UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-08532 | |||||
AMERICAN CENTURY STRATEGIC ASSET ALLOCATIONS, INC. | ||||||
(Exact name of registrant as specified in charter) | ||||||
4500 MAIN STREET, KANSAS CITY, MISSOURI | 64111 | |||||
(Address of principal executive offices) | (Zip Code) | |||||
CHARLES A. ETHERINGTON 4500 MAIN STREET, KANSAS CITY, MISSOURI 64111 | ||||||
(Name and address of agent for service) | ||||||
Registrant’s telephone number, including area code: | 816-531-5575 | |||||
Date of fiscal year end: | 11-30 | |||||
Date of reporting period: | 5-31-2012 |
ITEM 1. REPORTS TO STOCKHOLDERS.
SEMIANNUAL REPORT | MAY 31, 2012
Strategic Allocation: Aggressive Fund |
President’s Letter | 2 |
Independent Chairman’s Letter | 3 |
Performance | 4 |
Fund Characteristics | 5 |
Shareholder Fee Example | 6 |
Schedule of Investments | 8 |
Statement of Assets and Liabilities | 43 |
Statement of Operations | 44 |
Statement of Changes in Net Assets | 45 |
Notes to Financial Statements | 46 |
Financial Highlights | 54 |
Additional Information | 57 |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
Thank you for reviewing our semiannual report for the six months ended May 31, 2012. This report offers a macroeconomic and financial market overview of the period (below), followed by fund performance, a schedule of fund investments, and other financial information.
For additional, updated information on fund performance, portfolio strategy, and the investment markets, we encourage you to visit our website, americancentury.com. Click on the “Fund Performance” and “Insights & News” headings at the top of our Individual Investors site. Also, the next annual report, dated November 30, 2012, will provide additional market perspective and commentary from our portfolio management team.
Macroeconomic and Financial Market Overview
The six-month period covered by this report began in late 2011 on a relatively strong note, with market values, yields, and investor activity reflecting optimism for 2012. Concerns about the European sovereign debt crisis had eased somewhat. Renewed optimism (similar to early in the first quarter of 2011) inspired investors to generally favor stocks over bonds, and higher-yielding investments over lower-yielding.
This risk-tolerant attitude prevailed through March 2012, but broke down in April and May. During the first four months, investor optimism helped push equities—both domestic and foreign—to double-digit returns. In contrast, the U.S. Treasury market suffered negative returns.
But trends reversed during the final two months of the reporting period. Several U.S. growth indicators slowed, and Europe’s sovereign debt crisis turned for the worse. Spain’s banking sector deteriorated, and Greece’s failure to form a coalition government after elections in May led to concerns that the country might leave the eurozone. Investor preferences generally shifted from stocks to safe-haven assets, particularly U.S. Treasuries.
As a result, investment returns for the six months were mixed. The biggest gainers included long-maturity U.S. government and municipal bonds, and high-yield bonds. The biggest decliners included commodities and international stocks, particularly European stocks. Between those extremes were middling returns for broad U.S. indices—the S&P 500 Index advanced 6.23%, while its bond counterpart, the Barclays U.S. Aggregate Bond Index, advanced 3.46%.
In this uncertain, unstable environment, we continue to believe in a disciplined, diversified, long-term investment approach. We appreciate your continued trust in us during these unsettled times.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
The assets under management in American Century Investments’ funds grow through investors placing new assets in the funds and through market appreciation. Asset growth has been at near record levels over the past two calendar years as market movements were upward, the funds’ relative returns were generally favorable, and the distribution strategies implemented by fund management have been successful.
The board reviews fund performance and distribution strategies on a regular basis. Several years ago, the fund’s management team discussed with the board its plans to grow fund assets in the intermediary, institutional and international distribution channels. These distribution strategies have produced strong positive growth. The growth in the intermediary channel recognizes the funds’ strong relative investment performance and the desire of many shareholders to seek financial guidance. Investors in both the institutional and international channels appear to find the funds’ risk-based investment strategies attractive. The board continues to support fund management’s strategies to increase fund assets and will continue to work to provide the benefits of these gains to fund shareholders.
We continue to receive a steady flow of very thoughtful questions from shareholders. If there are issues that you would like the board to address please email me at dhpratt@fundboardchair.com. Thank you for your continued investment in American Century Investments funds.
Best regards,
Don Pratt
3
Total Returns as of May 31, 2012 | |||||||
Average Annual Returns | |||||||
Ticker Symbol | 6 months(1) | 1 year | 5 years | 10 years | Since Inception | Inception Date | |
Investor Class | TWSAX | 4.08% | -3.78% | 0.71% | 5.61% | 6.83% | 2/15/96 |
S&P 500 Index | — | 6.23% | -0.41% | -0.92% | 4.14% | 6.41%(2) | — |
Barclays U.S. Aggregate Bond Index | — | 3.46% | 7.12% | 6.72% | 5.72% | 6.28%(2) | — |
Barclays U.S. 1–3 Month Treasury Bill Index | — | 0.03% | 0.04% | 0.95% | 1.78% | 2.96%(2) | — |
Institutional Class | AAAIX | 4.24% | -3.66% | 0.90% | 5.82% | 3.64% | 8/1/00 |
A Class(3) No sales charge* With sales charge* | ACVAX | 3.96% -2.07% | -4.12% -9.59% | 0.46% -0.72% | 5.35% 4.73% | 6.36% 5.96% | 10/2/96 |
B Class No sales charge* With sales charge* | ALLBX | 3.64% -1.36% | -4.83% -8.83% | -0.29% -0.49% | — — | 4.56% 4.56% | 9/30/04 |
C Class No sales charge* With sales charge* | ASTAX | 3.65% 2.65% | -4.84% -4.84% | -0.29% -0.29% | 4.57% 4.57% | 4.29% 4.29% | 11/27/01 |
R Class | AAARX | 3.82% | -4.25% | 0.22% | — | 4.34% | 3/31/05 |
*Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. B Class shares redeemed within six years of purchase are subject to a CDSC that declines from 5.00% during the first year after purchase to 0.00% the sixth year after purchase. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied.
(1) | Total returns for periods less than one year are not annualized. |
(2) | Since 2/29/96, the date nearest the Investor Class’s inception for which data are available. |
(3) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class and did not have a front-end sales charge. Performance prior to that date has been adjusted to reflect this charge. |
Total Annual Fund Operating Expenses | |||||
Investor Class | Institutional Class | A Class | B Class | C Class | R Class |
1.21% | 1.01% | 1.46% | 2.21% | 2.21% | 1.71% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. As interest rates rise, bond values will decline. International investing involves special risks, such as political instability and currency fluctuations. Investing in emerging markets may accentuate these risks.
Unless otherwise indicated, performance reflects Investor Class shares; performance for other share classes will vary due to differences in fee structure. For information about other share classes available, please consult the prospectus. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for the indices are provided for comparison. The fund’s total returns include operating expenses (such as transaction costs and management fees) that reduce returns, while the total returns of the indices do not.
4
Fund Characteristics |
MAY 31, 2012 | |
Top Ten Equity Holdings | % of net assets |
Apple, Inc. | 1.7% |
Exxon Mobil Corp. | 1.0% |
Microsoft Corp. | 0.9% |
Chevron Corp. | 0.7% |
International Business Machines Corp. | 0.7% |
Samsung Electronics Co. Ltd. | 0.7% |
Johnson & Johnson | 0.7% |
Google, Inc., Class A | 0.7% |
Philip Morris International, Inc. | 0.6% |
Wells Fargo & Co. | 0.6% |
Geographic Composition of Equity Holdings | % of net assets |
United States | 56.1% |
United Kingdom | 2.4% |
Japan | 1.7% |
Switzerland | 1.7% |
Other Countries | 15.8% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 6.4 years |
Average Duration (effective) | 4.6 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 56.0% |
Foreign Common Stocks | 21.6% |
Corporate Bonds | 9.2% |
U.S. Treasury Securities | 5.8% |
U.S. Government Agency Mortgage-Backed Securities | 3.2% |
Municipal Securities | 0.6% |
Commercial Mortgage-Backed Securities | 0.6% |
Commercial Paper | 0.4% |
Collateralized Mortgage Obligations | 0.4% |
Sovereign Governments and Agencies | 0.2% |
U.S. Government Agency Securities | 0.2% |
Exchange-Traded Funds | 0.1% |
Convertible Preferred Stocks | —* |
Preferred Stocks | —* |
Temporary Cash Investments | 1.6% |
Other Assets and Liabilities | 0.1% |
*Category is less than 0.05% of total net assets. |
5
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2011 to May 31, 2012.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
6
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 12/1/11 | Ending Account Value 5/31/12 | Expenses Paid During Period(1) 12/1/11 – 5/31/12 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,040.80 | $6.12 | 1.20% |
Institutional Class | $1,000 | $1,042.40 | $5.11 | 1.00% |
A Class | $1,000 | $1,039.60 | $7.39 | 1.45% |
B Class | $1,000 | $1,036.40 | $11.20 | 2.20% |
C Class | $1,000 | $1,036.50 | $11.20 | 2.20% |
R Class | $1,000 | $1,038.20 | $8.66 | 1.70% |
Hypothetical | ||||
Investor Class | $1,000 | $1,019.00 | $6.06 | 1.20% |
Institutional Class | $1,000 | $1,020.00 | $5.05 | 1.00% |
A Class | $1,000 | $1,017.75 | $7.31 | 1.45% |
B Class | $1,000 | $1,014.00 | $11.08 | 2.20% |
C Class | $1,000 | $1,014.00 | $11.08 | 2.20% |
R Class | $1,000 | $1,016.50 | $8.57 | 1.70% |
(1) | Expenses are equal to the class’s annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 183, the number of days in the most recent fiscal half-year, divided by 366, to reflect the one-half year period. |
7
Shares/ Principal Amount | Value | |||||||
Common Stocks — 77.6% | ||||||||
AEROSPACE AND DEFENSE — 2.2% | ||||||||
AAR Corp. | 1,165 | $14,038 | ||||||
Aerovironment, Inc.(1) | 755 | 16,821 | ||||||
Alliant Techsystems, Inc. | 188 | 9,203 | ||||||
American Science & Engineering, Inc. | 2,293 | 111,096 | ||||||
Astronics Corp.(1) | 476 | 12,148 | ||||||
BE Aerospace, Inc.(1) | 49,400 | 2,140,008 | ||||||
Ceradyne, Inc. | 218 | 5,492 | ||||||
Curtiss-Wright Corp. | 1,298 | 39,446 | ||||||
European Aeronautic Defence and Space Co. NV | 42,200 | 1,412,521 | ||||||
Exelis, Inc. | 16,697 | 166,970 | ||||||
General Dynamics Corp. | 5,921 | 379,003 | ||||||
Hexcel Corp.(1) | 18,424 | 449,177 | ||||||
Honeywell International, Inc. | 45,868 | 2,553,013 | ||||||
L-3 Communications Holdings, Inc. | 5,873 | 400,480 | ||||||
Moog, Inc., Class A(1) | 613 | 23,306 | ||||||
National Presto Industries, Inc. | 440 | 29,507 | ||||||
Northrop Grumman Corp. | 30,279 | 1,778,891 | ||||||
Orbital Sciences Corp.(1) | 1,160 | 12,980 | ||||||
Precision Castparts Corp. | 8,230 | 1,367,908 | ||||||
Raytheon Co. | 16,812 | 845,980 | ||||||
Spirit Aerosystems Holdings, Inc. Class A(1) | 47,000 | 1,084,290 | ||||||
Teledyne Technologies, Inc.(1) | 380 | 22,640 | ||||||
Textron, Inc. | 30,185 | 713,272 | ||||||
TransDigm Group, Inc.(1) | 21,300 | 2,619,900 | ||||||
Triumph Group, Inc. | 3,935 | 235,471 | ||||||
United Technologies Corp. | 56,138 | 4,160,387 | ||||||
Zodiac Aerospace | 15,000 | 1,462,100 | ||||||
22,066,048 | ||||||||
AIR FREIGHT AND LOGISTICS — 0.6% | ||||||||
FedEx Corp. | 14,586 | 1,300,196 | ||||||
Hyundai Glovis Co. Ltd. | 4,241 | 749,205 | ||||||
United Parcel Service, Inc., Class B | 50,622 | 3,793,613 | ||||||
UTi Worldwide, Inc. | 1,044 | 16,328 | ||||||
5,859,342 | ||||||||
AIRLINES — 0.1% | ||||||||
Alaska Air Group, Inc.(1) | 1,166 | 39,994 | ||||||
JetBlue Airways Corp.(1) | 3,289 | 17,202 | ||||||
Southwest Airlines Co. | 121,780 | 1,099,673 | ||||||
1,156,869 | ||||||||
AUTO COMPONENTS — 0.6% | ||||||||
American Axle & Manufacturing Holdings, Inc.(1) | 15,987 | 148,040 | ||||||
Autoliv, Inc. | 16,977 | 981,440 | ||||||
BorgWarner, Inc.(1) | 40,590 | 2,912,332 | ||||||
Cooper Tire & Rubber Co. | 1,447 | 22,400 | ||||||
Dana Holding Corp. | 3,770 | 50,216 | ||||||
Delphi Automotive plc(1) | 22,600 | 656,078 | ||||||
Lear Corp. | 552 | 21,997 | ||||||
Pirelli & C SpA | 91,930 | 911,077 | ||||||
Standard Motor Products, Inc. | 1,654 | 22,346 | ||||||
Tenneco, Inc.(1) | 714 | 19,385 | ||||||
5,745,311 | ||||||||
AUTOMOBILES — 1.0% | ||||||||
Bayerische Motoren Werke AG | 13,093 | 989,179 | ||||||
Brilliance China Automotive Holdings Ltd.(1) | 512,000 | 502,003 | ||||||
Ford Motor Co. | 84,740 | 894,854 | ||||||
Harley-Davidson, Inc. | 22,914 | 1,103,996 | ||||||
Hyundai Motor Co. | 10,349 | 2,139,509 | ||||||
Kia Motors Corp. | 12,405 | 842,941 | ||||||
PT Astra International Tbk | 46,500 | 318,080 | ||||||
Tata Motors Ltd. | 129,764 | 538,397 | ||||||
Tofas Turk Otomobil Fabrikasi | 127,680 | 434,102 | ||||||
Toyota Motor Corp. | 49,600 | 1,924,247 | ||||||
9,687,308 | ||||||||
BEVERAGES — 1.9% | ||||||||
Anheuser-Busch InBev NV | 21,729 | 1,471,018 | ||||||
Beam, Inc. | 19,675 | 1,191,518 | ||||||
Boston Beer Co., Inc., Class A(1) | 412 | 43,198 | ||||||
Brown-Forman Corp., Class B | 4,910 | 428,054 | ||||||
Cia de Bebidas das Americas Preference Shares ADR | 35,750 | 1,371,012 | ||||||
Coca-Cola Co. (The) | 62,853 | 4,697,005 | ||||||
Coca-Cola Enterprises, Inc. | 4,735 | 129,550 | ||||||
Coca-Cola Femsa SAB de CV ADR | 1,110 | 127,694 | ||||||
Constellation Brands, Inc., Class A(1) | 43,925 | 847,313 | ||||||
Dr Pepper Snapple Group, Inc. | 17,018 | 702,163 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 9,955 | 784,753 | ||||||
Monster Beverage Corp.(1) | 25,628 | 1,860,593 | ||||||
PepsiCo, Inc. | 54,045 | 3,666,953 |
8
Shares/ Principal Amount | Value |
Pernod-Ricard SA | 19,956 | $1,949,373 | ||||||
Primo Water Corp.(1) | 4,967 | 6,159 | ||||||
19,276,356 | ||||||||
BIOTECHNOLOGY — 1.3% | ||||||||
Achillion Pharmaceuticals, Inc.(1) | 1,634 | 11,732 | ||||||
Acorda Therapeutics, Inc.(1) | 1,074 | 23,617 | ||||||
Alexion Pharmaceuticals, Inc.(1) | 32,916 | 2,981,202 | ||||||
Alkermes plc(1) | 2,475 | 38,659 | ||||||
Amgen, Inc. | 41,583 | 2,890,850 | ||||||
ARIAD Pharmaceuticals, Inc.(1) | 3,991 | 66,131 | ||||||
Biogen Idec, Inc.(1) | 4,296 | 561,702 | ||||||
Cepheid, Inc.(1) | 28,787 | 1,089,012 | ||||||
Cubist Pharmaceuticals, Inc.(1) | 1,582 | 63,470 | ||||||
Exelixis, Inc.(1) | 4,056 | 18,779 | ||||||
Gilead Sciences, Inc.(1) | 30,570 | 1,526,971 | ||||||
Grifols SA(1) | 83,475 | 1,893,514 | ||||||
Halozyme Therapeutics, Inc.(1) | 2,343 | 17,901 | ||||||
ImmunoGen, Inc.(1) | 1,414 | 19,810 | ||||||
Incyte Corp. Ltd.(1) | 2,270 | 48,374 | ||||||
InterMune, Inc.(1) | 848 | 8,845 | ||||||
Ironwood Pharmaceuticals, Inc.(1) | 1,527 | 18,202 | ||||||
Isis Pharmaceuticals, Inc.(1) | 2,794 | 27,633 | ||||||
Medivation, Inc.(1) | 3,316 | 279,307 | ||||||
Momenta Pharmaceuticals, Inc.(1) | 1,240 | 17,100 | ||||||
NPS Pharmaceuticals, Inc.(1) | 2,554 | 20,151 | ||||||
Onyx Pharmaceuticals, Inc.(1) | 1,640 | 75,079 | ||||||
PDL BioPharma, Inc. | 3,203 | 20,787 | ||||||
Regeneron Pharmaceuticals, Inc.(1) | 5,500 | 746,075 | ||||||
Seattle Genetics, Inc.(1) | 2,526 | 49,206 | ||||||
Theravance, Inc.(1) | 1,555 | 32,173 | ||||||
United Therapeutics Corp.(1) | 16,925 | 748,762 | ||||||
13,295,044 | ||||||||
BUILDING PRODUCTS — 0.1% | ||||||||
Apogee Enterprises, Inc. | 4,367 | 64,544 | ||||||
Builders FirstSource, Inc.(1) | 17,293 | 68,480 | ||||||
Fortune Brands Home & Security, Inc.(1) | 40,400 | 913,848 | ||||||
Nortek, Inc.(1) | 150 | 7,190 | ||||||
Simpson Manufacturing Co., Inc. | 399 | 11,088 | ||||||
1,065,150 | ||||||||
CAPITAL MARKETS — 1.0% | ||||||||
Affiliated Managers Group, Inc.(1) | 11,600 | 1,195,612 | ||||||
Ameriprise Financial, Inc. | 16,680 | 799,305 | ||||||
Apollo Investment Corp. | 6,490 | 48,286 | ||||||
Ares Capital Corp. | 1,510 | 22,786 | ||||||
Artio Global Investors, Inc. | 1,100 | 3,355 | ||||||
Bank of New York Mellon Corp. (The) | 28,660 | 583,517 | ||||||
BlackRock Kelso Capital Corp. | 1,230 | 11,562 | ||||||
BlackRock, Inc. | 12,071 | 2,061,727 | ||||||
Charles Schwab Corp. (The) | 37,995 | 473,418 | ||||||
Fifth Street Finance Corp. | 1,645 | 15,644 | ||||||
Franklin Resources, Inc. | 887 | 94,723 | ||||||
Goldman Sachs Group, Inc. (The) | 9,100 | 870,870 | ||||||
Hercules Technology Growth Capital, Inc. | 2,166 | 22,873 | ||||||
HFF, Inc., Class A(1) | 4,022 | 52,608 | ||||||
Janus Capital Group, Inc. | 6,753 | 49,297 | ||||||
Jefferies Group, Inc. | 31,100 | 415,496 | ||||||
KKR & Co. LP | 73,000 | 857,750 | ||||||
Knight Capital Group, Inc., Class A(1) | 1,260 | 15,838 | ||||||
MCG Capital Corp. | 961 | 4,238 | ||||||
Morgan Stanley | 17,570 | 234,735 | ||||||
Northern Trust Corp. | 28,032 | 1,210,422 | ||||||
PennantPark Investment Corp. | 4,427 | 43,163 | ||||||
Prospect Capital Corp. | 1,544 | 16,629 | ||||||
State Street Corp. | 4,415 | 181,942 | ||||||
Triangle Capital Corp. | 2,746 | 55,854 | ||||||
UBS AG(1) | 89,164 | 1,005,143 | ||||||
Waddell & Reed Financial, Inc. | 1,131 | 32,471 | ||||||
WisdomTree Investments, Inc.(1) | 2,689 | 17,962 | ||||||
10,397,226 | ||||||||
CHEMICALS — 2.1% | ||||||||
Airgas, Inc. | 23,900 | 2,074,759 | ||||||
Albemarle Corp. | 22,500 | 1,365,750 | ||||||
BASF SE | 15,450 | 1,077,080 | ||||||
Celanese Corp. | 14,000 | 557,340 | ||||||
CF Industries Holdings, Inc. | 7,322 | 1,251,769 | ||||||
China BlueChemical Ltd. H Shares(1) | 750,000 | 517,938 | ||||||
Christian Hansen Holding A/S | 28,496 | 793,768 | ||||||
E.I. du Pont de Nemours & Co. | 37,237 | 1,797,058 |
9
Shares/ Principal Amount | Value |
Eastman Chemical Co. | 13,800 | $642,528 | ||||||
Ferro Corp.(1) | 1,329 | 5,901 | ||||||
Flotek Industries, Inc.(1) | 5,105 | 54,368 | ||||||
FMC Corp. | 24,800 | 1,264,056 | ||||||
Georgia Gulf Corp.(1) | 457 | 13,600 | ||||||
H.B. Fuller Co. | 2,840 | 86,336 | ||||||
Hawkins, Inc. | 985 | 32,515 | ||||||
Innophos Holdings, Inc. | 741 | 37,406 | ||||||
Intrepid Potash, Inc.(1) | 2,082 | 40,870 | ||||||
Koppers Holdings, Inc. | 670 | 23,524 | ||||||
Kraton Performance Polymers, Inc.(1) | 909 | 17,371 | ||||||
LG Chem Ltd. | 1,090 | 268,748 | ||||||
LyondellBasell Industries NV, Class A | 24,136 | 952,406 | ||||||
Mexichem SAB de CV | 143,537 | 498,621 | ||||||
Minerals Technologies, Inc. | 5,273 | 333,623 | ||||||
Monsanto Co. | 33,408 | 2,579,098 | ||||||
Olin Corp. | 10,036 | 192,390 | ||||||
OM Group, Inc.(1) | 897 | 16,334 | ||||||
Potash Corp. of Saskatchewan, Inc. | 12,124 | 480,218 | ||||||
PPG Industries, Inc. | 6,806 | 704,013 | ||||||
Rockwood Holdings, Inc.(1) | 24,682 | 1,194,609 | ||||||
Sensient Technologies Corp. | 475 | 17,347 | ||||||
Syngenta AG | 6,288 | 2,013,247 | ||||||
TPC Group, Inc.(1) | 1,199 | 37,876 | ||||||
Tredegar Corp. | 1,599 | 21,666 | ||||||
20,964,133 | ||||||||
COMMERCIAL BANKS — 3.8% | ||||||||
American National Bankshares, Inc. | 1,719 | 37,457 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 121,960 | 693,998 | ||||||
Banco Latinoamericano de Comercio Exterior SA E Shares | 2,371 | 46,234 | ||||||
Bancorp, Inc.(1) | 2,477 | 22,516 | ||||||
BancorpSouth, Inc. | 3,192 | 43,060 | ||||||
Bank of Montreal | 17,204 | 918,350 | ||||||
Bank of Nova Scotia | 12,314 | 631,527 | ||||||
BB&T Corp. | 10,969 | 331,483 | ||||||
BNP Paribas SA | 24,356 | 774,739 | ||||||
BOK Financial Corp. | 710 | 39,583 | ||||||
Boston Private Financial Holdings, Inc. | 5,509 | 49,691 | ||||||
Cathay General Bancorp. | 3,675 | 60,931 | ||||||
China Minsheng Banking Corp. Ltd. H Shares | 872,500 | 832,981 | ||||||
City National Corp. | 4,369 | 217,052 | ||||||
Columbia Banking System, Inc. | 1,356 | 24,571 | ||||||
Comerica, Inc. | 41,825 | 1,272,316 | ||||||
Commerce Bancshares, Inc. | 16,848 | 652,692 | ||||||
Commonwealth Bank of Australia | 24,628 | 1,185,112 | ||||||
Community Bank System, Inc. | 1,753 | 46,647 | ||||||
Credicorp Ltd. | 9,504 | 1,185,814 | ||||||
Cullen/Frost Bankers, Inc. | 5,090 | 289,570 | ||||||
CVB Financial Corp. | 1,710 | 18,622 | ||||||
DBS Group Holdings Ltd. | 77,000 | 789,958 | ||||||
East West Bancorp., Inc. | 32,498 | 727,630 | ||||||
F.N.B. Corp. | 3,662 | 38,890 | ||||||
First Financial Bancorp | 1,587 | 24,376 | ||||||
First Horizon National Corp. | 12,789 | 108,451 | ||||||
First Interstate Bancsystem, Inc. | 1,851 | 25,821 | ||||||
First Midwest Bancorp., Inc. | 2,189 | 22,087 | ||||||
First Republic Bank(1) | 461 | 14,475 | ||||||
FirstMerit Corp. | 2,125 | 33,788 | ||||||
Fulton Financial Corp. | 8,012 | 81,162 | ||||||
Grupo Financiero Banorte SAB de CV | 128,400 | 573,810 | ||||||
HDFC Bank Ltd. | 71,884 | 647,958 | ||||||
HDFC Bank Ltd. ADR(1) | 14,680 | 410,453 | ||||||
Heritage Financial Corp. | 3,040 | 42,104 | ||||||
Home Bancshares, Inc. | 2,954 | 83,096 | ||||||
HSBC Holdings plc | 158,454 | 1,250,434 | ||||||
ICICI Bank Ltd. ADR | 11,101 | 312,493 | ||||||
Industrial & Commercial Bank of China Ltd. H Shares | 1,693,660 | 1,029,959 | ||||||
Itau Unibanco Holding SA Preference Shares | 66,300 | 956,934 | ||||||
Kasikornbank PCL NVDR | 405,900 | 1,977,511 | ||||||
Lakeland Financial Corp. | 1,448 | 37,199 | ||||||
Lloyds Banking Group plc(1) | 2,101,150 | 821,879 | ||||||
MB Financial, Inc. | 1,181 | 23,986 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 188,100 | 816,156 | ||||||
National Bankshares, Inc. | 1,187 | 34,423 | ||||||
Old National Bancorp. | 2,080 | 24,107 | ||||||
Pacific Continental Corp. | 2,615 | 23,535 | ||||||
Park Sterling Corp.(1) | 6,059 | 26,963 | ||||||
Pinnacle Financial Partners, Inc.(1) | 2,280 | 38,897 | ||||||
PNC Financial Services Group, Inc. | 26,257 | 1,612,705 |
10
Shares/ Principal Amount | Value |
Powszechna Kasa Oszczednosci Bank Polski SA | 43,789 | $395,152 | ||||||
PT Bank Mandiri (Persero) Tbk | 1,265,819 | 929,165 | ||||||
PT Bank Rakyat Indonesia (Persero) Tbk | 496,500 | 298,428 | ||||||
Sberbank of Russia | 707,118 | 1,751,531 | ||||||
Signature Bank(1) | 807 | 49,558 | ||||||
Standard Chartered plc | 48,745 | 983,397 | ||||||
SunTrust Banks, Inc. | 11,457 | 262,594 | ||||||
Susquehanna Bancshares, Inc. | 4,028 | 38,790 | ||||||
Swedbank AB A Shares | 53,908 | 765,821 | ||||||
TCF Financial Corp. | 7,183 | 84,688 | ||||||
Texas Capital Bancshares, Inc.(1) | 2,620 | 101,604 | ||||||
Trico Bancshares | 2,236 | 34,323 | ||||||
Trustmark Corp. | 1,902 | 46,447 | ||||||
Turkiye Garanti Bankasi AS | 391,291 | 1,254,817 | ||||||
U.S. Bancorp | 102,678 | 3,194,313 | ||||||
UMB Financial Corp. | 991 | 48,331 | ||||||
Umpqua Holdings Corp. | 1,952 | 25,044 | ||||||
United Bankshares, Inc. | 818 | 20,957 | ||||||
Washington Banking Co. | 1,646 | 22,336 | ||||||
Webster Financial Corp. | 771 | 15,628 | ||||||
Wells Fargo & Co. | 178,108 | 5,708,361 | ||||||
Westamerica Bancorp. | 8,163 | 364,968 | ||||||
Wintrust Financial Corp. | 663 | 22,549 | ||||||
38,404,988 | ||||||||
COMMERCIAL SERVICES AND SUPPLIES — 0.6% | ||||||||
ABM Industries, Inc. | 775 | 16,639 | ||||||
Aggreko plc | 29,661 | 1,004,784 | ||||||
Avery Dennison Corp. | 10,100 | 294,011 | ||||||
Brink’s Co. (The) | 958 | 21,814 | ||||||
Clean Harbors, Inc.(1) | 22,800 | 1,415,196 | ||||||
Deluxe Corp. | 3,101 | 71,695 | ||||||
G&K Services, Inc., Class A | 2,347 | 68,485 | ||||||
Metalico, Inc.(1) | 7,189 | 18,188 | ||||||
Republic Services, Inc. | 60,355 | 1,590,958 | ||||||
Stericycle, Inc.(1) | 16,600 | 1,448,516 | ||||||
SYKES Enterprises, Inc.(1) | 2,982 | 44,879 | ||||||
Team, Inc.(1) | 311 | 8,298 | ||||||
US Ecology, Inc. | 1,314 | 22,614 | ||||||
Waste Management, Inc. | 7,187 | 233,146 | ||||||
6,259,223 | ||||||||
COMMUNICATIONS EQUIPMENT — 0.9% | ||||||||
AAC Technologies Holdings, Inc. | 262,000 | 827,025 | ||||||
Aruba Networks, Inc.(1) | 1,537 | 20,196 | ||||||
Bel Fuse, Inc., Class B | 2,330 | 37,932 | ||||||
Cisco Systems, Inc. | 190,813 | 3,115,976 | ||||||
Emulex Corp.(1) | 1,505 | 10,114 | ||||||
F5 Networks, Inc.(1) | 11,219 | 1,160,942 | ||||||
Harris Corp. | 3,629 | 144,362 | ||||||
InterDigital, Inc. | 704 | 17,382 | ||||||
Motorola Solutions, Inc. | 18,233 | 876,643 | ||||||
Netgear, Inc.(1) | 2,076 | 65,166 | ||||||
Oplink Communications, Inc.(1) | 1,411 | 18,089 | ||||||
Plantronics, Inc. | 518 | 15,587 | ||||||
Polycom, Inc.(1) | 1,869 | 21,381 | ||||||
Procera Networks, Inc.(1) | 3,789 | 79,190 | ||||||
QUALCOMM, Inc. | 41,009 | 2,350,226 | ||||||
Research In Motion Ltd.(1) | 5,996 | 61,939 | ||||||
Sycamore Networks, Inc.(1) | 2,697 | 35,762 | ||||||
Tellabs, Inc. | 4,755 | 17,403 | ||||||
Tessco Technologies, Inc. | 1,066 | 20,425 | ||||||
ZTE Corp. H Shares | 167,360 | 331,634 | ||||||
9,227,374 | ||||||||
COMPUTERS AND PERIPHERALS — 2.6% | ||||||||
Apple, Inc.(1) | 30,160 | 17,424,337 | ||||||
Catcher Technology Co. Ltd. | 87,000 | 552,348 | ||||||
Datalink Corp.(1) | 2,151 | 21,338 | ||||||
Dell, Inc.(1) | 92,914 | 1,145,630 | ||||||
Electronics for Imaging, Inc.(1) | 2,668 | 39,326 | ||||||
EMC Corp.(1) | 87,534 | 2,087,686 | ||||||
Gemalto NV | 6,615 | 421,323 | ||||||
Hewlett-Packard Co. | 45,200 | 1,025,136 | ||||||
Lenovo Group Ltd. | 934,000 | 794,223 | ||||||
Lexmark International, Inc., Class A | 451 | 11,279 | ||||||
QLogic Corp.(1) | 8,578 | 116,747 | ||||||
SanDisk Corp.(1) | 9,958 | 325,627 | ||||||
Seagate Technology plc | 57,408 | 1,345,069 | ||||||
Synaptics, Inc.(1) | 657 | 17,621 | ||||||
Western Digital Corp.(1) | 33,480 | 1,050,937 | ||||||
26,378,627 | ||||||||
CONSTRUCTION AND ENGINEERING — 0.4% | ||||||||
Chicago Bridge & Iron Co. NV New York Shares | 42,680 | 1,533,919 | ||||||
Comfort Systems USA, Inc. | 441 | 4,004 | ||||||
Dycom Industries, Inc.(1) | 1,917 | 37,535 | ||||||
EMCOR Group, Inc. | 1,154 | 31,562 | ||||||
Granite Construction, Inc. | 3,809 | 87,302 | ||||||
KBR, Inc. | 21,700 | 552,699 | ||||||
Larsen & Toubro Ltd. | 40 | 835 | ||||||
Pike Electric Corp.(1) | 4,375 | 31,588 |
11
Shares/ Principal Amount | Value |
Quanta Services, Inc.(1) | 32,300 | $729,334 | ||||||
URS Corp. | 21,910 | 792,485 | ||||||
3,801,263 | ||||||||
CONSTRUCTION MATERIALS — 0.2% | ||||||||
Cemex SAB de CV ADR(1) | 23,558 | 130,511 | ||||||
Eagle Materials, Inc. | 2,146 | 68,886 | ||||||
HeidelbergCement AG | 19,426 | 842,631 | ||||||
PT Semen Gresik (Persero) Tbk | 464,000 | 540,511 | ||||||
Siam Cement PCL NVDR | 70,500 | 757,850 | ||||||
2,340,389 | ||||||||
CONSUMER FINANCE — 0.4% | ||||||||
American Express Co. | 30,591 | 1,707,895 | ||||||
Cash America International, Inc. | 14,566 | 647,896 | ||||||
Discover Financial Services | 52,700 | 1,744,897 | ||||||
4,100,688 | ||||||||
CONTAINERS AND PACKAGING — 0.1% | ||||||||
Bemis Co., Inc. | 21,629 | 656,656 | ||||||
Rock-Tenn Co., Class A | 15,000 | 773,850 | ||||||
Sonoco Products Co. | 405 | 12,462 | ||||||
1,442,968 | ||||||||
DISTRIBUTORS† | ||||||||
Core-Mark Holding Co., Inc. | 472 | 20,527 | ||||||
Li & Fung Ltd. | 134,000 | 245,848 | ||||||
266,375 | ||||||||
DIVERSIFIED CONSUMER SERVICES — 0.2% | ||||||||
Apollo Group, Inc., Class A(1) | 1,167 | 37,134 | ||||||
Coinstar, Inc.(1) | 15,826 | 972,191 | ||||||
ITT Educational Services, Inc.(1) | 14,061 | 800,071 | ||||||
Sotheby’s | 1,940 | 59,170 | ||||||
Steiner Leisure, Ltd.(1) | 747 | 34,235 | ||||||
1,902,801 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 1.1% | ||||||||
Bank of America Corp. | 256,643 | 1,886,326 | ||||||
CBOE Holdings, Inc. | 801 | 20,225 | ||||||
Citigroup, Inc. | 57,113 | 1,514,066 | ||||||
Compass Diversified Holdings | 1,932 | 25,348 | ||||||
JPMorgan Chase & Co. | 147,878 | 4,902,156 | ||||||
MarketAxess Holdings, Inc. | 2,793 | 90,186 | ||||||
McGraw-Hill Cos., Inc. (The) | 16,900 | 733,122 | ||||||
ORIX Corp. | 16,480 | 1,425,911 | ||||||
10,597,340 | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.2% | ||||||||
AT&T, Inc. | 122,927 | 4,200,415 | ||||||
CenturyLink, Inc. | 41,306 | 1,620,021 | ||||||
China Unicom Ltd. | 108,000 | 148,331 | ||||||
China Unicom Ltd. ADR | 59,740 | 820,828 | ||||||
Premiere Global Services, Inc.(1) | 5,722 | 47,836 | ||||||
Telenor ASA | 35,767 | 522,622 | ||||||
tw telecom, inc.(1) | 21,056 | 488,289 | ||||||
Verizon Communications, Inc. | 95,642 | 3,982,533 | ||||||
11,830,875 | ||||||||
ELECTRIC UTILITIES — 0.8% | ||||||||
American Electric Power Co., Inc. | 31,489 | 1,212,641 | ||||||
Cleco Corp. | 2,745 | 112,106 | ||||||
E.ON AG | 15,646 | 285,938 | ||||||
El Paso Electric Co. | 1,537 | 47,170 | ||||||
Empire District Electric Co. (The) | 26,217 | 525,651 | ||||||
Exelon Corp. | 10,880 | 402,342 | ||||||
Great Plains Energy, Inc. | 42,593 | 848,453 | ||||||
IDACORP, Inc. | 6,374 | 250,434 | ||||||
Northeast Utilities | 9,238 | 332,660 | ||||||
NV Energy, Inc. | 57,814 | 1,000,182 | ||||||
Pinnacle West Capital Corp. | 12,470 | 615,769 | ||||||
PNM Resources, Inc. | 2,087 | 38,922 | ||||||
Portland General Electric Co. | 14,931 | 375,515 | ||||||
PPL Corp. | 19,630 | 537,273 | ||||||
Unitil Corp. | 870 | 23,151 | ||||||
Westar Energy, Inc. | 23,738 | 679,382 | ||||||
Xcel Energy, Inc. | 38,928 | 1,090,763 | ||||||
8,378,352 | ||||||||
ELECTRICAL EQUIPMENT — 0.2% | ||||||||
ABB Ltd. ADR(1) | 3,036 | 47,999 | ||||||
Brady Corp., Class A | 10,901 | 299,124 | ||||||
Emerson Electric Co. | 5,376 | 251,436 | ||||||
Encore Wire Corp. | 2,766 | 69,178 | ||||||
Franklin Electric Co., Inc. | 900 | 44,028 | ||||||
II-VI, Inc.(1) | 940 | 17,766 | ||||||
LSI Industries, Inc. | 2,152 | 13,170 | ||||||
Rockwell Automation, Inc. | 8,189 | 593,784 | ||||||
Schneider Electric SA | 14,590 | 777,006 | ||||||
2,113,491 | ||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS AND COMPONENTS — 0.7% | ||||||||
Audience, Inc.(1) | 236 | 4,182 | ||||||
Badger Meter, Inc. | 616 | 22,244 | ||||||
Benchmark Electronics, Inc.(1) | 1,728 | 23,397 | ||||||
Brightpoint, Inc.(1) | 3,472 | 16,909 | ||||||
Cognex Corp. | 3,259 | 114,032 | ||||||
Coherent, Inc.(1) | 386 | 17,038 |
12
Shares/ Principal Amount | Value |
Electro Scientific Industries, Inc. | 1,529 | $16,865 | ||||||
FARO Technologies, Inc.(1) | 613 | 28,278 | ||||||
Hitachi Ltd. | 51,000 | 292,228 | ||||||
Hon Hai Precision Industry Co. Ltd. | 867,109 | 2,541,947 | ||||||
Key Tronic Corp.(1) | 2,128 | 20,620 | ||||||
Littelfuse, Inc. | 2,315 | 133,205 | ||||||
Methode Electronics, Inc. | 3,208 | 24,092 | ||||||
Molex, Inc., Class A | 11,082 | 218,759 | ||||||
Murata Manufacturing Co. Ltd. | 21,000 | 1,090,735 | ||||||
OSI Systems, Inc.(1) | 1,300 | 82,966 | ||||||
Park Electrochemical Corp. | 2,120 | 49,735 | ||||||
Plexus Corp.(1) | 822 | 23,016 | ||||||
TE Connectivity Ltd. | 9,480 | 297,862 | ||||||
Tech Data Corp.(1) | 11,522 | 548,562 | ||||||
Trimble Navigation Ltd.(1) | 40,773 | 1,923,059 | ||||||
7,489,731 | ||||||||
ENERGY EQUIPMENT AND SERVICES — 2.0% | ||||||||
Atwood Oceanics, Inc.(1) | 15,100 | 576,971 | ||||||
Baker Hughes, Inc. | 16,930 | 706,489 | ||||||
Bristow Group, Inc. | 386 | 15,459 | ||||||
Cal Dive International, Inc.(1) | 22,795 | 58,583 | ||||||
Core Laboratories NV | 14,125 | 1,806,588 | ||||||
Helix Energy Solutions Group, Inc.(1) | 58,061 | 994,585 | ||||||
Helmerich & Payne, Inc. | 2,209 | 100,068 | ||||||
Hornbeck Offshore Services, Inc.(1) | 11,886 | 396,874 | ||||||
Mitcham Industries, Inc.(1) | 4,611 | 87,148 | ||||||
National Oilwell Varco, Inc. | 45,080 | 3,009,090 | ||||||
Oceaneering International, Inc. | 41,403 | 1,913,647 | ||||||
Oil States International, Inc.(1) | 14,300 | 951,951 | ||||||
Petrofac Ltd. | 89,496 | 2,133,796 | ||||||
Pioneer Drilling Co.(1) | 4,896 | 36,426 | ||||||
Saipem SpA | 44,246 | 1,717,900 | ||||||
Schlumberger Ltd. | 61,494 | 3,889,496 | ||||||
Superior Energy Services, Inc.(1) | 1,944 | 42,068 | ||||||
Technip SA | 13,818 | 1,259,406 | ||||||
Tetra Technologies, Inc.(1) | 3,943 | 25,196 | ||||||
Unit Corp.(1) | 712 | 28,330 | ||||||
19,750,071 | ||||||||
FOOD AND STAPLES RETAILING — 1.6% | ||||||||
Andersons, Inc. (The) | 2,922 | 127,253 | ||||||
BIM Birlesik Magazalar AS | 14,155 | 573,108 | ||||||
Chefs’ Warehouse, Inc. (The)(1) | 1,104 | 21,031 | ||||||
Clicks Group Ltd. | 86,356 | 475,919 | ||||||
Costco Wholesale Corp. | 15,293 | 1,321,162 | ||||||
CP ALL PCL | 688,100 | 740,765 | ||||||
CVS Caremark Corp. | 62,757 | 2,820,300 | ||||||
Harris Teeter Supermarkets, Inc. | 211 | 7,919 | ||||||
Jeronimo Martins SGPS SA | 70,592 | 1,253,878 | ||||||
Kroger Co. (The) | 30,870 | 679,449 | ||||||
Lawson, Inc. | 18,600 | 1,303,139 | ||||||
Magnit OJSC GDR(1) | 42,957 | 1,056,742 | ||||||
SUPERVALU, Inc. | 3,122 | 14,111 | ||||||
SYSCO Corp. | 9,552 | 266,596 | ||||||
Village Super Market, Inc., Class A | 1,077 | 26,925 | ||||||
Wal-Mart de Mexico SAB de CV | 256,956 | 620,804 | ||||||
Wal-Mart Stores, Inc. | 17,968 | 1,182,654 | ||||||
Weis Markets, Inc. | 1,393 | 60,791 | ||||||
Whole Foods Market, Inc. | 42,322 | 3,750,152 | ||||||
16,302,698 | ||||||||
FOOD PRODUCTS — 2.0% | ||||||||
Archer-Daniels-Midland Co. | 41,291 | 1,316,357 | ||||||
BRF - Brasil Foods SA | 41,000 | 634,053 | ||||||
Bunge Ltd. | 15,159 | 901,960 | ||||||
Campbell Soup Co. | 38,172 | 1,210,052 | ||||||
ConAgra Foods, Inc. | 54,912 | 1,381,037 | ||||||
Danone SA | 25,213 | 1,617,717 | ||||||
Darling International, Inc.(1) | 4,607 | 64,544 | ||||||
Dean Foods Co.(1) | 2,631 | 41,149 | ||||||
Dole Food Co., Inc.(1) | 2,295 | 20,380 | ||||||
General Mills, Inc. | 9,595 | 367,297 | ||||||
H.J. Heinz Co. | 3,690 | 195,865 | ||||||
Hershey Co. (The) | 15,203 | 1,016,472 | ||||||
J&J Snack Foods Corp. | 1,948 | 107,276 | ||||||
Kellogg Co. | 22,490 | 1,097,062 | ||||||
Kraft Foods, Inc., Class A | 15,210 | 582,087 | ||||||
McCormick & Co., Inc. | 18,200 | 1,025,752 | ||||||
Mead Johnson Nutrition Co. | 32,140 | 2,594,984 | ||||||
Nestle SA | 55,060 | 3,120,454 | ||||||
Orion Corp. | 633 | 515,947 | ||||||
PT Charoen Pokphand Indonesia Tbk | 1,810,500 | 505,592 | ||||||
Ralcorp Holdings, Inc.(1) | 13,354 | 848,647 | ||||||
Snyders-Lance, Inc. | 1,265 | 32,624 | ||||||
Tyson Foods, Inc., Class A | 47,625 | 922,496 | ||||||
20,119,804 |
13
Shares/ Principal Amount | Value |
GAS UTILITIES — 0.2% | ||||||||
AGL Resources, Inc. | 16,823 | $630,526 | ||||||
Atmos Energy Corp. | 1,558 | 51,632 | ||||||
Chesapeake Utilities Corp. | 293 | 12,382 | ||||||
Laclede Group, Inc. (The) | 836 | 31,860 | ||||||
ONEOK, Inc. | 13,100 | 1,087,169 | ||||||
South Jersey Industries, Inc. | 466 | 22,559 | ||||||
WGL Holdings, Inc. | 1,122 | 43,702 | ||||||
1,879,830 | ||||||||
HEALTH CARE EQUIPMENT AND SUPPLIES — 1.7% | ||||||||
Abaxis, Inc.(1) | 649 | 21,248 | ||||||
Align Technology, Inc.(1) | 1,581 | 49,375 | ||||||
Arthrocare Corp.(1) | 795 | 20,813 | ||||||
Becton, Dickinson and Co. | 7,086 | 518,199 | ||||||
Boston Scientific Corp.(1) | 57,947 | 332,616 | ||||||
CareFusion Corp.(1) | 35,520 | 861,005 | ||||||
Cie Generale d’Optique Essilor International SA | 10,010 | 855,029 | ||||||
Cooper Cos., Inc. (The) | 14,045 | 1,196,353 | ||||||
Covidien plc | 24,410 | 1,263,950 | ||||||
Cutera, Inc.(1) | 2,337 | 16,149 | ||||||
Cyberonics, Inc.(1) | 755 | 29,105 | ||||||
DENTSPLY International, Inc. | 15,540 | 574,980 | ||||||
DexCom, Inc.(1) | 1,829 | 19,662 | ||||||
Edwards Lifesciences Corp.(1) | 7,869 | 671,777 | ||||||
Elekta AB B Shares | 9,117 | 437,119 | ||||||
Getinge AB B Shares | 22,654 | 562,881 | ||||||
Haemonetics Corp.(1) | 661 | 46,078 | ||||||
HeartWare International, Inc.(1) | 329 | 26,771 | ||||||
Hill-Rom Holdings, Inc. | 12,134 | 356,861 | ||||||
ICU Medical, Inc.(1) | 692 | 35,603 | ||||||
IDEXX Laboratories, Inc.(1) | 14,332 | 1,215,927 | ||||||
Insulet Corp.(1) | 1,327 | 24,443 | ||||||
Integra LifeSciences Holdings Corp.(1) | 1,832 | 65,054 | ||||||
Intuitive Surgical, Inc.(1) | 2,569 | 1,343,844 | ||||||
MAKO Surgical Corp.(1) | 24,806 | 563,344 | ||||||
Masimo Corp.(1) | 1,451 | 27,293 | ||||||
Medtronic, Inc. | 52,522 | 1,934,910 | ||||||
Meridian Bioscience, Inc. | 1,145 | 21,686 | ||||||
Mettler-Toledo International, Inc.(1) | 8,100 | 1,264,572 | ||||||
Neogen Corp.(1) | 631 | 24,571 | ||||||
NuVasive, Inc.(1) | 1,168 | 23,080 | ||||||
NxStage Medical, Inc.(1) | 1,207 | 18,334 | ||||||
Orthofix International NV(1) | 1,305 | 49,460 | ||||||
ResMed, Inc.(1) | 16,600 | 514,268 | ||||||
St. Jude Medical, Inc. | 3,027 | 116,297 | ||||||
STERIS Corp. | 13,757 | 410,784 | ||||||
Stryker Corp. | 6,369 | 327,685 | ||||||
Utah Medical Products, Inc. | 948 | 32,327 | ||||||
Volcano Corp.(1) | 1,349 | 38,568 | ||||||
West Pharmaceutical Services, Inc. | 517 | 24,713 | ||||||
Young Innovations, Inc. | 3,886 | 134,883 | ||||||
Zimmer Holdings, Inc. | 24,361 | 1,477,495 | ||||||
17,549,112 | ||||||||
HEALTH CARE PROVIDERS AND SERVICES — 1.1% | ||||||||
Accretive Health, Inc.(1) | 1,119 | 13,159 | ||||||
Aetna, Inc. | 13,370 | 546,699 | ||||||
Air Methods Corp.(1) | 284 | 25,887 | ||||||
AmerisourceBergen Corp. | 5,201 | 192,385 | ||||||
Amsurg Corp.(1) | 805 | 21,993 | ||||||
Assisted Living Concepts, Inc., Class A | 374 | 5,176 | ||||||
Bio-Reference Labs, Inc.(1) | 723 | 13,903 | ||||||
Centene Corp.(1) | 1,214 | 43,874 | ||||||
Chemed Corp. | 524 | 29,108 | ||||||
CIGNA Corp. | 6,719 | 295,031 | ||||||
Express Scripts Holding Co.(1) | 31,269 | 1,631,929 | ||||||
Fresenius Medical Care AG & Co. KGaA | 9,480 | 629,356 | ||||||
HealthSouth Corp.(1) | 2,125 | 40,673 | ||||||
HMS Holdings Corp.(1) | 2,228 | 59,688 | ||||||
Humana, Inc. | 16,886 | 1,289,922 | ||||||
IPC The Hospitalist Co., Inc.(1) | 438 | 15,326 | ||||||
Landauer, Inc. | 283 | 14,272 | ||||||
LifePoint Hospitals, Inc.(1) | 17,079 | 628,849 | ||||||
Lincare Holdings, Inc. | 1,954 | 44,805 | ||||||
Magellan Health Services, Inc.(1) | 847 | 35,718 | ||||||
McKesson Corp. | 13,734 | 1,198,704 | ||||||
MWI Veterinary Supply, Inc.(1) | 341 | 31,696 | ||||||
National Healthcare Corp. | 715 | 30,609 | ||||||
Owens & Minor, Inc. | 3,107 | 88,456 | ||||||
Patterson Cos., Inc. | 16,206 | 538,687 | ||||||
PSS World Medical, Inc.(1) | 3,056 | 61,823 | ||||||
Quest Diagnostics, Inc. | 5,360 | 304,984 | ||||||
U.S. Physical Therapy, Inc. | 760 | 18,468 | ||||||
UnitedHealth Group, Inc. | 31,672 | 1,766,347 | ||||||
VCA Antech, Inc.(1) | 2,052 | 44,200 | ||||||
WellCare Health Plans, Inc.(1) | 1,083 | 61,157 | ||||||
WellPoint, Inc. | 16,711 | 1,126,154 | ||||||
10,849,038 |
14
Shares/ Principal Amount | Value |
HEALTH CARE TECHNOLOGY — 0.4% | ||||||||
athenahealth, Inc.(1) | 885 | $64,330 | ||||||
Computer Programs & Systems, Inc. | 327 | 17,789 | ||||||
MedAssets, Inc.(1) | 1,154 | 13,063 | ||||||
Quality Systems, Inc. | 1,047 | 29,955 | ||||||
SXC Health Solutions Corp.(1) | 44,100 | 3,956,211 | ||||||
4,081,348 | ||||||||
HOTELS, RESTAURANTS AND LEISURE — 2.2% | ||||||||
AFC Enterprises, Inc.(1) | 2,394 | 51,136 | ||||||
Bally Technologies, Inc.(1) | 20,365 | 947,991 | ||||||
Bob Evans Farms, Inc. | 741 | 30,040 | ||||||
Brinker International, Inc. | 17,060 | 551,209 | ||||||
Carnival Corp. | 17,522 | 562,281 | ||||||
CEC Entertainment, Inc. | 12,412 | 433,923 | ||||||
Cedar Fair LP | 3,431 | 91,951 | ||||||
Chipotle Mexican Grill, Inc.(1) | 6,198 | 2,560,208 | ||||||
Compass Group plc | 52,590 | 515,489 | ||||||
Genting Malaysia Bhd | 332,100 | 386,364 | ||||||
Grand Korea Leisure Co. Ltd. | 31,880 | 615,856 | ||||||
Hotel Shilla Co. Ltd. | 19,886 | 906,475 | ||||||
Hyatt Hotels Corp. Class A(1) | 1,600 | 59,184 | ||||||
Intercontinental Hotels Group plc | 42,190 | 992,255 | ||||||
International Game Technology | 18,086 | 258,630 | ||||||
International Speedway Corp., Class A | 5,804 | 139,528 | ||||||
Jack in the Box, Inc.(1) | 973 | 25,152 | ||||||
Jubilant Foodworks Ltd.(1) | 15,539 | 353,531 | ||||||
Las Vegas Sands Corp. | 16,100 | 743,498 | ||||||
Marriott International, Inc. Class A | 46,022 | 1,781,512 | ||||||
McDonald’s Corp. | 22,264 | 1,989,066 | ||||||
Orient-Express Hotels Ltd. Class A(1) | 1,603 | 13,529 | ||||||
Panera Bread Co., Class A(1) | 6,800 | 999,260 | ||||||
Papa John’s International, Inc.(1) | 1,677 | 78,014 | ||||||
Red Robin Gourmet Burgers, Inc.(1) | 1,234 | 39,488 | ||||||
Ruth’s Hospitality Group, Inc.(1) | 6,962 | 45,671 | ||||||
Sands China Ltd. | 184,400 | 629,591 | ||||||
Shuffle Master, Inc.(1) | 4,482 | 71,084 | ||||||
Speedway Motorsports, Inc. | 5,818 | 95,822 | ||||||
Starbucks Corp. | 39,570 | 2,171,997 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 19,600 | 1,035,860 | ||||||
Vail Resorts, Inc. | 701 | 30,472 | ||||||
Whitbread plc | 25,949 | 745,062 | ||||||
WMS Industries, Inc.(1) | 830 | 17,040 | ||||||
Wyndham Worldwide Corp. | 3,900 | 194,220 | ||||||
Wynn Resorts Ltd. | 4,000 | 412,160 | ||||||
Yum! Brands, Inc. | 20,443 | 1,438,369 | ||||||
22,012,918 | ||||||||
HOUSEHOLD DURABLES — 0.4% | ||||||||
Cavco Industries, Inc.(1) | 27 | 1,138 | ||||||
CSS Industries, Inc. | 1,761 | 33,529 | ||||||
Electrolux AB | 30,133 | 571,177 | ||||||
Garmin Ltd. | 19,604 | 842,188 | ||||||
Helen of Troy Ltd.(1) | 306 | 9,633 | ||||||
La-Z-Boy, Inc.(1) | 1,442 | 20,347 | ||||||
M/I Homes, Inc.(1) | 4,676 | 70,233 | ||||||
Mohawk Industries, Inc.(1) | 10,481 | 713,756 | ||||||
Tempur-Pedic International, Inc.(1) | 2,301 | 106,329 | ||||||
Toll Brothers, Inc.(1) | 33,600 | 916,608 | ||||||
Tupperware Brands Corp. | 895 | 48,375 | ||||||
Whirlpool Corp. | 5,528 | 342,073 | ||||||
Zagg, Inc.(1) | 3,137 | 33,283 | ||||||
3,708,669 | ||||||||
HOUSEHOLD PRODUCTS — 1.1% | ||||||||
Church & Dwight Co., Inc. | 36,527 | 1,944,697 | ||||||
Clorox Co. | 4,797 | 330,034 | ||||||
Colgate-Palmolive Co. | 14,484 | 1,423,777 | ||||||
Kimberly-Clark Corp. | 7,104 | 563,702 | ||||||
LG Household & Health Care Ltd. | 1,614 | 798,624 | ||||||
Procter & Gamble Co. (The) | 60,888 | 3,792,714 | ||||||
Reckitt Benckiser Group plc | 14,805 | 785,834 | ||||||
Unicharm Corp. | 20,500 | 1,107,931 | ||||||
10,747,313 | ||||||||
INDUSTRIAL CONGLOMERATES — 1.0% | ||||||||
3M Co. | 1,682 | 141,978 | ||||||
Alfa SAB de CV, Series A | 56,208 | 704,098 | ||||||
Danaher Corp. | 24,253 | 1,260,428 | ||||||
General Electric Co. | 246,805 | 4,711,508 | ||||||
Keppel Corp. Ltd. | 73,000 | 565,373 | ||||||
Koninklijke Philips Electronics NV | 32,426 | 573,355 | ||||||
Raven Industries, Inc. | 2,553 | 170,081 | ||||||
Standex International Corp. | 859 | 34,953 | ||||||
Tyco International Ltd. | 26,339 | 1,400,181 | ||||||
9,561,955 |
15
Shares/ Principal Amount | Value |
INSURANCE — 2.5% | ||||||||
ACE Ltd. | 18,768 | $1,357,489 | ||||||
Admiral Group plc | 28,904 | 462,842 | ||||||
AIA Group Ltd. | 207,300 | 675,727 | ||||||
Allied World Assurance Co. Holdings AG | 14,703 | 1,130,661 | ||||||
Allstate Corp. (The) | 42,556 | 1,444,351 | ||||||
Alterra Capital Holdings Ltd. | 2,083 | 46,263 | ||||||
American Equity Investment Life Holding Co. | 1,469 | 15,542 | ||||||
American Financial Group, Inc. | 11,139 | 433,196 | ||||||
American International Group, Inc.(1) | 7,890 | 230,230 | ||||||
AMERISAFE, Inc.(1) | 2,668 | 73,076 | ||||||
Amtrust Financial Services, Inc. | 3,133 | 90,074 | ||||||
Aon plc | 12,894 | 599,571 | ||||||
Aspen Insurance Holdings Ltd. | 2,168 | 61,268 | ||||||
Assurant, Inc. | 14,241 | 475,364 | ||||||
Baldwin & Lyons, Inc., Class B | 1,919 | 40,779 | ||||||
Berkshire Hathaway, Inc., Class B(1) | 20,209 | 1,603,786 | ||||||
Brown & Brown, Inc. | 21,924 | 561,254 | ||||||
Chubb Corp. (The) | 6,740 | 485,752 | ||||||
Discovery Holdings Ltd. | 91,573 | 536,273 | ||||||
Employers Holdings, Inc. | 664 | 11,221 | ||||||
Everest Re Group Ltd. | 7,906 | 807,361 | ||||||
Hanover Insurance Group, Inc. (The) | 776 | 30,272 | ||||||
HCC Insurance Holdings, Inc. | 23,716 | 741,362 | ||||||
Infinity Property & Casualty Corp. | 667 | 35,791 | ||||||
Loews Corp. | 51,674 | 2,009,602 | ||||||
Marsh & McLennan Cos., Inc. | 19,654 | 628,535 | ||||||
MetLife, Inc. | 36,810 | 1,075,220 | ||||||
Muenchener Rueckversicherungs AG | 12,316 | 1,526,681 | ||||||
National Financial Partners Corp.(1) | 2,086 | 27,744 | ||||||
Ping An Insurance Group Co. H Shares | 141,500 | 1,041,896 | ||||||
Platinum Underwriters Holdings Ltd. | 1,339 | 48,606 | ||||||
Primerica, Inc. | 1,227 | 29,534 | ||||||
Principal Financial Group, Inc. | 63,925 | 1,569,998 | ||||||
ProAssurance Corp. | 776 | 68,397 | ||||||
Prudential Financial, Inc. | 42,697 | 1,983,276 | ||||||
Symetra Financial Corp. | 16,443 | 185,806 | ||||||
Torchmark Corp. | 8,016 | 374,026 | ||||||
Travelers Cos., Inc. (The) | 25,975 | 1,623,178 | ||||||
United Fire Group, Inc. | 2,153 | 45,751 | ||||||
Unum Group | 21,101 | 420,965 | ||||||
Zurich Financial Services AG(1) | 4,570 | 934,372 | ||||||
25,543,092 | ||||||||
INTERNET AND CATALOG RETAIL — 0.5% | ||||||||
Amazon.com, Inc.(1) | 11,944 | 2,542,997 | ||||||
priceline.com, Inc.(1) | 2,722 | 1,702,584 | ||||||
Rakuten, Inc. | 1,141 | 1,220,212 | ||||||
5,465,793 | ||||||||
INTERNET SOFTWARE AND SERVICES — 1.4% | ||||||||
Baidu, Inc. ADR(1) | 20,610 | 2,427,240 | ||||||
Dice Holdings, Inc.(1) | 9,944 | 97,749 | ||||||
Facebook, Inc. Class A(1) | 5,174 | 153,306 | ||||||
Google, Inc., Class A(1) | 11,400 | 6,621,804 | ||||||
Infospace, Inc.(1) | 6,327 | 80,733 | ||||||
Internap Network Services Corp.(1) | 2,147 | 15,308 | ||||||
Keynote Systems, Inc. | 1,314 | 18,987 | ||||||
LinkedIn Corp., Class A(1) | 6,500 | 624,650 | ||||||
Liquidity Services, Inc.(1) | 725 | 46,320 | ||||||
Mail.ru Group Ltd. GDR(1) | 7,587 | 238,004 | ||||||
Perficient, Inc.(1) | 5,495 | 62,258 | ||||||
Qihoo 360 Technology Co. Ltd. ADR(1) | 15,761 | 315,220 | ||||||
Rackspace Hosting, Inc.(1) | 28,489 | 1,409,351 | ||||||
SPS Commerce, Inc.(1) | 419 | 11,581 | ||||||
Stamps.com, Inc.(1) | 3,205 | 78,715 | ||||||
Tencent Holdings Ltd. | 60,300 | 1,657,919 | ||||||
ValueClick, Inc.(1) | 6,585 | 115,501 | ||||||
Web.com Group, Inc.(1) | 3,929 | 62,550 | ||||||
14,037,196 | ||||||||
IT SERVICES — 2.2% | ||||||||
Accenture plc, Class A | 31,375 | 1,791,512 | ||||||
Alliance Data Systems Corp.(1) | 32,200 | 4,057,200 | ||||||
Automatic Data Processing, Inc. | 22,094 | 1,152,202 | ||||||
Booz Allen Hamilton Holding Corp. | 14,234 | 230,733 | ||||||
CACI International, Inc., Class A(1) | 1,542 | 65,998 | ||||||
Cardtronics, Inc.(1) | 2,134 | 59,795 | ||||||
Cielo SA | 21,042 | 558,797 | ||||||
Convergys Corp.(1) | 3,540 | 49,383 | ||||||
DST Systems, Inc. | 2,374 | 121,311 | ||||||
Euronet Worldwide, Inc.(1) | 648 | 11,658 |
16
Shares/ Principal Amount | Value |
Fiserv, Inc.(1) | 5,540 | $373,562 | ||||||
FleetCor Technologies, Inc.(1) | 1,521 | 57,646 | ||||||
Heartland Payment Systems, Inc. | 4,911 | 143,303 | ||||||
International Business Machines Corp. | 35,560 | 6,859,524 | ||||||
MasterCard, Inc., Class A | 3,301 | 1,341,889 | ||||||
MAXIMUS, Inc. | 827 | 37,637 | ||||||
NeuStar, Inc., Class A(1) | 738 | 23,749 | ||||||
SAIC, Inc. | 37,269 | 414,059 | ||||||
Teradata Corp.(1) | 38,700 | 2,572,776 | ||||||
Total System Services, Inc. | 2,020 | 47,005 | ||||||
Visa, Inc., Class A | 15,116 | 1,741,363 | ||||||
21,711,102 | ||||||||
LEISURE EQUIPMENT AND PRODUCTS† | ||||||||
Brunswick Corp. | 624 | 13,666 | ||||||
Polaris Industries, Inc. | 3,875 | 294,384 | ||||||
Smith & Wesson Holding Corp.(1) | 8,517 | 57,404 | ||||||
Sturm Ruger & Co., Inc. | 1,746 | 68,042 | ||||||
433,496 | ||||||||
LIFE SCIENCES TOOLS AND SERVICES — 0.1% | ||||||||
Agilent Technologies, Inc. | 26,146 | 1,063,096 | ||||||
Covance, Inc.(1) | 825 | 38,280 | ||||||
Life Technologies Corp.(1) | 3,581 | 146,499 | ||||||
Luminex Corp.(1) | 1,079 | 23,900 | ||||||
PAREXEL International Corp.(1) | 1,437 | 38,454 | ||||||
Sequenom, Inc.(1) | 2,116 | 8,104 | ||||||
1,318,333 | ||||||||
MACHINERY — 1.9% | ||||||||
Actuant Corp., Class A | 14,133 | 369,861 | ||||||
Altra Holdings, Inc.(1) | 2,254 | 37,800 | ||||||
Atlas Copco AB A Shares | 38,453 | 774,406 | ||||||
Barnes Group, Inc. | 1,031 | 23,991 | ||||||
Blount International, Inc.(1) | 1,207 | 16,439 | ||||||
Briggs & Stratton Corp. | 2,741 | 46,323 | ||||||
Chart Industries, Inc.(1) | 17,100 | 1,068,066 | ||||||
CLARCOR, Inc. | 1,451 | 70,809 | ||||||
Cummins, Inc. | 18,193 | 1,763,811 | ||||||
Deere & Co. | 8,833 | 652,494 | ||||||
Dover Corp. | 7,600 | 429,856 | ||||||
Dynamic Materials Corp. | 1,429 | 24,122 | ||||||
FANUC Corp. | 5,500 | 948,954 | ||||||
Flow International Corp.(1) | 5,086 | 15,004 | ||||||
FreightCar America, Inc. | 922 | 18,283 | ||||||
Greenbrier Cos., Inc.(1) | 2,154 | 29,811 | ||||||
IDEX Corp. | 682 | 27,096 | ||||||
Illinois Tool Works, Inc. | 31,331 | 1,759,236 | ||||||
Ingersoll-Rand plc | 11,829 | 488,656 | ||||||
ITT Corp. | 16,121 | 330,964 | ||||||
Joy Global, Inc. | 14,600 | 815,556 | ||||||
Kaydon Corp. | 18,237 | 406,868 | ||||||
Kennametal, Inc. | 1,828 | 63,541 | ||||||
Komatsu Ltd. | 36,000 | 862,787 | ||||||
Kone Oyj | 9,090 | 507,252 | ||||||
Lincoln Electric Holdings, Inc. | 346 | 16,463 | ||||||
Lindsay Corp. | 1,579 | 87,871 | ||||||
Marcopolo SA Preference Shares | 98,500 | 455,175 | ||||||
Middleby Corp.(1) | 679 | 69,441 | ||||||
Mitsubishi Heavy Industries Ltd. | 281,000 | 1,136,766 | ||||||
Mueller Industries, Inc., Class A | 571 | 24,256 | ||||||
NN, Inc.(1) | 8,672 | 66,948 | ||||||
Oshkosh Corp.(1) | 14,754 | 302,014 | ||||||
Parker-Hannifin Corp. | 13,106 | 1,071,284 | ||||||
Robbins & Myers, Inc. | 1,902 | 86,712 | ||||||
Sauer-Danfoss, Inc. | 25,634 | 926,156 | ||||||
Snap-On, Inc. | 3,167 | 191,635 | ||||||
Stanley Black & Decker, Inc. | 3,836 | 254,135 | ||||||
Terex Corp.(1) | 60,605 | 1,007,861 | ||||||
Titan International, Inc. | 30,565 | 684,656 | ||||||
Trinity Industries, Inc. | 18,200 | 449,540 | ||||||
Volvo AB B Shares | 32,833 | 368,578 | ||||||
Weir Group plc (The) | 14,270 | 339,571 | ||||||
19,091,048 | ||||||||
MARINE — 0.1% | ||||||||
Diana Shipping, Inc.(1) | 3,841 | 29,576 | ||||||
Kirby Corp.(1) | 23,423 | 1,236,266 | ||||||
1,265,842 | ||||||||
MEDIA — 1.7% | ||||||||
Aegis Group plc | 239,290 | 598,921 | ||||||
Belo Corp. Class A | 9,448 | 54,609 | ||||||
CBS Corp., Class B | 157,128 | 5,015,526 | ||||||
Charter Communications, Inc., Class A(1) | 3,851 | 241,458 | ||||||
Cheil Worldwide, Inc. | 16,640 | 254,482 | ||||||
Comcast Corp., Class A | 51,760 | 1,496,382 | ||||||
DISH Network Corp., Class A | 36,343 | 1,019,058 | ||||||
Entercom Communications Corp., Class A(1) | 4,802 | 23,674 | ||||||
Entravision Communications Corp., Class A | 18,392 | 24,645 |
17
Shares/ Principal Amount | Value |
Focus Media Holding Ltd. ADR | 27,866 | $579,613 | ||||||
Kabel Deutschland Holding AG(1) | 21,299 | 1,208,306 | ||||||
LIN TV Corp., Class A(1) | 10,562 | 30,418 | ||||||
Naspers Ltd. N Shares | 8,798 | 465,169 | ||||||
Regal Entertainment Group Class A | 41,089 | 564,974 | ||||||
Sinclair Broadcast Group, Inc., Class A | 3,020 | 24,583 | ||||||
Time Warner Cable, Inc. | 25,482 | 1,921,343 | ||||||
Time Warner, Inc. | 70,011 | 2,413,279 | ||||||
Viacom, Inc., Class B | 24,554 | 1,171,962 | ||||||
17,108,402 | ||||||||
METALS AND MINING — 1.6% | ||||||||
Antofagasta plc | 61,285 | 946,413 | ||||||
BHP Billiton Ltd. | 57,754 | 1,798,573 | ||||||
Carpenter Technology Corp. | 23,000 | 1,036,380 | ||||||
Cliffs Natural Resources, Inc. | 17,100 | 817,038 | ||||||
Coeur d’Alene Mines Corp.(1) | 47,272 | 798,897 | ||||||
Exxaro Resources Ltd. | 33,921 | 755,802 | ||||||
Ferrexpo plc | 62,923 | 191,238 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 46,305 | 1,483,612 | ||||||
Haynes International, Inc. | 830 | 42,330 | ||||||
Hecla Mining Co. | 5,072 | 21,556 | ||||||
Koza Altin Isletmeleri AS | 22,657 | 382,730 | ||||||
Materion Corp. | 594 | 13,121 | ||||||
Newmont Mining Corp. | 10,285 | 485,041 | ||||||
Noranda Aluminum Holding Corp. | 5,540 | 42,603 | ||||||
Nucor Corp. | 34,009 | 1,216,162 | ||||||
Rio Tinto plc | 35,240 | 1,509,871 | ||||||
RTI International Metals, Inc.(1) | 1,547 | 32,471 | ||||||
Schnitzer Steel Industries, Inc. Class A | 718 | 18,725 | ||||||
Southern Copper Corp. | 3,364 | 95,706 | ||||||
Teck Resources Ltd. | 32,281 | 962,297 | ||||||
Thompson Creek Metals Co., Inc.(1) | 2,483 | 8,517 | ||||||
ThyssenKrupp AG | 8,680 | 143,229 | ||||||
Umicore SA | 19,158 | 909,179 | ||||||
Vale SA Preference Shares | 70,800 | 1,277,795 | ||||||
Xstrata plc | 66,460 | 944,900 | ||||||
15,934,186 | ||||||||
MULTI-UTILITIES — 0.5% | ||||||||
Ameren Corp. | 29,013 | 937,410 | ||||||
Avista Corp. | 1,449 | 36,819 | ||||||
Black Hills Corp. | 1,054 | 33,918 | ||||||
Consolidated Edison, Inc. | 23,149 | 1,397,274 | ||||||
NorthWestern Corp. | 828 | 29,402 | ||||||
PG&E Corp. | 35,302 | 1,542,697 | ||||||
Public Service Enterprise Group, Inc. | 36,337 | 1,133,351 | ||||||
Wisconsin Energy Corp. | 4,859 | 183,865 | ||||||
5,294,736 | ||||||||
MULTILINE RETAIL — 1.1% | ||||||||
Big Lots, Inc.(1) | 882 | 32,414 | ||||||
Dillard’s, Inc., Class A | 15,071 | 1,013,374 | ||||||
Dollar General Corp.(1) | 18,205 | 890,407 | ||||||
Dollar Tree, Inc.(1) | 20,500 | 2,115,190 | ||||||
Family Dollar Stores, Inc. | 10,400 | 704,600 | ||||||
Fred’s, Inc., Class A | 1,043 | 14,341 | ||||||
Gordmans Stores, Inc.(1) | 2,335 | 41,586 | ||||||
J.C. Penney Co., Inc. | 11,826 | 310,196 | ||||||
Kohl’s Corp. | 12,050 | 552,131 | ||||||
Macy’s, Inc. | 80,408 | 3,059,524 | ||||||
SACI Falabella | 51,845 | 466,384 | ||||||
Target Corp. | 32,413 | 1,877,037 | ||||||
11,077,184 | ||||||||
OFFICE ELECTRONICS† | ||||||||
Zebra Technologies Corp., Class A(1) | 529 | 17,706 | ||||||
OIL, GAS AND CONSUMABLE FUELS — 5.1% | ||||||||
Apache Corp. | 24,597 | 2,001,704 | ||||||
Banpu PCL | 38,400 | 543,140 | ||||||
Berry Petroleum Co., Class A | 1,353 | 52,645 | ||||||
BG Group plc | 84,143 | 1,611,289 | ||||||
Bill Barrett Corp.(1) | 644 | 12,436 | ||||||
BP Prudhoe Bay Royalty Trust | 305 | 33,876 | ||||||
Cabot Oil & Gas Corp. | 45,300 | 1,474,062 | ||||||
Chevron Corp. | 71,525 | 7,031,623 | ||||||
CNOOC Ltd. | 623,000 | 1,126,955 | ||||||
Concho Resources, Inc.(1) | 19,000 | 1,667,060 | ||||||
ConocoPhillips | 30,251 | 1,577,892 | ||||||
Devon Energy Corp. | 18,818 | 1,120,047 | ||||||
Dragon Oil plc | 74,176 | 570,171 | ||||||
Energy XXI Bermuda Ltd. | 29,417 | 913,398 | ||||||
ENI SpA | 44,014 | 849,004 | ||||||
EOG Resources, Inc. | 13,087 | 1,299,539 | ||||||
EQT Corp. | 10,210 | 473,540 | ||||||
Exxon Mobil Corp. | 133,883 | 10,527,220 | ||||||
Goodrich Petroleum Corp.(1) | 1,780 | 26,291 | ||||||
Gulfport Energy Corp.(1) | 3,286 | 60,725 | ||||||
Hugoton Royalty Trust | 2,303 | 15,614 |
18
Shares/ Principal Amount | Value |
Imperial Oil Ltd. | 23,707 | $952,779 | ||||||
Kodiak Oil & Gas Corp.(1) | 87,804 | 712,090 | ||||||
Kunlun Energy Co. Ltd. | 458,000 | 782,457 | ||||||
Marathon Oil Corp. | 5,907 | 147,143 | ||||||
Marathon Petroleum Corp. | 29,815 | 1,075,427 | ||||||
Murphy Oil Corp. | 11,741 | 547,365 | ||||||
Noble Energy, Inc. | 15,119 | 1,276,951 | ||||||
Occidental Petroleum Corp. | 43,935 | 3,482,727 | ||||||
Pacific Coast Oil Trust | 1,612 | 27,130 | ||||||
Peabody Energy Corp. | 26,110 | 609,930 | ||||||
Phillips 66(1) | 12,296 | 369,249 | ||||||
Rosetta Resources, Inc.(1) | 2,527 | 97,770 | ||||||
SandRidge Mississippian Trust II | 1,468 | 29,683 | ||||||
Sasol Ltd. | 7,584 | 322,607 | ||||||
SM Energy Co. | 9,400 | 508,446 | ||||||
Southwestern Energy Co.(1) | 9,651 | 270,518 | ||||||
Statoil ASA | 78,587 | 1,772,253 | ||||||
Stone Energy Corp.(1) | 3,339 | 78,667 | ||||||
Suncor Energy, Inc. | 33,181 | 895,555 | ||||||
Swift Energy Co.(1) | 786 | 15,649 | ||||||
Tesoro Logistics LP | 650 | 20,495 | ||||||
Total SA ADR | 19,850 | 854,939 | ||||||
Tullow Oil plc | 28,839 | 632,032 | ||||||
Ultra Petroleum Corp.(1) | 35,958 | 665,942 | ||||||
Ultrapar Participacoes SA | 41,500 | 839,527 | ||||||
Vaalco Energy, Inc.(1) | 6,880 | 58,686 | ||||||
Valero Energy Corp. | 34,808 | 734,449 | ||||||
W&T Offshore, Inc. | 3,332 | 51,213 | ||||||
Western Refining, Inc. | 27,317 | 528,311 | ||||||
Whiting USA Trust II | 61 | 1,190 | ||||||
51,349,411 | ||||||||
PAPER AND FOREST PRODUCTS — 0.2% | ||||||||
Buckeye Technologies, Inc. | 3,861 | 106,988 | ||||||
Clearwater Paper Corp.(1) | 1,499 | 46,979 | ||||||
Domtar Corp. | 10,413 | 823,772 | ||||||
International Paper Co. | 16,370 | 478,004 | ||||||
KapStone Paper and Packaging Corp.(1) | 8,943 | 138,080 | ||||||
Neenah Paper, Inc. | 1,733 | 45,162 | ||||||
1,638,985 | ||||||||
PERSONAL PRODUCTS — 0.4% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 20,735 | 1,122,800 | ||||||
Hengan International Group Co. Ltd. | 51,000 | 487,886 | ||||||
Inter Parfums, Inc. | 1,971 | 30,945 | ||||||
L’Oreal SA | 10,914 | 1,226,980 | ||||||
Nu Skin Enterprises, Inc., Class A | 17,511 | 750,872 | ||||||
Prestige Brands Holdings, Inc.(1) | 757 | 10,394 | ||||||
3,629,877 | ||||||||
PHARMACEUTICALS — 3.5% | ||||||||
Abbott Laboratories | 90,110 | 5,567,897 | ||||||
Allergan, Inc. | 11,526 | 1,040,221 | ||||||
Aspen Pharmacare Holdings Ltd.(1) | 33,266 | 460,664 | ||||||
Auxilium Pharmaceuticals, Inc.(1) | 1,318 | 25,174 | ||||||
Elan Corp. plc ADR(1) | 46,600 | 650,536 | ||||||
Eli Lilly & Co. | 37,525 | 1,536,649 | ||||||
GlaxoSmithKline plc | 46,424 | 1,028,870 | ||||||
Hospira, Inc.(1) | 5,384 | 168,304 | ||||||
Impax Laboratories, Inc.(1) | 2,537 | 52,592 | ||||||
Jazz Pharmaceuticals plc(1) | 574 | 24,797 | ||||||
Johnson & Johnson | 106,441 | 6,645,112 | ||||||
Medicis Pharmaceutical Corp., Class A | 1,759 | 63,500 | ||||||
Merck & Co., Inc. | 93,134 | 3,499,976 | ||||||
Nektar Therapeutics(1) | 2,180 | 14,606 | ||||||
Novo Nordisk A/S B Shares | 13,893 | 1,848,285 | ||||||
Optimer Pharmaceuticals, Inc.(1) | 1,288 | 19,243 | ||||||
Par Pharmaceutical Cos., Inc.(1) | 1,926 | 69,028 | ||||||
Perrigo Co. | 17,100 | 1,776,519 | ||||||
Pfizer, Inc. | 251,785 | 5,506,538 | ||||||
Questcor Pharmaceuticals, Inc.(1) | 23,572 | 975,881 | ||||||
Roche Holding AG | 7,105 | 1,108,888 | ||||||
Salix Pharmaceuticals Ltd.(1) | 1,492 | 77,300 | ||||||
Sanofi | 23,722 | 1,613,274 | ||||||
Shire plc | 54,950 | 1,548,114 | ||||||
ViroPharma, Inc.(1) | 931 | 18,750 | ||||||
VIVUS, Inc.(1) | 2,459 | 60,958 | ||||||
35,401,676 | ||||||||
PROFESSIONAL SERVICES — 0.3% | ||||||||
Adecco SA(1) | 14,726 | 571,545 | ||||||
Advisory Board Co. (The)(1) | 708 | 68,584 | ||||||
Capita Group plc (The) | 72,632 | 691,792 | ||||||
CDI Corp. | 2,699 | 45,289 | ||||||
Experian plc | 42,789 | 596,815 | ||||||
Heidrick & Struggles International, Inc. | 1,290 | 21,182 | ||||||
Kelly Services, Inc., Class A | 2,518 | 29,435 | ||||||
Kforce, Inc.(1) | 1,539 | 20,515 |
19
Shares/ Principal Amount | Value |
On Assignment, Inc.(1) | 6,187 | $103,075 | ||||||
SGS SA | 450 | 811,191 | ||||||
TrueBlue, Inc.(1) | 2,684 | 40,126 | ||||||
WageWorks, Inc.(1) | 1,986 | 21,707 | ||||||
3,021,256 | ||||||||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 2.8% | ||||||||
American Campus Communities, Inc. | 11,526 | 505,991 | ||||||
American Tower Corp. | 8,724 | 566,013 | ||||||
Apartment Investment & Management Co., Class A | 15,100 | 408,757 | ||||||
Associated Estates Realty Corp. | 1,035 | 16,363 | ||||||
AvalonBay Communities, Inc. | 8,601 | 1,201,990 | ||||||
BioMed Realty Trust, Inc. | 2,738 | 49,421 | ||||||
Boston Properties, Inc. | 8,684 | 893,844 | ||||||
Brandywine Realty Trust | 19,400 | 217,862 | ||||||
BRE Properties, Inc. | 7,163 | 352,635 | ||||||
Camden Property Trust | 8,018 | 522,052 | ||||||
Campus Crest Communities, Inc. | 4,054 | 43,702 | ||||||
CBL & Associates Properties, Inc. | 1,993 | 34,798 | ||||||
Cedar Realty Trust, Inc. | 3,820 | 18,336 | ||||||
Chimera Investment Corp. | 13,633 | 38,172 | ||||||
CommonWealth REIT | 1,604 | 28,311 | ||||||
CreXus Investment Corp. | 1,604 | 15,719 | ||||||
DCT Industrial Trust, Inc. | 22,351 | 130,083 | ||||||
DDR Corp. | 16,504 | 229,241 | ||||||
DiamondRock Hospitality Co. | 12,972 | 128,942 | ||||||
Digital Realty Trust, Inc. | 19,537 | 1,382,634 | ||||||
Duke Realty Corp. | 5,457 | 75,525 | ||||||
Education Realty Trust, Inc. | 9,256 | 102,001 | ||||||
Entertainment Properties Trust | 1,659 | 68,467 | ||||||
Equity Lifestyle Properties, Inc. | 304 | 20,021 | ||||||
Equity One, Inc. | 7,600 | 150,936 | ||||||
Equity Residential | 16,400 | 1,002,040 | ||||||
Essex Property Trust, Inc. | 2,405 | 361,856 | ||||||
Extra Space Storage, Inc. | 11,255 | 319,192 | ||||||
Federal Realty Investment Trust | 4,147 | 407,567 | ||||||
First Industrial Realty Trust, Inc.(1) | 8,210 | 97,945 | ||||||
General Growth Properties, Inc. | 32,356 | 541,963 | ||||||
Government Properties Income Trust | 7,376 | 157,773 | ||||||
Hatteras Financial Corp. | 1,331 | 38,000 | ||||||
HCP, Inc. | 24,226 | 989,390 | ||||||
Health Care REIT, Inc. | 15,387 | 853,517 | ||||||
Healthcare Realty Trust, Inc. | 1,430 | 31,288 | ||||||
Hersha Hospitality Trust | 4,474 | 23,846 | ||||||
Highwoods Properties, Inc. | 11,194 | 361,118 | ||||||
Host Hotels & Resorts, Inc. | 26,292 | 401,216 | ||||||
Kilroy Realty Corp. | 9,403 | 431,692 | ||||||
Kimco Realty Corp. | 25,071 | 450,024 | ||||||
LaSalle Hotel Properties | 6,290 | 173,478 | ||||||
Lexington Realty Trust | 6,183 | 51,381 | ||||||
Link Real Estate Investment Trust (The) | 142,500 | 547,120 | ||||||
Macerich Co. (The) | 7,890 | 450,125 | ||||||
Mack-Cali Realty Corp. | 1,551 | 42,249 | ||||||
Medical Properties Trust, Inc. | 1,789 | 16,101 | ||||||
MFA Financial, Inc. | 4,742 | 36,134 | ||||||
National Retail Properties, Inc. | 1,021 | 27,046 | ||||||
Newcastle Investment Corp. | 35,151 | 233,403 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 33,006 | 544,929 | ||||||
Post Properties, Inc. | 7,937 | 384,230 | ||||||
ProLogis, Inc. | 16,576 | 530,101 | ||||||
PS Business Parks, Inc. | 732 | 48,232 | ||||||
Public Storage | 8,600 | 1,147,842 | ||||||
Rayonier, Inc. | 1,700 | 73,049 | ||||||
RLJ Lodging Trust | 2,378 | 41,924 | ||||||
Sabra Health Care REIT, Inc. | 2,883 | 41,458 | ||||||
Simon Property Group, Inc. | 32,902 | 4,853,703 | ||||||
SL Green Realty Corp. | 4,723 | 354,272 | ||||||
Sovran Self Storage, Inc. | 1,363 | 67,264 | ||||||
Strategic Hotels & Resorts, Inc.(1) | 28,089 | 174,995 | ||||||
Sun Communities, Inc. | 395 | 16,278 | ||||||
Sunstone Hotel Investors, Inc.(1) | 15,793 | 158,088 | ||||||
Taubman Centers, Inc. | 6,832 | 498,736 | ||||||
UDR, Inc. | 25,258 | 654,182 | ||||||
Urstadt Biddle Properties, Inc., Class A | 1,574 | 28,017 | ||||||
Ventas, Inc. | 34,137 | 2,007,938 | ||||||
Vornado Realty Trust | 11,919 | 976,405 | ||||||
Washington Real Estate Investment Trust | 844 | 23,750 | ||||||
Weyerhaeuser Co. | 17,873 | 355,851 | ||||||
28,228,524 |
20
Shares/ Principal Amount | Value |
REAL ESTATE MANAGEMENT AND DEVELOPMENT — 0.5% | ||||||||
BR Malls Participacoes SA | 123,000 | $1,356,943 | ||||||
BR Properties SA | 63,900 | 728,711 | ||||||
CBRE Group, Inc.(1) | 95,370 | 1,568,836 | ||||||
China Overseas Land & Investment Ltd. | 332,000 | 693,810 | ||||||
Daito Trust Construction Co. Ltd. | 7,400 | 651,608 | ||||||
Forest City Enterprises, Inc. Class A(1) | 6,900 | 92,391 | ||||||
Jones Lang LaSalle, Inc. | 600 | 43,500 | ||||||
5,135,799 | ||||||||
ROAD AND RAIL — 0.6% | ||||||||
Arkansas Best Corp. | 1,557 | 19,696 | ||||||
Canadian National Railway Co. | 5,953 | 486,799 | ||||||
Celadon Group, Inc. | 1,494 | 24,068 | ||||||
Heartland Express, Inc. | 24,677 | 351,401 | ||||||
Kansas City Southern | 36,900 | 2,434,662 | ||||||
Marten Transport Ltd. | 1,494 | 30,582 | ||||||
Quality Distribution, Inc.(1) | 2,519 | 26,752 | ||||||
Union Pacific Corp. | 24,831 | 2,766,173 | ||||||
Werner Enterprises, Inc. | 753 | 18,328 | ||||||
6,158,461 | ||||||||
SEMICONDUCTORS AND SEMICONDUCTOR EQUIPMENT — 3.1% | ||||||||
Advanced Micro Devices, Inc.(1) | 156,360 | 950,669 | ||||||
Applied Materials, Inc. | 170,874 | 1,765,128 | ||||||
ARM Holdings plc | 186,768 | 1,457,944 | ||||||
ASML Holding NV | 22,792 | 1,045,564 | ||||||
Avago Technologies Ltd. | 47,100 | 1,559,010 | ||||||
Broadcom Corp., Class A(1) | 45,298 | 1,465,390 | ||||||
Cavium Networks, Inc.(1) | 349 | 8,449 | ||||||
CEVA, Inc.(1) | 1,118 | 19,431 | ||||||
Cirrus Logic, Inc.(1) | 3,280 | 94,202 | ||||||
Cymer, Inc.(1) | 400 | 21,668 | ||||||
Entegris, Inc.(1) | 3,513 | 27,085 | ||||||
Formfactor, Inc.(1) | 3,612 | 21,636 | ||||||
Infineon Technologies AG | 23,096 | 182,430 | ||||||
Intel Corp. | 147,573 | 3,813,286 | ||||||
Intersil Corp., Class A | 4,114 | 43,403 | ||||||
KLA-Tencor Corp. | 37,544 | 1,720,642 | ||||||
Linear Technology Corp. | 28,533 | 828,028 | ||||||
M/A-COM Technology Solutions Holdings, Inc.(1) | 2,098 | 34,743 | ||||||
Marvell Technology Group Ltd.(1) | 90,707 | 1,136,559 | ||||||
MKS Instruments, Inc. | 423 | 11,061 | ||||||
Nanometrics, Inc.(1) | 3,200 | 49,696 | ||||||
Photronics, Inc.(1) | 10,156 | 60,936 | ||||||
Rudolph Technologies, Inc.(1) | 2,503 | 21,576 | ||||||
Samsung Electronics Co. Ltd. | 6,584 | 6,755,538 | ||||||
Semtech Corp.(1) | 2,923 | 70,415 | ||||||
Silicon Motion Technology Corp. ADR(1) | 2,740 | 37,100 | ||||||
Skyworks Solutions, Inc.(1) | 4,666 | 125,329 | ||||||
Spansion, Inc., Class A(1) | 6,845 | 73,926 | ||||||
Standard Microsystems Corp.(1) | 1,311 | 48,035 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,217,425 | 3,471,015 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 76,693 | 1,052,995 | ||||||
Teradyne, Inc.(1) | 28,512 | 411,998 | ||||||
Ultratech, Inc.(1) | 3,685 | 111,729 | ||||||
United Microelectronics Corp. | 997,000 | 437,574 | ||||||
Xilinx, Inc. | 83,346 | 2,664,572 | ||||||
31,598,762 | ||||||||
SOFTWARE — 2.9% | ||||||||
ACI Worldwide, Inc.(1) | 310 | 11,839 | ||||||
Actuate Corp.(1) | 6,120 | 40,882 | ||||||
Adobe Systems, Inc.(1) | 8,170 | 253,678 | ||||||
Allot Communications Ltd.(1) | 5,569 | 144,905 | ||||||
BroadSoft, Inc.(1) | 1,192 | 32,553 | ||||||
CA, Inc. | 13,150 | 327,040 | ||||||
Cadence Design Systems, Inc.(1) | 6,318 | 64,444 | ||||||
Cerner Corp.(1) | 17,484 | 1,363,053 | ||||||
Check Point Software Technologies Ltd.(1) | 48,824 | 2,501,742 | ||||||
Citrix Systems, Inc.(1) | 41,213 | 3,011,846 | ||||||
CommVault Systems, Inc.(1) | 7,152 | 335,214 | ||||||
Compuware Corp.(1) | 4,024 | 36,216 | ||||||
Fortinet, Inc.(1) | 12,829 | 272,616 | ||||||
Glu Mobile, Inc.(1) | 5,018 | 23,183 | ||||||
Guidance Software, Inc.(1) | 4,393 | 36,023 | ||||||
Intuit, Inc. | 1,340 | 75,348 | ||||||
JDA Software Group, Inc.(1) | 591 | 16,359 | ||||||
Kenexa Corp.(1) | 6,099 | 177,908 | ||||||
Konami Corp. | 13,300 | 281,242 | ||||||
Mentor Graphics Corp.(1) | 1,386 | 19,543 | ||||||
Microsoft Corp. | 299,045 | 8,729,124 | ||||||
NCSoft Corp. | 2,929 | 595,603 | ||||||
NetScout Systems, Inc.(1) | 2,525 | 50,626 |
21
Shares/ Principal Amount | Value |
NetSuite, Inc.(1) | 32,500 | $1,524,900 | ||||||
Oracle Corp. | 185,859 | 4,919,688 | ||||||
Parametric Technology Corp.(1) | 1,536 | 31,027 | ||||||
PROS Holdings, Inc.(1) | 3,676 | 55,250 | ||||||
QLIK Technologies, Inc.(1) | 15,778 | 358,634 | ||||||
Quest Software, Inc.(1) | 9,816 | 245,400 | ||||||
Red Hat, Inc.(1) | 7,238 | 371,888 | ||||||
SAP AG | 18,995 | 1,089,812 | ||||||
SolarWinds, Inc.(1) | 785 | 36,000 | ||||||
Sourcefire, Inc.(1) | 12,500 | 689,500 | ||||||
Symantec Corp.(1) | 72,491 | 1,075,766 | ||||||
TIBCO Software, Inc.(1) | 2,788 | 74,579 | ||||||
Ultimate Software Group, Inc.(1) | 745 | 59,846 | ||||||
Websense, Inc.(1) | 3,382 | 62,838 | ||||||
28,996,115 | ||||||||
SPECIALTY RETAIL — 3.1% | ||||||||
America’s Car-Mart, Inc.(1) | 1,249 | 53,894 | ||||||
American Eagle Outfitters, Inc. | 1,545 | 29,834 | ||||||
Ascena Retail Group, Inc.(1) | 2,916 | 55,200 | ||||||
Belle International Holdings Ltd. | 381,000 | 611,638 | ||||||
Best Buy Co., Inc. | 55,939 | 1,047,178 | ||||||
Buckle, Inc. (The) | 1,263 | 49,434 | ||||||
Cabela’s, Inc.(1) | 1,687 | 59,619 | ||||||
