)		3,674		391
Beiersdorf (A)		1,130		102
Borussia Dortmund GmbH & KGaA (A)		6,049		24
Constantin Medien *		19,238		37
CropEnergies (A)		3,563		27
Deutsche Bank (A)		7,753		359
Deutsche Lufthansa * (A)		10,310		221
Fresenius Medical Care (A)		4,992		338
Hannover Rueckversicherung (A)		50		4
Koenig & Bauer (A)		756		16
Patrizia Immobilien * (A)		5,233		62
SAP (A)		3,982		297
Siemens (A)		2,433		256
Sixt (A)		2,630		59
Symrise (A)		2,530		103
Ultrasonic * (A)		882		12

				3,304


Hong Kong — 3.8%
AIA Group (A)		105,382		466
Allan International Holdings		11,683		4
Champion Technology Holdings (A)		98,000		1
Chuang’s Consortium International * (A)		452,000		62
CNOOC (A)		129,030		226
CSI Properties (A)		1,960,000		87
Daphne International Holdings (A)		214,000		193
EcoGreen Fine Chemicals Group		326,000		78
Harbour Centre Development		7,000		14
Hong Kong Exchanges and Clearing (A)		17,221		288
Keck Seng Investments		8,000		4
Luen Thai Holdings (A)		201,000		84
Melco Crown Entertainment ADR *		4,200		100
Orient Overseas International (A)		53,000		332
Pacific Century Premium Developments * (A)		8,000		3
Pacific Textile Holdings (A)		25,000		31
Power Assets Holdings (A)		11,000		97
SJM Holdings (A)		27,000		73
Skyworth Digital Holdings (A)		74,000		50
TAI Cheung Holdings (A)		5,000		4
Wharf Holdings (A)		15,000		133
Wing On International (A)		12,111		38

				2,368


India — 1.0%
ICICI Bank ADR		13,577		611
Wipro ADR		464		3

				614


Indonesia — 0.5%


Description	Shares		Market Value ($ Thousands)

Asahimas Flat Glass (A)		3,000	$	2
Bank Rakyat Indonesia Persero (A)		81,000		73
Telekomunikasi Indonesia Persero (A)		42,500		48
Telekomunikasi Indonesia Persero ADR		3,626		164

				287


Ireland — 1.2%
Accenture, Cl A		4,432		364
ICON *		11,034		379

				743


Italy — 0.8%
Azimut Holding (A)		6,250		118
Danieli & C Officine Meccaniche (A)		145		4
Enel (A)		26,161		98
Fiat * (A)		30,585		239
Gtech Spa * (A)		1,800		48

				507


Japan — 12.9%
AOI Electronics (A)		200		3
Argo Graphics (A)		1,200		18
Asahi Broadcasting (A)		8,800		66
Asahi Kasei (A)		5,000		33
AT-Group (A)		4,000		68
Belluna (A)		5,000		49
Bridgestone (A)		5,855		189
C-Cube (A)		6,600		32
Chuo Spring (A)		3,000		9
Cleanup (A)		500		4
Coca-Cola Central Japan (A)		2,100		31
Computer Engineering & Consulting (A)		8,000		50
Daiwa House Industry (A)		15,000		282
Daiwa Securities Group * (A)		19,000		155
Denso (A)		13,500		555
Dowa Holdings (A)		7,000		58
Faith (A)		153		17
FANUC * (A)		1,120		164
FJ Next (A)		3,700		37
Fuji Kiko (A)		2,000		6
Fukuda Denshi (A)		300		12
Gamecard-Joyco Holdings		1,000		15
Happinet (A)		9,400		72
Hitachi (A)		74,000		495
Hokkaido Coca-Cola Bottling (A)		2,000		10
Hokkan Holdings (A)		14,000		41
Hokuriku Gas (A)		17,000		44
Honda Motor ADR		8,785		330
Ichikoh Industries * (A)		3,000		4
IT Holdings (A)		200		3
Japan Airlines (A)		2,200		112
Japan Exchange Group (A)		520		48
Jidosha Buhin Kogyo (A)		1,000		5
Jin (A)		900		47
JK Holdings (A)		3,100		18
Kamei (A)		4,000		33
KDDI (A)		5,175		232
Keiyo Gas (A)		1,000		5
Kohsoku (A)		400		4
Komatsu (A)		12,350		308
Komatsu Wall Industry (A)		1,600		32
KRS (A)		4,800		45
KU Holdings (A)		700		6


Description	Shares		Market Value ($ Thousands)

Kubota (A)		14,868	$	214
Maeda Road Construction (A)		13,000		171
Marubun (A)		2,400		11
Maruka Machinery (A)		300		4
Maruzen - General Commercial Kitchen Appliances & Equipment (A)		4,000		33
Mazda Motor * (A)		10,000		38
Medipal Holdings (A)		1,200		16
Mitani (A)		4,800		84
Mitsui Trust Holdings (A)		60,600		247
Murakami (A)		1,000		14
Nagawa		300		5
Namura Shipbuilding (A)		7,200		67
Nichireki (A)		3,363		23
NIFTY (A)		20		27
Nihon Tokushu Toryo (A)		1,600		6
Nippon Steel & Sumitomo Metal * (A)		74,000		185
Nippon Telegraph & Telephone (A)		7,100		348
Nishikawa Rubber (A)		400		7
Nisshin Fudosan (A)		5,200		36
Nissin Sugar (A)		2,800		62
Nomura Holdings * (A)		30,700		232
Pigeon (A)		400		32
Rokko Butter (A)		1,600		11
San-Ai Oil (A)		2,691		10
Sankyo Frontier (A)		2,000		14
Secom (A)		6,600		331
Seibu Electric Industry (A)		2,000		8
Seino Holdings (A)		20,000		152
Senshu Electric (A)		5,000		62
Shidax (A)		2,600		13
Shin Nippon Air Technologies (A)		2,000		11
Shiroki (A)		9,000		19
Sinko Industries (A)		1,100		9
SKY Perfect JSAT Holdings (A)		55		24
Softbank * (A)		4,499		224
Soken Chemical & Engineering (A)		700		10
Sumitomo Densetsu (A)		300		4
Sumitomo Mitsui Financial Group (A)		3,700		145
Tachikawa (A)		2,600		12
TKC (A)		2,900		48
Tokai (A)		300		8
Tokyo Energy & Systems (A)		1,000		4
Toyota Motor (A)		18,717		1,087
Tsuruha Holdings (A)		700		56
Vital KSK Holdings (A)		1,400		10
Wacom (A)		10,800		133
Warabeya Nichiyo (A)		3,700		61
Yachiyo Industry (A)		600		5
Zojirushi (A)		2,000		6

				8,086


Malaysia — 0.4%
DRB-Hicom (A)		18,300		17
Faber Group (A)		44,700		23
Malayan Banking (A)		55,000		181
Tenaga Nasional (A)		16,700		45

				266


Mexico — 1.0%
Grupo Financiero Banorte, Ser O		28,503		181
Grupo KUO De		900		2
Industrias Bachoco		42,402		122


Description	Shares		Market Value ($ Thousands)

Industrias Bachoco ADR		2,630	$	91
Infraestructura Energetica Nova *		1,555		6
Wal-Mart de Mexico		72,405		213

				615


Netherlands — 3.2%
ASML Holding (A)		4,038		333
Core Laboratories		4,672		643
European Aeronautic Defense and Space (A)		6,258		359
ING Groep *(A)		288		3
KAS Bank ADR		1,472		17
SNS Reaal *		1,762		1
Unilever (A)		10,703		436
Yandex, Cl A *		7,203		196

				1,988


New Zealand — 0.3%
Air New Zealand (A)		8,185		10
Fletcher Building (A)		23,121		153
Trade Me (A)		11,385		45

				208


Norway — 1.3%
DnB (A)		40,386		651
Norsk Hydro (A)		41,673		189

				840


Peru — 0.2%
Credicorp		710		98


Philippines — 0.2%
Lopez Holdings (A)		1,077,100		154


Poland — 0.1%
Getin Holding (A)		3,605		3
KGHM Polska Miedz (A)		279		12
Polski Koncern Naftowy Orlen * (A)		4,075		65

				80


Portugal — 0.0%
Portucel (A)		4,792		17


Russia — 0.2%
Surgutneftegas ADR *		14,617		109


Singapore — 1.3%
DBS Group Holdings (A)		32,000		433
Ezion Holdings (A)		59,000		106
Golden Agri-Resources (A)		8,000		4
GP Batteries International		11,708		9
New Toyo International Holdings (A)		35,000		9
Oversea-Chinese Banking (A)		2,000		16
Popular Holdings (A)		41,000		9
QAF (A)		35,000		29
United Industrial (A)		79,000		191

				806

South Africa — 0.1%


Description	Shares		Market Value ($ Thousands)

Aspen Pharmacare Holdings (A)		3,520	$	72

South Korea — 3.5%
Hyundai Mobis (A)		1,255		314
Hyundai Motor * (A)		1,031		192
Kia Motors (A)		603		31
Kolao Holdings (A)		900		25
LG.Philips LCD * (A)		510		14
POSCO (A)		596		169
Samsung Electronics (A)		879		1,184
SK Holdings * (A)		926		144
Taekwang Industrial (A)		109		101
YESCO		1,180		40

				2,214


Spain — 0.8%
Amadeus IT Holding, Cl A (A)		15,531		473
Grifols (A)		1,650		60

				533


Sweden — 1.2%
AarhusKarlshamn		612		32
Getinge, Cl B (A)		14,812		441
Hennes & Mauritz, Cl B (A)		7,268		248
Svenska Cellulosa, Cl B (A)		243		6

				727


Switzerland — 6.3%
Credit Suisse Group ADR		8,928		263
Emmi		47		14
EMS-Chemie Holding (A)		220		65
Highlight Communications (A)		8,083		44
Julius Baer Group * (A)		4,260		168
Nestle (A)		2,877		190
Novartis (A)		5,263		376
Novartis ADR		5,145		369
OC Oerlikon (A)		3,988		48
Roche Holding (A)		5,498		1,358
Swatch Group, Cl B (A)		222		126
Swiss Life Holding (A)		1,016		168
Swiss Re (A)		1,100		81
Syngenta (A)		706		274
Transocean		6,300		316
UBS (A)		5,200		91

				3,951


Taiwan — 1.7%
Advanced Semiconductor Engineering		79,236		333
Asia Polymer (A)		45,000		35
Asustek Computer (A)		1,647		18
AU Optronics ADR *		19,226		86
CMC Magnetics * (A)		78,000		15
Elitegroup Computer Systems (A)		52,000		22
Formosa Chemicals & Fibre (A)		5,000		12
Formosa Petrochemical (A)		7,000		18
Hermes Microvision (A)		2,000		65
HON HAI Precision Industry (A)		8,131		21
HON HAI Precision Industry GDR (A)		18,319		92
Nan Ya Plastics (A)		6,000		12
Pegatron * (A)		3,633		6
Quanta Computer (A)		8,000		17
Taiwan Semiconductor Manufacturing ADR		12,481		233


Description	Shares		Market Value ($ Thousands)