Cato Corp. (The), Class A | 1,116 | 32,029 | ||||||
Cia Hering | 25,500 | 519,647 | ||||||
Collective Brands, Inc.(1) | 2,512 | 53,430 | ||||||
Destination Maternity Corp. | 2,046 | 39,897 | ||||||
DSW, Inc., Class A | 19,200 | 1,145,856 | ||||||
Esprit Holdings Ltd. | 81,300 | 130,934 | ||||||
Express, Inc.(1) | 1,601 | 29,619 | ||||||
Fast Retailing Co. Ltd. | 4,300 | 959,763 | ||||||
Finish Line, Inc. (The), Class A | 854 | 17,609 | ||||||
Foot Locker, Inc. | 31,249 | 991,843 | ||||||
Francesca’s Holdings Corp.(1) | 1,376 | 32,281 | ||||||
GameStop Corp., Class A | 13,155 | 252,313 | ||||||
Genesco, Inc.(1) | 2,077 | 138,121 | ||||||
GNC Holdings, Inc. Class A | 32,369 | 1,247,178 | ||||||
Guess?, Inc. | 757 | 20,166 | ||||||
Home Depot, Inc. (The) | 74,568 | 3,679,185 | ||||||
Inditex SA | 11,340 | 936,944 | ||||||
Kingfisher plc | 221,216 | 961,446 | ||||||
Lithia Motors, Inc., Class A | 12,327 | 301,025 | ||||||
Lowe’s Cos., Inc. | 61,236 | 1,636,226 | ||||||
Men’s Wearhouse, Inc. (The) | 1,015 | 36,530 | ||||||
Mr Price Group Ltd. | 66,643 | 817,917 | ||||||
Nitori Holdings Co. Ltd. | 4,950 | 447,244 | ||||||
O’Reilly Automotive, Inc.(1) | 38,004 | 3,640,403 | ||||||
Penske Automotive Group, Inc. | 552 | 13,568 | ||||||
PetSmart, Inc. | 63,143 | 4,068,935 | ||||||
RadioShack Corp. | 3,520 | 16,333 | ||||||
Rent-A-Center, Inc. | 703 | 23,670 | ||||||
Rue21, Inc.(1) | 1,186 | 31,405 | ||||||
Select Comfort Corp.(1) | 1,418 | 38,796 | ||||||
Stage Stores, Inc. | 522 | 8,973 | ||||||
Staples, Inc. | 86,642 | 1,138,476 | ||||||
Tilly’s, Inc. Class A(1) | 114 | 1,856 | ||||||
Tractor Supply Co. | 30,008 | 2,741,231 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 23,400 | 2,091,258 | ||||||
Urban Outfitters, Inc.(1) | 22,106 | 618,305 | ||||||
Williams-Sonoma, Inc. | 941 | 32,850 | ||||||
30,800,059 | ||||||||
TEXTILES, APPAREL AND LUXURY GOODS — 0.8% | ||||||||
adidas AG | 9,805 | 729,737 | ||||||
Burberry Group plc | 43,397 | 914,297 | ||||||
Carter’s, Inc.(1) | 1,154 | 62,235 | ||||||
Coach, Inc. | 15,847 | 1,068,880 | ||||||
Columbia Sportswear Co. | 1,254 | 60,305 | ||||||
Culp, Inc.(1) | 3,022 | 29,253 | ||||||
G-III Apparel Group Ltd.(1) | 2,196 | 54,263 | ||||||
Hugo Boss AG Preference Shares | 9,638 | 936,111 | ||||||
Iconix Brand Group, Inc.(1) | 4,587 | 68,713 | ||||||
Lululemon Athletica, Inc.(1) | 4,131 | 300,076 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 6,080 | 897,640 | ||||||
Michael Kors Holdings Ltd.(1) | 29,624 | 1,166,593 | ||||||
Movado Group, Inc. | 4,659 | 129,054 | ||||||
Oxford Industries, Inc. | 1,728 | 79,575 | ||||||
Prada SpA | 98,100 | 604,155 | ||||||
Vera Bradley, Inc.(1) | 1,002 | 21,914 | ||||||
VF Corp. | 5,300 | 747,512 | ||||||
7,870,313 | ||||||||
THRIFTS AND MORTGAGE FINANCE — 0.2% | ||||||||
BankUnited, Inc. | 4,089 | 96,459 | ||||||
Berkshire Hills Bancorp, Inc. | 855 | 18,656 | ||||||
Brookline Bancorp., Inc. | 2,564 | 22,538 | ||||||
Capitol Federal Financial, Inc. | 38,205 | 445,088 | ||||||
Flushing Financial Corp. | 1,532 | 19,763 |
22
Shares/ Principal Amount | Value |
Hudson City Bancorp., Inc. | 63,297 | $392,441 | ||||||
Kaiser Federal Financial Group, Inc. | 1,194 | 16,704 | ||||||
Nationstar Mortgage Holdings, Inc.(1) | 1,646 | 31,554 | ||||||
Oritani Financial Corp. | 1,270 | 17,386 | ||||||
People’s United Financial, Inc. | 46,712 | 543,261 | ||||||
Provident Financial Services, Inc. | 2,189 | 30,537 | ||||||
Rockville Financial, Inc. | 2,945 | 33,131 | ||||||
Washington Federal, Inc. | 1,746 | 28,652 | ||||||
1,696,170 | ||||||||
TOBACCO — 1.1% | ||||||||
Altria Group, Inc. | 22,690 | 730,391 | ||||||
British American Tobacco plc | 34,225 | 1,613,284 | ||||||
ITC Ltd. | 189,683 | 774,675 | ||||||
Japan Tobacco, Inc. | 279 | 1,555,934 | ||||||
Philip Morris International, Inc. | 70,349 | 5,945,194 | ||||||
10,619,478 | ||||||||
TRADING COMPANIES AND DISTRIBUTORS — 0.6% | ||||||||
Applied Industrial Technologies, Inc. | 2,073 | 78,173 | ||||||
Barloworld Ltd. | 52,164 | 519,729 | ||||||
Beacon Roofing Supply, Inc.(1) | 4,290 | 106,607 | ||||||
DXP Enterprises, Inc.(1) | 1,717 | 80,699 | ||||||
Erickson Air-Crane, Inc.(1) | 2,453 | 16,803 | ||||||
Fastenal Co. | 15,300 | 676,719 | ||||||
H&E Equipment Services, Inc.(1) | 4,591 | 72,859 | ||||||
Kaman Corp. | 1,105 | 32,321 | ||||||
Lawson Products, Inc. | 1,942 | 19,051 | ||||||
Mitsubishi Corp. | 64,800 | 1,269,372 | ||||||
PT AKR Corporindo Tbk | 1,377,500 | 494,581 | ||||||
SeaCube Container Leasing Ltd. | 2,865 | 52,201 | ||||||
TAL International Group, Inc. | 1,306 | 42,719 | ||||||
Titan Machinery, Inc.(1) | 5,854 | 180,596 | ||||||
United Rentals, Inc.(1) | 40,838 | 1,410,953 | ||||||
WESCO International, Inc.(1) | 382 | 22,725 | ||||||
Wolseley plc | 38,920 | 1,324,436 | ||||||
6,400,544 | ||||||||
TRANSPORTATION INFRASTRUCTURE — 0.2% | ||||||||
CCR SA | 76,600 | 586,032 | ||||||
Koninklijke Vopak NV | 12,701 | 748,647 | ||||||
TAV Havalimanlari Holding AS | 87,651 | 423,978 | ||||||
1,758,657 | ||||||||
WATER UTILITIES† | ||||||||
Artesian Resources Corp., Class A | 1,500 | 27,990 | ||||||
Cia de Saneamento de Minas Gerais-COPASA | 9,459 | 202,091 | ||||||
230,081 | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.8% | ||||||||
Advanced Info Service PCL | 102,700 | 577,819 | ||||||
Axiata Group Bhd | 188,000 | 318,297 | ||||||
Crown Castle International Corp.(1) | 31,941 | 1,743,979 | ||||||
Mobile Telesystems OJSC ADR(1) | 40,856 | 679,844 | ||||||
Rogers Communications, Inc., Class B | 18,152 | 620,737 | ||||||
SBA Communications Corp., Class A(1) | 54,522 | 2,832,418 | ||||||
Tim Participacoes SA ADR | 16,104 | 393,743 | ||||||
Vodafone Group plc | 468,368 | 1,248,798 | ||||||
8,415,635 | ||||||||
TOTAL COMMON STOCKS (Cost $658,757,733) | 781,857,947 | |||||||
Corporate Bonds — 9.2% | ||||||||
AEROSPACE AND DEFENSE — 0.1% | ||||||||
BE Aerospace, Inc., 6.875%, 10/1/20 | $125,000 | 137,812 | ||||||
Honeywell International, Inc., 5.375%, 3/1/41 | 20,000 | 24,782 | ||||||
L-3 Communications Corp., 6.375%, 10/15/15 | 100,000 | 102,500 | ||||||
L-3 Communications Corp., 4.75%, 7/15/20 | 50,000 | 53,848 | ||||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 90,000 | 101,386 | ||||||
Raytheon Co., 4.40%, 2/15/20 | 10,000 | 11,462 | ||||||
United Technologies Corp., 6.05%, 6/1/36 | 106,000 | 134,673 | ||||||
United Technologies Corp., 5.70%, 4/15/40 | 100,000 | 124,835 | ||||||
691,298 | ||||||||
AIRLINES† | ||||||||
American Airlines Pass-Through Trust, 7.00%, 7/31/19(2) | 69,775 | 69,077 | ||||||
United Air Lines, Inc., 9.875%, 8/1/13(2) | 222,000 | 229,770 | ||||||
298,847 |
23
Shares/ Principal Amount | Value |
AUTO COMPONENTS — 0.2% | ||||||||
Allison Transmission, Inc., 7.125%, 5/15/19(2) | $150,000 | $157,500 | ||||||
American Axle & Manufacturing, Inc., 7.875%, 3/1/17 | 225,000 | 232,031 | ||||||
Delphi Corp., 5.875%, 5/15/19 | 125,000 | 131,563 | ||||||
Goodyear Tire & Rubber Co. (The), 8.25%, 8/15/20 | 225,000 | 235,406 | ||||||
Goodyear Tire & Rubber Co. (The), 7.00%, 5/15/22 | 250,000 | 246,250 | ||||||
Tenneco, Inc., 6.875%, 12/15/20 | 250,000 | 266,875 | ||||||
Tomkins LLC/Tomkins, Inc., 9.00%, 10/1/18 | 75,000 | 82,781 | ||||||
TRW Automotive, Inc., 8.875%, 12/1/17(2) | 225,000 | 252,000 | ||||||
Visteon Corp., 6.75%, 4/15/19 | 250,000 | 250,313 | ||||||
1,854,719 | ||||||||
AUTOMOBILES — 0.2% | ||||||||
American Honda Finance Corp., 2.375%, 3/18/13(2) | 150,000 | 152,002 | ||||||
American Honda Finance Corp., 2.50%, 9/21/15(2) | 160,000 | 165,682 | ||||||
Daimler Finance North America LLC, 2.625%, 9/15/16(2) | 150,000 | 154,965 | ||||||
Ford Motor Co., 7.45%, 7/16/31 | 300,000 | 392,250 | ||||||
Ford Motor Credit Co. LLC, 7.50%, 8/1/12 | 250,000 | 252,126 | ||||||
Ford Motor Credit Co. LLC, 3.875%, 1/15/15 | 250,000 | 260,597 | ||||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 150,000 | 164,317 | ||||||
Nissan Motor Acceptance Corp., 3.25%, 1/30/13(2) | 30,000 | 30,319 | ||||||
1,572,258 | ||||||||
BEVERAGES — 0.1% | ||||||||
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 | 210,000 | 278,373 | ||||||
Coca-Cola Co. (The), 1.80%, 9/1/16 | 100,000 | 103,240 | ||||||
Constellation Brands, Inc., 7.25%, 9/1/16 | 125,000 | 141,641 | ||||||
Dr Pepper Snapple Group, Inc., 2.90%, 1/15/16 | 40,000 | 41,951 | ||||||
PepsiCo, Inc., 4.875%, 11/1/40 | 40,000 | 45,967 | ||||||
SABMiller Holdings, Inc., 2.45%, 1/15/17(2) | $110,000 | 113,016 | ||||||
724,188 | ||||||||
BIOTECHNOLOGY† | ||||||||
Amgen, Inc., 2.125%, 5/15/17 | 100,000 | 100,505 | ||||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 70,000 | 76,940 | ||||||
177,445 | ||||||||
BUILDING PRODUCTS — 0.1% | ||||||||
Boise Cascade LLC, 7.125%, 10/15/14 | 269,000 | 271,690 | ||||||
Masco Corp., 5.95%, 3/15/22 | 250,000 | 256,966 | ||||||
USG Corp., 8.375%, 10/15/18(2) | 100,000 | 104,500 | ||||||
633,156 | ||||||||
CAPITAL MARKETS† | ||||||||
Bear Stearns Cos. LLC (The), 6.40%, 10/2/17 | 170,000 | 194,311 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.375%, 1/19/17 | 40,000 | 41,048 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.875%, 2/8/22 | 50,000 | 49,998 | ||||||
Jefferies Group, Inc., 5.125%, 4/13/18 | 70,000 | 67,200 | ||||||
Merrill Lynch & Co., Inc., MTN, 5.45%, 7/15/14 | 125,000 | 131,003 | ||||||
483,560 | ||||||||
CHEMICALS — 0.1% | ||||||||
CF Industries, Inc., 6.875%, 5/1/18 | 145,000 | 172,912 | ||||||
Dow Chemical Co. (The), 5.90%, 2/15/15 | 70,000 | 78,452 | ||||||
Dow Chemical Co. (The), 2.50%, 2/15/16 | 60,000 | 61,903 | ||||||
Eastman Chemical Co., 3.60%, 8/15/22(3) | 70,000 | 70,024 | ||||||
Ecolab, Inc., 4.35%, 12/8/21 | 30,000 | 32,873 | ||||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18 | 125,000 | 125,000 | ||||||
Ineos Finance plc, 8.375%, 2/15/19(2) | 100,000 | 103,000 | ||||||
Ineos Finance plc, 7.50%, 5/1/20(2) | 125,000 | 124,375 | ||||||
LyondellBasell Industries NV, 5.00%, 4/15/19(2) | 125,000 | 127,812 | ||||||
Momentive Performance Materials, Inc., 10.00%, 10/15/20(2) | 125,000 | 125,313 |
24
Shares/ Principal Amount | Value |
Momentive Performance Materials, Inc., 9.00%, 1/15/21 | $75,000 | $57,000 | ||||||
1,078,664 | ||||||||
COMMERCIAL BANKS — 0.3% | ||||||||
Bank of America N.A., 5.30%, 3/15/17 | 453,000 | 461,817 | ||||||
Bank of Nova Scotia, 2.55%, 1/12/17 | 80,000 | 83,333 | ||||||
BB&T Corp., 5.70%, 4/30/14 | 50,000 | 54,456 | ||||||
BB&T Corp., 3.20%, 3/15/16 | 120,000 | 127,278 | ||||||
Capital One Financial Corp., 4.75%, 7/15/21 | 50,000 | 55,064 | ||||||
Fifth Third Bancorp, 6.25%, 5/1/13 | 90,000 | 94,248 | ||||||
HSBC Bank plc, 3.50%, 6/28/15(2) | 100,000 | 104,184 | ||||||
Huntington Bancshares, Inc., 7.00%, 12/15/20 | 20,000 | 23,672 | ||||||
Kreditanstalt fuer Wiederaufbau, 4.125%, 10/15/14 | 160,000 | 173,083 | ||||||
Kreditanstalt fuer Wiederaufbau, 2.00%, 6/1/16 | 160,000 | 165,776 | ||||||
LBG Capital No.1 plc, 7.875%, 11/1/20(2) | 250,000 | 220,763 | ||||||
National Australia Bank Ltd., 2.75%, 9/28/15(2) | 100,000 | 102,563 | ||||||
Regions Bank, 6.45%, 6/26/37 | 300,000 | 296,250 | ||||||
Regions Financial Corp., 5.75%, 6/15/15 | 225,000 | 236,812 | ||||||
Royal Bank of Scotland Group plc, VRN, 7.65%, 9/30/31 | 125,000 | 96,562 | ||||||
Royal Bank of Scotland plc (The), 3.95%, 9/21/15 | 140,000 | 139,740 | ||||||
Royal Bank of Scotland plc (The), 4.375%, 3/16/16 | 140,000 | 141,010 | ||||||
SunTrust Bank, 7.25%, 3/15/18 | 100,000 | 118,096 | ||||||
SunTrust Banks, Inc., 3.60%, 4/15/16 | 29,000 | 30,159 | ||||||
Toronto-Dominion Bank (The), 2.375%, 10/19/16 | 120,000 | 124,236 | ||||||
U.S. Bancorp., 3.44%, 2/1/16 | 70,000 | 72,445 | ||||||
Wachovia Bank N.A., 4.80%, 11/1/14 | 269,000 | 288,299 | ||||||
Wachovia Bank N.A., 4.875%, 2/1/15 | 101,000 | 107,598 | ||||||
Wells Fargo & Co., 3.68%, 6/15/16 | 90,000 | 95,533 | ||||||
Wells Fargo & Co., 2.10%, 5/8/17 | 100,000 | 99,133 | ||||||
Wells Fargo & Co., 4.60%, 4/1/21 | 30,000 | 33,096 | ||||||
3,545,206 | ||||||||
COMMERCIAL SERVICES AND SUPPLIES — 0.1% | ||||||||
Emergency Medical Services Corp., 8.125%, 6/1/19 | 250,000 | 256,250 | ||||||
Iron Mountain, Inc., 8.375%, 8/15/21 | 75,000 | 80,438 | ||||||
Republic Services, Inc., 3.80%, 5/15/18 | 40,000 | 42,725 | ||||||
Republic Services, Inc., 5.50%, 9/15/19 | 100,000 | 116,837 | ||||||
Republic Services, Inc., 3.55%, 6/1/22 | 30,000 | 30,492 | ||||||
ServiceMaster Co., 8.00%, 2/15/20(2) | 250,000 | 263,437 | ||||||
Waste Management, Inc., 6.125%, 11/30/39 | 70,000 | 87,554 | ||||||
877,733 | ||||||||
COMMUNICATIONS EQUIPMENT — 0.1% | ||||||||
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 | 125,000 | 86,563 | ||||||
Avaya, Inc., 7.00%, 4/1/19(2) | 140,000 | 126,000 | ||||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 115,000 | 146,585 | ||||||
CommScope, Inc., 8.25%, 1/15/19(2) | 75,000 | 77,531 | ||||||
Crown Castle International Corp., 9.00%, 1/15/15 | 500,000 | 546,250 | ||||||
982,929 | ||||||||
COMPUTERS AND PERIPHERALS† | ||||||||
Hewlett-Packard Co., 2.60%, 9/15/17 | 130,000 | 128,496 | ||||||
Seagate Technology HDD Holdings, 6.80%, 10/1/16 | 250,000 | 276,875 | ||||||
405,371 | ||||||||
CONSTRUCTION MATERIALS — 0.1% | ||||||||
HD Supply, Inc., 8.125%, 4/15/19(2) | 50,000 | 52,250 | ||||||
Louisiana-Pacific Corp., 7.50%, 6/1/20(2) | 50,000 | 51,250 | ||||||
Nortek, Inc., 8.50%, 4/15/21 | 125,000 | 121,875 | ||||||
Summit Materials LLC/Summit Materials Finance Corp., 10.50%, 1/31/20(2) | 250,000 | 261,250 | ||||||
Vulcan Materials Co., 7.00%, 6/15/18 | 100,000 | 105,000 | ||||||
591,625 |
25
Shares/ Principal Amount | Value |
CONSUMER FINANCE — 0.3% | ||||||||
American Express Credit Corp., 2.80%, 9/19/16 | $70,000 | $72,211 | ||||||
American Express Credit Corp., MTN, 2.75%, 9/15/15 | 150,000 | 154,984 | ||||||
American Express Credit Corp., MTN, 2.375%, 3/24/17 | 60,000 | 60,867 | ||||||
Capital One Bank USA N.A., 8.80%, 7/15/19 | 50,000 | 63,602 | ||||||
CIT Group, Inc., 4.75%, 2/15/15(2) | 350,000 | 349,563 | ||||||
CIT Group, Inc., 7.00%, 5/2/16(2) | 570,000 | 570,000 | ||||||
CIT Group, Inc., 7.00%, 5/2/17(2) | 219,633 | 219,633 | ||||||
Credit Suisse (New York), 6.00%, 2/15/18 | 70,000 | 74,541 | ||||||
Credit Suisse (New York), 5.30%, 8/13/19 | 130,000 | 145,849 | ||||||
PNC Bank N.A., 6.00%, 12/7/17 | 230,000 | 267,987 | ||||||
SLM Corp., 6.25%, 1/25/16 | 50,000 | 50,875 | ||||||
SLM Corp., MTN, 5.00%, 10/1/13 | 100,000 | 102,625 | ||||||
Springleaf Finance Corp., Series 1, MTN, 4.875%, 7/15/12 | 580,000 | 578,550 | ||||||
Springleaf Finance Corp., Series 1, MTN, 5.40%, 12/1/15 | 250,000 | 205,000 | ||||||
TransUnion Holding Co., Inc., PIK, 9.625%, 6/15/18(2) | 250,000 | 265,000 | ||||||
3,181,287 | ||||||||
CONTAINERS AND PACKAGING — 0.1% | ||||||||
AEP Industries, Inc., 8.25%, 4/15/19 | 125,000 | 128,750 | ||||||
Ardagh Packaging Finance plc, 7.375%, 10/15/17(2) | 300,000 | 321,000 | ||||||
Ball Corp., 7.125%, 9/1/16 | 200,000 | 218,000 | ||||||
Ball Corp., 5.00%, 3/15/22 | 125,000 | 126,406 | ||||||
Berry Plastics Corp., VRN, 4.35%, 6/15/12 | 125,000 | 122,969 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. II, 7.625%, 5/15/17 | 250,000 | 271,250 | ||||||
Packaging Dynamics Corp., 8.75%, 2/1/16(2) | 75,000 | 79,125 | ||||||
1,267,500 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 0.6% | ||||||||
Ally Financial, Inc., 8.30%, 2/12/15 | 400,000 | 429,000 | ||||||
Ally Financial, Inc., 5.50%, 2/15/17 | 250,000 | 250,563 | ||||||
Ally Financial, Inc., 6.25%, 12/1/17 | 225,000 | 231,788 | ||||||
Bank of America Corp., 4.50%, 4/1/15 | 130,000 | 133,027 | ||||||
Bank of America Corp., 6.50%, 8/1/16 | 10,000 | 10,841 | ||||||
Bank of America Corp., 5.75%, 12/1/17 | 120,000 | 125,050 | ||||||
BankAmerica Capital II, 8.00%, 12/15/26 | 300,000 | 302,250 | ||||||
Citigroup, Inc., 6.01%, 1/15/15 | 280,000 | 300,197 | ||||||
Citigroup, Inc., 4.75%, 5/19/15 | 50,000 | 52,135 | ||||||
Citigroup, Inc., 6.125%, 5/15/18 | 390,000 | 425,118 | ||||||
Deutsche Bank AG (London), 3.875%, 8/18/14 | 130,000 | 135,336 | ||||||
General Electric Capital Corp., 3.75%, 11/14/14 | 110,000 | 115,692 | ||||||
General Electric Capital Corp., 2.25%, 11/9/15 | 130,000 | 131,836 | ||||||
General Electric Capital Corp., 5.625%, 9/15/17 | 415,000 | 474,824 | ||||||
General Electric Capital Corp., 4.375%, 9/16/20 | 190,000 | 205,473 | ||||||
General Electric Capital Corp., 5.30%, 2/11/21 | 50,000 | 55,794 | ||||||
Goldman Sachs Group, Inc. (The), 3.30%, 5/3/15 | 10,000 | 9,862 | ||||||
Goldman Sachs Group, Inc. (The), 3.625%, 2/7/16 | 400,000 | 394,411 | ||||||
Goldman Sachs Group, Inc. (The), 5.375%, 3/15/20 | 80,000 | 81,571 | ||||||
Goldman Sachs Group, Inc. (The), 6.25%, 2/1/41 | 60,000 | 60,781 | ||||||
HSBC Holdings plc, 5.10%, 4/5/21 | 70,000 | 77,630 | ||||||
HSBC Holdings plc, 6.80%, 6/1/38 | 50,000 | 57,023 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 7.75%, 1/15/16 | 100,000 | 105,500 | ||||||
JPMorgan Chase & Co., 6.00%, 1/15/18 | 520,000 | 584,644 | ||||||
Morgan Stanley, 4.20%, 11/20/14 | 125,000 | 123,020 |
26
Shares/ Principal Amount | Value |
Morgan Stanley, 6.625%, 4/1/18 | $300,000 | $304,991 | ||||||
Morgan Stanley, 5.625%, 9/23/19 | 140,000 | 133,853 | ||||||
UBS AG (Stamford Branch), 2.25%, 8/12/13 | 50,000 | 50,297 | ||||||
UBS AG (Stamford Branch), 5.875%, 12/20/17 | 200,000 | 220,170 | ||||||
5,582,677 | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.4% | ||||||||
AT&T, Inc., 6.80%, 5/15/36 | 270,000 | 350,871 | ||||||
AT&T, Inc., 6.55%, 2/15/39 | 170,000 | 218,402 | ||||||
British Telecommunications plc, 5.95%, 1/15/18 | 170,000 | 197,555 | ||||||
CenturyLink, Inc., 6.15%, 9/15/19 | 90,000 | 94,589 | ||||||
CenturyLink, Inc., 5.80%, 3/15/22 | 10,000 | 9,893 | ||||||
Cincinnati Bell, Inc., 8.75%, 3/15/18 | 150,000 | 139,875 | ||||||
Deutsche Telekom International Finance BV, 2.25%, 3/6/17(2) | 20,000 | 19,833 | ||||||
France Telecom SA, 4.375%, 7/8/14 | 190,000 | 200,434 | ||||||
Frontier Communications Corp., 6.25%, 1/15/13 | 280,000 | 287,700 | ||||||
Frontier Communications Corp., 7.125%, 3/15/19 | 200,000 | 193,500 | ||||||
Intelsat Jackson Holdings SA, 11.25%, 6/15/16 | 116,000 | 121,365 | ||||||
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 | 250,000 | 250,937 | ||||||
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 125,000 | 124,688 | ||||||
Intelsat Luxembourg SA, 11.25%, 2/4/17 | 250,000 | 246,250 | ||||||
Sprint Capital Corp., 8.75%, 3/15/32 | 580,000 | 491,550 | ||||||
Telecom Italia Capital SA, 4.95%, 9/30/14 | 125,000 | 122,188 | ||||||
Telecom Italia Capital SA, 7.00%, 6/4/18 | 40,000 | 40,050 | ||||||
Telefonica Emisiones SAU, 5.88%, 7/15/19 | 150,000 | 140,317 | ||||||
Telefonica Emisiones SAU, 5.46%, 2/16/21 | 10,000 | 8,952 | ||||||
Virgin Media Finance plc, 9.50%, 8/15/16 | 145,000 | 161,312 | ||||||
Windstream Corp., 7.875%, 11/1/17 | 300,000 | 321,000 | ||||||
3,741,261 | ||||||||
ELECTRIC UTILITIES — 0.1% | ||||||||
AES Corp. (The), 8.00%, 10/15/17 | 460,000 | 512,900 | ||||||
Edison Mission Energy, 7.00%, 5/15/17 | 375,000 | 202,500 | ||||||
715,400 | ||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS AND COMPONENTS† | ||||||||
Jabil Circuit, Inc., 5.625%, 12/15/20 | 225,000 | 236,812 | ||||||
Sanmina-SCI Corp., 7.00%, 5/15/19(2) | 125,000 | 121,563 | ||||||
358,375 | ||||||||
ENERGY EQUIPMENT AND SERVICES — 0.1% | ||||||||
Basic Energy Services, Inc., 7.75%, 2/15/19 | 250,000 | 245,000 | ||||||
Ensco plc, 3.25%, 3/15/16 | 60,000 | 62,967 | ||||||
Noble Holding International Ltd., 3.95%, 3/15/22 | 20,000 | 20,430 | ||||||
Pioneer Drilling Co., 9.875%, 3/15/18 | 125,000 | 131,875 | ||||||
Transocean, Inc., 6.50%, 11/15/20 | 70,000 | 81,210 | ||||||
Transocean, Inc., 6.375%, 12/15/21 | 20,000 | 23,022 | ||||||
Weatherford International Ltd., 9.625%, 3/1/19 | 80,000 | 105,648 | ||||||
670,152 | ||||||||
FOOD AND STAPLES RETAILING — 0.2% | ||||||||
BI-LO LLC/BI-LO Finance Corp., 9.25%, 2/15/19(2) | 120,000 | 127,200 | ||||||
CVS Caremark Corp., 6.60%, 3/15/19 | 190,000 | 240,109 | ||||||
Ingles Markets, Inc., 8.875%, 5/15/17 | 580,000 | 630,750 | ||||||
Kroger Co. (The), 6.40%, 8/15/17 | 120,000 | 145,349 | ||||||
Rite Aid Corp., 7.50%, 3/1/17 | 75,000 | 74,625 | ||||||
Rite Aid Corp., 9.25%, 3/15/20(2) | 125,000 | 120,313 | ||||||
Rite Aid Corp., 9.25%, 3/15/20(2) | 125,000 | 120,313 | ||||||
Safeway, Inc., 4.75%, 12/1/21 | 20,000 | 19,932 | ||||||
SUPERVALU, Inc., 8.00%, 5/1/16 | 205,000 | 205,512 | ||||||
Susser Holdings LLC/Susser Finance Corp., 8.50%, 5/15/16 | 250,000 | 269,687 |
27
Shares/ Principal Amount | Value |
Wal-Mart Stores, Inc., 5.875%, 4/5/27 | $213,000 | $271,563 | ||||||
2,225,353 | ||||||||
FOOD PRODUCTS — 0.2% | ||||||||
Bumble Bee Acquisition Corp., 9.00%, 12/15/17(2) | 95,000 | 94,762 | ||||||
Del Monte Corp., 7.625%, 2/15/19 | 140,000 | 136,500 | ||||||
JBS USA LLC/JBS USA Finance, Inc., 8.25%, 2/1/20(2) | 250,000 | 239,375 | ||||||
Kellogg Co., 4.45%, 5/30/16 | 170,000 | 188,728 | ||||||
Kraft Foods, Inc., 6.125%, 2/1/18 | 70,000 | 83,559 | ||||||
Kraft Foods, Inc., 6.50%, 2/9/40 | 30,000 | 38,466 | ||||||
Kraft Foods, Inc., 5.00%, 6/4/42(2) | 30,000 | 31,380 | ||||||
Mead Johnson Nutrition Co., 3.50%, 11/1/14 | 70,000 | 72,938 | ||||||
Michael Foods Group, Inc., 9.75%, 7/15/18 | 75,000 | 81,563 | ||||||
Post Holdings, Inc., 7.375%, 2/15/22(2) | 250,000 | 255,000 | ||||||
Smithfield Foods, Inc., 7.75%, 7/1/17 | 400,000 | 444,000 | ||||||
1,666,271 | ||||||||
GAS UTILITIES — 0.2% | ||||||||
CenterPoint Energy Resources Corp., 6.25%, 2/1/37 | 220,000 | 276,904 | ||||||
El Paso Corp., 6.875%, 6/15/14 | 125,000 | 134,278 | ||||||
El Paso Corp., 7.25%, 6/1/18 | 225,000 | 256,248 | ||||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 90,000 | 109,856 | ||||||
Enbridge Energy Partners LP, 5.50%, 9/15/40 | 40,000 | 43,831 | ||||||
Enterprise Products Operating LLC, 6.30%, 9/15/17 | 130,000 | 154,866 | ||||||
Enterprise Products Operating LLC, 5.95%, 2/1/41 | 70,000 | 80,985 | ||||||
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 | 160,000 | 194,366 | ||||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 70,000 | 80,779 | ||||||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 86,000 | 104,773 | ||||||
NGPL PipeCo LLC, 7.12%, 12/15/17(2) | 100,000 | 96,000 | ||||||
Plains All American Pipeline LP/PAA Finance Corp., 3.95%, 9/15/15 | 40,000 | 42,959 | ||||||
Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 6/1/22 | 80,000 | 81,207 | ||||||
Rockies Express Pipeline LLC, 3.90%, 4/15/15(2) | 250,000 | 240,000 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/1/22(2) | 200,000 | 200,000 | ||||||
Williams Partners LP, 4.125%, 11/15/20 | 80,000 | 84,556 | ||||||
2,181,608 | ||||||||
HEALTH CARE EQUIPMENT AND SUPPLIES — 0.1% | ||||||||
Alere, Inc., 9.00%, 5/15/16 | 500,000 | 502,500 | ||||||
Biomet, Inc., 10.00%, 10/15/17 | 200,000 | 213,750 | ||||||
Biomet, Inc., 11.625%, 10/15/17 | 75,000 | 79,875 | ||||||
Covidien International Finance SA, 1.875%, 6/15/13 | 120,000 | 122,227 | ||||||
Covidien International Finance SA, 3.20%, 6/15/22 | 50,000 | 50,882 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc., 10.50%, 11/1/18(2) | 125,000 | 126,875 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/1/19(2) | 50,000 | 45,000 | ||||||
1,141,109 | ||||||||
HEALTH CARE PROVIDERS AND SERVICES — 0.4% | ||||||||
Apria Healthcare Group, Inc., 11.25%, 11/1/14 | 125,000 | 128,906 | ||||||
Capella Healthcare, Inc., 9.25%, 7/1/17 | 75,000 | 75,375 | ||||||
CHS/Community Health Systems, Inc., 8.875%, 7/15/15 | 45,000 | 46,209 | ||||||
DaVita, Inc., 6.375%, 11/1/18 | 175,000 | 177,625 | ||||||
DaVita, Inc., 6.625%, 11/1/20 | 580,000 | 590,150 | ||||||
Express Scripts, Inc., 7.25%, 6/15/19 | 240,000 | 303,240 | ||||||
Fresenius Medical Care US Finance II, Inc., 5.625%, 7/31/19(2) | 510,000 | 507,450 | ||||||
HCA Holdings, Inc., 7.75%, 5/15/21 | 250,000 | 258,125 | ||||||
HCA, Inc., 5.75%, 3/15/14 | 125,000 | 129,688 | ||||||
HCA, Inc., 6.50%, 2/15/16 | 200,000 | 211,750 | ||||||
HCA, Inc., 8.50%, 4/15/19 | 125,000 | 138,594 | ||||||
HCA, Inc., 7.875%, 2/15/20 | 250,000 | 275,625 | ||||||
HCA, Inc., 7.50%, 2/15/22 | 375,000 | 393,984 |
28
Shares/ Principal Amount | Value |
Health Management Associates, Inc., 7.375%, 1/15/20(2) | $100,000 | $103,000 | ||||||
Healthsouth Corp., 8.125%, 2/15/20 | 250,000 | 268,125 | ||||||
Tenet Healthcare Corp., 8.875%, 7/1/19 | 600,000 | 670,500 | ||||||
Universal Health Services, Inc., 7.00%, 10/1/18 | 75,000 | 80,625 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/1/19 | 75,000 | 73,875 | ||||||
WellPoint, Inc., 5.80%, 8/15/40 | 40,000 | 47,381 | ||||||
4,480,227 | ||||||||
HOTELS, RESTAURANTS AND LEISURE — 0.5% | ||||||||
Ameristar Casinos, Inc., 7.50%, 4/15/21 | 300,000 | 312,750 | ||||||
Boyd Gaming Corp., 9.125%, 12/1/18 | 155,000 | 159,650 | ||||||
Caesars Entertainment Operating Co., Inc., 11.25%, 6/1/17 | 580,000 | 619,150 | ||||||
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18 | 275,000 | 187,000 | ||||||
Chester Downs & Marina LLC, 9.25%, 2/1/20(2) | 200,000 | 206,500 | ||||||
CityCenter Holdings LLC/CityCenter Finance Corp., 7.625%, 1/15/16 | 150,000 | 156,000 | ||||||
Dave & Buster’s, Inc., 11.00%, 6/1/18 | 375,000 | 405,000 | ||||||
DineEquity, Inc., 9.50%, 10/30/18 | 75,000 | 81,844 | ||||||
Marina District Finance Co., Inc., 9.50%, 10/15/15 | 75,000 | 71,438 | ||||||
McDonald’s Corp., 5.35%, 3/1/18 | 130,000 | 157,285 | ||||||
MGM Resorts International, 6.75%, 9/1/12 | 400,000 | 404,750 | ||||||
MGM Resorts International, 7.625%, 1/15/17 | 125,000 | 127,031 | ||||||
MGM Resorts International, 7.75%, 3/15/22 | 1,000,000 | 1,000,000 | ||||||
Pinnacle Entertainment, Inc., 8.75%, 5/15/20 | 250,000 | 273,125 | ||||||
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 5/15/18 | 250,000 | 292,279 | ||||||
Station Casinos LLC, 3.65%, 6/18/18(2) | 125,000 | 95,000 | ||||||
Universal City Development Partners Ltd/UCDP Finance, Inc., 8.875%, 11/15/15 | 156,000 | 168,196 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.75%, 8/15/20 | 405,000 | 441,956 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.375%, 3/15/22(2) | 125,000 | 121,406 | ||||||
5,280,360 | ||||||||
HOUSEHOLD DURABLES — 0.2% | ||||||||
Beazer Homes USA, Inc., 8.125%, 6/15/16 | 125,000 | 114,688 | ||||||
K Hovnanian Enterprises, Inc., 10.625%, 10/15/16 | 125,000 | 110,625 | ||||||
KB Home, 6.25%, 6/15/15 | 325,000 | 314,437 | ||||||
Lennar Corp., Series B, 5.60%, 5/31/15 | 225,000 | 232,875 | ||||||
Meritage Homes Corp., 7.00%, 4/1/22(2) | 125,000 | 127,188 | ||||||
Standard Pacific Corp., 8.375%, 5/15/18 | 350,000 | 377,562 | ||||||
Taylor Morrison, Inc., 7.75%, 4/15/20(2) | 250,000 | 258,125 | ||||||
Toll Brothers Finance Corp., 6.75%, 11/1/19 | 150,000 | 168,190 | ||||||
1,703,690 | ||||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||||
Central Garden and Pet Co., 8.25%, 3/1/18 | 530,000 | 532,650 | ||||||
Jarden Corp., 6.125%, 11/15/22 | 580,000 | 606,100 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.125%, 4/15/19(2) | 580,000 | 598,850 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 9.875%, 8/15/19(2) | 125,000 | 124,844 | ||||||
Yankee Candle Co., Inc., Series B, 8.50%, 2/15/15 | 6,000 | 6,165 | ||||||
1,868,609 | ||||||||
INDUSTRIAL CONGLOMERATES — 0.1% | ||||||||
Bombardier, Inc., 7.50%, 3/15/18(2) | 225,000 | 246,375 | ||||||
General Electric Co., 5.25%, 12/6/17 | 190,000 | 221,950 | ||||||
Harland Clarke Holdings Corp., 9.50%, 5/15/15 | 320,000 | 284,000 |
29
Shares/ Principal Amount | Value |
Schaeffler Finance BV, 7.75%, 2/15/17(2) | $125,000 | $129,844 | ||||||
SPX Corp., 7.625%, 12/15/14 | 175,000 | 193,812 | ||||||
1,075,981 | ||||||||
INSURANCE — 0.2% | ||||||||
Allstate Corp. (The), 7.45%, 5/16/19 | 30,000 | 38,630 | ||||||
Allstate Corp. (The), 5.20%, 1/15/42 | 50,000 | 55,940 | ||||||
American International Group, Inc., 3.65%, 1/15/14 | 40,000 | 40,769 | ||||||
American International Group, Inc., 5.85%, 1/16/18 | 220,000 | 241,874 | ||||||
Berkshire Hathaway Finance Corp., 4.25%, 1/15/21 | 70,000 | 77,238 | ||||||
CNA Financial Corp., 5.875%, 8/15/20 | 50,000 | 54,862 | ||||||
CNA Financial Corp., 5.75%, 8/15/21 | 30,000 | 32,926 | ||||||
Genworth Financial, Inc., 7.20%, 2/15/21 | 40,000 | 38,394 | ||||||
Genworth Financial, Inc., VRN, 6.15%, 11/15/16 | 200,000 | 115,054 | ||||||
Hartford Financial Services Group, Inc., 4.00%, 3/30/15 | 120,000 | 124,459 | ||||||
Hartford Financial Services Group, Inc., 6.30%, 3/15/18 | 60,000 | 65,958 | ||||||
International Lease Finance Corp., 8.75%, 3/15/17 | 375,000 | 418,125 | ||||||
International Lease Finance Corp., 8.25%, 12/15/20 | 375,000 | 419,062 | ||||||
Liberty Mutual Group, Inc., 5.00%, 6/1/21(2) | 56,000 | 57,863 | ||||||
Liberty Mutual Group, Inc., VRN, 7.00%, 3/15/17(2) | 200,000 | 179,000 | ||||||
Lincoln National Corp., 6.25%, 2/15/20 | 100,000 | 113,740 | ||||||
MetLife, Inc., 6.75%, 6/1/16 | 120,000 | 141,360 | ||||||
Prudential Financial, Inc., 5.375%, 6/21/20 | 30,000 | 33,925 | ||||||
Prudential Financial, Inc., 5.625%, 5/12/41 | 40,000 | 41,778 | ||||||
2,290,957 | ||||||||
INTERNET SOFTWARE AND SERVICES† | ||||||||
Equinix, Inc., 7.00%, 7/15/21 | 75,000 | 80,250 | ||||||
Google, Inc., 2.125%, 5/19/16 | 70,000 | 73,277 | ||||||
153,527 | ||||||||
IT SERVICES — 0.1% | ||||||||
Fidelity National Information Services, Inc., 7.625%, 7/15/17 | 125,000 | 136,719 | ||||||
Fidelity National Information Services, Inc., 5.00%, 3/15/22(2) | 50,000 | 48,813 | ||||||
First Data Corp., 9.875%, 9/24/15 | 405,000 | 403,987 | ||||||
First Data Corp., 7.375%, 6/15/19(2) | 430,000 | 432,150 | ||||||
International Business Machines Corp., 1.95%, 7/22/16 | 230,000 | 238,942 | ||||||
SunGard Data Systems, Inc., 10.25%, 8/15/15 | 200,000 | 206,500 | ||||||
1,467,111 | ||||||||
MACHINERY — 0.1% | ||||||||
Case New Holand, Inc., 7.875%, 12/1/17 | 150,000 | 171,750 | ||||||
Caterpillar Financial Services Corp., MTN, 2.85%, 6/1/22 | 90,000 | 91,452 | ||||||
Deere & Co., 5.375%, 10/16/29 | 120,000 | 153,222 | ||||||
Dematic SA, 8.75%, 5/1/16(2) | 125,000 | 130,000 | ||||||
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21 | 120,000 | 125,100 | ||||||
671,524 | ||||||||
MEDIA — 1.0% | ||||||||
AMC Entertainment, Inc., 9.75%, 12/1/20 | 250,000 | 270,000 | ||||||
Cablevision Systems Corp., 8.625%, 9/15/17 | 250,000 | 274,375 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 7.875%, 4/30/18 | 375,000 | 404,062 | ||||||
Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15(2) | 200,000 | 150,000 | ||||||
Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17(2) | 125,000 | 132,344 | ||||||
Cinemark USA, Inc., 8.625%, 6/15/19 | 150,000 | 163,875 | ||||||
Clear Channel Communications, Inc., 10.75%, 8/1/16 | 275,000 | 180,125 | ||||||
Clear Channel Worldwide Holdings, Inc., 9.25%, 12/15/17 | 100,000 | 108,000 |
30
Shares/ Principal Amount | Value |
Clearwire Communications LLC/Clearwire Finance, Inc., 12.00%, 12/1/15(2) | $430,000 | $377,325 | ||||||
Comcast Corp., 5.90%, 3/15/16 | 243,000 | 280,985 | ||||||
Comcast Corp., 6.50%, 11/15/35 | 50,000 | 62,111 | ||||||
Comcast Corp., 6.40%, 5/15/38 | 80,000 | 98,984 | ||||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/19 | 75,000 | 68,625 | ||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 4.75%, 10/1/14 | 80,000 | 86,233 | ||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 3.55%, 3/15/15 | 130,000 | 137,102 | ||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 5.00%, 3/1/21 | 130,000 | 142,972 | ||||||
Discovery Communications LLC, 5.625%, 8/15/19 | 50,000 | 58,806 | ||||||
DISH DBS Corp., 7.125%, 2/1/16 | 125,000 | 134,375 | ||||||
DISH DBS Corp., 6.75%, 6/1/21 | 630,000 | 653,625 | ||||||
Gray Television, Inc., 10.50%, 6/29/15 | 125,000 | 129,375 | ||||||
Interpublic Group of Cos., Inc. (The), 10.00%, 7/15/17 | 750,000 | 849,375 | ||||||
Lamar Media Corp., 7.875%, 4/15/18 | 200,000 | 216,000 | ||||||
Lamar Media Corp., 5.875%, 2/1/22(2) | 250,000 | 252,812 | ||||||
Mediacom LLC/Mediacom Capital Corp., 9.125%, 8/15/19 | 250,000 | 271,875 | ||||||
Nara Cable Funding Ltd., 8.875%, 12/1/18(2) | 250,000 | 220,000 | ||||||
NBCUniversal Media LLC, 5.15%, 4/30/20 | 60,000 | 69,725 | ||||||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 50,000 | 55,191 | ||||||
News America, Inc., 6.90%, 8/15/39 | 100,000 | 120,722 | ||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875%, 4/15/17 | 225,000 | 236,250 | ||||||
Nielsen Finance LLC/Nielsen Finance Co., 11.50%, 5/1/16 | 81,000 | 91,935 | ||||||
Omnicom Group, Inc., 3.625%, 5/1/22 | 20,000 | 20,400 | ||||||
PAETEC Holding Corp., 8.875%, 6/30/17 | 125,000 | 135,000 | ||||||
Qwest Corp., 7.50%, 10/1/14 | 90,000 | 100,866 | ||||||
RR Donnelley & Sons Co., 8.25%, 3/15/19 | 75,000 | 71,813 | ||||||
Sable International Finance Ltd., 8.75%, 2/1/20(2) | 125,000 | 130,000 | ||||||
Sinclair Television Group, Inc., 8.375%, 10/15/18 | 250,000 | 269,375 | ||||||
Sirius XM Radio, Inc., 8.75%, 4/1/15(2) | 430,000 | 486,975 | ||||||
Time Warner Cable, Inc., 6.75%, 7/1/18 | 125,000 | 151,715 | ||||||
Time Warner, Inc., 3.15%, 7/15/15 | 90,000 | 94,938 | ||||||
Time Warner, Inc., 4.875%, 3/15/20 | 130,000 | 146,840 | ||||||
Time Warner, Inc., 7.70%, 5/1/32 | 130,000 | 173,088 | ||||||
Univision Communications, Inc., 6.875%, 5/15/19(2) | 225,000 | 220,500 | ||||||
UPCB Finance VI Ltd., 6.875%, 1/15/22(2) | 250,000 | 246,875 | ||||||
Valassis Communications, Inc., 6.625%, 2/1/21 | 75,000 | 72,375 | ||||||
Viacom, Inc., 4.375%, 9/15/14 | 80,000 | 85,706 | ||||||
Viacom, Inc., 4.50%, 3/1/21 | 30,000 | 33,570 | ||||||
Videotron Ltee, 5.00%, 7/15/22(2) | 125,000 | 122,500 | ||||||
Visant Corp., 10.00%, 10/1/17 | 75,000 | 71,250 | ||||||
Wind Acquisition Finance SA, 11.75%, 7/15/17(2) | 250,000 | 213,750 | ||||||
Wind Acquisition Finance SA, 7.25%, 2/15/18(2) | 250,000 | 215,000 | ||||||
WMG Acquisition Corp., 9.50%, 6/15/16 | 530,000 | 568,425 | ||||||
9,928,145 | ||||||||
METALS AND MINING — 0.2% | ||||||||
AK Steel Corp., 7.625%, 5/15/20 | 350,000 | 325,500 | ||||||
AngloGold Ashanti Holdings plc, 5.375%, 4/15/20 | 50,000 | 51,482 | ||||||
ArcelorMittal, 5.25%, 8/5/20 | 80,000 | 76,437 | ||||||
Barrick North America Finance LLC, 4.40%, 5/30/21 | 70,000 | 75,634 | ||||||
FMG Resources Pty Ltd., 6.875%, 2/1/18(2) | 580,000 | 572,750 | ||||||
Inmet Mining Corp., 8.75%, 6/1/20(2) | 25,000 | 24,500 | ||||||
Newmont Mining Corp., 6.25%, 10/1/39 | 70,000 | 78,746 | ||||||
Novelis, Inc., 8.375%, 12/15/17 | 300,000 | 318,000 |
31
Shares/ Principal Amount | Value |
Rio Tinto Finance USA Ltd., 3.50%, 11/2/20 | $50,000 | $52,663 | ||||||
Teck Resources Ltd., 3.15%, 1/15/17 | 60,000 | 62,253 | ||||||
Vale Overseas Ltd., 5.625%, 9/15/19 | 170,000 | 188,471 | ||||||
Vale Overseas Ltd., 4.625%, 9/15/20 | 50,000 | 51,826 | ||||||
1,878,262 | ||||||||
MULTI-UTILITIES — 0.4% | ||||||||
Calpine Construction Finance Co. LP/CCFC Finance Corp., 8.00%, 6/1/16(2) | 500,000 | 538,750 | ||||||
Calpine Corp., 7.50%, 2/15/21(2) | 125,000 | 131,250 | ||||||
Carolina Power & Light Co., 5.15%, 4/1/15 | 83,000 | 92,750 | ||||||
Cleveland Electric Illuminating Co. (The), 5.70%, 4/1/17 | 59,000 | 66,419 | ||||||
Consumers Energy Co., 2.85%, 5/15/22 | 20,000 | 20,444 | ||||||
Dominion Resources, Inc., 6.40%, 6/15/18 | 120,000 | 146,886 | ||||||
Dominion Resources, Inc., 4.90%, 8/1/41 | 30,000 | 33,937 | ||||||
Duke Energy Corp., 3.95%, 9/15/14 | 80,000 | 85,131 | ||||||
Edison International, 3.75%, 9/15/17 | 90,000 | 95,358 | ||||||
Energy Future Holdings Corp., 10.875%, 11/1/17 | 35,000 | 28,962 | ||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.00%, 12/1/20 | 489,000 | 529,342 | ||||||
FirstEnergy Solutions Corp., 6.05%, 8/15/21 | 180,000 | 201,596 | ||||||
Florida Power Corp., 6.35%, 9/15/37 | 170,000 | 230,761 | ||||||
GenOn Energy, Inc., 7.625%, 6/15/14 | 400,000 | 404,000 | ||||||
GenOn Energy, Inc., 9.50%, 10/15/18 | 250,000 | 233,750 | ||||||
Georgia Power Co., 4.30%, 3/15/42 | 30,000 | 31,172 | ||||||
Ipalco Enterprises, Inc., 5.00%, 5/1/18 | 250,000 | 247,500 | ||||||
Nisource Finance Corp., 4.45%, 12/1/21 | 40,000 | 42,347 | ||||||
NRG Energy, Inc., 7.625%, 1/15/18 | 75,000 | 75,187 | ||||||
PG&E Corp., 5.75%, 4/1/14 | 40,000 | 43,353 | ||||||
Progress Energy, Inc., 3.15%, 4/1/22 | 40,000 | 40,522 | ||||||
Public Service Company of Colorado, 4.75%, 8/15/41 | 30,000 | 34,871 | ||||||
Sempra Energy, 8.90%, 11/15/13 | 70,000 | 77,651 | ||||||
Sempra Energy, 6.50%, 6/1/16 | 80,000 | 95,305 | ||||||
Southern California Edison Co., 5.625%, 2/1/36 | 49,000 | 62,227 | ||||||
Southern Power Co., 5.15%, 9/15/41 | 20,000 | 22,200 | ||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/1/20(2) | 125,000 | 84,375 | ||||||
3,696,046 | ||||||||
MULTILINE RETAIL† | ||||||||
J.C. Penney Corp., Inc., 7.65%, 8/15/16 | 125,000 | 127,813 | ||||||
Macy’s Retail Holdings, Inc., 5.90%, 12/1/16 | 250,000 | 289,482 | ||||||
417,295 | ||||||||
OFFICE ELECTRONICS† | ||||||||
Xerox Corp., 5.65%, 5/15/13 | 50,000 | 52,015 | ||||||
OIL, GAS AND CONSUMABLE FUELS — 0.7% | ||||||||
Alpha Natural Resources, Inc., 6.00%, 6/1/19 | 155,000 | 139,500 | ||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75%, 5/20/20 | 150,000 | 148,125 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp., 6.25%, 8/20/19 | 125,000 | 123,125 | ||||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 60,000 | 68,119 | ||||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | 60,000 | 70,528 | ||||||
Apache Corp., 4.75%, 4/15/43 | 50,000 | 55,223 | ||||||
Arch Coal, Inc., 8.75%, 8/1/16 | 275,000 | 264,687 | ||||||
Bill Barrett Corp., 9.875%, 7/15/16 | 325,000 | 359,125 | ||||||
Bill Barrett Corp., 7.00%, 10/15/22 | 250,000 | 238,125 | ||||||
BP Capital Markets plc, 3.20%, 3/11/16 | 70,000 | 74,111 | ||||||
BP Capital Markets plc, 2.25%, 11/1/16 | 100,000 | 103,060 | ||||||
BP Capital Markets plc, 4.50%, 10/1/20 | 70,000 | 78,419 |
32
Shares/ Principal Amount | Value |
Chesapeake Energy Corp., 7.625%, 7/15/13 | $125,000 | $130,625 | ||||||
Chesapeake Energy Corp., 9.50%, 2/15/15 | 125,000 | 132,500 | ||||||
Chesapeake Energy Corp., 6.625%, 8/15/20 | 300,000 | 289,500 | ||||||
Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19(2) | 125,000 | 108,750 | ||||||
ConocoPhillips, 5.75%, 2/1/19 | 160,000 | 197,155 | ||||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | 40,000 | 56,185 | ||||||
Consol Energy, Inc., 8.00%, 4/1/17 | 480,000 | 483,600 | ||||||
Continental Resources, Inc., 5.00%, 9/15/22(2) | 50,000 | 49,688 | ||||||
Devon Energy Corp., 1.875%, 5/15/17 | 20,000 | 19,979 | ||||||
Devon Energy Corp., 5.60%, 7/15/41 | 70,000 | 81,417 | ||||||
Encore Acquisition Co., 9.50%, 5/1/16 | 200,000 | 219,000 | ||||||
Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19 | 100,000 | 101,500 | ||||||
EOG Resources, Inc., 5.625%, 6/1/19 | 120,000 | 145,667 | ||||||
Forest Oil Corp., 8.50%, 2/15/14 | 75,000 | 79,125 | ||||||
Hess Corp., 6.00%, 1/15/40 | 70,000 | 79,590 | ||||||
Marathon Petroleum Corp., 3.50%, 3/1/16 | 30,000 | 31,649 | ||||||
Marathon Petroleum Corp., 5.125%, 3/1/21 | 30,000 | 33,391 | ||||||
Nexen, Inc., 5.875%, 3/10/35 | 70,000 | 73,173 | ||||||
Noble Energy, Inc., 4.15%, 12/15/21 | 70,000 | 73,722 | ||||||
Peabody Energy Corp., 6.00%, 11/15/18(2) | 250,000 | 250,625 | ||||||
Peabody Energy Corp., 6.50%, 9/15/20 | 50,000 | 50,625 | ||||||
Pemex Project Funding Master Trust, 6.625%, 6/15/35 | 30,000 | 34,425 | ||||||
Petrobras International Finance Co. - Pifco, 5.75%, 1/20/20 | 140,000 | 153,296 | ||||||
Petrobras International Finance Co. - Pifco, 5.375%, 1/27/21 | 130,000 | 139,482 | ||||||
Petroleos Mexicanos, 6.00%, 3/5/20 | 80,000 | 90,600 | ||||||
Phillips 66, 4.30%, 4/1/22(2) | 30,000 | 31,331 | ||||||
Plains Exploration & Production Co., 6.75%, 2/1/22 | 80,000 | 79,600 | ||||||
Quicksilver Resources, Inc., 8.25%, 8/1/15 | 125,000 | 122,812 | ||||||
Sabine Pass LNG LP, 7.25%, 11/30/13 | 250,000 | 261,875 | ||||||
Sabine Pass LNG LP, 7.50%, 11/30/16 | 525,000 | 557,812 | ||||||
Samson Investment Co., 9.75%, 2/15/20(2) | 125,000 | 124,531 | ||||||
SandRidge Energy, Inc., 8.75%, 1/15/20 | 225,000 | 231,750 | ||||||
Shell International Finance BV, VRN, 0.82%, 6/22/12 | 400,000 | 400,144 | ||||||
Suncor Energy, Inc., 6.10%, 6/1/18 | 110,000 | 131,312 | ||||||
Suncor Energy, Inc., 6.85%, 6/1/39 | 40,000 | 51,165 | ||||||
Talisman Energy, Inc., 7.75%, 6/1/19 | 70,000 | 87,588 | ||||||
Venoco, Inc., 8.875%, 2/15/19 | 140,000 | 129,500 | ||||||
7,036,836 | ||||||||
PAPER AND FOREST PRODUCTS — 0.1% | ||||||||
Georgia-Pacific LLC, 7.70%, 6/15/15 | 475,000 | 551,524 | ||||||
International Paper Co., 4.75%, 2/15/22 | 50,000 | 53,554 | ||||||
International Paper Co., 6.00%, 11/15/41 | 30,000 | 33,223 | ||||||
638,301 | ||||||||
PERSONAL PRODUCTS† | ||||||||
Elizabeth Arden, Inc., 7.375%, 3/15/21 | 145,000 | 158,956 | ||||||
PHARMACEUTICALS — 0.2% | ||||||||
Abbott Laboratories, 5.30%, 5/27/40 | 10,000 | 12,135 | ||||||
AstraZeneca plc, 5.40%, 9/15/12 | 180,000 | 182,418 | ||||||
AstraZeneca plc, 5.90%, 9/15/17 | 180,000 | 215,974 | ||||||
Endo Pharmaceuticals Holdings, Inc., 7.00%, 12/15/20 | 430,000 | 449,350 | ||||||
GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 90,000 | 91,285 | ||||||
Roche Holdings, Inc., 6.00%, 3/1/19(2) | 50,000 | 62,998 | ||||||
Roche Holdings, Inc., 7.00%, 3/1/39(2) | 90,000 | 133,653 |
33
Shares/ Principal Amount | Value |
Sanofi, 4.00%, 3/29/21 | $55,000 | $61,838 | ||||||
Valeant Pharmaceuticals International, 6.50%, 7/15/16(2) | 300,000 | 307,500 | ||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18 | 75,000 | 79,500 | ||||||
Watson Pharmaceuticals, Inc., 5.00%, 8/15/14 | 160,000 | 170,639 | ||||||
1,767,290 | ||||||||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.2% | ||||||||
American Tower Corp., 4.625%, 4/1/15 | 150,000 | 159,375 | ||||||
Boston Properties LP, 3.85%, 2/1/23 | 40,000 | 40,419 | ||||||
Felcor Lodging LP, 6.75%, 6/1/19 | 100,000 | 100,750 | ||||||
HCP, Inc., 3.75%, 2/1/16 | 40,000 | 41,969 | ||||||
Host Hotels & Resorts LP, 6.75%, 6/1/16 | 300,000 | 308,250 | ||||||
MPT Operating Partnership LP/MPT Finance Corp., 6.875%, 5/1/21 | 125,000 | 129,375 | ||||||
Sabra Health Care LP/Sabra Capital Corp., 8.125%, 11/1/18 | 500,000 | 530,000 | ||||||
Simon Property Group LP, 5.10%, 6/15/15 | 120,000 | 131,532 | ||||||
UDR, Inc., 4.25%, 6/1/18 | 70,000 | 74,420 | ||||||
Ventas Realty LP/Ventas Capital Corp., 3.125%, 11/30/15 | 105,000 | 107,634 | ||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/1/21 | 40,000 | 41,910 | ||||||
WEA Finance LLC, 4.625%, 5/10/21(2) | 50,000 | 52,923 | ||||||
1,718,557 | ||||||||
REAL ESTATE MANAGEMENT AND DEVELOPMENT† | ||||||||
CB Richard Ellis Services, Inc., 11.625%, 6/15/17 | 100,000 | 113,500 | ||||||
ProLogis LP, 6.625%, 12/1/19 | 110,000 | 128,333 | ||||||
241,833 | ||||||||
ROAD AND RAIL† | ||||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | 103,000 | 110,000 | ||||||
Burlington Northern Santa Fe LLC, 5.05%, 3/1/41 | 40,000 | 44,622 | ||||||
CSX Corp., 4.25%, 6/1/21 | 10,000 | 11,032 | ||||||
CSX Corp., 4.75%, 5/30/42 | 60,000 | 61,720 | ||||||
Union Pacific Corp., 4.75%, 9/15/41 | 80,000 | 86,294 | ||||||
313,668 | ||||||||
SEMICONDUCTORS AND SEMICONDUCTOR EQUIPMENT — 0.1% | ||||||||
Advanced Micro Devices, Inc., 8.125%, 12/15/17 | 375,000 | 404,062 | ||||||
Freescale Semiconductor, Inc., 9.25%, 4/15/18(2) | 450,000 | 475,875 | ||||||
Freescale Semiconductor, Inc., 8.05%, 2/1/20 | 200,000 | 191,000 | ||||||
1,070,937 | ||||||||
SOFTWARE — 0.1% | ||||||||
Intuit, Inc., 5.75%, 3/15/17 | 303,000 | 350,670 | ||||||
Lawson Software, Inc., 9.375%, 4/1/19(2) | 125,000 | 129,375 | ||||||
Oracle Corp., 6.125%, 7/8/39 | 40,000 | 52,605 | ||||||
Sabre, Inc., 8.50%, 5/15/19(2) | 125,000 | 124,375 | ||||||
657,025 | ||||||||
SPECIALTY RETAIL — 0.3% | ||||||||
Ashtead Capital, Inc., 9.00%, 8/15/16(2) | 350,000 | 365,750 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 3/15/18 | 175,000 | 190,969 | ||||||
Hertz Corp. (The), 6.75%, 4/15/19 | 125,000 | 128,438 | ||||||
Hertz Corp. (The), 7.375%, 1/15/21 | 200,000 | 210,750 | ||||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 50,000 | 64,723 | ||||||
Lowe’s Cos., Inc., 1.625%, 4/15/17 | 40,000 | 40,235 | ||||||
Michaels Stores, Inc., 11.375%, 11/1/16 | 250,000 | 266,877 | ||||||
Petco Animal Supplies, Inc., 9.25%, 12/1/18(2) | 225,000 | 243,000 | ||||||
Rent-A-Center, Inc., 6.625%, 11/15/20 | 300,000 | 316,500 | ||||||
Stewart Enterprises, Inc., 6.50%, 4/15/19 | 65,000 | 66,950 | ||||||
Toys “R” Us Property Co. I LLC, 10.75%, 7/15/17 | 500,000 | 546,250 | ||||||
United Rentals (North America), Inc., 8.375%, 9/15/20 | 250,000 | 256,250 | ||||||
2,696,692 | ||||||||
TEXTILES, APPAREL AND LUXURY GOODS — 0.2% | ||||||||
Burlington Coat Factory Warehouse Corp., 10.00%, 2/15/19 | 75,000 | 77,813 | ||||||
Gap, Inc. (The), 5.95%, 4/12/21 | 70,000 | 72,451 | ||||||
Gymboree Corp., 9.125%, 12/1/18 | 250,000 | 223,125 |
34
Shares/ Principal Amount | Value |
Hanesbrands, Inc., 6.375%, 12/15/20 | $225,000 | $230,906 | ||||||
Ltd. Brands, Inc., 6.625%, 4/1/21 | 300,000 | 323,250 | ||||||
Phillips-Van Heusen Corp., 7.375%, 5/15/20 | 580,000 | 636,550 | ||||||
Polymer Group, Inc., 7.75%, 2/1/19 | 300,000 | 313,500 | ||||||
1,877,595 | ||||||||
TOBACCO† | ||||||||
Philip Morris International, Inc., 4.125%, 5/17/21 | 110,000 | 123,084 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.2% | ||||||||
Alltel Corp., 7.875%, 7/1/32 | 80,000 | 122,762 | ||||||
America Movil SAB de CV, 5.00%, 3/30/20 | 20,000 | 22,469 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC, 8.50%, 11/15/18 | 270,000 | 369,981 | ||||||
Cricket Communications, Inc., 7.75%, 10/15/20 | 580,000 | 532,875 | ||||||
MetroPCS Wireless, Inc., 7.875%, 9/1/18 | 250,000 | 253,750 | ||||||
Nextel Communications, Inc., 7.375%, 8/1/15 | 680,000 | 668,100 | ||||||
Sprint Nextel Corp., 7.00%, 3/1/20(2) | 250,000 | 252,500 | ||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 7.75%, 2/2/21(2) | 120,000 | 112,414 | ||||||
Vodafone Group plc, 5.625%, 2/27/17 | 30,000 | 35,123 | ||||||
2,369,974 | ||||||||
TOTAL CORPORATE BONDS (Cost $88,642,837) | 92,282,489 | |||||||
U.S. Treasury Securities — 5.8% | ||||||||
U.S. Treasury Bonds, 5.50%, 8/15/28 | 50,000 | 73,211 | ||||||
U.S. Treasury Bonds, 4.375%, 11/15/39 | 1,890,000 | 2,570,991 | ||||||
U.S. Treasury Bonds, 4.375%, 5/15/41 | 300,000 | 409,172 | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 6,437,291 | 9,087,646 | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 806,596 | 1,170,698 | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | 838,000 | 1,222,891 | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 304,557 | 327,185 | ||||||
U.S. Treasury Inflation Indexed Notes, 1.875%, 7/15/13 | 7,743,614 | 7,998,913 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/15 | 2,117,020 | 2,211,293 | ||||||
U.S. Treasury Inflation Indexed Notes, 1.375%, 7/15/18 | 8,561,221 | 9,885,539 | ||||||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 4,666,448 | 5,426,206 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 7/15/21 | 2,391,783 | 2,687,953 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/22 | 1,064,186 | 1,135,187 | ||||||
U.S. Treasury Notes, 0.75%, 8/15/13 | 700,000 | 704,484 | ||||||
U.S. Treasury Notes, 1.25%, 3/15/14 | 1,120,000 | 1,139,775 | ||||||
U.S. Treasury Notes, 2.375%, 8/31/14 | 2,500,000 | 2,616,015 | ||||||
U.S. Treasury Notes, 2.625%, 12/31/14 | 1,000,000 | 1,059,219 | ||||||
U.S. Treasury Notes, 1.25%, 9/30/15 | 500,000 | 513,672 | ||||||
U.S. Treasury Notes, 2.125%, 12/31/15 | 1,100,000 | 1,165,227 | ||||||
U.S. Treasury Notes, 0.875%, 2/28/17 | 600,000 | 607,218 | ||||||
U.S. Treasury Notes, 2.375%, 7/31/17 | 700,000 | 758,570 | ||||||
U.S. Treasury Notes, 1.875%, 10/31/17 | 650,000 | 688,137 | ||||||
U.S. Treasury Notes, 2.625%, 4/30/18 | 100,000 | 110,391 | ||||||
U.S. Treasury Notes, 2.125%, 8/15/21 | 2,000,000 | 2,115,938 | ||||||
U.S. Treasury Notes, 2.00%, 2/15/22 | 2,200,000 | 2,291,438 | ||||||
TOTAL U.S. TREASURY SECURITIES (Cost $51,617,863) | 57,976,969 |
35
Shares/ Principal Amount | Value |
U.S. Government Agency Mortgage-Backed Securities(4) — 3.2% | ||||||||
FIXED-RATE U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 3.0% | ||||||||
FHLMC, 6.50%, 12/1/12 | $66 | $67 | ||||||
FHLMC, 7.00%, 6/1/14 | 5,121 | 5,414 | ||||||
FHLMC, 4.50%, 1/1/19 | 260,042 | 278,554 | ||||||
FHLMC, 5.00%, 1/1/21 | 265,279 | 288,015 | ||||||
FHLMC, 5.00%, 4/1/21 | 429,207 | 462,772 | ||||||
FHLMC, 7.00%, 8/1/29 | 2,710 | 3,260 | ||||||
FHLMC, 8.00%, 7/1/30 | 17,876 | 22,232 | ||||||
FHLMC, 5.50%, 12/1/33 | 176,341 | 195,279 | ||||||
FHLMC, 6.00%, 11/1/38 | 2,066,540 | 2,276,854 | ||||||
FHLMC, 6.50%, 7/1/47 | 29,836 | 33,358 | ||||||
FNMA, 6.00%, 4/1/14 | 7,800 | 8,307 | ||||||
FNMA, 7.50%, 6/1/15 | 1,638 | 1,659 | ||||||
FNMA, 5.50%, 12/1/16 | 47,337 | 51,491 | ||||||
FNMA, 4.50%, 5/1/19 | 149,674 | 160,958 | ||||||
FNMA, 4.50%, 5/1/19 | 178,135 | 191,564 | ||||||
FNMA, 5.00%, 9/1/20 | 136,110 | 147,669 | ||||||
FNMA, 7.00%, 6/1/26 | 885 | 1,054 | ||||||
FNMA, 7.50%, 3/1/27 | 14,259 | 17,206 | ||||||
FNMA, 7.00%, 1/1/29 | 7,530 | 9,039 | ||||||
FNMA, 6.50%, 4/1/29 | 22,979 | 26,420 | ||||||
FNMA, 6.50%, 8/1/29 | 16,975 | 19,517 | ||||||
FNMA, 6.50%, 12/1/29 | 36,872 | 42,394 | ||||||
FNMA, 7.00%, 3/1/30 | 9,422 | 11,326 | ||||||
FNMA, 8.00%, 7/1/30 | 12,374 | 13,820 | ||||||
FNMA, 7.50%, 9/1/30 | 4,781 | 5,862 | ||||||
FNMA, 5.00%, 7/1/31 | 18,531 | 20,116 | ||||||
FNMA, 7.00%, 9/1/31 | 20,102 | 23,962 | ||||||
FNMA, 6.50%, 1/1/32 | 13,974 | 15,997 | ||||||
FNMA, 7.00%, 6/1/32 | 91,164 | 108,133 | ||||||
FNMA, 6.50%, 8/1/32 | 17,415 | 19,935 | ||||||
FNMA, 6.50%, 11/1/32 | 143,290 | 164,030 | ||||||
FNMA, 5.50%, 6/1/33 | 86,414 | 95,088 | ||||||
FNMA, 5.50%, 8/1/33 | 93,849 | 103,124 | ||||||
FNMA, 5.00%, 11/1/33 | 914,589 | 992,681 | ||||||
FNMA, 4.50%, 9/1/35 | 676,143 | 726,375 | ||||||
FNMA, 5.00%, 1/1/36 | 3,747,729 | 4,063,046 | ||||||
FNMA, 5.00%, 2/1/36 | 857,027 | 929,133 | ||||||
FNMA, 5.50%, 1/1/37 | 684,528 | 750,464 | ||||||
FNMA, 5.50%, 2/1/37 | 411,572 | 449,415 | ||||||
FNMA, 6.50%, 8/1/37 | 339,689 | 380,628 | ||||||
FNMA, 4.50%, 2/1/39 | 1,119,355 | 1,201,814 | ||||||
FNMA, 4.00%, 1/1/41 | 2,120,660 | 2,297,338 | ||||||
FNMA, 4.50%, 1/1/41 | 1,138,716 | 1,237,903 | ||||||
FNMA, 4.50%, 2/1/41 | 1,208,338 | 1,301,129 | ||||||
FNMA, 4.00%, 5/1/41 | 1,097,278 | 1,170,007 | ||||||
FNMA, 4.50%, 7/1/41 | 1,355,646 | 1,477,118 | ||||||
FNMA, 4.00%, 12/1/41 | 732,306 | 790,455 | ||||||
FNMA, 4.00%, 1/1/42 | 484,495 | 516,759 | ||||||
FNMA, 6.50%, 6/1/47 | 42,075 | 46,896 | ||||||
FNMA, 6.50%, 8/1/47 | 88,165 | 98,267 | ||||||
FNMA, 6.50%, 8/1/47 | 144,145 | 160,662 | ||||||
FNMA, 6.50%, 9/1/47 | 190,952 | 212,832 | ||||||
FNMA, 6.50%, 9/1/47 | 9,077 | 10,117 | ||||||
FNMA, 6.50%, 9/1/47 | 88,931 | 99,121 | ||||||
FNMA, 6.50%, 9/1/47 | 49,543 | 55,220 | ||||||
FNMA, 6.50%, 9/1/47 | 68,038 | 75,834 | ||||||
GNMA, 7.50%, 10/15/25 | 2,693 | 3,113 | ||||||
GNMA, 6.00%, 3/15/26 | 30,981 | 35,082 | ||||||
GNMA, 7.00%, 12/15/27 | 5,503 | 6,538 | ||||||
GNMA, 6.50%, 2/15/28 | 3,438 | 3,973 | ||||||
GNMA, 7.00%, 8/15/29 | 1,961 | 2,355 | ||||||
GNMA, 7.50%, 5/15/30 | 3,539 | 3,753 | ||||||
GNMA, 7.00%, 5/15/31 | 31,433 | 37,140 | ||||||
GNMA, 5.50%, 11/15/32 | 93,746 | 104,908 | ||||||
GNMA, 6.50%, 10/15/38 | 1,514,407 | 1,751,979 | ||||||
GNMA, 4.00%, 1/20/41 | 2,230,643 | 2,443,134 | ||||||
GNMA, 4.50%, 5/20/41 | 1,278,445 | 1,412,614 | ||||||
GNMA, 4.50%, 6/15/41 | 868,434 | 966,856 | ||||||
30,639,135 | ||||||||
ADJUSTABLE-RATE U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 0.2% | ||||||||
FHLMC, VRN, 2.59%, 6/15/12 | 159,554 | 166,561 | ||||||
FHLMC, VRN, 2.90%, 6/15/12 | 49,930 | 52,240 | ||||||
FHLMC, VRN, 3.30%, 6/15/12 | 143,633 | 150,948 | ||||||
FHLMC, VRN, 4.03%, 6/15/12 | 325,724 | 345,396 | ||||||
FHLMC, VRN, 6.10%, 6/15/12 | 145,500 | 157,972 | ||||||
FNMA, VRN, 2.73%, 6/25/12 | 224,528 | 233,214 | ||||||
FNMA, VRN, 3.35%, 6/25/12 | 186,781 | 196,653 | ||||||
FNMA, VRN, 3.37%, 6/25/12 | 181,753 | 191,212 | ||||||
FNMA, VRN, 3.90%, 6/25/12 | 210,663 | 223,031 | ||||||
FNMA, VRN, 3.91%, 6/25/12 | 170,561 | 180,737 | ||||||
FNMA, VRN, 3.97%, 6/25/12 | 104,298 | 110,786 | ||||||
2,008,750 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $30,404,202) | 32,647,885 |
36
Shares/ Principal Amount | Value |
Municipal Securities — 0.6% | ||||||||
Alameda County Industrial Development Authority Rev., Series 1997 A, (Plyproperties Project), VRDN, 0.26%, 6/7/12 (LOC: Wells Fargo Bank N.A.) | $450,000 | $450,000 | ||||||
American Municipal Power-Ohio, Inc., Rev., (Building Bonds), 5.94%, 2/15/47 | 60,000 | 75,701 | ||||||
American Municipal Power-Ohio, Inc., Rev., (Building Bonds), 7.50%, 2/15/50 | 50,000 | 70,124 | ||||||
Bay Area Toll Authority Toll Bridge Rev., Series 2010 S1, (Building Bonds), 6.92%, 4/1/40 | 95,000 | 131,665 | ||||||
California GO, (Building Bonds), 6.65%, 3/1/22 | 60,000 | 73,875 | ||||||
California GO, (Building Bonds), 7.30%, 10/1/39 | 45,000 | 57,138 | ||||||
California GO, (Building Bonds), 7.60%, 11/1/40 | 20,000 | 26,354 | ||||||
City of Lowell, AR Rev., (Little Rock Newspapers), VRDN, 0.24%, 6/6/12 (LOC: JP Morgan Chase Bank N.A.) | 450,000 | 450,000 | ||||||
Illinois GO, 5.88%, 3/1/19 | 145,000 | 162,288 | ||||||
Illinois GO, (Taxable Pension), 5.10%, 6/1/33 | 210,000 | 199,414 | ||||||
Illinois GO, Series 2010-3, (Building Bonds), 6.73%, 4/1/35 | 40,000 | 44,144 | ||||||
Iowa Higher Education Loan Authority Rev., (Des Moines University Osteopathic Medical Center), VRDN, 0.22%, 6/1/12 (LOC: U.S. Bank NA) | 400,000 | 400,000 | ||||||
Kansas State Department of Transportation Highway Rev., Series 2010A, (Building Bonds), 4.60%, 9/1/35 | 50,000 | 58,395 | ||||||
Los Angeles Community College District GO, Series 2010 D, (Election of 2008), 6.68%, 8/1/36 | 140,000 | 190,803 | ||||||
Los Angeles Department of Water & Power Rev., (Building Bonds), 5.72%, 7/1/39 | 35,000 | 44,265 | ||||||
Metropolitan Transportation Authority Rev., Series 2010 C1, (Building Bonds), 6.69%, 11/15/40 | 75,000 | 96,976 | ||||||
Metropolitan Transportation Authority Rev., Series 2010 E, (Building Bonds), 6.81%, 11/15/40 | 40,000 | 52,506 | ||||||
New Jersey State Turnpike Authority Rev., Series 2009 F, (Building Bonds), 7.41%, 1/1/40 | 70,000 | 103,363 | ||||||
New Jersey State Turnpike Authority Rev., Series 2010 A, (Building Bonds), 7.10%, 1/1/41 | 30,000 | 42,796 | ||||||
New York GO, Series 2010 F1, (Building Bonds), 6.27%, 12/1/37 | 60,000 | 82,613 | ||||||
New York State Housing Finance Agency Rev., Series 2012 A2, (West 30th Street Housing), VRDN, 0.18%, 6/6/12 (LOC: Wells Fargo Bank N.A.) | 450,000 | 450,000 | ||||||
Ohio Water Development Authority Pollution Control Rev., Series 2010 B2, (Building Bonds), 4.88%, 12/1/34 | 80,000 | 92,911 | ||||||
Orange County Housing Finance Authority Multifamily Rev., Series 2002 B, (Millenia), VRDN, 0.26%, 6/6/12 (LOC: FNMA) | 270,000 | 270,000 | ||||||
Oregon State Department of Transportation Highway User Tax Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 50,000 | 66,637 | ||||||
Rutgers State University Rev., Series 2010 H, (Building Bonds), 5.67%, 5/1/40 | 135,000 | 178,932 | ||||||
Sacramento Municipal Utility District Electric Rev., Series 2010 W, (Building Bonds), 6.16%, 5/15/36 | 140,000 | 174,012 | ||||||
Salt River Agricultural Improvement & Power District Electric Rev., Series 2010 A, (Building Bonds), 4.84%, 1/1/41 | 70,000 | 87,284 |
37
Shares/ Principal Amount | Value |
San Francisco City & County Public Utilities Water Commission Rev., Series 2010 B, (Building Bonds), 6.00%, 11/1/40 | $100,000 | $123,730 | ||||||
Santa Clara Valley Transportation Authority Sales Tax Rev., Series 2010 A, (Building Bonds), 5.88%, 4/1/32 | 85,000 | 105,022 | ||||||
State of Ohio Rev., Series 2012 B, 0.60%, 5/30/13 | 385,000 | 385,015 | ||||||
Utah Housing Corp. Multifamily Housing Rev., Series 2004 B, (Tanglewood), VRDN, 0.22%, 6/6/12 (LOC: Citibank N.A.) | 400,000 | 400,000 | ||||||
Washington GO, Series 2010 F, (Building Bonds), 5.14%, 8/1/40 | 120,000 | 150,312 | ||||||
Wisconsin Health & Educational Facilities Authority Rev., (Benevolent Corporation Cedar Community), VRDN, 0.21%, 6/7/12 (LOC: JP Morgan Chase Bank N.A.) | 450,000 | 450,000 | ||||||
Wisconsin Health & Educational Facilities Authority Rev., (Milwaukee Institute of Art & Design), VRDN, 0.20%, 6/6/12 (LOC: Citibank N.A.) | 450,000 | 450,000 | ||||||
TOTAL MUNICIPAL SECURITIES (Cost $5,717,319) | 6,196,275 | |||||||
Commercial Mortgage-Backed Securities(4) — 0.6% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2004-6, Class A3 SEQ, 4.51%, 12/10/42 | 243,183 | 245,482 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, VRN, 5.12%, 6/1/12 | 200,000 | 222,876 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class AM, VRN, 5.18%, 6/1/12 | 175,000 | 185,632 | ||||||
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A2 SEQ, 2.16%, 10/15/21 | 130,000 | 133,987 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2004-LB3A, Class A4 SEQ, VRN, 5.23%, 6/1/12 | 115,282 | 118,185 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C2, Class A2, VRN, 5.42%, 6/1/12 | 300,000 | 317,762 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2007-TF2A, Class A1, VRN, 0.42%, 6/15/12(2) | 186,893 | 168,492 | ||||||
GE Capital Commercial Mortgage Corp., Series 2005-C3, Class A5, VRN, 4.98%, 6/1/12 | 150,000 | 149,878 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A4, VRN, 4.80%, 6/1/12 | 250,000 | 269,543 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VRN, 4.86%, 6/1/12 | 100,000 | 101,681 | ||||||
GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6 SEQ, VRN, 5.40%, 6/1/12 | 375,000 | 402,511 | ||||||
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4 SEQ, 4.76%, 7/10/39 | 340,000 | 363,306 | ||||||
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A SEQ, 4.75%, 7/10/39 | 600,000 | 648,611 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A4 SEQ, 4.57%, 1/15/31 | 225,000 | 236,104 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4 SEQ, 4.37%, 3/15/36 | 400,000 | 418,608 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C4, Class A4, VRN, 5.27%, 6/11/12 | 200,000 | 213,062 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class AJ, VRN, 4.86%, 6/11/12 | 75,000 | 77,778 |
38
Shares/ Principal Amount | Value |
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AJ SEQ, 4.84%, 7/15/40 | $100,000 | $97,877 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class AM, VRN, 5.02%, 6/11/12 | 250,000 | 266,792 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM SEQ, VRN, 5.26%, 6/11/12 | 325,000 | 349,913 | ||||||
Morgan Stanley Capital I, Series 2005-HQ6, Class A2A SEQ, 4.88%, 8/13/42 | 25,759 | 25,844 | ||||||
Morgan Stanley Capital I, Series 2005-T17, Class A5 SEQ, 4.78%, 12/13/41 | 300,000 | 320,917 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A3 SEQ, 4.50%, 10/15/41 | 44,178 | 44,618 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A4 SEQ, 4.80%, 10/15/41 | 450,000 | 477,635 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A6A, VRN, 5.11%, 6/1/12 | 24,754 | 24,810 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $5,764,746) | 5,881,904 | |||||||
Commercial Paper(5) — 0.4% | ||||||||
BP Capital Markets plc, 0.34%, 6/29/12(2) | 450,000 | 449,960 | ||||||
Catholic Health Initiatives, 0.30%, 6/1/12 | 400,000 | 400,000 | ||||||
Charta LLC, 0.50%, 7/16/12(2) | 450,000 | 449,825 | ||||||
Chicago, IL, 0.33%, 8/8/12 | 400,000 | 399,760 | ||||||
CRC Funding LLC, 0.48%, 7/16/12(2) | 450,000 | 449,825 | ||||||
Crown Point Capital Co. LLC, 0.30%, 6/4/12(2) | 450,000 | 449,988 | ||||||
Govco LLC, 0.51%, 7/16/12(2) | 450,000 | 449,844 | ||||||
Legacy Capital Co., 0.30%, 6/8/12(2) | 450,000 | 449,976 | ||||||
Lexington Parker Capital, 0.30%, 6/8/12(2) | 450,000 | 449,970 | ||||||
Toyota Motor Credit Corp., 0.28%, 6/15/12 | 450,000 | 449,982 | ||||||
TOTAL COMMERCIAL PAPER (Cost $4,398,709) | 4,399,130 | |||||||
Collateralized Mortgage Obligations(4) — 0.4% | ||||||||
PRIVATE SPONSOR COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | ||||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 140,732 | 145,688 | ||||||
Banc of America Alternative Loan Trust, Series 2007-2, Class 2A4, 5.75%, 6/25/37 | 331,931 | 241,487 | ||||||
Banc of America Mortgage Securities, Inc., Series 2004-7, Class 7A1, 5.00%, 8/25/19 | 131,271 | 134,783 | ||||||
Chase Mortgage Finance Corp., Series 2006-S4, Class A3, 6.00%, 12/25/36 | 94,886 | 93,643 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 5.33%, 6/1/12 | 192,301 | 183,399 | ||||||
MASTR Asset Securitization Trust, Series 2003-10, Class 3A1, 5.50%, 11/25/33 | 148,270 | 155,880 | ||||||
PHHMC Mortgage Pass-Through Certificates, Series 2007-6, Class A1, VRN, 6.00%, 6/1/12 | 193,146 | 201,594 | ||||||
Sequoia Mortgage Trust, Series 2012-1, Class 1A1, VRN, 2.87%, 6/1/12 | 193,449 | 195,913 | ||||||
Wamu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 198,673 | 209,611 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-1, Class A10, 5.50%, 2/25/34 | 209,391 | 220,584 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-17, Class 1A1, 5.50%, 1/25/36 | 236,359 | 234,427 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-2, Class 1A1 SEQ, 5.50%, 4/25/35 | 62,251 | 62,267 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-5, Class 1A1, 5.00%, 5/25/20 | 93,791 | 95,228 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR14, Class A1, VRN, 5.34%, 6/1/12 | 143,565 | 145,061 |
39
Shares/ Principal Amount | Value |
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 4A6, VRN, 2.67%, 6/1/12 | $7,876 | $7,854 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4 SEQ, 6.00%, 8/25/36 | 273,847 | 272,097 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-13, Class A1, 6.00%, 9/25/37 | 145,378 | 145,342 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR10, Class 1A1, VRN, 6.09%, 6/1/12 | 212,196 | 214,440 | ||||||
2,959,298 | ||||||||
U.S. GOVERNMENT AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | ||||||||
FHLMC, Series 2926, Class EW SEQ, 5.00%, 1/15/25 | 757,240 | 843,303 | ||||||
FNMA, Series 2003-52, Class KF SEQ, VRN, 0.64%, 6/25/12 | 12,320 | 12,328 | ||||||
855,631 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,777,272) | 3,814,929 | |||||||
Sovereign Governments and Agencies — 0.2% | ||||||||
BRAZIL — 0.1% | ||||||||
Brazilian Government International Bond, 5.875%, 1/15/19 | 390,000 | 467,415 | ||||||
Brazilian Government International Bond, 5.625%, 1/7/41 | 80,000 | 93,800 | ||||||
561,215 | ||||||||
CANADA† | ||||||||
Hydro-Quebec, 8.40%, 1/15/22 | 37,000 | 54,921 | ||||||
Province of Ontario Canada, 5.45%, 4/27/16 | 100,000 | 116,489 | ||||||
Province of Ontario Canada, 1.60%, 9/21/16 | 60,000 | 61,163 | ||||||
232,573 | ||||||||
COLOMBIA† | ||||||||
Republic of Colombia, 4.375%, 7/12/21 | 50,000 | 54,800 | ||||||
ITALY† | ||||||||
Republic of Italy, 6.875%, 9/27/23 | 40,000 | 41,312 | ||||||
MEXICO — 0.1% | ||||||||
United Mexican States, 5.625%, 1/15/17 | 70,000 | 80,500 | ||||||
United Mexican States, 5.95%, 3/19/19 | 200,000 | 240,000 | ||||||
United Mexican States, 5.125%, 1/15/20 | 70,000 | 80,290 | ||||||
United Mexican States, 6.05%, 1/11/40 | 110,000 | 134,475 | ||||||
535,265 | ||||||||
PERU† | ||||||||
Republic of Peru, 6.55%, 3/14/37 | 40,000 | 52,200 | ||||||
Republic of Peru, 5.625%, 11/18/50 | 60,000 | 69,300 | ||||||
121,500 | ||||||||
POLAND† | ||||||||
Republic of Poland, 5.125%, 4/21/21 | 70,000 | 74,291 | ||||||
SOUTH KOREA† | ||||||||
Export-Import Bank of Korea, 3.75%, 10/20/16 | 100,000 | 104,753 | ||||||
Korea Development Bank, 3.25%, 3/9/16 | 80,000 | 81,783 | ||||||
Korea Development Bank, 4.00%, 9/9/16 | 70,000 | 73,953 | ||||||
260,489 | ||||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $1,694,868) | 1,881,445 | |||||||
U.S. Government Agency Securities — 0.2% | ||||||||
FIXED-RATE U.S. GOVERNMENT AGENCY SECURITIES — 0.1% | ||||||||
FHLB, Series 1, 1.00%, 6/21/17 | 100,000 | 100,343 | ||||||
FHLMC, 1.25%, 5/12/17 | 600,000 | 608,901 | ||||||
FHLMC, 1.75%, 5/30/19 | 120,000 | 123,242 | ||||||
FHLMC, 2.375%, 1/13/22 | 80,000 | 82,576 | ||||||
915,062 | ||||||||
GOVERNMENT-BACKED CORPORATE BONDS(6) — 0.1% | ||||||||
Morgan Stanley, VRN, 0.82%, 6/20/12 | 700,000 | 700,215 | ||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $1,595,805) | 1,615,277 |
40
Shares | Value | |||||||
Exchange-Traded Funds — 0.1% | ||||||||
Global X FTSE Colombia 20 ETF | 15,404 | $320,095 | ||||||
iShares Russell 1000 Growth Index Fund | 5,250 | 324,398 | ||||||
iShares Russell 2000 Index Fund | 260 | 19,786 | ||||||
iShares Russell 2000 Value Index Fund | 3,320 | 224,067 | ||||||
iShares Russell Midcap Value Index Fund | 6,430 | 288,771 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,159,646) | 1,177,117 | |||||||
Convertible Preferred Stocks† | ||||||||
INSURANCE† | ||||||||
Aspen Insurance Holdings Ltd., Series AHL, 5.625% | 2,702 | 147,394 | ||||||
LEISURE EQUIPMENT AND PRODUCTS† | ||||||||
Callaway Golf Co., Series B, 7.50% | 246 | 23,708 | ||||||
MEDIA† | ||||||||
LodgeNet Interactive Corp., 10.00%(2) | 18 | 10,935 | ||||||
TOBACCO† | ||||||||
Universal Corp., 6.75% | 33 | 34,494 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $242,361) | 216,531 | |||||||
Preferred Stocks† | ||||||||
DIVERSIFIED FINANCIAL SERVICES† | ||||||||
Ally Financial, Inc., 7.00%(2) | 131 | $112,332 | ||||||
REAL ESTATE INVESTMENT TRUSTS (REITs)† | ||||||||
DuPont Fabros Technology, Inc., Series A, 7.875% | 827 | 21,370 | ||||||
Inland Real Estate Corp., Series A, 8.125% | 591 | 14,982 | ||||||
PS Business Parks, Inc., 6.45% | 619 | 16,391 | ||||||
52,743 | ||||||||
TOTAL PREFERRED STOCKS (Cost $177,887) | 165,075 | |||||||
Temporary Cash Investments — 1.6% | ||||||||
SSgA U.S. Government Money Market Fund (Cost $15,634,442) | 15,634,442 | 15,634,442 | ||||||
TOTAL INVESTMENT SECURITIES — 99.9% (Cost $869,585,690) | 1,005,747,415 | |||||||
OTHER ASSETS AND LIABILITIES — 0.1% | 1,225,411 | |||||||
TOTAL NET ASSETS — 100.0% | $1,006,972,826 |
Forward Foreign Currency Exchange Contracts | ||||||||||
Contracts to Sell | Counterparty | Settlement Date | Value | Unrealized Gain (Loss) | ||||||
1,356,403 | CAD for USD | UBS AG | 6/29/12 | $1,312,462 | $4,268 | |||||
35,013 | CAD for USD | UBS AG | 6/29/12 | 33,879 | 60 | |||||
15,905 | CHF for USD | Credit Suisse AG | 6/29/12 | 16,381 | 5 | |||||
16,042 | EUR for USD | UBS AG | 6/29/12 | 19,839 | 13 | |||||
378,096 | EUR for USD | UBS AG | 6/29/12 | 467,567 | 5,619 | |||||
221,116 | EUR for USD | UBS AG | 6/29/12 | 273,440 | 3,286 | |||||
597,865 | EUR for USD | UBS AG | 6/29/12 | 739,342 | 8,886 | |||||
30,748 | EUR for USD | UBS AG | 6/29/12 | 38,024 | 96 | |||||
929,097 | GBP for USD | Credit Suisse AG | 6/29/12 | 1,431,767 | 21,972 | |||||
$4,332,701 | $44,205 | |||||||||
(Value on Settlement Date $4,376,906) |
41
Credit Default Swap Agreements | |||||||
Counterparty/Reference Entity | Notional Amount | Buy/Sell Protection | Interest Rate | Termination Date | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Value |
Bank of America N.A./CDX North America Investment Grade 16 Index | $3,500,000 | Buy | 1.00% | 6/20/16 | $(3,963) | $9,597 | $5,634 |
Notes to Schedule of Investments
ADR = American Depositary Receipt
CAD = Canadian Dollar
CBOE = Chicago Board Options Exchange
CDX = Credit Derivatives Indexes
CHF = Swiss Franc
ETF = Exchange-Traded Fund
EUR = Euro
FDIC = Federal Deposit Insurance Corporation
FHLB = Federal Home Loan Bank
FHLMC = Federal Home Loan Mortgage Corporation
FNMA = Federal National Mortgage Association
FTSE = Financial Times Stock Exchange
GBP = British Pound
GDR = Global Depositary Receipt
GNMA = Government National Mortgage Association
GO = General Obligation
LB-UBS = Lehman Brothers, Inc. - UBS AG
LOC = Letter of Credit
MASTR = Mortgage Asset Securitization Transactions, Inc.
MTN = Medium Term Note
NVDR = Non-Voting Depositary Receipt
OJSC = Open Joint Stock Company
PHHMC = PHH Mortgage Corporation
PIK = Payment in Kind
SEQ = Sequential Payer
USD = United States Dollar
VRDN = Variable Rate Demand Note. Interest reset date is indicated. Rate shown is effective at the period end.
VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end.
† | Category is less than 0.05% of total net assets. |
(1) | Non-income producing. |
(2) | Security was purchased under Rule 144A or Section 4(2) of the Securities Act of 1933 or is a private placement and, unless registered under the Act or exempted from registration, may only be sold to qualified institutional investors. The aggregate value of these securities at the period end was $20,563,043, which represented 2.0% of total net assets. |
(3) | When-issued security. |
(4) | Final maturity date indicated, unless otherwise noted. |
(5) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
(6) | The debt is guaranteed under the FDIC Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or December 31, 2012. |
See Notes to Financial Statements.
42
MAY 31, 2012 (UNAUDITED) | ||||
Assets | ||||
Investment securities, at value (cost of $869,585,690) | $1,005,747,415 | |||
Foreign currency holdings, at value (cost of $197,587) | 195,729 | |||
Receivable for investments sold | 5,693,987 | |||
Receivable for capital shares sold | 374,020 | |||
Unrealized gain on forward foreign currency exchange contracts | 44,205 | |||
Swap agreements, at value (including net premiums paid (received) of $(3,963)) | 5,634 | |||
Dividends and interest receivable | 4,168,307 | |||
Other assets | 28,725 | |||
1,016,258,022 | ||||
Liabilities | ||||
Disbursements in excess of demand deposit cash | 60,726 | |||
Payable for investments purchased | 6,279,980 | |||
Payable for capital shares redeemed | 1,774,974 | |||
Accrued management fees | 1,022,140 | |||
Distribution and service fees payable | 138,565 | |||
Accrued foreign taxes | 8,811 | |||
9,285,196 | ||||
Net Assets | $1,006,972,826 | |||
Net Assets Consist of: | ||||
Capital (par value and paid-in surplus) | $876,685,048 | |||
Undistributed net investment income | 6,231,021 | |||
Accumulated net realized loss | (12,161,925 | ) | ||
Net unrealized appreciation | 136,218,682 | |||
$1,006,972,826 |
Net assets | Shares outstanding | Net asset value per share | |
Investor Class, $0.01 Par Value | $415,478,325 | 54,260,317 | $7.66 |
Institutional Class, $0.01 Par Value | $173,588,647 | 22,781,556 | $7.62 |
A Class, $0.01 Par Value | $332,762,510 | 43,208,620 | $7.70* |
B Class, $0.01 Par Value | $10,096,558 | 1,315,020 | $7.68 |
C Class, $0.01 Par Value | $55,832,867 | 7,288,910 | $7.66 |
R Class, $0.01 Par Value | $19,213,919 | 2,489,570 | $7.72 |
*Maximum offering price $8.17 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
43
FOR THE SIX MONTHS ENDED MAY 31, 2012 (UNAUDITED) | ||||
Investment Income (Loss) | ||||
Income: | ||||
Dividends (net of foreign taxes withheld of $339,394) | $8,702,372 | |||
Interest | 4,650,959 | |||
13,353,331 | ||||
Expenses: | ||||
Management fees | 6,065,974 | |||
Distribution and service fees: | ||||
A Class | 435,172 | |||
B Class | 55,046 | |||
C Class | 286,829 | |||
R Class | 47,249 | |||
Directors’ fees and expenses | 26,042 | |||
Other expenses | 3,583 | |||
6,919,895 | ||||
Net investment income (loss) | 6,433,436 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 28,110,420 | |||
Futures contract transactions | 60,814 | |||
Swap agreement transactions | (16,814 | ) | ||
Foreign currency transactions | (112,264 | ) | ||
28,042,156 | ||||
Change in net unrealized appreciation (depreciation) on: | ||||
Investments (includes (increase) decrease in accrued foreign taxes of $(8,811)) | 5,838,696 | |||
Futures contracts | (3,672 | ) | ||
Swap agreements | (27,415 | ) | ||
Translation of assets and liabilities in foreign currencies | 112,776 | |||
5,920,385 | ||||
Net realized and unrealized gain (loss) | 33,962,541 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $40,395,977 |
See Notes to Financial Statements.
44
SIX MONTHS ENDED MAY 31, 2012 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2011 | ||||||||
Increase (Decrease) in Net Assets | May 31, 2012 | November 30, 2011 | ||||||
Operations | ||||||||
Net investment income (loss) | $6,433,436 | $11,320,084 | ||||||
Net realized gain (loss) | 28,042,156 | 72,193,529 | ||||||
Change in net unrealized appreciation (depreciation) | 5,920,385 | (50,113,559 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 40,395,977 | 33,400,054 | ||||||
Distributions to Shareholders | ||||||||
From net investment income: | ||||||||
Investor Class | (6,055,286 | ) | (5,534,677 | ) | ||||
Institutional Class | (2,324,310 | ) | (2,003,287 | ) | ||||
A Class | (2,831,283 | ) | (2,221,527 | ) | ||||
R Class | (81,750 | ) | (30,262 | ) | ||||
Decrease in net assets from distributions | (11,292,629 | ) | (9,789,753 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in net assets from capital share transactions | (11,155,115 | ) | (73,628,835 | ) | ||||
Net increase (decrease) in net assets | 17,948,233 | (50,018,534 | ) | |||||
Net Assets | ||||||||
Beginning of period | 989,024,593 | 1,039,043,127 | ||||||
End of period | $1,006,972,826 | $989,024,593 | ||||||
Undistributed net investment income | $6,231,021 | $11,090,214 |
See Notes to Financial Statements.
45
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Aggressive Fund (the fund) is one fund in a series issued by the corporation. The fund is diversified as defined under the 1940 Act. The fund’s investment objective is to provide as high a level of total return (capital appreciation plus dividend and interest income) as is consistent with its asset mix. The fund pursues its objective by diversifying its assets among various classes of investments such as equity securities, bonds and money market instruments.
The fund offers the Investor Class, the Institutional Class, the A Class, the B Class, the C Class and the R Class. The A Class may incur an initial sales charge. The A Class, B Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class is made available to institutional shareholders or through financial intermediaries whose clients do not require the same level of shareholder and administrative services as shareholders of other classes. As a result, the Institutional Class is charged a lower unified management fee.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share as of the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are typically valued at the closing price on the exchange where primarily traded or as of the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices is used. Depending on local convention or regulation, securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. In its determination of fair value, the fund may review several factors including: market information specific to a security; news developments in U.S. and foreign markets; the performance of particular U.S. and foreign securities, indices, comparable securities, American Depositary Receipts, Exchange-Traded Funds, and other relevant market indicators.
Debt securities maturing in greater than 60 days at the time of purchase are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Debt securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors, trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, and other relevant market information on the same or comparable securities.
Investments in open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Swap agreements are valued at an evaluated price as provided by independent pricing services or investment dealers. Forward foreign currency exchange contracts are valued at the mean of the latest bid and asked prices of the forward currency rates as provided by an independent pricing service.
46
The value of investments initially expressed in foreign currencies is translated into U.S. dollars at prevailing exchange rates.
If the fund determines that the market price for a portfolio security is not readily available or the valuation methods mentioned above do not reflect a security’s fair value, such security is valued as determined in good faith by the Board of Directors or its designee, in accordance with procedures adopted by the Board of Directors. Circumstances that may cause the fund to use these procedures to value a security include, but are not limited to: a security has been declared in default; trading in a security has been halted during the trading day; there is a foreign market holiday and no trading occurred; or an event occurred between the close of a foreign exchange and the NYSE that may affect the value of a security.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes. Certain countries impose taxes on realized gains on the sale of securities registered in their country. The fund records the foreign tax expense, if any, on an accrual basis. The foreign tax expense on realized gains and unrealized appreciation reduces the net realized gain (loss) on investment transactions and net unrealized appreciation (depreciation) on investments, respectively.
Investment Income — Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums.
When-Issued and Forward Commitments — The fund may engage in securities transactions on a when-issued or forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. In a when-issued transaction, the payment and delivery are scheduled for a future date and during this period, securities are subject to market fluctuations. In a forward commitment transaction, the fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. American Century Investment Management, Inc. (ACIM) (the investment advisor) monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts and swap agreements.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. The fund is no longer subject to examination by tax authorities for years prior to 2008. Additionally, non-U.S. tax returns filed by the fund due to investments in certain foreign securities remain subject to examination by the relevant taxing authority for seven years from the date of filing. At this time, management believes there are no uncertain tax positions
47
which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Accordingly, no provision has been made for federal or state income taxes.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income and net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that have very similar investment teams and investment strategies (strategy assets). The annual management fee schedule ranges from 1.00% to 1.20% for the Investor Class, A Class, B Class, C Class and R Class. The Institutional Class is 0.20% less at each point within the range. The effective annual management fee for each class for the six months ended May 31, 2012 was 1.20% for the Investor Class, A Class, B Class, C Class and R Class and 1.00% for the Institutional Class.
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay American Century Investment Services, Inc. (ACIS) an annual distribution and service fee of 0.25%. The plans provide that the B Class and C Class will each pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the six months ended May 31, 2012 are detailed in the Statement of Operations.
Related Parties — Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc., the parent of the corporation’s investment advisor, ACIM, the distributor of the corporation, ACIS, and the corporation’s transfer agent, American Century Services, LLC.
48
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the six months ended May 31, 2012 totaled $385,441,755, of which $34,007,581 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the six months ended May 31, 2012 totaled $397,675,081, of which $34,604,996 represented U.S. Treasury and Government Agency obligations.
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2012 | Year ended November 30, 2011 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Investor Class/Shares Authorized | 350,000,000 | 350,000,000 | ||||||||||||||
Sold | 4,474,509 | $34,981,927 | 11,276,415 | $86,620,589 | ||||||||||||
Issued in reinvestment of distributions | 797,341 | 5,958,858 | 709,441 | 5,436,776 | ||||||||||||
Redeemed | (10,702,625 | ) | (84,837,947 | ) | (17,793,077 | ) | (136,227,441 | ) | ||||||||
(5,430,775 | ) | (43,897,162 | ) | (5,807,221 | ) | (44,170,076 | ) | |||||||||
Institutional Class/Shares Authorized | 75,000,000 | 75,000,000 | ||||||||||||||
Sold | 7,110,595 | 56,775,993 | 5,106,236 | 39,174,230 | ||||||||||||
Issued in reinvestment of distributions | 310,080 | 2,316,870 | 260,941 | 1,996,170 | ||||||||||||
Redeemed | (1,836,605 | ) | (14,494,044 | ) | (4,905,519 | ) | (36,951,958 | ) | ||||||||
5,584,070 | 44,598,819 | 461,658 | 4,218,442 | |||||||||||||
A Class/Shares Authorized | 225,000,000 | 225,000,000 | ||||||||||||||
Sold | 4,531,375 | 35,619,331 | 9,674,819 | 74,521,512 | ||||||||||||
Issued in reinvestment of distributions | 371,458 | 2,763,599 | 282,825 | 2,167,891 | ||||||||||||
Redeemed | (6,179,552 | ) | (48,776,105 | ) | (13,828,317 | ) | (106,430,053 | ) | ||||||||
(1,276,719 | ) | (10,393,175 | ) | (3,870,673 | ) | (29,740,650 | ) | |||||||||
B Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||||||||
Sold | 659 | 4,921 | 25,086 | 195,165 | ||||||||||||
Redeemed | (167,277 | ) | (1,330,467 | ) | (263,178 | ) | (1,998,795 | ) | ||||||||
(166,618 | ) | (1,325,546 | ) | (238,092 | ) | (1,803,630 | ) | |||||||||
C Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||||
Sold | 620,355 | 4,861,792 | 1,368,988 | 10,469,247 | ||||||||||||
Redeemed | (697,389 | ) | (5,481,329 | ) | (1,686,151 | ) | (12,733,927 | ) | ||||||||
(77,034 | ) | (619,537 | ) | (317,163 | ) | (2,264,680 | ) | |||||||||
R Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||||||||
Sold | 375,328 | 2,968,516 | 741,765 | 5,711,419 | ||||||||||||
Issued in reinvestment of distributions | 11,108 | 81,750 | 3,964 | 30,166 | ||||||||||||
Redeemed | (337,941 | ) | (2,568,780 | ) | (725,633 | ) | (5,609,826 | ) | ||||||||
48,495 | 481,486 | 20,096 | 131,759 | |||||||||||||
Net increase (decrease) | (1,318,581 | ) | $(11,155,115 | ) | (9,751,395 | ) | $(73,628,835 | ) |
49
6. Fair Value Measurements
The fund’s securities valuation process is based on several considerations and may use multiple inputs to determine the fair value of the positions held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels as follows:
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical securities; |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for similar securities, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.); or |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||||||
Investment Securities | ||||||||||||
Domestic Common Stocks | $563,763,964 | — | — | |||||||||
Foreign Common Stocks | 41,249,019 | $176,844,964 | — | |||||||||
Corporate Bonds | — | 92,282,489 | — | |||||||||
U.S. Treasury Securities | — | 57,976,969 | — | |||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 32,647,885 | — | |||||||||
Municipal Securities | — | 6,196,275 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 5,881,904 | — | |||||||||
Commercial Paper | — | 4,399,130 | — | |||||||||
Collateralized Mortgage Obligations | — | 3,814,929 | — | |||||||||
Sovereign Governments and Agencies | — | 1,881,445 | — | |||||||||
U.S. Government Agency Securities | — | 1,615,277 | — | |||||||||
Exchange-Traded Funds | 1,177,117 | — | — | |||||||||
Convertible Preferred Stocks | — | 216,531 | — | |||||||||
Preferred Stocks | — | 165,075 | — | |||||||||
Temporary Cash Investments | 15,634,442 | — | — | |||||||||
Total Value of Investment Securities | $621,824,542 | $383,922,873 | — | |||||||||
Other Financial Instruments | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | $44,205 | — | |||||||||
Swap Agreements | — | 9,597 | — | |||||||||
Total Unrealized Gain (Loss) on Other Financial Instruments | — | $53,802 | — |
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7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. The buyer/seller of credit protection against a security or basket of securities may pay/receive an up-front or periodic payment to compensate for/against potential default events. A fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The credit risk derivative instruments held at period end as disclosed on the Schedule of Investments are indicative of the fund’s typical volume during the period.
Equity Price Risk — The fund is subject to equity price risk in the normal course of pursuing its investment objectives. A fund may enter into futures contracts based on an equity index in order to manage its exposure to changes in market conditions. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund is required to deposit either cash or securities in an amount equal to a certain percentage of the contract value (initial margin). Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. One of the risks of entering into futures contracts is the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. During the period, the fund infrequently purchased equity price risk derivative instruments for temporary investment purposes.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund’s exposure to foreign currency exchange rate fluctuations. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The foreign currency risk derivative instruments held at period end as disclosed on the Schedule of Investments are indicative of the fund’s typical volume during the period.
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Value of Derivative Instruments as of May 31, 2012
Asset Derivatives | Liability Derivatives | ||||||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | |||||||
Credit Risk | Swap agreements | $5,634 | Swap agreements | — | |||||||
Foreign Currency Risk | Unrealized gain on forward foreign currency exchange contracts | 44,205 | Unrealized loss on forward foreign currency exchange contracts | — | |||||||
$49,839 | — |
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2012
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | ||||||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | |||||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $(16,814 | ) | Change in net unrealized appreciation (depreciation) on swap agreements | $(27,415 | ) | |||||
Equity Price Risk | Net realized gain (loss) on futures contract transactions | 60,814 | Change in net unrealized appreciation (depreciation) on futures contracts | (3,672 | ) | ||||||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | (3,166 | ) | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | 122,445 | ||||||
$40,834 | $91,358 |
8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2012, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $894,379,686 | |||
Gross tax appreciation of investments | $142,673,096 | |||
Gross tax depreciation of investments | (31,305,367 | ) | ||
Net tax appreciation (depreciation) of investments | $111,367,729 |
The difference between book-basis and tax-basis cost and unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
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As of November 30, 2011, the fund had accumulated capital losses of $(8,543,664), which represent net capital loss carryovers that may be used to offset future realized capital gains for federal income tax purposes. Future capital loss carryover utilization in any given year may be subject to Internal Revenue Code limitations. Capital loss carryovers expire in 2018. The Regulated Investment Company Modernization Act of 2010 allows the fund to carry forward capital losses incurred in future taxable years for an unlimited period. Any losses incurred during future taxable years will be required to be utilized prior to the losses which carry an expiration date. As a result, capital loss carryforwards may be more likely to expire unused.
The fund has elected to treat $(2,823,949) of net capital losses incurred in the one-month period ended November 30, 2011, as having been incurred in the following fiscal year for federal income tax purposes.
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||||||||||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||||||||||
Investor Class | |||||||||||||||||||||||||||||||||||||||
2012(3) | $7.46 | 0.05 | 0.25 | 0.30 | (0.10 | ) | — | (0.10 | ) | $7.66 | 4.08 | % | 1.20 | %(4) | 1.37 | %(4) | 38 | % | $415,478 | ||||||||||||||||||||
2011 | $7.30 | 0.09 | 0.15 | 0.24 | (0.08 | ) | — | (0.08 | ) | $7.46 | 3.32 | % | 1.20 | % | 1.19 | % | 91 | % | $445,035 | ||||||||||||||||||||
2010 | $6.59 | 0.08 | 0.72 | 0.80 | (0.09 | ) | — | (0.09 | ) | $7.30 | 12.18 | % | 1.21 | % | 1.11 | % | 98 | % | $478,255 | ||||||||||||||||||||
2009 | $5.29 | 0.08 | 1.32 | 1.40 | (0.10 | ) | — | (0.10 | ) | $6.59 | 26.83 | % | 1.21 | % | 1.43 | % | 134 | % | $429,634 | ||||||||||||||||||||
2008 | $9.47 | 0.11 | (3.03 | ) | (2.92 | ) | (0.13 | ) | (1.13 | ) | (1.26 | ) | $5.29 | (35.37 | )% | 1.19 | % | 1.57 | % | 146 | % | $350,838 | |||||||||||||||||
2007 | $8.82 | 0.12 | 1.21 | 1.33 | (0.13 | ) | (0.55 | ) | (0.68 | ) | $9.47 | 16.17 | % | 1.18 | % | 1.32 | % | 136 | % | $659,190 | |||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
2012(3) | $7.44 | 0.06 | 0.25 | 0.31 | (0.13 | ) | — | (0.13 | ) | $7.62 | 4.24 | % | 1.00 | %(4) | 1.57 | %(4) | 38 | % | $173,589 | ||||||||||||||||||||
2011 | $7.30 | 0.11 | 0.15 | 0.26 | (0.12 | ) | — | (0.12 | ) | $7.44 | 3.46 | % | 1.00 | % | 1.39 | % | 91 | % | $127,983 | ||||||||||||||||||||
2010 | $6.60 | 0.09 | 0.72 | 0.81 | (0.11 | ) | — | (0.11 | ) | $7.30 | 12.46 | % | 1.01 | % | 1.31 | % | 98 | % | $122,223 | ||||||||||||||||||||
2009 | $5.31 | 0.09 | 1.31 | 1.40 | (0.11 | ) | — | (0.11 | ) | $6.60 | 26.78 | % | 1.01 | % | 1.63 | % | 134 | % | $126,801 | ||||||||||||||||||||
2008 | $9.49 | 0.13 | (3.03 | ) | (2.90 | ) | (0.15 | ) | (1.13 | ) | (1.28 | ) | $5.31 | (35.14 | )% | 0.99 | % | 1.77 | % | 146 | % | $80,646 | |||||||||||||||||
2007 | $8.84 | 0.14 | 1.20 | 1.34 | (0.14 | ) | (0.55 | ) | (0.69 | ) | $9.49 | 16.39 | % | 0.98 | % | 1.52 | % | 136 | % | $134,722 |
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||||||||||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||||||||||
A Class(5) | |||||||||||||||||||||||||||||||||||||||
2012(3) | $7.47 | 0.04 | 0.25 | 0.29 | (0.06 | ) | — | (0.06 | ) | $7.70 | 3.96 | % | 1.45 | %(4) | 1.12 | %(4) | 38 | % | $332,763 | ||||||||||||||||||||
2011 | $7.30 | 0.07 | 0.15 | 0.22 | (0.05 | ) | — | (0.05 | ) | $7.47 | 2.94 | % | 1.45 | % | 0.94 | % | 91 | % | $332,329 | ||||||||||||||||||||
2010 | $6.57 | 0.06 | 0.72 | 0.78 | (0.05 | ) | — | (0.05 | ) | $7.30 | 11.96 | % | 1.46 | % | 0.86 | % | 98 | % | $352,882 | ||||||||||||||||||||
2009 | $5.28 | 0.07 | 1.30 | 1.37 | (0.08 | ) | — | (0.08 | ) | $6.57 | 26.38 | % | 1.46 | % | 1.18 | % | 134 | % | $351,285 | ||||||||||||||||||||
2008 | $9.44 | 0.10 | (3.03 | ) | (2.93 | ) | (0.10 | ) | (1.13 | ) | (1.23 | ) | $5.28 | (35.44 | )% | 1.44 | % | 1.32 | % | 146 | % | $273,892 | |||||||||||||||||
2007 | $8.79 | 0.10 | 1.20 | 1.30 | (0.10 | ) | (0.55 | ) | (0.65 | ) | $9.44 | 15.91 | % | 1.43 | % | 1.07 | % | 136 | % | $353,946 | |||||||||||||||||||
B Class | |||||||||||||||||||||||||||||||||||||||
2012(3) | $7.41 | 0.01 | 0.26 | 0.27 | — | — | — | $7.68 | 3.64 | % | 2.20 | %(4) | 0.37 | %(4) | 38 | % | $10,097 | ||||||||||||||||||||||
2011 | $7.25 | 0.01 | 0.15 | 0.16 | — | — | — | $7.41 | 2.21 | % | 2.20 | % | 0.19 | % | 91 | % | $10,982 | ||||||||||||||||||||||
2010 | $6.52 | 0.01 | 0.72 | 0.73 | — | — | — | $7.25 | 11.20 | % | 2.21 | % | 0.11 | % | 98 | % | $12,471 | ||||||||||||||||||||||
2009 | $5.25 | 0.02 | 1.29 | 1.31 | (0.04 | ) | — | (0.04 | ) | $6.52 | 25.22 | % | 2.21 | % | 0.43 | % | 134 | % | $13,183 | ||||||||||||||||||||
2008 | $9.38 | 0.04 | (3.00 | ) | (2.96 | ) | (0.04 | ) | (1.13 | ) | (1.17 | ) | $5.25 | (35.89 | )% | 2.19 | % | 0.57 | % | 146 | % | $9,768 | |||||||||||||||||
2007 | $8.74 | 0.03 | 1.20 | 1.23 | (0.04 | ) | (0.55 | ) | (0.59 | ) | $9.38 | 14.94 | % | 2.18 | % | 0.32 | % | 136 | % | $13,382 | |||||||||||||||||||
C Class | |||||||||||||||||||||||||||||||||||||||
2012(3) | $7.39 | 0.01 | 0.26 | 0.27 | — | — | — | $7.66 | 3.65 | % | 2.20 | %(4) | 0.37 | %(4) | 38 | % | $55,833 | ||||||||||||||||||||||
2011 | $7.24 | 0.01 | 0.14 | 0.15 | — | — | — | $7.39 | 2.07 | % | 2.20 | % | 0.19 | % | 91 | % | $54,470 | ||||||||||||||||||||||
2010 | $6.51 | 0.01 | 0.72 | 0.73 | — | — | — | $7.24 | 11.21 | % | 2.21 | % | 0.11 | % | 98 | % | $55,588 | ||||||||||||||||||||||
2009 | $5.23 | 0.02 | 1.30 | 1.32 | (0.04 | ) | — | (0.04 | ) | $6.51 | 25.51 | % | 2.21 | % | 0.43 | % | 134 | % | $49,193 | ||||||||||||||||||||
2008 | $9.36 | 0.04 | (3.00 | ) | (2.96 | ) | (0.04 | ) | (1.13 | ) | (1.17 | ) | $5.23 | (35.98 | )% | 2.19 | % | 0.57 | % | 146 | % | $27,826 | |||||||||||||||||
2007 | $8.72 | 0.03 | 1.20 | 1.23 | (0.04 | ) | (0.55 | ) | (0.59 | ) | $9.36 | 14.98 | % | 2.18 | % | 0.32 | % | 136 | % | $32,578 |
55
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||||||||||||||||||||||||
Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||||||||||
R Class | |||||||||||||||||||||||||||||||||||||||
2012(3) | $7.47 | 0.03 | 0.25 | 0.28 | (0.03 | ) | — | (0.03 | ) | $7.72 | 3.82 | % | 1.70 | %(4) | 0.87 | %(4) | 38 | % | $19,214 | ||||||||||||||||||||
2011 | $7.28 | 0.05 | 0.15 | 0.20 | (0.01 | ) | — | (0.01 | ) | $7.47 | 2.78 | % | 1.70 | % | 0.69 | % | 91 | % | $18,226 | ||||||||||||||||||||
2010 | $6.53 | 0.04 | 0.73 | 0.77 | (0.02 | ) | — | (0.02 | ) | $7.28 | 11.78 | % | 1.71 | % | 0.61 | % | 98 | % | $17,624 | ||||||||||||||||||||
2009 | $5.25 | 0.05 | 1.30 | 1.35 | (0.07 | ) | — | (0.07 | ) | $6.53 | 26.02 | % | 1.71 | % | 0.93 | % | 134 | % | $9,947 | ||||||||||||||||||||
2008 | $9.40 | 0.08 | (3.02 | ) | (2.94 | ) | (0.08 | ) | (1.13 | ) | (1.21 | ) | $5.25 | (35.68 | )% | 1.69 | % | 1.07 | % | 146 | % | $4,160 | |||||||||||||||||
2007 | $8.77 | 0.08 | 1.18 | 1.26 | (0.08 | ) | (0.55 | ) | (0.63 | ) | $9.40 | 15.38 | % | 1.68 | % | 0.82 | % | 136 | % | $1,905 |
Notes to Financial Highlights
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2012 (unaudited). |
(4) | Annualized. |
(5) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class. |
See Notes to Financial Statements.
56
As required by law, distributions you receive from certain IRAs, or 403(b), 457 and qualified plans are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. You have the right to revoke your withholding election at any time and any election you make may remain in effect until revoked by filing a new election.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld. State taxes will be withheld from your distribution in accordance with the respective state rules.
Proxy Voting Guidelines
American Century Investment Management, Inc., the fund’s investment advisor, is responsible for exercising the voting rights associated with the securities purchased and/or held by the fund. A description of the policies and procedures the advisor uses in fulfilling this responsibility is available without charge, upon request, by calling 1-800-345-2021. It is also available on American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the “About Us” page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’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. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
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Contact Us | americancentury.com |
Automated Information Line | 1-800-345-8765 |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 |
Investors Using Advisors | 1-800-378-9878 |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 |
Telecommunications Device for the Deaf | 1-800-634-4113 |
American Century Strategic Asset Allocations, Inc.
Investment Advisor:
American Century Investment Management, Inc.
Kansas City, Missouri
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
©2012 American Century Proprietary Holdings, Inc. All rights reserved.
CL-SAN-75493 1207
SEMIANNUAL REPORT | MAY 31, 2012
Global Allocation Fund |
President’s Letter | 2 |
Independent Chairman’s Letter | 3 |
Performance | 4 |
Fund Characteristics | 5 |
Shareholder Fee Example | 6 |
Schedule of Investments | 8 |
Statement of Assets and Liabilities | 10 |
Statement of Operations | 11 |
Statement of Changes in Net Assets | 12 |
Notes to Financial Statements | 13 |
Financial Highlights | 21 |
Approval of Management Agreement | 23 |
Additional Information | 25 |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
Thank you for reviewing our semiannual report for the four-month period (since the fund’s January 31, 2012 inception) ended May 31, 2012. This report offers a macroeconomic and financial market overview of the period (below), followed by fund performance, a schedule of fund investments, and other financial information.
For additional, updated information on fund performance, portfolio strategy, and the investment markets, we encourage you to visit our website, americancentury.com. Click on the “Fund Performance” and “Insights & News” headings at the top of our Individual Investors site. The fund’s first annual report, dated November 30, 2012, will provide additional market perspective and commentary from our portfolio management team.
Macroeconomic and Financial Market Overview
The four-month period covered by this report began in February 2012 on a relatively strong note, with market values, yields, and investor activity reflecting optimism for 2012. Investors generally favored stocks over bonds, and higher-yielding investments over lower-yielding.
This risk-tolerant attitude prevailed in February and March, but broke down in April and May. During the first two months, investor optimism helped push equities—both domestic and foreign—to positive returns. In contrast, the U.S. Treasury market suffered negative returns.
But trends reversed during the final two months of the reporting period. Several U.S. growth indicators slowed, and Europe’s sovereign debt crisis turned for the worse. Spain’s banking sector deteriorated, and Greece’s failure to form a coalition government after elections in May led to concerns that the country might leave the eurozone. Investor preferences generally shifted from stocks to safe-haven assets, particularly U.S. Treasuries.
As a result, investment returns for the four months were mixed. The biggest gainers included long-maturity U.S. government and municipal bonds, and high-yield bonds. The biggest decliners included commodities and international stocks, particularly European stocks. Between those extremes were small gains for broad U.S. indices—the S&P 500 Index advanced 0.65%, while its bond counterpart, the Barclays U.S. Aggregate Bond Index, advanced 1.44%.
In this uncertain, unstable environment, we continue to believe in a disciplined, diversified, long-term investment approach. We appreciate your continued trust in us during these unsettled times.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
The assets under management in American Century Investments’ funds grow through investors placing new assets in the funds and through market appreciation. Asset growth has been at near record levels over the past two calendar years as market movements were upward, the funds’ relative returns were generally favorable, and the distribution strategies implemented by fund management have been successful.
The board reviews fund performance and distribution strategies on a regular basis. Several years ago, the fund’s management team discussed with the board its plans to grow fund assets in the intermediary, institutional and international distribution channels. These distribution strategies have produced strong positive growth. The growth in the intermediary channel recognizes the funds’ strong relative investment performance and the desire of many shareholders to seek financial guidance. Investors in both the institutional and international channels appear to find the funds’ risk-based investment strategies attractive. The board continues to support fund management’s strategies to increase fund assets and will continue to work to provide the benefits of these gains to fund shareholders.
We continue to receive a steady flow of very thoughtful questions from shareholders. If there are issues that you would like the board to address please email me at dhpratt@fundboardchair.com. Thank you for your continued investment in American Century Investments funds.
Best regards,
Don Pratt
3
Total Returns as of May 31, 2012 | |||
Ticker Symbol | Since Inception(1) | Inception Date | |
Investor Class(2) | AGAVX | -3.00% | 1/31/12 |
Blended index(3) | — | -3.06% | — |
MSCI All Country World Investable Market Index | — | -4.83% | — |
Barclays Global Aggregate Bond Index | — | -0.65% | — |
Institutional Class(2) | AGANX | -3.00% | 1/31/12 |
A Class(2) No sales charge* With sales charge* | AGAEX | -3.10% -8.67% | 1/31/12 |
C Class(2) No sales charge* With sales charge* | AGAGX | -3.40% -4.37% | 1/31/12 |
R Class(2) | AGAFX | -3.20% | 1/31/12 |
*Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied.
(1) | Total returns for periods less than one year are not annualized. |
(2) | Returns would have been lower if a portion of the management fee had not been waived. |
(3) | The blended index combines two widely known indices. The MSCI All Country World Investable Market Index represents 60% of the blended index and the remaining 40% is represented by the Barclays Global Aggregate Bond Index. |
Total Annual Fund Operating Expenses | ||||
Investor Class | Institutional Class | A Class | C Class | R Class |
2.25% | 2.05% | 2.50% | 3.25% | 2.75% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. As interest rates rise, bond values will decline. International investing involves special risks, such as political instability and currency fluctuations. Investing in emerging markets may accentuate these risks. Commodity investing involves special risks, such as weather, disease, embargoes, tariffs, taxes and economic, political and regulatory developments. The fund may be subject to certain risks similar to those associated with direct investment in real estate including but not limited to: local or regional economic conditions, changes in zoning laws, changes in property values, property tax increases, overbuilding, increased competition, environmental contamination, natural disasters and interest rate risk.
Unless otherwise indicated, performance reflects Investor Class shares; performance for other share classes will vary due to differences in fee structure. For information about other share classes available, please consult the prospectus. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for the indices are provided for comparison. The fund’s total returns include operating expenses (such as transaction costs and management fees) that reduce returns, while the total returns of the indices do not.
4
Fund Characteristics |
MAY 31, 2012 | |
Types of Investments in Portfolio | % of net assets |
International Equity Funds | 37.4% |
Domestic Equity Funds | 17.8% |
Domestic Fixed Income Funds | 14.7% |
International Fixed Income Funds | 13.3% |
Commodity Exchange-Traded Funds | 11.5% |
Cash and Equivalents* | 5.3% |
* | Amount relates primarily to repurchase agreements maturing after period end. |
5
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds. As a shareholder in the underlying funds, the fund will indirectly bear its pro rata share of the expenses incurred by the underlying funds. These expenses are not included in the fund’s annualized expense ratio or the expenses paid during the period. These expenses are, however, included in the effective expenses paid during the period.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2011 to May 31, 2012 (except as noted).
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table on the following page are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
6
Beginning Account Value 12/1/11 | Ending Account Value 5/31/12 | Expenses Paid During Period(1) 12/1/11 – 5/31/12 | Annualized Expense Ratio(1) | Effective Expenses Paid During Period(2) 12/1/11 – 5/31/12 | Effective Annualized Expense Ratio(2) | |
Actual | ||||||
Investor Class (after waiver) | $1,000 | $970.00(3) | $1.12(4) | 0.34% | $3.81(4) | 1.16% |
Investor Class (before waiver) | $1,000 | $970.00(3)(5) | $4.50(4) | 1.37% | $7.19(4) | 2.19% |
Institutional Class (after waiver) | $1,000 | $970.00(3) | $0.46(4) | 0.14% | $3.15(4) | 0.96% |
Institutional Class (before waiver) | $1,000 | $970.00(3)(5) | $3.84(4) | 1.17% | $6.53(4) | 1.99% |
A Class (after waiver) | $1,000 | $969.00(3) | $1.94(4) | 0.59% | $4.63(4) | 1.41% |
A Class (before waiver) | $1,000 | $969.00(3)(5) | $5.32(4) | 1.62% | $8.01(4) | 2.44% |
C Class (after waiver) | $1,000 | $966.00(3) | $4.39(4) | 1.34% | $7.08(4) | 2.16% |
C Class (before waiver) | $1,000 | $966.00(3)(5) | $7.77(4) | 2.37% | $10.45(4) | 3.19% |
R Class (after waiver) | $1,000 | $968.00(3) | $2.76(4) | 0.84% | $5.44(4) | 1.66% |
R Class (before waiver) | $1,000 | $968.00(3)(5) | $6.13(4) | 1.87% | $8.82(4) | 2.69% |
Hypothetical | ||||||
Investor Class (after waiver) | $1,000 | $1,023.30(6) | $1.72(6) | 0.34% | $5.86(6) | 1.16% |
Investor Class (before waiver) | $1,000 | $1,018.15(6) | $6.91(6) | 1.37% | $11.06(6) | 2.19% |
Institutional Class (after waiver) | $1,000 | $1,024.30(6) | $0.71(6) | 0.14% | $4.84(6) | 0.96% |
Institutional Class (before waiver) | $1,000 | $1,019.15(6) | $5.91(6) | 1.17% | $10.02(6) | 1.99% |
A Class (after waiver) | $1,000 | $1,022.05(6) | $2.98(6) | 0.59% | $7.10(6) | 1.41% |
A Class (before waiver) | $1,000 | $1,016.90(6) | $8.17(6) | 1.62% | $12.28(6) | 2.44% |
C Class (after waiver) | $1,000 | $1,018.30(6) | $6.76(6) | 1.34% | $10.83(6) | 2.16% |
C Class (before waiver) | $1,000 | $1,013.15(6) | $11.93(6) | 2.37% | $16.00(6) | 3.19% |
R Class (after waiver) | $1,000 | $1,020.80(6) | $4.24(6) | 0.84% | $8.35(6) | 1.66% |
R Class (before waiver) | $1,000 | $1,015.65(6) | $9.42(6) | 1.87% | $13.53(6) | 2.69% |
(1) | Expenses are equal to the class’s annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 183, the number of days in the most recent fiscal half-year, divided by 366, to reflect the one-half year period. The fees and expenses of the underlying funds in which the fund invests are not included in the class’s annualized expense ratio. |
(2) | Effective expenses reflect the sum of expenses borne directly by the class plus the fund’s pro rata share of the weighted average expense ratio of the underlying funds in which it invests. The effective annualized expense ratio combines the class’s annualized expense ratio and the annualized weighted average expense ratio of the underlying funds. The annualized weighted average expense ratio of the underlying funds for the one-half year period reflects the actual expense ratio of each underlying fund from its most recent shareholder report, annualized and weighted for the fund’s relative average investment therein during the period. |
(3) | Ending account value based on actual return from January 31, 2012 (fund inception) through May 31, 2012. |
(4) | Expenses are equal to the class’s annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 122, the number of days in the period from January 31, 2012 (fund inception) through May 31, 2012, divided by 366 to reflect the period. Had the class been available for the full period, the expenses paid during the period would have been higher. |
(5) | Ending account value assumes the return earned after waiver and would have been lower if a portion of the management fee had not been waived. |
(6) | Ending account value and expenses paid during the period assumes the class had been available throughout the entire period and are calculated using the class’s annualized expense ratio listed in the table above. |
7
Shares | Value | |||||||
Mutual Funds(1) — 83.2% | ||||||||
INTERNATIONAL EQUITY FUNDS — 37.4% | ||||||||
Emerging Markets Fund Institutional Class | 45,012 | $335,793 | ||||||
Global Gold Fund Institutional Class | 7,474 | 125,259 | ||||||
Global Real Estate Fund Institutional Class | 83,858 | 789,105 | ||||||
International Growth Fund Institutional Class | 116,159 | 1,102,352 | ||||||
2,352,509 | ||||||||
DOMESTIC EQUITY FUNDS — 17.8% | ||||||||
Core Equity Plus Fund Institutional Class | 37,321 | 387,014 | ||||||
Heritage Fund Institutional Class(2) | 3,735 | 82,322 | ||||||
Large Company Value Fund Institutional Class | 36,952 | 209,146 | ||||||
Mid Cap Value Fund Institutional Class | 6,619 | 79,822 | ||||||
Select Fund Institutional Class | 5,067 | 210,313 | ||||||
Small Company Fund Institutional Class | 19,490 | 154,553 | ||||||
1,123,170 | ||||||||
DOMESTIC FIXED INCOME FUNDS — 14.7% | ||||||||
Diversified Bond Fund Institutional Class | 41,594 | 464,603 | ||||||
High-Yield Fund Institutional Class | 77,803 | 460,594 | ||||||
925,197 | ||||||||
INTERNATIONAL FIXED INCOME FUNDS — 13.3% | ||||||||
International Bond Fund Institutional Class | 58,377 | 838,870 | ||||||
TOTAL MUTUAL FUNDS (Cost $5,401,230) | 5,239,746 | |||||||
Exchange-Traded Funds — 11.5% | ||||||||
COMMODITY — 11.5% | ||||||||
iShares S&P GSCI Commodity Indexed Trust(2) | 14,203 | 429,357 | ||||||
PowerShares DB Agriculture Fund(2) | 5,755 | 150,091 | ||||||
SPDR Gold Shares(2) | 478 | 72,474 | ||||||
Sprott Physical Gold Trust(2) | 5,438 | 72,434 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $810,965) | 724,356 |
Principal Amount | Value | |||||||
Temporary Cash Investments — 13.2% | ||||||||
Repurchase Agreement, Bank of America Merrill Lynch, (collateralized by various U.S. Treasury obligations, 0.25% – 2.625%, 9/15/14 – 12/31/14, valued at $247,874) in a joint trading account at 0.16%, dated 5/31/12, due 6/1/12 (Delivery value $242,887) | $242,886 | |||||||
Repurchase Agreement, Credit Suisse First Boston, Inc., (collateralized by various U.S. Treasury obligations, 4.50%, 4/15/36, valued at $249,038) in a joint trading account at 0.13%, dated 5/31/12, due 6/1/12 (Delivery value $242,887) | 242,886 | |||||||
Repurchase Agreement, Goldman Sachs & Co., (collateralized by various U.S. Treasury obligations, 3.625%, 8/15/19, valued at $170,853) in a joint trading account at 0.10%, dated 5/31/12, due 6/1/12 (Delivery value $167,225) | 167,224 | |||||||
U.S. Treasury Bills, 0.09%, 8/9/12(3) | $175,000 | 174,970 | ||||||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $827,966) | 827,966 | |||||||
TOTAL INVESTMENT SECURITIES — 107.9% (Cost $7,040,161) | 6,792,068 | |||||||
OTHER ASSETS AND LIABILITIES — (7.9)% | (495,365 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $6,296,703 |
8
Forward Foreign Currency Exchange Contracts | |||||||||||||
Contracts to Buy | Counterparty | Settlement Date | Value | Unrealized Gain (Loss) | |||||||||
9,400 | CHF for EUR | UBS AG | 7/27/12 | $9,687 | $(359 | ) | |||||||
1,000 | AUD for USD | Westpac Group | 7/27/12 | 970 | (57 | ) | |||||||
11,100 | CAD for USD | Barclays Bank plc | 7/27/12 | 10,734 | (487 | ) | |||||||
499,997 | KRW for USD | HSBC Holdings plc | 7/27/12 | 422 | (15 | ) | |||||||
33,000 | NOK for USD | Deutsche Bank | 7/27/12 | 5,386 | (345 | ) | |||||||
1,700 | NZD for USD | Westpac Group | 7/27/12 | 1,277 | (112 | ) | |||||||
44,900 | SEK for USD | Barclays Bank plc | 7/27/12 | 6,168 | (453 | ) | |||||||
400 | SGD for USD | HSBC Holdings plc | 7/27/12 | 310 | (10 | ) | |||||||
20,000 | TWD for USD | HSBC Holdings plc | 7/27/12 | 670 | (10 | ) | |||||||
$35,624 | $(1,848 | ) | |||||||||||
(Value on Settlement Date $37,472) | |||||||||||||
Contracts to Sell | Counterparty | Settlement Date | Value | Unrealized Gain (Loss) | |||||||||
7,831 | EUR for CHF | UBS AG | 7/27/12 | $9,686 | $360 | ||||||||
5,000 | CHF for USD | UBS AG | 7/27/12 | 5,153 | 308 | ||||||||
3,400 | EUR for USD | Barclays Bank plc | 7/27/12 | 4,206 | 259 | ||||||||
2,200 | GBP for USD | Deutsche Bank | 7/27/12 | 3,390 | 113 | ||||||||
1,034,100 | JPY for USD | Barclays Bank plc | 7/27/12 | 13,204 | (380 | ) | |||||||
$35,639 | $660 | ||||||||||||
(Value on Settlement Date $36,299) |
Notes to Schedule of Investments
AUD = Australian Dollar
CAD = Canadian Dollar
CHF = Swiss Franc
DB = Deutsche Bank
EUR = Euro
GBP = British Pound
GSCI = Goldman Sachs Commodities Index
JPY = Japanese Yen
KRW = Korea Won
NOK = Norwegian Krone
NZD = New Zealand Dollar
SEK = Swedish Krona
SGD = Singapore Dollar
SPDR = Standard & Poor’s Depositary Receipts
TWD = Taiwanese Dollar
USD = United States Dollar
(1) | Investments are funds within the American Century Investments family of funds, of which certain funds may be deemed to be under common control because of the same board of directors. |
(2) | Non-income producing. |
(3) | The rate indicated is the yield to maturity at purchase. |
See Notes to Financial Statements.
9
MAY 31, 2012 (UNAUDITED) | ||||
Assets | ||||
Investment securities – affiliated, at value (cost of $5,401,230) | $5,239,746 | |||
Investment securities – unaffiliated, at value (cost of $1,638,931) | 1,552,322 | |||
Total investment securities, at value (cost of $7,040,161) | 6,792,068 | |||
Unrealized gain on forward foreign currency exchange contracts | 1,040 | |||
Dividends and interest receivable | 3,786 | |||
6,796,894 | ||||
Liabilities | ||||
Disbursements in excess of demand deposit cash | 491,744 | |||
Payable for investments purchased | 3,779 | |||
Unrealized loss on forward foreign currency exchange contracts | 2,228 | |||
Accrued management fees | 1,558 | |||
Distribution and service fees payable | 882 | |||
500,191 | ||||
Net Assets | $6,296,703 | |||
Net Assets Consist of: | ||||
Capital (par value and paid-in surplus) | $6,524,420 | |||
Undistributed net investment income | 15,674 | |||
Undistributed net realized gain | 5,888 | |||
Net unrealized depreciation | (249,279 | ) | ||
$6,296,703 |
Net assets | Shares outstanding | Net asset value per share | |
Investor Class, $0.01 Par Value | $2,797,004 | 288,425 | $9.70 |
Institutional Class, $0.01 Par Value | $1,369,753 | 141,164 | $9.70 |
A Class, $0.01 Par Value | $1,162,662 | 120,000 | $9.69* |
C Class, $0.01 Par Value | $483,242 | 50,000 | $9.66 |
R Class, $0.01 Par Value | $484,042 | 50,000 | $9.68 |
*Maximum offering price $10.28 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
10
FOR THE PERIOD ENDED MAY 31, 2012 (UNAUDITED)(1) | ||||
Investment Income (Loss) | ||||
Income: | ||||
Dividends (including $25,311 from affiliates) | $25,311 | |||
Interest | 96 | |||
25,407 | ||||
Expenses: | ||||
Management fees | 27,823 | |||
Distribution and service fees: | ||||
A Class | 1,009 | |||
C Class | 1,680 | |||
R Class | 841 | |||
Directors’ fees and expenses | 77 | |||
31,430 | ||||
Fees waived | (21,697 | ) | ||
9,733 | ||||
Net investment income (loss) | 15,674 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including $(2,613) from affiliates) | 5,260 | |||
Foreign currency transactions | 628 | |||
5,888 | ||||
Change in net unrealized appreciation (depreciation) on: | ||||
Investments | (248,093 | ) | ||
Translation of assets and liabilities in foreign currencies | (1,186 | ) | ||
(249,279 | ) | |||
Net realized and unrealized gain (loss) | (243,391 | ) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $(227,717 | ) |
(1) | January 31, 2012 (fund inception) through May 31, 2012. |
See Notes to Financial Statements.
11
PERIOD ENDED MAY 31, 2012 (UNAUDITED)(1) | ||||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $15,674 | |||
Net realized gain (loss) | 5,888 | |||
Change in net unrealized appreciation (depreciation) | (249,279 | ) | ||
Net increase (decrease) in net assets resulting from operations | (227,717 | ) | ||
Capital Share Transactions | ||||
Net increase (decrease) in net assets from capital share transactions | 6,524,420 | |||
Net increase (decrease) in net assets | 6,296,703 | |||
Net Assets | ||||
End of period | $6,296,703 | |||
Undistributed net investment income | $15,674 |
(1) | January 31, 2012 (fund inception) through May 31, 2012. |
See Notes to Financial Statements.
12
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Global Allocation Fund (the fund) is one fund in a series issued by the corporation. The fund may invest in other American Century funds (affiliated funds), unaffiliated funds such as exchange-traded funds (ETFs), securities and other financial instruments in such varying combinations as permitted under the 1940 Act or any regulations or exemptive relief thereunder. The fund may invest up to 100% of its assets in affiliated and unaffiliated funds (underlying funds). The fund is diversified as defined under the 1940 Act. The fund will assume the risks associated with the underlying funds. The fund’s investment objective is to seek total return (capital appreciation plus dividend and interest income). The fund pursues its objective by using an asset allocation strategy that diversifies investments directly or indirectly among a broad range of global asset classes, including equity securities, debt securities, commodity-related investments and real estate-related investments. The fund also may invest in other alternative asset classes, such as currencies or volatility.
The fund offers the Investor Class, the Institutional Class, the A Class, the C Class and the R Class. The A Class may incur an initial sales charge. The A Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class is made available to institutional shareholders or through financial intermediaries whose clients do not require the same level of shareholder and administrative services as shareholders of other classes. As a result, the Institutional Class is charged a lower unified management fee. All classes of the fund commenced sale on January 31, 2012, the fund’s inception date.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates.
Investment Valuations — The funds determine the fair value of their investments and compute their net asset value per share as of the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are typically valued at the closing price on the exchange where primarily traded or as of the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices is used. Depending on local convention or regulation, securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. In its determination of fair value, the fund may review several factors including: market information specific to a security; news developments in U.S. and foreign markets; the performance of particular U.S. and foreign securities, indices, comparable securities, American Depositary Receipts, Exchange-Traded Funds, and other relevant market indicators.
Debt securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors, trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, and other relevant market information on the same or comparable securities.
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Investments in open-end management investment companies are valued at the reported net asset value per share. Repurchase agreements are valued at cost. Forward foreign currency exchange contracts are valued at the mean of the latest bid and asked prices of the forward currency rates as provided by an independent pricing service.
The value of investments initially expressed in foreign currencies is translated into U.S. dollars at prevailing exchange rates.
If the fund determines that the market price for a portfolio security is not readily available or the valuation methods mentioned above do not reflect a security’s fair value, such security is valued as determined in good faith by the Board of Directors or its designee, in accordance with procedures adopted by the Board of Directors. Circumstances that may cause the fund to use these procedures to value a security include, but are not limited to: a security has been declared in default; trading in a security has been halted during the trading day; there is a foreign market holiday and no trading occurred; or an event occurred between the close of a foreign exchange and the NYSE that may affect the value of a security.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes.
Investment Income — Income and capital gain distributions, if any, from investments in the underlying funds are recorded on the ex-dividend date as dividend income. Long-term capital gain distributions, if any, from the underlying funds are a component of realized gain (loss). Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums.
Expenses — The expenses included in the accompanying financial statements reflect the expenses of the fund and do not include any expenses associated with the underlying funds.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Commodity Exchange-Traded Funds — The fund may invest in exchange-traded funds of underlying commodities (Commodity ETFs). Commodity ETFs are a type of index fund bought and sold on a securities exchange. A Commodity ETF trades like common stock and represents a portfolio designed to track the performance of a particular index of a physical commodity or group of physical commodities. The fund may purchase a Commodity ETF to gain exposure to the underlying physical commodities. The risks of owning a Commodity ETF generally reflect the risks of owning the underlying commodities they are designed to track, although a lack of liquidity on a Commodity ETF could result in it being more volatile. Commodities markets have historically been extremely volatile. Additionally, Commodity ETFs have fees and expenses that reduce their value.
Repurchase Agreements — The fund may enter into repurchase agreements with institutions that American Century Investment Management, Inc. (ACIM) (the investment advisor) has determined are creditworthy pursuant to criteria adopted by the Board of Directors. The fund requires that the collateral, represented by securities, received in a repurchase transaction be transferred to the custodian in a manner sufficient to enable the fund to obtain those securities in the event of a default under the repurchase agreement. ACIM monitors, on a daily basis, the securities transferred to ensure the value, including accrued interest, of the securities under each repurchase agreement is equal to or greater than amounts owed to the fund under each repurchase agreement.
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Joint Trading Account — Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the fund, along with certain other funds in the American Century Investments family of funds, may transfer uninvested cash balances into a joint trading account. These balances are invested in one or more repurchase agreements that are collateralized by U.S. Treasury or Agency obligations.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain forward foreign currency exchange contracts. ACIM monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. All tax years for the fund remain subject to examination by tax authorities. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Accordingly, no provision has been made for federal or state income taxes.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income and net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The annual management fee is 1.36% for the Investor Class, A Class, C Class and R Class and 1.16% for the Institutional Class. However, the advisor will waive the portion of the fund’s management fee equal to the expenses attributable to the management fees of the American Century Investments funds in which the fund invests. The amount of this waiver will fluctuate depending on the fund’s daily allocations to other American Century Investments funds. This waiver is expected to remain in effect permanently and it cannot be terminated without the approval of the Board of Directors. Effective January 31, 2012 (fund inception), the investment advisor also agreed to waive an additional 0.31% of the fund’s management fee. This waiver will continue until at least January 31, 2013 and may be terminated by the investment advisor at any time thereafter. The total amount of the waivers will not exceed the fund’s management fee. The total amount of the waiver for each class for the period ended May 31, 2012 was $9,269, $4,139, $4,842, $1,723 and $1,724 for the Investor Class, Institutional Class, A Class, C Class and R Class, respectively. The effective annual management fee after waiver for each class for the period ended May 31, 2012 was 0.33% for the Investor Class, A Class, C Class and R Class and 0.13% for the Institutional Class.
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Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay American Century Investment Services, Inc. (ACIS) an annual distribution and service fee of 0.25%. The plans provide that the C Class will pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the period ended May 31, 2012 are detailed in the Statement of Operations.
Acquired Fund Fees and Expenses — The fund may invest in mutual funds, exchange-traded funds, and business development companies (the acquired funds). The fund will indirectly realize its pro rata share of the fees and expenses of the acquired funds in which it invests. These indirect fees and expenses are not paid out of the fund’s assets but are reflected in the return realized by the fund on its investment in the acquired funds.
Related Parties — Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc., the parent of the corporation’s investment advisor, ACIM, the distributor of the corporation, ACIS, and the corporation’s transfer agent, American Century Services, LLC. ACIM owns 77% of the outstanding shares of the fund. ACIM does not invest in the fund for the purpose of exercising management or control. The directors of the corporation are also directors of some underlying funds and therefore those underlying funds may be deemed to be under common control with the corporation. The officers of the corporation are also officers of all the affiliated funds. ACIM serves as the investment advisor for the affiliated funds.
4. Investment Transactions
Purchases and sales of investment securities, excluding short-term investments, for the period January 31, 2012 (fund inception) through May 31, 2012 were $7,116,408 and $909,472, respectively.
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Period ended May 31, 2012(1) | ||||||||
Shares | Amount | |||||||
Investor Class/Shares Authorized | 200,000,000 | |||||||
Sold | 311,305 | $3,147,424 | ||||||
Redeemed | (22,880 | ) | (234,980 | ) | ||||
288,425 | 2,912,444 | |||||||
Institutional Class/Shares Authorized | 50,000,000 | |||||||
Sold | 141,164 | 1,411,976 | ||||||
A Class/Shares Authorized | 50,000,000 | |||||||
Sold | 120,000 | 1,200,000 | ||||||
C Class/Shares Authorized | 50,000,000 | |||||||
Sold | 50,000 | 500,000 | ||||||
R Class/Shares Authorized | 50,000,000 | |||||||
Sold | 50,000 | 500,000 | ||||||
Net increase (decrease) | 649,589 | $6,524,420 |
(1) | January 31, 2012 (fund inception) through May 31, 2012. |
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6. Affiliated Company Transactions
Investments that are funds within the American Century Investments family of funds, of which certain funds may be deemed to be under common control because of the same board of directors. A summary of transactions for each affiliated fund for the period January 31, 2012 (fund inception) through May 31, 2012 follows:
January 31, 2012 | May 31, 2012 | |||||||||||||||||||||||||||
Affiliated Fund | Share Balance | Purchase Cost | Sales Cost | Realized Gain (Loss) | Dividend Income(1) | Share Balance | Market Value | |||||||||||||||||||||
Emerging Markets Fund Institutional Class | — | $370,126 | $11,268 | $(96 | ) | $643 | 45,012 | $335,793 | ||||||||||||||||||||
Global Gold Fund Institutional Class | — | 167,933 | 6,156 | (1,092 | ) | — | 7,474 | 125,259 | ||||||||||||||||||||
Global Real Estate Fund Institutional Class | — | 1,406,316 | 624,404 | 140 | — | 83,858 | 789,105 | |||||||||||||||||||||
International Growth Fund Institutional Class | — | 1,218,582 | 37,564 | (734 | ) | 9,094 | 116,159 | 1,102,352 | ||||||||||||||||||||
Core Equity Plus Fund Institutional Class | — | 403,073 | 12,417 | (230 | ) | — | 37,321 | 387,014 | ||||||||||||||||||||
Heritage Fund Institutional Class(2) | — | 83,951 | 2,526 | (10 | ) | — | 3,735 | 82,322 | ||||||||||||||||||||
Large Company Value Fund Institutional Class | — | 219,049 | 6,681 | (98 | ) | 736 | 36,952 | 209,146 | ||||||||||||||||||||
Mid Cap Value Fund Institutional Class | — | 83,988 | 2,553 | (37 | ) | 37 | 6,619 | 79,822 | ||||||||||||||||||||
Select Fund Institutional Class | — | 218,272 | 6,639 | (97 | ) | — | 5,067 | 210,313 | ||||||||||||||||||||
Small Company Fund Institutional Class | — | 171,460 | 4,773 | (127 | ) | 89 | 19,490 | 154,553 | ||||||||||||||||||||
Diversified Bond Fund Institutional Class | — | 474,848 | 14,281 | (7 | ) | 4,541 | 41,594 | 464,603 | ||||||||||||||||||||
High-Yield Fund Institutional Class | — | 480,479 | 14,363 | (83 | ) | 10,171 | 77,803 | 460,594 | ||||||||||||||||||||
International Bond Fund Institutional Class | — | 873,509 | 26,731 | (142 | ) | — | 58,377 | 838,870 | ||||||||||||||||||||
$6,171,586 | $770,356 | $(2,613 | ) | $25,311 | $5,239,746 |
(1) | Dividend income includes distributions from net investment income and from capital gains, if any, from the underlying funds. |
(2) | Non-income producing. |
7. Investments in Underlying Funds
The fund does not invest in the underlying funds for the purpose of exercising management or control; however, investments by the fund within its investment strategy may represent a significant portion of the underlying funds’ net assets.
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8. Fair Value Measurements
The fund’s securities valuation process is based on several considerations and may use multiple inputs to determine the fair value of the positions held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels as follows:
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical securities; |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for similar securities, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.); or |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||||||
Investment Securities | ||||||||||||
Mutual Funds | $5,239,746 | — | — | |||||||||
Exchange-Traded Funds | 724,356 | — | — | |||||||||
Temporary Cash Investments | — | $827,966 | — | |||||||||
Total Value of Investment Securities | $5,964,102 | $827,966 | — | |||||||||
Other Financial Instruments | ||||||||||||
Total Unrealized Gain (Loss) on Forward Foreign Currency Exchange Contracts | — | $(1,188 | ) | — |
9. Derivative Instruments
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund’s exposure to foreign currency exchange rate fluctuations, or to shift exposure to the fluctuations in the value of foreign currencies from one foreign currency to another foreign currency. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The foreign currency risk derivative instruments held at period end as disclosed on the Schedule of Investments are indicative of the fund’s typical volume during the period.
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The value of foreign currency risk derivative instruments as of May 31, 2012, is disclosed on the Statement of Assets and Liabilities as an asset of $1,040 in unrealized gain on forward foreign currency exchange contracts and a liability of $2,228 in unrealized loss on forward foreign currency exchange contracts. For the period ended May 31, 2012, the effect of foreign currency risk derivative instruments on the Statement of Operations was $628 in net realized gain (loss) on foreign currency transactions and $(1,188) in change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies.
10. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
There are certain risks involved with investing in forward foreign currency exchange contracts. Changes in the value of foreign currencies against the U.S. dollar could result in gains or losses to the fund. The value of a share of the fund is determined in U.S. dollars. As a result, the fund could recognize a gain or loss based solely upon a change in the exchange rate between the foreign currency and the U.S. dollar. Changes in exchange rates may increase losses and lower gains from the fund’s investments. The overall impact on the fund may be significant depending on the currencies represented in the portfolio and how each one appreciates or depreciates in relation to the U.S. dollar. Currency trends are unpredictable and exchange rates in foreign currencies may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.
The fund’s commodity-related investments may be subject to greater volatility than investments in traditional securities. The value of the fund’s commodity-related investments may be affected by changes in overall market movements, interest rate changes, and volatility in commodity-related indices. The value of these investments may also be affected by factors affecting a particular commodity, such as weather, disease, embargoes, tariffs, taxes and economic, political and regulatory developments.
The fund may be subject to certain risks similar to those associated with direct investment in real estate including but not limited to: local or regional economic conditions, changes in zoning laws, changes in property values, property tax increases, overbuilding, increased competition, environmental contamination, natural disasters, and interest rate risk.
The fund is subject to short sales risk. If the market price of a security increases after the fund borrows the security, the fund may suffer a loss when it replaces the borrowed security at the higher price. Any loss will be increased by the amount of compensation, interest or dividends, and transaction costs the fund must pay to the lender of the borrowed security.
The fund may invest in lower-rated debt securities, which are subject to substantial risks including liquidity risk and credit risk.