TPK Holding (A)		3,000	$	59
Yageo * (A)		43,000		15
Zenitron (A)		23,000		15

				1,074


Thailand — 1.0%
Advanced Info Service (A)		25,400		220
Krung Thai Bank (A)		113,900		83
Pruksa Real Estate (A)		45,100		38
PTT (Foreign) (A)		13,000		139
PTT Global Chemical (A)		26,700		64
Thaicom (A)		77,100		92
Total Access Communication (A)		2,100		8

				644


Turkey — 1.3%
Akbank (A)		52,657		250
KOC Holding ADR		2,190		62
Turkiye Garanti Bankasi (A)		24,692		127
Turkiye Is Bankasi, Cl C (A)		65,354		241
Turkiye Vakiflar Bankasi Tao, Cl D (A)		38,552		122

				802


United Kingdom — 14.8%
3i Group (A)		15,900		81
Aberdeen Asset Management (A)		15,470		108
ARM Holdings (A)		9,442		138
ARM Holdings ADR		16,794		737
Ashtead Group (A)		8,250		78
Associated British Foods (A)		10,163		278
AstraZeneca (A)		6,527		333
Barclays (A)		43,067		206
Berkeley Group Holdings (A)		2,900		93
BHP Billiton (A)		2,228		64
BP (A)		39,795		284
BP PLC ADR		5,984		257
British American Tobacco (A)		7,716		423
British Polythene Industries (A)		597		5
Burberry Group (A)		8,869		194
Carnival (A)		6,121		205
Dart Group		7,297		22
Diageo (A)		18,393		542
Gem Diamonds *		15,406		33
GlaxoSmithKline (A)		4,770		123
Halma (A)		6,410		50
HSBC Holdings		74,209		812
Impellam Group		800		5
Imperial Tobacco Group (A)		2,279		82
Johnson Service Group		14,781		10
Kingfisher (A)		60,387		314
Lavendon Group (A)		8,308		20
Mondi (A)		3,008		40
Pearson (A)		10,139		188
Persimmon * (A)		5,700		105
QinetiQ (A)		2,709		8
Reckitt Benckiser Group (A)		5,588		399
Rio Tinto (A)		1,640		70
Rio Tinto ADR		6,743		288
Rolls-Royce Holdings (A)		16,382		296
Royal Bank of Scotland Group * (A)		43,350		218
SABMiller (A)		4,480		225
Shire (A)		14,213		467
Standard Chartered (A)		13,408		310


Description	Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)

Standard Life (A)		12,330	$	73
Subsea 7 * (A)		13,680		300
Trinity Mirror *		27,435		51
Tullow Oil (A)		6,895		108
Unilever ADR		8,342		350
WPP (A)		12,765		217
Xchanging (A)		23,731		49

				9,259


United States — 3.5%
Adams Resources & Energy		276		17
Alon USA Energy		1,077		20
Carnival, Cl A		8,424		279
Computer Sciences		3,994		178
Everest Re Group		3,085		400
Liberty Global, Cl A *		2,300		169
Manning & Napier, Cl A		4,412		88
Marathon Petroleum		2,990		247
Northrop Grumman		1,418		117
Phillips 66		1,453		97
Schlumberger		4,626		338
Star Gas Partners		2,528		12
Tesoro		64		4
Yum! Brands		3,740		253

				2,219

Total Common Stock (Cost $52,461) ($ Thousands)				57,148


PREFERRED STOCK — 0.9%

Brazil — 0.8%
Itau Unibanco Holding ADR		17,710		266
Petroleo Brasileiro, Cl Preference *		26,700		250

				516


Germany — 0.1%
Draegerwerk (A)		200		25
Sto (A)		95		15

				40

Total Preferred Stock (Cost $588) ($ Thousands)				556


CASH EQUIVALENT — 4.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% **†		2,589,743		2,590

Total Cash Equivalent (Cost $2,590) ($ Thousands)				2,590


TIME DEPOSITS — 3.4%
Brown Brothers Harriman
4.150%, 06/01/2013 ZAR		1		—
1.903%, 06/01/2013 AUD		53		51
1.667%, 06/01/2013 NZD		2		2
0.484%, 06/01/2013 NOK		54		9
0.280%, 06/01/2013 CAD		15		14
0.100%, 06/01/2013 SEK		80		12
0.076%, 06/01/2013 GBP		49		74
0.030%, 06/01/2013		1,587		1,587
0.005%, 06/01/2013 HKD		149		19
0.005%, 06/01/2013 JPY		4,626		46
0.005%, 06/01/2013 SGD		17		13
0.001%, 06/01/2013 CHF		53		55


Description	Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)

0.001%, 06/01/2013 EUR		156	$	202
(0.10)%, 06/01/2013 DKK		80		14

Total Time Deposits (Cost $2,098) ($ Thousands)				2,098


U.S. TREASURY OBLIGATIONS (B) (C) — 0.3%
U.S. Treasury Bills
0.080%, 06/27/2013	$	130		130
0.042%, 07/25/2013		43		43

Total U.S. Treasury Obligations (Cost $173) ($ Thousands)				173

Total Investments — 100.1% (Cost $57,910) ($ Thousands)			$	62,565

A list of the open futures contracts held by the Fund at May 31, 2013, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		22		Jun-2013	$	35
FTSE 100 Index		7		Jun-2013		19
Hang Seng Index		1		Jun-2013		(2	)
S&P TSX 60 Index		2		Jun-2013		(5	)
SPI 200 Index		2		Jun-2013		(6	)
Topix Index		4		Jun-2013		40

					$	81

Percentages are based on a Net Assets of $62,521 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust.

(1)

In U.S. dollars unless otherwise indicated.

(A)

(B)

Security, or portion thereof, has been pledged as collateral on open futures contracts. (C) The rate reported is the effective yield at time of purchase.

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

PLC — Public Limited Company

S&P — Standard & Poor’s

SEK — Swedish Krona

Ser — Series

SGD — Singapore Dollar

SPI — Share Price Index

TSX — Toronto Stock Exchange

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	14,534	$	42,614	$	—	$	57,148
Preferred Stock		516		40		—		556
Cash Equivalent		2,590		—		—		2,590
Time Deposits		2,098		—		—		2,098
U.S. Treasury Obligations		—		173		—		173

Total Investments in Securities	$	19,738	$	42,827	$	—	$	62,565


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	81	$	—	$	—	$	81

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

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

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

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


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.4%

Consumer Discretionary — 11.7%
Abercrombie & Fitch, Cl A		6,200	$	310
Amazon.com *		28,200		7,587
Apollo Group, Cl A *		5,500		110
AutoNation *		1,400		65
AutoZone *		2,700		1,104
Bed Bath & Beyond *		16,600		1,133
Best Buy		19,700		543
BorgWarner *		8,000		649
Cablevision Systems, Cl A		17,100		259
Carmax *		17,600		823
Carnival, Cl A		32,700		1,082
CBS, Cl B		43,500		2,153
Chipotle Mexican Grill, Cl A *		2,400		866
Coach		20,700		1,206
Comcast, Cl A		204,300		8,203
Darden Restaurants		8,500		440
Delphi Automotive		22,000		1,074
DIRECTV *		45,000		2,751
Discovery Communications, Cl A *		18,400		1,451
Dollar General *		22,400		1,183
Dollar Tree *		17,200		826
DR Horton		18,300		446
Expedia		6,100		351
Family Dollar Stores		6,300		385
Ford Motor		305,100		4,784
Fossil *		3,600		382
GameStop, Cl A		10,400		345
Gannett		16,800		361
Gap		22,600		916
Garmin		8,500		297
Genuine Parts		11,800		917
Goodyear Tire & Rubber *		19,600		297
H&R Block		22,800		667
Harley-Davidson		17,100		933
Harman International Industries		5,500		292
Hasbro		8,500		378
Home Depot		115,700		9,101
International Game Technology		19,800		354
Interpublic Group		28,600		407
J.C. Penney *		14,100		248
Johnson Controls		51,000		1,905
Kohl’s		16,400		843
L Brands		18,100		905
Leggett & Platt		10,400		333
Lennar, Cl A		10,700		421
Lowe’s		86,700		3,651
Macy’s		29,000		1,402
Marriott International, Cl A		20,100		845
Mattel		25,300		1,132
McDonald’s		77,700		7,504
NetFlix *		4,200		950
Newell Rubbermaid		24,100		652
News, Cl A		155,500		4,993
NIKE, Cl B		56,700		3,496
Nordstrom		10,400		612
Omnicom Group		19,200		1,193
O’Reilly Automotive *		8,700		948
PetSmart		9,100		614
priceline.com *		4,100		3,296
PulteGroup *		28,700		620
PVH		6,100		703


Description	Shares		Market Value ($ Thousands)

Ralph Lauren, Cl A		4,800	$	841
Ross Stores		16,400		1,055
Scripps Networks Interactive, Cl A		5,800		391
Staples		53,400		801
Starbucks		58,500		3,690
Starwood Hotels & Resorts Worldwide		14,600		997
Target		50,900		3,537
Tiffany		9,400		731
Time Warner		72,800		4,249
Time Warner Cable, Cl A		21,900		2,092
TJX		57,200		2,895
TripAdvisor *		8,100		522
Urban Outfitters *		7,300		306
VF		6,500		1,195
Viacom, Cl B		35,800		2,359
Walt Disney		139,700		8,812
Washington Post, Cl B		200		93
Whirlpool		6,200		792
Wyndham Worldwide		11,500		668
Wynn Resorts		6,100		829
Yum! Brands		35,500		2,405

				131,957


Consumer Staples — 10.4%
Altria Group		156,100		5,635
Archer-Daniels-Midland		49,200		1,586
Avon Products		34,000		801
Beam		12,200		791
Brown-Forman, Cl B		11,700		805
Campbell Soup		15,100		647
Clorox		10,700		889
Coca-Cola		296,100		11,841
Coca-Cola Enterprises		21,700		806
Colgate-Palmolive		68,600		3,968
ConAgra Foods		30,500		1,028
Constellation Brands, Cl A *		12,800		679
Costco Wholesale		34,000		3,729
CVS Caremark		95,600		5,505
Dr. Pepper Snapple Group		16,000		736
Estee Lauder, Cl A		17,600		1,193
General Mills		50,900		2,396
Hershey		11,100		989
HJ Heinz		23,900		1,729
Hormel Foods		8,900		354
JM Smucker		8,300		838
Kellogg		18,300		1,136
Kimberly-Clark		30,400		2,943
Kraft Foods Group		46,566		2,567
Kroger		37,900		1,276
Lorillard		27,900		1,184
McCormick		10,500		725
Mead Johnson Nutrition, Cl A		14,900		1,208
Molson Coors Brewing, Cl B		13,100		647
Mondelez International, Cl A		138,600		4,083
Monster Beverage *		9,700		530
PepsiCo		119,300		9,636
Philip Morris International		127,300		11,573
Procter & Gamble		210,800		16,181
Reynolds American		23,700		1,140
Safeway		17,500		403
Sysco		46,700		1,578
Tyson Foods, Cl A		18,800		470
Walgreen		67,300		3,214


Description	Shares		Market Value ($ Thousands)