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11. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2012, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $7,043,842 | |||
Gross tax appreciation of investments | $11,964 | |||
Gross tax depreciation of investments | (263,738 | ) | ||
Net tax appreciation (depreciation) of investments | $(251,774 | ) |
The difference between book-basis and tax-basis cost and unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
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For a Share Outstanding Throughout the Period Indicated | ||||||||||||
Per-Share Data | Ratios and Supplemental Data | |||||||||||
Net Asset Value, Beginning of Period | Income From Investment Operations: | Ratio to Average Net Assets of: | ||||||||||
Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Asset Value, End of Period | Total Return(2) | Operating Expenses(3) | Operating Expenses (before expense waiver)(3) | Net Investment Income (Loss) | Net Investment Income (Loss) (before expense waiver) | Portfolio Turnover Rate | Net Assets, End of Period (in thousands) | ||
Investor Class | ||||||||||||
2012(4) | $10.00 | 0.03 | (0.33) | (0.30) | $9.70 | (3.00)% | 0.34%(5) | 1.37%(5) | 0.85%(5) | (0.18)%(5) | 15% | $2,797 |
Institutional Class | ||||||||||||
2012(4) | $10.00 | 0.04 | (0.34) | (0.30) | $9.70 | (3.00)% | 0.14%(5) | 1.17%(5) | 1.05%(5) | 0.02%(5) | 15% | $1,370 |
A Class | ||||||||||||
2012(4) | $10.00 | 0.02 | (0.33) | (0.31) | $9.69 | (3.10)% | 0.59%(5) | 1.62%(5) | 0.60%(5) | (0.43)%(5) | 15% | $1,163 |
C Class | ||||||||||||
2012(4) | $10.00 | —(6) | (0.34) | (0.34) | $9.66 | (3.40)% | 1.34%(5) | 2.37%(5) | (0.15)%(5) | (1.18)%(5) | 15% | $483 |
R Class | ||||||||||||
2012(4) | $10.00 | 0.01 | (0.33) | (0.32) | $9.68 | (3.20)% | 0.84%(5) | 1.87%(5) | 0.35%(5) | (0.68)%(5) | 15% | $484 |
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Notes to Financial Highlights
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Ratio of operating expenses to average net assets does not include any fees and expenses of the acquired funds. |
(4) | January 31, 2012 (fund inception) through May 31, 2012 (unaudited). |
(5) | Annualized. |
(6) | Per-share amount was less than $0.005. |
See Notes to Financial Statements.
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Approval of Management Agreement |
At a meeting held on June 9, 2011, the Fund’s Board of Directors unanimously approved the initial management agreement pursuant to which American Century Investment Management, Inc. (the “Advisor”) acts as the investment advisor for the Fund. Under Section 15(c) of the Investment Company Act, new contracts for investment advisory services are required to be approved by a majority of a fund’s independent directors (the “Directors”) each year and to be evaluated on an annual basis thereafter.
In advance of the Board’s consideration, the Advisor provided information concerning the fund. The materials circulated in advance of the meeting and the discussions held at the meeting detailed the investment objective and strategy proposed to be utilized by the Advisor, the Fund’s characteristics and key attributes, the rationale for launching the Fund, the experience of the staff designated to manage the Fund, the proposed pricing, and the markets in which the Fund would be sold. The information considered and the discussions held included, but were not limited to
• | the nature, extent, and quality of investment management, shareholder services, and other services to be provided by the Advisor to the Fund; |
• | the wide range of other programs and services the Advisor would provide to the Fund and its shareholders on a routine and non-routine basis; |
• | the Fund’s proposed investment objective and strategy, including a discussion of the Fund’s anticipated investment performance and proposed benchmark; |
• | data comparing the cost of owning the Fund to the cost of owning similar funds; |
• | the Advisor’s compliance policies, procedures, and regulatory experience; |
• | data comparing services provided and charges to other investment management clients of the Advisor; and |
• | consideration of collateral benefits derived by the Advisor from the management of the Fund and any potential economies of scale relating thereto. |
American Century Investments’ funds utilize a unified management fee structure. Under the unified fee structure, the Advisor is responsible for providing all investment advisory, custody, audit, administrative, compliance, recordkeeping, marketing and shareholder services, or arranging and supervising third parties to provide such services. By contrast, most other funds are charged a variety of fees, including an investment advisory fee, a transfer agency fee, an administrative fee, distribution charges and other expenses. Other than their investment advisory fees and Rule 12b-1 distribution fees, all other components of the total fees charged by these other funds may be increased without shareholder approval. The Advisor and Board believe the unified fee structure is a benefit to fund shareholders because it clearly discloses to shareholders the cost of owning fund shares, and, because the unified fee cannot be increased without a vote of Fund shareholders, it shifts to the Advisor the risk of increased costs of operating the Fund and provides a direct incentive to minimize administrative inefficiencies.
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When considering the approval of the management agreement for the Fund, the Board considered the entrepreneurial risk that the Advisor assumes in launching a new fund. In particular, they considered the effect of the unified management fee structure and the fact that the Advisor will assume a substantial part of the start-up costs of the Fund and the risk that the Fund will grow to a level that will become profitable to the Advisor. The Board considered the position that the Fund would take in the lineup of the American Century Investments’ family of funds and the benefits to shareholders of existing funds of the broadened product offering. Finally, while not specifically discussed, but important in the decision to approve the management agreement, is the Directors’ familiarity with the Advisor. The Board oversees and evaluates on a continuous basis the nature and quality of all services the Advisor performs for other funds within the American Century Investments’ complex. As such, the Directors have confidence in the Advisor’s integrity and competence in providing services to the Fund.
In their deliberations, the Board did not identify any particular information that was all-important or controlling, and each Director attributed different weights to various factors. However, based on their evaluation of all material factors and assisted by the advice of independent legal counsel, the Directors, concluded that the overall arrangements between the Fund and the Advisor, as provided in the management agreement, were fair and reasonable in light of the services to be performed and should be approved.
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As required by law, distributions you receive from certain IRAs, or 403(b), 457 and qualified plans are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. You have the right to revoke your withholding election at any time and any election you make may remain in effect until revoked by filing a new election.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld. State taxes will be withheld from your distribution in accordance with the respective state rules.
Proxy Voting Guidelines
American Century Investment Management, Inc., the fund’s investment advisor, is responsible for exercising the voting rights associated with the securities purchased and/or held by the fund. A description of the policies and procedures the advisor uses in fulfilling this responsibility is available without charge, upon request, by calling 1-800-345-2021. It is also available on American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the “About Us” page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’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. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
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Contact Us | americancentury.com |
Automated Information Line | 1-800-345-8765 |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 |
Investors Using Advisors | 1-800-378-9878 |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 |
Telecommunications Device for the Deaf | 1-800-634-4113 |
American Century Strategic Asset Allocations, Inc.
Investment Advisor:
American Century Investment Management, Inc.
Kansas City, Missouri
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
©2012 American Century Proprietary Holdings, Inc. All rights reserved.
CL-SAN-75492 1207
SEMIANNUAL REPORT | MAY 31, 2012
Strategic Allocation: Conservative Fund |
President’s Letter | 2 |
Independent Chairman’s Letter | 3 |
Performance | 4 |
Fund Characteristics | 5 |
Shareholder Fee Example | 6 |
Schedule of Investments | 8 |
Statement of Assets and Liabilities | 40 |
Statement of Operations | 41 |
Statement of Changes in Net Assets | 42 |
Notes to Financial Statements | 43 |
Financial Highlights | 50 |
Additional Information | 53 |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
Thank you for reviewing our semiannual report for the six months ended May 31, 2012. This report offers a macroeconomic and financial market overview of the period (below), followed by fund performance, a schedule of fund investments, and other financial information.
For additional, updated information on fund performance, portfolio strategy, and the investment markets, we encourage you to visit our website, americancentury.com. Click on the “Fund Performance” and “Insights & News” headings at the top of our Individual Investors site. Also, the next annual report, dated November 30, 2012, will provide additional market perspective and commentary from our portfolio management team.
Macroeconomic and Financial Market Overview
The six-month period covered by this report began in late 2011 on a relatively strong note, with market values, yields, and investor activity reflecting optimism for 2012. Concerns about the European sovereign debt crisis had eased somewhat. Renewed optimism (similar to early in the first quarter of 2011) inspired investors to generally favor stocks over bonds, and higher-yielding investments over lower-yielding.
This risk-tolerant attitude prevailed through March 2012, but broke down in April and May. During the first four months, investor optimism helped push equities—both domestic and foreign—to double-digit returns. In contrast, the U.S. Treasury market suffered negative returns.
But trends reversed during the final two months of the reporting period. Several U.S. growth indicators slowed, and Europe’s sovereign debt crisis turned for the worse. Spain’s banking sector deteriorated, and Greece’s failure to form a coalition government after elections in May led to concerns that the country might leave the eurozone. Investor preferences generally shifted from stocks to safe-haven assets, particularly U.S. Treasuries.
As a result, investment returns for the six months were mixed. The biggest gainers included long-maturity U.S. government and municipal bonds, and high-yield bonds. The biggest decliners included commodities and international stocks, particularly European stocks. Between those extremes were middling returns for broad U.S. indices—the S&P 500 Index advanced 6.23%, while its bond counterpart, the Barclays U.S. Aggregate Bond Index, advanced 3.46%.
In this uncertain, unstable environment, we continue to believe in a disciplined, diversified, long-term investment approach. We appreciate your continued trust in us during these unsettled times.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
The assets under management in American Century Investments’ funds grow through investors placing new assets in the funds and through market appreciation. Asset growth has been at near record levels over the past two calendar years as market movements were upward, the funds’ relative returns were generally favorable, and the distribution strategies implemented by fund management have been successful.
The board reviews fund performance and distribution strategies on a regular basis. Several years ago, the fund’s management team discussed with the board its plans to grow fund assets in the intermediary, institutional and international distribution channels. These distribution strategies have produced strong positive growth. The growth in the intermediary channel recognizes the funds’ strong relative investment performance and the desire of many shareholders to seek financial guidance. Investors in both the institutional and international channels appear to find the funds’ risk-based investment strategies attractive. The board continues to support fund management’s strategies to increase fund assets and will continue to work to provide the benefits of these gains to fund shareholders.
We continue to receive a steady flow of very thoughtful questions from shareholders. If there are issues that you would like the board to address please email me at dhpratt@fundboardchair.com. Thank you for your continued investment in American Century Investments funds.
Best regards,
Don Pratt
3
Total Returns as of May 31, 2012 | |||||||
Average Annual Returns | |||||||
Ticker Symbol | 6 months(1) | 1 year | 5 years | 10 years | Since Inception | Inception Date | |
Investor Class | TWSCX | 3.92% | 1.65% | 2.98% | 4.92% | 5.85% | 2/15/96 |
S&P 500 Index | — | 6.23% | -0.41% | -0.92% | 4.14% | 6.41%(2) | — |
Barclays U.S. Aggregate Bond Index | — | 3.46% | 7.12% | 6.72% | 5.72% | 6.28%(2) | — |
Barclays U.S. 1–3 Month Treasury Bill Index | — | 0.03% | 0.04% | 0.95% | 1.78% | 2.96%(2) | — |
Institutional Class | ACCIX | 4.20% | 2.03% | 3.22% | 5.15% | 4.79% | 8/1/00 |
A Class(3) No sales charge* With sales charge* | ACCAX | 3.80% -2.14% | 1.41% -4.38% | 2.73% 1.52% | 4.66% 4.04% | 5.61% 5.21% | 10/2/96 |
B Class No sales charge* With sales charge* | ACVBX | 3.48% -1.52% | 0.71% -3.29% | 1.97% 1.78% | — — | 3.91% 3.91% | 9/30/04 |
C Class No sales charge* With sales charge* | AACCX | 3.48% 2.48% | 0.71% 0.71% | 1.97% 1.97% | — — | 3.90% 3.90% | 9/30/04 |
R Class | AACRX | 3.86% | 1.34% | 2.50% | — | 4.17% | 3/31/05 |
*Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. B Class shares redeemed within six years of purchase are subject to a CDSC that declines from 5.00% during the first year after purchase to 0.00% the sixth year after purchase. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied.
(1) | Total returns for periods less than one year are not annualized. |
(2) | Since 2/29/96, the date nearest the Investor Class’s inception for which data are available. |
(3) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class and did not have a front-end sales charge. Performance prior to that date has been adjusted to reflect this charge. |
Total Annual Fund Operating Expenses | |||||
Investor Class | Institutional Class | A Class | B Class | C Class | R Class |
1.01% | 0.81% | 1.26% | 2.01% | 2.01% | 1.51% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. As interest rates rise, bond values will decline. International investing involves special risks, such as political instability and currency fluctuations.
Unless otherwise indicated, performance reflects Investor Class shares; performance for other share classes will vary due to differences in fee structure. For information about other share classes available, please consult the prospectus. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for the indices are provided for comparison. The fund’s total returns include operating expenses (such as transaction costs and management fees) that reduce returns, while the total returns of the indices do not.
4
MAY 31, 2012 | |
Top Ten Equity Holdings | % of net assets |
Apple, Inc. | 0.7% |
Chevron Corp. | 0.7% |
Exxon Mobil Corp. | 0.7% |
Pfizer, Inc. | 0.5% |
Johnson & Johnson | 0.5% |
General Electric Co. | 0.5% |
Wells Fargo & Co. | 0.5% |
JPMorgan Chase & Co. | 0.5% |
AT&T, Inc. | 0.4% |
Microsoft Corp. | 0.4% |
Geographic Composition of Equity Holdings | % of net assets |
United States | 35.5% |
United Kingdom | 1.2% |
Switzerland | 0.9% |
Japan | 0.9% |
Other Countries | 4.8% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 6.7 years |
Average Duration (effective) | 4.8 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 35.4% |
Foreign Common Stocks | 7.8% |
U.S. Treasury Securities | 18.7% |
U.S. Government Agency Mortgage-Backed Securities | 10.1% |
Corporate Bonds | 8.7% |
Sovereign Governments and Agencies | 6.8% |
Commercial Paper | 3.8% |
Municipal Securities | 3.2% |
U.S. Government Agency Securities | 1.7% |
Commercial Mortgage-Backed Securities | 1.3% |
Collateralized Mortgage Obligations | 0.2% |
Exchange-Traded Funds | 0.1% |
Convertible Preferred Stocks | —* |
Rights | —* |
Preferred Stocks | —* |
Temporary Cash Investments | 2.4% |
Other Assets and Liabilities | (0.2)% |
*Category is less than 0.05% of total net assets. |
5
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2011 to May 31, 2012.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
6
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 12/1/11 | Ending Account Value 5/31/12 | Expenses Paid During Period(1) 12/1/11 – 5/31/12 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,039.20 | $5.10 | 1.00% |
Institutional Class | $1,000 | $1,042.00 | $4.08 | 0.80% |
A Class | $1,000 | $1,038.00 | $6.37 | 1.25% |
B Class | $1,000 | $1,034.80 | $10.17 | 2.00% |
C Class | $1,000 | $1,034.80 | $10.17 | 2.00% |
R Class | $1,000 | $1,038.60 | $7.64 | 1.50% |
Hypothetical | ||||
Investor Class | $1,000 | $1,020.00 | $5.05 | 1.00% |
Institutional Class | $1,000 | $1,021.00 | $4.04 | 0.80% |
A Class | $1,000 | $1,018.75 | $6.31 | 1.25% |
B Class | $1,000 | $1,015.00 | $10.07 | 2.00% |
C Class | $1,000 | $1,015.00 | $10.07 | 2.00% |
R Class | $1,000 | $1,017.50 | $7.57 | 1.50% |
(1) | Expenses are equal to the class’s annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 183, the number of days in the most recent fiscal half-year, divided by 366, to reflect the one-half year period. |
7
Shares/ Principal Amount | Value | ||||||||
Common Stocks — 43.2% | |||||||||
AEROSPACE AND DEFENSE — 1.1% | |||||||||
AAR Corp. | 477 | $5,748 | |||||||
Aerovironment, Inc.(1) | 306 | 6,818 | |||||||
Alliant Techsystems, Inc. | 77 | 3,769 | |||||||
American Science & Engineering, Inc. | 942 | 45,640 | |||||||
Astronics Corp.(1) | 155 | 3,956 | |||||||
BE Aerospace, Inc.(1) | 8,300 | 359,556 | |||||||
Ceradyne, Inc. | 88 | 2,217 | |||||||
Curtiss-Wright Corp. | 535 | 16,259 | |||||||
European Aeronautic Defence and Space Co. NV | 12,175 | 407,522 | |||||||
Exelis, Inc. | 13,400 | 134,000 | |||||||
General Dynamics Corp. | 4,755 | 304,367 | |||||||
Hexcel Corp.(1) | 3,361 | 81,941 | |||||||
Honeywell International, Inc. | 11,942 | 664,692 | |||||||
L-3 Communications Holdings, Inc. | 4,713 | 321,379 | |||||||
Moog, Inc., Class A(1) | 251 | 9,543 | |||||||
National Presto Industries, Inc. | 178 | 11,937 | |||||||
Northrop Grumman Corp. | 14,983 | 880,251 | |||||||
Orbital Sciences Corp.(1) | 475 | 5,315 | |||||||
Precision Castparts Corp. | 1,500 | 249,315 | |||||||
Raytheon Co. | 10,229 | 514,723 | |||||||
Spirit Aerosystems Holdings, Inc. Class A(1) | 7,900 | 182,253 | |||||||
Teledyne Technologies, Inc.(1) | 155 | 9,235 | |||||||
Textron, Inc. | 5,481 | 129,516 | |||||||
TransDigm Group, Inc.(1) | 3,600 | 442,800 | |||||||
Triumph Group, Inc. | 1,299 | 77,732 | |||||||
United Technologies Corp. | 14,035 | 1,040,134 | |||||||
Zodiac Aerospace | 4,500 | 438,630 | |||||||
6,349,248 | |||||||||
AIR FREIGHT AND LOGISTICS — 0.2% | |||||||||
FedEx Corp. | 5,129 | 457,199 | |||||||
United Parcel Service, Inc., Class B | 13,186 | 988,159 | |||||||
UTi Worldwide, Inc. | 425 | 6,647 | |||||||
1,452,005 | |||||||||
AIRLINES — 0.1% | |||||||||
Alaska Air Group, Inc.(1) | 478 | 16,395 | |||||||
JetBlue Airways Corp.(1) | 1,347 | 7,045 | |||||||
Southwest Airlines Co. | 93,399 | 843,393 | |||||||
866,833 | |||||||||
AUTO COMPONENTS — 0.2% | |||||||||
American Axle & Manufacturing Holdings, Inc.(1) | 5,530 | 51,208 | |||||||
Autoliv, Inc. | 3,084 | 178,286 | |||||||
BorgWarner, Inc.(1) | 7,101 | 509,497 | |||||||
Cooper Tire & Rubber Co. | 590 | 9,133 | |||||||
Dana Holding Corp. | 1,553 | 20,686 | |||||||
Delphi Automotive plc(1) | 3,700 | 107,411 | |||||||
Lear Corp. | 224 | 8,926 | |||||||
Pirelli & C SpA | 26,890 | 266,494 | |||||||
Standard Motor Products, Inc. | 684 | 9,241 | |||||||
Tenneco, Inc.(1) | 232 | 6,299 | |||||||
1,167,181 | |||||||||
AUTOMOBILES — 0.3% | |||||||||
Bayerische Motoren Werke AG | 3,653 | 275,985 | |||||||
Ford Motor Co. | 61,880 | 653,453 | |||||||
Harley-Davidson, Inc. | 4,142 | 199,562 | |||||||
Toyota Motor Corp. | 14,800 | 574,170 | |||||||
1,703,170 | |||||||||
BEVERAGES — 0.8% | |||||||||
Anheuser-Busch InBev NV | 6,840 | 463,057 | |||||||
Beam, Inc. | 3,385 | 204,996 | |||||||
Boston Beer Co., Inc., Class A(1) | 134 | 14,050 | |||||||
Brown-Forman Corp., Class B | 888 | 77,416 | |||||||
Coca-Cola Co. (The) | 13,565 | 1,013,712 | |||||||
Coca-Cola Enterprises, Inc. | 1,502 | 41,095 | |||||||
Constellation Brands, Inc., Class A(1) | 15,472 | 298,455 | |||||||
Dr Pepper Snapple Group, Inc. | 13,658 | 563,529 | |||||||
Monster Beverage Corp.(1) | 6,381 | 463,261 | |||||||
PepsiCo, Inc. | 16,892 | 1,146,122 | |||||||
Pernod-Ricard SA | 3,636 | 355,177 | |||||||
Primo Water Corp.(1) | 2,031 | 2,518 | |||||||
4,643,388 |
8
Shares/ Principal Amount | Value |
BIOTECHNOLOGY — 0.7% | |||||||||
Achillion Pharmaceuticals, Inc.(1) | 526 | $3,777 | |||||||
Acorda Therapeutics, Inc.(1) | 359 | 7,894 | |||||||
Alexion Pharmaceuticals, Inc.(1) | 5,620 | 509,003 | |||||||
Alkermes plc(1) | 819 | 12,793 | |||||||
Amgen, Inc. | 20,763 | 1,443,444 | |||||||
ARIAD Pharmaceuticals, Inc.(1) | 1,286 | 21,309 | |||||||
Biogen Idec, Inc.(1) | 1,477 | 193,118 | |||||||
Cepheid, Inc.(1) | 5,205 | 196,905 | |||||||
Cubist Pharmaceuticals, Inc.(1) | 517 | 20,742 | |||||||
Exelixis, Inc.(1) | 1,310 | 6,065 | |||||||
Gilead Sciences, Inc.(1) | 8,383 | 418,731 | |||||||
Grifols SA(1) | 21,715 | 492,574 | |||||||
Halozyme Therapeutics, Inc.(1) | 755 | 5,768 | |||||||
ImmunoGen, Inc.(1) | 492 | 6,893 | |||||||
Incyte Corp. Ltd.(1) | 731 | 15,577 | |||||||
InterMune, Inc.(1) | 295 | 3,077 | |||||||
Ironwood Pharmaceuticals, Inc.(1) | 492 | 5,865 | |||||||
Isis Pharmaceuticals, Inc.(1) | 900 | 8,901 | |||||||
Medivation, Inc.(1) | 717 | 60,393 | |||||||
Momenta Pharmaceuticals, Inc.(1) | 399 | 5,502 | |||||||
NPS Pharmaceuticals, Inc.(1) | 785 | 6,194 | |||||||
Onyx Pharmaceuticals, Inc.(1) | 533 | 24,401 | |||||||
PDL BioPharma, Inc. | 1,060 | 6,879 | |||||||
Regeneron Pharmaceuticals, Inc.(1) | 900 | 122,085 | |||||||
Seattle Genetics, Inc.(1) | 813 | 15,837 | |||||||
Theravance, Inc.(1) | 501 | 10,366 | |||||||
United Therapeutics Corp.(1) | 5,820 | 257,477 | |||||||
3,881,570 | |||||||||
BUILDING PRODUCTS† | |||||||||
Apogee Enterprises, Inc. | 1,477 | 21,830 | |||||||
Builders FirstSource, Inc.(1) | 5,640 | 22,335 | |||||||
Fortune Brands Home & Security, Inc.(1) | 6,800 | 153,816 | |||||||
Simpson Manufacturing Co., Inc. | 161 | 4,474 | |||||||
202,455 | |||||||||
CAPITAL MARKETS — 0.9% | |||||||||
Affiliated Managers Group, Inc.(1) | 1,900 | 195,833 | |||||||
Ameriprise Financial, Inc. | 12,180 | 583,666 | |||||||
Apollo Investment Corp. | 2,657 | 19,768 | |||||||
Ares Capital Corp. | 630 | 9,507 | |||||||
Artio Global Investors, Inc. | 446 | 1,360 | |||||||
Bank of New York Mellon Corp. (The) | 20,820 | 423,895 | |||||||
BlackRock Kelso Capital Corp. | 501 | 4,709 | |||||||
BlackRock, Inc. | 4,613 | 787,900 | |||||||
Charles Schwab Corp. (The) | 30,492 | 379,930 | |||||||
Fifth Street Finance Corp. | 667 | 6,343 | |||||||
Franklin Resources, Inc. | 712 | 76,035 | |||||||
Goldman Sachs Group, Inc. (The) | 6,630 | 634,491 | |||||||
Hercules Technology Growth Capital, Inc. | 877 | 9,261 | |||||||
HFF, Inc., Class A(1) | 1,293 | 16,912 | |||||||
Janus Capital Group, Inc. | 2,799 | 20,433 | |||||||
Jefferies Group, Inc. | 5,200 | 69,472 | |||||||
KKR & Co. LP | 12,200 | 143,350 | |||||||
Knight Capital Group, Inc., Class A(1) | 514 | 6,461 | |||||||
MCG Capital Corp. | 392 | 1,729 | |||||||
Morgan Stanley | 12,660 | 169,138 | |||||||
Northern Trust Corp. | 22,497 | 971,421 | |||||||
PennantPark Investment Corp. | 1,818 | 17,726 | |||||||
Prospect Capital Corp. | 609 | 6,559 | |||||||
State Street Corp. | 3,544 | 146,048 | |||||||
Triangle Capital Corp. | 907 | 18,448 | |||||||
UBS AG(1) | 28,207 | 317,977 | |||||||
Waddell & Reed Financial, Inc. | 458 | 13,149 | |||||||
WisdomTree Investments, Inc.(1) | 853 | 5,698 | |||||||
5,057,219 | |||||||||
CHEMICALS — 0.9% | |||||||||
Air Liquide SA | 2,064 | 223,236 | |||||||
Airgas, Inc. | 4,000 | 347,240 | |||||||
Albemarle Corp. | 3,800 | 230,660 | |||||||
BASF SE | 4,518 | 314,967 |
9
Shares/ Principal Amount | Value |
Celanese Corp. | 2,300 | $91,563 | |||||||
CF Industries Holdings, Inc. | 2,557 | 437,145 | |||||||
Christian Hansen Holding A/S | 10,546 | 293,763 | |||||||
E.I. du Pont de Nemours & Co. | 11,961 | 577,238 | |||||||
Eastman Chemical Co. | 2,300 | 107,088 | |||||||
Ferro Corp.(1) | 539 | 2,393 | |||||||
Flotek Industries, Inc.(1) | 1,620 | 17,253 | |||||||
FMC Corp. | 4,200 | 214,074 | |||||||
Georgia Gulf Corp.(1) | 185 | 5,506 | |||||||
H.B. Fuller Co. | 988 | 30,035 | |||||||
Hawkins, Inc. | 398 | 13,138 | |||||||
Innophos Holdings, Inc. | 304 | 15,346 | |||||||
Intrepid Potash, Inc.(1) | 856 | 16,803 | |||||||
Koppers Holdings, Inc. | 213 | 7,478 | |||||||
Kraton Performance Polymers, Inc.(1) | 296 | 5,657 | |||||||
LyondellBasell Industries NV, Class A | 8,504 | 335,568 | |||||||
Minerals Technologies, Inc. | 3,974 | 251,435 | |||||||
Monsanto Co. | 9,400 | 725,680 | |||||||
Olin Corp. | 7,788 | 149,296 | |||||||
OM Group, Inc.(1) | 367 | 6,683 | |||||||
PPG Industries, Inc. | 2,298 | 237,705 | |||||||
Rockwood Holdings, Inc.(1) | 4,366 | 211,314 | |||||||
Sensient Technologies Corp. | 192 | 7,012 | |||||||
Syngenta AG | 1,150 | 368,199 | |||||||
TPC Group, Inc.(1) | 399 | 12,604 | |||||||
Tredegar Corp. | 669 | 9,065 | |||||||
5,265,144 | |||||||||
COMMERCIAL BANKS — 2.1% | |||||||||
American National Bankshares, Inc. | 696 | 15,166 | |||||||
Banco Bilbao Vizcaya Argentaria SA | 34,412 | 195,817 | |||||||
Banco Latinoamericano de Comercio Exterior SA E Shares | 766 | 14,937 | |||||||
Bancorp, Inc.(1) | 798 | 7,254 | |||||||
BancorpSouth, Inc. | 1,286 | 17,348 | |||||||
Bank of Montreal | 6,206 | 331,276 | |||||||
Bank of Nova Scotia | 4,620 | 236,938 | |||||||
BB&T Corp. | 4,307 | 130,158 | |||||||
BNP Paribas SA | 6,955 | 221,231 | |||||||
BOK Financial Corp. | 292 | 16,279 | |||||||
Boston Private Financial Holdings, Inc. | 2,224 | 20,061 | |||||||
Cathay General Bancorp. | 1,169 | 19,382 | |||||||
City National Corp. | 2,757 | 136,968 | |||||||
Columbia Banking System, Inc. | 437 | 7,918 | |||||||
Comerica, Inc. | 18,827 | 572,717 | |||||||
Commerce Bancshares, Inc. | 13,107 | 507,765 | |||||||
Commonwealth Bank of Australia | 9,517 | 457,963 | |||||||
Community Bank System, Inc. | 710 | 18,893 | |||||||
Cullen/Frost Bankers, Inc. | 3,715 | 211,346 | |||||||
CVB Financial Corp. | 700 | 7,623 | |||||||
DBS Group Holdings Ltd. | 31,000 | 318,035 | |||||||
DNB ASA | 21,062 | 189,785 | |||||||
East West Bancorp., Inc. | 5,371 | 120,257 | |||||||
F.N.B. Corp. | 1,484 | 15,760 | |||||||
First Financial Bancorp | 643 | 9,877 | |||||||
First Horizon National Corp. | 5,256 | 44,571 | |||||||
First Interstate Bancsystem, Inc. | 730 | 10,184 | |||||||
First Midwest Bancorp., Inc. | 900 | 9,081 | |||||||
First Republic Bank(1) | 195 | 6,123 | |||||||
FirstMerit Corp. | 883 | 14,040 | |||||||
Fulton Financial Corp. | 3,266 | 33,085 | |||||||
Heritage Financial Corp. | 1,239 | 17,160 | |||||||
Home Bancshares, Inc. | 971 | 27,314 | |||||||
HSBC Holdings plc | 71,487 | 564,137 | |||||||
Lakeland Financial Corp. | 593 | 15,234 | |||||||
Lloyds Banking Group plc(1) | 407,419 | 159,365 | |||||||
MB Financial, Inc. | 478 | 9,708 | |||||||
National Bankshares, Inc. | 481 | 13,949 | |||||||
Old National Bancorp. | 855 | 9,909 | |||||||
Pacific Continental Corp. | 1,093 | 9,837 | |||||||
Park Sterling Corp.(1) | 2,509 | 11,165 | |||||||
Pinnacle Financial Partners, Inc.(1) | 735 | 12,539 | |||||||
PNC Financial Services Group, Inc. | 19,550 | 1,200,761 | |||||||
Signature Bank(1) | 262 | 16,089 | |||||||
Standard Chartered plc | 18,752 | 378,309 | |||||||
Sumitomo Mitsui Financial Group, Inc. | 9,000 | 262,902 |
10
Shares/ Principal Amount | Value |
SunTrust Banks, Inc. | 8,791 | $201,490 | |||||||
Susquehanna Bancshares, Inc. | 1,632 | 15,716 | |||||||
Swedbank AB A Shares | 23,910 | 339,667 | |||||||
TCF Financial Corp. | 2,962 | 34,922 | |||||||
Texas Capital Bancshares, Inc.(1) | 856 | 33,196 | |||||||
Trico Bancshares | 906 | 13,907 | |||||||
Trustmark Corp. | 766 | 18,706 | |||||||
U.S. Bancorp | 53,036 | 1,649,950 | |||||||
UMB Financial Corp. | 327 | 15,948 | |||||||
Umpqua Holdings Corp. | 816 | 10,469 | |||||||
United Bankshares, Inc. | 331 | 8,480 | |||||||
Washington Banking Co. | 667 | 9,051 | |||||||
Webster Financial Corp. | 331 | 6,709 | |||||||
Wells Fargo & Co. | 88,033 | 2,821,458 | |||||||
Westamerica Bancorp. | 6,551 | 292,895 | |||||||
Wintrust Financial Corp. | 263 | 8,945 | |||||||
12,107,725 | |||||||||
COMMERCIAL SERVICES AND SUPPLIES — 0.4% | |||||||||
ABM Industries, Inc. | 314 | 6,741 | |||||||
Aggreko plc | 9,010 | 305,219 | |||||||
Avery Dennison Corp. | 7,380 | 214,832 | |||||||
Brink’s Co. (The) | 381 | 8,675 | |||||||
Clean Harbors, Inc.(1) | 3,800 | 235,866 | |||||||
Deluxe Corp. | 1,016 | 23,490 | |||||||
G&K Services, Inc., Class A | 767 | 22,381 | |||||||
Metalico, Inc.(1) | 2,913 | 7,370 | |||||||
Republic Services, Inc. | 48,437 | 1,276,799 | |||||||
Stericycle, Inc.(1) | 2,800 | 244,328 | |||||||
SYKES Enterprises, Inc.(1) | 1,216 | 18,301 | |||||||
Team, Inc.(1) | 101 | 2,695 | |||||||
US Ecology, Inc. | 542 | 9,328 | |||||||
Waste Management, Inc. | 5,768 | 187,114 | |||||||
2,563,139 | |||||||||
COMMUNICATIONS EQUIPMENT — 0.5% | |||||||||
Aruba Networks, Inc.(1) | 501 | 6,583 | |||||||
Bel Fuse, Inc., Class B | 944 | 15,368 | |||||||
Cisco Systems, Inc. | 101,204 | 1,652,661 | |||||||
Emulex Corp.(1) | 616 | 4,140 | |||||||
F5 Networks, Inc.(1) | 1,993 | 206,236 | |||||||
Harris Corp. | 2,912 | 115,839 | |||||||
InterDigital, Inc. | 233 | 5,753 | |||||||
Motorola Solutions, Inc. | 6,302 | 303,000 | |||||||
Netgear, Inc.(1) | 683 | 21,439 | |||||||
Oplink Communications, Inc.(1) | 578 | 7,410 | |||||||
Plantronics, Inc. | 212 | 6,379 | |||||||
Polycom, Inc.(1) | 787 | 9,003 | |||||||
Procera Networks, Inc.(1) | 1,231 | 25,728 | |||||||
QUALCOMM, Inc. | 8,179 | 468,739 | |||||||
Research In Motion Ltd.(1) | 2,122 | 21,920 | |||||||
Sycamore Networks, Inc.(1) | 876 | 11,616 | |||||||
Tellabs, Inc. | 2,010 | 7,357 | |||||||
Tessco Technologies, Inc. | 344 | 6,591 | |||||||
2,895,762 | |||||||||
COMPUTERS AND PERIPHERALS — 1.2% | |||||||||
Apple, Inc.(1) | 7,094 | 4,098,417 | |||||||
Datalink Corp.(1) | 693 | 6,875 | |||||||
Dell, Inc.(1) | 23,553 | 290,409 | |||||||
Electronics for Imaging, Inc.(1) | 881 | 12,986 | |||||||
EMC Corp.(1) | 15,906 | 379,358 | |||||||
Gemalto NV | 3,579 | 227,954 | |||||||
Hewlett-Packard Co. | 32,850 | 745,038 | |||||||
Lexmark International, Inc., Class A | 185 | 4,627 | |||||||
QLogic Corp.(1) | 5,687 | 77,400 | |||||||
SanDisk Corp.(1) | 7,992 | 261,338 | |||||||
Seagate Technology plc | 15,070 | 353,090 | |||||||
Synaptics, Inc.(1) | 209 | 5,605 | |||||||
Western Digital Corp.(1) | 13,190 | 414,034 | |||||||
6,877,131 | |||||||||
CONSTRUCTION AND ENGINEERING — 0.2% | |||||||||
Chicago Bridge & Iron Co. NV New York Shares | 11,745 | 422,115 | |||||||
Comfort Systems USA, Inc. | 193 | 1,752 | |||||||
Dycom Industries, Inc.(1) | 618 | 12,100 | |||||||
EMCOR Group, Inc. | 479 | 13,101 | |||||||
Granite Construction, Inc. | 1,543 | 35,366 | |||||||
KBR, Inc. | 3,600 | 91,692 | |||||||
Pike Electric Corp.(1) | 1,773 | 12,801 | |||||||
Quanta Services, Inc.(1) | 5,300 | 119,674 | |||||||
URS Corp. | 7,735 | 279,775 | |||||||
988,376 | |||||||||
CONSTRUCTION MATERIALS — 0.1% | |||||||||
Eagle Materials, Inc. | 700 | 22,470 | |||||||
HeidelbergCement AG | 6,479 | 281,036 | |||||||
303,506 |
11
Shares/ Principal Amount | Value |
CONSUMER FINANCE — 0.2% | |||||||||
American Express Co. | 10,761 | $600,787 | |||||||
Cash America International, Inc. | 5,069 | 225,469 | |||||||
Discover Financial Services | 8,800 | 291,368 | |||||||
1,117,624 | |||||||||
CONTAINERS AND PACKAGING — 0.1% | |||||||||
Bemis Co., Inc. | 16,701 | 507,042 | |||||||
Rock-Tenn Co., Class A | 2,500 | 128,975 | |||||||
Sonoco Products Co. | 166 | 5,108 | |||||||
641,125 | |||||||||
DISTRIBUTORS† | |||||||||
Core-Mark Holding Co., Inc. | 191 | 8,306 | |||||||
Li & Fung Ltd. | 42,000 | 77,057 | |||||||
85,363 | |||||||||
DIVERSIFIED CONSUMER SERVICES — 0.1% | |||||||||
Apollo Group, Inc., Class A(1) | 465 | 14,796 | |||||||
Coinstar, Inc.(1) | 5,576 | 342,534 | |||||||
ITT Educational Services, Inc.(1) | 4,889 | 278,184 | |||||||
Sotheby’s | 635 | 19,368 | |||||||
Steiner Leisure, Ltd.(1) | 241 | 11,045 | |||||||
665,927 | |||||||||
DIVERSIFIED FINANCIAL SERVICES — 0.9% | |||||||||
Bank of America Corp. | 120,301 | 884,213 | |||||||
CBOE Holdings, Inc. | 325 | 8,206 | |||||||
Citigroup, Inc. | 40,028 | 1,061,142 | |||||||
Compass Diversified Holdings | 791 | 10,378 | |||||||
JPMorgan Chase & Co. | 80,344 | 2,663,404 | |||||||
MarketAxess Holdings, Inc. | 908 | 29,319 | |||||||
McGraw-Hill Cos., Inc. (The) | 2,800 | 121,464 | |||||||
ORIX Corp. | 4,940 | 427,427 | |||||||
5,205,553 | |||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.1% | |||||||||
AT&T, Inc. | 74,557 | 2,547,612 | |||||||
CenturyLink, Inc. | 30,804 | 1,208,133 | |||||||
Premiere Global Services, Inc.(1) | 1,802 | 15,065 | |||||||
Telenor ASA | 29,042 | 424,357 | |||||||
tw telecom, inc.(1) | 16,899 | 391,888 | |||||||
Verizon Communications, Inc. | 46,156 | 1,921,936 | |||||||
6,508,991 | |||||||||
ELECTRIC UTILITIES — 1.0% | |||||||||
American Electric Power Co., Inc. | 16,527 | 636,455 | |||||||
Cleco Corp. | 1,354 | 55,297 | |||||||
El Paso Electric Co. | 643 | 19,734 | |||||||
Empire District Electric Co. (The) | 21,040 | 421,852 | |||||||
Exelon Corp. | 7,760 | 286,965 | |||||||
Great Plains Energy, Inc. | 32,194 | 641,304 | |||||||
IDACORP, Inc. | 4,646 | 182,541 | |||||||
Northeast Utilities | 7,414 | 266,978 | |||||||
NV Energy, Inc. | 43,984 | 760,923 | |||||||
Pinnacle West Capital Corp. | 9,020 | 445,408 | |||||||
PNM Resources, Inc. | 846 | 15,778 | |||||||
Portland General Electric Co. | 11,330 | 284,950 | |||||||
PPL Corp. | 13,970 | 382,359 | |||||||
Unitil Corp. | 352 | 9,367 | |||||||
Westar Energy, Inc. | 18,571 | 531,502 | |||||||
Xcel Energy, Inc. | 29,471 | 825,777 | |||||||
5,767,190 | |||||||||
ELECTRICAL EQUIPMENT — 0.2% | |||||||||
ABB Ltd. ADR(1) | 2,445 | 38,655 | |||||||
Brady Corp., Class A | 8,194 | 224,843 | |||||||
Emerson Electric Co. | 4,315 | 201,813 | |||||||
Encore Wire Corp. | 1,115 | 27,886 | |||||||
Franklin Electric Co., Inc. | 300 | 14,676 | |||||||
II-VI, Inc.(1) | 394 | 7,447 | |||||||
LSI Industries, Inc. | 884 | 5,410 | |||||||
Rockwell Automation, Inc. | 1,488 | 107,895 | |||||||
Schneider Electric SA | 5,242 | 279,168 | |||||||
907,793 | |||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS AND COMPONENTS — 0.3% | |||||||||
Audience, Inc.(1) | 95 | 1,683 | |||||||
Badger Meter, Inc. | 196 | 7,078 | |||||||
Benchmark Electronics, Inc.(1) | 730 | 9,884 | |||||||
Brightpoint, Inc.(1) | 1,407 | 6,852 | |||||||
Cognex Corp. | 1,061 | 37,124 | |||||||
Coherent, Inc.(1) | 162 | 7,151 | |||||||
Electro Scientific Industries, Inc. | 619 | 6,828 | |||||||
FARO Technologies, Inc.(1) | 200 | 9,226 | |||||||
Hitachi Ltd. | 18,000 | 103,139 | |||||||
Ingenico | 6,476 | 273,779 | |||||||
Key Tronic Corp.(1) | 762 | 7,384 |
12
Shares/ Principal Amount | Value |
Littelfuse, Inc. | 821 | $47,240 | |||||||
Methode Electronics, Inc. | 1,300 | 9,763 | |||||||
Molex, Inc., Class A | 8,337 | 164,572 | |||||||
Murata Manufacturing Co. Ltd. | 6,100 | 316,833 | |||||||
OSI Systems, Inc.(1) | 427 | 27,251 | |||||||
Park Electrochemical Corp. | 859 | 20,152 | |||||||
Plexus Corp.(1) | 335 | 9,380 | |||||||
TE Connectivity Ltd. | 7,608 | 239,043 | |||||||
Tech Data Corp.(1) | 3,981 | 189,536 | |||||||
Trimble Navigation Ltd.(1) | 6,948 | 327,703 | |||||||
1,821,601 | |||||||||
ENERGY EQUIPMENT AND SERVICES — 0.8% | |||||||||
Atwood Oceanics, Inc.(1) | 2,500 | 95,525 | |||||||
Baker Hughes, Inc. | 12,340 | 514,948 | |||||||
Bristow Group, Inc. | 158 | 6,328 | |||||||
Cal Dive International, Inc.(1) | 7,644 | 19,645 | |||||||
Core Laboratories NV | 2,460 | 314,634 | |||||||
Helix Energy Solutions Group, Inc.(1) | 20,348 | 348,561 | |||||||
Helmerich & Payne, Inc. | 1,772 | 80,272 | |||||||
Hornbeck Offshore Services, Inc.(1) | 2,636 | 88,016 | |||||||
Mitcham Industries, Inc.(1) | 1,486 | 28,085 | |||||||
National Oilwell Varco, Inc. | 9,810 | 654,818 | |||||||
Oceaneering International, Inc. | 7,229 | 334,124 | |||||||
Oil States International, Inc.(1) | 2,400 | 159,768 | |||||||
Petrofac Ltd. | 8,571 | 204,353 | |||||||
Pioneer Drilling Co.(1) | 1,595 | 11,867 | |||||||
Saipem SpA | 12,396 | 481,289 | |||||||
Schlumberger Ltd. | 15,559 | 984,107 | |||||||
Superior Energy Services, Inc.(1) | 739 | 15,992 | |||||||
Technip SA | 4,601 | 419,346 | |||||||
Tetra Technologies, Inc.(1) | 1,637 | 10,460 | |||||||
Unit Corp.(1) | 288 | 11,460 | |||||||
4,783,598 | |||||||||
FOOD AND STAPLES RETAILING — 0.8% | |||||||||
Andersons, Inc. (The) | 960 | 41,808 | |||||||
Chefs’ Warehouse, Inc. (The)(1) | 356 | 6,782 | |||||||
Costco Wholesale Corp. | 2,787 | 240,769 | |||||||
CVS Caremark Corp. | 27,126 | 1,219,042 | |||||||
Harris Teeter Supermarkets, Inc. | 85 | 3,190 | |||||||
Jeronimo Martins SGPS SA | 25,235 | 448,232 | |||||||
Kroger Co. (The) | 22,520 | 495,665 | |||||||
Lawson, Inc. | 3,900 | 273,239 | |||||||
SUPERVALU, Inc. | 1,415 | 6,396 | |||||||
SYSCO Corp. | 7,666 | 213,958 | |||||||
Village Super Market, Inc., Class A | 445 | 11,125 | |||||||
Wal-Mart Stores, Inc. | 11,630 | 765,487 | |||||||
Weis Markets, Inc. | 570 | 24,875 | |||||||
Whole Foods Market, Inc. | 7,256 | 642,954 | |||||||
4,393,522 | |||||||||
FOOD PRODUCTS — 1.1% | |||||||||
Archer-Daniels-Midland Co. | 14,593 | 465,225 | |||||||
Bunge Ltd. | 5,229 | 311,125 | |||||||
Campbell Soup Co. | 17,625 | 558,712 | |||||||
ConAgra Foods, Inc. | 24,767 | 622,890 | |||||||
Danone SA | 4,870 | 312,469 | |||||||
Darling International, Inc.(1) | 1,691 | 23,691 | |||||||
Dean Foods Co.(1) | 857 | 13,403 | |||||||
Dole Food Co., Inc.(1) | 985 | 8,747 | |||||||
General Mills, Inc. | 7,700 | 294,756 | |||||||
H.J. Heinz Co. | 2,961 | 157,170 | |||||||
Hershey Co. (The) | 2,761 | 184,600 | |||||||
J&J Snack Foods Corp. | 708 | 38,990 | |||||||
Kellogg Co. | 9,643 | 470,386 | |||||||
Kraft Foods, Inc., Class A | 10,780 | 412,551 | |||||||
McCormick & Co., Inc. | 3,100 | 174,716 | |||||||
Mead Johnson Nutrition Co. | 5,494 | 443,586 | |||||||
Nestle SA | 11,920 | 675,551 | |||||||
Ralcorp Holdings, Inc.(1) | 10,717 | 681,065 | |||||||
Snyders-Lance, Inc. | 527 | 13,591 | |||||||
Tyson Foods, Inc., Class A | 16,895 | 327,256 | |||||||
6,190,480 | |||||||||
GAS UTILITIES — 0.1% | |||||||||
AGL Resources, Inc. | 13,501 | 506,017 | |||||||
Atmos Energy Corp. | 631 | 20,911 | |||||||
Chesapeake Utilities Corp. | 123 | 5,198 | |||||||
Laclede Group, Inc. (The) | 353 | 13,453 | |||||||
ONEOK, Inc. | 2,200 | 182,578 | |||||||
South Jersey Industries, Inc. | 189 | 9,150 | |||||||
WGL Holdings, Inc. | 456 | 17,761 | |||||||
755,068 |
13
Shares/ Principal Amount | Value |
HEALTH CARE EQUIPMENT AND SUPPLIES — 1.1% | |||||||||
Abaxis, Inc.(1) | 217 | $7,105 | |||||||
Align Technology, Inc.(1) | 516 | 16,115 | |||||||
Arthrocare Corp.(1) | 267 | 6,990 | |||||||
Becton, Dickinson and Co. | 5,688 | 415,963 | |||||||
Boston Scientific Corp.(1) | 46,505 | 266,939 | |||||||
CareFusion Corp.(1) | 29,712 | 720,219 | |||||||
Cie Generale d’Optique Essilor International SA | 3,373 | 288,113 | |||||||
Cooper Cos., Inc. (The) | 2,455 | 209,117 | |||||||
Covidien plc | 5,562 | 288,000 | |||||||
Cutera, Inc.(1) | 947 | 6,544 | |||||||
Cyberonics, Inc.(1) | 241 | 9,291 | |||||||
DENTSPLY International, Inc. | 2,832 | 104,784 | |||||||
DexCom, Inc.(1) | 605 | 6,504 | |||||||
Edwards Lifesciences Corp.(1) | 1,457 | 124,384 | |||||||
Elekta AB B Shares | 3,741 | 179,364 | |||||||
Getinge AB B Shares | 3,323 | 82,566 | |||||||
Haemonetics Corp.(1) | 220 | 15,336 | |||||||
HeartWare International, Inc.(1) | 109 | 8,869 | |||||||
Hill-Rom Holdings, Inc. | 2,256 | 66,349 | |||||||
ICU Medical, Inc.(1) | 282 | 14,509 | |||||||
IDEXX Laboratories, Inc.(1) | 2,528 | 214,476 | |||||||
Insulet Corp.(1) | 428 | 7,884 | |||||||
Integra LifeSciences Holdings Corp.(1) | 698 | 24,786 | |||||||
Intuitive Surgical, Inc.(1) | 430 | 224,933 | |||||||
MAKO Surgical Corp.(1) | 4,304 | 97,744 | |||||||
Masimo Corp.(1) | 467 | 8,784 | |||||||
Medtronic, Inc. | 28,444 | 1,047,877 | |||||||
Meridian Bioscience, Inc. | 392 | 7,424 | |||||||
Mettler-Toledo International, Inc.(1) | 1,300 | 202,956 | |||||||
Neogen Corp.(1) | 209 | 8,138 | |||||||
NuVasive, Inc.(1) | 376 | 7,430 | |||||||
NxStage Medical, Inc.(1) | 389 | 5,909 | |||||||
Orthofix International NV(1) | 491 | 18,609 | |||||||
ResMed, Inc.(1) | 2,994 | 92,754 | |||||||
St. Jude Medical, Inc. | 1,082 | 41,570 | |||||||
STERIS Corp. | 10,292 | 307,319 | |||||||
Stryker Corp. | 5,112 | 263,012 | |||||||
Utah Medical Products, Inc. | 380 | 12,958 | |||||||
Volcano Corp.(1) | 446 | 12,751 | |||||||
West Pharmaceutical Services, Inc. | 165 | 7,887 | |||||||
Young Innovations, Inc. | 1,575 | 54,668 | |||||||
Zimmer Holdings, Inc. | 12,204 | 740,173 | |||||||
6,247,103 | |||||||||
HEALTH CARE PROVIDERS AND SERVICES — 0.8% | |||||||||
Accretive Health, Inc.(1) | 360 | 4,234 | |||||||
Aetna, Inc. | 9,810 | 401,131 | |||||||
Air Methods Corp.(1) | 94 | 8,568 | |||||||
AmerisourceBergen Corp. | 948 | 35,067 | |||||||
Amsurg Corp.(1) | 326 | 8,906 | |||||||
Assisted Living Concepts, Inc., Class A | 166 | 2,297 | |||||||
Bio-Reference Labs, Inc.(1) | 239 | 4,596 | |||||||
Centene Corp.(1) | 417 | 15,070 | |||||||
Chemed Corp. | 169 | 9,388 | |||||||
CIGNA Corp. | 5,392 | 236,763 | |||||||
Express Scripts Holding Co.(1) | 5,678 | 296,335 | |||||||
Fresenius Medical Care AG & Co. KGaA | 4,384 | 291,044 | |||||||
HealthSouth Corp.(1) | 866 | 16,575 | |||||||
HMS Holdings Corp.(1) | 718 | 19,235 | |||||||
Humana, Inc. | 6,944 | 530,452 | |||||||
IPC The Hospitalist Co., Inc.(1) | 150 | 5,249 | |||||||
Landauer, Inc. | 96 | 4,841 | |||||||
LifePoint Hospitals, Inc.(1) | 13,473 | 496,076 | |||||||
Lincare Holdings, Inc. | 792 | 18,161 | |||||||
Magellan Health Services, Inc.(1) | 330 | 13,916 | |||||||
McKesson Corp. | 4,929 | 430,203 | |||||||
MWI Veterinary Supply, Inc.(1) | 110 | 10,225 | |||||||
National Healthcare Corp. | 289 | 12,372 | |||||||
Owens & Minor, Inc. | 1,136 | 32,342 | |||||||
Patterson Cos., Inc. | 13,006 | 432,319 | |||||||
PSS World Medical, Inc.(1) | 1,133 | 22,921 | |||||||
Quest Diagnostics, Inc. | 3,960 | 225,324 | |||||||
U.S. Physical Therapy, Inc. | 299 | 7,266 | |||||||
UnitedHealth Group, Inc. | 10,999 | 613,414 | |||||||
VCA Antech, Inc.(1) | 836 | 18,007 | |||||||
WellCare Health Plans, Inc.(1) | 352 | 19,877 | |||||||
WellPoint, Inc. | 10,154 | 684,278 | |||||||
4,926,452 |
14
Shares/ Principal Amount | Value |
HEALTH CARE TECHNOLOGY — 0.1% | |||||||||
athenahealth, Inc.(1) | 285 | $20,717 | |||||||
Computer Programs & Systems, Inc. | 105 | 5,712 | |||||||
MedAssets, Inc.(1) | 372 | 4,211 | |||||||
Quality Systems, Inc. | 337 | 9,641 | |||||||
SXC Health Solutions Corp.(1) | 7,400 | 663,854 | |||||||
704,135 | |||||||||
HOTELS, RESTAURANTS AND LEISURE — 0.9% | |||||||||
AFC Enterprises, Inc.(1) | 777 | 16,597 | |||||||
Bally Technologies, Inc.(1) | 3,709 | 172,654 | |||||||
Bob Evans Farms, Inc. | 300 | 12,162 | |||||||
Brinker International, Inc. | 6,061 | 195,831 | |||||||
Carnival Corp. | 13,402 | 430,070 | |||||||
Carnival plc | 4,938 | 158,754 | |||||||
CEC Entertainment, Inc. | 9,700 | 339,112 | |||||||
Cedar Fair LP | 1,117 | 29,936 | |||||||
Chipotle Mexican Grill, Inc.(1) | 1,053 | 434,963 | |||||||
Hyatt Hotels Corp. Class A(1) | 900 | 33,291 | |||||||
Intercontinental Hotels Group plc | 9,222 | 216,890 | |||||||
International Game Technology | 14,514 | 207,550 | |||||||
International Speedway Corp., Class A | 4,658 | 111,978 | |||||||
Jack in the Box, Inc.(1) | 407 | 10,521 | |||||||
Las Vegas Sands Corp. | 2,700 | 124,686 | |||||||
Marriott International, Inc. Class A | 8,357 | 323,499 | |||||||
McDonald’s Corp. | 4,328 | 386,664 | |||||||
Orient-Express Hotels Ltd. Class A(1) | 677 | 5,714 | |||||||
Panera Bread Co., Class A(1) | 1,100 | 161,645 | |||||||
Papa John’s International, Inc.(1) | 555 | 25,819 | |||||||
Red Robin Gourmet Burgers, Inc.(1) | 398 | 12,736 | |||||||
Ruth’s Hospitality Group, Inc.(1) | 2,264 | 14,852 | |||||||
Sands China Ltd. | 72,000 | 245,827 | |||||||
Shuffle Master, Inc.(1) | 1,470 | 23,314 | |||||||
Speedway Motorsports, Inc. | 4,669 | 76,898 | |||||||
Starbucks Corp. | 7,153 | 392,628 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3,300 | 174,405 | |||||||
Tim Hortons, Inc. | 3,207 | 170,930 | |||||||
Vail Resorts, Inc. | 291 | 12,650 | |||||||
Whitbread plc | 5,690 | 163,374 | |||||||
WMS Industries, Inc.(1) | 336 | 6,898 | |||||||
Wyndham Worldwide Corp. | 2,200 | 109,560 | |||||||
Wynn Resorts Ltd. | 700 | 72,128 | |||||||
Yum! Brands, Inc. | 7,117 | 500,752 | |||||||
5,375,288 | |||||||||
HOUSEHOLD DURABLES — 0.2% | |||||||||
Cavco Industries, Inc.(1) | 11 | 464 | |||||||
CSS Industries, Inc. | 714 | 13,595 | |||||||
Electrolux AB | 8,179 | 155,035 | |||||||
Garmin Ltd. | 6,771 | 290,882 | |||||||
Helen of Troy Ltd.(1) | 125 | 3,935 | |||||||
La-Z-Boy, Inc.(1) | 593 | 8,367 | |||||||
M/I Homes, Inc.(1) | 1,523 | 22,875 | |||||||
Mohawk Industries, Inc.(1) | 1,903 | 129,594 | |||||||
Tempur-Pedic International, Inc.(1) | 749 | 34,611 | |||||||
Toll Brothers, Inc.(1) | 5,600 | 152,768 | |||||||
Tupperware Brands Corp. | 365 | 19,728 | |||||||
Whirlpool Corp. | 4,437 | 274,562 | |||||||
Zagg, Inc.(1) | 1,011 | 10,727 | |||||||
1,117,143 | |||||||||
HOUSEHOLD PRODUCTS — 0.7% | |||||||||
Church & Dwight Co., Inc. | 6,221 | 331,206 | |||||||
Clorox Co. | 3,849 | 264,811 | |||||||
Colgate-Palmolive Co. | 2,631 | 258,627 | |||||||
Kimberly-Clark Corp. | 5,722 | 454,041 | |||||||
Procter & Gamble Co. (The) | 37,492 | 2,335,377 | |||||||
Reckitt Benckiser Group plc | 1,291 | 68,525 | |||||||
Unicharm Corp. | 7,400 | 399,936 | |||||||
4,112,523 | |||||||||
INDUSTRIAL CONGLOMERATES — 0.8% | |||||||||
3M Co. | 657 | 55,458 | |||||||
Danaher Corp. | 4,629 | 240,569 | |||||||
General Electric Co. | 151,712 | 2,896,182 | |||||||
Koninklijke Philips Electronics NV | 26,049 | 460,597 | |||||||
Raven Industries, Inc. | 832 | 55,428 | |||||||
Standex International Corp. | 277 | 11,271 | |||||||
Tyco International Ltd. | 20,187 | 1,073,141 | |||||||
4,792,646 |
15
Shares/ Principal Amount | Value |
INSURANCE — 2.2% | |||||||||
ACE Ltd. | 8,545 | $618,060 | |||||||
Admiral Group plc | 12,405 | 198,642 | |||||||
AIA Group Ltd. | 89,600 | 292,065 | |||||||
Allied World Assurance Co. Holdings AG | 5,178 | 398,188 | |||||||
Allstate Corp. (The) | 32,572 | 1,105,494 | |||||||
Alterra Capital Holdings Ltd. | 853 | 18,945 | |||||||
American Equity Investment Life Holding Co. | 595 | 6,295 | |||||||
American Financial Group, Inc. | 4,003 | 155,677 | |||||||
American International Group, Inc.(1) | 5,730 | 167,201 | |||||||
AMERISAFE, Inc.(1) | 860 | 23,555 | |||||||
Amtrust Financial Services, Inc. | 1,020 | 29,325 | |||||||
Aon plc | 10,348 | 481,182 | |||||||
Aspen Insurance Holdings Ltd. | 879 | 24,841 | |||||||
Assurant, Inc. | 4,573 | 152,647 | |||||||
Baldwin & Lyons, Inc., Class B | 789 | 16,766 | |||||||
Berkshire Hathaway, Inc., Class B(1) | 11,550 | 916,608 | |||||||
Brown & Brown, Inc. | 3,963 | 101,453 | |||||||
Chubb Corp. (The) | 4,920 | 354,584 | |||||||
Employers Holdings, Inc. | 214 | 3,617 | |||||||
Everest Re Group Ltd. | 2,876 | 293,697 | |||||||
Hanover Insurance Group, Inc. (The) | 318 | 12,405 | |||||||
HCC Insurance Holdings, Inc. | 17,283 | 540,267 | |||||||
Hiscox Ltd. | 35,443 | 215,932 | |||||||
Infinity Property & Casualty Corp. | 274 | 14,703 | |||||||
Loews Corp. | 26,541 | 1,032,180 | |||||||
Marsh & McLennan Cos., Inc. | 15,773 | 504,421 | |||||||
MetLife, Inc. | 26,970 | 787,794 | |||||||
Muenchener Rueckversicherungs AG | 2,563 | 317,707 | |||||||
National Financial Partners Corp.(1) | 858 | 11,411 | |||||||
Platinum Underwriters Holdings Ltd. | 543 | 19,711 | |||||||
Primerica, Inc. | 488 | 11,746 | |||||||
Principal Financial Group, Inc. | 30,363 | 745,715 | |||||||
ProAssurance Corp. | 284 | 25,032 | |||||||
Prudential Financial, Inc. | 21,452 | 996,445 | |||||||
Symetra Financial Corp. | 12,261 | 138,549 | |||||||
Torchmark Corp. | 6,042 | 281,920 | |||||||
Travelers Cos., Inc. (The) | 19,509 | 1,219,117 | |||||||
United Fire Group, Inc. | 891 | 18,934 | |||||||
Unum Group | 16,934 | 337,833 | |||||||
Zurich Financial Services AG(1) | 1,462 | 298,917 | |||||||
12,889,581 | |||||||||
INTERNET AND CATALOG RETAIL — 0.2% | |||||||||
Amazon.com, Inc.(1) | 2,176 | 463,292 | |||||||
priceline.com, Inc.(1) | 507 | 317,123 | |||||||
Rakuten, Inc. | 436 | 466,269 | |||||||
1,246,684 | |||||||||
INTERNET SOFTWARE AND SERVICES — 0.4% | |||||||||
Dice Holdings, Inc.(1) | 3,271 | 32,154 | |||||||
Facebook, Inc. Class A(1) | 939 | 27,822 | |||||||
Google, Inc., Class A(1) | 2,843 | 1,651,385 | |||||||
Infospace, Inc.(1) | 2,062 | 26,311 | |||||||
Internap Network Services Corp.(1) | 683 | 4,870 | |||||||
Keynote Systems, Inc. | 428 | 6,185 | |||||||
LinkedIn Corp., Class A(1) | 1,100 | 105,710 | |||||||
Liquidity Services, Inc.(1) | 234 | 14,950 | |||||||
Perficient, Inc.(1) | 1,791 | 20,292 | |||||||
Rackspace Hosting, Inc.(1) | 5,015 | 248,092 | |||||||
SPS Commerce, Inc.(1) | 143 | 3,952 | |||||||
Stamps.com, Inc.(1) | 1,052 | 25,837 | |||||||
Telecity Group plc(1) | 32,859 | 414,254 | |||||||
ValueClick, Inc.(1) | 2,144 | 37,606 | |||||||
Web.com Group, Inc.(1) | 1,266 | 20,155 | |||||||
2,639,575 | |||||||||
IT SERVICES — 0.9% | |||||||||
Accenture plc, Class A | 9,586 | 547,361 | |||||||
Alliance Data Systems Corp.(1) | 5,400 | 680,400 | |||||||
Automatic Data Processing, Inc. | 4,011 | 209,174 | |||||||
Booz Allen Hamilton Holding Corp. | 11,424 | 185,183 | |||||||
CACI International, Inc., Class A(1) | 476 | 20,373 | |||||||
Cardtronics, Inc.(1) | 688 | 19,278 | |||||||
Convergys Corp.(1) | 1,462 | 20,395 | |||||||
DST Systems, Inc. | 962 | 49,158 | |||||||
Euronet Worldwide, Inc.(1) | 277 | 4,983 |
16
Shares/ Principal Amount | Value |
Fiserv, Inc.(1) | 4,050 | $273,091 | |||||||
FleetCor Technologies, Inc.(1) | 490 | 18,571 | |||||||
Heartland Payment Systems, Inc. | 1,614 | 47,097 | |||||||
International Business Machines Corp. | 9,721 | 1,875,181 | |||||||
MasterCard, Inc., Class A | 601 | 244,312 | |||||||
MAXIMUS, Inc. | 265 | 12,060 | |||||||
NeuStar, Inc., Class A(1) | 315 | 10,137 | |||||||
SAIC, Inc. | 13,110 | 145,652 | |||||||
Teradata Corp.(1) | 6,500 | 432,120 | |||||||
Total System Services, Inc. | 845 | 19,663 | |||||||
Visa, Inc., Class A | 5,280 | 608,256 | |||||||
5,422,445 | |||||||||
LEISURE EQUIPMENT AND PRODUCTS† | |||||||||
Brunswick Corp. | 253 | 5,541 | |||||||
Polaris Industries, Inc. | 1,263 | 95,950 | |||||||
Smith & Wesson Holding Corp.(1) | 2,745 | 18,501 | |||||||
Sturm Ruger & Co., Inc. | 574 | 22,369 | |||||||
142,361 | |||||||||
LIFE SCIENCES TOOLS AND SERVICES — 0.1% | |||||||||
Agilent Technologies, Inc. | 5,254 | 213,628 | |||||||
Covance, Inc.(1) | 339 | 15,730 | |||||||
Life Technologies Corp.(1) | 2,874 | 117,575 | |||||||
Luminex Corp.(1) | 348 | 7,708 | |||||||
PAREXEL International Corp.(1) | 467 | 12,497 | |||||||
Sequenom, Inc.(1) | 700 | 2,681 | |||||||
369,819 | |||||||||
MACHINERY — 1.0% | |||||||||
Actuant Corp., Class A | 4,941 | 129,306 | |||||||
Altra Holdings, Inc.(1) | 918 | 15,395 | |||||||
Atlas Copco AB A Shares | 10,591 | 213,292 | |||||||
Barnes Group, Inc. | 420 | 9,773 | |||||||
Blount International, Inc.(1) | 393 | 5,353 | |||||||
Briggs & Stratton Corp. | 1,110 | 18,759 | |||||||
Chart Industries, Inc.(1) | 2,900 | 181,134 | |||||||
CLARCOR, Inc. | 472 | 23,034 | |||||||
Cummins, Inc. | 5,347 | 518,392 | |||||||
Deere & Co. | 1,596 | 117,897 | |||||||
Dover Corp. | 5,510 | 311,646 | |||||||
Dynamic Materials Corp. | 579 | 9,774 | |||||||
FANUC Corp. | 1,900 | 327,820 | |||||||
Flow International Corp.(1) | 1,657 | 4,888 | |||||||
FreightCar America, Inc. | 390 | 7,734 | |||||||
Greenbrier Cos., Inc.(1) | 702 | 9,716 | |||||||
IDEX Corp. | 280 | 11,124 | |||||||
Illinois Tool Works, Inc. | 5,689 | 319,437 | |||||||
Ingersoll-Rand plc | 8,783 | 362,826 | |||||||
ITT Corp. | 12,938 | 265,617 | |||||||
Joy Global, Inc. | 2,400 | 134,064 | |||||||
Kaydon Corp. | 13,889 | 309,864 | |||||||
Kennametal, Inc. | 750 | 26,070 | |||||||
Komatsu Ltd. | 10,300 | 246,853 | |||||||
Lincoln Electric Holdings, Inc. | 142 | 6,756 | |||||||
Lindsay Corp. | 516 | 28,715 | |||||||
Middleby Corp.(1) | 219 | 22,397 | |||||||
Mitsubishi Heavy Industries Ltd. | 62,000 | 250,817 | |||||||
Mueller Industries, Inc., Class A | 234 | 9,940 | |||||||
NN, Inc.(1) | 2,853 | 22,025 | |||||||
Oshkosh Corp.(1) | 11,841 | 242,385 | |||||||
Parker-Hannifin Corp. | 4,643 | 379,519 | |||||||
Robbins & Myers, Inc. | 638 | 29,086 | |||||||
Sauer-Danfoss, Inc. | 8,911 | 321,954 | |||||||
SembCorp Marine Ltd. | 33,000 | 114,473 | |||||||
Snap-On, Inc. | 2,541 | 153,756 | |||||||
Stanley Black & Decker, Inc. | 3,079 | 203,984 | |||||||
Terex Corp.(1) | 10,719 | 178,257 | |||||||
Titan International, Inc. | 6,895 | 154,448 | |||||||
Trinity Industries, Inc. | 3,000 | 74,100 | |||||||
Volvo AB B Shares | 14,692 | 164,930 | |||||||
5,937,310 | |||||||||
MARINE — 0.1% | |||||||||
Diana Shipping, Inc.(1) | 1,593 | 12,266 | |||||||
Kirby Corp.(1) | 4,006 | 211,437 | |||||||
Kuehne + Nagel International AG | 1,251 | 132,911 | |||||||
356,614 | |||||||||
MEDIA — 1.0% | |||||||||
Belo Corp. Class A | 3,919 | 22,652 | |||||||
CBS Corp., Class B | 43,363 | 1,384,147 | |||||||
Comcast Corp., Class A | 37,620 | 1,087,594 | |||||||
DISH Network Corp., Class A | 12,702 | 356,164 | |||||||
Entercom Communications Corp., Class A(1) | 1,973 | 9,727 | |||||||
Entravision Communications Corp., Class A | 7,343 | 9,840 |
17
Shares/ Principal Amount | Value |
Eutelsat Communications SA | 3,213 | $84,145 | |||||||
Kabel Deutschland Holding AG(1) | 8,210 | 465,759 | |||||||
LIN TV Corp., Class A(1) | 4,279 | 12,324 | |||||||
Publicis Groupe SA | 3,898 | 180,312 | |||||||
Regal Entertainment Group Class A | 14,670 | 201,712 | |||||||
Sinclair Broadcast Group, Inc., Class A | 984 | 8,010 | |||||||
Time Warner Cable, Inc. | 6,886 | 519,204 | |||||||
Time Warner, Inc. | 38,186 | 1,316,271 | |||||||
Viacom, Inc., Class B | 6,886 | 328,669 | |||||||
5,986,530 | |||||||||
METALS AND MINING — 0.7% | |||||||||
Antofagasta plc | 11,797 | 182,179 | |||||||
BHP Billiton Ltd. | 11,673 | 363,520 | |||||||
Carpenter Technology Corp. | 3,900 | 175,734 | |||||||
Cliffs Natural Resources, Inc. | 2,900 | 138,562 | |||||||
Coeur d’Alene Mines Corp.(1) | 16,608 | 280,675 | |||||||
Freeport-McMoRan Copper & Gold, Inc. | 13,909 | 445,644 | |||||||
Haynes International, Inc. | 270 | 13,770 | |||||||
Hecla Mining Co. | 2,136 | 9,078 | |||||||
Iluka Resources Ltd. | 7,747 | 101,121 | |||||||
Materion Corp. | 244 | 5,390 | |||||||
Newmont Mining Corp. | 8,254 | 389,259 | |||||||
Noranda Aluminum Holding Corp. | 1,804 | 13,873 | |||||||
Nucor Corp. | 15,118 | 540,620 | |||||||
Rio Tinto Ltd. | 6,095 | 337,586 | |||||||
RTI International Metals, Inc.(1) | 633 | 13,287 | |||||||
Schnitzer Steel Industries, Inc. Class A | 289 | 7,537 | |||||||
Southern Copper Corp. | 1,382 | 39,318 | |||||||
Teck Resources Ltd. | 11,271 | 335,988 | |||||||
Thompson Creek Metals Co., Inc.(1) | 1,006 | 3,450 | |||||||
Umicore SA | 5,965 | 283,080 | |||||||
Xstrata plc | 22,313 | 317,237 | |||||||
3,996,908 | |||||||||
MULTI-UTILITIES — 0.5% | |||||||||
Ameren Corp. | 10,003 | 323,197 | |||||||
Avista Corp. | 605 | 15,373 | |||||||
Black Hills Corp. | 427 | 13,741 | |||||||
Consolidated Edison, Inc. | 9,773 | 589,898 | |||||||
NorthWestern Corp. | 335 | 11,896 | |||||||
PG&E Corp. | 26,892 | 1,175,181 | |||||||
Public Service Enterprise Group, Inc. | 13,122 | 409,275 | |||||||
Wisconsin Energy Corp. | 3,900 | 147,576 | |||||||
2,686,137 | |||||||||
MULTILINE RETAIL — 0.7% | |||||||||
Big Lots, Inc.(1) | 340 | 12,495 | |||||||
Dillard’s, Inc., Class A | 5,166 | 347,362 | |||||||
Dollar General Corp.(1) | 3,287 | 160,767 | |||||||
Dollar Tree, Inc.(1) | 3,400 | 350,812 | |||||||
Family Dollar Stores, Inc. | 1,700 | 115,175 | |||||||
Fred’s, Inc., Class A | 429 | 5,899 | |||||||
Gordmans Stores, Inc.(1) | 778 | 13,856 | |||||||
J.C. Penney Co., Inc. | 2,138 | 56,080 | |||||||
Kohl’s Corp. | 8,880 | 406,882 | |||||||
Macy’s, Inc. | 27,703 | 1,054,099 | |||||||
Target Corp. | 24,286 | 1,406,402 | |||||||
3,929,829 | |||||||||
OFFICE ELECTRONICS† | |||||||||
Zebra Technologies Corp., Class A(1) | 216 | 7,230 | |||||||
OIL, GAS AND CONSUMABLE FUELS — 3.2% | |||||||||
Apache Corp. | 13,202 | 1,074,379 | |||||||
Berry Petroleum Co., Class A | 491 | 19,105 | |||||||
BG Group plc | 32,555 | 623,409 | |||||||
Bill Barrett Corp.(1) | 275 | 5,310 | |||||||
BP Prudhoe Bay Royalty Trust | 124 | 13,773 | |||||||
Cabot Oil & Gas Corp. | 7,600 | 247,304 | |||||||
Chevron Corp. | 38,976 | 3,831,731 | |||||||
Concho Resources, Inc.(1) | 3,200 | 280,768 | |||||||
ConocoPhillips | 10,506 | 547,993 | |||||||
Devon Energy Corp. | 5,611 | 333,967 | |||||||
Energy XXI Bermuda Ltd. | 10,275 | 319,039 | |||||||
ENI SpA | 11,732 | 226,303 | |||||||
EOG Resources, Inc. | 2,365 | 234,844 | |||||||
EQT Corp. | 8,194 | 380,038 | |||||||
Exxon Mobil Corp. | 48,595 | 3,821,025 | |||||||
Goodrich Petroleum Corp.(1) | 574 | 8,478 | |||||||
Gulfport Energy Corp.(1) | 1,070 | 19,774 | |||||||
Hugoton Royalty Trust | 946 | 6,414 | |||||||
Imperial Oil Ltd. | 19,026 | 764,650 | |||||||
Kodiak Oil & Gas Corp.(1) | 15,688 | 127,230 | |||||||
Marathon Oil Corp. | 1,682 | 41,899 | |||||||
Marathon Petroleum Corp. | 10,613 | 382,811 |
18
Shares/ Principal Amount | Value |
Murphy Oil Corp. | 9,423 | $439,300 | |||||||
Noble Energy, Inc. | 2,746 | 231,927 | |||||||
Occidental Petroleum Corp. | 14,263 | 1,130,628 | |||||||
Pacific Coast Oil Trust | 653 | 10,990 | |||||||
Peabody Energy Corp. | 9,268 | 216,500 | |||||||
Phillips 66(1) | 5,181 | 155,585 | |||||||
Rosetta Resources, Inc.(1) | 823 | 31,842 | |||||||
SandRidge Mississippian Trust II | 603 | 12,193 | |||||||
SM Energy Co. | 1,600 | 86,544 | |||||||
Southwestern Energy Co.(1) | 7,745 | 217,092 | |||||||
Statoil ASA | 22,410 | 505,378 | |||||||
Stone Energy Corp.(1) | 1,087 | 25,610 | |||||||
Suncor Energy, Inc. | 11,835 | 319,427 | |||||||
Swift Energy Co.(1) | 328 | 6,530 | |||||||
Tesoro Logistics LP | 215 | 6,779 | |||||||
Total SA ADR | 14,430 | 621,500 | |||||||
Tullow Oil plc | 6,747 | 147,866 | |||||||
Ultra Petroleum Corp.(1) | 27,602 | 511,189 | |||||||
Vaalco Energy, Inc.(1) | 2,515 | 21,453 | |||||||
Valero Energy Corp. | 19,472 | 410,859 | |||||||
W&T Offshore, Inc. | 1,242 | 19,090 | |||||||
Western Refining, Inc. | 9,576 | 185,200 | |||||||
Whiting USA Trust II | 25 | 487 | |||||||
18,624,213 | |||||||||
PAPER AND FOREST PRODUCTS — 0.1% | |||||||||
Buckeye Technologies, Inc. | 1,311 | 36,328 | |||||||
Clearwater Paper Corp.(1) | 611 | 19,149 | |||||||
Domtar Corp. | 3,572 | 282,581 | |||||||
International Paper Co. | 12,140 | 354,488 | |||||||
KapStone Paper and Packaging Corp.(1) | 3,072 | 47,431 | |||||||
Neenah Paper, Inc. | 572 | 14,906 | |||||||
754,883 | |||||||||
PERSONAL PRODUCTS — 0.1% | |||||||||
Estee Lauder Cos., Inc. (The), Class A | 3,779 | 204,633 | |||||||
Inter Parfums, Inc. | 810 | 12,717 | |||||||
L’Oreal SA | 3,400 | 382,237 | |||||||
Nu Skin Enterprises, Inc., Class A | 6,174 | 264,741 | |||||||
Prestige Brands Holdings, Inc.(1) | 310 | 4,256 | |||||||
868,584 | |||||||||
PHARMACEUTICALS — 2.3% | |||||||||
Abbott Laboratories | 28,551 | 1,764,166 | |||||||
Allergan, Inc. | 2,093 | 188,893 | |||||||
Auxilium Pharmaceuticals, Inc.(1) | 425 | 8,118 | |||||||
Elan Corp. plc ADR(1) | 7,800 | 108,888 | |||||||
Eli Lilly & Co. | 12,994 | 532,104 | |||||||
GlaxoSmithKline plc | 19,054 | 422,284 | |||||||
Hospira, Inc.(1) | 4,321 | 135,075 | |||||||
Impax Laboratories, Inc.(1) | 899 | 18,636 | |||||||
Jazz Pharmaceuticals plc(1) | 182 | 7,862 | |||||||
Johnson & Johnson | 47,061 | 2,938,018 | |||||||
Medicis Pharmaceutical Corp., Class A | 616 | 22,238 | |||||||
Merck & Co., Inc. | 55,919 | 2,101,436 | |||||||
Nektar Therapeutics(1) | 702 | 4,703 | |||||||
Novo Nordisk A/S B Shares | 2,595 | 345,231 | |||||||
Optimer Pharmaceuticals, Inc.(1) | 415 | 6,200 | |||||||
Par Pharmaceutical Cos., Inc.(1) | 726 | 26,020 | |||||||
Perrigo Co. | 2,900 | 301,281 | |||||||
Pfizer, Inc. | 142,591 | 3,118,465 | |||||||
Questcor Pharmaceuticals, Inc.(1) | 4,142 | 171,479 | |||||||
Roche Holding AG | 2,279 | 355,687 | |||||||
Salix Pharmaceuticals Ltd.(1) | 483 | 25,024 | |||||||
Sanofi | 8,590 | 584,185 | |||||||
Shire plc | 14,341 | 404,031 | |||||||
ViroPharma, Inc.(1) | 381 | 7,673 | |||||||
VIVUS, Inc.(1) | 806 | 19,981 | |||||||
13,617,678 | |||||||||
PROFESSIONAL SERVICES — 0.2% | |||||||||
Adecco SA(1) | 3,513 | 136,346 | |||||||
Advisory Board Co. (The)(1) | 226 | 21,893 | |||||||
Capita Group plc (The) | 20,228 | 192,664 | |||||||
CDI Corp. | 1,109 | 18,609 | |||||||
Experian plc | 14,598 | 203,611 | |||||||
Heidrick & Struggles International, Inc. | 528 | 8,670 | |||||||
Intertek Group plc | 6,943 | 283,029 | |||||||
Kelly Services, Inc., Class A | 815 | 9,527 | |||||||
Kforce, Inc.(1) | 624 | 8,318 | |||||||
On Assignment, Inc.(1) | 2,105 | 35,069 |
19
Shares/ Principal Amount | Value |
TrueBlue, Inc.(1) | 902 | $13,485 | |||||||
WageWorks, Inc.(1) | 804 | 8,788 | |||||||
940,009 | |||||||||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 2.4% | |||||||||
American Campus Communities, Inc. | 2,242 | 98,424 | |||||||
American Tower Corp. | 5,947 | 385,841 | |||||||
Apartment Investment & Management Co., Class A | 8,300 | 224,681 | |||||||
Associated Estates Realty Corp. | 419 | 6,624 | |||||||
AvalonBay Communities, Inc. | 3,720 | 519,870 | |||||||
BioMed Realty Trust, Inc. | 1,125 | 20,306 | |||||||
Boston Properties, Inc. | 4,833 | 497,461 | |||||||
Brandywine Realty Trust | 10,600 | 119,038 | |||||||
BRE Properties, Inc. | 3,907 | 192,342 | |||||||
Camden Property Trust | 4,342 | 282,708 | |||||||
Campus Crest Communities, Inc. | 1,682 | 18,132 | |||||||
CBL & Associates Properties, Inc. | 807 | 14,090 | |||||||
Cedar Realty Trust, Inc. | 1,213 | 5,822 | |||||||
Chimera Investment Corp. | 5,523 | 15,464 | |||||||
CommonWealth REIT | 656 | 11,578 | |||||||
CreXus Investment Corp. | 656 | 6,429 | |||||||
DCT Industrial Trust, Inc. | 11,998 | 69,828 | |||||||
DDR Corp. | 9,033 | 125,468 | |||||||
DiamondRock Hospitality Co. | 6,829 | 67,880 | |||||||
Digital Realty Trust, Inc. | 5,837 | 413,084 | |||||||
Duke Realty Corp. | 3,018 | 41,769 | |||||||
Education Realty Trust, Inc. | 5,072 | 55,893 | |||||||
Entertainment Properties Trust | 595 | 24,556 | |||||||
Equity Lifestyle Properties, Inc. | 123 | 8,101 | |||||||
Equity One, Inc. | 4,200 | 83,412 | |||||||
Equity Residential | 9,000 | 549,900 | |||||||
Essex Property Trust, Inc. | 1,302 | 195,899 | |||||||
Extra Space Storage, Inc. | 6,177 | 175,180 | |||||||
Federal Realty Investment Trust | 2,286 | 224,668 | |||||||
First Industrial Realty Trust, Inc.(1) | 4,216 | 50,297 | |||||||
General Growth Properties, Inc. | 17,874 | 299,390 | |||||||
Government Properties Income Trust | 5,551 | 118,736 | |||||||
Hatteras Financial Corp. | 544 | 15,531 | |||||||
HCP, Inc. | 13,318 | 543,907 | |||||||
Health Care REIT, Inc. | 8,472 | 469,942 | |||||||
Healthcare Realty Trust, Inc. | 570 | 12,472 | |||||||
Hersha Hospitality Trust | 1,813 | 9,663 | |||||||
Highwoods Properties, Inc. | 6,000 | 193,560 | |||||||
Host Hotels & Resorts, Inc. | 14,446 | 220,446 | |||||||
Kilroy Realty Corp. | 5,129 | 235,472 | |||||||
Kimco Realty Corp. | 13,750 | 246,813 | |||||||
LaSalle Hotel Properties | 3,358 | 92,614 | |||||||
Lexington Realty Trust | 2,565 | 21,315 | |||||||
Macerich Co. (The) | 4,364 | 248,966 | |||||||
Mack-Cali Realty Corp. | 645 | 17,570 | |||||||
Medical Properties Trust, Inc. | 759 | 6,831 | |||||||
MFA Financial, Inc. | 1,941 | 14,790 | |||||||
National Retail Properties, Inc. | 426 | 11,285 | |||||||
Newcastle Investment Corp. | 19,223 | 127,641 | |||||||
Piedmont Office Realty Trust, Inc., Class A | 26,489 | 437,333 | |||||||
Post Properties, Inc. | 4,134 | 200,127 | |||||||
ProLogis, Inc. | 9,122 | 291,722 | |||||||
PS Business Parks, Inc. | 299 | 19,701 | |||||||
Public Storage | 4,700 | 627,309 | |||||||
Rayonier, Inc. | 1,000 | 42,970 | |||||||
RLJ Lodging Trust | 963 | 16,978 | |||||||
Sabra Health Care REIT, Inc. | 1,168 | 16,796 | |||||||
Simon Property Group, Inc. | 14,131 | 2,084,605 | |||||||
SL Green Realty Corp. | 2,598 | 194,876 | |||||||
Sovran Self Storage, Inc. | 449 | 22,158 | |||||||
Strategic Hotels & Resorts, Inc.(1) | 15,318 | 95,431 | |||||||
Sun Communities, Inc. | 160 | 6,594 | |||||||
Sunstone Hotel Investors, Inc.(1) | 8,651 | 86,597 | |||||||
Taubman Centers, Inc. | 3,760 | 274,480 | |||||||
UDR, Inc. | 13,915 | 360,398 | |||||||
Urstadt Biddle Properties, Inc., Class A | 647 | 11,517 | |||||||
Ventas, Inc. | 13,440 | 790,541 | |||||||
Vornado Realty Trust | 6,509 | 533,217 | |||||||
Washington Real Estate Investment Trust | 354 | 9,962 | |||||||
Weyerhaeuser Co. | 11,576 | 230,478 | |||||||
13,765,479 |
20
Shares/ Principal Amount | Value |
REAL ESTATE MANAGEMENT AND DEVELOPMENT — 0.1% | |||||||||
CBRE Group, Inc.(1) | 16,405 | $269,862 | |||||||
Daito Trust Construction Co. Ltd. | 2,900 | 255,360 | |||||||
Forest City Enterprises, Inc. Class A(1) | 3,800 | 50,882 | |||||||
Jones Lang LaSalle, Inc. | 300 | 21,750 | |||||||
597,854 | |||||||||
ROAD AND RAIL — 0.3% | |||||||||
Arkansas Best Corp. | 636 | 8,045 | |||||||
Canadian National Railway Co. | 3,267 | 267,155 | |||||||
Celadon Group, Inc. | 618 | 9,956 | |||||||
Heartland Express, Inc. | 18,688 | 266,117 | |||||||
Kansas City Southern | 6,200 | 409,076 | |||||||
Marten Transport Ltd. | 614 | 12,569 | |||||||
Quality Distribution, Inc.(1) | 820 | 8,709 | |||||||
Union Pacific Corp. | 6,900 | 768,660 | |||||||
Werner Enterprises, Inc. | 307 | 7,472 | |||||||
1,757,759 | |||||||||
SEMICONDUCTORS AND SEMICONDUCTOR EQUIPMENT — 1.3% | |||||||||
Advanced Micro Devices, Inc.(1) | 55,218 | 335,725 | |||||||
Applied Materials, Inc. | 112,366 | 1,160,741 | |||||||
ARM Holdings plc | 41,907 | 327,133 | |||||||
ASML Holding NV | 9,363 | 429,520 | |||||||
Avago Technologies Ltd. | 7,900 | 261,490 | |||||||
Broadcom Corp., Class A(1) | 8,226 | 266,111 | |||||||
Cavium Networks, Inc.(1) | 114 | 2,760 | |||||||
CEVA, Inc.(1) | 364 | 6,326 | |||||||
Cirrus Logic, Inc.(1) | 1,078 | 30,960 | |||||||
Cymer, Inc.(1) | 176 | 9,534 | |||||||
Entegris, Inc.(1) | 1,144 | 8,820 | |||||||
Formfactor, Inc.(1) | 1,475 | 8,835 | |||||||
Infineon Technologies AG | 31,372 | 247,800 | |||||||
Intel Corp. | 83,809 | 2,165,624 | |||||||
Intersil Corp., Class A | 1,691 | 17,840 | |||||||
KLA-Tencor Corp. | 10,349 | 474,295 | |||||||
Linear Technology Corp. | 5,158 | 149,685 | |||||||
M/A-COM Technology Solutions Holdings, Inc.(1) | 876 | 14,507 | |||||||
Marvell Technology Group Ltd.(1) | 35,711 | 447,459 | |||||||
MKS Instruments, Inc. | 173 | 4,524 | |||||||
Nanometrics, Inc.(1) | 1,303 | 20,236 | |||||||
Photronics, Inc.(1) | 3,622 | 21,732 | |||||||
Rudolph Technologies, Inc.(1) | 764 | 6,586 | |||||||
Semtech Corp.(1) | 1,000 | 24,090 | |||||||
Skyworks Solutions, Inc.(1) | 1,529 | 41,069 | |||||||
Spansion, Inc., Class A(1) | 2,764 | 29,851 | |||||||
Standard Microsystems Corp.(1) | 540 | 19,786 | |||||||
Teradyne, Inc.(1) | 22,882 | 330,645 | |||||||
Ultratech, Inc.(1) | 1,205 | 36,536 | |||||||
Xilinx, Inc. | 14,457 | 462,190 | |||||||
7,362,410 | |||||||||
SOFTWARE — 1.4% | |||||||||
ACI Worldwide, Inc.(1) | 95 | 3,628 | |||||||
Actuate Corp.(1) | 1,962 | 13,106 | |||||||
Adobe Systems, Inc.(1) | 6,110 | 189,716 | |||||||
Allot Communications Ltd.(1) | 1,807 | 47,018 | |||||||
BroadSoft, Inc.(1) | 384 | 10,487 | |||||||
CA, Inc. | 5,050 | 125,594 | |||||||
Cadence Design Systems, Inc.(1) | 1,186 | 12,097 | |||||||
Cerner Corp.(1) | 3,011 | 234,738 | |||||||
Check Point Software Technologies Ltd.(1) | 10,610 | 543,656 | |||||||
Citrix Systems, Inc.(1) | 7,128 | 520,914 | |||||||
CommVault Systems, Inc.(1) | 1,299 | 60,884 | |||||||
Compuware Corp.(1) | 1,631 | 14,679 | |||||||
Fortinet, Inc.(1) | 2,568 | 54,570 | |||||||
Glu Mobile, Inc.(1) | 1,617 | 7,471 | |||||||
Guidance Software, Inc.(1) | 1,431 | 11,734 | |||||||
Intuit, Inc. | 337 | 18,950 | |||||||
JDA Software Group, Inc.(1) | 239 | 6,616 | |||||||
Kenexa Corp.(1) | 1,986 | 57,932 | |||||||
Konami Corp. | 8,700 | 183,970 | |||||||
Mentor Graphics Corp.(1) | 593 | 8,361 | |||||||
Microsoft Corp. | 85,211 | 2,487,309 | |||||||
NetScout Systems, Inc.(1) | 826 | 16,561 | |||||||
NetSuite, Inc.(1) | 5,400 | 253,368 | |||||||
Oracle Corp. | 65,530 | 1,734,579 | |||||||
Parametric Technology Corp.(1) | 622 | 12,564 | |||||||
PROS Holdings, Inc.(1) | 1,197 | 17,991 | |||||||
QLIK Technologies, Inc.(1) | 2,865 | 65,121 | |||||||
Quest Software, Inc.(1) | 4,034 | 100,850 | |||||||
Red Hat, Inc.(1) | 1,308 | 67,205 | |||||||
SAP AG | 7,693 | 441,375 |
21
Shares/ Principal Amount | Value |
SolarWinds, Inc.(1) | 253 | $11,603 | |||||||
Sourcefire, Inc.(1) | 2,100 | 115,836 | |||||||
Symantec Corp.(1) | 25,537 | 378,969 | |||||||
TIBCO Software, Inc.(1) | 908 | 24,289 | |||||||
Ultimate Software Group, Inc.(1) | 237 | 19,038 | |||||||
Websense, Inc.(1) | 1,375 | 25,548 | |||||||
7,898,327 | |||||||||
SPECIALTY RETAIL — 1.4% | |||||||||
America’s Car-Mart, Inc.(1) | 402 | 17,346 | |||||||
American Eagle Outfitters, Inc. | 656 | 12,667 | |||||||
Ascena Retail Group, Inc.(1) | 950 | 17,983 | |||||||
Best Buy Co., Inc. | 19,600 | 366,912 | |||||||
Buckle, Inc. (The) | 402 | 15,734 | |||||||
Cabela’s, Inc.(1) | 599 | 21,169 | |||||||
Cato Corp. (The), Class A | 452 | 12,972 | |||||||
Collective Brands, Inc.(1) | 927 | 19,717 | |||||||
Destination Maternity Corp. | 829 | 16,165 | |||||||
DSW, Inc., Class A | 3,200 | 190,976 | |||||||
Esprit Holdings Ltd. | 74,300 | 119,660 | |||||||
Express, Inc.(1) | 661 | 12,229 | |||||||
Fast Retailing Co. Ltd. | 1,500 | 334,801 | |||||||
Finish Line, Inc. (The), Class A | 351 | 7,238 | |||||||
Foot Locker, Inc. | 10,999 | 349,108 | |||||||
Francesca’s Holdings Corp.(1) | 443 | 10,393 | |||||||
GameStop Corp., Class A | 4,448 | 85,313 | |||||||
Genesco, Inc.(1) | 709 | 47,148 | |||||||
GNC Holdings, Inc. Class A | 5,699 | 219,582 | |||||||
Guess?, Inc. | 310 | 8,258 | |||||||
Home Depot, Inc. (The) | 20,544 | 1,013,641 | |||||||
Inditex SA | 4,263 | 352,222 | |||||||
Kingfisher plc | 25,031 | 108,789 | |||||||
Lithia Motors, Inc., Class A | 4,115 | 100,488 | |||||||
Lowe’s Cos., Inc. | 47,080 | 1,257,978 | |||||||
Men’s Wearhouse, Inc. (The) | 429 | 15,440 | |||||||
Nitori Holdings Co. Ltd. | 1,600 | 144,564 | |||||||
O’Reilly Automotive, Inc.(1) | 7,343 | 703,386 | |||||||
Penske Automotive Group, Inc. | 227 | 5,580 | |||||||
PetSmart, Inc. | 13,912 | 896,489 | |||||||
RadioShack Corp. | 1,426 | 6,617 | |||||||
Rent-A-Center, Inc. | 287 | 9,663 | |||||||
Rue21, Inc.(1) | 487 | 12,896 | |||||||
Select Comfort Corp.(1) | 457 | 12,504 | |||||||
Stage Stores, Inc. | 214 | 3,679 | |||||||
Staples, Inc. | 66,446 | 873,100 | |||||||
Tilly’s, Inc. Class A(1) | 46 | 749 | |||||||
Tractor Supply Co. | 5,368 | 490,367 | |||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 3,900 | 348,543 | |||||||
Urban Outfitters, Inc.(1) | 4,014 | 112,272 | |||||||
Williams-Sonoma, Inc. | 391 | 13,650 | |||||||
8,367,988 | |||||||||
TEXTILES, APPAREL AND LUXURY GOODS — 0.3% | |||||||||
adidas AG | 3,213 | 239,127 | |||||||
Burberry Group plc | 17,658 | 372,022 | |||||||
Carter’s, Inc.(1) | 375 | 20,224 | |||||||
Coach, Inc. | 2,864 | 193,177 | |||||||
Columbia Sportswear Co. | 517 | 24,863 | |||||||
Culp, Inc.(1) | 1,225 | 11,858 | |||||||
G-III Apparel Group Ltd.(1) | 703 | 17,371 | |||||||
Hugo Boss AG Preference Shares | 2,606 | 253,113 | |||||||
Iconix Brand Group, Inc.(1) | 1,465 | 21,946 | |||||||
Lululemon Athletica, Inc.(1) | 747 | 54,262 | |||||||
Michael Kors Holdings Ltd.(1) | 4,949 | 194,892 | |||||||
Movado Group, Inc. | 1,695 | 46,951 | |||||||
Oxford Industries, Inc. | 559 | 25,742 | |||||||
Prada SpA | 47,600 | 293,148 | |||||||
Vera Bradley, Inc.(1) | 416 | 9,098 | |||||||
VF Corp. | 900 | 126,936 | |||||||
1,904,730 | |||||||||
THRIFTS AND MORTGAGE FINANCE — 0.2% | |||||||||
BankUnited, Inc. | 1,657 | 39,089 | |||||||
Berkshire Hills Bancorp, Inc. | 283 | 6,175 | |||||||
Brookline Bancorp., Inc. | 1,069 | 9,397 | |||||||
Capitol Federal Financial, Inc. | 29,230 | 340,529 | |||||||
Flushing Financial Corp. | 621 | 8,011 | |||||||
Hudson City Bancorp., Inc. | 50,799 | 314,954 | |||||||
Kaiser Federal Financial Group, Inc. | 487 | 6,813 | |||||||
Nationstar Mortgage Holdings, Inc.(1) | 681 | 13,055 | |||||||
Oritani Financial Corp. | 520 | 7,119 | |||||||
People’s United Financial, Inc. | 37,488 | 435,985 | |||||||
Provident Financial Services, Inc. | 892 | 12,443 |
22
Shares/ Principal Amount | Value |
Rockville Financial, Inc. | 978 | $11,003 | |||||||
Washington Federal, Inc. | 715 | 11,733 | |||||||
1,216,306 | |||||||||
TOBACCO — 0.5% | |||||||||
Altria Group, Inc. | 16,490 | 530,813 | |||||||
British American Tobacco plc | 10,105 | 476,325 | |||||||
Japan Tobacco, Inc. | 70 | 390,378 | |||||||
Philip Morris International, Inc. | 18,319 | 1,548,139 | |||||||
2,945,655 | |||||||||
TRADING COMPANIES AND DISTRIBUTORS — 0.2% | |||||||||
Applied Industrial Technologies, Inc. | 735 | 27,717 | |||||||
Beacon Roofing Supply, Inc.(1) | 1,382 | 34,343 | |||||||
DXP Enterprises, Inc.(1) | 553 | 25,991 | |||||||
Erickson Air-Crane, Inc.(1) | 995 | 6,816 | |||||||
Fastenal Co. | 2,500 | 110,575 | |||||||
H&E Equipment Services, Inc.(1) | 1,502 | 23,837 | |||||||
Kaman Corp. | 448 | 13,104 | |||||||
Lawson Products, Inc. | 795 | 7,799 | |||||||
Mitsubishi Corp. | 15,100 | 295,795 | |||||||
SeaCube Container Leasing Ltd. | 941 | 17,145 | |||||||
TAL International Group, Inc. | 430 | 14,065 | |||||||
Titan Machinery, Inc.(1) | 1,920 | 59,232 | |||||||
United Rentals, Inc.(1) | 7,661 | 264,687 | |||||||
WESCO International, Inc.(1) | 156 | 9,280 | |||||||
Wolseley plc | 10,331 | 351,561 | |||||||
1,261,947 | |||||||||
TRANSPORTATION INFRASTRUCTURE — 0.1% | |||||||||
Koninklijke Vopak NV | 6,359 | 374,825 | |||||||
WATER UTILITIES† | |||||||||
Artesian Resources Corp., Class A | 610 | 11,383 | |||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.3% | |||||||||
Crown Castle International Corp.(1) | 5,774 | 315,260 | |||||||
Rogers Communications, Inc., Class B | 14,578 | 498,519 | |||||||
SBA Communications Corp., Class A(1) | 9,196 | 477,732 | |||||||
Vodafone Group plc | 173,670 | 463,052 | |||||||
1,754,563 | |||||||||
TOTAL COMMON STOCKS (Cost $212,916,921) | 252,078,593 | ||||||||
U.S. Treasury Securities — 18.7% | |||||||||
U.S. Treasury Bonds, 5.50%, 8/15/28 | $1,100,000 | $1,610,641 | |||||||
U.S. Treasury Bonds, 4.375%, 11/15/39 | 3,420,000 | 4,652,270 | |||||||
U.S. Treasury Bonds, 4.375%, 5/15/41 | 400,000 | 545,562 | |||||||
U.S. Treasury Bonds, 3.75%, 8/15/41 | 200,000 | 246,313 | |||||||
U.S. Treasury Bonds, 3.125%, 11/15/41 | 850,000 | 933,539 | |||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 8,739,757 | 12,338,082 | |||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 732,304 | 1,062,870 | |||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | 1,309,375 | 1,910,767 | |||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 609,114 | 654,369 | |||||||
U.S. Treasury Inflation Indexed Notes, 1.875%, 7/15/13 | 7,244,026 | 7,482,854 | |||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/15 | 8,944,410 | 9,342,713 | |||||||
U.S. Treasury Inflation Indexed Notes, 1.375%, 7/15/18 | 8,722,914 | 10,072,244 | |||||||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 3,775,104 | 4,389,740 | |||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 7/15/21 | 4,783,566 | 5,375,905 | |||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/22 | 1,266,888 | 1,351,413 | |||||||
U.S. Treasury Notes, 1.375%, 1/15/13 | 1,250,000 | 1,259,521 | |||||||
U.S. Treasury Notes, 1.375%, 5/15/13 | 9,000,000 | 9,100,548 | |||||||
U.S. Treasury Notes, 0.375%, 6/30/13 | 1,300,000 | 1,302,387 | |||||||
U.S. Treasury Notes, 0.75%, 8/15/13 | 1,300,000 | 1,308,328 | |||||||
U.S. Treasury Notes, 0.75%, 9/15/13 | 6,100,000 | 6,140,748 | |||||||
U.S. Treasury Notes, 1.25%, 3/15/14 | 1,160,000 | 1,180,481 |
23
Shares/ Principal Amount | Value |
U.S. Treasury Notes, 0.50%, 8/15/14 | $2,000,000 | $2,009,376 | |||||||
U.S. Treasury Notes, 2.375%, 8/31/14 | 3,300,000 | 3,453,140 | |||||||
U.S. Treasury Notes, 2.625%, 12/31/14 | 3,000,000 | 3,177,657 | |||||||
U.S. Treasury Notes, 1.25%, 9/30/15 | 900,000 | 924,610 | |||||||
U.S. Treasury Notes, 2.375%, 7/31/17 | 1,200,000 | 1,300,406 | |||||||
U.S. Treasury Notes, 1.875%, 10/31/17 | 1,100,000 | 1,164,539 | |||||||
U.S. Treasury Notes, 2.625%, 4/30/18 | 300,000 | 331,172 | |||||||
U.S. Treasury Notes, 1.375%, 11/30/18 | 800,000 | 823,000 | |||||||
U.S. Treasury Notes, 2.625%, 8/15/20 | 6,230,000 | 6,902,161 | |||||||
U.S. Treasury Notes, 2.125%, 8/15/21 | 3,300,000 | 3,491,298 | |||||||
U.S. Treasury Notes, 2.00%, 2/15/22 | 2,900,000 | 3,020,533 | |||||||
TOTAL U.S. TREASURY SECURITIES (Cost $99,168,748) | 108,859,187 | ||||||||
U.S. Government Agency Mortgage-Backed Securities(2) — 10.1% | |||||||||
FIXED-RATE U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 9.4% | |||||||||
FHLMC, 6.50%, 12/1/12 | 397 | 401 | |||||||
FHLMC, 7.00%, 6/1/14 | 12,290 | 12,993 | |||||||
FHLMC, 6.50%, 6/1/16 | 25,164 | 27,076 | |||||||
FHLMC, 4.50%, 1/1/19 | 706,074 | 756,340 | |||||||
FHLMC, 5.00%, 1/1/21 | 943,216 | 1,024,052 | |||||||
FHLMC, 5.00%, 4/1/21 | 255,480 | 275,460 | |||||||
FHLMC, 8.00%, 7/1/30 | 8,172 | 10,163 | |||||||
FHLMC, 6.50%, 5/1/31 | 26,110 | 29,832 | |||||||
FHLMC, 5.50%, 12/1/33 | 387,949 | 429,613 | |||||||
FHLMC, 5.50%, 1/1/38 | 1,414,154 | 1,541,281 | |||||||
FHLMC, 6.00%, 2/1/38 | 1,350,142 | 1,487,548 | |||||||
FHLMC, 6.00%, 11/1/38 | 1,448,055 | 1,595,425 | |||||||
FHLMC, 4.00%, 4/1/41 | 1,108,416 | 1,197,100 | |||||||
FHLMC, 6.50%, 7/1/47 | 47,909 | 53,564 | |||||||
FNMA, 6.00%, 4/1/14 | 7,800 | 8,307 | |||||||
FNMA, 7.50%, 6/1/15 | 1,092 | 1,106 | |||||||
FNMA, 4.50%, 5/1/19 | 330,859 | 355,803 | |||||||
FNMA, 4.50%, 5/1/19 | 426,586 | 458,746 | |||||||
FNMA, 5.00%, 9/1/20 | 756,167 | 820,382 | |||||||
FNMA, 7.00%, 6/1/26 | 885 | 1,054 | |||||||
FNMA, 7.50%, 3/1/27 | 14,259 | 17,206 | |||||||
FNMA, 6.50%, 6/1/29 | 13,755 | 15,814 | |||||||
FNMA, 7.00%, 7/1/29 | 11,163 | 13,419 | |||||||
FNMA, 7.00%, 3/1/30 | 18,843 | 22,652 | |||||||
FNMA, 7.50%, 8/1/30 | 8,080 | 8,520 | |||||||
FNMA, 7.50%, 9/1/30 | 9,561 | 11,724 | |||||||
FNMA, 6.50%, 9/1/31 | 74,733 | 85,924 | |||||||
FNMA, 7.00%, 9/1/31 | 20,102 | 23,962 | |||||||
FNMA, 6.50%, 1/1/32 | 27,948 | 31,993 | |||||||
FNMA, 7.00%, 6/1/32 | 227,910 | 270,332 | |||||||
FNMA, 5.50%, 6/1/33 | 425,421 | 468,127 | |||||||
FNMA, 5.50%, 8/1/33 | 1,313,891 | 1,443,733 | |||||||
FNMA, 5.50%, 9/1/33 | 385,678 | 428,251 | |||||||
FNMA, 5.00%, 11/1/33 | 1,697,414 | 1,842,349 | |||||||
FNMA, 5.50%, 1/1/34 | 1,167,634 | 1,283,449 | |||||||
FNMA, 4.50%, 9/1/35 | 1,217,057 | 1,307,475 | |||||||
FNMA, 5.00%, 2/1/36 | 1,871,169 | 2,028,601 | |||||||
FNMA, 5.50%, 4/1/36 | 357,238 | 391,649 | |||||||
FNMA, 5.00%, 10/1/36 | 232,514 | 252,004 | |||||||
FNMA, 5.50%, 12/1/36 | 972,946 | 1,062,406 | |||||||
FNMA, 5.50%, 1/1/37 | 2,464,300 | 2,701,669 | |||||||
FNMA, 5.50%, 2/1/37 | 618,547 | 675,421 | |||||||
FNMA, 6.50%, 8/1/37 | 545,449 | 611,187 | |||||||
FNMA, 4.00%, 1/1/41 | 1,595,229 | 1,728,132 | |||||||
FNMA, 4.50%, 1/1/41 | 1,821,945 | 1,980,644 | |||||||
FNMA, 4.50%, 2/1/41 | 1,691,674 | 1,821,580 | |||||||
FNMA, 4.00%, 5/1/41 | 2,633,467 | 2,808,016 | |||||||
FNMA, 4.50%, 7/1/41 | 1,168,661 | 1,273,378 | |||||||
FNMA, 4.50%, 9/1/41 | 1,088,458 | 1,182,234 | |||||||
FNMA, 4.00%, 12/1/41 | 1,708,713 | 1,844,396 | |||||||
FNMA, 4.00%, 1/1/42 | 1,453,484 | 1,550,277 | |||||||
FNMA, 4.00%, 1/1/42 | 1,230,738 | 1,325,088 | |||||||
FNMA, 6.50%, 6/1/47 | 67,561 | 75,302 | |||||||
FNMA, 6.50%, 8/1/47 | 141,569 | 157,791 | |||||||
FNMA, 6.50%, 8/1/47 | 231,459 | 257,980 | |||||||
FNMA, 6.50%, 9/1/47 | 306,619 | 341,752 | |||||||
FNMA, 6.50%, 9/1/47 | 14,576 | 16,246 | |||||||
FNMA, 6.50%, 9/1/47 | 142,800 | 159,162 | |||||||
FNMA, 6.50%, 9/1/47 | 79,554 | 88,669 | |||||||
FNMA, 6.50%, 9/1/47 | 109,251 | 121,769 | |||||||
GNMA, 7.00%, 1/15/24 | 4,340 | 5,041 | |||||||
GNMA, 8.00%, 7/15/24 | 6,091 | 6,728 | |||||||
GNMA, 8.00%, 9/15/24 | 4,919 | 5,693 | |||||||
GNMA, 9.00%, 4/20/25 | 2,046 | 2,540 | |||||||
GNMA, 7.00%, 9/15/25 | 17,010 | 19,911 | |||||||
GNMA, 7.50%, 10/15/25 | 9,876 | 11,415 | |||||||
GNMA, 7.50%, 2/15/26 | 16,161 | 19,509 | |||||||
GNMA, 6.00%, 4/15/26 | 2,985 | 3,365 | |||||||
GNMA, 8.25%, 7/15/26 | 37,472 | 39,620 |
24
Shares/ Principal Amount | Value |
GNMA, 7.00%, 12/15/27 | $25,681 | $30,510 | |||||||
GNMA, 6.50%, 2/15/28 | 11,142 | 13,050 | |||||||
GNMA, 6.50%, 2/15/28 | 2,135 | 2,505 | |||||||
GNMA, 6.50%, 3/15/28 | 11,713 | 13,744 | |||||||
GNMA, 6.50%, 4/15/28 | 2,263 | 2,651 | |||||||
GNMA, 6.00%, 10/15/28 | 36,046 | 40,705 | |||||||
GNMA, 7.00%, 5/15/31 | 17,961 | 21,223 | |||||||
GNMA, 5.50%, 11/15/32 | 187,493 | 209,816 | |||||||
GNMA, 6.50%, 10/15/38 | 2,511,219 | 2,905,167 | |||||||
GNMA, 4.00%, 1/20/41 | 2,681,232 | 2,936,648 | |||||||
GNMA, 4.50%, 5/20/41 | 1,960,282 | 2,166,009 | |||||||
GNMA, 4.50%, 6/15/41 | 598,254 | 666,056 | |||||||
GNMA, 4.00%, 12/15/41 | 3,828,026 | 4,194,081 | |||||||
55,132,516 | |||||||||
ADJUSTABLE-RATE U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 0.7% | |||||||||
FHLMC, VRN, 2.59%, 6/15/12 | 232,683 | 242,901 | |||||||
FHLMC, VRN, 2.90%, 6/15/12 | 124,824 | 130,599 | |||||||
FHLMC, VRN, 3.30%, 6/15/12 | 287,266 | 301,897 | |||||||
FHLMC, VRN, 4.03%, 6/15/12 | 517,326 | 548,571 | |||||||
FHLMC, VRN, 6.10%, 6/15/12 | 452,667 | 491,469 | |||||||
FNMA, VRN, 2.73%, 6/25/12 | 424,108 | 440,515 | |||||||
FNMA, VRN, 3.35%, 6/25/12 | 307,640 | 323,899 | |||||||
FNMA, VRN, 3.37%, 6/25/12 | 272,629 | 286,817 | |||||||
FNMA, VRN, 3.90%, 6/25/12 | 383,023 | 405,510 | |||||||
FNMA, VRN, 3.91%, 6/25/12 | 454,830 | 481,966 | |||||||
FNMA, VRN, 3.97%, 6/25/12 | 162,241 | 172,334 | |||||||
3,826,478 | |||||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $55,157,037) | 58,958,994 | ||||||||
Corporate Bonds — 8.7% | |||||||||
AEROSPACE AND DEFENSE — 0.1% | |||||||||
Honeywell International, Inc., 5.375%, 3/1/41 | 70,000 | 86,736 | |||||||
L-3 Communications Corp., 5.20%, 10/15/19 | 100,000 | 110,772 | |||||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 120,000 | 135,181 | |||||||
Raytheon Co., 4.40%, 2/15/20 | $90,000 | $103,154 | |||||||
United Technologies Corp., 3.10%, 6/1/22(3) | 50,000 | 52,075 | |||||||
United Technologies Corp., 6.05%, 6/1/36 | 41,000 | 52,091 | |||||||
United Technologies Corp., 5.70%, 4/15/40 | 150,000 | 187,253 | |||||||
United Technologies Corp., 4.50%, 6/1/42(3) | 120,000 | 129,501 | |||||||
856,763 | |||||||||
AUTOMOBILES — 0.1% | |||||||||
American Honda Finance Corp., 2.375%, 3/18/13(4) | 170,000 | 172,269 | |||||||
American Honda Finance Corp., 2.50%, 9/21/15(4) | 210,000 | 217,458 | |||||||
Daimler Finance North America LLC, 2.625%, 9/15/16(4) | 170,000 | 175,626 | |||||||
Nissan Motor Acceptance Corp., 3.25%, 1/30/13(4) | 60,000 | 60,639 | |||||||
625,992 | |||||||||
BEVERAGES — 0.3% | |||||||||
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 | 470,000 | 623,025 | |||||||
Coca-Cola Co. (The), 1.80%, 9/1/16 | 140,000 | 144,536 | |||||||
Dr Pepper Snapple Group, Inc., 2.90%, 1/15/16 | 50,000 | 52,439 | |||||||
Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21 | 50,000 | 51,797 | |||||||
PepsiCo, Inc., 4.875%, 11/1/40 | 50,000 | 57,459 | |||||||
Pernod-Ricard SA, 2.95%, 1/15/17(4) | 150,000 | 152,023 | |||||||
SABMiller Holdings, Inc., 2.45%, 1/15/17(4) | 300,000 | 308,226 | |||||||
SABMiller Holdings, Inc., 3.75%, 1/15/22(4) | 150,000 | 159,394 | |||||||
1,548,899 | |||||||||
BIOTECHNOLOGY — 0.1% | |||||||||
Amgen, Inc., 2.125%, 5/15/17 | 180,000 | 180,909 | |||||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 110,000 | 120,905 | |||||||
301,814 | |||||||||
CAPITAL MARKETS — 0.1% | |||||||||
Bank of Scotland plc, 3.25%, 1/25/13 | EUR | 95,000 | 119,254 | ||||||
Bear Stearns Cos. LLC (The), 6.40%, 10/2/17 | $290,000 | 331,471 |
25
Shares/ Principal Amount | Value |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.375%, 1/19/17 | $70,000 | $71,833 | |||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.875%, 2/8/22 | 130,000 | 129,995 | |||||||
Jefferies Group, Inc., 5.125%, 4/13/18 | 90,000 | 86,400 | |||||||
738,953 | |||||||||
CHEMICALS — 0.1% | |||||||||
Dow Chemical Co. (The), 5.90%, 2/15/15 | 180,000 | 201,733 | |||||||
Dow Chemical Co. (The), 2.50%, 2/15/16 | 100,000 | 103,171 | |||||||
Eastman Chemical Co., 3.60%, 8/15/22(3) | 130,000 | 130,044 | |||||||
Ecolab, Inc., 4.35%, 12/8/21 | 140,000 | 153,410 | |||||||
588,358 | |||||||||
COMMERCIAL BANKS — 0.9% | |||||||||
Abbey National Treasury Services plc, MTN, 5.125%, 4/14/22 | GBP | 100,000 | 166,377 | ||||||
Bank of America N.A., 5.30%, 3/15/17 | $730,000 | 744,209 | |||||||
Bank of Nova Scotia, 2.55%, 1/12/17 | 140,000 | 145,833 | |||||||
BB&T Corp., 5.70%, 4/30/14 | 80,000 | 87,130 | |||||||
BB&T Corp., 3.20%, 3/15/16 | 160,000 | 169,704 | |||||||
Capital One Financial Corp., 2.15%, 3/23/15 | 100,000 | 100,506 | |||||||
Capital One Financial Corp., 4.75%, 7/15/21 | 70,000 | 77,089 | |||||||
Fifth Third Bancorp, 6.25%, 5/1/13 | 130,000 | 136,135 | |||||||
HSBC Bank plc, 3.50%, 6/28/15(4) | 120,000 | 125,021 | |||||||
Huntington Bancshares, Inc., 7.00%, 12/15/20 | 30,000 | 35,508 | |||||||
JPMorgan Chase Bank N.A., 5.875%, 6/13/16 | 250,000 | 272,712 | |||||||
Kreditanstalt fuer Wiederaufbau, MTN, 4.625%, 1/4/23 | EUR | 140,000 | 220,292 | ||||||
Kreditanstalt fuer Wiederaufbau, 2.00%, 6/1/16 | $230,000 | 238,303 | |||||||
Kreditanstalt fuer Wiederaufbau, 3.875%, 1/21/19 | EUR | 265,000 | $381,611 | ||||||
National Australia Bank Ltd., 2.75%, 9/28/15(4) | $100,000 | 102,563 | |||||||
Royal Bank of Scotland plc (The), 3.95%, 9/21/15 | 180,000 | 179,666 | |||||||
Royal Bank of Scotland plc (The), 4.375%, 3/16/16 | 130,000 | 130,938 | |||||||
SunTrust Bank, 7.25%, 3/15/18 | 130,000 | 153,525 | |||||||
SunTrust Banks, Inc., 3.60%, 4/15/16 | 40,000 | 41,599 | |||||||
Toronto-Dominion Bank (The), 2.375%, 10/19/16 | 170,000 | 176,000 | |||||||
U.S. Bancorp., 3.44%, 2/1/16 | 100,000 | 103,492 | |||||||
Wachovia Bank N.A., 4.80%, 11/1/14 | 444,000 | 475,855 | |||||||
Wachovia Bank N.A., 4.875%, 2/1/15 | 169,000 | 180,040 | |||||||
Wells Fargo & Co., 3.68%, 9/15/12 | 120,000 | 127,377 | |||||||
Wells Fargo & Co., 2.10%, 5/8/17 | 170,000 | 168,526 | |||||||
Wells Fargo Bank N.A., 5.75%, 5/16/16 | 250,000 | 284,522 | |||||||
5,024,533 | |||||||||
COMMERCIAL SERVICES AND SUPPLIES — 0.1% | |||||||||
Republic Services, Inc., 3.80%, 5/15/18 | 50,000 | 53,407 | |||||||
Republic Services, Inc., 5.50%, 9/15/19 | 150,000 | 175,255 | |||||||
Republic Services, Inc., 3.55%, 6/1/22 | 70,000 | 71,149 | |||||||
Waste Management, Inc., 6.125%, 11/30/39 | 150,000 | 187,615 | |||||||
487,426 | |||||||||
COMMUNICATIONS EQUIPMENT† | |||||||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 220,000 | 280,423 | |||||||
COMPUTERS AND PERIPHERALS† | |||||||||
Hewlett-Packard Co., 2.60%, 9/15/17 | 230,000 | 227,340 | |||||||
CONSUMER FINANCE — 0.3% | |||||||||
American Express Centurion Bank, 6.00%, 9/13/17 | 250,000 | 294,894 | |||||||
American Express Credit Corp., 2.80%, 9/19/16 | 100,000 | 103,158 |
26
Shares/ Principal Amount | Value |
American Express Credit Corp., MTN, 2.75%, 9/15/15 | $200,000 | $206,645 | |||||||
Capital One Bank USA N.A., 8.80%, 7/15/19 | 75,000 | 95,403 | |||||||
Credit Suisse (New York), 6.00%, 2/15/18 | 90,000 | 95,839 | |||||||
Credit Suisse (New York), 5.30%, 8/13/19 | 280,000 | 314,137 | |||||||
PNC Bank N.A., 6.00%, 12/7/17 | 340,000 | 396,155 | |||||||
1,506,231 | |||||||||
DIVERSIFIED FINANCIAL SERVICES — 1.6% | |||||||||
Bank of America Corp., 6.50%, 8/1/16 | 230,000 | 249,352 | |||||||
Bank of America Corp., 5.75%, 12/1/17 | 210,000 | 218,837 | |||||||
Citigroup, Inc., 6.01%, 1/15/15 | 330,000 | 353,803 | |||||||
Citigroup, Inc., 4.75%, 5/19/15 | 70,000 | 72,989 | |||||||
Citigroup, Inc., 4.45%, 1/10/17 | 50,000 | 51,641 | |||||||
Citigroup, Inc., 6.125%, 5/15/18 | 570,000 | 621,327 | |||||||
Deutsche Bank AG (London), 3.875%, 8/18/14 | 220,000 | 229,030 | |||||||
General Electric Capital Corp., 3.75%, 11/14/14 | 250,000 | 262,936 | |||||||
General Electric Capital Corp., 2.25%, 11/9/15 | 170,000 | 172,400 | |||||||
General Electric Capital Corp., 5.625%, 9/15/17 | 375,000 | 429,058 | |||||||
General Electric Capital Corp., 4.375%, 9/16/20 | 350,000 | 378,502 | |||||||
General Electric Capital Corp., 5.30%, 2/11/21 | 70,000 | 78,112 | |||||||
General Electric Capital Corp., MTN, 2.30%, 4/27/17 | 270,000 | 269,414 | |||||||
Goldman Sachs Group, Inc. (The), 3.30%, 5/3/15 | 30,000 | 29,587 | |||||||
Goldman Sachs Group, Inc. (The), 3.625%, 2/7/16 | 80,000 | 78,882 | |||||||
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | 450,000 | 462,870 | |||||||
Goldman Sachs Group, Inc. (The), 6.25%, 2/1/41 | 80,000 | 81,042 | |||||||
Gulf Gate Apartments, VRN, 0.21%, 6/1/12(4) | 3,000,000 | 3,000,000 | |||||||
HSBC Holdings plc, 5.10%, 4/5/21 | 90,000 | 99,810 | |||||||
HSBC Holdings plc, 6.80%, 6/1/38 | 70,000 | 79,832 | |||||||
JPMorgan Chase & Co., 6.00%, 1/15/18 | 840,000 | 944,425 | |||||||
Morgan Stanley, 6.625%, 4/1/18 | 450,000 | 457,487 | |||||||
Morgan Stanley, 5.625%, 9/23/19 | 200,000 | 191,219 | |||||||
UBS AG (Stamford Branch), 2.25%, 8/12/13 | 60,000 | 60,356 | |||||||
UBS AG (Stamford Branch), 5.875%, 12/20/17 | 320,000 | 352,273 | |||||||
9,225,184 | |||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% | |||||||||
AT&T, Inc., 6.80%, 5/15/36 | 40,000 | 51,981 | |||||||
AT&T, Inc., 6.55%, 2/15/39 | 405,000 | 520,311 | |||||||
British Telecommunications plc, 5.95%, 1/15/18 | 230,000 | 267,280 | |||||||
CenturyLink, Inc., 6.15%, 9/15/19 | 120,000 | 126,118 | |||||||
CenturyLink, Inc., 5.80%, 3/15/22 | 10,000 | 9,892 | |||||||
Deutsche Telekom International Finance BV, 2.25%, 3/6/17(4) | 30,000 | 29,749 | |||||||
Deutsche Telekom International Finance BV, 6.75%, 8/20/18 | 150,000 | 179,880 | |||||||
France Telecom SA, 4.375%, 7/8/14 | 360,000 | 379,770 | |||||||
Telefonica Emisiones SAU, 5.88%, 7/15/19 | 340,000 | 318,053 | |||||||
Verizon Communications, Inc., 3.50%, 11/1/21 | 100,000 | 106,647 | |||||||
1,989,681 | |||||||||
ENERGY EQUIPMENT AND SERVICES — 0.1% | |||||||||
Ensco plc, 3.25%, 3/15/16 | 90,000 | 94,451 | |||||||
Transocean, Inc., 6.50%, 11/15/20 | 80,000 | 92,812 | |||||||
Weatherford International Ltd., 9.625%, 3/1/19 | 170,000 | 224,502 | |||||||
411,765 |
27
Shares/ Principal Amount | Value |
FOOD AND STAPLES RETAILING — 0.2% | |||||||||
CVS Caremark Corp., 6.60%, 3/15/19 | $330,000 | $417,031 | |||||||
Kroger Co. (The), 6.40%, 8/15/17 | 180,000 | 218,023 | |||||||
Safeway, Inc., 4.75%, 12/1/21 | 50,000 | 49,830 | |||||||
Wal-Mart Stores, Inc., 5.875%, 4/5/27 | 57,000 | 72,672 | |||||||
Wal-Mart Stores, Inc., 5.625%, 4/1/40 | 220,000 | 281,769 | |||||||
1,039,325 | |||||||||
FOOD PRODUCTS — 0.1% | |||||||||
General Mills, Inc., 3.15%, 12/15/21 | 90,000 | 92,448 | |||||||
Kellogg Co., 4.45%, 5/30/16 | 290,000 | 321,947 | |||||||
Kraft Foods, Inc., 6.125%, 2/1/18 | 100,000 | 119,371 | |||||||
Kraft Foods, Inc., 6.50%, 2/9/40 | 100,000 | 128,220 | |||||||
Kraft Foods, Inc., 5.00%, 6/4/42(4) | 90,000 | 94,140 | |||||||
Mead Johnson Nutrition Co., 3.50%, 11/1/14 | 150,000 | 156,296 | |||||||
912,422 | |||||||||
GAS UTILITIES — 0.4% | |||||||||
CenterPoint Energy Resources Corp., 6.25%, 2/1/37 | 380,000 | 478,288 | |||||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 130,000 | 158,681 | |||||||
Enbridge Energy Partners LP, 5.50%, 9/15/40 | 60,000 | 65,746 | |||||||
Enterprise Products Operating LLC, 6.30%, 9/15/17 | 320,000 | 381,208 | |||||||
Enterprise Products Operating LLC, 5.95%, 2/1/41 | 100,000 | 115,693 | |||||||
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 | 290,000 | 352,289 | |||||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 160,000 | 184,638 | |||||||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 50,000 | 60,915 | |||||||
Plains All American Pipeline LP/PAA Finance Corp., 3.95%, 9/15/15 | 60,000 | 64,438 | |||||||
Plains All American Pipeline LP/PAA Finance Corp., 8.75%, 5/1/19 | 100,000 | 132,350 | |||||||
Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 6/1/22 | 140,000 | 142,113 | |||||||
Williams Partners LP, 4.125%, 11/15/20 | 160,000 | 169,112 | |||||||
2,305,471 | |||||||||
HEALTH CARE EQUIPMENT AND SUPPLIES† | |||||||||
Covidien International Finance SA, 1.875%, 6/15/13 | 170,000 | 173,156 | |||||||
Covidien International Finance SA, 3.20%, 6/15/22 | 100,000 | 101,763 | |||||||
274,919 | |||||||||
HEALTH CARE PROVIDERS AND SERVICES — 0.1% | |||||||||
Express Scripts, Inc., 2.65%, 2/15/17(4) | 260,000 | 265,105 | |||||||
Express Scripts, Inc., 7.25%, 6/15/19 | 340,000 | 429,590 | |||||||
WellPoint, Inc., 5.80%, 8/15/40 | 60,000 | 71,071 | |||||||
765,766 | |||||||||
HOTELS, RESTAURANTS AND LEISURE — 0.1% | |||||||||
McDonald’s Corp., 5.35%, 3/1/18 | 260,000 | 314,569 | |||||||
INDUSTRIAL CONGLOMERATES — 0.1% | |||||||||
General Electric Co., 5.25%, 12/6/17 | 320,000 | 373,810 | |||||||
INSURANCE — 0.4% | |||||||||
Allstate Corp. (The), 7.45%, 5/16/19 | 220,000 | 283,290 | |||||||
Allstate Corp. (The), 5.20%, 1/15/42 | 70,000 | 78,316 | |||||||
American International Group, Inc., 3.65%, 1/15/14 | 60,000 | 61,154 | |||||||
American International Group, Inc., 5.85%, 1/16/18 | 320,000 | 351,817 | |||||||
Berkshire Hathaway Finance Corp., 4.25%, 1/15/21 | 120,000 | 132,408 | |||||||
CNA Financial Corp., 5.875%, 8/15/20 | 60,000 | 65,834 | |||||||
CNA Financial Corp., 5.75%, 8/15/21 | 40,000 | 43,902 | |||||||
Genworth Financial, Inc., 7.20%, 2/15/21 | 50,000 | 47,993 |
28
Shares/ Principal Amount | Value |
Hartford Financial Services Group, Inc., 4.00%, 3/30/15 | $170,000 | $176,317 | |||||||
Hartford Financial Services Group, Inc., 6.30%, 3/15/18 | 90,000 | 98,936 | |||||||
Liberty Mutual Group, Inc., 5.00%, 6/1/21(4) | 76,000 | 78,528 | |||||||
Lincoln National Corp., 6.25%, 2/15/20 | 180,000 | 204,731 | |||||||
MetLife, Inc., 6.75%, 6/1/16 | 190,000 | 223,820 | |||||||
Prudential Financial, Inc., 7.375%, 6/15/19 | 90,000 | 110,022 | |||||||
Prudential Financial, Inc., 5.375%, 6/21/20 | 60,000 | 67,850 | |||||||
Prudential Financial, Inc., 5.625%, 5/12/41 | 60,000 | 62,666 | |||||||
2,087,584 | |||||||||
INTERNET SOFTWARE AND SERVICES† | |||||||||
Google, Inc., 2.125%, 5/19/16 | 100,000 | 104,682 | |||||||
IT SERVICES — 0.1% | |||||||||
International Business Machines Corp., 1.95%, 7/22/16 | 320,000 | 332,441 | |||||||
MACHINERY — 0.1% | |||||||||
Caterpillar Financial Services Corp., MTN, 2.85%, 6/1/22 | 160,000 | 162,581 | |||||||
Deere & Co., 5.375%, 10/16/29 | 250,000 | 319,213 | |||||||
481,794 | |||||||||
MEDIA — 0.6% | |||||||||
Comcast Corp., 5.90%, 3/15/16 | 422,000 | 487,966 | |||||||
Comcast Corp., 6.50%, 11/15/35 | 70,000 | 86,955 | |||||||
Comcast Corp., 6.40%, 5/15/38 | 60,000 | 74,238 | |||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 4.75%, 10/1/14 | 170,000 | 183,245 | |||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 3.55%, 3/15/15 | 120,000 | 126,556 | |||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 5.00%, 3/1/21 | 200,000 | 219,957 | |||||||
Discovery Communications LLC, 5.625%, 8/15/19 | 130,000 | 152,894 | |||||||
NBCUniversal Media LLC, 5.15%, 4/30/20 | 80,000 | 92,966 | |||||||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 440,000 | 485,677 | |||||||
News America, Inc., 4.50%, 2/15/21 | 30,000 | 32,547 | |||||||
News America, Inc., 6.90%, 8/15/39 | 170,000 | 205,228 | |||||||
Omnicom Group, Inc., 3.625%, 5/1/22 | 90,000 | 91,802 | |||||||
Qwest Corp., 7.50%, 10/1/14 | 130,000 | 145,695 | |||||||
Time Warner Cable, Inc., 6.75%, 7/1/18 | 290,000 | 351,979 | |||||||
Time Warner, Inc., 3.15%, 7/15/15 | 170,000 | 179,328 | |||||||
Time Warner, Inc., 7.70%, 5/1/32 | 220,000 | 292,919 | |||||||
Viacom, Inc., 4.375%, 9/15/14 | 120,000 | 128,559 | |||||||
Viacom, Inc., 4.50%, 3/1/21 | 90,000 | 100,710 | |||||||
3,439,221 | |||||||||
METALS AND MINING — 0.1% | |||||||||
ArcelorMittal, 5.25%, 8/5/20 | 100,000 | 95,546 | |||||||
Barrick North America Finance LLC, 4.40%, 5/30/21 | 110,000 | 118,854 | |||||||
BHP Billiton Finance USA Ltd., 3.25%, 11/21/21 | 200,000 | 209,726 | |||||||
Newmont Mining Corp., 6.25%, 10/1/39 | 150,000 | 168,742 | |||||||
Rio Tinto Finance USA Ltd., 3.50%, 11/2/20 | 70,000 | 73,728 | |||||||
Teck Resources Ltd., 3.15%, 1/15/17 | 90,000 | 93,379 | |||||||
759,975 | |||||||||
MULTI-UTILITIES — 0.5% | |||||||||
Carolina Power & Light Co., 5.15%, 4/1/15 | 141,000 | 157,564 | |||||||
Cleveland Electric Illuminating Co. (The), 5.70%, 4/1/17 | 127,000 | 142,969 | |||||||
Consumers Energy Co., 2.85%, 5/15/22 | 30,000 | 30,666 | |||||||
Dominion Resources, Inc., 6.40%, 6/15/18 | 190,000 | 232,569 | |||||||
Dominion Resources, Inc., 4.90%, 8/1/41 | 100,000 | 113,125 | |||||||
Duke Energy Corp., 6.30%, 2/1/14 | 100,000 | 108,781 |
29
Shares/ Principal Amount | Value |
Duke Energy Corp., 3.95%, 9/15/14 | $160,000 | $170,261 | |||||||
Edison International, 3.75%, 9/15/17 | 110,000 | 116,549 | |||||||
FirstEnergy Solutions Corp., 6.05%, 8/15/21 | 370,000 | 414,393 | |||||||
Florida Power Corp., 6.35%, 9/15/37 | 270,000 | 366,502 | |||||||
Georgia Power Co., 4.30%, 3/15/42 | 50,000 | 51,953 | |||||||
Nisource Finance Corp., 4.45%, 12/1/21 | 50,000 | 52,934 | |||||||
Pacific Gas & Electric Co., 5.80%, 3/1/37 | 55,000 | 69,226 | |||||||
Pacific Gas & Electric Co., 4.45%, 4/15/42 | 40,000 | 42,959 | |||||||
PG&E Corp., 5.75%, 4/1/14 | 50,000 | 54,191 | |||||||
Progress Energy, Inc., 3.15%, 4/1/22 | 60,000 | 60,783 | |||||||
Public Service Company of Colorado, 4.75%, 8/15/41 | 40,000 | 46,494 | |||||||
Sempra Energy, 8.90%, 11/15/13 | 200,000 | 221,859 | |||||||
Sempra Energy, 6.50%, 6/1/16 | 150,000 | 178,696 | |||||||
Southern California Edison Co., 5.625%, 2/1/36 | 100,000 | 126,993 | |||||||
Southern Power Co., 5.15%, 9/15/41 | 40,000 | 44,400 | |||||||
2,803,867 | |||||||||
OFFICE ELECTRONICS† | |||||||||
Xerox Corp., 5.65%, 5/15/13 | 100,000 | 104,030 | |||||||
OIL, GAS AND CONSUMABLE FUELS — 0.9% | |||||||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | 150,000 | 176,320 | |||||||
Apache Corp., 4.75%, 4/15/43 | 160,000 | 176,712 | |||||||
BP Capital Markets plc, 3.20%, 3/11/16 | 100,000 | 105,873 | |||||||
BP Capital Markets plc, 2.25%, 11/1/16 | 150,000 | 154,590 | |||||||
BP Capital Markets plc, 4.50%, 10/1/20 | 90,000 | 100,824 | |||||||
ConocoPhillips, 5.75%, 2/1/19 | 230,000 | 283,410 | |||||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | 60,000 | 84,277 | |||||||
Devon Energy Corp., 1.875%, 5/15/17 | 40,000 | 39,959 | |||||||
Devon Energy Corp., 5.60%, 7/15/41 | 150,000 | 174,466 | |||||||
EOG Resources, Inc., 5.625%, 6/1/19 | 210,000 | 254,917 | |||||||
Hess Corp., 6.00%, 1/15/40 | 140,000 | 159,181 | |||||||
Marathon Petroleum Corp., 3.50%, 3/1/16 | 40,000 | 42,199 | |||||||
Marathon Petroleum Corp., 5.125%, 3/1/21 | 70,000 | 77,912 | |||||||
Nexen, Inc., 5.875%, 3/10/35 | 90,000 | 94,079 | |||||||
Noble Energy, Inc., 4.15%, 12/15/21 | 110,000 | 115,848 | |||||||
Phillips 66, 4.30%, 4/1/22(4) | 90,000 | 93,992 | |||||||
Shell International Finance BV, VRN, 0.82%, 6/22/12 | 2,600,000 | 2,600,939 | |||||||
Suncor Energy, Inc., 6.10%, 6/1/18 | 147,000 | 175,480 | |||||||
Suncor Energy, Inc., 6.85%, 6/1/39 | 60,000 | 76,748 | |||||||
Talisman Energy, Inc., 7.75%, 6/1/19 | 140,000 | 175,176 | |||||||
5,162,902 | |||||||||
PAPER AND FOREST PRODUCTS† | |||||||||
International Paper Co., 4.75%, 2/15/22 | 110,000 | 117,820 | |||||||
International Paper Co., 6.00%, 11/15/41 | 50,000 | 55,372 | |||||||
173,192 | |||||||||
PHARMACEUTICALS — 0.3% | |||||||||
Abbott Laboratories, 5.30%, 5/27/40 | 65,000 | 78,874 | |||||||
AstraZeneca plc, 5.40%, 9/15/12 | 325,000 | 329,367 | |||||||
AstraZeneca plc, 5.90%, 9/15/17 | 300,000 | 359,957 | |||||||
GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 230,000 | 233,285 | |||||||
Roche Holdings, Inc., 6.00%, 3/1/19(4) | 70,000 | 88,197 | |||||||
Roche Holdings, Inc., 7.00%, 3/1/39(4) | 120,000 | 178,204 | |||||||
Sanofi, 4.00%, 3/29/21 | 78,000 | 87,697 | |||||||
Watson Pharmaceuticals, Inc., 5.00%, 8/15/14 | 250,000 | 266,623 | |||||||
1,622,204 |
30
Shares/ Principal Amount | Value |
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.1% | |||||||||
Boston Properties LP, 3.85%, 2/1/23 | $90,000 | $90,943 | |||||||
HCP, Inc., 3.75%, 2/1/16 | 60,000 | 62,953 | |||||||
Simon Property Group LP, 5.10%, 6/15/15 | 170,000 | 186,337 | |||||||
UDR, Inc., 4.25%, 6/1/18 | 90,000 | 95,683 | |||||||
Ventas Realty LP/Ventas Capital Corp., 3.125%, 11/30/15 | 140,000 | 143,512 | |||||||
Ventas Realty LP/Ventas Capital Corp., 4.00%, 4/30/19 | 70,000 | 71,868 | |||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/1/21 | 40,000 | 41,910 | |||||||
WEA Finance LLC, 4.625%, 5/10/21(4) | 90,000 | 95,261 | |||||||
788,467 | |||||||||
REAL ESTATE MANAGEMENT AND DEVELOPMENT† | |||||||||
ProLogis LP, 6.625%, 12/1/19 | 160,000 | 186,666 | |||||||
ROAD AND RAIL — 0.1% | |||||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | 142,000 | 151,651 | |||||||
Burlington Northern Santa Fe LLC, 5.05%, 3/1/41 | 50,000 | 55,777 | |||||||
CSX Corp., 4.25%, 6/1/21 | 80,000 | 88,259 | |||||||
CSX Corp., 4.75%, 5/30/42 | 90,000 | 92,579 | |||||||
Union Pacific Corp., 4.75%, 9/15/41 | 120,000 | 129,441 | |||||||
517,707 | |||||||||
SOFTWARE — 0.1% | |||||||||
Intuit, Inc., 5.75%, 3/15/17 | 302,000 | 349,512 | |||||||
Oracle Corp., 6.125%, 7/8/39 | 200,000 | 263,025 | |||||||
Oracle Corp., 5.375%, 7/15/40 | 160,000 | 196,245 | |||||||
808,782 | |||||||||
SPECIALTY RETAIL — 0.1% | |||||||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 150,000 | 194,168 | |||||||
Lowe’s Cos., Inc., 1.625%, 4/15/17 | 70,000 | 70,412 | |||||||
Lowe’s Cos., Inc., 4.65%, 4/15/42 | 80,000 | 84,614 | |||||||
349,194 | |||||||||
THRIFTS AND MORTGAGE FINANCE — 0.1% | |||||||||
Cie de Financement Foncier, 4.375%, 4/25/19 | EUR | 200,000 | $274,372 | ||||||
Cie de Financement Foncier, MTN, 4.50%, 5/16/18 | EUR | 165,000 | 227,487 | ||||||
501,859 | |||||||||
TOBACCO† | |||||||||
Philip Morris International, Inc., 4.125%, 5/17/21 | $150,000 | 167,841 | |||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.1% | |||||||||
Alltel Corp., 7.875%, 7/1/32 | 140,000 | 214,834 | |||||||
Cellco Partnership/Verizon Wireless Capital LLC, 8.50%, 11/15/18 | 300,000 | 411,090 | |||||||
Vodafone Group plc, 5.625%, 2/27/17 | 70,000 | 81,953 | |||||||
707,877 | |||||||||
TOTAL CORPORATE BONDS (Cost $47,306,820) | 50,899,929 | ||||||||
Sovereign Governments and Agencies — 6.8% | |||||||||
AUSTRALIA — 0.2% | |||||||||
Government of Australia, 6.50%, 5/15/13 | AUD | 445,000 | 449,741 | ||||||
Government of Australia, 5.75%, 7/15/22 | AUD | 220,000 | 267,117 | ||||||
New South Wales Treasury Corp., 5.50%, 3/1/17 | AUD | 285,000 | 309,427 | ||||||
1,026,285 | |||||||||
AUSTRIA — 0.4% | |||||||||
Republic of Austria, 3.40%, 10/20/14(4) | EUR | 450,000 | 593,618 | ||||||
Republic of Austria, 4.30%, 9/15/17(4) | EUR | 190,000 | 269,536 | ||||||
Republic of Austria, 4.35%, 3/15/19(4) | EUR | 655,000 | 944,933 | ||||||
Republic of Austria, 3.90%, 7/15/20(4) | EUR | 190,000 | 269,683 | ||||||
Republic of Austria, 4.15%, 3/15/37(4) | EUR | 202,000 | 312,124 | ||||||
2,389,894 | |||||||||
BELGIUM — 0.4% | |||||||||
Kingdom of Belgium, 4.00%, 3/28/14 | EUR | 725,000 | 947,101 | ||||||
Kingdom of Belgium, 4.00%, 3/28/18 | EUR | 450,000 | 608,713 |
31
Shares/ Principal Amount | Value |
Kingdom of Belgium, 3.75%, 9/28/20 | EUR | 260,000 | $347,059 | ||||||
Kingdom of Belgium, 5.00%, 3/28/35 | EUR | 260,000 | 399,905 | ||||||
2,302,778 | |||||||||
CANADA — 0.5% | |||||||||
Government of Canada, 3.75%, 6/1/12 | CAD | 640,000 | 619,676 | ||||||
Government of Canada, 5.00%, 6/1/14 | CAD | 490,000 | 511,069 | ||||||
Government of Canada, 3.75%, 6/1/19 | CAD | 280,000 | 311,658 | ||||||
Government of Canada, 3.25%, 6/1/21 | CAD | 310,000 | 339,996 | ||||||
Government of Canada, 5.75%, 6/1/33 | CAD | 345,000 | 527,055 | ||||||
Hydro-Quebec, 8.40%, 1/15/22 | $77,000 | 114,295 | |||||||
Province of Ontario Canada, 5.45%, 4/27/16 | CAD | 130,000 | 151,435 | ||||||
Province of Ontario Canada, 1.60%, 9/21/16 | CAD | 90,000 | 91,745 | ||||||
2,666,929 | |||||||||
DENMARK — 0.3% | |||||||||
Kingdom of Denmark, 4.00%, 11/15/17 | DKK | 2,220,000 | 440,609 | ||||||
Kingdom of Denmark, 4.00%, 11/15/19 | DKK | 290,000 | 59,717 | ||||||
Kingdom of Denmark, 7.00%, 11/10/24 | DKK | 1,650,000 | 456,054 | ||||||
Kingdom of Denmark, 4.50%, 11/15/39 | DKK | 2,035,000 | 555,936 | ||||||
1,512,316 | |||||||||
FINLAND — 0.5% | |||||||||
Government of Finland, 4.25%, 9/15/12 | EUR | 365,000 | 456,485 | ||||||
Government of Finland, 3.125%, 9/15/14 | EUR | 460,000 | 606,915 | ||||||
Government of Finland, 3.875%, 9/15/17 | EUR | 455,000 | 650,691 | ||||||
Government of Finland, 4.375%, 7/4/19 | EUR | 104,000 | 155,907 | ||||||
Government of Finland, 3.375%, 4/15/20 | EUR | 345,000 | 490,410 | ||||||
Government of Finland, 4.00%, 7/4/25 | EUR | 235,000 | 361,831 | ||||||
2,722,239 | |||||||||
FRANCE — 0.3% | |||||||||
French Treasury Note, 2.25%, 2/25/16 | EUR | 645,000 | 837,945 | ||||||
Government of France, 4.00%, 4/25/14 | EUR | 210,000 | 277,562 | ||||||
Government of France, 3.25%, 10/25/21 | EUR | 120,000 | 160,954 | ||||||
Government of France, 5.50%, 4/25/29 | EUR | 145,000 | 238,396 | ||||||
Government of France, 4.75%, 4/25/35 | EUR | 185,000 | 292,775 | ||||||
1,807,632 | |||||||||
GERMANY — 0.4% | |||||||||
German Federal Republic, 2.00%, 2/26/16 | EUR | 510,000 | 674,241 | ||||||
German Federal Republic, 4.00%, 1/4/18 | EUR | 305,000 | 450,406 | ||||||
German Federal Republic, 1.75%, 7/4/22 | EUR | 180,000 | 233,866 | ||||||
German Federal Republic, 4.75%, 7/4/34 | EUR | 230,000 | 432,840 | ||||||
German Federal Republic, 4.25%, 7/4/39 | EUR | 275,000 | 516,926 | ||||||
2,308,279 | |||||||||
JAPAN — 1.6% | |||||||||
Government of Japan, 1.20%, 6/20/15 | JPY | 135,800,000 | 1,790,395 | ||||||
Government of Japan, 1.50%, 9/20/18 | JPY | 255,500,000 | 3,485,531 | ||||||
Government of Japan, 1.00%, 12/20/21 | JPY | 115,000,000 | 1,494,862 | ||||||
Government of Japan, 2.10%, 12/20/26 | JPY | 183,200,000 | 2,584,004 | ||||||
Government of Japan, 2.40%, 3/20/37 | JPY | 18,700,000 | 270,369 | ||||||
9,625,161 | |||||||||
MULTI-NATIONAL — 0.2% | |||||||||
European Investment Bank, 2.50%, 7/15/15 | EUR | 360,000 | 466,622 | ||||||
European Investment Bank, MTN, 3.625%, 1/15/21 | EUR | 300,000 | 412,255 | ||||||
International Bank for Reconstruction & Development, MTN, 3.875%, 5/20/19 | EUR | 280,000 | 405,380 | ||||||
1,284,257 | |||||||||
NETHERLANDS — 0.3% | |||||||||
Kingdom of Netherlands, 4.00%, 7/15/16 | EUR | 440,000 | 617,410 | ||||||
Kingdom of Netherlands, 3.50%, 7/15/20 | EUR | 345,000 | 495,823 | ||||||
Kingdom of Netherlands, 4.00%, 1/15/37 | EUR | 220,000 | 377,872 | ||||||
1,491,105 |
32
Shares/ Principal Amount | Value |
NEW ZEALAND† | |||||||||
New Zealand Government Bond, 5.00%, 3/15/19 | NZD | 175,000 | $147,754 | ||||||
NORWAY† | |||||||||
Government of Norway, 4.25%, 5/19/17 | NOK | 930,000 | 172,760 | ||||||
SWEDEN — 0.1% | |||||||||
Government of Sweden, 6.75%, 5/5/14 | SEK | 2,400,000 | 367,755 | ||||||
Government of Sweden, 4.25%, 3/12/19 | SEK | 1,505,000 | 249,866 | ||||||
617,621 | |||||||||
SWITZERLAND† | |||||||||
Switzerland Government Bond, 2.00%, 4/28/21 | CHF | 150,000 | 175,339 | ||||||
Switzerland Government Bond, 2.50%, 3/8/36 | CHF | 35,000 | 48,651 | ||||||
223,990 | |||||||||
UNITED KINGDOM — 1.6% | |||||||||
Government of United Kingdom, 5.00%, 9/7/14 | GBP | 635,000 | 1,084,427 | ||||||
Government of United Kingdom, 4.00%, 9/7/16 | GBP | 810,000 | 1,431,955 | ||||||
Government of United Kingdom, 4.50%, 3/7/19 | GBP | 535,000 | 1,015,217 | ||||||
Government of United Kingdom, 8.00%, 6/7/21 | GBP | 69,000 | 166,158 | ||||||
Government of United Kingdom, 3.75%, 9/7/21 | GBP | 935,000 | 1,722,854 | ||||||
Government of United Kingdom, 4.25%, 6/7/32 | GBP | 180,000 | 347,110 | ||||||
Government of United Kingdom, 4.25%, 3/7/36 | GBP | 905,000 | 1,743,059 | ||||||
Government of United Kingdom, 4.50%, 12/7/42 | GBP | 935,000 | 1,890,052 | ||||||
9,400,832 | |||||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $37,920,220) | 39,699,832 | ||||||||
Commercial Paper(5) — 3.8% | |||||||||
BP Capital Markets plc, 0.34%, 6/29/12(4) | 2,100,000 | 2,099,814 | |||||||
Catholic Health Initiatives, 0.30%, 6/1/12 | 2,150,000 | 2,150,000 | |||||||
Charta LLC, 0.50%, 7/16/12(4) | 2,300,000 | 2,299,107 | |||||||
Chicago, IL, 0.33%, 8/8/12 | 1,700,000 | 1,698,980 | |||||||
CRC Funding LLC, 0.48%, 7/16/12(4) | 2,300,000 | 2,299,107 | |||||||
Crown Point Capital Co. LLC, 0.30%, 6/4/12(4) | 2,300,000 | 2,299,939 | |||||||
Govco LLC, 0.51%, 7/16/12(4) | 2,300,000 | 2,299,203 | |||||||
Legacy Capital Co., 0.30%, 6/8/12(4) | 2,300,000 | 2,299,877 | |||||||
Lexington Parker Capital, 0.30%, 6/8/12(4) | 2,300,000 | 2,299,847 | |||||||
Toyota Motor Credit Corp., 0.28%, 6/15/12 | 2,100,000 | 2,099,912 | |||||||
TOTAL COMMERCIAL PAPER (Cost $21,843,681) | 21,845,786 | ||||||||
Municipal Securities — 3.2% | |||||||||
Alameda County Industrial Development Authority (Pacific Paper Tube), VRDN, 0.26%, 6/7/12 (LOC: Wells Fargo Bank N.A.) | 1,975,000 | 1,975,000 | |||||||
American Municipal Power-Ohio, Inc., Rev., (Building Bonds), 7.50%, 2/15/50 | 65,000 | 91,161 | |||||||
Bay Area Toll Authority Toll Bridge Rev., Series 2010 S1, (Building Bonds), 6.92%, 4/1/40 | 130,000 | 180,174 | |||||||
California GO, (Building Bonds), 7.30%, 10/1/39 | 80,000 | 101,579 | |||||||
California GO, (Building Bonds), 7.60%, 11/1/40 | 25,000 | 32,943 | |||||||
City of Lowell, AR Rev., (Little Rock Newspapers), VRDN, 0.24%, 6/6/12 (LOC: JP Morgan Chase Bank N.A.) | 2,200,000 | 2,200,000 | |||||||
Illinois GO, (Taxable Pension), 5.10%, 6/1/33 | 350,000 | 332,356 | |||||||
Illinois GO, Series 2010-3, (Building Bonds), 6.73%, 4/1/35 | 55,000 | 60,697 | |||||||
Iowa Higher Education Loan Authority Rev., (Des Moines University Osteopathic Medical Center), VRDN, 0.22%, 6/1/12 (LOC: U.S. Bank NA) | 1,700,000 | 1,700,000 | |||||||
Los Angeles Community College District GO, Series 2010 D, (Election of 2008), 6.68%, 8/1/36 | 190,000 | 258,947 |
33
Shares/ Principal Amount | Value |
Los Angeles Department of Water & Power Rev., (Building Bonds), 5.72%, 7/1/39 | $80,000 | $101,178 | |||||||
Metropolitan Transportation Authority Rev., Series 2010 E, (Building Bonds), 6.81%, 11/15/40 | 55,000 | 72,195 | |||||||
New Jersey State Turnpike Authority Rev., Series 2009 F, (Building Bonds), 7.41%, 1/1/40 | 100,000 | 147,661 | |||||||
New Jersey State Turnpike Authority Rev., Series 2010 A, (Building Bonds), 7.10%, 1/1/41 | 75,000 | 106,989 | |||||||
New York GO, Series 2010 F1, (Building Bonds), 6.27%, 12/1/37 | 80,000 | 110,150 | |||||||
New York Local Government Assistance Corp. Rev., Series 1995 C, VRDN, 0.19%, 6/6/12 (LOC: Landesbank Hessen-Thuringen Girozentrale) | 1,200,000 | 1,200,000 | |||||||
New York State Dormitory Authority Rev., Series 2005 B, VRDN, 0.20%, 6/6/12 (LOC: Bayerische Landesbank) | 1,000,000 | 1,000,000 | |||||||
Ohio State University (The) Rev., Series 2011 A, 4.80%, 6/1/2111 | 70,000 | 79,467 | |||||||
Ohio Water Development Authority Pollution Control Rev., Series 2010 B2, (Building Bonds), 4.88%, 12/1/34 | 110,000 | 127,753 | |||||||
Orange County Housing Finance Authority Multifamily Rev., Series 2002 B, (Millenia), VRDN, 0.26%, 6/6/12 (LOC: FNMA) | 870,000 | 870,000 | |||||||
Oregon State Department of Transportation Highway User Tax Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 70,000 | 93,293 | |||||||
Port Authority of New York & New Jersey Rev., 4.93%, 10/1/51 | 50,000 | 57,866 | |||||||
Rutgers State University Rev., Series 2010 H, (Building Bonds), 5.67%, 5/1/40 | 175,000 | 231,949 | |||||||
Sacramento Municipal Utility District Electric Rev., Series 2010 W, (Building Bonds), 6.16%, 5/15/36 | 180,000 | 223,729 | |||||||
Salt River Agricultural Improvement & Power District Electric Rev., Series 2010 A, (Building Bonds), 4.84%, 1/1/41 | 95,000 | 118,457 | |||||||
San Francisco City & County Public Utilities Water Commission Rev., Series 2010 B, (Building Bonds), 6.00%, 11/1/40 | 150,000 | 185,595 | |||||||
Santa Clara Valley Transportation Authority Sales Tax Rev., Series 2010 A, (Building Bonds), 5.88%, 4/1/32 | 105,000 | 129,733 | |||||||
State of Ohio Rev., Series 2012 B, 0.60%, 5/30/13 | 1,930,000 | 1,930,077 | |||||||
Texas GO, (Building Bonds), 5.52%, 4/1/39 | 125,000 | 165,743 | |||||||
Washington GO, Series 2010 F, (Building Bonds), 5.14%, 8/1/40 | 170,000 | 212,942 | |||||||
Wisconsin Health & Educational Facilities Authority Rev., (Benevolent Corporation Cedar Community), VRDN, 0.21%, 6/7/12 (LOC: JP Morgan Chase Bank N.A.) | 2,300,000 | 2,300,000 | |||||||
Wisconsin Health & Educational Facilities Authority Rev., (Milwaukee Institute of Art & Design), VRDN, 0.20%, 6/6/12 (LOC: Citibank N.A.) | 2,300,000 | 2,300,000 | |||||||
TOTAL MUNICIPAL SECURITIES (Cost $18,069,068) | 18,697,634 |
34
Shares/ Principal Amount | Value |
U.S. Government Agency Securities — 1.7% | |||||||||
FIXED-RATE U.S. GOVERNMENT AGENCY SECURITIES — 1.3% | |||||||||
FHLMC, 1.00%, 6/29/17 | $3,420,000 | $3,424,132 | |||||||
FHLMC, 1.75%, 5/30/19 | 480,000 | 492,967 | |||||||
FHLMC, 2.375%, 1/13/22 | 380,000 | 392,238 | |||||||
FNMA, 5.375%, 6/12/17 | 2,680,000 | 3,259,172 | |||||||
7,568,509 | |||||||||
GOVERNMENT-BACKED CORPORATE BONDS(6) — 0.4% | |||||||||
Morgan Stanley, VRN, 0.82%, 6/20/12 | 2,500,000 | 2,500,767 | |||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $9,605,412) | 10,069,276 | ||||||||
Commercial Mortgage-Backed Securities(2) — 1.3% | |||||||||
Banc of America Commercial Mortgage, Inc., Series 2004-1, Class A4 SEQ, 4.76%, 11/10/39 | 350,000 | 365,994 | |||||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, VRN, 5.12%, 6/10/12 | 250,000 | 278,595 | |||||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class AM, VRN, 5.18%, 6/10/12 | 200,000 | 212,150 | |||||||
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A2 SEQ, 2.16%, 10/15/21 | 200,000 | 206,133 | |||||||
Commercial Mortgage Pass-Through Certificates, Series 2004-LB3A, Class A4 SEQ, VRN, 5.23%, 6/10/12 | 172,922 | 177,278 | |||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C2, Class A2, VRN, 5.42%, 6/15/12 | 475,000 | 503,122 | |||||||
GE Capital Commercial Mortgage Corp., Series 2005-C3, Class A5, VRN, 4.98%, 6/10/12 | 150,000 | 149,878 | |||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A4, VRN, 4.80%, 6/10/12 | 300,000 | 323,452 | |||||||
GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6 SEQ, VRN, 5.40%, 6/10/12 | 452,000 | 485,160 | |||||||
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4 SEQ, 4.76%, 7/10/39 | 300,000 | 320,564 | |||||||
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A SEQ, 4.75%, 7/10/39 | 1,025,000 | 1,108,044 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A4 SEQ, 4.57%, 1/15/31 | 400,000 | 419,740 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4 SEQ, 4.37%, 3/15/36 | 600,000 | 627,912 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C4, Class A4, VRN, 5.27%, 6/11/12 | 250,000 | 266,328 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class A4 SEQ, 5.00%, 4/15/30 | 412,299 | 425,893 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class A4 SEQ, VRN, 5.20%, 6/15/12 | 200,000 | 221,717 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM SEQ, VRN, 5.26%, 6/15/12 | 100,000 | 107,666 | |||||||
Morgan Stanley Capital I, Series 2005-HQ6, Class A2A SEQ, 4.88%, 8/13/42 | 51,519 | 51,687 | |||||||
Morgan Stanley Capital I, Series 2005-T17, Class A5 SEQ, 4.78%, 12/13/41 | 475,000 | 508,119 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A3 SEQ, 4.50%, 10/15/41 | 88,356 | 89,237 |
35
Shares/ Principal Amount | Value | ||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A4 SEQ, 4.80%, 10/15/41 | $875,000 | $928,735 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A6A, VRN, 5.11%, 6/15/12 | 34,274 | 34,352 | |||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $7,649,200) | 7,811,756 | ||||||||
Collateralized Mortgage Obligations(2) — 0.2% | |||||||||
FHLMC, Series 2926, Class EW SEQ, 5.00%, 1/15/25 | 1,177,929 | 1,311,804 | |||||||
FNMA, Series 2003-52, Class KF SEQ, VRN, 0.64%, 6/25/12 | 40,319 | 40,346 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,182,178) | 1,352,150 | ||||||||
Exchange-Traded Funds — 0.1% | |||||||||
iShares Russell 1000 Growth Index Fund | 2,131 | 131,675 | |||||||
iShares Russell 2000 Index Fund | 119 | 9,056 | |||||||
iShares Russell 2000 Value Index Fund | 1,535 | 103,597 | |||||||
iShares Russell Midcap Value Index Fund | 5,178 | 232,544 | |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $458,391) | 476,872 |
Shares | Value | |||||||
Convertible Preferred Stocks† | ||||||||
INSURANCE† | ||||||||
Aspen Insurance Holdings Ltd., Series AHL, 5.625% | 1,101 | $60,060 | ||||||
LEISURE EQUIPMENT AND PRODUCTS† | ||||||||
Callaway Golf Co., Series B, 7.50% | 101 | 9,734 | ||||||
MEDIA† | ||||||||
LodgeNet Interactive Corp., 10.00%(4) | 7 | 4,252 | ||||||
TOBACCO† | ||||||||
Universal Corp., 6.75% | 13 | 13,588 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $97,911) | 87,634 | |||||||
Rights† | ||||||||
Air Liquide SA(1) (Cost $—) | 2,016 | 21,804 | ||||||
Preferred Stocks† | ||||||||
REAL ESTATE INVESTMENT TRUSTS (REITs)† | ||||||||
DuPont Fabros Technology, Inc., Series A, 7.875% | 338 | 8,734 | ||||||
Inland Real Estate Corp., Series A, 8.125% | 242 | 6,135 | ||||||
PS Business Parks, Inc., 6.45% | 245 | 6,487 | ||||||
TOTAL PREFERRED STOCKS (Cost $20,939) | 21,356 | |||||||
Temporary Cash Investments — 2.4% | ||||||||
SSgA U.S. Government Money Market Fund (Cost $13,965,328) | 13,965,328 | 13,965,328 | ||||||
TOTAL INVESTMENT SECURITIES — 100.2% (Cost $525,361,854) | 584,846,131 | |||||||
OTHER ASSETS AND LIABILITIES — (0.2)% | (1,334,771 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $583,511,360 |
36
Forward Foreign Currency Exchange Contracts | |||||||||||||
Contracts to Buy | Counterparty | Settlement Date | Value | Unrealized Gain (Loss) | |||||||||
219,000 | CHF for EUR | UBS AG | 7/27/12 | $225,677 | $(8,372 | ) | |||||||
108,607 | EUR for JPY | Deutsche Bank | 7/27/12 | 134,338 | (9,436 | ) | |||||||
228,965 | EUR for JPY | UBS AG | 7/27/12 | 283,211 | 27 | ||||||||
59,073 | GBP for JPY | UBS AG | 7/27/12 | 91,021 | (5,014 | ) | |||||||
122,693 | GBP for JPY | HSBC Holdings plc | 7/27/12 | 189,048 | (856 | ) | |||||||
15,000 | AUD for USD | Barclays Bank plc | 7/27/12 | 14,543 | (977 | ) | |||||||
18,000 | AUD for USD | HSBC Holdings plc | 7/27/12 | 17,452 | (996 | ) | |||||||
64,089 | AUD for USD | Westpac Group | 7/27/12 | 62,138 | (3,624 | ) | |||||||
1,000 | CAD for USD | Barclays Bank plc | 7/27/12 | 967 | (50 | ) | |||||||
29,000 | CAD for USD | HSBC Holdings plc | 7/27/12 | 28,043 | (1,178 | ) | |||||||
49,000 | CAD for USD | HSBC Holdings plc | 7/27/12 | 47,384 | (2,251 | ) | |||||||
4,000 | CHF for USD | Barclays Bank plc | 7/27/12 | 4,122 | (297 | ) | |||||||
13,000 | CHF for USD | HSBC Holdings plc | 7/27/12 | 13,396 | (938 | ) | |||||||
4,789,000 | CZK for USD | Deutsche Bank | 7/27/12 | 230,210 | (23,929 | ) | |||||||
324,000 | DKK for USD | HSBC Holdings plc | 7/27/12 | 53,965 | (3,730 | ) | |||||||
4,651,989 | DKK for USD | UBS AG | 7/27/12 | 774,830 | (48,429 | ) | |||||||
1,160,377 | EUR for USD | Barclays Bank plc | 7/27/12 | 1,435,291 | (88,458 | ) | |||||||
25,000 | EUR for USD | Barclays Bank plc | 7/27/12 | 30,923 | (2,220 | ) | |||||||
129,000 | EUR for USD | HSBC Holdings plc | 7/27/12 | 159,562 | (9,946 | ) | |||||||
1,000 | GBP for USD | Barclays Bank plc | 7/27/12 | 1,541 | (83 | ) | |||||||
60,000 | GBP for USD | HSBC Holdings plc | 7/27/12 | 92,450 | (3,100 | ) | |||||||
67,000 | GBP for USD | HSBC Holdings plc | 7/27/12 | 103,235 | (5,400 | ) | |||||||
129,000 | HKD for USD | Westpac Group | 7/27/12 | 16,623 | (8 | ) | |||||||
210,021,156 | JPY for USD | Barclays Bank plc | 7/27/12 | 2,681,748 | 77,189 | ||||||||
744,000 | JPY for USD | Barclays Bank plc | 7/27/12 | 9,500 | 245 | ||||||||
9,382,000 | JPY for USD | HSBC Holdings plc | 7/27/12 | 119,798 | 3,735 | ||||||||
1,552,288,995 | KRW for USD | HSBC Holdings plc | 7/27/12 | 1,310,557 | (47,705 | ) | |||||||
39,000 | NOK for USD | Barclays Bank plc | 7/27/12 | 6,365 | (418 | ) | |||||||
1,156,411 | NOK for USD | Deutsche Bank | 7/27/12 | 188,731 | (12,105 | ) | |||||||
7,000 | NZD for USD | Barclays Bank plc | 7/27/12 | 5,257 | (441 | ) | |||||||
183,972 | NZD for USD | Westpac Group | 7/27/12 | 138,175 | (12,157 | ) | |||||||
79,000 | SEK for USD | Barclays Bank plc | 7/27/12 | 10,853 | (860 | ) | |||||||
468,000 | SGD for USD | HSBC Holdings plc | 7/27/12 | 363,222 | (11,178 | ) | |||||||
1,348,000 | TWD for USD | HSBC Holdings plc | 7/27/12 | 45,195 | (640 | ) | |||||||
$8,889,371 | $(223,600 | ) | |||||||||||
(Value on Settlement Date $9,112,971) |
37
Contracts to Sell | Counterparty | Settlement Date | Value | Unrealized Gain (Loss) | |||||||||
182,448 | EUR for CHF | UBS AG | 7/27/12 | $225,674 | $8,376 | ||||||||
11,474,000 | JPY for EUR | Deutsche Bank | 7/27/12 | 146,511 | (2,737 | ) | |||||||
22,195,000 | JPY for EUR | UBS AG | 7/27/12 | 283,407 | (223 | ) | |||||||
7,649,000 | JPY for GBP | UBS AG | 7/27/12 | 97,670 | (1,635 | ) | |||||||
14,796,999 | JPY for GBP | HSBC Holdings plc | 7/27/12 | 188,942 | 962 | ||||||||
1,088,589 | CAD for USD | UBS AG | 6/29/12 | 1,053,324 | 3,425 | ||||||||
28,398 | CAD for USD | UBS AG | 6/29/12 | 27,478 | 49 | ||||||||
12,802 | CHF for USD | Credit Suisse AG | 6/29/12 | 13,185 | 4 | ||||||||
227,410 | CHF for USD | UBS AG | 7/27/12 | 234,343 | 14,022 | ||||||||
21,000 | EUR for USD | HSBC Holdings plc | 7/27/12 | 25,975 | 1,378 | ||||||||
123,000 | EUR for USD | HSBC Holdings plc | 7/27/12 | 152,141 | 10,730 | ||||||||
37,100 | EUR for USD | UBS AG | 6/29/12 | 45,879 | 551 | ||||||||
443,760 | EUR for USD | UBS AG | 6/29/12 | 548,770 | 6,595 | ||||||||
303,440 | EUR for USD | UBS AG | 6/29/12 | 375,246 | 4,510 | ||||||||
13,212 | EUR for USD | UBS AG | 6/29/12 | 16,338 | 41 | ||||||||
13,185 | EUR for USD | UBS AG | 6/29/12 | 16,305 | 10 | ||||||||
19,651 | GBP for USD | Barclays Bank plc | 7/27/12 | 30,279 | 29 | ||||||||
155,483 | GBP for USD | Credit Suisse AG | 6/29/12 | 239,603 | 3,677 | ||||||||
293,981 | GBP for USD | Deutsche Bank | 7/27/12 | 452,973 | 15,142 | ||||||||
240,000 | GBP for USD | HSBC Holdings plc | 7/27/12 | 369,798 | 12,750 | ||||||||
92,872 | GBP for USD | HSBC Holdings plc | 7/27/12 | 143,099 | 7,748 | ||||||||
10,000 | GBP for USD | HSBC Holdings plc | 7/27/12 | 15,408 | 741 | ||||||||
75,692 | GBP for USD | UBS AG | 7/27/12 | 116,628 | 5,834 | ||||||||
89,299 | GBP for USD | Westpac Group | 7/27/12 | 137,594 | 2,046 | ||||||||
20,389,219 | JPY for USD | Deutsche Bank | 7/27/12 | 260,349 | (4,174 | ) | |||||||
473,000 | JPY for USD | HSBC Holdings plc | 7/27/12 | 6,040 | (137 | ) | |||||||
28,000 | NOK for USD | HSBC Holdings plc | 7/27/12 | 4,570 | 312 | ||||||||
56,000 | NZD for USD | HSBC Holdings plc | 7/27/12 | 42,060 | 3,361 | ||||||||
425,541 | SEK for USD | Barclays Bank plc | 7/27/12 | 58,460 | 4,294 | ||||||||
45,000 | SEK for USD | HSBC Holdings plc | 7/27/12 | 6,182 | 488 | ||||||||
$5,334,231 | $98,169 | ||||||||||||
(Value on Settlement Date $5,432,400) |
38
Notes to Schedule of Investments
ADR = American Depositary Receipt
AUD = Australian Dollar
CAD = Canadian Dollar
CBOE = Chicago Board Options Exchange
CHF = Swiss Franc
CZK = Czech Koruna
DKK = Danish Krone
EUR = Euro
FDIC = Federal Deposit Insurance Corporation
FHLMC = Federal Home Loan Mortgage Corporation
FNMA = Federal National Mortgage Association
GBP = British Pound
GNMA = Government National Mortgage Association
GO = General Obligation
HKD = Hong Kong Dollar
JPY = Japanese Yen
KRW = Korea Won
LB-UBS = Lehman Brothers, Inc. - UBS AG
LOC = Letter of Credit
MTN = Medium Term Note
NOK = Norwegian Krone
NZD = New Zealand Dollar
SEK = Swedish Krona
SEQ = Sequential Payer
SGD = Singapore Dollar
TWD = Taiwanese Dollar
USD = United States Dollar
VRDN = Variable Rate Demand Note. Interest reset date is indicated. Rate shown is effective at the period end.
VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end.
† | Category is less than 0.05% of total net assets. |
(1) | Non-income producing. |
(2) | Final maturity date indicated, unless otherwise noted. |
(3) | When-issued security. |
(4) | Security was purchased under Rule 144A or Section 4(2) of the Securities Act of 1933 or is a private placement and, unless registered under the Act or exempted from registration, may only be sold to qualified institutional investors. The aggregate value of these securities at the period end was $23,687,435, which represented 4.1% of total net assets. |
(5) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
(6) | The debt is guaranteed under the FDIC Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or December 31, 2012. |
See Notes to Financial Statements.
39
MAY 31, 2012 (UNAUDITED) | ||||
Assets | ||||
Investment securities, at value (cost of $525,361,854) | $584,846,131 | |||
Foreign currency holdings, at value (cost of $510,224) | 485,766 | |||
Receivable for investments sold | 3,877,902 | |||
Receivable for capital shares sold | 347,784 | |||
Unrealized gain on forward foreign currency exchange contracts | 188,271 | |||
Dividends and interest receivable | 2,561,877 | |||
592,307,731 | ||||
Liabilities | ||||
Payable for investments purchased | 7,056,640 | |||
Payable for capital shares redeemed | 857,650 | |||
Unrealized loss on forward foreign currency exchange contracts | 313,702 | |||
Accrued management fees | 483,577 | |||
Distribution and service fees payable | 84,802 | |||
8,796,371 | ||||
Net Assets | $583,511,360 | |||
Net Assets Consist of: | ||||
Capital (par value and paid-in surplus) | $523,705,093 | |||
Undistributed net investment income | 2,682,011 | |||
Accumulated net realized loss | (2,202,461 | ) | ||
Net unrealized appreciation | 59,326,717 | |||
$583,511,360 |
Net assets | Shares outstanding | Net asset value per share | |
Investor Class, $0.01 Par Value | $243,202,895 | 42,796,032 | $5.68 |
Institutional Class, $0.01 Par Value | $67,460,181 | 11,862,770 | $5.69 |
A Class, $0.01 Par Value | $222,876,578 | 39,243,060 | $5.68* |
B Class, $0.01 Par Value | $3,877,904 | 683,845 | $5.67 |
C Class, $0.01 Par Value | $33,613,566 | 5,926,423 | $5.67 |
R Class, $0.01 Par Value | $12,480,236 | 2,198,975 | $5.68 |
*Maximum offering price $6.03 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
40
FOR THE SIX MONTHS ENDED MAY 31, 2012 (UNAUDITED) | ||||
Investment Income (Loss) | ||||
Income: | ||||
Dividends (net of foreign taxes withheld of $79,657) | $3,265,947 | |||
Interest | 4,142,240 | |||
7,408,187 | ||||
Expenses: | ||||
Management fees | 2,828,176 | |||
Distribution and service fees: | ||||
A Class | 281,615 | |||
B Class | 20,293 | |||
C Class | 166,468 | |||
R Class | 30,359 | |||
Directors’ fees and expenses | 15,103 | |||
Other expenses | 968 | |||
3,342,982 | ||||
Net investment income (loss) | 4,065,205 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 11,476,885 | |||
Futures contract transactions | 12,519 | |||
Foreign currency transactions | (38,856 | ) | ||
11,450,548 | ||||
Change in net unrealized appreciation (depreciation) on: | ||||
Investments | 6,585,233 | |||
Futures contracts | (3,672 | ) | ||
Translation of assets and liabilities in foreign currencies | (69,406 | ) | ||
6,512,155 | ||||
Net realized and unrealized gain (loss) | 17,962,703 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $22,027,908 |
See Notes to Financial Statements.
41
SIX MONTHS ENDED MAY 31, 2012 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2011 | ||||||||
Increase (Decrease) in Net Assets | May 31, 2012 | November 30, 2011 | ||||||
Operations | ||||||||
Net investment income (loss) | $4,065,205 | $8,838,716 | ||||||
Net realized gain (loss) | 11,450,548 | 28,331,941 | ||||||
Change in net unrealized appreciation (depreciation) | 6,512,155 | (6,581,700 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 22,027,908 | 30,588,957 | ||||||
Distributions to Shareholders | ||||||||
From net investment income: | ||||||||
Investor Class | (1,495,092 | ) | (4,038,387 | ) | ||||
Institutional Class | (488,020 | ) | (1,166,210 | ) | ||||
A Class | (1,150,190 | ) | (3,188,602 | ) | ||||
B Class | (8,269 | ) | (32,815 | ) | ||||
C Class | (65,748 | ) | (227,764 | ) | ||||
R Class | (46,519 | ) | (141,452 | ) | ||||
From net realized gains: | ||||||||
Investor Class | (4,089,562 | ) | — | |||||
Institutional Class | (1,143,489 | ) | — | |||||
A Class | (3,827,936 | ) | — | |||||
B Class | (71,617 | ) | — | |||||
C Class | (568,435 | ) | — | |||||
R Class | (201,878 | ) | — | |||||
Decrease in net assets from distributions | (13,156,755 | ) | (8,795,230 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in net assets from capital share transactions | 19,827,395 | (12,947,128 | ) | |||||
Net increase (decrease) in net assets | 28,698,548 | 8,846,599 | ||||||
Net Assets | ||||||||
Beginning of period | 554,812,812 | 545,966,213 | ||||||
End of period | $583,511,360 | $554,812,812 | ||||||
Undistributed net investment income | $2,682,011 | $1,870,644 |
See Notes to Financial Statements.
42
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Conservative Fund (the fund) is one fund in a series issued by the corporation. The fund is diversified as defined under the 1940 Act. The fund’s investment objective is to provide as high a level of total return (capital appreciation plus dividend and interest income) as is consistent with its asset mix. The fund pursues its objective by diversifying its assets among various classes of investments such as equity securities, bonds and money market instruments.
The fund offers the Investor Class, the Institutional Class, the A Class, the B Class, the C Class and the R Class. The A Class may incur an initial sales charge. The A Class, B Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class is made available to institutional shareholders or through financial intermediaries whose clients do not require the same level of shareholder and administrative services as shareholders of other classes. As a result, the Institutional Class is charged a lower unified management fee.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share as of the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are typically valued at the closing price on the exchange where primarily traded or as of the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices is used. Depending on local convention or regulation, securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. In its determination of fair value, the fund may review several factors including: market information specific to a security; news developments in U.S. and foreign markets; the performance of particular U.S. and foreign securities, indices, comparable securities, American Depositary Receipts, Exchange-Traded Funds, and other relevant market indicators.
Debt securities maturing in greater than 60 days at the time of purchase are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Debt securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors, trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, and other relevant market information on the same or comparable securities.
Investments in open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Forward foreign currency exchange contracts are valued at the mean of the latest bid and asked prices of the forward currency rates as provided by an independent pricing service.
43
The value of investments initially expressed in foreign currencies is translated into U.S. dollars at prevailing exchange rates.
If the fund determines that the market price for a portfolio security is not readily available or the valuation methods mentioned above do not reflect a security’s fair value, such security is valued as determined in good faith by the Board of Directors or its designee, in accordance with procedures adopted by the Board of Directors. Circumstances that may cause the fund to use these procedures to value a security include, but are not limited to: a security has been declared in default; trading in a security has been halted during the trading day; there is a foreign market holiday and no trading occurred; or an event occurred between the close of a foreign exchange and the NYSE that may affect the value of a security.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes.
Investment Income — Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums.
When-Issued and Forward Commitments — The fund may engage in securities transactions on a when-issued or forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. In a when-issued transaction, the payment and delivery are scheduled for a future date and during this period, securities are subject to market fluctuations. In a forward commitment transaction, the fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. American Century Investment Management, Inc. (ACIM) (the investment advisor) monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts and swap agreements.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. The fund is no longer subject to examination by tax authorities for years prior to 2008. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Accordingly, no provision has been made for federal or state income taxes.
44
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly. Distributions from net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that have very similar investment teams and investment strategies (strategy assets). The annual management fee schedule ranges from 0.80% to 1.00% for the Investor Class, A Class, B Class, C Class and R Class. The Institutional Class is 0.20% less at each point within the range. The effective annual management fee for each class for the six months ended May 31, 2012 was 0.99% for the Investor Class, A Class, B Class, C Class and R Class and 0.79% for the Institutional Class.
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay American Century Investment Services, Inc. (ACIS) an annual distribution and service fee of 0.25%. The plans provide that the B Class and C Class will each pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the six months ended May 31, 2012 are detailed in the Statement of Operations.
Related Parties — Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc., the parent of the corporation’s investment advisor, ACIM, the distributor of the corporation, ACIS, and the corporation’s transfer agent, American Century Services, LLC.
45
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the six months ended May 31, 2012 totaled $203,624,504, of which $69,337,694 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the six months ended May 31, 2012 totaled $185,881,311, of which $44,591,594 represented U.S. Treasury and Government Agency obligations.
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2012 | Year ended November 30, 2011 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Investor Class/Shares Authorized | 325,000,000 | 325,000,000 | ||||||||||||||
Sold | 5,215,414 | $29,724,190 | 8,151,232 | $45,613,375 | ||||||||||||
Issued in reinvestment of distributions | 988,307 | 5,461,925 | 704,932 | 3,922,199 | ||||||||||||
Redeemed | (4,484,529 | ) | (25,505,000 | ) | (10,485,410 | ) | (58,842,272 | ) | ||||||||
1,719,192 | 9,681,115 | (1,629,246 | ) | (9,306,698 | ) | |||||||||||
Institutional Class/Shares Authorized | 100,000,000 | 100,000,000 | ||||||||||||||
Sold | 2,103,473 | 12,005,002 | 3,394,724 | 19,004,193 | ||||||||||||
Issued in reinvestment of distributions | 292,479 | 1,620,016 | 207,720 | 1,155,997 | ||||||||||||
Redeemed | (1,973,925 | ) | (11,340,040 | ) | (2,798,119 | ) | (15,636,116 | ) | ||||||||
422,027 | 2,284,978 | 804,325 | 4,524,074 | |||||||||||||
A Class/Shares Authorized | 200,000,000 | 200,000,000 | ||||||||||||||
Sold | 5,780,800 | 32,907,315 | 10,459,603 | 58,424,464 | ||||||||||||
Issued in reinvestment of distributions | 870,827 | 4,807,875 | 561,824 | 3,126,472 | ||||||||||||
Redeemed | (5,484,340 | ) | (31,367,639 | ) | (12,474,355 | ) | (69,902,184 | ) | ||||||||
1,167,287 | 6,347,551 | (1,452,928 | ) | (8,351,248 | ) | |||||||||||
B Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||||||||
Sold | 13,576 | 77,340 | 48,135 | 266,758 | ||||||||||||
Issued in reinvestment of distributions | 13,544 | 74,443 | 5,364 | 29,921 | ||||||||||||
Redeemed | (87,732 | ) | (499,026 | ) | (192,403 | ) | (1,074,633 | ) | ||||||||
(60,612 | ) | (347,243 | ) | (138,904 | ) | (777,954 | ) | |||||||||
C Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||||||||
Sold | 628,152 | 3,586,911 | 1,578,671 | 8,828,237 | ||||||||||||
Issued in reinvestment of distributions | 103,729 | 570,128 | 35,769 | 199,655 | ||||||||||||
Redeemed | (565,490 | ) | (3,234,811 | ) | (1,305,861 | ) | (7,297,500 | ) | ||||||||
166,391 | 922,228 | 308,579 | 1,730,392 | |||||||||||||
R Class/Shares Authorized | 25,000,000 | 25,000,000 | ||||||||||||||
Sold | 479,530 | 2,736,605 | 954,141 | 5,359,491 | ||||||||||||
Issued in reinvestment of distributions | 45,040 | 248,296 | 25,348 | 141,060 | ||||||||||||
Redeemed | (358,027 | ) | (2,046,135 | ) | (1,117,482 | ) | (6,266,245 | ) | ||||||||
166,543 | 938,766 | (137,993 | ) | (765,694 | ) | |||||||||||
Net increase (decrease) | 3,580,828 | $19,827,395 | (2,246,167 | ) | $(12,947,128 | ) |
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6. Fair Value Measurements
The fund’s securities valuation process is based on several considerations and may use multiple inputs to determine the fair value of the positions held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels as follows:
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical securities; |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for similar securities, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.); or |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||||||
Investment Securities | ||||||||||||
Domestic Common Stocks | $206,392,054 | — | — | |||||||||
Foreign Common Stocks | 10,392,290 | $35,294,249 | — | |||||||||
U.S. Treasury Securities | — | 108,859,187 | — | |||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 58,958,994 | — | |||||||||
Corporate Bonds | — | 50,899,929 | — | |||||||||
Sovereign Governments and Agencies | — | 39,699,832 | — | |||||||||
Commercial Paper | — | 21,845,786 | — | |||||||||
Municipal Securities | — | 18,697,634 | — | |||||||||
U.S. Government Agency Securities | — | 10,069,276 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 7,811,756 | — | |||||||||
Collateralized Mortgage Obligations | — | 1,352,150 | — | |||||||||
Exchange-Traded Funds | 476,872 | — | — | |||||||||
Convertible Preferred Stocks | — | 87,634 | — | |||||||||
Rights | — | 21,804 | — | |||||||||
Preferred Stocks | — | 21,356 | — | |||||||||
Temporary Cash Investments | 13,965,328 | — | — | |||||||||
Total Value of Investment Securities | $231,226,544 | $353,619,587 | — | |||||||||
Other Financial Instruments | ||||||||||||
Total Unrealized Gain (Loss) on Forward Foreign Currency Exchange Contracts | — | $(125,431 | ) | — |
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7. Derivative Instruments
Equity Price Risk — The fund is subject to equity price risk in the normal course of pursuing its investment objectives. A fund may enter into futures contracts based on an equity index in order to manage its exposure to changes in market conditions. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund is required to deposit either cash or securities in an amount equal to a certain percentage of the contract value (initial margin). Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. One of the risks of entering into futures contracts is the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. During the period, the fund infrequently purchased equity price risk derivative instruments for temporary investment purposes.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund’s exposure to foreign currency exchange rate fluctuations, or to shift exposure to the fluctuations in the value of foreign currencies from one foreign currency to another foreign currency. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The foreign currency risk derivative instruments held at period end as disclosed on the Schedule of Investments are indicative of the fund’s typical volume during the period.
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Value of Derivative Instruments as of May 31, 2012 | |||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | |||||||
Foreign Currency Risk | Unrealized gain on forward foreign currency exchange contracts | $188,271 | Unrealized loss on forward foreign currency exchange contracts | $313,702 | |||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2012 | |||||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | ||||||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | |||||||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | $11,425 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | $(30,808 | ) | ||||||
Equity Price Risk | Net realized gain (loss) on futures contract transactions | 12,519 | Change in net unrealized appreciation (depreciation) on futures contracts | (3,672 | ) | ||||||
$23,944 | $(34,480 | ) |
8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2012, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $537,313,330 | |||
Gross tax appreciation of investments | $57,550,018 | |||
Gross tax depreciation of investments | (10,017,217 | ) | ||
Net tax appreciation (depreciation) of investments | $47,532,801 |
The difference between book-basis and tax-basis cost and unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | ||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | |||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||
Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||
2012(3) | $5.60 | 0.04 | 0.18 | 0.22 | (0.04 | ) | (0.10 | ) | (0.14 | ) | $5.68 | 3.92 | % | 1.00 | %(4) | 1.54 | %(4) | 35 | % | $243,203 | ||||||||||
2011 | $5.39 | 0.10 | 0.21 | 0.31 | (0.10 | ) | — | (0.10 | ) | $5.60 | 5.71 | % | 1.00 | % | 1.73 | % | 78 | % | $229,957 | |||||||||||
2010 | $5.13 | 0.09 | 0.26 | 0.35 | (0.09 | ) | — | (0.09 | ) | $5.39 | 6.85 | % | 1.00 | % | 1.68 | % | 74 | % | $230,058 | |||||||||||
2009 | $4.47 | 0.10 | 0.66 | 0.76 | (0.10 | ) | — | (0.10 | ) | $5.13 | 17.18 | % | 1.00 | % | 2.19 | % | 128 | % | $224,600 | |||||||||||
2008 | $5.98 | 0.14 | (1.13 | ) | (0.99 | ) | (0.15 | ) | (0.37 | ) | (0.52 | ) | $4.47 | (17.93 | )% | 0.99 | % | 2.58 | % | 168 | % | $190,824 | ||||||||
2007 | $5.84 | 0.16 | 0.31 | 0.47 | (0.16 | ) | (0.17 | ) | (0.33 | ) | $5.98 | 8.31 | % | 0.99 | % | 2.67 | % | 172 | % | $303,358 | ||||||||||
Institutional Class | ||||||||||||||||||||||||||||||
2012(3) | $5.60 | 0.05 | 0.18 | 0.23 | (0.04 | ) | (0.10 | ) | (0.14 | ) | $5.69 | 4.20 | % | 0.80 | %(4) | 1.74 | %(4) | 35 | % | $67,460 | ||||||||||
2011 | $5.39 | 0.11 | 0.21 | 0.32 | (0.11 | ) | — | (0.11 | ) | $5.60 | 5.92 | % | 0.80 | % | 1.93 | % | 78 | % | $64,086 | |||||||||||
2010 | $5.13 | 0.10 | 0.26 | 0.36 | (0.10 | ) | — | (0.10 | ) | $5.39 | 7.06 | % | 0.80 | % | 1.88 | % | 74 | % | $57,330 | |||||||||||
2009 | $4.47 | 0.11 | 0.66 | 0.77 | (0.11 | ) | — | (0.11 | ) | $5.13 | 17.41 | % | 0.80 | % | 2.39 | % | 128 | % | $126,394 | |||||||||||
2008 | $5.98 | 0.15 | (1.13 | ) | (0.98 | ) | (0.16 | ) | (0.37 | ) | (0.53 | ) | $4.47 | (17.76 | )% | 0.79 | % | 2.78 | % | 168 | % | $120,336 | ||||||||
2007 | $5.85 | 0.17 | 0.30 | 0.47 | (0.17 | ) | (0.17 | ) | (0.34 | ) | $5.98 | 8.34 | % | 0.79 | % | 2.87 | % | 172 | % | $160,230 |
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | ||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | |||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||
Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||
A Class(5) | ||||||||||||||||||||||||||||||
2012(3) | $5.60 | 0.04 | 0.17 | 0.21 | (0.03 | ) | (0.10 | ) | (0.13 | ) | $5.68 | 3.80 | % | 1.25 | %(4) | 1.29 | %(4) | 35 | % | $222,877 | ||||||||||
2011 | $5.38 | 0.08 | 0.22 | 0.30 | (0.08 | ) | — | (0.08 | ) | $5.60 | 5.64 | % | 1.25 | % | 1.48 | % | 78 | % | $213,039 | |||||||||||
2010 | $5.13 | 0.07 | 0.25 | 0.32 | (0.07 | ) | — | (0.07 | ) | $5.38 | 6.38 | % | 1.25 | % | 1.43 | % | 74 | % | $212,820 | |||||||||||
2009 | $4.47 | 0.09 | 0.65 | 0.74 | (0.08 | ) | — | (0.08 | ) | $5.13 | 16.89 | % | 1.25 | % | 1.94 | % | 128 | % | $214,683 | |||||||||||
2008 | $5.98 | 0.12 | (1.12 | ) | (1.00 | ) | (0.14 | ) | (0.37 | ) | (0.51 | ) | $4.47 | (18.13 | )% | 1.24 | % | 2.33 | % | 168 | % | $186,277 | ||||||||
2007 | $5.84 | 0.14 | 0.31 | 0.45 | (0.14 | ) | (0.17 | ) | (0.31 | ) | $5.98 | 8.04 | % | 1.24 | % | 2.42 | % | 172 | % | $176,001 | ||||||||||
B Class | ||||||||||||||||||||||||||||||
2012(3) | $5.59 | 0.02 | 0.17 | 0.19 | (0.01 | ) | (0.10 | ) | (0.11 | ) | $5.67 | 3.48 | % | 2.00 | %(4) | 0.54 | %(4) | 35 | % | $3,878 | ||||||||||
2011 | $5.38 | 0.04 | 0.21 | 0.25 | (0.04 | ) | — | (0.04 | ) | $5.59 | 4.67 | % | 2.00 | % | 0.73 | % | 78 | % | $4,162 | |||||||||||
2010 | $5.12 | 0.04 | 0.25 | 0.29 | (0.03 | ) | — | (0.03 | ) | $5.38 | 5.78 | % | 2.00 | % | 0.68 | % | 74 | % | $4,752 | |||||||||||
2009 | $4.46 | 0.05 | 0.66 | 0.71 | (0.05 | ) | — | (0.05 | ) | $5.12 | 16.05 | % | 2.00 | % | 1.19 | % | 128 | % | $5,381 | |||||||||||
2008 | $5.97 | 0.08 | (1.12 | ) | (1.04 | ) | (0.10 | ) | (0.37 | ) | (0.47 | ) | $4.46 | (18.79 | )% | 1.99 | % | 1.58 | % | 168 | % | $3,970 | ||||||||
2007 | $5.83 | 0.10 | 0.31 | 0.41 | (0.10 | ) | (0.17 | ) | (0.27 | ) | $5.97 | 7.25 | % | 1.99 | % | 1.67 | % | 172 | % | $4,129 | ||||||||||
C Class | ||||||||||||||||||||||||||||||
2012(3) | $5.59 | 0.02 | 0.17 | 0.19 | (0.01 | ) | (0.10 | ) | (0.11 | ) | $5.67 | 3.48 | % | 2.00 | %(4) | 0.54 | %(4) | 35 | % | $33,614 | ||||||||||
2011 | $5.38 | 0.04 | 0.21 | 0.25 | (0.04 | ) | — | (0.04 | ) | $5.59 | 4.66 | % | 2.00 | % | 0.73 | % | 78 | % | $32,205 | |||||||||||
2010 | $5.12 | 0.04 | 0.25 | 0.29 | (0.03 | ) | — | (0.03 | ) | $5.38 | 5.78 | % | 2.00 | % | 0.68 | % | 74 | % | $29,329 | |||||||||||
2009 | $4.46 | 0.05 | 0.66 | 0.71 | (0.05 | ) | — | (0.05 | ) | $5.12 | 16.05 | % | 2.00 | % | 1.19 | % | 128 | % | $29,468 | |||||||||||
2008 | $5.97 | 0.08 | (1.12 | ) | (1.04 | ) | (0.10 | ) | (0.37 | ) | (0.47 | ) | $4.46 | (18.79 | )% | 1.99 | % | 1.58 | % | 168 | % | $18,626 | ||||||||
2007 | $5.83 | 0.10 | 0.31 | 0.41 | (0.10 | ) | (0.17 | ) | (0.27 | ) | $5.97 | 7.25 | % | 1.99 | % | 1.67 | % | 172 | % | $15,954 |
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | ||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | |||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Income From Investment Operations: | Distributions From: | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||
Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Total Return(2) | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||
R Class |
2012(3) | $5.59 | 0.03 | 0.18 | 0.21 | (0.02 | ) | (0.10 | ) | (0.12 | ) | $5.68 | 3.86 | % | 1.50 | %(4) | 1.04 | %(4) | 35 | % | $12,480 | ||||||||||
2011 | $5.38 | 0.07 | 0.21 | 0.28 | (0.07 | ) | — | (0.07 | ) | $5.59 | 5.19 | % | 1.50 | % | 1.23 | % | 78 | % | $11,364 | |||||||||||
2010 | $5.12 | 0.06 | 0.26 | 0.32 | (0.06 | ) | — | (0.06 | ) | $5.38 | 6.32 | % | 1.50 | % | 1.18 | % | 74 | % | $11,677 | |||||||||||
2009 | $4.46 | 0.08 | 0.65 | 0.73 | (0.07 | ) | — | (0.07 | ) | $5.12 | 16.63 | % | 1.50 | % | 1.69 | % | 128 | % | $7,718 | |||||||||||
2008 | $5.97 | 0.11 | (1.13 | ) | (1.02 | ) | (0.12 | ) | (0.37 | ) | (0.49 | ) | $4.46 | (18.38 | )% | 1.49 | % | 2.08 | % | 168 | % | $2,052 | ||||||||
2007 | $5.84 | 0.13 | 0.30 | 0.43 | (0.13 | ) | (0.17 | ) | (0.30 | ) | $5.97 | 7.60 | % | 1.49 | % | 2.17 | % | 172 | % | $961 |
Notes to Financial Highlights
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2012 (unaudited). |
(4) | Annualized. |
(5) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class. |
See Notes to Financial Statements.
52
As required by law, distributions you receive from certain IRAs, or 403(b), 457 and qualified plans are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. You have the right to revoke your withholding election at any time and any election you make may remain in effect until revoked by filing a new election.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld. State taxes will be withheld from your distribution in accordance with the respective state rules.
Proxy Voting Guidelines
American Century Investment Management, Inc., the fund’s investment advisor, is responsible for exercising the voting rights associated with the securities purchased and/or held by the fund. A description of the policies and procedures the advisor uses in fulfilling this responsibility is available without charge, upon request, by calling 1-800-345-2021. It is also available on American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the “About Us” page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’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. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
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Contact Us | americancentury.com |
Automated Information Line | 1-800-345-8765 |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 |
Investors Using Advisors | 1-800-378-9878 |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 |
Telecommunications Device for the Deaf | 1-800-634-4113 |
American Century Strategic Asset Allocations, Inc.
Investment Advisor:
American Century Investment Management, Inc.
Kansas City, Missouri
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
©2012 American Century Proprietary Holdings, Inc. All rights reserved.
CL-SAN-75495 1207
SEMIANNUAL REPORT | MAY 31, 2012
Strategic Allocation: Moderate Fund |
President’s Letter | 2 |
Independent Chairman’s Letter | 3 |
Performance | 4 |
Fund Characteristics | 5 |
Shareholder Fee Example | 6 |
Schedule of Investments | 8 |
Statement of Assets and Liabilities | 51 |
Statement of Operations | 52 |
Statement of Changes in Net Assets | 53 |
Notes to Financial Statements | 54 |
Financial Highlights | 61 |
Additional Information | 64 |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
Thank you for reviewing our semiannual report for the six months ended May 31, 2012. This report offers a macroeconomic and financial market overview of the period (below), followed by fund performance, a schedule of fund investments, and other financial information.
For additional, updated information on fund performance, portfolio strategy, and the investment markets, we encourage you to visit our website, americancentury.com. Click on the “Fund Performance” and “Insights & News” headings at the top of our Individual Investors site. Also, the next annual report, dated November 30, 2012, will provide additional market perspective and commentary from our portfolio management team.
Macroeconomic and Financial Market Overview
The six-month period covered by this report began in late 2011 on a relatively strong note, with market values, yields, and investor activity reflecting optimism for 2012. Concerns about the European sovereign debt crisis had eased somewhat. Renewed optimism (similar to early in the first quarter of 2011) inspired investors to generally favor stocks over bonds, and higher-yielding investments over lower-yielding.
This risk-tolerant attitude prevailed through March 2012, but broke down in April and May. During the first four months, investor optimism helped push equities—both domestic and foreign—to double-digit returns. In contrast, the U.S. Treasury market suffered negative returns.
But trends reversed during the final two months of the reporting period. Several U.S. growth indicators slowed, and Europe’s sovereign debt crisis turned for the worse. Spain’s banking sector deteriorated, and Greece’s failure to form a coalition government after elections in May led to concerns that the country might leave the eurozone. Investor preferences generally shifted from stocks to safe-haven assets, particularly U.S. Treasuries.
As a result, investment returns for the six months were mixed. The biggest gainers included long-maturity U.S. government and municipal bonds, and high-yield bonds. The biggest decliners included commodities and international stocks, particularly European stocks. Between those extremes were middling returns for broad U.S. indices—the S&P 500 Index advanced 6.23%, while its bond counterpart, the Barclays U.S. Aggregate Bond Index, advanced 3.46%.
In this uncertain, unstable environment, we continue to believe in a disciplined, diversified, long-term investment approach. We appreciate your continued trust in us during these unsettled times.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
The assets under management in American Century Investments’ funds grow through investors placing new assets in the funds and through market appreciation. Asset growth has been at near record levels over the past two calendar years as market movements were upward, the funds’ relative returns were generally favorable, and the distribution strategies implemented by fund management have been successful.
The board reviews fund performance and distribution strategies on a regular basis. Several years ago, the fund’s management team discussed with the board its plans to grow fund assets in the intermediary, institutional and international distribution channels. These distribution strategies have produced strong positive growth. The growth in the intermediary channel recognizes the funds’ strong relative investment performance and the desire of many shareholders to seek financial guidance. Investors in both the institutional and international channels appear to find the funds’ risk-based investment strategies attractive. The board continues to support fund management’s strategies to increase fund assets and will continue to work to provide the benefits of these gains to fund shareholders.
We continue to receive a steady flow of very thoughtful questions from shareholders. If there are issues that you would like the board to address please email me at dhpratt@fundboardchair.com. Thank you for your continued investment in American Century Investments funds.
Best regards,
Don Pratt
3
Total Returns as of May 31, 2012 | |||||||
Average Annual Returns | |||||||
Ticker Symbol | 6 months(1) | 1 year | 5 years | 10 years | Since Inception | Inception Date | |
Investor Class | TWSMX | 3.97% | -1.52% | 1.78% | 5.53% | 6.62% | 2/15/96 |
S&P 500 Index | — | 6.23% | -0.41% | -0.92% | 4.14% | 6.41%(2) | — |
Barclays U.S. Aggregate Bond Index | — | 3.46% | 7.12% | 6.72% | 5.72% | 6.28%(2) | — |
Barclays U.S. 1–3 Month Treasury Bill Index | — | 0.03% | 0.04% | 0.95% | 1.78% | 2.96%(2) | — |
Institutional Class | ASAMX | 4.23% | -1.18% | 2.01% | 5.75% | 4.40% | 8/1/00 |
A Class(3) No sales charge* With sales charge* | ACOAX | 3.87% -2.03% | -1.75% -7.39% | 1.53% 0.35% | 5.27% 4.65% | 6.22% 5.82% | 10/2/96 |
B Class No sales charge* With sales charge* | ASTBX | 3.50% -1.50% | -2.46% -6.46% | 0.77% 0.58% | — — | 4.44% 4.44% | 9/30/04 |
C Class No sales charge* With sales charge* | ASTCX | 3.49% 2.49% | -2.46% -2.46% | 0.77% 0.77% | 4.50% 4.50% | 4.66% 4.66% | 10/2/01 |
R Class | ASMRX | 3.81% | -1.94% | 1.29% | — | 5.56% | 8/29/03 |
*Sales charges include initial sales charges and contingent deferred sales charges (CDSCs), as applicable. A Class shares have a 5.75% maximum initial sales charge and may be subject to a maximum CDSC of 1.00%. B Class shares redeemed within six years of purchase are subject to a CDSC that declines from 5.00% during the first year after purchase to 0.00% the sixth year after purchase. C Class shares redeemed within 12 months of purchase are subject to a maximum CDSC of 1.00%. The SEC requires that mutual funds provide performance information net of maximum sales charges in all cases where charges could be applied.
(1) | Total returns for periods less than one year are not annualized. |
(2) | Since 2/29/96, the date nearest the Investor Class’s inception for which data are available. |
(3) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class and did not have a front-end sales charge. Performance prior to that date has been adjusted to reflect this charge. |
Total Annual Fund Operating Expenses | |||||
Investor Class | Institutional Class | A Class | B Class | C Class | R Class |
1.08% | 0.88% | 1.33% | 2.08% | 2.08% | 1.58% |
The total annual fund operating expenses shown is as stated in the fund’s prospectus current as of the date of this report. The prospectus may vary from the expense ratio shown elsewhere in this report because it is based on a different time period, includes acquired fund fees and expenses, and, if applicable, does not include fee waivers or expense reimbursements.
Data presented reflect past performance. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, and redemption value may be more or less than original cost. To obtain performance data current to the most recent month end, please call 1-800-345-2021 or visit americancentury.com. As interest rates rise, bond values will decline. International investing involves special risks, such as political instability and currency fluctuations. Investing in emerging markets may accentuate these risks.
Unless otherwise indicated, performance reflects Investor Class shares; performance for other share classes will vary due to differences in fee structure. For information about other share classes available, please consult the prospectus. Data assumes reinvestment of dividends and capital gains, and none of the charts reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for the indices are provided for comparison. The fund’s total returns include operating expenses (such as transaction costs and management fees) that reduce returns, while the total returns of the indices do not.
4
MAY 31, 2012 | |
Top Ten Equity Holdings | % of net assets |
Apple, Inc. | 1.2% |
Exxon Mobil Corp. | 0.9% |
Chevron Corp. | 0.8% |
Microsoft Corp. | 0.7% |
Johnson & Johnson | 0.6% |
Pfizer, Inc. | 0.6% |
International Business Machines Corp. | 0.6% |
Wells Fargo & Co. | 0.5% |
JPMorgan Chase & Co. | 0.5% |
General Electric Co. | 0.5% |
Geographic Composition of Equity Holdings | % of net assets |
United States | 46.2% |
United Kingdom | 1.9% |
Switzerland | 1.5% |
Japan | 1.3% |
Other Countries | 11.5% |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life | 6.4 years |
Average Duration (effective) | 4.6 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 46.1% |
Foreign Common Stocks | 16.2% |
U.S. Treasury Securities | 10.8% |
Corporate Bonds | 9.6% |
U.S. Government Agency Mortgage-Backed Securities | 5.9% |
Sovereign Governments and Agencies | 2.9% |
Municipal Securities | 2.4% |
Commercial Paper | 2.4% |
Commercial Mortgage-Backed Securities | 0.9% |
Collateralized Mortgage Obligations | 0.6% |
U.S. Government Agency Securities | 0.4% |
Exchange-Traded Funds | 0.1% |
Convertible Preferred Stocks | —* |
Asset-Backed Securities | —* |
Preferred Stocks | —* |
Temporary Cash Investments | 1.4% |
Other Assets and Liabilities | 0.3% |
*Category is less than 0.05% of total net assets. |
5
Fund shareholders may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption/exchange fees; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in your fund and to compare these costs with the ongoing cost of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period and held for the entire period from December 1, 2011 to May 31, 2012.
Actual Expenses
The table provides information about actual account values and actual expenses for each class. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. First, identify the share class you own. Then simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
If you hold Investor Class shares of any American Century Investments fund, or Institutional Class shares of the American Century Diversified Bond Fund, in an American Century Investments account (i.e., not a financial intermediary or retirement plan account), American Century Investments may charge you a $12.50 semiannual account maintenance fee if the value of those shares is less than $10,000. We will redeem shares automatically in one of your accounts to pay the $12.50 fee. In determining your total eligible investment amount, we will include your investments in all personal accounts (including American Century Investments Brokerage accounts) registered under your Social Security number. Personal accounts include individual accounts, joint accounts, UGMA/UTMA accounts, personal trusts, Coverdell Education Savings Accounts and IRAs (including traditional, Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement accounts. If you have only business, business retirement, employer-sponsored or American Century Investments Brokerage accounts, you are currently not subject to this fee. If you are subject to the Account Maintenance Fee, your account value could be reduced by the fee amount.
Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio of each class of your fund and an assumed rate of return of 5% per year before expenses, which is not the actual return of a fund’s share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
6
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 12/1/11 | Ending Account Value 5/31/12 | Expenses Paid During Period(1) 12/1/11 – 5/31/12 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,039.70 | $5.46 | 1.07% |
Institutional Class | $1,000 | $1,042.30 | $4.44 | 0.87% |
A Class | $1,000 | $1,038.70 | $6.73 | 1.32% |
B Class | $1,000 | $1,035.00 | $10.53 | 2.07% |
C Class | $1,000 | $1,034.90 | $10.53 | 2.07% |
R Class | $1,000 | $1,038.10 | $8.00 | 1.57% |
Hypothetical | ||||
Investor Class | $1,000 | $1,019.65 | $5.40 | 1.07% |
Institutional Class | $1,000 | $1,020.65 | $4.39 | 0.87% |
A Class | $1,000 | $1,018.40 | $6.66 | 1.32% |
B Class | $1,000 | $1,014.65 | $10.43 | 2.07% |
C Class | $1,000 | $1,014.65 | $10.43 | 2.07% |
R Class | $1,000 | $1,017.15 | $7.92 | 1.57% |
(1) | Expenses are equal to the class’s annualized expense ratio listed in the table above, multiplied by the average account value over the period, multiplied by 183, the number of days in the most recent fiscal half-year, divided by 366, to reflect the one-half year period. |
7
Shares/ Principal Amount | Value | ||||||||
Common Stocks — 62.3% | |||||||||
AEROSPACE AND DEFENSE — 1.6% | |||||||||
AAR Corp. | 1,789 | $21,557 | |||||||
Aerovironment, Inc.(1) | 1,160 | 25,845 | |||||||
Alliant Techsystems, Inc. | 289 | 14,146 | |||||||
American Science & Engineering, Inc. | 3,575 | 173,209 | |||||||
Astronics Corp.(1) | 603 | 15,389 | |||||||
BE Aerospace, Inc.(1) | 40,200 | 1,741,464 | |||||||
Ceradyne, Inc. | 335 | 8,439 | |||||||
Curtiss-Wright Corp. | 2,000 | 60,780 | |||||||
European Aeronautic Defence and Space Co. NV | 53,350 | 1,785,735 | |||||||
Exelis, Inc. | 30,613 | 306,130 | |||||||
General Dynamics Corp. | 10,856 | 694,893 | |||||||
Hexcel Corp.(1) | 15,757 | 384,156 | |||||||
Honeywell International, Inc. | 44,962 | 2,502,585 | |||||||
L-3 Communications Holdings, Inc. | 10,766 | 734,133 | |||||||
Moog, Inc., Class A(1) | 943 | 35,853 | |||||||
National Presto Industries, Inc. | 677 | 45,400 | |||||||
Northrop Grumman Corp. | 52,255 | 3,069,981 | |||||||
Orbital Sciences Corp.(1) | 1,783 | 19,952 | |||||||
Precision Castparts Corp. | 7,088 | 1,178,096 | |||||||
Raytheon Co. | 29,558 | 1,487,358 | |||||||
Spirit Aerosystems Holdings, Inc. Class A(1) | 38,100 | 878,967 | |||||||
Teledyne Technologies, Inc.(1) | 583 | 34,735 | |||||||
Textron, Inc. | 25,939 | 612,939 | |||||||
TransDigm Group, Inc.(1) | 17,300 | 2,127,900 | |||||||
Triumph Group, Inc. | 5,054 | 302,431 | |||||||
United Technologies Corp. | 67,424 | 4,996,793 | |||||||
Zodiac Aerospace | 18,960 | 1,848,094 | |||||||
25,106,960 | |||||||||
AIR FREIGHT AND LOGISTICS — 0.5% | |||||||||
FedEx Corp. | 25,133 | 2,240,356 | |||||||
Hyundai Glovis Co. Ltd. | 4,096 | 723,589 | |||||||
United Parcel Service, Inc., Class B | 64,270 | 4,816,394 | |||||||
UTi Worldwide, Inc. | 1,604 | 25,086 | |||||||
7,805,425 | |||||||||
AIRLINES — 0.1% | |||||||||
Alaska Air Group, Inc.(1) | 1,790 | 61,397 | |||||||
JetBlue Airways Corp.(1) | 5,054 | 26,433 | |||||||
Southwest Airlines Co. | 216,509 | 1,955,076 | |||||||
2,042,906 | |||||||||
AUTO COMPONENTS — 0.3% | |||||||||
American Axle & Manufacturing Holdings, Inc.(1) | 21,386 | 198,034 | |||||||
Autoliv, Inc. | 14,558 | 841,598 | |||||||
BorgWarner, Inc.(1) | 34,088 | 2,445,814 | |||||||
Cooper Tire & Rubber Co. | 2,224 | 34,428 | |||||||
Dana Holding Corp. | 5,892 | 78,481 | |||||||
Delphi Automotive plc(1) | 18,300 | 531,249 | |||||||
Lear Corp. | 849 | 33,833 | |||||||
Pirelli & C SpA | 116,180 | 1,151,408 | |||||||
Standard Motor Products, Inc. | 2,596 | 35,072 | |||||||
Tenneco, Inc.(1) | 905 | 24,571 | |||||||
5,374,488 | |||||||||
AUTOMOBILES — 0.7% | |||||||||
Bayerische Motoren Werke AG | 16,437 | 1,241,818 | |||||||
Brilliance China Automotive Holdings Ltd.(1) | 494,000 | 484,354 | |||||||
Ford Motor Co. | 146,650 | 1,548,624 | |||||||
Harley-Davidson, Inc. | 19,649 | 946,689 | |||||||
Hyundai Motor Co. | 11,254 | 2,326,605 | |||||||
Kia Motors Corp. | 12,019 | 816,712 | |||||||
PT Astra International Tbk | 45,000 | 307,819 | |||||||
Tata Motors Ltd. | 125,246 | 519,651 | |||||||
Tofas Turk Otomobil Fabrikasi | 125,110 | 425,364 | |||||||
Toyota Motor Corp. | 62,700 | 2,432,466 | |||||||
11,050,102 | |||||||||
BEVERAGES — 1.4% | |||||||||
Anheuser-Busch InBev NV | 27,475 | 1,860,014 | |||||||
Beam, Inc. | 16,428 | 994,880 | |||||||
Boston Beer Co., Inc., Class A(1) | 523 | 54,836 | |||||||
Brown-Forman Corp., Class B | 4,211 | 367,115 | |||||||
Cia de Bebidas das Americas Preference Shares ADR | 34,513 | 1,323,573 | |||||||
Coca-Cola Co. (The) | 64,778 | 4,840,860 |
8
Shares/ Principal Amount | Value |
Coca-Cola Enterprises, Inc. | 9,737 | $266,404 | |||||||
Coca-Cola Femsa SAB de CV ADR | 1,393 | 160,251 | |||||||
Constellation Brands, Inc., Class A(1) | 75,882 | 1,463,764 | |||||||
Dr Pepper Snapple Group, Inc. | 31,200 | 1,287,312 | |||||||
Fomento Economico Mexicano SAB de CV ADR | 9,593 | 756,216 | |||||||
Monster Beverage Corp.(1) | 30,542 | 2,217,349 | |||||||
PepsiCo, Inc. | 59,922 | 4,065,708 | |||||||
Pernod-Ricard SA | 25,249 | 2,466,412 | |||||||
Primo Water Corp.(1) | 7,700 | 9,548 | |||||||
22,134,242 | |||||||||
BIOTECHNOLOGY — 1.0% | |||||||||
Achillion Pharmaceuticals, Inc.(1) | 2,050 | 14,719 | |||||||
Acorda Therapeutics, Inc.(1) | 1,398 | 30,742 | |||||||
Alexion Pharmaceuticals, Inc.(1) | 27,089 | 2,453,451 | |||||||
Alkermes plc(1) | 3,081 | 48,125 | |||||||
Amgen, Inc. | 71,170 | 4,947,738 | |||||||
ARIAD Pharmaceuticals, Inc.(1) | 5,008 | 82,983 | |||||||
Biogen Idec, Inc.(1) | 7,283 | 952,252 | |||||||
Cepheid, Inc.(1) | 24,572 | 929,559 | |||||||
Cubist Pharmaceuticals, Inc.(1) | 2,012 | 80,722 | |||||||
Exelixis, Inc.(1) | 5,049 | 23,377 | |||||||
Gilead Sciences, Inc.(1) | 30,795 | 1,538,210 | |||||||
Grifols SA(1) | 93,916 | 2,130,353 | |||||||
Halozyme Therapeutics, Inc.(1) | 2,939 | 22,454 | |||||||
ImmunoGen, Inc.(1) | 1,916 | 26,843 | |||||||
Incyte Corp. Ltd.(1) | 2,849 | 60,712 | |||||||
InterMune, Inc.(1) | 1,150 | 11,995 | |||||||
Ironwood Pharmaceuticals, Inc.(1) | 1,917 | 22,851 | |||||||
Isis Pharmaceuticals, Inc.(1) | 3,506 | 34,674 | |||||||
Medivation, Inc.(1) | 3,166 | 266,672 | |||||||
Momenta Pharmaceuticals, Inc.(1) | 1,556 | 21,457 | |||||||
NPS Pharmaceuticals, Inc.(1) | 3,179 | 25,082 | |||||||
Onyx Pharmaceuticals, Inc.(1) | 2,086 | 95,497 | |||||||
PDL BioPharma, Inc. | 3,987 | 25,876 | |||||||
Regeneron Pharmaceuticals, Inc.(1) | 4,500 | 610,425 | |||||||
Seattle Genetics, Inc.(1) | 3,144 | 61,245 | |||||||
Theravance, Inc.(1) | 1,951 | 40,366 | |||||||
United Therapeutics Corp.(1) | 28,970 | 1,281,633 | |||||||
15,840,013 | |||||||||
BUILDING PRODUCTS — 0.1% | |||||||||
Apogee Enterprises, Inc. | 5,664 | 83,714 | |||||||
Builders FirstSource, Inc.(1) | 21,964 | 86,978 | |||||||
Fortune Brands Home & Security, Inc.(1) | 32,800 | 741,936 | |||||||
Nortek, Inc.(1) | 200 | 9,586 | |||||||
Simpson Manufacturing Co., Inc. | 641 | 17,813 | |||||||
940,027 | |||||||||
CAPITAL MARKETS — 0.9% | |||||||||
Affiliated Managers Group, Inc.(1) | 9,400 | 968,858 | |||||||
Ameriprise Financial, Inc. | 28,870 | 1,383,450 | |||||||
Apollo Investment Corp. | 9,974 | 74,207 | |||||||
Ares Capital Corp. | 2,391 | 36,080 | |||||||
Artio Global Investors, Inc. | 1,692 | 5,161 | |||||||
Bank of New York Mellon Corp. (The) | 50,380 | 1,025,737 | |||||||
BlackRock Kelso Capital Corp. | 1,890 | 17,766 | |||||||
BlackRock, Inc. | 14,168 | 2,419,894 | |||||||
Charles Schwab Corp. (The) | 69,656 | 867,914 | |||||||
Fifth Street Finance Corp. | 2,529 | 24,051 | |||||||
Franklin Resources, Inc. | 1,626 | 173,640 | |||||||
Goldman Sachs Group, Inc. (The) | 15,670 | 1,499,619 | |||||||
Hercules Technology Growth Capital, Inc. | 3,328 | 35,144 | |||||||
HFF, Inc., Class A(1) | 5,002 | 65,426 | |||||||
Janus Capital Group, Inc. | 10,620 | 77,526 | |||||||
Jefferies Group, Inc. | 25,300 | 338,008 | |||||||
KKR & Co. LP | 59,400 | 697,950 | |||||||
Knight Capital Group, Inc., Class A(1) | 1,936 | 24,335 | |||||||
MCG Capital Corp. | 1,484 | 6,544 | |||||||
Morgan Stanley | 30,260 | 404,274 | |||||||
Northern Trust Corp. | 51,392 | 2,219,107 | |||||||
PennantPark Investment Corp. | 6,850 | 66,787 | |||||||
Prospect Capital Corp. | 2,373 | 25,557 | |||||||
State Street Corp. | 8,095 | 333,595 |
9
Shares/ Principal Amount | Value |
Triangle Capital Corp. | 3,534 | $71,882 | |||||||
UBS AG(1) | 111,457 | 1,256,451 | |||||||
Waddell & Reed Financial, Inc. | 1,739 | 49,927 | |||||||
WisdomTree Investments, Inc.(1) | 3,348 | 22,365 | |||||||
14,191,255 | |||||||||
CHEMICALS — 1.5% | |||||||||
Airgas, Inc. | 19,400 | 1,684,114 | |||||||
Albemarle Corp. | 18,200 | 1,104,740 | |||||||
BASF SE | 19,620 | 1,367,787 | |||||||
Celanese Corp. | 11,400 | 453,834 | |||||||
CF Industries Holdings, Inc. | 12,417 | 2,122,810 | |||||||
China BlueChemical Ltd. H Shares(1) | 736,000 | 508,270 | |||||||
Christian Hansen Holding A/S | 36,213 | 1,008,729 | |||||||
E.I. du Pont de Nemours & Co. | 40,138 | 1,937,060 | |||||||
Eastman Chemical Co. | 11,200 | 521,472 | |||||||
Ferro Corp.(1) | 2,208 | 9,803 | |||||||
Flotek Industries, Inc.(1) | 6,308 | 67,180 | |||||||
FMC Corp. | 20,200 | 1,029,594 | |||||||
Georgia Gulf Corp.(1) | 702 | 20,891 | |||||||
H.B. Fuller Co. | 3,816 | 116,006 | |||||||
Hawkins, Inc. | 1,510 | 49,845 | |||||||
Innophos Holdings, Inc. | 1,138 | 57,446 | |||||||
Intrepid Potash, Inc.(1) | 3,247 | 63,739 | |||||||
Koppers Holdings, Inc. | 834 | 29,282 | |||||||
Kraton Performance Polymers, Inc.(1) | 1,153 | 22,034 | |||||||
LG Chem Ltd. | 1,048 | 258,393 | |||||||
LyondellBasell Industries NV, Class A | 41,429 | 1,634,788 | |||||||
Mexichem SAB de CV | 133,541 | 463,897 | |||||||
Minerals Technologies, Inc. | 9,512 | 601,824 | |||||||
Monsanto Co. | 45,688 | 3,527,114 | |||||||
Olin Corp. | 18,198 | 348,856 | |||||||
OM Group, Inc.(1) | 1,378 | 25,093 | |||||||
PPG Industries, Inc. | 11,409 | 1,180,147 | |||||||
Rockwood Holdings, Inc.(1) | 20,717 | 1,002,703 | |||||||
Sensient Technologies Corp. | 730 | 26,660 | |||||||
Syngenta AG | 7,903 | 2,530,327 | |||||||
TPC Group, Inc.(1) | 1,505 | 47,543 | |||||||
Tredegar Corp. | 2,539 | 34,403 | |||||||
23,856,384 | |||||||||
COMMERCIAL BANKS — 3.3% | |||||||||
American National Bankshares, Inc. | 2,642 | 57,569 | |||||||
Banco Bilbao Vizcaya Argentaria SA | 152,502 | 867,794 | |||||||
Banco Latinoamericano de Comercio Exterior SA E Shares | 2,949 | 57,506 | |||||||
Bancorp, Inc.(1) | 3,108 | 28,252 | |||||||
BancorpSouth, Inc. | 4,898 | 66,074 | |||||||
Bank of Montreal | 30,328 | 1,618,909 | |||||||
Bank of Nova Scotia | 15,562 | 798,102 | |||||||
BB&T Corp. | 19,242 | 581,493 | |||||||
BNP Paribas SA | 30,446 | 968,456 | |||||||
BOK Financial Corp. | 1,108 | 61,771 | |||||||
Boston Private Financial Holdings, Inc. | 8,466 | 76,363 | |||||||
Cathay General Bancorp. | 4,575 | 75,854 | |||||||
China Minsheng Banking Corp. Ltd. H Shares | 840,000 | 801,953 | |||||||
City National Corp. | 7,199 | 357,646 | |||||||
Columbia Banking System, Inc. | 1,701 | 30,822 | |||||||
Comerica, Inc. | 53,228 | 1,619,196 | |||||||
Commerce Bancshares, Inc. | 30,594 | 1,185,212 | |||||||
Commonwealth Bank of Australia | 30,802 | 1,482,208 | |||||||
Community Bank System, Inc. | 2,694 | 71,687 | |||||||
Credicorp Ltd. | 13,486 | 1,682,648 | |||||||
Cullen/Frost Bankers, Inc. | 9,072 | 516,106 | |||||||
CVB Financial Corp. | 2,626 | 28,597 | |||||||
DBS Group Holdings Ltd. | 97,000 | 995,142 | |||||||
East West Bancorp., Inc. | 26,465 | 592,551 | |||||||
F.N.B. Corp. | 5,628 | 59,769 | |||||||
First Financial Bancorp | 2,439 | 37,463 | |||||||
First Horizon National Corp. | 19,940 | 169,091 | |||||||
First Interstate Bancsystem, Inc. | 2,769 | 38,628 | |||||||
First Midwest Bancorp., Inc. | 3,413 | 34,437 | |||||||
First Republic Bank(1) | 740 | 23,236 | |||||||
FirstMerit Corp. | 3,349 | 53,249 | |||||||
Fulton Financial Corp. | 12,314 | 124,741 | |||||||
Grupo Financiero Banorte SAB de CV | 122,351 | 546,778 | |||||||
HDFC Bank Ltd. ADR(1) | 18,526 | 517,987 | |||||||
HDFC Bank Ltd. | 69,381 | 625,396 |
10
Shares/ Principal Amount | Value |
Heritage Financial Corp. | 4,673 | $64,721 | |||||||
Home Bancshares, Inc. | 3,783 | 106,416 | |||||||
HSBC Holdings plc | 198,498 | 1,566,440 | |||||||
ICICI Bank Ltd. ADR | 10,701 | 301,233 | |||||||
Industrial & Commercial Bank of China Ltd. H Shares | 1,809,700 | 1,100,526 | |||||||
Itau Unibanco Holding SA Preference Shares | 76,100 | 1,098,382 | |||||||
Kasikornbank PCL NVDR | 477,300 | 2,325,365 | |||||||
Lakeland Financial Corp. | 2,225 | 57,160 | |||||||
Lloyds Banking Group plc(1) | 2,626,092 | 1,027,213 | |||||||
MB Financial, Inc. | 1,815 | 36,863 | |||||||
Mitsubishi UFJ Financial Group, Inc. | 247,500 | 1,073,890 | |||||||
National Bankshares, Inc. | 1,824 | 52,896 | |||||||
Old National Bancorp. | 3,243 | 37,586 | |||||||
Pacific Continental Corp. | 4,147 | 37,323 | |||||||
Park Sterling Corp.(1) | 9,469 | 42,137 | |||||||
Pinnacle Financial Partners, Inc.(1) | 2,861 | 48,809 | |||||||
PNC Financial Services Group, Inc. | 46,293 | 2,843,316 | |||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 42,387 | 382,500 | |||||||
PT Bank Mandiri (Persero) Tbk | 1,600,301 | 1,174,689 | |||||||
PT Bank Rakyat Indonesia (Persero) Tbk | 477,500 | 287,008 | |||||||
Sberbank of Russia | 788,635 | 1,953,449 | |||||||
Signature Bank(1) | 1,019 | 62,577 | |||||||
Standard Chartered plc | 60,743 | 1,225,448 | |||||||
SunTrust Banks, Inc. | 21,002 | 481,366 | |||||||
Susquehanna Bancshares, Inc. | 6,192 | 59,629 | |||||||
Swedbank AB A Shares | 67,247 | 955,316 | |||||||
TCF Financial Corp. | 11,236 | 132,472 | |||||||
Texas Capital Bancshares, Inc.(1) | 3,334 | 129,293 | |||||||
Trico Bancshares | 3,437 | 52,758 | |||||||
Trustmark Corp. | 2,923 | 71,380 | |||||||
Turkiye Garanti Bankasi AS | 449,824 | 1,442,524 | |||||||
U.S. Bancorp | 175,767 | 5,468,111 | |||||||
UMB Financial Corp. | 1,274 | 62,133 | |||||||
Umpqua Holdings Corp. | 3,096 | 39,722 | |||||||
United Bankshares, Inc. | 1,257 | 32,204 | |||||||
Washington Banking Co. | 2,530 | 34,332 | |||||||
Webster Financial Corp. | 1,256 | 25,459 | |||||||
Wells Fargo & Co. | 264,448 | 8,475,558 | |||||||
Westamerica Bancorp. | 14,966 | 669,130 | |||||||
Wintrust Financial Corp. | 1,018 | 34,622 | |||||||
51,924,642 | |||||||||
COMMERCIAL SERVICES AND SUPPLIES — 0.5% | |||||||||
ABM Industries, Inc. | 1,191 | 25,571 | |||||||
Aggreko plc | 37,135 | 1,257,969 | |||||||
Avery Dennison Corp. | 17,490 | 509,134 | |||||||
Brink’s Co. (The) | 1,472 | 33,517 | |||||||
Clean Harbors, Inc.(1) | 18,500 | 1,148,295 | |||||||
Deluxe Corp. | 3,933 | 90,931 | |||||||
G&K Services, Inc., Class A | 2,987 | 87,161 | |||||||
Metalico, Inc.(1) | 11,050 | 27,956 | |||||||
Republic Services, Inc. | 110,649 | 2,916,708 | |||||||
Stericycle, Inc.(1) | 13,500 | 1,178,010 | |||||||
SYKES Enterprises, Inc.(1) | 4,584 | 68,989 | |||||||
Team, Inc.(1) | 394 | 10,512 | |||||||
US Ecology, Inc. | 2,056 | 35,384 | |||||||
Waste Management, Inc. | 13,177 | 427,462 | |||||||
7,817,599 | |||||||||
COMMUNICATIONS EQUIPMENT — 0.7% | |||||||||
AAC Technologies Holdings, Inc. | 254,000 | 801,773 | |||||||
Aruba Networks, Inc.(1) | 1,949 | 25,610 | |||||||
Bel Fuse, Inc., Class B | 3,581 | 58,299 | |||||||
Cisco Systems, Inc. | 279,065 | 4,557,132 | |||||||
Emulex Corp.(1) | 2,313 | 15,543 | |||||||
F5 Networks, Inc.(1) | 9,328 | 965,261 | |||||||
Harris Corp. | 6,652 | 264,617 | |||||||
InterDigital, Inc. | 876 | 21,628 | |||||||
Motorola Solutions, Inc. | 30,761 | 1,478,989 | |||||||
Netgear, Inc.(1) | 2,649 | 83,152 | |||||||
Oplink Communications, Inc.(1) | 2,169 | 27,807 | |||||||
Plantronics, Inc. | 797 | 23,982 | |||||||
Polycom, Inc.(1) | 2,988 | 34,183 | |||||||
Procera Networks, Inc.(1) | 4,826 | 100,863 | |||||||
QUALCOMM, Inc. | 39,901 | 2,286,726 | |||||||
Research In Motion Ltd.(1) | 10,004 | 103,341 | |||||||
Sycamore Networks, Inc.(1) | 3,357 | 44,514 | |||||||
Tellabs, Inc. | 7,846 | 28,716 | |||||||
Tessco Technologies, Inc. | 1,338 | 25,636 | |||||||
ZTE Corp. H Shares | 161,680 | 320,379 | |||||||
11,268,151 |
11
Shares/ Principal Amount | Value |
COMPUTERS AND PERIPHERALS — 2.0% | |||||||||
Apple, Inc.(1) | 34,051 | $19,672,284 | |||||||
Catcher Technology Co. Ltd. | 85,000 | 539,651 | |||||||
Datalink Corp.(1) | 2,699 | 26,774 | |||||||
Dell, Inc.(1) | 114,829 | 1,415,842 | |||||||
Electronics for Imaging, Inc.(1) | 3,429 | 50,543 | |||||||
EMC Corp.(1) | 75,274 | 1,795,285 | |||||||
Gemalto NV | 8,303 | 528,836 | |||||||
Hewlett-Packard Co. | 78,220 | 1,774,030 | |||||||
Lenovo Group Ltd. | 1,066,000 | 906,468 | |||||||
Lexmark International, Inc., Class A | 693 | 17,332 | |||||||
QLogic Corp.(1) | 14,835 | 201,904 | |||||||
SanDisk Corp.(1) | 18,256 | 596,971 | |||||||
Seagate Technology plc | 75,329 | 1,764,959 | |||||||
Synaptics, Inc.(1) | 818 | 21,939 | |||||||
Western Digital Corp.(1) | 57,385 | 1,801,315 | |||||||
31,114,133 | |||||||||
CONSTRUCTION AND ENGINEERING — 0.3% | |||||||||
Chicago Bridge & Iron Co. NV New York Shares | 57,543 | 2,068,095 | |||||||
Comfort Systems USA, Inc. | 732 | 6,647 | |||||||
Dycom Industries, Inc.(1) | 2,406 | 47,109 | |||||||
EMCOR Group, Inc. | 1,817 | 49,695 | |||||||
Granite Construction, Inc. | 5,854 | 134,174 | |||||||
KBR, Inc. | 17,600 | 448,272 | |||||||
Larsen & Toubro Ltd. | 10,000 | 208,806 | |||||||
Pike Electric Corp.(1) | 6,724 | 48,547 | |||||||
Quanta Services, Inc.(1) | 26,300 | 593,854 | |||||||
URS Corp. | 37,828 | 1,368,239 | |||||||
4,973,438 | |||||||||
CONSTRUCTION MATERIALS — 0.2% | |||||||||
Cemex SAB de CV ADR(1) | 22,738 | 125,969 | |||||||
Eagle Materials, Inc. | 2,725 | 87,472 | |||||||
HeidelbergCement AG | 24,384 | 1,057,691 | |||||||
PT Semen Gresik (Persero) Tbk | 447,500 | 521,290 | |||||||
Siam Cement PCL NVDR | 68,000 | 730,976 | |||||||
2,523,398 | |||||||||
CONSUMER FINANCE — 0.3% | |||||||||
American Express Co. | 52,588 | 2,935,988 | |||||||
Cash America International, Inc. | 24,388 | 1,084,778 | |||||||
Discover Financial Services | 42,700 | 1,413,797 | |||||||
5,434,563 | |||||||||
CONTAINERS AND PACKAGING — 0.1% | |||||||||
Bemis Co., Inc. | 39,181 | 1,189,535 | |||||||
Rock-Tenn Co., Class A | 12,200 | 629,398 | |||||||
Sonoco Products Co. | 622 | 19,139 | |||||||
1,838,072 | |||||||||
DISTRIBUTORS† | |||||||||
Core-Mark Holding Co., Inc. | 725 | 31,530 | |||||||
Li & Fung Ltd. | 168,000 | 308,227 | |||||||
339,757 | |||||||||
DIVERSIFIED CONSUMER SERVICES — 0.2% | |||||||||
Apollo Group, Inc., Class A(1) | 2,153 | 68,508 | |||||||
Coinstar, Inc.(1) | 27,086 | 1,663,893 | |||||||
ITT Educational Services, Inc.(1) | 23,781 | 1,353,139 | |||||||
Sotheby’s | 2,474 | 75,457 | |||||||
Steiner Leisure, Ltd.(1) | 930 | 42,622 | |||||||
3,203,619 | |||||||||
DIVERSIFIED FINANCIAL SERVICES — 1.1% | |||||||||
Bank of America Corp. | 438,404 | 3,222,269 | |||||||
CBOE Holdings, Inc. | 1,257 | 31,739 | |||||||
Citigroup, Inc. | 98,987 | 2,624,145 | |||||||
Compass Diversified Holdings | 2,969 | 38,953 | |||||||
JPMorgan Chase & Co. | 253,241 | 8,394,939 | |||||||
MarketAxess Holdings, Inc. | 3,536 | 114,178 | |||||||
McGraw-Hill Cos., Inc. (The) | 13,800 | 598,644 | |||||||
ORIX Corp. | 20,620 | 1,784,120 | |||||||
16,808,987 | |||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.2% | |||||||||
AT&T, Inc. | 211,857 | 7,239,154 | |||||||
CenturyLink, Inc. | 72,657 | 2,849,608 | |||||||
China Unicom Ltd. ADR | 74,983 | 1,030,266 | |||||||
China Unicom Ltd. | 104,000 | 142,837 | |||||||
Premiere Global Services, Inc.(1) | 7,117 | 59,498 | |||||||
Telenor ASA | 48,955 | 715,323 | |||||||
tw telecom, inc.(1) | 38,605 | 895,250 | |||||||
Verizon Communications, Inc. | 164,161 | 6,835,664 | |||||||
19,767,600 |
12
Shares/ Principal Amount | Value |
ELECTRIC UTILITIES — 0.9% | |||||||||
American Electric Power Co., Inc. | 54,229 | $2,088,359 | |||||||
Cleco Corp. | 5,357 | 218,780 | |||||||
E.ON AG | 19,633 | 358,802 | |||||||
El Paso Electric Co. | 2,440 | 74,884 | |||||||
Empire District Electric Co. (The) | 48,064 | 963,683 | |||||||
Exelon Corp. | 18,740 | 693,005 | |||||||
Great Plains Energy, Inc. | 76,704 | 1,527,944 | |||||||
IDACORP, Inc. | 11,337 | 445,431 | |||||||
Northeast Utilities | 16,937 | 609,901 | |||||||
NV Energy, Inc. | 103,448 | 1,789,650 | |||||||
Pinnacle West Capital Corp. | 21,480 | 1,060,682 | |||||||
PNM Resources, Inc. | 3,204 | 59,755 | |||||||
Portland General Electric Co. | 26,886 | 676,183 | |||||||
PPL Corp. | 33,800 | 925,106 | |||||||
Unitil Corp. | 1,337 | 35,578 | |||||||
Westar Energy, Inc. | 43,165 | 1,235,382 | |||||||
Xcel Energy, Inc. | 69,000 | 1,933,380 | |||||||
14,696,505 | |||||||||
ELECTRICAL EQUIPMENT — 0.2% | |||||||||
ABB Ltd. ADR(1) | 5,566 | 87,998 | |||||||
Brady Corp., Class A | 19,572 | 537,056 | |||||||
Emerson Electric Co. | 9,856 | 460,965 | |||||||
Encore Wire Corp. | 4,251 | 106,317 | |||||||
Franklin Electric Co., Inc. | 1,168 | 57,139 | |||||||
II-VI, Inc.(1) | 1,537 | 29,049 | |||||||
LSI Industries, Inc. | 3,330 | 20,380 | |||||||
Rockwell Automation, Inc. | 7,023 | 509,238 | |||||||
Schneider Electric SA | 18,308 | 975,012 | |||||||
2,783,154 | |||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS AND COMPONENTS — 0.6% | |||||||||
Audience, Inc.(1) | 363 | 6,432 | |||||||
Badger Meter, Inc. | 766 | 27,660 | |||||||
Benchmark Electronics, Inc.(1) | 2,740 | 37,100 | |||||||
Brightpoint, Inc.(1) | 5,336 | 25,986 | |||||||
Cognex Corp. | 4,133 | 144,614 | |||||||
Coherent, Inc.(1) | 616 | 27,190 | |||||||
Electro Scientific Industries, Inc. | 2,346 | 25,876 | |||||||
FARO Technologies, Inc.(1) | 777 | 35,843 | |||||||
Hitachi Ltd. | 64,000 | 366,718 | |||||||
Hon Hai Precision Industry Co. Ltd. | 949,645 | 2,783,903 | |||||||
Key Tronic Corp.(1) | 2,966 | 28,740 | |||||||
Littelfuse, Inc. | 3,137 | 180,503 | |||||||
Methode Electronics, Inc. | 4,931 | 37,032 | |||||||
Molex, Inc., Class A | 20,345 | 401,610 | |||||||
Murata Manufacturing Co. Ltd. | 26,600 | 1,381,598 | |||||||
OSI Systems, Inc.(1) | 1,634 | 104,282 | |||||||
Park Electrochemical Corp. | 3,259 | 76,456 | |||||||
Plexus Corp.(1) | 1,264 | 35,392 | |||||||
TE Connectivity Ltd. | 17,380 | 546,080 | |||||||
Tech Data Corp.(1) | 19,739 | 939,774 | |||||||
Trimble Navigation Ltd.(1) | 33,575 | 1,583,565 | |||||||
8,796,354 | |||||||||
ENERGY EQUIPMENT AND SERVICES — 1.3% | |||||||||
Atwood Oceanics, Inc.(1) | 12,200 | 466,162 | |||||||
Baker Hughes, Inc. | 29,160 | 1,216,847 | |||||||
Bristow Group, Inc. | 601 | 24,070 | |||||||
Cal Dive International, Inc.(1) | 29,660 | 76,226 | |||||||
Core Laboratories NV | 11,652 | 1,490,291 | |||||||
Helix Energy Solutions Group, Inc.(1) | 98,795 | 1,692,358 | |||||||
Helmerich & Payne, Inc. | 4,049 | 183,420 | |||||||
Hornbeck Offshore Services, Inc.(1) | 11,520 | 384,653 | |||||||
Mitcham Industries, Inc.(1) | 5,876 | 111,056 | |||||||
National Oilwell Varco, Inc. | 40,290 | 2,689,357 | |||||||
Oceaneering International, Inc. | 34,495 | 1,594,359 | |||||||
Oil States International, Inc.(1) | 11,600 | 772,212 | |||||||
Petrofac Ltd. | 102,657 | 2,447,586 | |||||||
Pioneer Drilling Co.(1) | 6,209 | 46,195 | |||||||
Saipem SpA | 55,536 | 2,156,247 | |||||||
Schlumberger Ltd. | 60,405 | 3,820,616 | |||||||
Superior Energy Services, Inc.(1) | 2,826 | 61,155 | |||||||
Technip SA | 17,268 | 1,573,848 | |||||||
Tetra Technologies, Inc.(1) | 6,207 | 39,663 | |||||||
Unit Corp.(1) | 1,094 | 43,530 | |||||||
20,889,851 | |||||||||
FOOD AND STAPLES RETAILING — 1.2% | |||||||||
Andersons, Inc. (The) | 3,740 | 162,877 | |||||||
BIM Birlesik Magazalar AS | 13,662 | 553,147 | |||||||
Chefs’ Warehouse, Inc. (The)(1) | 1,385 | 26,384 | |||||||
Clicks Group Ltd. | 83,668 | 461,105 | |||||||
Costco Wholesale Corp. | 13,171 | 1,137,843 |
13
Shares/ Principal Amount | Value |
CP ALL PCL | 667,200 | $718,265 | |||||||
CVS Caremark Corp. | 85,727 | 3,852,571 | |||||||
Harris Teeter Supermarkets, Inc. | 324 | 12,160 | |||||||
Jeronimo Martins SGPS SA | 88,286 | 1,568,165 | |||||||
Kroger Co. (The) | 53,160 | 1,170,052 | |||||||
Lawson, Inc. | 24,400 | 1,709,495 | |||||||
Magnit OJSC GDR(1) | 46,455 | 1,142,793 | |||||||
SUPERVALU, Inc. | 7,988 | 36,106 | |||||||
SYSCO Corp. | 17,512 | 488,760 | |||||||