Wal-Mart Stores		129,400	$	9,684
Whole Foods Market		25,400		1,317

				118,440


Energy — 10.4%
Anadarko Petroleum		39,100		3,420
Apache		30,800		2,530
Baker Hughes		33,600		1,528
Cabot Oil & Gas		15,500		1,090
Cameron International *		18,200		1,108
Chesapeake Energy		40,300		880
Chevron		149,800		18,388
ConocoPhillips		94,800		5,815
Consol Energy		19,100		662
Denbury Resources *		25,300		464
Devon Energy		28,600		1,626
Diamond Offshore Drilling		5,000		344
Ensco, Cl A		17,200		1,035
EOG Resources		21,300		2,750
EQT		11,400		910
Exxon Mobil		345,100		31,221
FMC Technologies *		17,600		980
Halliburton		73,000		3,055
Helmerich & Payne		6,900		426
Hess		22,500		1,517
Kinder Morgan		47,077		1,788
Marathon Oil		52,800		1,816
Marathon Petroleum		24,700		2,038
Murphy Oil		13,900		880
Nabors Industries		19,300		309
National Oilwell Varco		33,600		2,362
Newfield Exploration *		10,000		238
Noble		19,700		763
Noble Energy		27,400		1,580
Occidental Petroleum		62,500		5,754
Peabody Energy		20,200		397
Phillips 66		48,600		3,235
Pioneer Natural Resources		10,100		1,401
QEP Resources		11,800		335
Range Resources		12,100		910
Rowan, Cl A *		9,100		302
Schlumberger		102,900		7,515
Southwestern Energy *		26,000		980
Spectra Energy		50,700		1,550
Tesoro		11,500		709
Valero Energy		41,300		1,678
Williams		54,000		1,900
WPX Energy *		16,000		308

				118,497


Financials — 16.2%
ACE		26,700		2,394
Aflac		34,800		1,938
Allstate		37,900		1,828
American Express		74,600		5,648
American International Group *		114,700		5,100
American Tower, Cl A		31,100		2,421
Ameriprise Financial		15,000		1,223
Aon		24,800		1,579
Apartment Investment & Management, Cl A		10,800		327
Assurant		6,300		313
AvalonBay Communities		9,800		1,300
Bank of America		836,100		11,421
Bank of New York Mellon		91,300		2,744


Description	Shares		Market Value ($ Thousands)

BB&T		53,100	$	1,748
Berkshire Hathaway, Cl B *		140,700		16,050
BlackRock, Cl A		9,841		2,748
Boston Properties		11,100		1,183
Capital One Financial		45,700		2,784
CBRE Group, Cl A *		25,800		598
Charles Schwab		87,300		1,734
Chubb		19,500		1,698
Cincinnati Financial		12,500		592
Citigroup		234,700		12,202
CME Group, Cl A		24,400		1,658
Comerica		12,500		494
Discover Financial Services		39,300		1,863
ETRADE Financial		21,100		245
Equity Residential ‡		23,400		1,323
Fifth Third Bancorp		65,500		1,192
First Horizon National		13,200		151
Franklin Resources		10,500		1,626
Genworth Financial, Cl A *		36,000		389
Goldman Sachs Group		34,000		5,511
Hartford Financial Services Group		33,100		1,014
HCP ‡		33,800		1,601
Health Care ‡		22,400		1,524
Host Hotels & Resorts ‡		53,800		957
Hudson City Bancorp		35,200		299
Huntington Bancshares		56,300		436
IntercontinentalExchange *		5,500		942
Invesco		33,100		1,117
JPMorgan Chase		295,300		16,121
KeyCorp		63,900		689
Kimco Realty ‡		28,900		640
Legg Mason		9,300		326
Leucadia National		21,000		659
Lincoln National		22,400		799
Loews		22,800		1,045
M&T Bank		9,100		955
Macerich ‡		9,800		636
Marsh & McLennan		41,600		1,665
McGraw-Hill		20,700		1,129
MetLife		85,400		3,775
Moody’s		15,700		1,043
Morgan Stanley		107,800		2,792
NASDAQ OMX Group		9,100		286
Northern Trust		16,500		959
NYSE Euronext		19,100		768
People’s United Financial		25,600		352
Plum Creek Timber ‡		11,600		553
PNC Financial Services Group		39,600		2,837
Principal Financial Group		19,600		742
Progressive		40,900		1,043
Prologis ‡		36,300		1,463
Prudential Financial		36,600		2,524
Public Storage ‡		10,900		1,655
Regions Financial		107,500		981
Simon Property Group ‡		24,500		4,078
SLM		32,800		779
SunTrust Banks		39,600		1,271
T. Rowe Price Group		19,700		1,494
Torchmark		6,300		406
Travelers		29,700		2,486
Unum Group		18,000		513
US Bancorp		144,900		5,080
Ventas ‡		23,200		1,656
Vornado Realty Trust ‡		12,500		999


Description	Shares		Market Value ($ Thousands)

Wells Fargo		378,300	$	15,340
Weyerhaeuser ‡		39,900		1,190
XL Group, Cl A		24,500		770
Zions Bancorporation		13,500		379

				184,793


Health Care — 12.5%
Abbott Laboratories		122,300		4,485
AbbVie		122,800		5,242
Actavis *		9,500		1,171
Aetna		30,118		1,819
Agilent Technologies		25,600		1,164
Alexion Pharmaceuticals *		14,900		1,453
Allergan		24,200		2,408
AmerisourceBergen		17,600		952
Amgen		58,100		5,841
Baxter International		42,800		3,010
Becton Dickinson		15,500		1,529
Biogen Idec *		18,400		4,370
Boston Scientific *		106,500		984
Bristol-Myers Squibb		127,100		5,848
C.R. Bard		6,400		660
Cardinal Health		25,200		1,184
CareFusion *		18,700		687
Celgene *		32,700		4,043
Cerner *		10,800		1,061
Cigna		20,900		1,419
Covidien		37,200		2,366
DaVita *		6,900		856
Dentsply International		9,300		388
Edwards Lifesciences *		9,600		638
Eli Lilly		77,800		4,136
Express Scripts Holding *		63,800		3,963
Forest Laboratories *		18,600		739
Gilead Sciences *		118,100		6,434
Hospira *		10,900		378
Humana		11,700		945
Intuitive Surgical *		3,000		1,493
Johnson & Johnson		215,600		18,149
Laboratory Corp of America Holdings *		7,700		766
Life Technologies *		12,900		956
McKesson		17,400		1,981
Medtronic		78,900		4,025
Merck		233,600		10,909
Mylan Laboratories *		30,800		939
Patterson		6,800		266
PerkinElmer		8,500		266
Perrigo		6,700		777
Pfizer		554,800		15,107
Quest Diagnostics		13,100		810
Regeneron Pharmaceuticals *		6,100		1,476
St. Jude Medical		23,000		994
Stryker		21,100		1,401
Tenet Healthcare *		7,900		374
Thermo Fisher Scientific		28,100		2,481
UnitedHealth Group		79,700		4,992
Varian Medical Systems *		7,900		529
Waters *		7,200		696
WellPoint		23,000		1,770
Zimmer Holdings		12,700		997

				142,327


Industrials — 10.0%
3M		49,300		5,437


Description	Shares		Market Value ($ Thousands)

ADT		18,300	$	743
Avery Dennison		7,400		322
Boeing		52,900		5,238
C.H. Robinson Worldwide		12,500		709
Caterpillar		51,000		4,376
Cintas		7,800		356
CSX		76,000		1,916
Cummins		14,100		1,687
Danaher		43,400		2,683
Deere		30,600		2,666
Dover		13,400		1,048
Dun & Bradstreet		3,500		344
Eaton		37,101		2,451
Emerson Electric		56,500		3,246
Equifax		10,200		621
Expeditors International of Washington		14,300		558
Fastenal		19,900		1,038
FedEx		23,100		2,225
Flowserve		3,300		555
Fluor		12,800		809
General Dynamics		24,800		1,912
General Electric		801,900		18,700
Honeywell International		61,000		4,786
Illinois Tool Works		30,900		2,167
Ingersoll-Rand		20,200		1,162
Iron Mountain		11,027		395
Jacobs Engineering Group *		11,000		627
Joy Global		6,900		373
Kansas City Southern		8,100		897
L-3 Communications Holdings, Cl 3		6,100		519
Lockheed Martin		21,100		2,233
Masco		30,100		633
Norfolk Southern		23,400		1,792
Northrop Grumman		17,500		1,442
Paccar		25,800		1,383
Pall		9,300		634
Parker Hannifin		11,000		1,097
Pentair		15,846		923
Pitney Bowes		16,500		242
Precision Castparts		11,500		2,460
Quanta Services *		14,000		397
Raytheon		25,900		1,726
Republic Services, Cl A		23,400		798
Robert Half International		10,100		351
Rockwell Automation		10,400		915
Rockwell Collins		10,000		648
Roper Industries		7,300		907
Ryder System		2,700		170
Snap-on		4,200		382
Southwest Airlines		52,400		743
Stanley Black & Decker		12,500		990
Stericycle *		6,800		746
Textron		20,100		542
Tyco International		34,300		1,160
Union Pacific		36,400		5,628
United Parcel Service, Cl B		55,600		4,776
United Technologies		65,400		6,206
Waste Management		32,000		1,342
WW Grainger		4,400		1,133
Xylem		13,300		374

				113,339


Description	Shares		Market Value ($ Thousands)

Information Technology — 17.9%
Accenture, Cl A		50,200	$	4,122
Adobe Systems *		37,800		1,622
Advanced Micro Devices *		42,400		170
Akamai Technologies *		12,900		595
Altera		24,800		823
Amphenol, Cl A		12,100		943
Analog Devices		22,600		1,038
Apple		72,300		32,512
Applied Materials		88,000		1,338
Autodesk *		17,800		672
Automatic Data Processing		38,100		2,618
BMC Software *		9,400		426
Broadcom, Cl A		39,900		1,433
CA		23,900		653
Cisco Systems		412,300		9,928
Citrix Systems *		13,800		888
Cognizant Technology Solutions, Cl A *		22,600		1,461
Computer Sciences		10,200		455
Corning		116,800		1,795
Dell		111,100		1,483
eBay *		90,700		4,907
Electronic Arts *		22,600		519
EMC		164,100		4,063
F5 Networks *		5,400		449
Fidelity National Information Services		23,800		1,069
First Solar *		3,800		207
Fiserv *		10,100		880
FLIR Systems		11,600		282
Google, Cl A *		20,600		17,930
Harris		7,500		376
Hewlett-Packard		152,400		3,722
Intel		382,600		9,290
International Business Machines		80,800		16,808
Intuit		20,300		1,186
Jabil Circuit		14,700		295
JDS Uniphase *		18,500		252
Juniper Networks *		41,000		727
Kla-Tencor		11,800		664
Lam Research *		11,187		523
Linear Technology		15,900		596
LSI *		41,100		304
Mastercard, Cl A		8,200		4,676
Microchip Technology		16,500		602
Micron Technology *		80,600		941
Microsoft		581,300		20,276
Molex		10,400		305
Motorola Solutions		20,200		1,171
NetApp		26,700		1,002
Nvidia		44,800		649
Oracle		285,600		9,642
Paychex		24,600		916
Qualcomm		133,000		8,443
Red Hat *		15,300		738
SAIC		22,600		328
Salesforce.com *		42,800		1,812
SanDisk *		17,900		1,056
Seagate Technology		24,800		1,068
Symantec		50,400		1,128
TE Connectivity		30,700		1,363
Teradata *		13,700		764
Teradyne *		15,000		269


Description	Shares		Market Value ($ Thousands)

Texas Instruments		86,500	$	3,105
Total System Services		12,500		294
VeriSign *		10,200		480
Visa, Cl A		40,000		7,126
Western Digital		16,600		1,051
Western Union		42,500		696
Xerox		100,400		883
Xilinx		18,400		748
Yahoo! *		72,300		1,902

				203,458


Materials — 3.4%
Air Products & Chemicals		15,200		1,435
Airgas		4,600		473
Alcoa		88,900		756
Allegheny Technologies		8,500		234
Ball		11,200		483
Bemis		8,000		313
CF Industries Holdings		4,700		897
Cliffs Natural Resources		9,400		170
Dow Chemical		94,200		3,246
E.I. du Pont de Nemours		72,800		4,061
Eastman Chemical		11,700		839
Ecolab		20,100		1,698
FMC		9,800		615
Freeport-McMoRan Copper & Gold, Cl B		81,600		2,534
International Flavors & Fragrances		5,800		466
International Paper		33,600		1,551
LyondellBasell Industries, Cl A		28,300		1,886
MeadWestvaco		11,500		402
Monsanto		41,700		4,197
Mosaic		20,300		1,235
Newmont Mining		39,800		1,364
Nucor		23,400		1,041
Owens-Illinois *		12,300		338
PPG Industries		11,300		1,736
Praxair		23,300		2,664
Sealed Air		14,900		358
Sherwin-Williams		6,300		1,188
Sigma-Aldrich		9,900		828
United States Steel		11,800		209
Vulcan Materials		9,400		504

				37,721


Telecommunication Services — 2.7%
AT&T		423,900		14,832
CenturyLink		46,700		1,595
Crown Castle International *		22,200		1,582
Frontier Communications		73,000		302
Sprint Nextel *		239,200		1,746
Verizon Communications		220,900		10,709
Windstream		38,800		312

				31,078


Utilities — 3.2%
AES		52,200		637
AGL Resources		8,500		360
Ameren		19,300		657
American Electric Power		36,200		1,659
Centerpoint Energy		35,300		818
CMS Energy		22,400		604
Consolidated Edison		21,400		1,221
Dominion Resources		45,300		2,562


Description	Shares/Contracts		Market Value ($ Thousands)

DTE Energy		13,000	$	866
Duke Energy		55,030		3,683
Edison International		23,900		1,098
Entergy		13,200		909
Exelon		67,500		2,115
FirstEnergy		30,500		1,190
Integrys Energy Group		5,700		328
NextEra Energy		33,300		2,518
NiSource		24,200		695
Northeast Utilities		23,200		967
NRG Energy		25,600		653
ONEOK		15,500		700
Pepco Holdings		16,800		349
PG&E		32,200		1,446
Pinnacle West Capital		7,800		441
PPL		42,500		1,262
Public Service Enterprise Group		37,000		1,222
SCANA		11,000		555
Sempra Energy		16,500		1,341
Southern		68,100		2,990
TECO Energy		16,000		282
Wisconsin Energy		15,700		641
Xcel Energy		36,000		1,034

				35,803

Total Common Stock (Cost $992,130) ($ Thousands)				1,117,413


CASH EQUIVALENT — 0.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010% ** †		5,702,681		5,703

Total Cash Equivalent (Cost $5,703) ($ Thousands)				5,703

Total Investments — 98.9% (Cost $997,833) ($ Thousands)			$	1,123,116


PURCHASED OPTION — 0.2%
June 2013 SPX UO Index Option Put, Expires 06/22/2013, Strike Price $1,575 *		3,000		2,490

Total Purchased Option (Cost $1,479) ($ Thousands)				2,490

A list of the outstanding forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Settlement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation ($ Thousands)
7/25/13	EUR	360,735	USD	471,394	$	3,808
7/25/13	JPY	10,968,782	USD	111,818		3,145

					$	6,953

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at May 31, 2013, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
BNP Paribas	$	(161,614	)	$	165,834	$	4,220
Citigroup		(11,545	)		11,534		(11	)
Goldman Sachs		(34,881	)		34,871		(10	)
UBS		(368,218	)		370,972		2,754

						$	6,953

Percentages are based on a Net Assets of $1,135,631 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2013.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

Cl — Class

EUR — Euro

JPY — Japanese Yen

SPX — Standard & Poor’s 500 Index

USD — United States Dollar

The following is a list of the inputs used as of May 31, 2013, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,117,413	$	—	$	—	$	1,117,413
Cash Equivalent		5,703		—		—		5,703

Total Investments in Securities	$	1,123,116	$	—	$	—	$	1,123,116


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Purchased Option *	$	2,490	$	—	$	—	$	2,490
Forwards Contracts *		—		6,953		—		6,953

Total Other Financial Instruments	$	2,490	$	6,953	$	—	$	9,443

Options and forwards contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2013, there were no 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.

Amounts designated as “—” are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements.

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of SEI Institutional Investments Trust, comprised of the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Extended Market Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Equity Fund, U.S. Managed Volatility Fund, International Equity Fund, World Equity Ex-US Fund, Screened World Equity Ex-US Fund, Opportunistic Income Fund (formerly the Enhanced LIBOR Opportunities Fund), Core Fixed Income Fund, High Yield Bond Fund, Long Duration Fund, Long Duration Corporate Bond Fund, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund, Real Return Fund, Dynamic Asset Allocation Fund and Multi-Asset Real Return Fund (collectively, the “Funds”), as of and for the year ended May 31, 2013, and have issued our unqualified report thereon dated July 30, 2013 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the Funds’ schedules of investments in securities (the “Schedules”) as of May 31, 2013 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these Schedules based on our audits.

In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.

(b) In accordance with Section 13(c) of the Investment Company Act of 1940 the Screened World Equity Ex-US Fund did not hold any divested securities during the fiscal year ended May 31, 2013:

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 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 Registrant’s 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.



Management’s Discussion and Analysis of Fund Performance			1

Summary Schedules of Investments/Schedules of Investments			24

Statements of Assets and Liabilities			228

Statements of Operations			234

Statements of Changes in Net Assets			240

Statement of Cash Flows			246

Financial Highlights			247

Notes to Financial Statements			250

Report of Independent Registered Public Accounting Firm			269

Trustees and Officers of the Trust			270

Disclosure of Fund Expenses			273

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements			275

Notice to Shareholders			278


SEI Institutional Investments Trust / Annual Report / May 31, 2013			1


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays Bank PLC	2.48%	3 Month LIBOR	11/15/27	$	4,105	$	108
Barclays Bank PLC	2.42%	3 Month LIBOR	11/15/27		4,110		143
Citigroup	2.71%	3-Month LIBOR	08/15/42		8,210		808
Deutsche Bank	REF: IOS.FN30.450.10 INDEX	1 Month USD LIBOR	01/12/41		5,960		165
Barclays Bank PLC	3.49%	3-Month LIBOR	03/15/46		8,250		257
Barclays Bank PLC	3-Month LIBOR	3.15%	03/15/26		18,410		(322	)
Goldman Sachs	3.13%	3-Month LIBOR	04/09/46		8,270		829
Goldman Sachs	3-Month LIBOR	2.80%	04/09/26		18,340		(891	)
Morgan Stanley	REF: IOS.FN30.500.10 INDEX	1 Month USD LIBOR	01/12/41		3,331		22

						$	1,119


Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate			Termination Date		Currency		Notional Amount (Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
BNP Paribas	iTraxx Europe Senior Financials Index	BUY		(1.00	)		06/20/18		EUR		2,900		$	(53	)
BNP Paribas	iTraxx Europe Senior Financials Index	BUY		(1.00	)		06/20/18		EUR		5,000			(77	)
BNP Paribas	iTraxx Europe Senior Financials Index	BUY		(1.00	)		06/20/18		EUR		3,900			(40	)
Deutsche Bank	Metlife, Inc.	SELL		1.00			06/20/18				(3,560	)		97

													$	(73	)


	Investments in Corporate Obligations			Investments in Loan Participations			Investments in Collateralized Debt Obligations			Investments in Convertible Bonds			Investments in Common Stock		Investments in Warrants			Investments in Auction Rate Preferred Securities
Beginning balance as June 1, 2012	$	4,519		$	7,780		$	194,307		$	4		$	450	$	2,137		$	4,606
Accrued discounts/premiums		50			24			1,377			—			—		—			—
Realized gain/(loss)		(2,082	)		2,200			6,212			—			—		—			552
Change in unrealized appreciation/ (depreciation)		360			480			18,782			(4	)		60		(259	)		(458	)
Purchases		17,974			947			59,646			—			—		—			—
Sales		(15,751	)		(3,447	)		(68,070	)		—			—		—			(4,700	)
Net transfer into Level 3		—			1,984			—			—			—		—			—
Net transfer out of Level 3		(22	)		—			—			—			—		—			—

Ending balance as of May 31, 2013	$	5,048		$	9,968		$	212,254		$	—		$	510	$	1,878		$	—

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	321		$	499		$	20,715		$	(4	)	$	59	$	(258	)	$	—


Interest Rate Swaps (continued)
Counterparty	Fund Pays	Fund Receives	Termination Date		Notional Amount ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Morgan Stanley	2.81%	3 Month USD LIBOR	02/21/2042		$	450	$	35
Morgan Stanley	1.57	6 Month EURIBOR	05/21/2023	EUR		1,550		31
Morgan Stanley	3M US LIBOR	2.02%	05/21/2023			1,780		(51	)
Morgan Stanley	0.56	3 Month USD LIBOR	03/12/2014			3,880		(10	)

							$	16


	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund			Large Cap Index Fund
ASSETS:
Investments at value†	$	1,851,992	*	$	296,083		$	5,247,382	*	$	2,159,619	*
Affiliated investments, at value††		115,688			16,839			367,288			173,851
Cash		52			1			62			769
Foreign currency, at value†††		—			—			—			—
Receivable for fund shares sold		12,797			422			15,045			167,788
Receivable for investment securities sold		71,508			20,599			200,658			—
Dividends and interest receivable		3,723			618			11,015			4,155
Receivable for variation margin		—			1			—			—
Foreign tax reclaim receivable		57			12			95			3
Prepaid expenses		10			2			28			11
Total Assets		2,055,827			334,577			5,841,573			2,506,196
LIABILITIES:
Payable upon return on securities loaned		86,698			—			210,764			125,066
Payable for investment securities purchased		12,501			1,004			10,417			113,154
Payable for fund shares redeemed		57,618			23,451			115,027			52,999
Payable to custodian		—			—			—			—
Payable for variation margin		824			471			4,116			805
Investment advisory fees payable		300			65			770			18
Chief Compliance Officer fees payable		5			1			16			6
Trustees fees payable		4			1			13			5
Accrued expense payable		40			7			135			55
Total Liabilities		157,990			25,000			341,258			292,108
Net Assets	$	1,897,837		$	309,577		$	5,500,315		$	2,214,088
†Cost of investments		1,363,390			250,867			4,514,524			1,623,720
††Cost of affiliated investments		115,688			16,839			370,008			173,674
†††Cost of foreign currency		—			—			—			—
* Includes market value of securities on loan		83,441			—			202,848			120,266
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	1,331,011		$	343,644		$	5,003,002		$	1,687,882
Undistributed net investment income		5,494			97			—			7,007
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency		72,846			(79,263	)		(238,865	)		(19,926	)
Net unrealized appreciation on investments and option contracts		488,602			45,216			730,138			536,076
Net unrealized appreciation (depreciation) on futures contracts		(116	)		(117	)		6,040			3,049
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			—			—
Net Assets	$	1,897,837		$	309,577		$	5,500,315		$	2,214,088
Net Asset Value, Offering and Redemption Price Per Share — Class A		$20.94			$11.59			$13.24			$140.87
		($1,897,837,154 ÷ 90,647,258 shares	)		($309,576,929 ÷ 26,713,982 shares	)		($5,500,314,801 ÷ 415,458,360 shares	)		($2,214,088,286 ÷ 15,717,295 shares	)