Village Super Market, Inc., Class A | 1,655 | 41,375 | |||||||
Wal-Mart de Mexico SAB de CV | 248,077 | 599,352 | |||||||
Wal-Mart Stores, Inc. | 30,944 | 2,036,734 | |||||||
Weis Markets, Inc. | 2,140 | 93,390 | |||||||
Whole Foods Market, Inc. | 34,737 | 3,078,045 | |||||||
18,888,619 | |||||||||
FOOD PRODUCTS — 1.7% | |||||||||
Archer-Daniels-Midland Co. | 70,780 | 2,256,466 | |||||||
BRF - Brasil Foods SA | 39,300 | 607,763 | |||||||
Bunge Ltd. | 25,895 | 1,540,753 | |||||||
Campbell Soup Co. | 65,990 | 2,091,883 | |||||||
ConAgra Foods, Inc. | 94,790 | 2,383,968 | |||||||
Danone SA | 31,514 | 2,022,002 | |||||||
Darling International, Inc.(1) | 8,262 | 115,751 | |||||||
Dean Foods Co.(1) | 3,337 | 52,191 | |||||||
Dole Food Co., Inc.(1) | 3,696 | 32,820 | |||||||
General Mills, Inc. | 17,590 | 673,345 | |||||||
H.J. Heinz Co. | 6,765 | 359,086 | |||||||
Hershey Co. (The) | 13,065 | 873,526 | |||||||
J&J Snack Foods Corp. | 2,717 | 149,625 | |||||||
Kellogg Co. | 28,045 | 1,368,035 | |||||||
Kraft Foods, Inc., Class A | 25,510 | 976,268 | |||||||
McCormick & Co., Inc. | 14,800 | 834,128 | |||||||
Mead Johnson Nutrition Co. | 26,261 | 2,120,313 | |||||||
Nestle SA | 69,590 | 3,943,923 | |||||||
Orion Corp. | 611 | 498,015 | |||||||
PT Charoen Pokphand Indonesia Tbk | 1,694,500 | 473,198 | |||||||
Ralcorp Holdings, Inc.(1) | 24,483 | 1,555,895 | |||||||
Snyders-Lance, Inc. | 2,001 | 51,606 | |||||||
Tyson Foods, Inc., Class A | 81,719 | 1,582,897 | |||||||
26,563,457 | |||||||||
GAS UTILITIES — 0.1% | |||||||||
AGL Resources, Inc. | 30,842 | 1,155,958 | |||||||
Atmos Energy Corp. | 2,395 | 79,370 | |||||||
Chesapeake Utilities Corp. | 468 | 19,778 | |||||||
Laclede Group, Inc. (The) | 1,340 | 51,067 | |||||||
ONEOK, Inc. | 10,600 | 879,694 | |||||||
South Jersey Industries, Inc. | 716 | 34,662 | |||||||
WGL Holdings, Inc. | 1,720 | 66,994 | |||||||
2,287,523 | |||||||||
HEALTH CARE EQUIPMENT AND SUPPLIES — 1.3% | |||||||||
Abaxis, Inc.(1) | 845 | 27,665 | |||||||
Align Technology, Inc.(1) | 1,997 | 62,366 | |||||||
Arthrocare Corp.(1) | 1,041 | 27,253 | |||||||
Becton, Dickinson and Co. | 12,990 | 949,959 | |||||||
Boston Scientific Corp.(1) | 106,235 | 609,789 | |||||||
CareFusion Corp.(1) | 65,108 | 1,578,218 | |||||||
Cie Generale d’Optique Essilor International SA | 12,513 | 1,068,829 | |||||||
Cooper Cos., Inc. (The) | 11,476 | 977,526 | |||||||
Covidien plc | 26,753 | 1,385,270 | |||||||
Cutera, Inc.(1) | 3,592 | 24,821 | |||||||
Cyberonics, Inc.(1) | 941 | 36,275 | |||||||
DENTSPLY International, Inc. | 13,384 | 495,208 | |||||||
DexCom, Inc.(1) | 2,277 | 24,478 | |||||||
Edwards Lifesciences Corp.(1) | 6,846 | 584,443 | |||||||
Elekta AB B Shares | 11,433 | 548,161 | |||||||
Getinge AB B Shares | 23,284 | 578,534 | |||||||
Haemonetics Corp.(1) | 858 | 59,811 | |||||||
HeartWare International, Inc.(1) | 409 | 33,280 | |||||||
Hill-Rom Holdings, Inc. | 10,311 | 303,246 | |||||||
ICU Medical, Inc.(1) | 1,064 | 54,743 | |||||||
IDEXX Laboratories, Inc.(1) | 12,012 | 1,019,098 | |||||||
Insulet Corp.(1) | 1,666 | 30,688 | |||||||
Integra LifeSciences Holdings Corp.(1) | 2,644 | 93,888 | |||||||
Intuitive Surgical, Inc.(1) | 2,088 | 1,092,233 | |||||||
MAKO Surgical Corp.(1) | 20,683 | 469,711 | |||||||
Masimo Corp.(1) | 1,821 | 34,253 | |||||||
Medtronic, Inc. | 89,921 | 3,312,690 | |||||||
Meridian Bioscience, Inc. | 1,437 | 27,217 | |||||||
Mettler-Toledo International, Inc.(1) | 6,600 | 1,030,392 | |||||||
Neogen Corp.(1) | 786 | 30,607 |
14
Shares/ Principal Amount | Value |
NuVasive, Inc.(1) | 1,465 | $28,948 | |||||||
NxStage Medical, Inc.(1) | 1,514 | 22,998 | |||||||
Orthofix International NV(1) | 1,878 | 71,176 | |||||||
ResMed, Inc.(1) | 14,168 | 438,925 | |||||||
St. Jude Medical, Inc. | 4,822 | 185,261 | |||||||
STERIS Corp. | 24,306 | 725,777 | |||||||
Stryker Corp. | 11,677 | 600,782 | |||||||
Utah Medical Products, Inc. | 1,462 | 49,854 | |||||||
Volcano Corp.(1) | 1,679 | 48,003 | |||||||
West Pharmaceutical Services, Inc. | 644 | 30,783 | |||||||
Young Innovations, Inc. | 5,973 | 207,323 | |||||||
Zimmer Holdings, Inc. | 33,144 | 2,010,184 | |||||||
20,990,666 | |||||||||
HEALTH CARE PROVIDERS AND SERVICES — 1.1% | |||||||||
Accretive Health, Inc.(1) | 1,404 | 16,511 | |||||||
Aetna, Inc. | 23,140 | 946,195 | |||||||
Air Methods Corp.(1) | 353 | 32,176 | |||||||
AmerisourceBergen Corp. | 4,479 | 165,678 | |||||||
Amsurg Corp.(1) | 1,237 | 33,795 | |||||||
Assisted Living Concepts, Inc., Class A | 628 | 8,692 | |||||||
Bio-Reference Labs, Inc.(1) | 900 | 17,307 | |||||||
Centene Corp.(1) | 1,618 | 58,474 | |||||||
Chemed Corp. | 657 | 36,496 | |||||||
CIGNA Corp. | 12,318 | 540,883 | |||||||
Express Scripts Holding Co.(1) | 26,871 | 1,402,397 | |||||||
Fresenius Medical Care AG & Co. KGaA | 11,990 | 795,989 | |||||||
HealthSouth Corp.(1) | 3,266 | 62,511 | |||||||
HMS Holdings Corp.(1) | 2,796 | 74,905 | |||||||
Humana, Inc. | 29,349 | 2,241,970 | |||||||
IPC The Hospitalist Co., Inc.(1) | 585 | 20,469 | |||||||
Landauer, Inc. | 374 | 18,861 | |||||||
LifePoint Hospitals, Inc.(1) | 31,135 | 1,146,391 | |||||||
Lincare Holdings, Inc. | 3,004 | 68,882 | |||||||
Magellan Health Services, Inc.(1) | 1,301 | 54,863 | |||||||
McKesson Corp. | 23,719 | 2,070,194 | |||||||
MWI Veterinary Supply, Inc.(1) | 428 | 39,783 | |||||||
National Healthcare Corp. | 1,098 | 47,005 | |||||||
Owens & Minor, Inc. | 4,379 | 124,670 | |||||||
Patterson Cos., Inc. | 29,711 | 987,594 | |||||||
PSS World Medical, Inc.(1) | 4,284 | 86,665 | |||||||
Quest Diagnostics, Inc. | 9,280 | 528,032 | |||||||
U.S. Physical Therapy, Inc. | 1,169 | 28,407 | |||||||
UnitedHealth Group, Inc. | 53,768 | 2,998,641 | |||||||
VCA Antech, Inc.(1) | 3,153 | 67,916 | |||||||
WellCare Health Plans, Inc.(1) | 1,372 | 77,477 | |||||||
WellPoint, Inc. | 28,831 | 1,942,921 | |||||||
16,742,750 | |||||||||
HEALTH CARE TECHNOLOGY — 0.2% | |||||||||
athenahealth, Inc.(1) | 1,111 | 80,759 | |||||||
Computer Programs & Systems, Inc. | 410 | 22,304 | |||||||
MedAssets, Inc.(1) | 1,449 | 16,403 | |||||||
Quality Systems, Inc. | 1,314 | 37,593 | |||||||
SXC Health Solutions Corp.(1) | 35,800 | 3,211,618 | |||||||
3,368,677 | |||||||||
HOTELS, RESTAURANTS AND LEISURE — 1.5% | |||||||||
AFC Enterprises, Inc.(1) | 3,028 | 64,678 | |||||||
Bally Technologies, Inc.(1) | 17,539 | 816,440 | |||||||
Bob Evans Farms, Inc. | 1,138 | 46,135 | |||||||
Brinker International, Inc. | 28,950 | 935,375 | |||||||
Carnival Corp. | 31,226 | 1,002,042 | |||||||
CEC Entertainment, Inc. | 22,560 | 788,698 | |||||||
Cedar Fair LP | 4,331 | 116,071 | |||||||
Chipotle Mexican Grill, Inc.(1) | 5,099 | 2,106,244 | |||||||
Compass Group plc | 66,010 | 647,032 | |||||||
Genting Malaysia Bhd | 321,400 | 373,915 | |||||||
Grand Korea Leisure Co. Ltd. | 30,770 | 594,413 | |||||||
Hotel Shilla Co. Ltd. | 19,213 | 875,797 | |||||||
Hyatt Hotels Corp. Class A(1) | 2,500 | 92,475 | |||||||
Intercontinental Hotels Group plc | 58,160 | 1,367,848 | |||||||
International Game Technology | 33,156 | 474,131 | |||||||
International Speedway Corp., Class A | 10,640 | 255,786 | |||||||
Jack in the Box, Inc.(1) | 1,545 | 39,938 | |||||||
Jubilant Foodworks Ltd.(1) | 14,999 | 341,245 | |||||||
Las Vegas Sands Corp. | 13,000 | 600,340 | |||||||
Marriott International, Inc. Class A | 39,549 | 1,530,942 | |||||||
McDonald’s Corp. | 20,533 | 1,834,418 | |||||||
Orient-Express Hotels Ltd. Class A(1) | 2,568 | 21,674 |
15
Shares/ Principal Amount | Value |
Panera Bread Co., Class A(1) | 5,500 | $808,225 | |||||||
Papa John’s International, Inc.(1) | 2,162 | 100,576 | |||||||
Red Robin Gourmet Burgers, Inc.(1) | 1,549 | 49,568 | |||||||
Ruth’s Hospitality Group, Inc.(1) | 8,666 | 56,849 | |||||||
Sands China Ltd. | 234,000 | 798,938 | |||||||
Shuffle Master, Inc.(1) | 5,724 | 90,783 | |||||||
Speedway Motorsports, Inc. | 10,665 | 175,653 | |||||||
Starbucks Corp. | 33,931 | 1,862,473 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | 15,900 | 840,315 | |||||||
Vail Resorts, Inc. | 1,105 | 48,034 | |||||||
Whitbread plc | 39,639 | 1,138,137 | |||||||
WMS Industries, Inc.(1) | 1,275 | 26,176 | |||||||
Wyndham Worldwide Corp. | 6,200 | 308,760 | |||||||
Wynn Resorts Ltd. | 3,300 | 340,032 | |||||||
Yum! Brands, Inc. | 34,673 | 2,439,592 | |||||||
24,009,748 | |||||||||
HOUSEHOLD DURABLES — 0.3% | |||||||||
Cavco Industries, Inc.(1) | 48 | 2,023 | |||||||
CSS Industries, Inc. | 2,707 | 51,541 | |||||||
Electrolux AB | 37,659 | 713,834 | |||||||
Garmin Ltd. | 33,590 | 1,443,026 | |||||||
Helen of Troy Ltd.(1) | 470 | 14,796 | |||||||
La-Z-Boy, Inc.(1) | 2,248 | 31,719 | |||||||
M/I Homes, Inc.(1) | 5,930 | 89,068 | |||||||
Mohawk Industries, Inc.(1) | 9,007 | 613,377 | |||||||
Tempur-Pedic International, Inc.(1) | 2,918 | 134,841 | |||||||
Toll Brothers, Inc.(1) | 27,400 | 747,472 | |||||||
Tupperware Brands Corp. | 1,372 | 74,157 | |||||||
Whirlpool Corp. | 10,135 | 627,154 | |||||||
Zagg, Inc.(1) | 3,936 | 41,761 | |||||||
4,584,769 | |||||||||
HOUSEHOLD PRODUCTS — 0.9% | |||||||||
Church & Dwight Co., Inc. | 30,025 | 1,598,531 | |||||||
Clorox Co. | 8,794 | 605,027 | |||||||
Colgate-Palmolive Co. | 12,420 | 1,220,886 | |||||||
Kimberly-Clark Corp. | 13,025 | 1,033,534 | |||||||
LG Household & Health Care Ltd. | 1,555 | 769,430 | |||||||
Procter & Gamble Co. (The) | 104,735 | 6,523,943 | |||||||
Reckitt Benckiser Group plc | 18,578 | 986,100 | |||||||
Unicharm Corp. | 27,200 | 1,470,036 | |||||||
14,207,487 | |||||||||
INDUSTRIAL CONGLOMERATES — 0.9% | |||||||||
3M Co. | 3,265 | 275,599 | |||||||
Alfa SAB de CV, Series A | 53,301 | 667,683 | |||||||
Danaher Corp. | 22,013 | 1,144,016 | |||||||
General Electric Co. | 424,955 | 8,112,391 | |||||||
Keppel Corp. Ltd. | 91,000 | 704,780 | |||||||
Koninklijke Philips Electronics NV | 59,447 | 1,051,139 | |||||||
Raven Industries, Inc. | 3,239 | 215,782 | |||||||
Standex International Corp. | 1,077 | 43,823 | |||||||
Tyco International Ltd. | 48,116 | 2,557,847 | |||||||
14,773,060 | |||||||||
INSURANCE — 2.6% | |||||||||
ACE Ltd. | 32,318 | 2,337,561 | |||||||
Admiral Group plc | 36,691 | 587,536 | |||||||
AIA Group Ltd. | 261,800 | 853,379 | |||||||
Allied World Assurance Co. Holdings AG | 25,117 | 1,931,497 | |||||||
Allstate Corp. (The) | 76,126 | 2,583,716 | |||||||
Alterra Capital Holdings Ltd. | 3,201 | 71,094 | |||||||
American Equity Investment Life Holding Co. | 2,258 | 23,890 | |||||||
American Financial Group, Inc. | 19,829 | 771,150 | |||||||
American International Group, Inc.(1) | 13,580 | 396,264 | |||||||
AMERISAFE, Inc.(1) | 3,348 | 91,702 | |||||||
Amtrust Financial Services, Inc. | 3,971 | 114,166 | |||||||
Aon plc | 23,638 | 1,099,167 | |||||||
Aspen Insurance Holdings Ltd. | 3,333 | 94,191 | |||||||
Assurant, Inc. | 24,326 | 812,002 | |||||||
Baldwin & Lyons, Inc., Class B | 2,992 | 63,580 | |||||||
Berkshire Hathaway, Inc., Class B(1) | 34,321 | 2,723,715 | |||||||
Brown & Brown, Inc. | 18,800 | 481,280 | |||||||
Chubb Corp. (The) | 11,670 | 841,057 | |||||||
Discovery Holdings Ltd. | 89,051 | 521,503 | |||||||
Employers Holdings, Inc. | 833 | 14,078 | |||||||
Everest Re Group Ltd. | 13,678 | 1,396,797 |
16
Shares/ Principal Amount | Value |
Hanover Insurance Group, Inc. (The) | 1,192 | $46,500 | |||||||
HCC Insurance Holdings, Inc. | 42,174 | 1,318,359 | |||||||
Infinity Property & Casualty Corp. | 1,040 | 55,806 | |||||||
Loews Corp. | 89,820 | 3,493,100 | |||||||
Marsh & McLennan Cos., Inc. | 36,032 | 1,152,303 | |||||||
MetLife, Inc. | 63,700 | 1,860,677 | |||||||
Muenchener Rueckversicherungs AG | 16,253 | 2,014,709 | |||||||
National Financial Partners Corp.(1) | 3,253 | 43,265 | |||||||
Ping An Insurance Group Co. H Shares | 137,000 | 1,008,761 | |||||||
Platinum Underwriters Holdings Ltd. | 2,058 | 74,705 | |||||||
Primerica, Inc. | 1,885 | 45,372 | |||||||
Principal Financial Group, Inc. | 109,948 | 2,700,323 | |||||||
ProAssurance Corp. | 1,083 | 95,456 | |||||||
Prudential Financial, Inc. | 73,321 | 3,405,760 | |||||||
Symetra Financial Corp. | 29,439 | 332,661 | |||||||
Torchmark Corp. | 14,314 | 667,891 | |||||||
Travelers Cos., Inc. (The) | 45,726 | 2,857,418 | |||||||
United Fire Group, Inc. | 3,401 | 72,271 | |||||||
Unum Group | 38,684 | 771,746 | |||||||
Zurich Financial Services AG(1) | 5,950 | 1,216,523 | |||||||
41,042,931 | |||||||||
INTERNET AND CATALOG RETAIL — 0.3% | |||||||||
Amazon.com, Inc.(1) | 10,253 | 2,182,966 | |||||||
priceline.com, Inc.(1) | 2,228 | 1,393,592 | |||||||
Rakuten, Inc. | 1,428 | 1,527,136 | |||||||
5,103,694 | |||||||||
INTERNET SOFTWARE AND SERVICES — 1.0% | |||||||||
Baidu, Inc. ADR(1) | 19,942 | 2,348,569 | |||||||
Dice Holdings, Inc.(1) | 12,737 | 125,205 | |||||||
Facebook, Inc. Class A(1) | 4,446 | 131,735 | |||||||
Google, Inc., Class A(1) | 13,685 | 7,949,069 | |||||||
Infospace, Inc.(1) | 8,029 | 102,450 | |||||||
Internap Network Services Corp.(1) | 2,673 | 19,058 | |||||||
Keynote Systems, Inc. | 1,666 | 24,074 | |||||||
LinkedIn Corp., Class A(1) | 5,300 | 509,330 | |||||||
Liquidity Services, Inc.(1) | 910 | 58,140 | |||||||
Mail.ru Group Ltd. GDR(1) | 7,323 | 229,723 | |||||||
Perficient, Inc.(1) | 6,974 | 79,015 | |||||||
Qihoo 360 Technology Co. Ltd. ADR(1) | 15,477 | 309,540 | |||||||
Rackspace Hosting, Inc.(1) | 23,717 | 1,173,280 | |||||||
SPS Commerce, Inc.(1) | 555 | 15,340 | |||||||
Stamps.com, Inc.(1) | 4,067 | 99,886 | |||||||
Tencent Holdings Ltd. | 60,800 | 1,671,666 | |||||||
ValueClick, Inc.(1) | 8,350 | 146,459 | |||||||
Web.com Group, Inc.(1) | 4,930 | 78,486 | |||||||
15,071,025 | |||||||||
IT SERVICES — 1.6% | |||||||||
Accenture plc, Class A | 46,589 | 2,660,232 | |||||||
Alliance Data Systems Corp.(1) | 26,200 | 3,301,200 | |||||||
Automatic Data Processing, Inc. | 19,033 | 992,571 | |||||||
Booz Allen Hamilton Holding Corp. | 26,096 | 423,016 | |||||||
CACI International, Inc., Class A(1) | 2,546 | 108,969 | |||||||
Cardtronics, Inc.(1) | 2,678 | 75,038 | |||||||
Cielo SA | 20,442 | 542,863 | |||||||
Convergys Corp.(1) | 5,548 | 77,395 | |||||||
DST Systems, Inc. | 3,648 | 186,413 | |||||||
Euronet Worldwide, Inc.(1) | 1,052 | 18,925 | |||||||
Fiserv, Inc.(1) | 9,590 | 646,654 | |||||||
FleetCor Technologies, Inc.(1) | 1,909 | 72,351 | |||||||
Heartland Payment Systems, Inc. | 6,283 | 183,338 | |||||||
International Business Machines Corp. | 47,074 | 9,080,575 | |||||||
MasterCard, Inc., Class A | 2,848 | 1,157,740 | |||||||
MAXIMUS, Inc. | 1,029 | 46,830 | |||||||
NeuStar, Inc., Class A(1) | 1,196 | 38,487 | |||||||
SAIC, Inc. | 63,432 | 704,729 | |||||||
Teradata Corp.(1) | 31,500 | 2,094,120 | |||||||
Total System Services, Inc. | 3,204 | 74,557 | |||||||
Visa, Inc., Class A | 25,853 | 2,978,266 | |||||||
25,464,269 | |||||||||
LEISURE EQUIPMENT AND PRODUCTS† | |||||||||
Brunswick Corp. | 959 | 21,002 | |||||||
Polaris Industries, Inc. | 4,917 | 373,545 | |||||||
Smith & Wesson Holding Corp.(1) | 10,687 | 72,030 | |||||||
Sturm Ruger & Co., Inc. | 2,233 | 87,020 | |||||||
553,597 |
17
Shares/ Principal Amount | Value |
LIFE SCIENCES TOOLS AND SERVICES — 0.1% | |||||||||
Agilent Technologies, Inc. | 24,612 | $1,000,724 | |||||||
Covance, Inc.(1) | 1,286 | 59,671 | |||||||
Life Technologies Corp.(1) | 6,566 | 268,615 | |||||||
Luminex Corp.(1) | 1,354 | 29,991 | |||||||
PAREXEL International Corp.(1) | 1,788 | 47,847 | |||||||
Sequenom, Inc.(1) | 2,634 | 10,088 | |||||||
1,416,936 | |||||||||
MACHINERY — 1.5% | |||||||||
Actuant Corp., Class A | 24,227 | 634,021 | |||||||
Altra Holdings, Inc.(1) | 3,484 | 58,427 | |||||||
Atlas Copco AB A Shares | 48,057 | 967,821 | |||||||
Barnes Group, Inc. | 1,585 | 36,883 | |||||||
Blount International, Inc.(1) | 1,530 | 20,839 | |||||||
Briggs & Stratton Corp. | 4,263 | 72,045 | |||||||
Chart Industries, Inc.(1) | 13,900 | 868,194 | |||||||
CLARCOR, Inc. | 1,839 | 89,743 | |||||||
Cummins, Inc. | 25,929 | 2,513,817 | |||||||
Deere & Co. | 7,568 | 559,048 | |||||||
Dover Corp. | 13,090 | 740,370 | |||||||
Dynamic Materials Corp. | 2,196 | 37,068 | |||||||
FANUC Corp. | 6,900 | 1,190,505 | |||||||
Flow International Corp.(1) | 6,450 | 19,028 | |||||||
FreightCar America, Inc. | 1,478 | 29,309 | |||||||
Greenbrier Cos., Inc.(1) | 2,732 | 37,811 | |||||||
IDEX Corp. | 1,045 | 41,518 | |||||||
Illinois Tool Works, Inc. | 26,925 | 1,511,839 | |||||||
Ingersoll-Rand plc | 20,620 | 851,812 | |||||||
ITT Corp. | 29,555 | 606,764 | |||||||
Joy Global, Inc. | 11,800 | 659,148 | |||||||
Kaydon Corp. | 32,707 | 729,693 | |||||||
Kennametal, Inc. | 2,845 | 98,892 | |||||||
Komatsu Ltd. | 45,500 | 1,090,467 | |||||||
Kone Oyj | 8,523 | 475,611 | |||||||
Lincoln Electric Holdings, Inc. | 540 | 25,693 | |||||||
Lindsay Corp. | 2,009 | 111,801 | |||||||
Marcopolo SA Preference Shares | 96,900 | 447,781 | |||||||
Middleby Corp.(1) | 852 | 87,134 | |||||||
Mitsubishi Heavy Industries Ltd. | 353,000 | 1,428,037 | |||||||
Mueller Industries, Inc., Class A | 876 | 37,213 | |||||||
NN, Inc.(1) | 11,110 | 85,769 | |||||||
Oshkosh Corp.(1) | 27,049 | 553,693 | |||||||
Parker-Hannifin Corp. | 22,624 | 1,849,286 | |||||||
Robbins & Myers, Inc. | 2,490 | 113,519 | |||||||
Sauer-Danfoss, Inc. | 42,642 | 1,540,655 | |||||||
Snap-On, Inc. | 5,806 | 351,321 | |||||||
Stanley Black & Decker, Inc. | 7,033 | 465,936 | |||||||
Terex Corp.(1) | 51,136 | 850,392 | |||||||
Titan International, Inc. | 29,904 | 669,850 | |||||||
Trinity Industries, Inc. | 14,800 | 365,560 | |||||||
Volvo AB B Shares | 41,168 | 462,145 | |||||||
Weir Group plc (The) | 18,120 | 431,186 | |||||||
23,817,644 | |||||||||
MARINE — 0.1% | |||||||||
Diana Shipping, Inc.(1) | 6,045 | 46,547 | |||||||
Kirby Corp.(1) | 19,362 | 1,021,926 | |||||||
1,068,473 | |||||||||
MEDIA — 1.4% | |||||||||
Aegis Group plc | 291,570 | 729,773 | |||||||
Belo Corp. Class A | 14,867 | 85,931 | |||||||
CBS Corp., Class B | 183,077 | 5,843,818 | |||||||
Charter Communications, Inc., Class A(1) | 4,293 | 269,171 | |||||||
Cheil Worldwide, Inc. | 16,010 | 244,847 | |||||||
Comcast Corp., Class A | 89,570 | 2,589,469 | |||||||
DISH Network Corp., Class A | 62,190 | 1,743,808 | |||||||
Entercom Communications Corp., Class A(1) | 7,486 | 36,906 | |||||||
Entravision Communications Corp., Class A | 28,094 | 37,646 | |||||||
Focus Media Holding Ltd. ADR | 27,048 | 562,598 | |||||||
Kabel Deutschland Holding AG(1) | 26,727 | 1,516,240 | |||||||
LIN TV Corp., Class A(1) | 16,234 | 46,754 | |||||||
Naspers Ltd. N Shares | 8,492 | 448,990 | |||||||
Regal Entertainment Group Class A | 68,756 | 945,395 | |||||||
Sinclair Broadcast Group, Inc., Class A | 3,830 | 31,176 | |||||||
Time Warner Cable, Inc. | 25,439 | 1,918,101 | |||||||
Time Warner, Inc. | 120,350 | 4,148,464 | |||||||
Viacom, Inc., Class B | 26,704 | 1,274,582 | |||||||
22,473,669 | |||||||||
METALS AND MINING — 1.2% | |||||||||
Antofagasta plc | 67,443 | 1,041,511 | |||||||
BHP Billiton Ltd. | 72,999 | 2,273,332 | |||||||
Carpenter Technology Corp. | 18,700 | 842,622 |
18
Shares/ Principal Amount | Value |
Cliffs Natural Resources, Inc. | 13,800 | $659,364 | |||||||
Coeur d’Alene Mines Corp.(1) | 82,132 | 1,388,031 | |||||||
Exxaro Resources Ltd. | 32,809 | 731,025 | |||||||
Ferrexpo plc | 60,805 | 184,801 | |||||||
Freeport-McMoRan Copper & Gold, Inc. | 48,531 | 1,554,933 | |||||||
Haynes International, Inc. | 1,053 | 53,703 | |||||||
Hecla Mining Co. | 8,103 | 34,438 | |||||||
Koza Altin Isletmeleri AS | 21,868 | 369,402 | |||||||
Materion Corp. | 927 | 20,478 | |||||||
Newmont Mining Corp. | 18,856 | 889,249 | |||||||
Noranda Aluminum Holding Corp. | 7,025 | 54,022 | |||||||
Nucor Corp. | 43,173 | 1,543,867 | |||||||
Rio Tinto plc | 44,530 | 1,907,904 | |||||||
RTI International Metals, Inc.(1) | 2,378 | 49,914 | |||||||
Schnitzer Steel Industries, Inc. Class A | 1,110 | 28,949 | |||||||
Southern Copper Corp. | 6,027 | 171,468 | |||||||
Teck Resources Ltd. | 55,188 | 1,645,154 | |||||||
Thompson Creek Metals Co., Inc.(1) | 3,817 | 13,092 | |||||||
Umicore SA | 24,040 | 1,140,864 | |||||||
Vale SA Preference Shares | 69,000 | 1,245,308 | |||||||
Xstrata plc | 83,030 | 1,180,485 | |||||||
19,023,916 | |||||||||
MULTI-UTILITIES — 0.6% | |||||||||
Ameren Corp. | 48,805 | 1,576,889 | |||||||
Avista Corp. | 2,296 | 58,341 | |||||||
Black Hills Corp. | 1,620 | 52,132 | |||||||
Consolidated Edison, Inc. | 39,724 | 2,397,741 | |||||||
NorthWestern Corp. | 1,273 | 45,204 | |||||||
PG&E Corp. | 62,743 | 2,741,869 | |||||||
Public Service Enterprise Group, Inc. | 63,804 | 1,990,047 | |||||||
Wisconsin Energy Corp. | 8,908 | 337,079 | |||||||
9,199,302 | |||||||||
MULTILINE RETAIL — 0.9% | |||||||||
Big Lots, Inc.(1) | 1,291 | 47,444 | |||||||
Dillard’s, Inc., Class A | 26,235 | 1,764,041 | |||||||
Dollar General Corp.(1) | 15,570 | 761,529 | |||||||
Dollar Tree, Inc.(1) | 16,600 | 1,712,788 | |||||||
Family Dollar Stores, Inc. | 8,500 | 575,875 | |||||||
Fred’s, Inc., Class A | 1,626 | 22,358 | |||||||
Gordmans Stores, Inc.(1) | 3,029 | 53,946 | |||||||
J.C. Penney Co., Inc. | 10,140 | 265,972 | |||||||
Kohl’s Corp. | 21,040 | 964,053 | |||||||
Macy’s, Inc. | 110,977 | 4,222,675 | |||||||
SACI Falabella | 53,160 | 478,214 | |||||||
Target Corp. | 56,962 | 3,298,669 | |||||||
14,167,564 | |||||||||
OFFICE ELECTRONICS† | |||||||||
Zebra Technologies Corp., Class A(1) | 813 | 27,211 | |||||||
OIL, GAS AND CONSUMABLE FUELS — 4.4% | |||||||||
Apache Corp. | 41,705 | 3,393,953 | |||||||
Banpu PCL | 37,050 | 524,045 | |||||||
Berry Petroleum Co., Class A | 1,932 | 75,174 | |||||||
BG Group plc | 108,946 | 2,086,252 | |||||||
Bill Barrett Corp.(1) | 1,045 | 20,179 | |||||||
BP Prudhoe Bay Royalty Trust | 469 | 52,092 | |||||||
Cabot Oil & Gas Corp. | 36,700 | 1,194,218 | |||||||
Chevron Corp. | 123,138 | 12,105,697 | |||||||
CNOOC Ltd. | 603,000 | 1,090,777 | |||||||
Concho Resources, Inc.(1) | 15,400 | 1,351,196 | |||||||
ConocoPhillips | 51,498 | 2,686,136 | |||||||
Devon Energy Corp. | 19,613 | 1,167,366 | |||||||
Dragon Oil plc | 71,708 | 551,200 | |||||||
Energy XXI Bermuda Ltd. | 50,102 | 1,555,667 | |||||||
ENI SpA | 67,177 | 1,295,805 | |||||||
EOG Resources, Inc. | 11,213 | 1,113,451 | |||||||
EQT Corp. | 18,717 | 868,094 | |||||||
Exxon Mobil Corp. | 182,269 | 14,331,811 | |||||||
Goodrich Petroleum Corp.(1) | 2,234 | 32,996 | |||||||
Gulfport Energy Corp.(1) | 4,167 | 77,006 | |||||||
Hugoton Royalty Trust | 3,590 | 24,340 | |||||||
Imperial Oil Ltd. | 43,463 | 1,746,768 | |||||||
Kodiak Oil & Gas Corp.(1) | 74,414 | 603,498 | |||||||
Kunlun Energy Co. Ltd. | 442,000 | 755,122 | |||||||
Marathon Oil Corp. | 9,975 | 248,477 | |||||||
Marathon Petroleum Corp. | 51,254 | 1,848,732 | |||||||
Murphy Oil Corp. | 21,525 | 1,003,496 | |||||||
Noble Energy, Inc. | 12,965 | 1,095,024 | |||||||
Occidental Petroleum Corp. | 57,891 | 4,589,020 | |||||||
Pacific Coast Oil Trust | 2,478 | 41,705 | |||||||
Peabody Energy Corp. | 29,218 | 682,532 | |||||||
Phillips 66(1) | 21,377 | 641,951 | |||||||
Rosetta Resources, Inc.(1) | 3,204 | 123,963 | |||||||
SandRidge Mississippian Trust II | 2,289 | 46,284 |
19
Shares/ Principal Amount | Value |
Sasol Ltd. | 7,321 | $311,419 | |||||||
SM Energy Co. | 7,600 | 411,084 | |||||||
Southwestern Energy Co.(1) | 17,693 | 495,935 | |||||||
Statoil ASA | 98,575 | 2,223,011 | |||||||
Stone Energy Corp.(1) | 4,234 | 99,753 | |||||||
Suncor Energy, Inc. | 56,897 | 1,535,650 | |||||||
Swift Energy Co.(1) | 1,243 | 24,748 | |||||||
Tesoro Logistics LP | 810 | 25,539 | |||||||
Total SA ADR | 34,350 | 1,479,454 | |||||||
Tullow Oil plc | 26,576 | 582,436 | |||||||
Ultra Petroleum Corp.(1) | 63,950 | 1,184,354 | |||||||
Ultrapar Participacoes SA | 39,900 | 807,160 | |||||||
Vaalco Energy, Inc.(1) | 9,609 | 81,965 | |||||||
Valero Energy Corp. | 59,484 | 1,255,112 | |||||||
W&T Offshore, Inc. | 4,765 | 73,238 | |||||||
Western Refining, Inc. | 44,559 | 861,771 | |||||||
Whiting USA Trust II | 96 | 1,872 | |||||||
70,478,528 | |||||||||
PAPER AND FOREST PRODUCTS — 0.2% | |||||||||
Buckeye Technologies, Inc. | 5,056 | 140,102 | |||||||
Clearwater Paper Corp.(1) | 2,317 | 72,615 | |||||||
Domtar Corp. | 17,792 | 1,407,525 | |||||||
International Paper Co. | 28,400 | 829,280 | |||||||
KapStone Paper and Packaging Corp.(1) | 11,879 | 183,412 | |||||||
Neenah Paper, Inc. | 2,226 | 58,009 | |||||||
2,690,943 | |||||||||
PERSONAL PRODUCTS — 0.3% | |||||||||
Estee Lauder Cos., Inc. (The), Class A | 17,857 | 966,957 | |||||||
Hengan International Group Co. Ltd. | 49,500 | 473,536 | |||||||
Inter Parfums, Inc. | 3,073 | 48,246 | |||||||
L’Oreal SA | 13,699 | 1,540,077 | |||||||
Nu Skin Enterprises, Inc., Class A | 29,862 | 1,280,483 | |||||||
Prestige Brands Holdings, Inc.(1) | 1,163 | 15,968 | |||||||
4,325,267 | |||||||||
PHARMACEUTICALS — 3.1% | |||||||||
Abbott Laboratories | 117,998 | 7,291,096 | |||||||
Allergan, Inc. | 9,905 | 893,926 | |||||||
Aspen Pharmacare Holdings Ltd.(1) | 32,361 | 448,132 | |||||||
Auxilium Pharmaceuticals, Inc.(1) | 1,653 | 31,572 | |||||||
Elan Corp. plc ADR(1) | 37,800 | 527,688 | |||||||
Eli Lilly & Co. | 64,211 | 2,629,441 | |||||||
GlaxoSmithKline plc | 58,018 | 1,285,822 | |||||||
Hospira, Inc.(1) | 9,871 | 308,568 | |||||||
Impax Laboratories, Inc.(1) | 3,453 | 71,581 | |||||||
Jazz Pharmaceuticals plc(1) | 715 | 30,888 | |||||||
Johnson & Johnson | 159,734 | 9,972,194 | |||||||
Medicis Pharmaceutical Corp., Class A | 2,319 | 83,716 | |||||||
Merck & Co., Inc. | 161,234 | 6,059,174 | |||||||
Nektar Therapeutics(1) | 2,736 | 18,331 | |||||||
Novo Nordisk A/S B Shares | 17,640 | 2,346,775 | |||||||
Optimer Pharmaceuticals, Inc.(1) | 1,617 | 24,158 | |||||||
Par Pharmaceutical Cos., Inc.(1) | 2,776 | 99,492 | |||||||
Perrigo Co. | 13,800 | 1,433,682 | |||||||
Pfizer, Inc. | 434,298 | 9,498,097 | |||||||
Questcor Pharmaceuticals, Inc.(1) | 19,721 | 816,449 | |||||||
Roche Holding AG | 9,323 | 1,455,054 | |||||||
Salix Pharmaceuticals Ltd.(1) | 1,882 | 97,506 | |||||||
Sanofi | 29,668 | 2,017,647 | |||||||
Shire plc | 59,970 | 1,689,543 | |||||||
ViroPharma, Inc.(1) | 1,431 | 28,820 | |||||||
VIVUS, Inc.(1) | 3,139 | 77,816 | |||||||
49,237,168 | |||||||||
PROFESSIONAL SERVICES — 0.2% | |||||||||
Adecco SA(1) | 18,431 | 715,343 | |||||||
Advisory Board Co. (The)(1) | 882 | 85,439 | |||||||
Capita Group plc (The) | 90,836 | 865,178 | |||||||
CDI Corp. | 4,208 | 70,610 | |||||||
Experian plc | 48,199 | 672,273 | |||||||
Heidrick & Struggles International, Inc. | 1,982 | 32,545 | |||||||
Kelly Services, Inc., Class A | 3,134 | 36,637 | |||||||
Kforce, Inc.(1) | 2,366 | 31,539 | |||||||
On Assignment, Inc.(1) | 8,158 | 135,912 | |||||||
SGS SA | 570 | 1,027,508 | |||||||
TrueBlue, Inc.(1) | 3,341 | 49,948 | |||||||
WageWorks, Inc.(1) | 3,052 | 33,358 | |||||||
3,756,290 |
20
Shares/ Principal Amount | Value |
REAL ESTATE INVESTMENT TRUSTS (REITs) — 2.7% | |||||||||
American Campus Communities, Inc. | 10,290 | $451,731 | |||||||
American Tower Corp. | 15,277 | 991,172 | |||||||
Apartment Investment & Management Co., Class A | 23,700 | 641,559 | |||||||
Associated Estates Realty Corp. | 1,591 | 25,154 | |||||||
AvalonBay Communities, Inc. | 11,627 | 1,624,873 | |||||||
BioMed Realty Trust, Inc. | 4,269 | 77,056 | |||||||
Boston Properties, Inc. | 13,819 | 1,422,390 | |||||||
Brandywine Realty Trust | 30,500 | 342,515 | |||||||
BRE Properties, Inc. | 11,261 | 554,379 | |||||||
Camden Property Trust | 12,563 | 817,977 | |||||||
Campus Crest Communities, Inc. | 6,379 | 68,766 | |||||||
CBL & Associates Properties, Inc. | 3,063 | 53,480 | |||||||
Cedar Realty Trust, Inc. | 4,752 | 22,810 | |||||||
Chimera Investment Corp. | 20,954 | 58,671 | |||||||
CommonWealth REIT | 2,464 | 43,490 | |||||||
CreXus Investment Corp. | 2,464 | 24,147 | |||||||
DCT Industrial Trust, Inc. | 35,097 | 204,265 | |||||||
DDR Corp. | 25,986 | 360,946 | |||||||
DiamondRock Hospitality Co. | 20,405 | 202,826 | |||||||
Digital Realty Trust, Inc. | 21,086 | 1,492,256 | |||||||
Duke Realty Corp. | 8,573 | 118,650 | |||||||
Education Realty Trust, Inc. | 14,576 | 160,628 | |||||||
Entertainment Properties Trust | 2,939 | 121,293 | |||||||
Equity Lifestyle Properties, Inc. | 467 | 30,757 | |||||||
Equity One, Inc. | 12,000 | 238,320 | |||||||
Equity Residential | 25,800 | 1,576,380 | |||||||
Essex Property Trust, Inc. | 3,809 | 573,102 | |||||||
Extra Space Storage, Inc. | 17,723 | 502,624 | |||||||
Federal Realty Investment Trust | 6,533 | 642,063 | |||||||
First Industrial Realty Trust, Inc.(1) | 12,838 | 153,157 | |||||||
General Growth Properties, Inc. | 51,238 | 858,237 | |||||||
Government Properties Income Trust | 13,278 | 284,016 | |||||||
Hatteras Financial Corp. | 2,049 | 58,499 | |||||||
HCP, Inc. | 38,404 | 1,568,419 | |||||||
Health Care REIT, Inc. | 24,307 | 1,348,309 | |||||||
Healthcare Realty Trust, Inc. | 2,197 | 48,070 | |||||||
Hersha Hospitality Trust | 6,876 | 36,649 | |||||||
Highwoods Properties, Inc. | 17,459 | 563,227 | |||||||
Host Hotels & Resorts, Inc. | 41,536 | 633,839 | |||||||
Kilroy Realty Corp. | 14,836 | 681,121 | |||||||
Kimco Realty Corp. | 39,424 | 707,661 | |||||||
LaSalle Hotel Properties | 9,899 | 273,014 | |||||||
Lexington Realty Trust | 9,733 | 80,881 | |||||||
Link Real Estate Investment Trust (The) | 180,500 | 693,019 | |||||||
Macerich Co. (The) | 12,368 | 705,594 | |||||||
Mack-Cali Realty Corp. | 2,447 | 66,656 | |||||||
Medical Properties Trust, Inc. | 2,880 | 25,920 | |||||||
MFA Financial, Inc. | 7,287 | 55,527 | |||||||
National Retail Properties, Inc. | 1,615 | 42,781 | |||||||
Newcastle Investment Corp. | 55,199 | 366,521 | |||||||
Piedmont Office Realty Trust, Inc., Class A | 60,511 | 999,037 | |||||||
Post Properties, Inc. | 12,218 | 591,473 | |||||||
ProLogis, Inc. | 26,064 | 833,527 | |||||||
PS Business Parks, Inc. | 1,125 | 74,126 | |||||||
Public Storage | 13,500 | 1,801,845 | |||||||
Rayonier, Inc. | 2,800 | 120,316 | |||||||
RLJ Lodging Trust | 3,655 | 64,438 | |||||||
Rouse Properties, Inc.(1) | 22 | 281 | |||||||
Sabra Health Care REIT, Inc. | 4,431 | 63,718 | |||||||
Simon Property Group, Inc. | 49,522 | 7,305,485 | |||||||
SL Green Realty Corp. | 7,439 | 557,999 | |||||||
Sovran Self Storage, Inc. | 1,748 | 86,264 | |||||||
Strategic Hotels & Resorts, Inc.(1) | 44,026 | 274,282 | |||||||
Sun Communities, Inc. | 607 | 25,015 | |||||||
Sunstone Hotel Investors, Inc.(1) | 24,849 | 248,739 | |||||||
Taubman Centers, Inc. | 10,723 | 782,779 | |||||||
UDR, Inc. | 39,956 | 1,034,860 | |||||||
Urstadt Biddle Properties, Inc., Class A | 2,454 | 43,681 | |||||||
Ventas, Inc. | 43,180 | 2,539,848 | |||||||
Vornado Realty Trust | 18,739 | 1,535,099 | |||||||
Washington Real Estate Investment Trust | 1,344 | 37,820 | |||||||
Weyerhaeuser Co. | 29,867 | 594,652 | |||||||
42,310,681 |
21
Shares/ Principal Amount | Value |
REAL ESTATE MANAGEMENT AND DEVELOPMENT — 0.3% | |||||||||
BR Malls Participacoes SA | 128,900 | $1,422,032 | |||||||
BR Properties SA | 61,900 | 705,903 | |||||||
CBRE Group, Inc.(1) | 78,973 | 1,299,106 | |||||||
China Overseas Land & Investment Ltd. | 326,000 | 681,271 | |||||||
Daito Trust Construction Co. Ltd. | 8,300 | 730,857 | |||||||
Forest City Enterprises, Inc. Class A(1) | 10,900 | 145,951 | |||||||
Jones Lang LaSalle, Inc. | 900 | 65,250 | |||||||
5,050,370 | |||||||||
ROAD AND RAIL — 0.5% | |||||||||
Arkansas Best Corp. | 2,410 | 30,486 | |||||||
Canadian National Railway Co. | 7,475 | 611,259 | |||||||
Celadon Group, Inc. | 2,346 | 37,794 | |||||||
Heartland Express, Inc. | 44,420 | 632,541 | |||||||
Kansas City Southern | 30,000 | 1,979,400 | |||||||
Marten Transport Ltd. | 2,330 | 47,695 | |||||||
Quality Distribution, Inc.(1) | 3,194 | 33,920 | |||||||
Union Pacific Corp. | 33,803 | 3,765,654 | |||||||
Werner Enterprises, Inc. | 1,158 | 28,186 | |||||||
7,166,935 | |||||||||
SEMICONDUCTORS AND SEMICONDUCTOR EQUIPMENT — 2.3% | |||||||||
Advanced Micro Devices, Inc.(1) | 268,202 | 1,630,668 | |||||||
Applied Materials, Inc. | 301,254 | 3,111,954 | |||||||
ARM Holdings plc | 171,264 | 1,336,917 | |||||||
ASML Holding NV | 27,200 | 1,247,777 | |||||||
Avago Technologies Ltd. | 38,300 | 1,267,730 | |||||||
Broadcom Corp., Class A(1) | 38,927 | 1,259,288 | |||||||
Cavium Networks, Inc.(1) | 442 | 10,701 | |||||||
CEVA, Inc.(1) | 1,418 | 24,645 | |||||||
Cirrus Logic, Inc.(1) | 4,197 | 120,538 | |||||||
Cymer, Inc.(1) | 670 | 36,294 | |||||||
Entegris, Inc.(1) | 4,455 | 34,348 | |||||||
Formfactor, Inc.(1) | 5,595 | 33,514 | |||||||
Infineon Technologies AG | 28,989 | 228,977 | |||||||
Intel Corp. | 254,821 | 6,584,575 | |||||||
Intersil Corp., Class A | 6,415 | 67,678 | |||||||
KLA-Tencor Corp. | 50,631 | 2,320,419 | |||||||
Linear Technology Corp. | 24,467 | 710,032 | |||||||
M/A-COM Technology Solutions Holdings, Inc.(1) | 3,322 | 55,012 | |||||||
Marvell Technology Group Ltd.(1) | 108,377 | 1,357,964 | |||||||
MKS Instruments, Inc. | 650 | 16,997 | |||||||
Nanometrics, Inc.(1) | 4,960 | 77,029 | |||||||
Photronics, Inc.(1) | 13,956 | 83,736 | |||||||
Rudolph Technologies, Inc.(1) | 2,976 | 25,653 | |||||||
Samsung Electronics Co. Ltd. | 6,817 | 6,994,609 | |||||||
Semtech Corp.(1) | 3,853 | 92,819 | |||||||
Silicon Motion Technology Corp. ADR(1) | 3,475 | 47,051 | |||||||
Skyworks Solutions, Inc.(1) | 5,896 | 158,367 | |||||||
Spansion, Inc., Class A(1) | 10,486 | 113,249 | |||||||
Standard Microsystems Corp.(1) | 2,047 | 75,002 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,176,500 | 3,354,334 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 97,005 | 1,331,879 | |||||||
Teradyne, Inc.(1) | 52,271 | 755,316 | |||||||
Ultratech, Inc.(1) | 4,691 | 142,231 | |||||||
United Microelectronics Corp. | 966,000 | 423,968 | |||||||
Xilinx, Inc. | 69,239 | 2,213,571 | |||||||
37,344,842 | |||||||||
SOFTWARE — 2.1% | |||||||||
ACI Worldwide, Inc.(1) | 387 | 14,780 | |||||||
Actuate Corp.(1) | 7,619 | 50,895 | |||||||
Adobe Systems, Inc.(1) | 14,490 | 449,914 | |||||||
Allot Communications Ltd.(1) | 7,036 | 183,077 | |||||||
BroadSoft, Inc.(1) | 1,496 | 40,856 | |||||||
CA, Inc. | 23,728 | 590,115 | |||||||
Cadence Design Systems, Inc.(1) | 11,510 | 117,402 | |||||||
Cerner Corp.(1) | 14,509 | 1,131,122 | |||||||
Check Point Software Technologies Ltd.(1) | 43,598 | 2,233,961 | |||||||
Citrix Systems, Inc.(1) | 34,165 | 2,496,778 | |||||||
CommVault Systems, Inc.(1) | 6,146 | 288,063 | |||||||
Compuware Corp.(1) | 6,189 | 55,701 | |||||||
Fortinet, Inc.(1) | 11,679 | 248,179 | |||||||
Glu Mobile, Inc.(1) | 6,297 | 29,092 | |||||||
Guidance Software, Inc.(1) | 5,571 | 45,682 | |||||||
Intuit, Inc. | 1,628 | 91,542 | |||||||
JDA Software Group, Inc.(1) | 908 | 25,133 | |||||||
Kenexa Corp.(1) | 7,733 | 225,572 |
22
Shares/ Principal Amount | Value |
Konami Corp. | 16,700 | $353,138 | |||||||
Mentor Graphics Corp.(1) | 2,248 | 31,697 | |||||||
Microsoft Corp. | 364,039 | 10,626,298 | |||||||
NCSoft Corp. | 2,821 | 573,641 | |||||||
NetScout Systems, Inc.(1) | 3,143 | 63,017 | |||||||
NetSuite, Inc.(1) | 26,500 | 1,243,380 | |||||||
Oracle Corp. | 259,295 | 6,863,539 | |||||||
Parametric Technology Corp.(1) | 2,361 | 47,692 | |||||||
PROS Holdings, Inc.(1) | 4,662 | 70,070 | |||||||
QLIK Technologies, Inc.(1) | 13,557 | 308,151 | |||||||
Quest Software, Inc.(1) | 15,304 | 382,600 | |||||||
Red Hat, Inc.(1) | 6,202 | 318,659 | |||||||
SAP AG | 25,160 | 1,443,520 | |||||||
SolarWinds, Inc.(1) | 985 | 45,172 | |||||||
Sourcefire, Inc.(1) | 10,200 | 562,632 | |||||||
Symantec Corp.(1) | 124,353 | 1,845,399 | |||||||
TIBCO Software, Inc.(1) | 3,536 | 94,588 | |||||||
Ultimate SoftwareGroup, Inc.(1) | 928 | 74,546 | |||||||
Websense, Inc.(1) | 5,215 | 96,895 | |||||||
33,362,498 | |||||||||
SPECIALTY RETAIL — 2.2% | |||||||||
America’s Car-Mart, Inc.(1) | 1,567 | 67,616 | |||||||
American Eagle Outfitters, Inc. | 2,488 | 48,043 | |||||||
Ascena Retail Group, Inc.(1) | 3,698 | 70,003 | |||||||
Belle International Holdings Ltd. | 368,000 | 590,769 | |||||||
Best Buy Co., Inc. | 95,860 | 1,794,499 | |||||||
Buckle, Inc. (The) | 1,586 | 62,076 | |||||||
Cabela’s, Inc.(1) | 2,307 | 81,529 | |||||||
Cato Corp. (The), Class A | 1,716 | 49,249 | |||||||
Cia Hering | 24,500 | 499,269 | |||||||
Collective Brands, Inc.(1) | 3,503 | 74,509 | |||||||
Destination Maternity Corp. | 3,145 | 61,327 | |||||||
DSW, Inc., Class A | 15,600 | 931,008 | |||||||
Esprit Holdings Ltd. | 102,800 | 165,560 | |||||||
Express, Inc.(1) | 2,506 | 46,361 | |||||||
Fast Retailing Co. Ltd. | 5,000 | 1,116,003 | |||||||
Finish Line, Inc. (The), Class A | 1,331 | 27,445 | |||||||
Foot Locker, Inc. | 53,836 | 1,708,755 | |||||||
Francesca’s Holdings Corp.(1) | 1,727 | 40,515 | |||||||
GameStop Corp., Class A | 21,724 | 416,666 | |||||||
Genesco, Inc.(1) | 2,743 | 182,409 | |||||||
GNC Holdings, Inc. Class A | 27,166 | 1,046,706 | |||||||
Guess?, Inc. | 1,164 | 31,009 | |||||||
Home Depot, Inc. (The) | 99,388 | 4,903,804 | |||||||
Inditex SA | 15,180 | 1,254,217 | |||||||
Kingfisher plc | 259,246 | 1,126,731 | |||||||
Lithia Motors, Inc., Class A | 15,987 | 390,403 | |||||||
Lowe’s Cos., Inc. | 109,237 | 2,918,813 | |||||||
Men’s Wearhouse, Inc. (The) | 1,627 | 58,556 | |||||||
Mr Price Group Ltd. | 65,428 | 803,006 | |||||||
Nitori Holdings Co. Ltd. | 6,200 | 560,184 | |||||||
O’Reilly Automotive, Inc.(1) | 35,288 | 3,380,238 | |||||||
Penske Automotive Group, Inc. | 861 | 21,163 | |||||||
PetSmart, Inc. | 67,557 | 4,353,373 | |||||||
RadioShack Corp. | 5,411 | 25,107 | |||||||
Rent-A-Center, Inc. | 1,081 | 36,397 | |||||||
Rue21, Inc.(1) | 1,849 | 48,962 | |||||||
Select Comfort Corp.(1) | 1,779 | 48,673 | |||||||
Stage Stores, Inc. | 813 | 13,975 | |||||||
Staples, Inc. | 154,678 | 2,032,469 | |||||||
Tilly’s, Inc. Class A(1) | 176 | 2,865 | |||||||
Tractor Supply Co. | 25,369 | 2,317,458 | |||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 19,000 | 1,698,030 | |||||||
Urban Outfitters, Inc.(1) | 18,994 | 531,262 | |||||||
Williams-Sonoma, Inc. | 1,483 | 51,772 | |||||||
35,688,784 | |||||||||
TEXTILES, APPAREL AND LUXURY GOODS — 0.5% | |||||||||
adidas AG | 14,299 | 1,064,203 | |||||||
Burberry Group plc | 54,687 | 1,152,157 | |||||||
Carter’s, Inc.(1) | 1,459 | 78,684 | |||||||
Coach, Inc. | 13,589 | 916,578 | |||||||
Columbia Sportswear Co. | 1,961 | 94,304 | |||||||
Culp, Inc.(1) | 4,646 | 44,973 | |||||||
G-III Apparel Group Ltd.(1) | 2,734 | 67,557 | |||||||
Hugo Boss AG Preference Shares | 12,072 | 1,172,518 | |||||||
Iconix Brand Group, Inc.(1) | 5,703 | 85,431 | |||||||
Lululemon Athletica, Inc.(1) | 3,542 | 257,291 | |||||||
LVMH Moet Hennessy Louis Vuitton SA | 7,092 | 1,047,050 | |||||||
Michael Kors Holdings Ltd.(1) | 24,199 | 952,957 | |||||||
Movado Group, Inc. | 6,512 | 180,382 | |||||||
Oxford Industries, Inc. | 2,183 | 100,527 | |||||||
Prada SpA | 106,700 | 657,119 |
23
Shares/ Principal Amount | Value |
Vera Bradley, Inc.(1) | 1,579 | $34,533 | |||||||
VF Corp. | 4,300 | 606,472 | |||||||
8,512,736 | |||||||||
THRIFTS AND MORTGAGE FINANCE — 0.2% | |||||||||
BankUnited, Inc. | 6,284 | 148,240 | |||||||
Berkshire Hills Bancorp, Inc. | 1,064 | 23,216 | |||||||
Brookline Bancorp., Inc. | 4,056 | 35,652 | |||||||
Capitol Federal Financial, Inc. | 68,962 | 803,407 | |||||||
Flushing Financial Corp. | 2,355 | 30,380 | |||||||
Hudson City Bancorp., Inc. | 116,044 | 719,473 | |||||||
Kaiser Federal Financial Group, Inc. | 1,835 | 25,672 | |||||||
Nationstar Mortgage Holdings, Inc.(1) | 2,582 | 49,497 | |||||||
Oritani Financial Corp. | 1,952 | 26,723 | |||||||
People’s United Financial, Inc. | 85,637 | 995,958 | |||||||
Provident Financial Services, Inc. | 3,364 | 46,928 | |||||||
Rockville Financial, Inc. | 3,809 | 42,851 | |||||||
Washington Federal, Inc. | 2,684 | 44,044 | |||||||
2,992,041 | |||||||||
TOBACCO — 0.8% | |||||||||
Altria Group, Inc. | 39,270 | 1,264,101 | |||||||
British American Tobacco plc | 43,271 | 2,039,692 | |||||||
ITC Ltd. | 183,119 | 747,867 | |||||||
Japan Tobacco, Inc. | 348 | 1,940,735 | |||||||
Philip Morris International, Inc. | 88,325 | 7,464,346 | |||||||
13,456,741 | |||||||||
TRADING COMPANIES AND DISTRIBUTORS — 0.4% | |||||||||
Applied Industrial Technologies, Inc. | 2,822 | 106,418 | |||||||
Barloworld Ltd. | 50,268 | 500,839 | |||||||
Beacon Roofing Supply, Inc.(1) | 5,383 | 133,768 | |||||||
DXP Enterprises, Inc.(1) | 2,154 | 101,238 | |||||||
Erickson Air-Crane, Inc.(1) | 3,771 | 25,831 | |||||||
Fastenal Co. | 12,400 | 548,452 | |||||||
H&E Equipment Services, Inc.(1) | 5,848 | 92,808 | |||||||
Kaman Corp. | 1,698 | 49,667 | |||||||
Lawson Products, Inc. | 2,984 | 29,273 | |||||||
Mitsubishi Corp. | 80,100 | 1,569,085 | |||||||
PT AKR Corporindo Tbk | 1,325,000 | 475,731 | |||||||
SeaCube Container Leasing Ltd. | 3,663 | 66,740 | |||||||
TAL International Group, Inc. | 1,676 | 54,822 | |||||||
Titan Machinery, Inc.(1) | 7,477 | 230,665 | |||||||
United Rentals, Inc.(1) | 35,606 | 1,230,187 | |||||||
WESCO International, Inc.(1) | 586 | 34,861 | |||||||
Wolseley plc | 47,240 | 1,607,563 | |||||||
6,857,948 | |||||||||
TRANSPORTATION INFRASTRUCTURE — 0.1% | |||||||||
CCR SA | 73,800 | 564,610 | |||||||
Koninklijke Vopak NV | 15,873 | 935,618 | |||||||
TAV Havalimanlari Holding AS | 84,929 | 410,811 | |||||||
1,911,039 | |||||||||
WATER UTILITIES† | |||||||||
Artesian Resources Corp., Class A | 2,306 | 43,030 | |||||||
Cia de Saneamento de Minas Gerais-COPASA | 9,137 | 195,212 | |||||||
238,242 | |||||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.5% | |||||||||
Advanced Info Service PCL | 99,900 | 562,065 | |||||||
Axiata Group Bhd | 180,600 | 305,769 | |||||||
Crown Castle International Corp.(1) | 27,389 | 1,495,439 | |||||||
Mobile Telesystems OJSC ADR(1) | 39,509 | 657,430 | |||||||
Rogers Communications, Inc., Class B | 33,279 | 1,138,030 | |||||||
SBA Communications Corp., Class A(1) | 44,313 | 2,302,060 | |||||||
Tim Participacoes SA ADR | 15,506 | 379,122 | |||||||
Vodafone Group plc | 605,162 | 1,613,529 | |||||||
8,453,444 | |||||||||
TOTAL COMMON STOCKS (Cost $840,360,036) | 991,203,109 | ||||||||
U.S. Treasury Securities — 10.8% | |||||||||
U.S. Treasury Bonds, 5.50%, 8/15/28 | $150,000 | 219,633 | |||||||
U.S. Treasury Bonds, 4.375%, 11/15/39 | 5,400,000 | 7,345,690 | |||||||
U.S. Treasury Bonds, 4.375%, 5/15/41 | 570,000 | 777,426 | |||||||
U.S. Treasury Bonds, 3.75%, 8/15/41 | 300,000 | 369,469 | |||||||
U.S. Treasury Bonds, 3.125%, 11/15/41 | 500,000 | 549,140 | |||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 15,823,448 | 22,338,263 |
24
Shares/ Principal Amount | Value |
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | $955,179 | $1,386,352 | |||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | 2,828,250 | 4,127,257 | |||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 1,319,747 | 1,417,800 | |||||||
U.S. Treasury Inflation Indexed Notes, 1.875%, 7/15/13 | 16,236,610 | 16,771,915 | |||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/15 | 12,839,726 | 13,411,492 | |||||||
U.S. Treasury Inflation Indexed Notes, 1.375%, 7/15/18 | 15,717,202 | 18,148,464 | |||||||
U.S. Treasury Inflation Indexed Notes, 1.125%, 1/15/21 | 8,389,120 | 9,754,978 | |||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 7/15/21 | 9,363,576 | 10,523,049 | |||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/22 | 1,570,941 | 1,675,752 | |||||||
U.S. Treasury Notes, 0.75%, 8/15/13 | 1,100,000 | 1,107,047 | |||||||
U.S. Treasury Notes, 0.75%, 9/15/13 | 17,500,000 | 17,616,900 | |||||||
U.S. Treasury Notes, 0.50%, 8/15/14 | 4,000,000 | 4,018,752 | |||||||
U.S. Treasury Notes, 0.50%, 10/15/14 | 10,000,000 | 10,047,660 | |||||||
U.S. Treasury Notes, 2.625%, 12/31/14 | 1,000,000 | 1,059,219 | |||||||
U.S. Treasury Notes, 1.25%, 9/30/15 | 2,000,000 | 2,054,688 | |||||||
U.S. Treasury Notes, 1.50%, 6/30/16 | 3,250,000 | 3,375,937 | |||||||
U.S. Treasury Notes, 2.375%, 7/31/17 | 1,800,000 | 1,950,610 | |||||||
U.S. Treasury Notes, 1.875%, 10/31/17 | 1,800,000 | 1,905,610 | |||||||
U.S. Treasury Notes, 2.625%, 4/30/18 | 300,000 | 331,172 | |||||||
U.S. Treasury Notes, 1.375%, 11/30/18 | 2,000,000 | 2,057,500 | |||||||
U.S. Treasury Notes, 2.625%, 8/15/20 | 1,000,000 | 1,107,891 | |||||||
U.S. Treasury Notes, 2.125%, 8/15/21 | 9,650,000 | 10,209,401 | |||||||
U.S. Treasury Notes, 2.00%, 2/15/22 | 5,500,000 | 5,728,596 | |||||||
TOTAL U.S. TREASURY SECURITIES (Cost $155,645,560) | 171,387,663 | ||||||||
Corporate Bonds — 9.6% | |||||||||
AEROSPACE AND DEFENSE — 0.1% | |||||||||
Alliant Techsystems, Inc., 6.75%, 4/1/16 | 30,000 | 30,750 | |||||||
BE Aerospace, Inc., 6.875%, 10/1/20 | 125,000 | 137,813 | |||||||
Honeywell International, Inc., 5.375%, 3/1/41 | 70,000 | 86,736 | |||||||
L-3 Communications Corp., 6.375%, 10/15/15 | 112,000 | 114,800 | |||||||
L-3 Communications Corp., 4.75%, 7/15/20 | 130,000 | 140,004 | |||||||
Lockheed Martin Corp., 4.25%, 11/15/19 | 220,000 | 247,832 | |||||||
Raytheon Co., 4.40%, 2/15/20 | 170,000 | 194,846 | |||||||
United Technologies Corp., 3.10%, 6/1/22(2) | 70,000 | 72,905 | |||||||
United Technologies Corp., 6.05%, 6/1/36 | 72,000 | 91,476 | |||||||
United Technologies Corp., 5.70%, 4/15/40 | 200,000 | 249,670 | |||||||
United Technologies Corp., 4.50%, 6/1/42(2) | 170,000 | 183,461 | |||||||
1,550,293 | |||||||||
AIRLINES† | |||||||||
American Airlines Pass-Through Trust, 7.00%, 7/31/19(3) | 23,258 | 23,026 | |||||||
United Air Lines, Inc., 9.875%, 8/1/13(3) | 222,000 | 229,770 | |||||||
252,796 | |||||||||
AUTO COMPONENTS — 0.2% | |||||||||
Allison Transmission, Inc., 7.125%, 5/15/19(3) | 150,000 | 157,500 | |||||||
American Axle & Manufacturing, Inc., 7.875%, 3/1/17 | 375,000 | 386,718 | |||||||
Delphi Corp., 5.875%, 5/15/19 | 150,000 | 157,875 | |||||||
Goodyear Tire & Rubber Co. (The), 8.25%, 8/15/20 | 275,000 | 287,719 | |||||||
Goodyear Tire & Rubber Co. (The), 7.00%, 5/15/22 | 250,000 | 246,250 |
25
Shares/ Principal Amount | Value |
Tenneco, Inc., 6.875%, 12/15/20 | $250,000 | $266,875 | |||||||
Tomkins LLC/Tomkins, Inc., 9.00%, 10/1/18 | 225,000 | 248,344 | |||||||
TRW Automotive, Inc., 8.875%, 12/1/17(3) | 225,000 | 252,000 | |||||||
UCI International, Inc., 8.625%, 2/15/19 | 200,000 | 205,000 | |||||||
Visteon Corp., 6.75%, 4/15/19 | 500,000 | 500,625 | |||||||
2,708,906 | |||||||||
AUTOMOBILES — 0.2% | |||||||||
American Honda Finance Corp., 2.375%, 3/18/13(3) | 310,000 | 314,138 | |||||||
American Honda Finance Corp., 2.50%, 9/21/15(3) | 390,000 | 403,851 | |||||||
Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19 | 200,000 | 201,500 | |||||||
Daimler Finance North America LLC, 2.625%, 9/15/16(3) | 310,000 | 320,260 | |||||||
Ford Motor Co., 7.45%, 7/16/31 | 200,000 | 261,500 | |||||||
Ford Motor Credit Co. LLC, 7.50%, 8/1/12 | 250,000 | 252,126 | |||||||
Ford Motor Credit Co. LLC, 3.875%, 1/15/15 | 250,000 | 260,597 | |||||||
Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 700,000 | 766,810 | |||||||
Nissan Motor Acceptance Corp., 3.25%, 1/30/13(3) | 100,000 | 101,064 | |||||||
2,881,846 | |||||||||
BEVERAGES — 0.1% | |||||||||
Anheuser-Busch InBev Worldwide, Inc., 7.75%, 1/15/19 | 610,000 | 808,606 | |||||||
Coca-Cola Co. (The), 1.80%, 9/1/16 | 260,000 | 268,424 | |||||||
Constellation Brands, Inc., 7.25%, 9/1/16 | 125,000 | 141,641 | |||||||
Dr Pepper Snapple Group, Inc., 2.90%, 1/15/16 | 90,000 | 94,389 | |||||||
PepsiCo, Inc., 4.875%, 11/1/40 | 80,000 | 91,935 | |||||||
Pernod-Ricard SA, 2.95%, 1/15/17(3) | 190,000 | 192,563 | |||||||
SABMiller Holdings, Inc., 2.45%, 1/15/17(3) | 310,000 | 318,500 | |||||||
1,916,058 | |||||||||
BIOTECHNOLOGY† | |||||||||
Amgen, Inc., 2.125%, 5/15/17 | 290,000 | 291,465 | |||||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 190,000 | 208,836 | |||||||
500,301 | |||||||||
BUILDING PRODUCTS — 0.1% | |||||||||
Boise Cascade LLC, 7.125%, 10/15/14 | 269,000 | 271,690 | |||||||
Masco Corp., 5.95%, 3/15/22 | 300,000 | 308,360 | |||||||
USG Corp., 8.375%, 10/15/18(3) | 100,000 | 104,500 | |||||||
684,550 | |||||||||
CAPITAL MARKETS — 0.1% | |||||||||
Bank of Scotland plc, 3.25%, 1/25/13 | EUR | 170,000 | 213,402 | ||||||
Bear Stearns Cos. LLC (The), 6.40%, 10/2/17 | $500,000 | 571,502 | |||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.375%, 1/19/17 | 120,000 | 123,143 | |||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.875%, 2/8/22 | 200,000 | 199,992 | |||||||
Jefferies Group, Inc., 5.125%, 4/13/18 | 180,000 | 172,800 | |||||||
Merrill Lynch & Co., Inc., MTN, 5.45%, 7/15/14 | 125,000 | 131,003 | |||||||
1,411,842 | |||||||||
CHEMICALS — 0.1% | |||||||||
CF Industries, Inc., 6.875%, 5/1/18 | 160,000 | 190,800 | |||||||
Dow Chemical Co. (The), 5.90%, 2/15/15 | 320,000 | 358,636 | |||||||
Dow Chemical Co. (The), 2.50%, 2/15/16 | 200,000 | 206,343 | |||||||
Eastman Chemical Co., 3.60%, 8/15/22(2) | 200,000 | 200,068 | |||||||
Ecolab, Inc., 4.35%, 12/8/21 | 70,000 | 76,705 | |||||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/1/18 | 125,000 | 125,000 | |||||||
Ineos Finance plc, 8.375%, 2/15/19(3) | 250,000 | 257,500 | |||||||
Ineos Finance plc, 7.50%, 5/1/20(3) | 125,000 | 124,375 |
26
Shares/ Principal Amount | Value |
LyondellBasell Industries NV, 5.00%, 4/15/19(3) | $125,000 | $127,812 | |||||||
Momentive Performance Materials, Inc., 10.00%, 10/15/20(3) | 125,000 | 125,312 | |||||||
Momentive Performance Materials, Inc., 9.00%, 1/15/21 | 225,000 | 171,000 | |||||||
1,963,551 | |||||||||
COMMERCIAL BANKS — 0.6% | |||||||||
Abbey National Treasury Services plc, MTN, 5.125%, 4/14/22 | GBP | 100,000 | 166,377 | ||||||
Bank of America N.A., 5.30%, 3/15/17 | $1,344,000 | 1,370,160 | |||||||
Bank of Nova Scotia, 2.55%, 1/12/17 | 210,000 | 218,750 | |||||||
BB&T Corp., 5.70%, 4/30/14 | 140,000 | 152,478 | |||||||
BB&T Corp., 3.20%, 3/15/16 | 290,000 | 307,589 | |||||||
Capital One Financial Corp., 4.75%, 7/15/21 | 140,000 | 154,178 | |||||||
Fifth Third Bancorp, 6.25%, 5/1/13 | 240,000 | 251,327 | |||||||
HSBC Bank plc, 3.50%, 6/28/15(3) | 230,000 | 239,623 | |||||||
Huntington Bancshares, Inc., 7.00%, 12/15/20 | 50,000 | 59,179 | |||||||
Kreditanstalt fuer Wiederaufbau, 4.125%, 10/15/14 | 400,000 | 432,709 | |||||||
Kreditanstalt fuer Wiederaufbau, 2.00%, 6/1/16 | 420,000 | 435,161 | |||||||
Kreditanstalt fuer Wiederaufbau, 3.875%, 1/21/19 | EUR | 275,000 | 396,012 | ||||||
Kreditanstalt fuer Wiederaufbau, MTN, 4.625%, 1/4/23 | EUR | 140,000 | 220,292 | ||||||
LBG Capital No.1 plc, 7.875%, 11/1/20(3) | $250,000 | 220,763 | |||||||
National Australia Bank Ltd., 2.75%, 9/28/15(3) | 200,000 | 205,125 | |||||||
Northern Trust Co. (The), 6.50%, 8/15/18 | 250,000 | 305,968 | |||||||
Regions Bank, 6.45%, 6/26/37 | 250,000 | 246,875 | |||||||
Regions Financial Corp., 5.75%, 6/15/15 | 275,000 | 289,438 | |||||||
Royal Bank of Scotland Group plc, VRN, 7.65%, 9/30/31 | 125,000 | 96,563 | |||||||
Royal Bank of Scotland plc (The), 3.95%, 9/21/15 | 340,000 | 339,369 | |||||||
Royal Bank of Scotland plc (The), 4.375%, 3/16/16 | 290,000 | 292,092 | |||||||
SunTrust Bank, 7.25%, 3/15/18 | 240,000 | 283,431 | |||||||
SunTrust Banks, Inc., 3.60%, 4/15/16 | 74,000 | 76,957 | |||||||
Toronto-Dominion Bank (The), 2.375%, 10/19/16 | 300,000 | 310,589 | |||||||
U.S. Bancorp., 3.44%, 2/1/16 | 180,000 | 186,286 | |||||||
Wachovia Bank N.A., 4.80%, 11/1/14 | 839,000 | 899,194 | |||||||
Wachovia Bank N.A., 4.875%, 2/1/15 | 312,000 | 332,381 | |||||||
Wells Fargo & Co., 3.68%, 9/15/12 | 220,000 | 233,525 | |||||||
Wells Fargo & Co., 2.10%, 5/8/17 | 280,000 | 277,572 | |||||||
Wells Fargo Bank N.A., 5.75%, 5/16/16 | 250,000 | 284,522 | |||||||
9,284,485 | |||||||||
COMMERCIAL SERVICES AND SUPPLIES — 0.1% | |||||||||
Corrections Corp. of America, 6.75%, 1/31/14 | 8,000 | 8,040 | |||||||
Emergency Medical Services Corp., 8.125%, 6/1/19 | 250,000 | 256,250 | |||||||
Iron Mountain, Inc., 8.375%, 8/15/21 | 225,000 | 241,313 | |||||||
Republic Services, Inc., 3.80%, 5/15/18 | 100,000 | 106,813 | |||||||
Republic Services, Inc., 5.50%, 9/15/19 | 290,000 | 338,826 | |||||||
Republic Services, Inc., 3.55%, 6/1/22 | 110,000 | 111,806 | |||||||
ServiceMaster Co., 8.00%, 2/15/20(3) | 250,000 | 263,437 | |||||||
Waste Management, Inc., 6.125%, 11/30/39 | 240,000 | 300,185 | |||||||
1,626,670 | |||||||||
COMMUNICATIONS EQUIPMENT — 0.1% | |||||||||
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 | 150,000 | 103,875 | |||||||
Avaya, Inc., 7.00%, 4/1/19(3) | 360,000 | 324,000 | |||||||
Cisco Systems, Inc., 5.90%, 2/15/39 | 300,000 | 382,395 | |||||||
CommScope, Inc., 8.25%, 1/15/19(3) | 225,000 | 232,594 | |||||||
1,042,864 |
27
Shares/ Principal Amount | Value |
COMPUTERS AND PERIPHERALS† | |||||||||
Hewlett-Packard Co., 2.60%, 9/15/17 | $390,000 | $385,489 | |||||||
Seagate Technology HDD Holdings, 6.80%, 10/1/16 | 100,000 | 110,750 | |||||||
496,239 | |||||||||
CONSTRUCTION MATERIALS† | |||||||||
HD Supply, Inc., 8.125%, 4/15/19(3) | 50,000 | 52,250 | |||||||
Louisiana-Pacific Corp., 7.50%, 6/1/20(3) | 50,000 | 51,250 | |||||||
Nortek, Inc., 8.50%, 4/15/21 | 125,000 | 121,875 | |||||||
Summit Materials LLC/Summit Materials Finance Corp., 10.50%, 1/31/20(3) | 250,000 | 261,250 | |||||||
Vulcan Materials Co., 7.00%, 6/15/18 | 100,000 | 105,000 | |||||||
591,625 | |||||||||
CONSUMER FINANCE — 0.3% | |||||||||
American Express Centurion Bank, 6.00%, 9/13/17 | 250,000 | 294,894 | |||||||
American Express Credit Corp., 2.80%, 9/19/16 | 190,000 | 196,001 | |||||||
American Express Credit Corp., MTN, 2.75%, 9/15/15 | 320,000 | 330,632 | |||||||
Capital One Bank USA N.A., 8.80%, 7/15/19 | 130,000 | 165,365 | |||||||
CIT Group, Inc., 4.75%, 2/15/15(3) | 350,000 | 349,563 | |||||||
CIT Group, Inc., 7.00%, 5/2/16(3) | 580,000 | 580,000 | |||||||
CIT Group, Inc., 7.00%, 5/2/17(3) | 219,633 | 219,633 | |||||||
Credit Suisse (New York), 6.00%, 2/15/18 | 180,000 | 191,678 | |||||||
Credit Suisse (New York), 5.30%, 8/13/19 | 460,000 | 516,082 | |||||||
PNC Bank N.A., 6.00%, 12/7/17 | 640,000 | 745,702 | |||||||
SLM Corp., 6.25%, 1/25/16 | 120,000 | 122,100 | |||||||
SLM Corp., MTN, 5.00%, 10/1/13 | 270,000 | 277,088 | |||||||
Springleaf Finance Corp., Series 1, MTN, 4.875%, 7/15/12 | 570,000 | 568,575 | |||||||
Springleaf Finance Corp., Series 1, MTN, 5.40%, 12/1/15 | 250,000 | 205,000 | |||||||
TransUnion Holding Co., Inc., PIK, 9.625%, 6/15/18(3) | 250,000 | 265,000 | |||||||
5,027,313 | |||||||||
CONTAINERS AND PACKAGING — 0.1% | |||||||||
AEP Industries, Inc., 8.25%, 4/15/19 | 125,000 | 128,750 | |||||||
Ardagh Packaging Finance plc, 7.375%, 10/15/17(3) | 400,000 | 428,000 | |||||||
Ball Corp., 7.125%, 9/1/16 | 200,000 | 218,000 | |||||||
Ball Corp., 5.00%, 3/15/22 | 125,000 | 126,406 | |||||||
Berry Plastics Corp., VRN, 4.35%, 9/15/14 | 125,000 | 122,969 | |||||||
Crown Americas LLC/Crown Americas Capital Corp. II, 7.625%, 5/15/17 | 250,000 | 271,250 | |||||||
Packaging Dynamics Corp., 8.75%, 2/1/16(3) | 225,000 | 237,375 | |||||||
1,532,750 | |||||||||
DIVERSIFIED FINANCIAL SERVICES — 0.7% | |||||||||
Ally Financial, Inc., 8.30%, 2/12/15 | 350,000 | 375,375 | |||||||
Ally Financial, Inc., 5.50%, 2/15/17 | 250,000 | 250,563 | |||||||
Ally Financial, Inc., 6.25%, 12/1/17 | 275,000 | 283,296 | |||||||
Bank of America Corp., 6.50%, 8/1/16 | 210,000 | 227,669 | |||||||
Bank of America Corp., 5.75%, 12/1/17 | 500,000 | 521,040 | |||||||
BankAmerica Capital II, 8.00%, 12/15/26 | 300,000 | 302,250 | |||||||
Citigroup, Inc., 6.01%, 1/15/15 | 510,000 | 546,787 | |||||||
Citigroup, Inc., 4.75%, 5/19/15 | 130,000 | 135,552 | |||||||
Citigroup, Inc., 4.45%, 1/10/17 | 50,000 | 51,641 | |||||||
Citigroup, Inc., 6.125%, 5/15/18 | 1,050,000 | 1,144,549 | |||||||
Deutsche Bank AG (London), 3.875%, 8/18/14 | 370,000 | 385,186 | |||||||
General Electric Capital Corp., 3.75%, 11/14/14 | 400,000 | 420,697 | |||||||
General Electric Capital Corp., 2.25%, 11/9/15 | 330,000 | 334,660 | |||||||
General Electric Capital Corp., 5.625%, 9/15/17 | 670,000 | 766,584 | |||||||
General Electric Capital Corp., 4.375%, 9/16/20 | 600,000 | 648,861 |
28
Shares/ Principal Amount | Value |
General Electric Capital Corp., 5.30%, 2/11/21 | $120,000 | $133,906 | |||||||
Goldman Sachs Group, Inc. (The), 3.30%, 5/3/15 | 40,000 | 39,450 | |||||||
Goldman Sachs Group, Inc. (The), 3.625%, 2/7/16 | 500,000 | 493,014 | |||||||
Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | 360,000 | 370,296 | |||||||
Goldman Sachs Group, Inc. (The), 6.25%, 2/1/41 | 140,000 | 141,823 | |||||||
HSBC Holdings plc, 5.10%, 4/5/21 | 170,000 | 188,529 | |||||||
HSBC Holdings plc, 6.80%, 6/1/38 | 130,000 | 148,259 | |||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 7.75%, 1/15/16 | 200,000 | 211,000 | |||||||
JPMorgan Chase & Co., 6.00%, 1/15/18 | 1,370,000 | 1,540,312 | |||||||
Morgan Stanley, 4.20%, 11/20/14 | 125,000 | 123,020 | |||||||
Morgan Stanley, 6.00%, 4/28/15 | 190,000 | 193,399 | |||||||
Morgan Stanley, 6.625%, 4/1/18 | 820,000 | 833,643 | |||||||
Morgan Stanley, 5.625%, 9/23/19 | 300,000 | 286,829 | |||||||
UBS AG (Stamford Branch), 2.25%, 8/12/13 | 120,000 | 120,713 | |||||||
UBS AG (Stamford Branch), 5.875%, 12/20/17 | 510,000 | 561,435 | |||||||
11,780,338 | |||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.4% | |||||||||
AT&T, Inc., 3.875%, 8/15/21 | 100,000 | 109,550 | |||||||
AT&T, Inc., 6.80%, 5/15/36 | 100,000 | 129,952 | |||||||
AT&T, Inc., 6.55%, 2/15/39 | 685,000 | 880,032 | |||||||
British Telecommunications plc, 5.95%, 1/15/18 | 420,000 | 488,076 | |||||||
CenturyLink, Inc., 6.15%, 9/15/19 | 220,000 | 231,217 | |||||||
CenturyLink, Inc., 5.80%, 3/15/22 | 20,000 | 19,785 | |||||||
CenturyLink, Inc., Series P, 7.60%, 9/15/39 | 12,000 | 11,479 | |||||||
Cincinnati Bell, Inc., 8.75%, 3/15/18 | 150,000 | $139,875 | |||||||
Deutsche Telekom International Finance BV, 2.25%, 3/6/17(3) | 50,000 | 49,582 | |||||||
Deutsche Telekom International Finance BV, 6.75%, 8/20/18 | 240,000 | 287,807 | |||||||
France Telecom SA, 4.375%, 7/8/14 | 610,000 | 643,499 | |||||||
Frontier Communications Corp., 6.25%, 1/15/13 | 260,000 | 267,150 | |||||||
Frontier Communications Corp., 7.125%, 3/15/19 | 200,000 | 193,500 | |||||||
Intelsat Jackson Holdings SA, 11.25%, 6/15/16 | 174,000 | 182,047 | |||||||
Intelsat Jackson Holdings SA, 7.25%, 4/1/19 | 100,000 | 100,375 | |||||||
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 125,000 | 124,688 | |||||||
Intelsat Luxembourg SA, 11.25%, 2/4/17 | 250,000 | 246,250 | |||||||
Level 3 Financing, Inc., 8.625%, 7/15/20(3) | 250,000 | 255,625 | |||||||
Sprint Capital Corp., 8.75%, 3/15/32 | 570,000 | 483,075 | |||||||
Telecom Italia Capital SA, 4.95%, 9/30/14 | 125,000 | 122,188 | |||||||
Telecom Italia Capital SA, 7.00%, 6/4/18 | 50,000 | 50,063 | |||||||
Telefonica Emisiones SAU, 5.88%, 7/15/19 | 570,000 | 533,206 | |||||||
Verizon Communications, Inc., 8.75%, 11/1/18 | 600,000 | 821,650 | |||||||
Virgin Media Finance plc, 9.50%, 8/15/16 | 145,000 | 161,312 | |||||||
Windstream Corp., 7.875%, 11/1/17 | 210,000 | 224,700 | |||||||
6,756,683 | |||||||||
ELECTRIC UTILITIES — 0.1% | |||||||||
AES Corp. (The), 8.00%, 10/15/17 | 570,000 | 635,550 | |||||||
Edison Mission Energy, 7.00%, 5/15/17 | 325,000 | 175,500 | |||||||
811,050 | |||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS AND COMPONENTS† | |||||||||
Jabil Circuit, Inc., 5.625%, 12/15/20 | 275,000 | 289,437 | |||||||
Sanmina-SCI Corp., 7.00%, 5/15/19(3) | 125,000 | 121,563 | |||||||
411,000 |
29
Shares/ Principal Amount | Value |
ENERGY EQUIPMENT AND SERVICES — 0.1% | |||||||||
Basic Energy Services, Inc., 7.75%, 2/15/19 | $250,000 | $245,000 | |||||||
Ensco plc, 3.25%, 3/15/16 | 170,000 | 178,407 | |||||||
Noble Holding International Ltd., 3.95%, 3/15/22 | 60,000 | 61,291 | |||||||
Pioneer Drilling Co., 9.875%, 3/15/18 | 100,000 | 105,500 | |||||||
Transocean, Inc., 6.50%, 11/15/20 | 150,000 | 174,021 | |||||||
Transocean, Inc., 6.375%, 12/15/21 | 60,000 | 69,065 | |||||||
Weatherford International Ltd., 9.625%, 3/1/19 | 320,000 | 422,592 | |||||||
1,255,876 | |||||||||
FOOD AND STAPLES RETAILING — 0.2% | |||||||||
BI-LO LLC/BI-LO Finance Corp., 9.25%, 2/15/19(3) | 130,000 | 137,800 | |||||||
CVS Caremark Corp., 6.60%, 3/15/19 | 570,000 | 720,327 | |||||||
Ingles Markets, Inc., 8.875%, 5/15/17 | 570,000 | 619,875 | |||||||
Kroger Co. (The), 6.40%, 8/15/17 | 320,000 | 387,596 | |||||||
Rite Aid Corp., 7.50%, 3/1/17 | 225,000 | 223,875 | |||||||
Rite Aid Corp., 9.25%, 3/15/20(3) | 125,000 | 120,313 | |||||||
Rite Aid Corp., 9.25%, 3/15/20(3) | 125,000 | 120,313 | |||||||
Safeway, Inc., 4.75%, 12/1/21 | 100,000 | 99,660 | |||||||
SUPERVALU, Inc., 8.00%, 5/1/16 | 155,000 | 155,387 | |||||||
Susser Holdings LLC/Susser Finance Corp., 8.50%, 5/15/16 | 175,000 | 188,781 | |||||||
Wal-Mart Stores, Inc., 5.875%, 4/5/27 | 104,000 | 132,594 | |||||||
Wal-Mart Stores, Inc., 5.625%, 4/1/40 | 340,000 | 435,461 | |||||||
3,341,982 | |||||||||
FOOD PRODUCTS — 0.2% | |||||||||
Bumble Bee Acquisition Corp., 9.00%, 12/15/17(3) | 143,000 | 142,643 | |||||||
Del Monte Corp., 7.625%, 2/15/19 | 160,000 | 156,000 | |||||||
JBS USA LLC/JBS USA Finance, Inc., 8.25%, 2/1/20(3) | 250,000 | 239,375 | |||||||
Kellogg Co., 4.45%, 5/30/16 | 500,000 | 555,081 | |||||||
Kraft Foods, Inc., 6.125%, 2/1/18 | 170,000 | 202,930 | |||||||
Kraft Foods, Inc., 6.50%, 2/9/40 | 110,000 | 141,042 | |||||||
Kraft Foods, Inc., 5.00%, 6/4/42 | 90,000 | 94,140 | |||||||
Mead Johnson Nutrition Co., 3.50%, 11/1/14 | 220,000 | 229,235 | |||||||
Michael Foods Group, Inc., 9.75%, 7/15/18 | 225,000 | 244,687 | |||||||
Post Holdings, Inc., 7.375%, 2/15/22(3) | 250,000 | 255,000 | |||||||
2,260,133 | |||||||||
GAS UTILITIES — 0.3% | |||||||||
CenterPoint Energy Resources Corp., 6.25%, 2/1/37 | 680,000 | 855,884 | |||||||
El Paso Corp., 6.875%, 6/15/14 | 100,000 | 107,423 | |||||||
El Paso Corp., 7.25%, 6/1/18 | 275,000 | 313,192 | |||||||