Extended Market Index Fund			Small Cap Fund			Small Cap II Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund			International Equity Fund

	$168,057	*		$ 761,135	*		$223,326	*		$2,071,670	*		$1,068,611			$ 227,596
	17,219			200,464			51,249			555,925			42,176			3,132
	301			8			—			35			116			—
	—			—			—			—			13			33
	27,736			387			4,217			18,594			37,279			—
	—			7,191			1,718			18,379			—			—
	131			442			139			1,649			2,642			1,017
	—			—			—			—			—			4
	—			4			—			—			—			277
	—			4			1			11			5			1
	213,444			969,635			280,650			2,666,263			1,150,842			232,060

	13,401			173,278			41,130			467,277			—			—
	21,959			6,972			2,120			26,108			170			—
	3,919			9,903			15,520			17,617			3,995			153
	—			—			4			—			—			—
	37			161			81			615			450			38
	8			319			90			842			212			72
	—			3			1			6			3			1
	—			2			—			5			3			1
	13			21			7			48			29			134
	39,337			190,659			58,953			512,518			4,862			399
	$174,107			$ 778,976			$221,697			$2,153,745			$1,145,980			$ 231,661
	160,849			661,799			187,635			1,715,141			900,832			221,141
	17,206			200,464			51,249			555,925			42,176			3,132
	—			—			—			—			13			33
	12,767			166,755			39,632			449,160			—			—

	$166,219			$ 817,040			$178,527			$1,607,817			$ 933,522			$ 622,176
	304			1,010			168			6,933			4,009			4,172
	185			(138,363	)		7,311			181,285			40,473			(401,069	)
	7,221			99,336			35,691			356,529			167,779			6,455
	178			(47	)		—			1,181			197			(43	)
	—			—			—			—			—			(30	)
	$174,107			$ 778,976			$221,697			$2,153,745			$1,145,980			$ 231,661

	$10.77			$15.42			$12.23			$15.69			$13.54			$7.73
	($174,106,808 ÷ 16,159,967 shares	)		($778,975,979 ÷ 50,531,879 shares	)		($221,697,344 ÷ 18,120,416 shares	)		($2,153,744,936 ÷ 137,234,750 shares	)		($1,145,980,097 ÷ 84,639,784 shares	)		($231,660,757 ÷ 29,969,426 shares	)


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Opportunistic Income Fund
ASSETS:
Investments at value†	$	6,072,317	*	$	59,975		$	321,417
Affiliated investments, at value††		595,845			2,590			687,875
Cash		—			5			156
Foreign currency, at value†††		5,708			100			—
Receivable for fund shares sold		146,225			35			131,031
Receivable for investment securities sold		21,965			649			1,899
Dividends and interest receivable		20,881			183			1,338
Receivable for variation margin		61			—			9
Foreign tax reclaim receivable		1,813			55			1
Unrealized gain on foreign spot currency contracts		27			1			—
Unrealized gain on forward foreign currency contracts		—			—			—
Swap contracts at value††††		—			—			—
Options purchased, at value†††††		—			—			—
Swaptions purchased, at value†††††		—			—			—
Prepaid expenses		32			—			3
Total Assets		6,864,874			63,593			1,143,729
LIABILITIES:
Payable upon return on securities loaned		570,537			—			—
Payable for investment securities purchased		43,752			972			146,003
Payable for fund shares redeemed		53,699			32			1,031
Income distribution payable		—			—			—
Swap contracts at value††††		—			—			—
Options written, at value†††††		—			—			—
Payable to custodian		1,254			—			—
Payable for variation margin		293			16			—
Unrealized loss on foreign spot currency contracts		17			—			—
Unrealized loss on forward foreign currency contracts		—			—			—
Investment advisory fees payable		1,714			16			129
Chief Compliance Officer fees payable		17			—			2
Trustees fees payable		14			—			2
Accrued expense payable		648			36			40
Accrued foreign capital gains tax on appreciated securities		77			—			—
Total Liabilities		672,022			1,072			147,207
Net Assets	$	6,192,852		$	62,521		$	996,522
†Cost of investments		5,376,217			55,319			320,007
††Cost of affiliated investments		595,845			2,590			691,905
†††Cost of foreign currency		5,858			108			—
††††Cost (Premiums received)		—			—			—
†††††Cost (Premiums received)		—			—			—
* Includes market value of securities on loan		540,135			—			—
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	5,917,904		$	72,695		$	1,028,680
Undistributed (distributions in excess of) net investment income		71,744			579			11,315
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency		(492,268	)		(15,478	)		(40,856	)
Net unrealized appreciation (depreciation) on investments, option contracts and swaptions contracts		696,100			4,656			(2,620	)
Net unrealized appreciation (depreciation) on futures contracts		(2	)		81			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		(549	)		(12	)		—
Accumulated foreign capital gains tax on appreciated securities		(77	)		—			—
Net Assets	$	6,192,852		$	62,521		$	996,522
Net Asset Value, Offering and Redemption Price Per Share — Class A		$11.51			$8.66			$8.26
		($6,192,852,336 ÷ 538,234,955 shares	)		($62,521,478 ÷ 7,215,619 shares	)		($996,521,570 ÷ 120,588,965 shares	)


Core Fixed Income Fund			High Yield Bond Fund			Long Duration Fund			Long Duration Corporate Bond Fund			Ultra Short Duration Bond Fund			Emerging Markets Debt Fund

	$6,657,837	*		$2,077,785			$3,261,455			$2,053,168			$506,777			$1,315,622	*
	481,629			57,458			66,885			30,302			648			5,164
	148			—			—			—			94			815
	3,322			—			—			—			—			2,008
	173,455			40,765			27,969			—			39,175			48,361
	832,891			21,292			97,488			11,063			11,872			25,718
	32,749			30,781			33,689			24,553			1,161			22,223
	1,208			—			427			237			23			—
	—			—			—			—			—			—
	—			—			—			—			—			12
	1,711			—			—			—			—			6,012
	2,606			—			676			—			—			32,614
	430			—			—			—			—			443
	2,890			—			—			—			—			—
	22			11			19			5			2			7
	8,190,898			2,228,092			3,488,608			2,119,328			559,752			1,458,999

	185,815			—			—			—			—			5,164
	1,379,586			46,024			58,487			29,303			37,075			33,026
	137,615			17,258			106,423			6,479			12			3,706
	474			249			372			—			12			—
	1,240			1,064			46			—			—			289
	373			—			—			—			—			—
	4			342			4			—			—			—
	433			—			433			213			—			—
	—			—			—			—			—			12
	286			—			—			—			—			4,234
	674			511			421			256			42			507
	20			6			10			6			1			4
	22			5			9			5			1			3
	138			82			112			114			16			161
	—			—			—			—			—			—
	1,706,680			65,541			166,317			36,376			37,159			47,106
	$6,484,218			$2,162,551			$3,322,291			$2,082,952			$522,593			$1,411,893
	6,519,666			1,973,300			3,134,869			2,091,261			505,756			1,291,393
	481,629			57,458			66,885			30,302			648			5,164
	3,313			—			—			—			—			2,014
	320			(1,174	)		243			—			—			33,116
	3,002			—			—			—			—			617
	180,372			—			—			—			—			4,863

	$6,343,250			$2,043,696			$3,203,380			$2,115,766			$521,876			$1,381,260
	(344	)		9,647			(1,544	)		17			41			(6,914	)
	(2,264	)		4,613			(6,035	)		5,164			(350	)		12,719
	138,116			104,485			126,586			(38,093	)		1,021			24,055
	2,997			—			(483	)		98			5			—
	1,046			110			387			—			—			(791	)
	1,417			—			—			—			—			1,564
	—			—			—			—			—			—
	$6,484,218			$2,162,551			$3,322,291			$2,082,952			$522,593			$1,411,893
	$10.54			$10.01			$8.75			$9.93			$10.04			$11.11
	($6,484,218,472 ÷ 615,089,488 shares	)		($2,162,550,629 ÷ 215,996,750 shares	)		($3,322,290,948 ÷ 379,488,771 shares	)		($2,082,951,752 ÷ 209,843,014 shares	)		($522,592,869 ÷ 52,045,507 shares	)		($1,411,892,949 ÷ 127,108,694 shares	)


	Real Return Fund			Dynamic Asset Allocation Fund			Multi-Asset Real Return Fund
ASSETS:
Investments at value†	$	250,180		$	1,117,413		$	339,745
Affiliated investments, at value††		—			5,703			—
Cash		728			2			13
Foreign currency, at value†††		—			—			13
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts		—			—			50
Receivable for fund shares sold		3,036			61,613			71,080
Receivable for investment securities sold		—			—			348
Dividends and interest receivable		1,027			2,304			1,204
Receivable for variation margin		—			—			31
Foreign tax reclaim receivable		—			6			6
Unrealized gain on forward foreign currency contracts		—			6,953			1,325
Unrealized gain on foreign spot currency contracts		—			21			3
Swap contracts, at value††††		—			—			755
Options purchased, at value†††††		—			2,490			122
Prepaid expenses		1			4			1
Total Assets		254,972			1,196,509			414,696
LIABILITIES:
Payable for investment securities purchased		—			54,593			71,972
Payable for fund shares redeemed		3,095			6,173			144
Swap contracts, at value††††		—			—			76
Options written, at value†††††		—			—			105
Reverse repurchase agreements		—			—			38,354
Unrealized loss on foreign spot currency contracts		—			21			59
Unrealized loss on forward foreign currency contracts		—			—			16
Investment advisory fees payable		19			55			46
Chief Compliance Officer fees payable		1			3			1
Trustees fees payable		—			2			1
Accrued expense payable		5			31			23
Total Liabilities		3,120			60,878			110,797
Net Assets	$	251,852		$	1,135,631		$	303,899
†Cost of investments and repurchase agreements		250,130			992,130			345,902
††Cost of affiliated investments		—			5,703			—
†††Cost of foreign currency		—			—			14
††††Cost (Premiums received)		—			—			8
†††††Cost (Premiums received)		—			1,479			84
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	250,957		$	990,377		$	314,509
Undistributed (distributions in excess of) net investment income		854			(4,737	)		(2,634	)
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency		(9	)		16,744			(3,798	)
Net unrealized appreciation (depreciation) on investments and option contracts		50			126,294			(6,224	)
Net unrealized appreciation on futures contracts		—			—			123
Net unrealized appreciation on swap contracts		—			—			671
Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			6,953			1,252
Net Assets	$	251,852		$	1,135,631		$	303,899
Net Asset Value, Offering and Redemption Price Per Share — Class A		$9.86			$12.81			$9.19
		($251,851,628 ÷ 25,531,241 shares	)		($1,135,631,333 ÷ 88,649,047 shares	)		($303,898,888 ÷ 33,077,101 shares	)


Extended Market Index Fund⁽²⁾			Small Cap Fund			Small Cap II Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund			International Equity Fund

$	400		$	10,548		$	2,315		$	29,391		$	26,162		$	9,350
	1			17			5			372			13			4
	—			4			—			32			2			3
	3			1,527			115			3,062			—			300
	(1	)		(14	)		—			(42	)		(160	)		(742	)
	403			12,082			2,435			32,815			26,017			8,915

	34			5,284			1,166			14,411			6,047			1,697
	14			406			90			1,109			465			168
	—			10			2			26			11			4
	—			3			1			9			5			1
	5			41			9			112			50			225
	2			26			6			68			34			7
	1			7			2			19			9			3
	5			5			4			10			5			2
	—			—			—			—			1			—
	—			—			—			—			—			11
	2			22			4			48			18			65
	63			5,804			1,284			15,812			6,645			2,183

	(17	)		(1,504	)		(331	)		(4,376	)		(3,928	)		(524	)
	(14	)		(406	)		(90	)		(1,109	)		(465	)		(168	)
	—			(36	)		—			(166	)		—			—
	32			3,858			863			10,161			2,252			1,491
	371			8,224			1,572			22,654			23,765			7,424

	198			74,940			4,675			230,355			45,678			19,453
	—			(4,405	)		—			(6,026	)		—			(581	)
	4			7,092			3,382			11,933			5,699			2,500
	—			1			—			13			(75	)		(489	)

	7,221			118,796			37,698			309,246			135,581			54,595
	—			6,111			—			8,479			—			776
	178			1,963			23			2,725			396			628
	—			—			—			—			2			79
$	7,972		$	212,722		$	47,350		$	579,379		$	211,046		$	84,385


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Opportunistic Income Fund
Investment Income
Dividends	$	162,421		$	1,439		$	—
Dividends from affiliated registered investment company		83			1			20
Interest income		88			1			7,698
Security lending income — net		5,936			—			—
Less: foreign taxes withheld		(13,698	)		(101	)		—
Total Investment Income		154,830			1,340			7,718
Expenses:
Investment advisory fees		32,065			377			2,141
Administration fees		2,915			29			238
Trustee fees		68			1			6
Chief Compliance Officer fees		27			—			3
Custodian/wire agent fees		715			68			24
Professional fees		198			10			20
Printing fees		54			1			5
Registration fees		36			—			18
Interest expense		—			—			—
Overdraft fees		39			—			—
Other expenses		157			29			40
Total Expenses		36,274			515			2,495
Less:
Waiver of investment advisory fees		(13,000	)		(198	)		(1,246	)
Waiver of administration fees		(2,915	)		(29	)		(238	)
Fees paid indirectly⁽¹⁾		(66	)		—			—
Net Expenses		20,293			288			1,011
Net Investment Income		134,537			1,052			6,707
Net Realized and Unrealized Gain (Loss) on Investments:
Investments		159,623			1,877			(253	)
Affiliated investments		(2,282	)		—			—
Futures contracts		31,664			305			13
Purchased and written options		—			—			—
Swap contracts		—			—			—
Foreign currency transactions		(4,774	)		(28	)		—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		1,018,112			9,629			16,531
Affiliated investments		3,594			—			—
Futures contracts		14,968			164			10
Purchased and written options		—			—			—
Purchased swaptions		—			—			—
Swap contracts		—			—			—
Foreign capital gains tax		(77	)		—			—
Foreign currency and translation of other assets and liabilities denominated in foreign currencies		(3,829	)		(70	)		—
Net Increase in Net Assets Resulting from Operations	$	1,351,536		$	12,929		$	23,008


	Real Return Fund			Dynamic Asset Allocation Fund			Multi-Asset Real Return Fund
Investment Income
Dividends	$	—		$	15,389		$	1,608
Dividends from affiliated registered investment company		—			3			—
Interest income		2,543			4,514			1,195
Security lending income — net		—			—			—
Less: foreign taxes withheld		—			(6	)		(93	)
Total Investment Income		2,543			19,900			2,710
Expenses:
Investment advisory fees		572			4,579			1,042
Administration fees		130			382			95
Trustee fees		3			9			2
Chief Compliance Officer fees		1			4			1
Custodian/wire agent fees		4			39			22
Professional fees		8			28			7
Printing fees		2			7			2
Registration fees		1			12			2
Interest expense		—			—			66
Overdraft fees		—			—			1
Other expenses		8			15			4
Total Expenses		729			5,075			1,244
Less:
Waiver of investment advisory fees		(315	)		(3,927	)		(545	)
Waiver of administration fees		(130	)		(382	)		(95	)
Fees paid indirectly⁽¹⁾		—			—			—
Net Expenses		284			766			604
Net Investment Income		2,259			19,134			2,106
Net Realized and Unrealized Gain (Loss) on Investments:
Investments		3,710			80			716
Futures contracts		46			—			26
Written options		—			(3,059	)		(475	)
Swap contracts		—			20,596			(7,917	)
Foreign currency transactions		—			(844	)		271
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(6,178	)		156,987			1,955
Futures contracts		—			—			212
Purchased and written options		—			1,011			(38	)
Swap contracts		—			—			421
Foreign currency and translation of other assets and liabilities denominated in foreign currencies		—			(16,776	)		12
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(163	)	$	177,129		$	(2,711	)


	Large Cap Fund						Large Cap Diversified Alpha Fund						Large Cap Disciplined Equity Fund
	2013			2012			2013			2012			2013			2012
Operations:
Net investment income	$	34,298		$	23,651		$	4,859		$	4,554		$	103,968		$	102,848
Net realized gain (loss) from investments, affiliated investments, futures contracts and swap contracts		126,685			70,057			40,054			21,195			641,601			807,200
Net realized gain (loss) on foreign currency transactions		—			(41	)		—			—			(49	)		—
Net change in unrealized appreciation (depreciation) on investments, affiliated investments and future contracts		313,841			(103,035	)		26,430			(27,770	)		684,697			(982,230	)
Net Increase (Decrease) in Net Assets Resulting from Operations		474,824			(9,368	)		71,343			(2,021	)		1,430,217			(72,182	)
Dividends and Distributions From:
Net investment income:
Class A		(33,960	)		(22,774	)		(5,999	)		(3,329	)		(140,201	)		(106,581	)
Net realized gains:
Class A		(50,275	)		(66,801	)		—			—			—			—
Total Dividends and Distributions		(84,235	)		(89,575	)		(5,999	)		(3,329	)		(140,201	)		(106,581	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from shares issued		422,969			728,348			46,493			50,166			1,013,176			1,161,661
Reinvestment of dividends & distributions		82,864			87,922			5,414			2,988			136,946			105,099
Cost of shares redeemed		(772,763	)		(559,756	)		(128,581	)		(91,077	)		(2,376,213	)		(3,425,587	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(266,930	)		256,514			(76,674	)		(37,923	)		(1,226,091	)		(2,158,827	)
Net Increase (Decrease) in Net Assets		123,659			157,571			(11,330	)		(43,273	)		63,925			(2,337,590	)
Net Assets:
Beginning of Period		1,774,178			1,616,607			320,907			364,180			5,436,390			7,773,980
End of Period	$	1,897,837		$	1,774,178		$	309,577		$	320,907		$	5,500,315		$	5,436,390
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	5,494		$	5,122		$	97		$	1,216		$	—		$	18,169


Large Cap Index Fund						Extended Market Index Fund⁽³⁾			Small Cap Fund						Small Cap II Fund⁽⁴⁾
2013			2012			2013			2013			2012			2013			2012

$	39,683		$	18,484		$	371		$	8,224		$	6,101		$	1,572		$	79
	(5,408	)		53,371			202			77,627			59,833			8,057			(118	)
	—			—			—			1			(4	)		—			—
	404,466			(81,490	)		7,399			126,870			(128,827	)		37,721			(2,030	)
	438,741			(9,635	)		7,972			212,722			(62,897	)		47,350			(2,069	)


	(37,390	)		(16,211	)		(84	)		(10,108	)		(4,874	)		(1,541	)		—

	(17,633	)		—			—			—			—			(570	)		—
	(55,023	)		(16,211	)		(84	)		(10,108	)		(4,874	)		(2,111	)		—


	1,122,773			721,565	⁽²⁾		172,091			119,337			332,632			246,977			64,135
	54,321			15,668			84			8,729			4,151			2,031			—
	(602,393	)		(225,853	)		(5,956	)		(304,936	)		(238,605	)		(134,616	)		—
	574,701			511,380			166,219			(176,870	)		98,178			114,392			64,135
	958,419			485,534			174,107			25,744			30,407			159,631			62,066

	1,255,669			770,135			—			753,232			722,825			62,066			—
$	2,214,088		$	1,255,669		$	174,107		$	778,976		$	753,232		$	221,697		$	62,066
$	7,007		$	4,580		$	304		$	1,010		$	2,209		$	168		$	81


International Equity Fund						World Equity Ex-US Fund						Screened World Equity Ex-US Fund						Opportunistic Income Fund
2013			2012			2013			2012			2013			2012			2013			2012

$	7,424		$	10,379		$	134,537		$	106,328		$	1,052		$	811		$	6,707		$	4,754
	21,372			(17,819	)		189,005			(109,876	)		2,182			(594	)		(240	)		697
	(489	)		(648	)		(4,774	)		(4,166	)		(28	)		6			—			—
	55,999			(108,105	)		1,036,674			(989,578	)		9,793			(11,635	)		16,541			(1,147	)
				—			(77	)		126			—			—			—			—
	79			(5	)		(3,829	)		2,877			(70	)		44			—			—
	84,385			(116,198	)		1,351,536			(994,289	)		12,929			(11,368	)		23,008			4,304


	(9,490	)		(9,424	)		(119,081	)		(92,739	)		(1,070	)		(992	)		(8,743	)		(5,179	)

	—			—			—			—			—			—			—			—
	(9,490	)		(9,424	)		(119,081	)		(92,739	)		(1,070	)		(992	)		(8,743	)		(5,179	)


	49,109			106,213			1,900,967			1,951,943			11,231			16,382			795,292			15,632
	8,501			8,534			116,860			90,489			818			806			8,488			5,015
	(225,540	)		(210,941	)		(1,681,364	)		(1,460,559	)		(10,143	)		(10,916	)		(40,482	)		(96,090	)
	(167,930	)		(96,194	)		336,463			581,873			1,906			6,272			763,298			(75,443	)
	(93,035	)		(221,816	)		1,568,918			(505,155	)		13,765			(6,088	)		777,563			(76,318	)

	324,696			546,512			4,623,934			5,129,089			48,756			54,844			218,959			295,277
$	231,661		$	324,696		$	6,192,852		$	4,623,934		$	62,521		$	48,756		$	996,522		$	218,959

$	4,172		$	6,204		$	71,744		$	56,700		$	579		$	508		$	11,315		$	6,855


Ultra Short Duration Bond Fund						Emerging Markets Debt Fund						Real Return Fund						Dynamic Asset Allocation Fund						Multi-Asset Real Return Fund⁽⁴⁾
2013			2012			2013			2012			2013			2012			2013			2012			2013			2012

$	3,624		$	4,873		$	63,189		$	68,258		$	2,259		$	8,154		$	19,134		$	(497	)	$	2,106		$	1,267
	829			54			62,344			24,704			3,756			7,917			17,617			42,339			(7,650	)		(3,848	)
	—			—			12,904			(142	)		—			—			(844	)		—			271			196
	1,718			(731	)		(17,600	)		(50,426	)		(6,178	)		(9,367	)		157,998			(43,624	)		2,550			(7,980	)
	—			—			(2,230	)		3,983			—			—			(16,776	)		23,729			12			1,240
	6,171			4,196			118,607			46,377			(163	)		6,704			177,129			21,947			(2,711	)		(9,125	)


	(4,073	)		(5,251	)		(93,938	)		(70,422	)		(4,654	)		(10,472	)		(23,239	)		—			(970	)		(166	)

	—			—			(52,794	)		(10,680	)		(5,838	)		(6,909	)		(30,576	)		(22,339	)		—			—

	—			—			—			—			—			—			—			—			(194	)		—
	(4,073	)		(5,251	)		(146,732	)		(81,102	)		(10,492	)		(17,381	)		(53,815	)		(22,339	)		(1,164	)		(166	)


	565,825	⁽²⁾		315,607			445,867			330,816			42,921			60,444			508,259			201,504			201,232			173,818
	3,958			5,230			142,096			78,720			9,256			15,092			52,931			19,948			1,056			161
	(347,511	)		(334,917	)		(262,863	)		(288,584	)		(71,531	)		(152,230	)		(101,522	)		(75,756	)		(34,577	)		(24,625	)
	222,272			(14,080	)		325,100			120,952			(19,354	)		(76,694	)		459,668			145,696			167,711			149,354
	224,370			(15,135	)		296,975			86,227			(30,009	)		(87,371	)		582,982			145,304			163,836			140,063

	298,223			313,358			1,114,918			1,028,691			281,861			369,232			552,649			407,345			140,063			—
$	522,593		$	298,223		$	1,411,893		$	1,114,918		$	251,852		$	281,861		$	1,135,631		$	552,649		$	303,899		$	140,063
$	41		$	(33	)	$	(6,914)		$	7,259		$	854		$	3,155		$	(4,737	)	$	(492	)	$	(2,634	)	$	(279	)


	Multi-Asset Real Return Fund
Cash Flows from Operating Activities:
Net decrease in net asset resulting from operations	$	(2,711	)
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used in operating activities:
Purchases of investment securities		(277,400	)
Proceeds from sale of investment securities		96,889
Net realized gain from investments		(609	)
Net change in unrealized appreciation on investments		(1,955	)
Amortization/accretion of premiums/discounts		1,509
Proceeds of written & purchased options		(521	)
Proceeds from sales of written & purchased options		157
Net realized loss on written & purchased options		475
Net change in unrealized depreciation on written & purchased options		38
Increase in swap contracts, at value		(444	)
Decrease in foreign currency		87
Increase in cash pledged as collateral		(38	)
Increase in receivable for investment securities sold		(291	)
Increase in dividends and interest receivable		(406	)
Increase in foreign tax reclaim receivable		(4	)
Unrealized gain on forward foreign currency contracts		(65	)
Unrealized loss on foreign spot currency contracts		56
Increase in prepaid expenses		(1	)
Increase in payable for investment securities purchased		71,436
Increase in reverse repurchase agreements		14,877
Decrease in variation margin payable		(48	)
Increase in investment advisory fees payable		12
Increase in chief compliance officer fees payable		1
Increase in trustees fees payable		1
Decrease in accrued expense payable		(1	)
Net Cash Used in Operating Activities		(98,956	)
Cash Flows from Financing Activities:
Proceeds from shares issued		130,608
Payments on shares redeemed		(34,484	)
Distributions from net investment income		(108	)
Net Cash Provided by Financing Activities		96,016
Net Change in Cash		(2,940	)
Cash at Beginning of Year		2,953
Cash at End of Year	$	13
Supplemental Information Cash Flows from Net Operating Activities:
Interest paid	$	66


	Net Asset Value, Beginning of Period		Net Investment Income⁽¹⁾		Net Realized and Unrealized Gains (Losses) on Securities⁽¹⁾			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
2013	$	17.07	$	0.34	$	4.38		$	4.72		$	(0.33	)	$	(0.52	)	$	(0.85	)	$	20.94		28.44	%	$	1,897,837		0.19	%⁽⁶⁾		0.19	%⁽⁶⁾		0.46	%⁽⁶⁾		1.79	%		47	%
2012		18.40		0.25		(0.61	)		(0.36	)		(0.24	)		(0.73	)		(0.97	)		17.07		(1.69	)		1,774,178		0.26	⁽³⁾		0.26	⁽³⁾		0.47	⁽³⁾		1.47			83
2011		14.84		0.22		3.56			3.78			(0.22	)		—			(0.22	)		18.40		25.70			1,616,607		0.26			0.26			0.47			1.35			85
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
Large Cap Diversified Alpha Fund
Class A
2013	$	9.41	$	0.16	$	2.22		$	2.38		$	(0.20	)	$	—		$	(0.20	)	$	11.59		25.66	%	$	309,577		0.24	%		0.24	%		0.46	%		1.55	%		82	%
2012		9.53		0.13		(0.16	)		(0.03	)		(0.09	)		—			(0.09	)		9.41		(0.24	)		320,907		0.31			0.31			0.47			1.40			101
2011		7.69		0.11		1.88			1.99			(0.15	)		—			(0.15	)		9.53		26.09			364,180		0.31			0.31			0.47			1.30			143
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
Large Cap Disciplined Equity Fund
Class A
2013	$	10.58	$	0.21	$	2.73		$	2.94		$	(0.28	)	$	—		$	(0.28	)	$	13.24		28.24	%	$	5,500,315		0.17	%⁽⁵⁾		0.17	%⁽⁵⁾		0.46	%⁽⁵⁾		1.80	%		109	%
2012		10.87		0.16		(0.29	)		(0.13	)		(0.16	)		—			(0.16	)		10.58		(1.14	)		5,436,390		0.18	⁽⁴⁾		0.18	⁽⁴⁾		0.47	⁽⁴⁾		1.54			93
2011		8.86		0.15		2.08			2.23			(0.22	)		—			(0.22	)		10.87		25.39			7,773,980		0.18			0.18			0.47			1.54			118
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
Large Cap Index Fund
Class A
2013	$	113.85	$	2.77	$	28.02		$	30.79		$	(2.61	)	$	(1.16	)	$	(3.77	)	$	140.87		27.55	%	$	2,214,088		0.03	%		0.03	%		0.23	%		2.18	%		14	%
2012		117.49		2.26		(3.78	)		(1.52	)		(2.12	)		—			(2.12	)		113.85		(1.24	)		1,255,669		0.06			0.06			0.24			2.01			12
2011		94.53		2.01		22.98			24.99			(2.03	)		—			(2.03	)		117.49		26.77			770,135		0.06			0.06			0.24			1.91			17
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
Extended Market Index Fund
2013⁽⁷⁾	$	10.00	$	0.03	$	0.75		$	0.78		$	(0.01	)	$	—		$	(0.01	)	$	10.77		7.84	%	$	174,107		0.11	%		0.11	%		0.22	%		1.30	%		4	%
Small Cap Fund
Class A
2013	$	12.04	$	0.13	$	3.42		$	3.55		$	(0.17	)	$	—		$	(0.17	)	$	15.42		29.71	%	$	778,976		0.47	%		0.47	%		0.71	%		1.01	%		85	%
2012		13.49		0.11		(1.47	)		(1.36	)		(0.09	)		—			(0.09	)		12.04		(10.11	)		753,232		0.54			0.54			0.72			0.88			85
2011		10.69		0.09		2.84			2.93			(0.13	)		—			(0.13	)		13.49		27.56			722,825		0.54			0.54			0.72			0.76			86
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
Small Cap II Fund
Class A
2013	$	9.62	$	0.09	$	2.64		$	2.73		$	(0.09	)	$	(0.03	)	$	(0.12	)	$	12.23		28.54	%	$	221,697		0.48	%		0.48	%		0.72	%		0.88	%		113	%
2012⁽²⁾		10.00		0.02		(0.40	)		(0.38	)		—			—			—			9.62		(3.80	)		62,066		0.59			0.59			0.78			1.07			9


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)⁽¹⁾			Net Realized and Unrealized Gains (Losses) on Securities⁽¹⁾			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 (Loss) to Average Net Assets			Portfolio Turnover Rate†
Core Fixed Income Fund
Class A
2013	$	10.63	$	0.27		$	0.06		$	0.33		$	(0.29	)	$	(0.13	)	$	(0.42	)	$	10.54		3.12	%	$	6,484,218		0.13	%		0.13	%		0.36	%		2.53	%		315	%
2012		10.39		0.34			0.47			0.81			(0.36	)		(0.21	)		(0.57	)		10.63		7.98			7,081,317		0.14			0.14			0.37			3.21			386
2011		10.35		0.38			0.44			0.82			(0.39	)		(0.39	)		(0.78	)		10.39		8.17			6,761,399		0.16	⁽³⁾		0.16	⁽³⁾		0.38	⁽³⁾		3.60			422
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
High Yield Bond Fund
Class A
2013	$	9.30	$	0.71		$	0.69		$	1.40		$	(0.69	)	$	—		$	(0.69	)	$	10.01		15.46	%	$	2,162,551		0.30	%⁽¹¹⁾		0.30	%⁽¹¹⁾		0.56	%⁽¹¹⁾		7.23	%		72	%
2012		9.58		0.74			(0.29	)		0.45			(0.72	)		(0.01	)		(0.73	)		9.30		5.09			1,914,780		0.35	⁽⁸⁾		0.35	⁽⁸⁾		0.56	⁽⁸⁾		7.97			50
2011		8.74		0.79			0.81			1.60			(0.76	)		(0.00	)‡		(0.76	)		9.58		19.06			1,939,023		0.35			0.35			0.56			8.48			90
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
Long Duration Fund
Class A
2013	$	9.65	$	0.36		$	(0.25	)	$	0.11		$	(0.36	)	$	(0.65	)	$	(1.01	)	$	8.75		0.78	%	$	3,322,291		0.16	%		0.16	%		0.37	%		3.80	%		96	%
2012		8.83		0.41			1.42			1.83			(0.42	)		(0.59	)		(1.01	)		9.65		21.70			5,497,375		0.20			0.20			0.37			4.45			121
2011		8.69		0.44			0.46			0.90			(0.43	)		(0.33	)		(0.76	)		8.83		10.74			3,523,154		0.20	⁽⁵⁾		0.20	⁽⁵⁾		0.37	⁽⁵⁾		5.03			85
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
Long Duration Corporate Bond Fund
Class A
2013⁽⁹⁾	$	10.00	$	0.39		$	0.00‡		$	0.39		$	(0.39	)	$	(0.07	)	$	(0.46	)	$	9.93		3.75	%	$	2,082,952		0.15	%		0.15	%		0.36	%		4.08	%		100	%
Ultra Short Duration Bond Fund
Class A
2013	$	9.95	$	0.10		$	0.11		$	0.21		$	(0.12	)	$	—		$	(0.12	)	$	10.04		2.14	%	$	522,593		0.12	%		0.12	%		0.21	%		1.02	%		178	%
2012		9.99		0.11			(0.02	)		0.09			(0.13	)		—			(0.13	)		9.95		0.86			298,223		0.16			0.16			0.21			1.14			222
2011⁽⁴⁾		10.00		0.04			(0.01	)		0.03			(0.04	)		—			(0.04	)		9.99		0.33			313,358		0.18			0.18			0.23			1.65			23
Emerging Markets Debt Fund
Class A
2013	$	11.22	$	0.56		$	0.65		$	1.21		$	(0.84	)	$	(0.48	)	$	(1.32	)	$	11.11		10.64	%	$	1,411,893		0.48	%		0.48	%		0.94	%		4.79	%		119	%
2012		11.60		0.73			(0.22	)		0.51			(0.77	)		(0.12	)		(0.89	)		11.22		4.67			1,114,918		0.55			0.55			0.93			6.43			55
2011		10.47		0.78			0.91			1.69			(0.56	)		—			(0.56	)		11.60		16.51			1,028,691		0.55			0.55			0.93			6.89			75
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
Real Return Fund
Class A
2013	$	10.29	$	0.09		$	(0.10	)	$	(0.01	)	$	(0.18	)	$	(0.24	)	$	(0.42	)	$	9.86		(0.15	)%	$	251,852		0.11	%		0.11	%		0.28	%		0.87	%		97	%
2012		10.67		0.29			(0.07	)		0.22			(0.35	)		(0.25	)		(0.60	)		10.29		2.15			281,861		0.20			0.20			0.28			2.75			96
2011		10.41		0.31			0.37			0.68			(0.21	)		(0.21	)		(0.42	)		10.67		6.65			369,232		0.20			0.20			0.28			2.90			69
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
Dynamic Asset Allocation Fund
Class A
2013	$	11.14	$	0.30		$	2.20		$	2.50		$	(0.35	)	$	(0.48	)	$	(0.83	)	$	12.81		23.75	%	$	1,135,631		0.10	%		0.10	%		0.66	%		2.50	%		35	%
2012		11.26		(0.01	)		0.39			0.38			—			(0.50	)		(0.50	)		11.14		3.73			552,649		0.50			0.50			0.67			(0.10	)		140
2011⁽²⁾		10.00		(0.04	)		1.49			1.45			—			(0.19	)		(0.19	)		11.26		14.66			407,345		0.50			0.50			0.67			(0.39	)		0
Multi-Asset Real Return Fund
Class A
2013	$	9.25	$	0.11		$	(0.10	)⁽¹²⁾	$	0.01		$	(0.07	)**	$	—		$	(0.07	)	$	9.19		0.07	%	$	303,899		0.32	%⁽¹⁰⁾		0.32	%⁽¹⁰⁾		0.66	%⁽¹⁰⁾		1.11	%		49	%
2012⁽⁶⁾		10.00		0.10			(0.84	)		(0.74	)		(0.01	)		—			(0.01	)		9.25		(7.37	)		140,063		0.41	⁽⁷⁾		0.41	⁽⁷⁾		0.66	⁽⁷⁾		1.23			58


	Number of Shares/ Face Amount ($ Thousands)		Acquisition Date		Right to Acquire Date		Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets

Small Cap Fund
Titanium Asset Management		132,700		8/6/07		8/6/07	$	792	$	105		0.01	%


Small/Mid Cap Equity Fund
Titanium Asset Management		147,000		8/6/07		8/6/07	$	867	$	116		0.01	%


High Yield Bond Fund
Aventine (Escrow Security)	$	2,600		11/30/10		11/30/10	$	—	$	1		0.00	%
VSS AHC, Cl A		29,628		9/25/09		9/25/09		551		354		0.02

							$	551	$	355		0.02	%


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	$	(27,351	)		—		—		—	$	(27,351	)
Maximum potential amount of future payments		3,560,000			—		—		—		3,560,000
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)
0-200		—		—		—	$	3,560,000		—	$	3,560,000
> than 200		—		—		—		—		—		—
Total							$	3,560,000			$	3,560,000


MULTI-ASSET REALRETURN 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	$	19,531		—		—	$	10,827	$	30,358
Maximum potential amount of future payments		429,202		—		—		690,000		1,119,202
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
MULTI-ASSET REALRETURN 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		—		—	$	860,000		—		—	$	860,000
100-200		—		—		259,202		—		—		259,202
> than 200		—		—		—		—		—		—
Total		—		—	$	1,119,202		—		—	$	1,119,202


	Asset Derivatives				Liability Derivatives
	Year ended May 31, 2013 ($ Thousands)				Year ended May 31, 2013 ($ Thousands)
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value

Emerging Markets Debt Fund
Interest rate contracts	Net Assets — Unrealized appreciation on swap contracts	$	49	†	Net Assets — Unrealized depreciation on swap contracts	$	296	†
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		6,012		Unrealized loss on forward foreign currency contracts		4,234
	Options purchased, at value		443		Options written, at value		—
Equity contracts	Net Assets — Unrealized appreciation on swap contracts		166	†	Net Assets — Unrealized depreciation on swap contracts		710	†

Total Derivatives not accounted for as hedging instruments		$	6,670			$	5,240


Dynamic Asset Allocation Fund
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	6,953		Unrealized loss on forward foreign currency contracts	$	—
Equity contracts	Options purchased, at value		2,490		Options written, at value		—

Total Derivatives not accounted for as hedging instruments		$	9,443			$	—


Multi-Asset Real Return Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	123	*	Net Assets — Unrealized depreciation on futures contracts	$	—	*
	Net Assets — Unrealized appreciation on swap contracts		93	†	Net Assets — Unrealized depreciation on swap contracts		77	†
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		1,325		Unrealized loss on forward foreign currency contracts		16
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		23	†	Net Assets — Unrealized depreciation on swap contracts		—	†
Equity contracts	Net Assets — Unrealized appreciation on swap contracts		632	†	Net Assets — Unrealized depreciation on swap contracts		—	†
	Options purchased, at value		122		Options written, at value		105

Total Derivatives not accounted for as hedging instruments		$	2,318			$	198


Derivatives Not Accounted for as Hedging Instruments	Options		Futures			Forward Currency Contracts			Swaps			Total
International Equity Fund
Foreign exchange contracts	$	—	$	—		$	(11	)	$	—		$	(11	)
Equity contracts		—		2,500			—			—			2,500
Total	$	—	$	2,500		$	(11	)	$	—		$	2,489
World Equity Ex-US Fund
Foreign exchange contracts	$	—	$	—		$	614		$	—		$	614
Equity contracts		—		31,664			—			—			31,664
Total	$	—	$	31,664		$	614		$	—		$	32,278
Screened World Equity Ex-US Fund
Foreign exchange contracts	$	—	$	—		$	16		$	—		$	16
Equity contracts		—		305			—			—			305
Total	$	—	$	305		$	16		$	—		$	321
Core Fixed Income Fund
Interest rate contracts	$	332	$	4,693		$	—		$	(2,187	)	$	2,838
Foreign exchange contracts		—		—			6,244			—			6,244
Credit contracts		119		—			—			(3,573	)		(3,454	)
Total	$	451	$	4,693		$	6,244		$	(5,760	)	$	5,628
Long Duration Fund
Interest rate contracts	$	—	$	(4,788	)	$	—		$	(170	)	$	(4,958	)
Credit contracts		—		—			—			(10	)		(10	)
Total	$	—	$	(4,788	)	$	—		$	(180	)	$	(4,968	)



Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments	Swaptions		Options			Futures			Forward Currency Contracts			Swaps			Total
International Equity Fund
Foreign exchange contracts	$	—	$	—		$	—		$	(122	)	$	—		$	(122	)
Equity contracts		—		—			628			—			—			628
Total	$	—	$	—		$	628		$	(122	)	$	—		$	506
World Equity Ex-US Fund
Foreign exchange contracts	$	—	$	—		$	—		$	(3,649	)	$	—		$	(3,649	)
Equity contracts		—		—			14,968			—			—			14,968
Total	$	—	$	—		$	14,968		$	(3,649	)	$	—		$	11,319
Screened World Equity Ex-US Fund
Foreign exchange contracts	$	—	$	—		$	—		$	(64	)	$	—		$	(64	)
Equity contracts		—		—			164			—			—			164
Total	$	—	$	—		$	164		$	(64	)	$	—		$	100
Core Fixed Income Fund
Interest rate contracts	$	6	$	317		$	7,719		$	—		$	2,712		$	10,754
Foreign exchange contracts		—		—			—			(137	)		—			(137	)
Equity contracts		—		—			—			—			201			201
Credit contracts		—		—			—			—			2,986			2,986
Total	$	6	$	317		$	7,719		$	(137	)	$	5,899		$	13,804
Long Duration Fund
Interest rate contracts	$	—	$	—		$	(1,799	)	$	—		$	676		$	(1,123	)
Credit contracts		—		—			—			—			(409	)		(409	)
Total	$	—	$	—		$	(1,799	)	$	—		$	267		$	(1,532	)
Emerging Markets Debt Fund
Interest rate contracts	$	—	$	—		$	304		$	—		$	(247	)	$	57
Foreign exchange contracts		—		(174	)		—			(2,257	)		—			(2,431	)
Equity contracts		—		—			—			—			(544	)		(544	)
Total	$	—	$	(174	)	$	304		$	(2,257	)	$	(791	)	$	(2,918	)
Dynamic Asset Allocation Fund
Foreign exchange contracts	$	—	$	—		$	—		$	(16,776	)	$	—		$	(16,776	)
Equity contracts		—		1,011			—			—			—			1,011
Total	$	—	$	1,011		$	—		$	(16,776	)	$	—		$	(15,765	)
Multi-Asset Real Return Fund
Interest rate contracts	$	—	$	(38	)	$	212		$	—		$	79		$	253
Foreign exchange contracts		—		—			—			65			—			65
Credit contracts		—		—			—			—			12			12
Equity contracts		—		—			—			—			330			330
Total	$	—	$	(38	)	$	212		$	65		$	421		$	660


	Extended Market Index Fund⁽²⁾			Small Cap Fund						Small Cap II Fund⁽³⁾					Small/Mid Cap Equity Fund
	2013			2013			2012			2013			2012		2013			2012
Class A:
Shares Issued		16,710			9,157			27,655			23,779			6,454		32,351			35,194
Shares Issued In Lieu of Dividends and Distributions		8			670			349			194			—		3,021			1,269
Shares Redeemed		(558	)		(21,852	)		(19,023	)		(12,307	)		—		(58,681	)		(45,867	)⁽¹⁾
Increase (Decrease) in Net Assets Derived from Class A Transactions		16,160			(12,025	)		8,981			11,666			6,454		(23,309	)		(9,404	)