Enbridge Energy Partners LP, 6.50%, 4/15/18 | 240,000 | 292,950 | |||||||
Enbridge Energy Partners LP, 5.50%, 9/15/40 | 110,000 | 120,535 | |||||||
Enterprise Products Operating LLC, 6.30%, 9/15/17 | 490,000 | 583,725 | |||||||
Enterprise Products Operating LLC, 5.95%, 2/1/41 | 180,000 | 208,248 | |||||||
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 | 510,000 | 619,542 | |||||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 260,000 | 300,036 | |||||||
Magellan Midstream Partners LP, 6.55%, 7/15/19 | 200,000 | 243,658 | |||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22 | 250,000 | 257,500 | |||||||
NGPL PipeCo LLC, 7.12%, 12/15/17(3) | 150,000 | 144,000 | |||||||
Plains All American Pipeline LP/PAA Finance Corp., 3.95%, 9/15/15 | 100,000 | 107,397 | |||||||
Plains All American Pipeline LP/PAA Finance Corp., 8.75%, 5/1/19 | 80,000 | 105,880 |
30
Shares/ Principal Amount | Value |
Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 6/1/22 | $220,000 | $223,320 | |||||||
Rockies Express Pipeline LLC, 3.90%, 4/15/15(3) | 250,000 | 240,000 | |||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/1/22(3) | 300,000 | 300,000 | |||||||
Williams Partners LP, 4.125%, 11/15/20 | 220,000 | 232,529 | |||||||
5,255,819 | |||||||||
HEALTH CARE EQUIPMENT AND SUPPLIES — 0.1% | |||||||||
Biomet, Inc., 10.00%, 10/15/17 | 200,000 | 213,750 | |||||||
Biomet, Inc., 11.625%, 10/15/17 | 225,000 | 239,625 | |||||||
Covidien International Finance SA, 1.875%, 6/15/13 | 310,000 | 315,754 | |||||||
Covidien International Finance SA, 3.20%, 6/15/22 | 160,000 | 162,821 | |||||||
Kinetic Concepts, Inc./KCI USA, Inc., 10.50%, 11/1/18(3) | 125,000 | 126,875 | |||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/1/19(3) | 50,000 | 45,000 | |||||||
1,103,825 | |||||||||
HEALTH CARE PROVIDERS AND SERVICES — 0.4% | |||||||||
AMERIGROUP Corp., 7.50%, 11/15/19 | 200,000 | 215,000 | |||||||
Apria Healthcare Group, Inc., 11.25%, 11/1/14 | 125,000 | 128,906 | |||||||
Capella Healthcare, Inc., 9.25%, 7/1/17 | 225,000 | 226,125 | |||||||
CHS/Community Health Systems, Inc., 8.875%, 7/15/15 | 45,000 | 46,209 | |||||||
DaVita, Inc., 6.375%, 11/1/18 | 175,000 | 177,625 | |||||||
DaVita, Inc., 6.625%, 11/1/20 | 570,000 | 579,975 | |||||||
Express Scripts, Inc., 7.25%, 6/15/19 | 630,000 | 796,006 | |||||||
Fresenius Medical Care US Finance II, Inc., 5.625%, 7/31/19(3) | 570,000 | 567,150 | |||||||
HCA Holdings, Inc., 7.75%, 5/15/21 | 250,000 | 258,125 | |||||||
HCA, Inc., 5.75%, 3/15/14 | 125,000 | 129,688 | |||||||
HCA, Inc., 6.50%, 2/15/16 | 200,000 | 211,750 | |||||||
HCA, Inc., 8.50%, 4/15/19 | 125,000 | 138,594 | |||||||
HCA, Inc., 7.875%, 2/15/20 | 400,000 | 441,000 | |||||||
HCA, Inc., 7.50%, 2/15/22 | 125,000 | 131,328 | |||||||
Health Management Associates, Inc., 7.375%, 1/15/20(3) | 200,000 | 206,000 | |||||||
Healthsouth Corp., 8.125%, 2/15/20 | 250,000 | 268,125 | |||||||
Tenet Healthcare Corp., 8.875%, 7/1/19 | 400,000 | 447,000 | |||||||
Universal Health Services, Inc., 7.00%, 10/1/18 | 375,000 | 403,125 | |||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/1/19 | 75,000 | 73,875 | |||||||
WellPoint, Inc., 5.80%, 8/15/40 | 100,000 | 118,451 | |||||||
5,564,057 | |||||||||
HOTELS, RESTAURANTS AND LEISURE — 0.3% | |||||||||
Ameristar Casinos, Inc., 7.50%, 4/15/21 | 200,000 | 208,500 | |||||||
Boyd Gaming Corp., 9.125%, 12/1/18 | 495,000 | 509,850 | |||||||
Caesars Entertainment Operating Co., Inc., 11.25%, 6/1/17 | 570,000 | 608,475 | |||||||
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/18 | 225,000 | 153,000 | |||||||
Chester Downs & Marina LLC, 9.25%, 2/1/20(3) | 300,000 | 309,750 | |||||||
CityCenter Holdings LLC/CityCenter Finance Corp., 7.625%, 1/15/16 | 300,000 | 312,000 | |||||||
Dave & Buster’s, Inc., 11.00%, 6/1/18 | 225,000 | 243,000 | |||||||
DineEquity, Inc., 9.50%, 10/30/18 | 225,000 | 245,531 | |||||||
Marina District Finance Co., Inc., 9.50%, 10/15/15 | 225,000 | 214,313 | |||||||
McDonald’s Corp., 5.35%, 3/1/18 | 140,000 | 169,383 | |||||||
MGM Resorts International, 6.75%, 9/1/12 | 350,000 | 354,156 | |||||||
MGM Resorts International, 7.625%, 1/15/17 | 125,000 | 127,031 |
31
Shares/ Principal Amount | Value |
MGM Resorts International, 7.75%, 3/15/22 | $250,000 | $250,000 | |||||||
Pinnacle Entertainment, Inc., 8.75%, 5/15/20 | 200,000 | 218,500 | |||||||
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 5/15/18 | 250,000 | 292,280 | |||||||
Station Casinos LLC, 3.65%, 6/18/18(3) | 125,000 | 95,000 | |||||||
Universal City Development Partners Ltd/UCDP Finance, Inc., 8.875%, 11/15/15 | 130,000 | 140,163 | |||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.75%, 8/15/20 | 495,000 | 540,169 | |||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.375%, 3/15/22(3) | 125,000 | 121,406 | |||||||
5,112,507 | |||||||||
HOUSEHOLD DURABLES — 0.1% | |||||||||
Beazer Homes USA, Inc., 8.125%, 6/15/16 | 125,000 | 114,688 | |||||||
D.R. Horton, Inc., 5.625%, 9/15/14 | 70,000 | 74,200 | |||||||
K Hovnanian Enterprises, Inc., 10.625%, 10/15/16 | 125,000 | 110,625 | |||||||
KB Home, 6.25%, 6/15/15 | 375,000 | 362,812 | |||||||
Lennar Corp., Series B, 5.60%, 5/31/15 | 275,000 | 284,625 | |||||||
Meritage Homes Corp., 7.00%, 4/1/22(3) | 125,000 | 127,187 | |||||||
Standard Pacific Corp., 8.375%, 5/15/18 | 400,000 | 431,500 | |||||||
Taylor Morrison, Inc., 7.75%, 4/15/20(3) | 250,000 | 258,125 | |||||||
Toll Brothers Finance Corp., 6.75%, 11/1/19 | 170,000 | 190,615 | |||||||
1,954,377 | |||||||||
HOUSEHOLD PRODUCTS — 0.1% | |||||||||
Central Garden and Pet Co., 8.25%, 3/1/18 | 470,000 | 472,350 | |||||||
Jarden Corp., 6.125%, 11/15/22 | 570,000 | 595,650 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.125%, 4/15/19(3) | 570,000 | 588,525 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 9.875%, 8/15/19(3) | 125,000 | 124,844 | |||||||
Spectrum Brands, Inc., 6.75%, 3/15/20(3) | 125,000 | 127,031 | |||||||
Yankee Candle Co., Inc., Series B, 8.50%, 2/15/15 | 3,000 | 3,083 | |||||||
1,911,483 | |||||||||
INDUSTRIAL CONGLOMERATES — 0.1% | |||||||||
Bombardier, Inc., 7.50%, 3/15/18(3) | 275,000 | 301,125 | |||||||
General Electric Co., 5.25%, 12/6/17 | 550,000 | 642,486 | |||||||
Harland Clarke Holdings Corp., 9.50%, 5/15/15 | 270,000 | 239,625 | |||||||
Schaeffler Finance BV, 7.75%, 2/15/17(3) | 125,000 | 129,844 | |||||||
SPX Corp., 7.625%, 12/15/14 | 125,000 | 138,437 | |||||||
1,451,517 | |||||||||
INSURANCE — 0.3% | |||||||||
Allstate Corp. (The), 7.45%, 5/16/19 | 180,000 | 231,783 | |||||||
Allstate Corp. (The), 5.20%, 1/15/42 | 130,000 | 145,444 | |||||||
American International Group, Inc., 3.65%, 1/15/14 | 110,000 | 112,115 | |||||||
American International Group, Inc., 5.85%, 1/16/18 | 560,000 | 615,680 | |||||||
AXA SA, VRN, 6.46%, 12/14/18(3) | 200,000 | 166,000 | |||||||
Berkshire Hathaway Finance Corp., 4.25%, 1/15/21 | 180,000 | 198,611 | |||||||
CNA Financial Corp., 5.875%, 8/15/20 | 120,000 | 131,669 | |||||||
CNA Financial Corp., 5.75%, 8/15/21 | 70,000 | 76,828 | |||||||
Genworth Financial, Inc., 7.20%, 2/15/21 | 110,000 | 105,584 | |||||||
Genworth Financial, Inc., VRN, 6.15%, 11/15/16 | 400,000 | 230,108 | |||||||
Hartford Financial Services Group, Inc., 4.00%, 3/30/15 | 310,000 | 321,519 | |||||||
Hartford Financial Services Group, Inc., 6.30%, 3/15/18 | 160,000 | 175,887 |
32
Shares/ Principal Amount | Value |
International Lease Finance Corp., 8.75%, 3/15/17 | $375,000 | $418,125 | |||||||
International Lease Finance Corp., 8.25%, 12/15/20 | 375,000 | 419,063 | |||||||
Liberty Mutual Group, Inc., 5.00%, 6/1/21(3) | 142,000 | 146,724 | |||||||
Liberty Mutual Group, Inc., VRN, 7.00%, 3/15/17(3) | 200,000 | 179,000 | |||||||
Lincoln National Corp., 6.25%, 2/15/20 | 300,000 | 341,219 | |||||||
MetLife, Inc., 6.75%, 6/1/16 | 360,000 | 424,080 | |||||||
Prudential Financial, Inc., 5.375%, 6/21/20 | 110,000 | 124,391 | |||||||
Prudential Financial, Inc., 5.625%, 5/12/41 | 100,000 | 104,444 | |||||||
QBE Capital Funding III Ltd., VRN, 7.25%, 5/24/21(3) | 230,000 | 210,785 | |||||||
Swiss Re Capital I LP, VRN, 6.85%, 5/25/16(3) | 200,000 | 184,341 | |||||||
5,063,400 | |||||||||
INTERNET SOFTWARE AND SERVICES† | |||||||||
Equinix, Inc., 7.00%, 7/15/21 | 75,000 | 80,250 | |||||||
Google, Inc., 2.125%, 5/19/16 | 190,000 | 198,896 | |||||||
279,146 | |||||||||
IT SERVICES — 0.2% | |||||||||
Fidelity National Information Services, Inc., 7.625%, 7/15/17 | 125,000 | 136,719 | |||||||
Fidelity National Information Services, Inc., 5.00%, 3/15/22(3) | 50,000 | 48,813 | |||||||
First Data Corp., 9.875%, 9/24/15 | 495,000 | 493,762 | |||||||
First Data Corp., 7.375%, 6/15/19(3) | 720,000 | 723,600 | |||||||
International Business Machines Corp., 1.95%, 7/22/16 | 610,000 | 633,716 | |||||||
SunGard Data Systems, Inc., 10.25%, 8/15/15 | 200,000 | 206,500 | |||||||
2,243,110 | |||||||||
MACHINERY — 0.1% | |||||||||
Case New Holand, Inc., 7.875%, 12/1/17 | 100,000 | 114,500 | |||||||
Caterpillar Financial Services Corp., MTN, 2.85%, 6/1/22 | 250,000 | 254,032 | |||||||
Deere & Co., 5.375%, 10/16/29 | 410,000 | 523,510 | |||||||
Dematic SA, 8.75%, 5/1/16(3) | 125,000 | 130,000 | |||||||
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21 | 130,000 | 135,525 | |||||||
1,157,567 | |||||||||
MEDIA — 0.9% | |||||||||
AMC Entertainment, Inc., 9.75%, 12/1/20 | 250,000 | 270,000 | |||||||
Cablevision Systems Corp., 8.625%, 9/15/17 | 250,000 | 274,375 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 7.875%, 4/30/18 | 375,000 | 404,062 | |||||||
Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15(3) | 200,000 | 150,000 | |||||||
Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17(3) | 125,000 | 132,344 | |||||||
Cinemark USA, Inc., 8.625%, 6/15/19 | 150,000 | 163,875 | |||||||
Clear Channel Communications, Inc., 10.75%, 8/1/16 | 225,000 | 147,375 | |||||||
Clear Channel Worldwide Holdings, Inc., 9.25%, 12/15/17 | 275,000 | 297,000 | |||||||
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/20(3) | 275,000 | 264,000 | |||||||
Clearwire Communications LLC/Clearwire Finance, Inc., 12.00%, 12/1/15(3) | 470,000 | 412,425 | |||||||
Comcast Corp., 5.90%, 3/15/16 | 720,000 | 832,549 | |||||||
Comcast Corp., 6.50%, 11/15/35 | 130,000 | 161,488 | |||||||
Comcast Corp., 6.40%, 5/15/38 | 170,000 | 210,342 | |||||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/19 | 225,000 | 205,875 | |||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 4.75%, 10/1/14 | 240,000 | 258,698 | |||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 5.00%, 3/1/21 | 570,000 | 626,879 | |||||||
Discovery Communications LLC, 5.625%, 8/15/19 | 130,000 | 152,894 |
33
Shares/ Principal Amount | Value |
DISH DBS Corp., 7.125%, 2/1/16 | $125,000 | $134,375 | |||||||
DISH DBS Corp., 6.75%, 6/1/21 | 670,000 | 695,125 | |||||||
Gray Television, Inc., 10.50%, 6/29/15 | 125,000 | 129,375 | |||||||
Interpublic Group of Cos., Inc. (The), 10.00%, 7/15/17 | 750,000 | 849,375 | |||||||
Lamar Media Corp., 7.875%, 4/15/18 | 200,000 | 216,000 | |||||||
Lamar Media Corp., 5.875%, 2/1/22(3) | 250,000 | 252,812 | |||||||
Mediacom LLC/Mediacom Capital Corp., 7.25%, 2/15/22(3) | 250,000 | 251,875 | |||||||
Nara Cable Funding Ltd., 8.875%, 12/1/18(3) | 250,000 | 220,000 | |||||||
NBCUniversal Media LLC, 5.15%, 4/30/20 | 150,000 | 174,312 | |||||||
NBCUniversal Media LLC, 4.375%, 4/1/21 | 260,000 | 286,991 | |||||||
News America, Inc., 6.90%, 8/15/39 | 260,000 | 313,877 | |||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875%, 4/15/17 | 275,000 | 288,750 | |||||||
Nielsen Finance LLC/Nielsen Finance Co., 11.50%, 5/1/16 | 82,000 | 93,070 | |||||||
Omnicom Group, Inc., 3.625%, 5/1/22 | 80,000 | 81,602 | |||||||
PAETEC Holding Corp., 8.875%, 6/30/17 | 125,000 | 135,000 | |||||||
Qwest Corp., 7.50%, 10/1/14 | 270,000 | 302,597 | |||||||
RR Donnelley & Sons Co., 8.25%, 3/15/19 | 225,000 | 215,438 | |||||||
Sable International Finance Ltd., 8.75%, 2/1/20(3) | 125,000 | 130,000 | |||||||
Sinclair Television Group, Inc., 8.375%, 10/15/18 | 250,000 | 269,375 | |||||||
Sirius XM Radio, Inc., 8.75%, 4/1/15(3) | 450,000 | 509,625 | |||||||
Time Warner Cable, Inc., 6.75%, 7/1/18 | 520,000 | 631,135 | |||||||
Time Warner, Inc., 3.15%, 7/15/15 | 310,000 | 327,010 | |||||||
Time Warner, Inc., 7.70%, 5/1/32 | 390,000 | 519,265 | |||||||
Univision Communications, Inc., 6.875%, 5/15/19(3) | 225,000 | 220,500 | |||||||
UPCB Finance VI Ltd., 6.875%, 1/15/22(3) | 250,000 | 246,875 | |||||||
Valassis Communications, Inc., 6.625%, 2/1/21 | 225,000 | 217,125 | |||||||
Viacom, Inc., 4.375%, 9/15/14 | 220,000 | 235,691 | |||||||
Viacom, Inc., 4.50%, 3/1/21 | 40,000 | 44,760 | |||||||
Videotron Ltee, 5.00%, 7/15/22(3) | 125,000 | 122,500 | |||||||
Visant Corp., 10.00%, 10/1/17 | 225,000 | 213,750 | |||||||
Wind Acquisition Finance SA, 11.75%, 7/15/17(3) | 250,000 | 213,750 | |||||||
Wind Acquisition Finance SA, 7.25%, 2/15/18(3) | 250,000 | 215,000 | |||||||
WMG Acquisition Corp., 9.50%, 6/15/16 | 520,000 | 557,700 | |||||||
14,278,816 | |||||||||
METALS AND MINING — 0.2% | |||||||||
AK Steel Corp., 7.625%, 5/15/20 | 150,000 | 139,500 | |||||||
Aleris International, Inc., 7.625%, 2/15/18 | 200,000 | 204,500 | |||||||
AngloGold Ashanti Holdings plc, 5.375%, 4/15/20 | 145,000 | 149,297 | |||||||
ArcelorMittal, 9.85%, 6/1/19 | 140,000 | 166,051 | |||||||
ArcelorMittal, 5.25%, 8/5/20 | 190,000 | 181,538 | |||||||
Barrick North America Finance LLC, 4.40%, 5/30/21 | 200,000 | 216,098 | |||||||
BHP Billiton Finance USA Ltd., 3.25%, 11/21/21 | 200,000 | 209,726 | |||||||
FMG Resources Pty Ltd., 6.875%, 2/1/18(3) | 570,000 | 562,875 | |||||||
Inmet Mining Corp., 8.75%, 6/1/20(3) | 25,000 | 24,500 | |||||||
Newmont Mining Corp., 6.25%, 10/1/39 | 230,000 | 258,737 | |||||||
Novelis, Inc., 8.375%, 12/15/17 | 300,000 | 318,000 | |||||||
Rio Tinto Finance USA Ltd., 3.50%, 11/2/20 | 120,000 | 126,390 | |||||||
Teck Resources Ltd., 3.15%, 1/15/17 | 160,000 | 166,008 | |||||||
Vale Overseas Ltd., 5.625%, 9/15/19 | 440,000 | 487,808 | |||||||
Vale Overseas Ltd., 4.625%, 9/15/20 | 120,000 | 124,382 | |||||||
3,335,410 |
34
Shares/ Principal Amount | Value |
MULTI-UTILITIES — 0.4% | |||||||||
Calpine Construction Finance Co. LP/CCFC Finance Corp., 8.00%, 6/1/16(3) | $400,000 | $431,000 | |||||||
Calpine Corp., 7.50%, 2/15/21(3) | 125,000 | 131,250 | |||||||
Carolina Power & Light Co., 5.15%, 4/1/15 | 267,000 | 298,366 | |||||||
Cleveland Electric Illuminating Co. (The), 5.70%, 4/1/17 | 202,000 | 227,399 | |||||||
Consumers Energy Co., 2.85%, 5/15/22 | 50,000 | 51,110 | |||||||
Dominion Resources, Inc., 6.40%, 6/15/18 | 360,000 | 440,657 | |||||||
Dominion Resources, Inc., 4.90%, 8/1/41 | 70,000 | 79,187 | |||||||
Duke Energy Corp., 3.95%, 9/15/14 | 270,000 | 287,316 | |||||||
Edison International, 3.75%, 9/15/17 | 200,000 | 211,907 | |||||||
Energy Future Holdings Corp., 10.875%, 11/1/17 | 35,000 | 28,963 | |||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.00%, 12/1/20 | 489,000 | 529,342 | |||||||
FirstEnergy Solutions Corp., 6.05%, 8/15/21 | 600,000 | 671,988 | |||||||
Florida Power Corp., 6.35%, 9/15/37 | 510,000 | 692,282 | |||||||
GenOn Energy, Inc., 7.625%, 6/15/14 | 350,000 | 353,500 | |||||||
GenOn Energy, Inc., 9.50%, 10/15/18 | 250,000 | 233,750 | |||||||
Georgia Power Co., 4.30%, 3/15/42 | 60,000 | 62,344 | |||||||
Ipalco Enterprises, Inc., 5.00%, 5/1/18 | 250,000 | 247,500 | |||||||
Nisource Finance Corp., 4.45%, 12/1/21 | 100,000 | 105,867 | |||||||
NRG Energy, Inc., 7.625%, 1/15/18 | 225,000 | 225,563 | |||||||
Pacific Gas & Electric Co., 5.80%, 3/1/37 | 81,000 | 101,951 | |||||||
PG&E Corp., 5.75%, 4/1/14 | 100,000 | 108,382 | |||||||
Progress Energy, Inc., 3.15%, 4/1/22 | 110,000 | 111,436 | |||||||
Public Service Company of Colorado, 4.75%, 8/15/41 | 70,000 | 81,365 | |||||||
Sempra Energy, 8.90%, 11/15/13 | 300,000 | 332,788 | |||||||
Sempra Energy, 6.50%, 6/1/16 | 260,000 | 309,740 | |||||||
Southern California Edison Co., 5.625%, 2/1/36 | 161,000 | 204,459 | |||||||
Southern Power Co., 5.15%, 9/15/41 | 60,000 | 66,601 | |||||||
Teco Finance, Inc., 6.75%, 5/1/15 | 40,000 | 45,821 | |||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/1/20(3) | 125,000 | 84,375 | |||||||
6,756,209 | |||||||||
MULTILINE RETAIL† | |||||||||
J.C. Penney Corp., Inc., 7.65%, 8/15/16 | 125,000 | 127,812 | |||||||
J.C. Penney Corp., Inc., Series A, 6.875%, 10/15/15 | 25,000 | 25,469 | |||||||
153,281 | |||||||||
OFFICE ELECTRONICS† | |||||||||
Xerox Corp., 5.65%, 5/15/13 | 160,000 | 166,447 | |||||||
OIL, GAS AND CONSUMABLE FUELS — 0.9% | |||||||||
Alpha Natural Resources, Inc., 6.00%, 6/1/19 | 625,000 | 562,500 | |||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75%, 5/20/20 | 350,000 | 345,625 | |||||||
AmeriGas Partners LP/AmeriGas Finance Corp., 6.25%, 8/20/19 | 125,000 | 123,125 | |||||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 30,000 | 34,059 | |||||||
Anadarko Petroleum Corp., 6.45%, 9/15/36 | 300,000 | 352,641 | |||||||
Antero Resources Finance Corp., 7.25%, 8/1/19(3) | 200,000 | 203,500 | |||||||
Apache Corp., 4.75%, 4/15/43 | 160,000 | 176,712 | |||||||
Arch Coal, Inc., 8.75%, 8/1/16 | 225,000 | 216,562 | |||||||
Bill Barrett Corp., 9.875%, 7/15/16 | 275,000 | 303,875 | |||||||
Bill Barrett Corp., 7.00%, 10/15/22 | 300,000 | 285,750 | |||||||
BP Capital Markets plc, 3.20%, 3/11/16 | 190,000 | 201,159 | |||||||
BP Capital Markets plc, 2.25%, 11/1/16 | 260,000 | 267,956 |
35
Shares/ Principal Amount | Value |
BP Capital Markets plc, 4.50%, 10/1/20 | $150,000 | $168,040 | |||||||
Chesapeake Energy Corp., 7.625%, 7/15/13 | 125,000 | 130,625 | |||||||
Chesapeake Energy Corp., 9.50%, 2/15/15 | 125,000 | 132,500 | |||||||
Chesapeake Energy Corp., 6.625%, 8/15/20 | 200,000 | 193,000 | |||||||
Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19(3) | 275,000 | 239,250 | |||||||
ConocoPhillips, 5.75%, 2/1/19 | 420,000 | 517,532 | |||||||
ConocoPhillips Holding Co., 6.95%, 4/15/29 | 110,000 | 154,508 | |||||||
Consol Energy, Inc., 8.00%, 4/1/17 | 470,000 | 473,525 | |||||||
Continental Resources, Inc., 5.00%, 9/15/22(3) | 50,000 | 49,688 | |||||||
Devon Energy Corp., 1.875%, 5/15/17 | 80,000 | 79,917 | |||||||
Devon Energy Corp., 5.60%, 7/15/41 | 210,000 | 244,252 | |||||||
Encore Acquisition Co., 9.50%, 5/1/16 | 350,000 | 383,250 | |||||||
Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19 | 200,000 | 203,000 | |||||||
EOG Resources, Inc., 5.625%, 6/1/19 | 380,000 | 461,279 | |||||||
Forest Oil Corp., 8.50%, 2/15/14 | 225,000 | 237,375 | |||||||
Hess Corp., 6.00%, 1/15/40 | 230,000 | 261,512 | |||||||
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/1/19(3) | 200,000 | 190,750 | |||||||
Marathon Petroleum Corp., 3.50%, 3/1/16 | 70,000 | 73,849 | |||||||
Marathon Petroleum Corp., 5.125%, 3/1/21 | 100,000 | 111,302 | |||||||
Nexen, Inc., 5.875%, 3/10/35 | 180,000 | 188,159 | |||||||
Noble Energy, Inc., 4.15%, 12/15/21 | 330,000 | 347,544 | |||||||
Peabody Energy Corp., 6.00%, 11/15/18(3) | 250,000 | 250,625 | |||||||
Peabody Energy Corp., 6.50%, 9/15/20 | 50,000 | 50,625 | |||||||
Pemex Project Funding Master Trust, 6.625%, 6/15/35 | 70,000 | 80,325 | |||||||
Petrobras International Finance Co. - Pifco, 5.75%, 1/20/20 | 390,000 | 427,039 | |||||||
Petrobras International Finance Co. - Pifco, 5.375%, 1/27/21 | 310,000 | 332,611 | |||||||
Petroleos Mexicanos, 6.00%, 3/5/20 | 190,000 | 215,175 | |||||||
Phillips 66, 4.30%, 4/1/22(3) | 130,000 | 135,766 | |||||||
Plains Exploration & Production Co., 6.75%, 2/1/22 | 570,000 | 567,150 | |||||||
Quicksilver Resources, Inc., 8.25%, 8/1/15 | 125,000 | 122,812 | |||||||
Sabine Pass LNG LP, 7.50%, 11/30/16 | 475,000 | 504,687 | |||||||
Samson Investment Co., 9.75%, 2/15/20(3) | 125,000 | 124,531 | |||||||
SandRidge Energy, Inc., 8.75%, 1/15/20 | 175,000 | 180,250 | |||||||
Shell International Finance BV, VRN, 0.82%, 6/22/12 | 3,000,000 | 3,001,083 | |||||||
Suncor Energy, Inc., 6.10%, 6/1/18 | 266,000 | 317,535 | |||||||
Suncor Energy, Inc., 6.85%, 6/1/39 | 100,000 | 127,913 | |||||||
Talisman Energy, Inc., 7.75%, 6/1/19 | 220,000 | 275,276 | |||||||
Venoco, Inc., 8.875%, 2/15/19 | 160,000 | 148,000 | |||||||
14,775,724 | |||||||||
PAPER AND FOREST PRODUCTS — 0.1% | |||||||||
Georgia-Pacific LLC, 7.70%, 6/15/15 | 550,000 | 638,606 | |||||||
International Paper Co., 4.75%, 2/15/22 | 190,000 | 203,508 | |||||||
International Paper Co., 6.00%, 11/15/41 | 70,000 | 77,520 | |||||||
Sappi Papier Holding GmbH, 6.625%, 4/15/21(3) | 200,000 | 189,000 | |||||||
1,108,634 | |||||||||
PERSONAL PRODUCTS† | |||||||||
Elizabeth Arden, Inc., 7.375%, 3/15/21 | 160,000 | 175,400 | |||||||
PHARMACEUTICALS — 0.2% | |||||||||
Abbott Laboratories, 5.30%, 5/27/40 | 15,000 | 18,202 | |||||||
AstraZeneca plc, 5.40%, 9/15/12 | 580,000 | 587,793 | |||||||
AstraZeneca plc, 5.90%, 9/15/17 | 450,000 | 539,935 |
36
Shares/ Principal Amount | Value |
Endo Pharmaceuticals Holdings, Inc., 7.00%, 12/15/20 | $520,000 | $543,400 | |||||||
GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 370,000 | 375,284 | |||||||
Roche Holdings, Inc., 6.00%, 3/1/19(3) | 200,000 | 251,991 | |||||||
Roche Holdings, Inc., 7.00%, 3/1/39(3) | 230,000 | 341,558 | |||||||
Sanofi, 4.00%, 3/29/21 | 143,000 | 160,778 | |||||||
Valeant Pharmaceuticals International, 6.50%, 7/15/16(3) | 200,000 | 205,000 | |||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18 | 225,000 | 238,500 | |||||||
Watson Pharmaceuticals, Inc., 5.00%, 8/15/14 | 438,000 | 467,124 | |||||||
3,729,565 | |||||||||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.2% | |||||||||
American Tower Corp., 4.625%, 4/1/15 | 350,000 | 371,876 | |||||||
Boston Properties LP, 3.85%, 2/1/23 | 150,000 | 151,572 | |||||||
Felcor Lodging LP, 6.75%, 6/1/19 | 200,000 | 201,500 | |||||||
HCP, Inc., 3.75%, 2/1/16 | 110,000 | 115,413 | |||||||
Host Hotels & Resorts LP, 6.75%, 6/1/16 | 250,000 | 256,875 | |||||||
MPT Operating Partnership LP/MPT Finance Corp., 6.875%, 5/1/21 | 125,000 | 129,375 | |||||||
Sabra Health Care LP/Sabra Capital Corp., 8.125%, 11/1/18 | 500,000 | 530,000 | |||||||
Simon Property Group LP, 5.10%, 6/15/15 | 300,000 | 328,830 | |||||||
UDR, Inc., 4.25%, 6/1/18 | 170,000 | 180,735 | |||||||
Ventas Realty LP/Ventas Capital Corp., 3.125%, 11/30/15 | 270,000 | 276,772 | |||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/1/21 | 90,000 | 94,297 | |||||||
WEA Finance LLC, 4.625%, 5/10/21(3) | 140,000 | 148,185 | |||||||
2,785,430 | |||||||||
REAL ESTATE MANAGEMENT AND DEVELOPMENT† | |||||||||
CB Richard Ellis Services, Inc., 11.625%, 6/15/17 | 100,000 | 113,500 | |||||||
ProLogis LP, 6.625%, 12/1/19 | 260,000 | 303,333 | |||||||
Realogy Corp., 7.875%, 2/15/19(3) | 200,000 | 191,000 | |||||||
607,833 | |||||||||
ROAD AND RAIL — 0.1% | |||||||||
Burlington Northern Santa Fe LLC, 3.60%, 9/1/20 | 265,000 | 283,010 | |||||||
Burlington Northern Santa Fe LLC, 5.05%, 3/1/41 | 100,000 | 111,554 | |||||||
CSX Corp., 4.25%, 6/1/21 | 60,000 | 66,194 | |||||||
CSX Corp., 4.75%, 5/30/42 | 160,000 | 164,586 | |||||||
Union Pacific Corp., 4.75%, 9/15/41 | 220,000 | 237,309 | |||||||
862,653 | |||||||||
SEMICONDUCTORS AND SEMICONDUCTOR EQUIPMENT — 0.1% | |||||||||
Advanced Micro Devices, Inc., 8.125%, 12/15/17 | 375,000 | 404,063 | |||||||
Freescale Semiconductor, Inc., 9.25%, 4/15/18(3) | 350,000 | 370,125 | |||||||
Freescale Semiconductor, Inc., 8.05%, 2/1/20 | 300,000 | 286,500 | |||||||
1,060,688 | |||||||||
SOFTWARE — 0.1% | |||||||||
Intuit, Inc., 5.75%, 3/15/17 | 571,000 | 660,832 | |||||||
Lawson Software, Inc., 9.375%, 4/1/19(3) | 125,000 | 129,375 | |||||||
Oracle Corp., 6.125%, 7/8/39 | 360,000 | 473,446 | |||||||
Sabre, Inc., 8.50%, 5/15/19(3) | 125,000 | 124,375 | |||||||
1,388,028 | |||||||||
SPECIALTY RETAIL — 0.2% | |||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 3/15/18 | 125,000 | 136,406 | |||||||
Hertz Corp. (The), 6.75%, 4/15/19 | 125,000 | 128,438 | |||||||
Hertz Corp. (The), 7.375%, 1/15/21 | 200,000 | 210,750 | |||||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 210,000 | 271,835 | |||||||
Lowe’s Cos., Inc., 1.625%, 4/15/17 | 110,000 | 110,647 | |||||||
Michaels Stores, Inc., 11.375%, 11/1/16 | 250,000 | 266,878 | |||||||
Petco Animal Supplies, Inc., 9.25%, 12/1/18(3) | 275,000 | 297,000 | |||||||
Rent-A-Center, Inc., 6.625%, 11/15/20 | 325,000 | 342,875 |
37
Shares/ Principal Amount | Value |
Stewart Enterprises, Inc., 6.50%, 4/15/19 | $60,000 | $61,800 | |||||||
Toys “R” Us Property Co. I LLC, 10.75%, 7/15/17 | 500,000 | 546,250 | |||||||
United Rentals (North America), Inc., 8.375%, 9/15/20 | 250,000 | 256,250 | |||||||
2,629,129 | |||||||||
TEXTILES, APPAREL AND LUXURY GOODS — 0.2% | |||||||||
Burlington Coat Factory Warehouse Corp., 10.00%, 2/15/19 | 225,000 | 233,438 | |||||||
Gap, Inc. (The), 5.95%, 4/12/21 | 190,000 | 196,654 | |||||||
Gymboree Corp., 9.125%, 12/1/18 | 250,000 | 223,125 | |||||||
Hanesbrands, Inc., 6.375%, 12/15/20 | 275,000 | 282,219 | |||||||
Ltd. Brands, Inc., 6.625%, 4/1/21 | 200,000 | 215,500 | |||||||
Ltd. Brands, Inc., 5.625%, 2/15/22 | 275,000 | 278,437 | |||||||
Phillips-Van Heusen Corp., 7.375%, 5/15/20 | 570,000 | 625,575 | |||||||
Polymer Group, Inc., 7.75%, 2/1/19 | 335,000 | 350,075 | |||||||
2,405,023 | |||||||||
THRIFTS AND MORTGAGE FINANCE† | |||||||||
Cie de Financement Foncier, 4.375%, 4/25/19 | EUR | 200,000 | 274,372 | ||||||
Cie de Financement Foncier, MTN, 4.50%, 5/16/18 | EUR | 165,000 | 227,487 | ||||||
501,859 | |||||||||
TOBACCO† | |||||||||
Philip Morris International, Inc., 4.125%, 5/17/21 | $280,000 | 313,304 | |||||||
TRANSPORTATION INFRASTRUCTURE† | |||||||||
CEVA Group plc, 8.375%, 12/1/17(3) | 200,000 | 195,500 | |||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.2% | |||||||||
Alltel Corp., 7.875%, 7/1/32 | 250,000 | 383,633 | |||||||
America Movil SAB de CV, 5.00%, 3/30/20 | 200,000 | 224,694 | |||||||
Cellco Partnership/Verizon Wireless Capital LLC, 8.50%, 11/15/18 | 230,000 | 315,169 | |||||||
Cricket Communications, Inc., 7.75%, 10/15/20 | 570,000 | 523,687 | |||||||
MetroPCS Wireless, Inc., 7.875%, 9/1/18 | 250,000 | 253,750 | |||||||
Nextel Communications, Inc., 7.375%, 8/1/15 | 1,170,000 | 1,149,525 | |||||||
Sprint Nextel Corp., 7.00%, 3/1/20(3) | 250,000 | 252,500 | |||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 7.75%, 2/2/21(3) | 130,000 | 121,781 | |||||||
Vodafone Group plc, 5.625%, 2/27/17 | 230,000 | 269,273 | |||||||
3,494,012 | |||||||||
TOTAL CORPORATE BONDS (Cost $144,991,719) | 151,908,904 | ||||||||
U.S. Government Agency Mortgage-Backed Securities(4) — 5.9% | |||||||||
FIXED-RATE U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 5.5% | |||||||||
FHLMC, 6.50%, 12/1/12 | 198 | 201 | |||||||
FHLMC, 7.00%, 6/1/14 | 8,194 | 8,662 | |||||||
FHLMC, 6.50%, 6/1/16 | 50,329 | 54,153 | |||||||
FHLMC, 6.50%, 6/1/16 | 56,415 | 60,994 | |||||||
FHLMC, 4.50%, 1/1/19 | 943,728 | 1,010,913 | |||||||
FHLMC, 5.00%, 10/1/19 | 28,616 | 30,854 | |||||||
FHLMC, 5.00%, 11/1/19 | 131,594 | 141,886 | |||||||
FHLMC, 5.50%, 11/1/19 | 4,373 | 4,770 | |||||||
FHLMC, 5.50%, 11/1/19 | 5,486 | 5,985 | |||||||
FHLMC, 5.50%, 11/1/19 | 5,496 | 5,996 | |||||||
FHLMC, 5.50%, 11/1/19 | 5,990 | 6,534 | |||||||
FHLMC, 5.50%, 11/1/19 | 3,582 | 3,908 | |||||||
FHLMC, 5.50%, 12/1/19 | 5,375 | 5,864 | |||||||
FHLMC, 5.00%, 2/1/20 | 9,134 | 9,917 | |||||||
FHLMC, 5.00%, 2/1/20 | 2,953 | 3,206 | |||||||
FHLMC, 5.50%, 3/1/20 | 10,265 | 11,198 | |||||||
FHLMC, 5.50%, 3/1/20 | 7,127 | 7,774 | |||||||
FHLMC, 5.50%, 3/1/20 | 17,680 | 19,287 | |||||||
FHLMC, 5.00%, 5/1/20 | 5,602 | 6,082 | |||||||
FHLMC, 5.00%, 5/1/20 | 14,651 | 15,907 | |||||||
FHLMC, 5.00%, 5/1/20 | 23,777 | 25,814 | |||||||
FHLMC, 4.50%, 7/1/20 | 90,651 | 96,991 | |||||||
FHLMC, 4.00%, 10/1/20 | 31,530 | 33,532 | |||||||
FHLMC, 5.00%, 4/1/21 | 3,270,150 | 3,525,886 | |||||||
FHLMC, 8.00%, 6/1/26 | 1,300 | 1,581 | |||||||
FHLMC, 8.00%, 6/1/26 | 5,435 | 5,718 | |||||||
FHLMC, 8.00%, 7/1/26 | 1,356 | 1,363 | |||||||
FHLMC, 7.00%, 8/1/29 | 4,517 | 5,434 |
38
Shares/ Principal Amount | Value |
FHLMC, 7.50%, 8/1/29 | $22,755 | $24,720 | |||||||
FHLMC, 8.00%, 7/1/30 | 27,070 | 33,666 | |||||||
FHLMC, 6.50%, 6/1/31 | 92,724 | 105,944 | |||||||
FHLMC, 5.50%, 12/1/33 | 705,362 | 781,115 | |||||||
FHLMC, 6.50%, 5/1/34 | 21,677 | 24,666 | |||||||
FHLMC, 5.50%, 6/1/35 | 70,055 | 76,593 | |||||||
FHLMC, 5.00%, 9/1/35 | 36,889 | 39,826 | |||||||
FHLMC, 5.00%, 9/1/35 | 26,261 | 28,352 | |||||||
FHLMC, 5.50%, 10/1/35 | 159,553 | 175,192 | |||||||
FHLMC, 5.50%, 10/1/35 | 57,978 | 63,661 | |||||||
FHLMC, 5.00%, 11/1/35 | 286,783 | 315,130 | |||||||
FHLMC, 5.00%, 11/1/35 | 280,284 | 311,273 | |||||||
FHLMC, 6.50%, 3/1/36 | 25,493 | 28,713 | |||||||
FHLMC, 6.50%, 3/1/36 | 13,943 | 15,705 | |||||||
FHLMC, 5.50%, 1/1/38 | 1,124,895 | 1,226,019 | |||||||
FHLMC, 6.00%, 2/1/38 | 518,816 | 571,616 | |||||||
FHLMC, 6.00%, 11/1/38 | 3,321,843 | 3,659,909 | |||||||
FHLMC, 4.00%, 4/1/41 | 2,057,144 | 2,221,737 | |||||||
FHLMC, 6.50%, 7/1/47 | 89,784 | 100,382 | |||||||
FNMA, 6.00%, 12/1/13 | 5,963 | 6,350 | |||||||
FNMA, 5.32%, 4/1/14 | 109,335 | 115,180 | |||||||
FNMA, 6.00%, 4/1/14 | 19,499 | 20,767 | |||||||
FNMA, 7.50%, 6/1/15 | 3,277 | 3,319 | |||||||
FNMA, 5.17%, 1/1/16 | 162,310 | 178,532 | |||||||
FNMA, 4.50%, 5/1/19 | 1,261,006 | 1,356,074 | |||||||
FNMA, 4.00%, 6/1/19 | 9,214 | 9,868 | |||||||
FNMA, 4.50%, 6/1/19 | 147,085 | 161,300 | |||||||
FNMA, 4.50%, 12/1/19 | 12,792 | 14,029 | |||||||
FNMA, 5.00%, 3/1/20 | 24,685 | 26,967 | |||||||
FNMA, 5.00%, 3/1/20 | 24,987 | 27,297 | |||||||
FNMA, 5.00%, 4/1/20 | 17,845 | 19,494 | |||||||
FNMA, 5.00%, 5/1/20 | 5,677 | 6,202 | |||||||
FNMA, 5.00%, 5/1/20 | 28,726 | 31,381 | |||||||
FNMA, 5.00%, 7/1/20 | 49,005 | 53,167 | |||||||
FNMA, 7.00%, 5/1/26 | 5,044 | 6,005 | |||||||
FNMA, 7.00%, 6/1/26 | 3,541 | 4,216 | |||||||
FNMA, 7.50%, 3/1/27 | 14,259 | 17,206 | |||||||
FNMA, 6.50%, 4/1/29 | 22,979 | 26,420 | |||||||
FNMA, 6.50%, 6/1/29 | 13,755 | 15,814 | |||||||
FNMA, 6.50%, 6/1/29 | 39,708 | 45,654 | |||||||
FNMA, 7.00%, 7/1/29 | 22,326 | 26,838 | |||||||
FNMA, 6.50%, 8/1/29 | 47,604 | 54,732 | |||||||
FNMA, 7.00%, 3/1/30 | 28,265 | 33,977 | |||||||
FNMA, 8.00%, 7/1/30 | 37,121 | 41,461 | |||||||
FNMA, 7.50%, 9/1/30 | 15,936 | 19,541 | |||||||
FNMA, 6.50%, 9/1/31 | 124,064 | 142,642 | |||||||
FNMA, 7.00%, 9/1/31 | 60,306 | 71,887 | |||||||
FNMA, 6.50%, 1/1/32 | 46,580 | 53,322 | |||||||
FNMA, 7.00%, 6/1/32 | 410,238 | 486,597 | |||||||
FNMA, 6.50%, 10/1/32 | 349,010 | 399,525 | |||||||
FNMA, 5.50%, 6/1/33 | 319,066 | 351,095 | |||||||
FNMA, 5.50%, 8/1/33 | 1,407,740 | 1,546,857 | |||||||
FNMA, 5.00%, 11/1/33 | 1,683,672 | 1,827,434 | |||||||
FNMA, 5.50%, 1/1/34 | 1,326,334 | 1,457,889 | |||||||
FNMA, 5.50%, 9/1/34 | 90,642 | 99,741 | |||||||
FNMA, 5.50%, 10/1/34 | 94,497 | 103,717 | |||||||
FNMA, 6.00%, 10/1/34 | 128,248 | 143,263 | |||||||
FNMA, 5.00%, 11/1/34 | 467,086 | 517,273 | |||||||
FNMA, 5.50%, 3/1/35 | 6,245 | 6,934 | |||||||
FNMA, 5.50%, 3/1/35 | 12,893 | 14,316 | |||||||
FNMA, 5.50%, 3/1/35 | 19,460 | 21,608 | |||||||
FNMA, 5.50%, 3/1/35 | 56,585 | 62,336 | |||||||
FNMA, 5.50%, 3/1/35 | 40,799 | 45,222 | |||||||
FNMA, 5.00%, 4/1/35 | 60,426 | 67,474 | |||||||
FNMA, 6.00%, 5/1/35 | 44,639 | 49,468 | |||||||
FNMA, 6.00%, 5/1/35 | 9,720 | 10,772 | |||||||
FNMA, 6.00%, 6/1/35 | 24,265 | 26,890 | |||||||
FNMA, 6.00%, 6/1/35 | 1,533 | 1,699 | |||||||
FNMA, 6.00%, 6/1/35 | 78,363 | 86,842 | |||||||
FNMA, 5.00%, 7/1/35 | 242,386 | 270,657 | |||||||
FNMA, 5.50%, 7/1/35 | 40,481 | 44,545 | |||||||
FNMA, 6.00%, 7/1/35 | 13,321 | 14,762 | |||||||
FNMA, 6.00%, 7/1/35 | 103,150 | 114,310 | |||||||
FNMA, 6.00%, 7/1/35 | 118,765 | 131,615 | |||||||
FNMA, 5.50%, 8/1/35 | 21,179 | 23,305 | |||||||
FNMA, 6.00%, 8/1/35 | 6,043 | 6,686 | |||||||
FNMA, 4.50%, 9/1/35 | 2,380,023 | 2,556,839 | |||||||
FNMA, 5.50%, 9/1/35 | 111,418 | 122,602 | |||||||
FNMA, 5.50%, 9/1/35 | 4,253 | 4,680 | |||||||
FNMA, 5.50%, 9/1/35 | 1,473 | 1,621 | |||||||
FNMA, 5.50%, 9/1/35 | 31,822 | 35,016 | |||||||
FNMA, 5.50%, 9/1/35 | 237,175 | 260,984 | |||||||
FNMA, 5.00%, 10/1/35 | 37,796 | 42,204 | |||||||
FNMA, 5.50%, 10/1/35 | 550,473 | 605,733 | |||||||
FNMA, 6.00%, 10/1/35 | 50,150 | 55,577 | |||||||
FNMA, 5.50%, 11/1/35 | 311,739 | 343,033 | |||||||
FNMA, 6.00%, 11/1/35 | 90,168 | 100,215 | |||||||
FNMA, 6.50%, 11/1/35 | 6,767 | 7,671 | |||||||
FNMA, 6.50%, 11/1/35 | 22,961 | 26,047 | |||||||
FNMA, 6.50%, 12/1/35 | 59,869 | 67,917 | |||||||
FNMA, 6.50%, 4/1/36 | 28,101 | 32,044 | |||||||
FNMA, 6.00%, 8/1/36 | 97,296 | 107,397 | |||||||
FNMA, 5.00%, 10/1/36 | 861,171 | 933,357 | |||||||
FNMA, 5.00%, 11/1/36 | 1,107,042 | 1,199,837 |
39
Shares/ Principal Amount | Value |
FNMA, 5.50%, 1/1/37 | $3,285,734 | $3,602,225 | |||||||
FNMA, 5.50%, 2/1/37 | 1,165,724 | 1,272,909 | |||||||
FNMA, 6.00%, 5/1/37 | 79,879 | 88,172 | |||||||
FNMA, 6.00%, 7/1/37 | 24,160 | 26,668 | |||||||
FNMA, 6.50%, 8/1/37 | 35,575 | 39,863 | |||||||
FNMA, 6.50%, 8/1/37 | 2,098,456 | 2,351,363 | |||||||
FNMA, 6.50%, 8/1/37 | 954,381 | 1,069,403 | |||||||
FNMA, 4.00%, 1/1/41 | 7,952,477 | 8,615,017 | |||||||
FNMA, 4.50%, 1/1/41 | 1,093,167 | 1,188,386 | |||||||
FNMA, 4.50%, 2/1/41 | 3,463,903 | 3,729,902 | |||||||
FNMA, 4.00%, 5/1/41 | 2,633,467 | 2,808,016 | |||||||
FNMA, 4.50%, 7/1/41 | 2,337,321 | 2,546,755 | |||||||
FNMA, 4.50%, 9/1/41 | 78,369 | 85,121 | |||||||
FNMA, 4.00%, 12/1/41 | 3,905,631 | 4,215,762 | |||||||
FNMA, 4.00%, 1/1/42 | 1,937,978 | 2,067,035 | |||||||
FNMA, 4.00%, 1/1/42 | 88,613 | 95,406 | |||||||
FNMA, 6.50%, 6/1/47 | 126,613 | 141,121 | |||||||
FNMA, 6.50%, 8/1/47 | 433,766 | 483,468 | |||||||
FNMA, 6.50%, 8/1/47 | 265,310 | 295,710 | |||||||
FNMA, 6.50%, 9/1/47 | 574,623 | 640,465 | |||||||
FNMA, 6.50%, 9/1/47 | 27,316 | 30,446 | |||||||
FNMA, 6.50%, 9/1/47 | 267,615 | 298,280 | |||||||
FNMA, 6.50%, 9/1/47 | 149,088 | 166,171 | |||||||
FNMA, 6.50%, 9/1/47 | 204,742 | 228,202 | |||||||
GNMA, 9.00%, 4/20/25 | 2,046 | 2,540 | |||||||
GNMA, 7.50%, 10/15/25 | 5,387 | 6,226 | |||||||
GNMA, 6.00%, 4/15/26 | 1,625 | 1,832 | |||||||
GNMA, 6.00%, 4/15/26 | 1,409 | 1,588 | |||||||
GNMA, 7.50%, 6/15/26 | 4,596 | 5,328 | |||||||
GNMA, 7.00%, 12/15/27 | 18,344 | 21,793 | |||||||
GNMA, 7.50%, 12/15/27 | 29,614 | 36,002 | |||||||
GNMA, 6.50%, 1/15/28 | 22,631 | 26,557 | |||||||
GNMA, 6.00%, 5/15/28 | 50,025 | 56,522 | |||||||
GNMA, 6.00%, 5/15/28 | 56,897 | 64,394 | |||||||
GNMA, 6.50%, 5/15/28 | 7,183 | 8,429 | |||||||
GNMA, 7.00%, 5/15/31 | 59,273 | 70,036 | |||||||
GNMA, 5.50%, 11/15/32 | 281,239 | 314,724 | |||||||
GNMA, 6.50%, 10/15/38 | 4,656,443 | 5,386,923 | |||||||
GNMA, 4.00%, 1/20/41 | 3,836,705 | 4,202,191 | |||||||
GNMA, 4.50%, 5/20/41 | 5,113,778 | 5,650,458 | |||||||
GNMA, 4.50%, 6/15/41 | 1,109,665 | 1,235,427 | |||||||
GNMA, 4.00%, 12/15/41 | 2,392,516 | 2,621,301 | |||||||
87,738,014 | |||||||||
ADJUSTABLE-RATE U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 0.4% | |||||||||
FHLMC, VRN, 2.59%, 6/15/12 | 448,746 | 468,453 | |||||||
FHLMC, VRN, 2.90%, 6/15/12 | 149,789 | 156,719 | |||||||
FHLMC, VRN, 3.30%, 6/15/12 | 417,841 | 439,122 | |||||||
FHLMC, VRN, 4.03%, 6/15/12 | 881,371 | 934,602 | |||||||
FHLMC, VRN, 6.10%, 6/15/12 | 582,001 | 631,889 | |||||||
FNMA, VRN, 2.73%, 6/25/12 | 648,635 | 673,729 | |||||||
FNMA, VRN, 3.35%, 6/25/12 | 527,383 | 555,255 | |||||||
FNMA, VRN, 3.37%, 6/25/12 | 476,019 | 500,792 | |||||||
FNMA, VRN, 3.90%, 6/25/12 | 612,837 | 648,816 | |||||||
FNMA, VRN, 3.91%, 6/25/12 | 682,244 | 722,949 | |||||||
FNMA, VRN, 3.97%, 6/25/12 | 278,128 | 295,430 | |||||||
6,027,756 | |||||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $86,985,804) | 93,765,770 | ||||||||
Sovereign Governments and Agencies — 2.9% | |||||||||
AUSTRALIA — 0.1% | |||||||||
Government of Australia, 6.50%, 5/15/13 | AUD | 460,000 | 464,900 | ||||||
Government of Australia, 5.75%, 7/15/22 | AUD | 220,000 | 267,118 | ||||||
New South Wales Treasury Corp., 5.50%, 3/1/17 | AUD | 295,000 | 320,284 | ||||||
1,052,302 | |||||||||
AUSTRIA — 0.2% | |||||||||
Republic of Austria, 3.40%, 10/20/14(3) | EUR | 465,000 | 613,406 | ||||||
Republic of Austria, 4.35%, 3/15/19(3) | EUR | 680,000 | 980,999 | ||||||
Republic of Austria, 3.90%, 7/15/20(3) | EUR | 365,000 | 518,075 | ||||||
Republic of Austria, 4.15%, 3/15/37(3) | EUR | 183,000 | 282,766 | ||||||
2,395,246 |
40
Shares/ Principal Amount | Value |
BELGIUM �� 0.2% | |||||||||
Kingdom of Belgium, 4.00%, 3/28/14 | EUR | 910,000 | $1,188,776 | ||||||
Kingdom of Belgium, 4.00%, 3/28/18 | EUR | 280,000 | 378,754 | ||||||
Kingdom of Belgium, 3.75%, 9/28/20 | EUR | 310,000 | 413,801 | ||||||
Kingdom of Belgium, 5.00%, 3/28/35 | EUR | 270,000 | 415,286 | ||||||
2,396,617 | |||||||||
BRAZIL — 0.1% | |||||||||
Brazilian Government International Bond, 5.875%, 1/15/19 | $1,000,000 | 1,198,500 | |||||||
Brazilian Government International Bond, 5.625%, 1/7/41 | $200,000 | 234,500 | |||||||
1,433,000 | |||||||||
CANADA — 0.2% | |||||||||
Government of Canada, 3.75%, 6/1/12 | CAD | 640,000 | 619,676 | ||||||
Government of Canada, 5.00%, 6/1/14 | CAD | 485,000 | 505,854 | ||||||
Government of Canada, 3.75%, 6/1/19 | CAD | 320,000 | 356,181 | ||||||
Government of Canada, 3.25%, 6/1/21 | CAD | 260,000 | 285,158 | ||||||
Government of Canada, 5.75%, 6/1/33 | CAD | 345,000 | 527,055 | ||||||
Hydro-Quebec, 8.40%, 1/15/22 | $130,000 | 192,966 | |||||||
Province of Ontario Canada, 5.45%, 4/27/16 | $240,000 | 279,572 | |||||||
Province of Ontario Canada, 1.60%, 9/21/16 | $160,000 | 163,102 | |||||||
2,929,564 | |||||||||
CHILE† | |||||||||
Chile Government International Bond, 3.25%, 9/14/21 | $230,000 | 241,500 | |||||||
COLOMBIA† | |||||||||
Colombia Government International Bond, 4.375%, 7/12/21 | $150,000 | 164,400 | |||||||
DENMARK — 0.1% | |||||||||
Kingdom of Denmark, 4.00%, 11/15/17 | DKK | 2,300,000 | 456,487 | ||||||
Kingdom of Denmark, 4.00%, 11/15/19 | DKK | 530,000 | 109,139 | ||||||
Kingdom of Denmark, 7.00%, 11/10/24 | DKK | 1,760,000 | 486,457 | ||||||
Kingdom of Denmark, 4.50%, 11/15/39 | DKK | 1,960,000 | 535,447 | ||||||
1,587,530 | |||||||||
FINLAND — 0.2% | |||||||||
Government of Finland, 4.25%, 9/15/12 | EUR | 365,000 | 456,485 | ||||||
Government of Finland, 3.125%, 9/15/14 | EUR | 480,000 | 633,302 | ||||||
Government of Finland, 3.875%, 9/15/17 | EUR | 460,000 | 657,842 | ||||||
Government of Finland, 4.375%, 7/4/19 | EUR | 111,000 | 166,401 | ||||||
Government of Finland, 3.375%, 4/15/20 | EUR | 360,000 | 511,732 | ||||||
Government of Finland, 4.00%, 7/4/25 | EUR | 230,000 | 354,132 | ||||||
2,779,894 | |||||||||
FRANCE — 0.1% | |||||||||
French Treasury Note, 2.25%, 2/25/16 | EUR | 655,000 | 850,937 | ||||||
Government of France, 4.00%, 4/25/14 | EUR | 240,000 | 317,213 | ||||||
Government of France, 3.25%, 10/25/21 | EUR | 85,000 | 114,009 | ||||||
Government of France, 5.50%, 4/25/29 | EUR | 160,000 | 263,058 | ||||||
Government of France, 4.75%, 4/25/35 | EUR | 195,000 | 308,600 | ||||||
1,853,817 | |||||||||
GERMANY — 0.2% | |||||||||
German Federal Republic, 4.25%, 10/12/12 | EUR | 270,000 | 338,787 | ||||||
German Federal Republic, 2.00%, 2/26/16 | EUR | 520,000 | 687,461 | ||||||
German Federal Republic, 4.00%, 1/4/18 | EUR | 315,000 | 465,174 | ||||||
German Federal Republic, 3.00%, 7/4/20 | EUR | 35,000 | 50,306 | ||||||
German Federal Republic, 1.75%, 7/4/22 | EUR | 180,000 | 233,866 | ||||||
German Federal Republic, 4.75%, 7/4/34 | EUR | 250,000 | 470,478 | ||||||
German Federal Republic, 4.25%, 7/4/39 | EUR | 180,000 | 338,352 | ||||||
2,584,424 | |||||||||
ITALY† | |||||||||
Republic of Italy, 6.875%, 9/27/23 | $110,000 | 113,608 | |||||||
JAPAN — 0.6% | |||||||||
Government of Japan, 1.20%, 6/20/15 | JPY | 150,200,000 | 1,980,246 |
41
Shares/ Principal Amount | Value |
Government of Japan, 1.50%, 9/20/18 | JPY | 272,200,000 | $3,713,352 | ||||||
Government of Japan, 1.00%, 12/20/21 | JPY | 114,300,000 | 1,485,763 | ||||||
Government of Japan, 2.10%, 12/20/26 | JPY | 192,700,000 | 2,717,999 | ||||||
Government of Japan, 2.40%, 3/20/37 | JPY | 26,500,000 | 383,143 | ||||||
10,280,503 | |||||||||
MEXICO — 0.1% | |||||||||
United Mexican States, 5.625%, 1/15/17 | $160,000 | 184,000 | |||||||
United Mexican States, 5.95%, 3/19/19 | $710,000 | 852,000 | |||||||
United Mexican States, 5.125%, 1/15/20 | $350,000 | 401,450 | |||||||
United Mexican States, 6.05%, 1/11/40 | $220,000 | 268,950 | |||||||
1,706,400 | |||||||||
MULTI-NATIONAL — 0.1% | |||||||||
European Investment Bank, 2.50%, 7/15/15 | EUR | 360,000 | 466,622 | ||||||
European Investment Bank, MTN, 3.625%, 1/15/21 | EUR | 300,000 | 412,255 | ||||||
International Bank for Reconstruction & Development, MTN, 3.875%, 5/20/19 | EUR | 280,000 | 405,380 | ||||||
1,284,257 | |||||||||
NETHERLANDS — 0.1% | |||||||||
Kingdom of Netherlands, 4.00%, 7/15/16 | EUR | 550,000 | 771,762 | ||||||
Kingdom of Netherlands, 3.50%, 7/15/20 | EUR | 355,000 | 510,195 | ||||||
Kingdom of Netherlands, 4.00%, 1/15/37 | EUR | 245,000 | 420,812 | ||||||
1,702,769 | |||||||||
NEW ZEALAND† | |||||||||
New Zealand Government Bond, 5.00%, 3/15/19 | NZD | 175,000 | 147,755 | ||||||
NORWAY† | |||||||||
Government of Norway, 4.25%, 5/19/17 | NOK | 1,000,000 | 185,764 | ||||||
PERU† | |||||||||
Republic of Peru, 6.55%, 3/14/37 | $100,000 | 130,500 | |||||||
Republic of Peru, 5.625%, 11/18/50 | $150,000 | 173,250 | |||||||
303,750 | |||||||||
POLAND† | |||||||||
Poland Government International Bond, 5.125%, 4/21/21 | $250,000 | $265,325 | |||||||
SOUTH KOREA† | |||||||||
Export-Import Bank of Korea, 3.75%, 10/20/16 | $240,000 | 251,406 | |||||||
Korea Development Bank, 3.25%, 3/9/16 | $160,000 | 163,567 | |||||||
Korea Development Bank, 4.00%, 9/9/16 | $160,000 | 169,035 | |||||||
584,008 | |||||||||
SWEDEN† | |||||||||
Government of Sweden, 6.75%, 5/5/14 | SEK | 2,540,000 | 389,208 | ||||||
Government of Sweden, 4.25%, 3/12/19 | SEK | 1,590,000 | 263,978 | ||||||
653,186 | |||||||||
SWITZERLAND† | |||||||||
Switzerland Government Bond, 2.00%, 4/28/21 | CHF | 160,000 | 187,028 | ||||||
Switzerland Government Bond, 2.50%, 3/8/36 | CHF | 35,000 | 48,651 | ||||||
235,679 | |||||||||
UNITED KINGDOM — 0.6% | |||||||||
Government of United Kingdom, 5.00%, 9/7/14 | GBP | 665,000 | 1,135,660 | ||||||
Government of United Kingdom, 4.00%, 9/7/16 | GBP | 640,000 | 1,131,421 | ||||||
Government of United Kingdom, 4.50%, 3/7/19 | GBP | 635,000 | 1,204,978 | ||||||
Government of United Kingdom, 8.00%, 6/7/21 | GBP | 71,000 | 170,974 | ||||||
Government of United Kingdom, 3.75%, 9/7/21 | GBP | 950,000 | 1,750,494 | ||||||
Government of United Kingdom, 4.25%, 6/7/32 | GBP | 180,000 | 347,110 | ||||||
Government of United Kingdom, 4.25%, 3/7/36 | GBP | 920,000 | 1,771,949 | ||||||
Government of United Kingdom, 4.50%, 12/7/42 | GBP | 975,000 | 1,970,909 | ||||||
9,483,495 | |||||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $44,058,945) | 46,364,793 |
42
Shares/ Principal Amount | Value |
Municipal Securities — 2.4% | |||||||||
Alameda County Industrial Development Authority, Series 1997 A, (Plyproperties), VRDN, 0.26%, 6/7/12 (LOC: Wells Fargo Bank N.A.) | $3,600,000 | $3,600,000 | |||||||
American Municipal Power-Ohio, Inc., Rev., (Building Bonds), 7.50%, 2/15/50 | 120,000 | 168,298 | |||||||
Appling County Development Authority Rev., (Georgia Power Co. Plant), VRDN, 0.26%, 6/1/12 | 3,500,000 | 3,500,000 | |||||||
Bay Area Toll Authority Toll Bridge Rev., Series 2010 S1, (Building Bonds), 6.92%, 4/1/40 | 120,000 | 166,314 | |||||||
California GO, (Building Bonds), 7.30%, 10/1/39 | 160,000 | 203,158 | |||||||
California GO, (Building Bonds), 7.60%, 11/1/40 | 45,000 | 59,297 | |||||||
City of Lowell, AR Rev., (Little Rock Newspapers), VRDN, 0.24%, 6/6/12 (LOC: JP Morgan Chase Bank N.A.) | 3,850,000 | 3,850,000 | |||||||
Illinois GO, 5.88%, 3/1/19 | 370,000 | 414,115 | |||||||
Illinois GO, (Taxable Pension), 5.10%, 6/1/33 | 600,000 | 569,754 | |||||||
Illinois GO, Series 2010-3, (Building Bonds), 6.73%, 4/1/35 | 100,000 | 110,359 | |||||||
Iowa Higher Education Loan Authority Rev., (Des Moines University Osteopathic Medical Center), VRDN, 0.22%, 6/1/12 (LOC: U.S. Bank NA) | 300,000 | 300,000 | |||||||
Los Angeles Community College District GO, Series 2010 D, (Election of 2008), 6.68%, 8/1/36 | 360,000 | 490,637 | |||||||
Los Angeles Department of Water & Power Rev., (Building Bonds), 5.72%, 7/1/39 | 130,000 | 164,414 | |||||||
Metropolitan Transportation Authority Rev., Series 2010 C1, (Building Bonds), 6.69%, 11/15/40 | 185,000 | 239,209 | |||||||
Metropolitan Transportation Authority Rev., Series 2010 E, (Building Bonds), 6.81%, 11/15/40 | 100,000 | 131,264 | |||||||
New Jersey State Turnpike Authority Rev., Series 2009 F, (Building Bonds), 7.41%, 1/1/40 | 180,000 | 265,790 | |||||||
New Jersey State Turnpike Authority Rev., Series 2010 A, (Building Bonds), 7.10%, 1/1/41 | 140,000 | 199,713 | |||||||
New York GO, Series 2010 F1, (Building Bonds), 6.27%, 12/1/37 | 145,000 | 199,647 | |||||||
New York Local Government Assistance Corp. Rev., Series 1995 C, VRDN, 0.19%, 6/6/12 (LOC: Landesbank Hessen-Thuringen Girozentrale) | 2,689,000 | 2,689,000 | |||||||
New York State Housing Finance Agency Rev., Series 2012 A2, (West 30th Street Housing), VRDN, 0.18%, 6/6/12 (LOC: Wells Fargo Bank N.A.) | 3,050,000 | 3,050,000 | |||||||
Ohio Water Development Authority Pollution Control Rev., Series 2010 B2, (Building Bonds), 4.88%, 12/1/34 | 200,000 | 232,278 | |||||||
Orange County Housing Finance Authority Multifamily Rev., Series 2002 B, (Millenia), VRDN, 0.26%, 6/6/12 (LOC: FNMA) | 1,740,000 | 1,740,000 | |||||||
Oregon State Department of Transportation Highway User Tax Rev., Series 2010 A, (Building Bonds), 5.83%, 11/15/34 | 130,000 | 173,257 | |||||||
Rutgers State University Rev., Series 2010 H, (Building Bonds), 5.67%, 5/1/40 | 335,000 | 444,016 | |||||||
Sacramento Municipal Utility District Electric Rev., Series 2010 W, (Building Bonds), 6.16%, 5/15/36 | 170,000 | 211,300 |
43
Shares/ Principal Amount | Value |
Salt River Agricultural Improvement & Power District Electric Rev., Series 2010 A, (Building Bonds), 4.84%, 1/1/41 | $170,000 | $211,976 | |||||||
San Francisco City & County Public Utilities Water Commission Rev., Series 2010 B, (Building Bonds), 6.00%, 11/1/40 | 270,000 | 334,071 | |||||||
Santa Clara Valley Transportation Authority Sales Tax Rev., Series 2010 A, (Building Bonds), 5.88%, 4/1/32 | 195,000 | 240,932 | |||||||
State of Ohio Rev., Series 2012 B, 0.60%, 5/30/13 | 3,335,000 | 3,335,133 | |||||||
Washington Finance Commission Nonprofit Housing Rev., (Heatherwood), Series 2002 A, VRDN, 0.23%, 6/7/12 (LIQ FAC: FHLMC) | 3,400,000 | 3,400,000 | |||||||
Wisconsin Health & Educational Facilities Authority Rev., (Benevolent Corporation Cedar Community), VRDN, 0.21%, 6/7/12 (LOC: JP Morgan Chase Bank N.A.) | 4,000,000 | 4,000,000 | |||||||
Wisconsin Health & Educational Facilities Authority Rev., (Milwaukee Institute of Art & Design), VRDN, 0.20%, 6/6/12 (LOC: Citibank N.A.) | 4,000,000 | 4,000,000 | |||||||
TOTAL MUNICIPAL SECURITIES (Cost $37,712,044) | 38,693,932 | ||||||||
Commercial Paper(5) — 2.4% | |||||||||
BP Capital Markets plc, 0.34%, 6/29/12(3) | 3,700,000 | 3,699,672 | |||||||
Catholic Health Initiatives, 0.30%, 6/1/12 | 3,700,000 | 3,700,000 | |||||||
Charta LLC, 0.50%, 7/16/12(3) | 3,800,000 | 3,798,524 | |||||||
Chicago, IL, 0.33%, 8/8/12 | 2,900,000 | 2,898,260 | |||||||
CRC Funding LLC, 0.48%, 7/16/12(3) | 4,000,000 | 3,998,446 | |||||||
Crown Point Capital Co. LLC, 0.30%, 6/4/12(3) | 4,000,000 | 3,999,893 | |||||||
Govco LLC, 0.51%, 7/16/12(3) | 4,000,000 | 3,998,615 | |||||||
Legacy Capital Co., 0.30%, 6/8/12(3) | 4,000,000 | 3,999,787 | |||||||
Lexington Parker Capital, 0.30%, 6/8/12(3) | 4,000,000 | 3,999,733 | |||||||
Toyota Motor Credit Corp., 0.28%, 6/15/12 | 3,700,000 | 3,699,846 | |||||||
TOTAL COMMERCIAL PAPER (Cost $37,789,150) | 37,792,776 | ||||||||
Commercial Mortgage-Backed Securities(4) — 0.9% | |||||||||
Banc of America Commercial Mortgage, Inc., Series 2004-6, Class A3 SEQ, 4.51%, 12/10/42 | 567,426 | 572,791 | |||||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, VRN, 5.12%, 6/1/12 | 500,000 | 557,191 | |||||||
Banc of America Commercial Mortgage, Inc., Series 2005-5, Class AM, VRN, 5.18%, 6/1/12 | 425,000 | 450,819 | |||||||
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A2 SEQ, 2.16%, 10/15/21 | 350,000 | 360,733 | |||||||
Commercial Mortgage Pass-Through Certificates, Series 2004-LB3A, Class A4 SEQ, VRN, 5.23%, 6/1/12 | 317,025 | 325,010 | |||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C2, Class A2, VRN, 5.42%, 6/1/12 | 925,000 | 979,765 | |||||||
Credit Suisse Mortgage Capital Certificates, Series 2007-TF2A, Class A1, VRN, 0.42%, 6/15/12(3) | 475,729 | 428,889 | |||||||
GE Capital Commercial Mortgage Corp., Series 2005-C3, Class A5, VRN, 4.98%, 6/1/12 | 300,000 | 299,756 | |||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A4, VRN, 4.80%, 6/1/12 | 600,000 | 646,904 |
44
Shares/ Principal Amount | Value |
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VRN, 4.86%, 6/1/12 | $250,000 | $254,203 | |||||||
GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6 SEQ, VRN, 5.40%, 6/1/12 | 1,000,000 | 1,073,362 | |||||||
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4 SEQ, 4.76%, 7/10/39 | 740,000 | 790,724 | |||||||
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A SEQ, 4.75%, 7/10/39 | 1,100,000 | 1,189,120 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A4 SEQ, 4.57%, 1/15/31 | 700,000 | 734,544 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4 SEQ, 4.37%, 3/15/36 | 1,000,000 | 1,046,520 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C4, Class A4, VRN, 5.27%, 6/11/12 | 450,000 | 479,390 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class AJ, VRN, 4.86%, 6/11/12 | 200,000 | 207,409 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AJ SEQ, 4.84%, 7/15/40 | 250,000 | 244,692 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class AM, VRN, 5.02%, 6/11/12 | 600,000 | 640,301 | |||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM SEQ, VRN, 5.26%, 6/11/12 | 725,000 | 780,576 | |||||||
Morgan Stanley Capital I, Series 2005-HQ6, Class A2A SEQ, 4.88%, 8/13/42 | 77,278 | 77,531 | |||||||
Morgan Stanley Capital I, Series 2005-T17, Class A5 SEQ, 4.78%, 12/13/41 | 800,000 | 855,779 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A3 SEQ, 4.50%, 10/15/41 | 176,712 | 178,473 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A4 SEQ, 4.80%, 10/15/41 | 1,500,000 | 1,592,118 | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A6A, VRN, 5.11%, 6/1/12 | 62,836 | 62,978 | |||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $14,584,752) | 14,829,578 | ||||||||
Collateralized Mortgage Obligations(4) — 0.6% | |||||||||
PRIVATE SPONSOR COLLATERALIZED MORTGAGE OBLIGATIONS — 0.5% | |||||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 351,829 | 364,220 | |||||||
Banc of America Alternative Loan Trust, Series 2007-2, Class 2A4, 5.75%, 6/25/37 | 1,154,544 | 839,954 | |||||||
Banc of America Mortgage Securities, Inc., Series 2004-7, Class 7A1, 5.00%, 8/25/19 | 293,430 | 301,279 | |||||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 5.33%, 6/1/12 | 454,529 | 433,489 | |||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 2.70%, 6/1/12 | 300,000 | 291,644 | |||||||
MASTR Asset Securitization Trust, Series 2003-10, Class 3A1, 5.50%, 11/25/33 | 370,674 | 389,699 | |||||||
PHHMC Mortgage Pass-Through Certificates, Series 2007-6, Class A1, VRN, 6.00%, 6/1/12 | 482,864 | 503,984 | |||||||
Sequoia Mortgage Trust, Series 2012-1, Class 1A1, VRN, 2.87%, 6/1/12 | 531,984 | 538,760 |
45
Shares/ Principal Amount | Value |
Wamu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | $505,713 | $533,556 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-1, Class A10, 5.50%, 2/25/34 | 598,259 | 630,241 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-17, Class 1A1, 5.50%, 1/25/36 | 567,261 | 562,625 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-2, Class 1A1 SEQ, 5.50%, 4/25/35 | 169,775 | 169,820 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-5, Class 1A1, 5.00%, 5/25/20 | 234,477 | 238,071 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR14, Class A1, VRN, 5.34%, 6/1/12 | 255,227 | 257,886 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 4A6, VRN, 2.67%, 6/1/12 | 17,917 | 17,868 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4 SEQ, 6.00%, 8/25/36 | 638,976 | 634,893 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-13, Class A1, 6.00%, 9/25/37 | 363,445 | 363,354 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR10, Class 1A1, VRN, 6.09%, 6/1/12 | 307,684 | 310,938 | |||||||
7,382,281 | |||||||||
U.S. GOVERNMENT AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | |||||||||
FHLMC, Series 2926, Class EW SEQ, 5.00%, 1/15/25 | 2,229,651 | 2,483,059 | |||||||
FNMA, Series 2003-52, Class KF SEQ, VRN, 0.64%, 6/25/12 | 49,278 | 49,311 | |||||||
2,532,370 | |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $9,866,318) | 9,914,651 | ||||||||
U.S. Government Agency Securities — 0.4% | |||||||||
FIXED-RATE U.S. GOVERNMENT AGENCY SECURITIES — 0.2% | |||||||||
FHLB, Series 1, 1.00%, 6/21/17 | 310,000 | 311,064 | |||||||
FHLMC, 1.25%, 5/12/17 | 1,700,000 | 1,725,220 | |||||||
FHLMC, 1.75%, 5/30/19 | 240,000 | 246,484 | |||||||
FHLMC, 2.375%, 1/13/22 | 210,000 | 216,763 | |||||||
2,499,531 | |||||||||
GOVERNMENT-BACKED CORPORATE BONDS(6) — 0.2% | |||||||||
Morgan Stanley, VRN, 0.82%, 6/20/12 | 3,900,000 | 3,901,197 | |||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $6,348,140) | 6,400,728 | ||||||||
Exchange-Traded Funds — 0.1% | |||||||||
Global X FTSE Colombia 20 ETF | 14,778 | 307,087 | |||||||
iShares Russell 1000 Growth Index Fund | 8,632 | 533,371 | |||||||
iShares Russell 2000 Index Fund | 451 | 34,321 | |||||||
iShares Russell 2000 Value Index Fund | 5,822 | 392,927 | |||||||
iShares Russell Midcap Value Index Fund | 11,789 | 529,444 | |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,763,002) | 1,797,150 |
46
Shares/ Principal Amount | Value |
Convertible Preferred Stocks† | |||||||||
INSURANCE† | |||||||||
Aspen Insurance Holdings Ltd., Series AHL, 5.625% | 4,177 | $227,855 | |||||||
LEISURE EQUIPMENT AND PRODUCTS† | |||||||||
Callaway Golf Co., Series B, 7.50% | 378 | 36,430 | |||||||
MEDIA† | |||||||||
LodgeNet Interactive Corp., 10.00%(3) | 28 | 17,010 | |||||||
TOBACCO† | |||||||||
Universal Corp., 6.75% | 50 | 52,263 | |||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $370,792) | 333,558 | ||||||||
Asset-Backed Securities(4)† | |||||||||
CenterPoint Energy Transition Bond Co. LLC, Series 2005-A, Class A4 SEQ, 5.17%, 8/1/19 (Cost $129,980) | $130,000 | 149,305 |
Shares | Value | |||||||
Preferred Stocks† | ||||||||
DIVERSIFIED FINANCIAL SERVICES† | ||||||||
Ally Financial, Inc., 7.00%(3) | 77 | $66,028 | ||||||
REAL ESTATE INVESTMENT TRUSTS (REITs)† | ||||||||
DuPont Fabros Technology, Inc., Series A, 7.875% | 1,271 | 32,842 | ||||||
Inland Real Estate Corp., Series A, 8.125% | 908 | 23,018 | ||||||
PS Business Parks, Inc., 6.45% | 952 | 25,209 | ||||||
81,069 | ||||||||
TOTAL PREFERRED STOCKS (Cost $150,458) | 147,097 |
Temporary Cash Investments — 1.4% | ||||||||
SSgA U.S. Government Money Market Fund (Cost $22,567,263) | 22,567,263 | 22,567,263 | ||||||
TOTAL INVESTMENT SECURITIES — 99.7% (Cost $1,403,323,963) | 1,587,256,277 | |||||||
OTHER ASSETS AND LIABILITIES — 0.3% | 5,445,032 | |||||||
TOTAL NET ASSETS — 100.0% | $1,592,701,309 |
47
Forward Foreign Currency Exchange Contracts | ||||||||||||
Contracts to Buy | Counterparty | Settlement Date | Value | Unrealized Gain (Loss) | ||||||||
227,000 | CHF for EUR | UBS AG | 7/27/12 | $233,921 | $(8,678 | ) | ||||||
110,983 | EUR for JPY | Deutsche Bank | 7/27/12 | 137,277 | (9,642 | ) | ||||||
233,979 | EUR for JPY | UBS AG | 7/27/12 | 289,412 | 28 | |||||||
60,363 | GBP for JPY | UBS AG | 7/27/12 | 93,008 | (5,123 | ) | ||||||
125,379 | GBP for JPY | HSBC Holdings plc | 7/27/12 | 193,188 | (875 | ) | ||||||
60,000 | AUD for USD | Barclays Bank plc | 7/27/12 | 58,173 | (3,908 | ) | ||||||
19,000 | AUD for USD | HSBC Holdings plc | 7/27/12 | 18,422 | (1,051 | ) | ||||||
16,160 | AUD for USD | Westpac Group | 7/27/12 | 15,668 | (914 | ) | ||||||
22,000 | CAD for USD | Barclays Bank plc | 7/27/12 | 21,274 | (1,101 | ) | ||||||
108,000 | CAD for USD | HSBC Holdings plc | 7/27/12 | 104,437 | (4,389 | ) | ||||||
50,000 | CAD for USD | HSBC Holdings plc | 7/27/12 | 48,351 | (2,297 | ) | ||||||
17,000 | CHF for USD | Barclays Bank plc | 7/27/12 | 17,518 | (1,262 | ) | ||||||
14,000 | CHF for USD | HSBC Holdings plc | 7/27/12 | 14,427 | (1,011 | ) | ||||||
4,805,000 | CZK for USD | Deutsche Bank | 7/27/12 | 230,979 | (24,009 | ) | ||||||
877,000 | DKK for USD | HSBC Holdings plc | 7/27/12 | 146,072 | (10,096 | ) | ||||||
3,944,532 | DKK for USD | UBS AG | 7/27/12 | 656,997 | (41,064 | ) | ||||||
719,222 | EUR for USD | Barclays Bank plc | 7/27/12 | 889,619 | (54,828 | ) | ||||||
142,000 | EUR for USD | Barclays Bank plc | 7/27/12 | 175,642 | (12,608 | ) | ||||||
573,000 | EUR for USD | HSBC Holdings plc | 7/27/12 | 708,754 | (44,179 | ) | ||||||
47,000 | GBP for USD | Barclays Bank plc | 7/27/12 | 72,419 | (3,883 | ) | ||||||
232,000 | GBP for USD | HSBC Holdings plc | 7/27/12 | 357,471 | (11,989 | ) | ||||||
69,000 | GBP for USD | HSBC Holdings plc | 7/27/12 | 106,317 | (5,561 | ) | ||||||
129,000 | HKD for USD | Westpac Group | 7/27/12 | 16,623 | (8 | ) | ||||||
140,881,720 | JPY for USD | Barclays Bank plc | 7/27/12 | 1,798,910 | 51,778 | |||||||
8,658,000 | JPY for USD | Barclays Bank plc | 7/27/12 | 110,554 | 2,856 | |||||||
40,444,000 | JPY for USD | HSBC Holdings plc | 7/27/12 | 516,427 | 16,099 | |||||||
1,556,946,989 | KRW for USD | HSBC Holdings plc | 7/27/12 | 1,314,489 | (47,848 | ) | ||||||
133,000 | NOK for USD | Barclays Bank plc | 7/27/12 | 21,706 | (1,427 | ) | ||||||
1,031,362 | NOK for USD | Deutsche Bank | 7/27/12 | 168,322 | (10,796 | ) | ||||||
23,000 | NZD for USD | Barclays Bank plc | 7/27/12 | 17,275 | (1,450 | ) | ||||||
176,672 | NZD for USD | Westpac Group | 7/27/12 | 132,692 | (11,675 | ) | ||||||
253,000 | SEK for USD | Barclays Bank plc | 7/27/12 | 34,757 | (2,753 | ) | ||||||
470,000 | SGD for USD | HSBC Holdings plc | 7/27/12 | 364,774 | (11,226 | ) | ||||||
1,352,000 | TWD for USD | HSBC Holdings plc | 7/27/12 | 45,329 | (642 | ) | ||||||
$9,131,204 | $(265,532 | ) | ||||||||||
(Value on Settlement Date $9,396,736) |
48
Contracts to Sell | Counterparty | Settlement Date | Value | Unrealized Gain (Loss) | ||||||||
189,113 | EUR for CHF | UBS AG | 7/27/12 | $233,917 | $8,682 | |||||||
11,725,000 | JPY for EUR | Deutsche Bank | 7/27/12 | 149,716 | (2,797 | ) | ||||||
22,681,000 | JPY for EUR | UBS AG | 7/27/12 | 289,612 | (228 | ) | ||||||
7,816,000 | JPY for GBP | UBS AG | 7/27/12 | 99,802 | (1,671 | ) | ||||||
15,121,000 | JPY for GBP | HSBC Holdings plc | 7/27/12 | 193,079 | 983 | |||||||
23,664 | CAD for USD | Barclays Bank plc | 7/27/12 | 22,883 | 1,039 | |||||||
2,486,741 | CAD for USD | UBS AG | 6/29/12 | 2,406,182 | 7,825 | |||||||
64,206 | CAD for USD | UBS AG | 6/29/12 | 62,126 | 110 | |||||||
29,160 | CHF for USD | Credit Suisse AG | 6/29/12 | 30,032 | 10 | |||||||
273,640 | CHF for USD | UBS AG | 7/27/12 | 281,983 | 16,873 | |||||||
148,733 | EUR for USD | Barclays Bank plc | 7/27/12 | 183,971 | 12,016 | |||||||
124,000 | EUR for USD | HSBC Holdings plc | 7/27/12 | 153,378 | 10,817 | |||||||
21,000 | EUR for USD | HSBC Holdings plc | 7/27/12 | 25,975 | 1,378 | |||||||
170,255 | EUR for USD | UBS AG | 7/27/12 | 210,591 | 14,926 | |||||||
1,041,939 | EUR for USD | UBS AG | 6/29/12 | 1,288,500 | 15,486 | |||||||
693,163 | EUR for USD | UBS AG | 6/29/12 | 857,192 | 10,302 | |||||||
179,564 | EUR for USD | UBS AG | 6/29/12 | 222,056 | 2,669 | |||||||
45,862 | EUR for USD | UBS AG | 6/29/12 | 56,715 | 143 | |||||||
29,415 | EUR for USD | UBS AG | 6/29/12 | 36,376 | 23 | |||||||
19,652 | GBP for USD | Barclays Bank plc | 7/27/12 | 30,280 | 29 | |||||||
755,718 | GBP for USD | Credit Suisse AG | 6/29/12 | 1,164,585 | 17,872 | |||||||
474,658 | GBP for USD | Deutsche Bank | 7/27/12 | 731,365 | 24,447 | |||||||
10,000 | GBP for USD | HSBC Holdings plc | 7/27/12 | 15,408 | 531 | |||||||
236,218 | GBP for USD | HSBC Holdings plc | 7/27/12 | 363,970 | 19,707 | |||||||
11,000 | GBP for USD | HSBC Holdings plc | 7/27/12 | 16,949 | 815 | |||||||
133,129 | GBP for USD | UBS AG | 7/27/12 | 205,128 | 10,261 | |||||||
89,299 | GBP for USD | Westpac Group | 7/27/12 | 137,594 | 2,046 | |||||||
20,695,057 | JPY for USD | Deutsche Bank | 7/27/12 | 264,254 | (4,236 | ) | ||||||
506,000 | JPY for USD | HSBC Holdings plc | 7/27/12 | 6,461 | (147 | ) | ||||||
29,000 | NOK for USD | HSBC Holdings plc | 7/27/12 | 4,733 | 323 | |||||||
57,000 | NZD for USD | HSBC Holdings plc | 7/27/12 | 42,811 | 3,421 | |||||||
770,967 | SEK for USD | Barclays Bank plc | 7/27/12 | 105,915 | 7,779 | |||||||
47,000 | SEK for USD | HSBC Holdings plc | 7/27/12 | 6,457 | 510 | |||||||
$9,899,996 | $181,944 | |||||||||||
(Value on Settlement Date $10,081,940) |
Credit Default Swap Agreements | |||||||
Counterparty/Reference Entity | Notional Amount | Buy/Sell Protection | Interest Rate | Termination Date | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Value |
Bank of America N.A./CDX North America Investment Grade 16 Index | $7,200,000 | Buy | 1.00% | 6/20/16 | $(8,152) | $19,743 | $11,591 |
49
Notes to Schedule of Investments
ADR = American Depositary Receipt
AUD = Australian Dollar
CAD = Canadian Dollar
CBOE = Chicago Board Options Exchange
CDX = Credit Derivatives Indexes
CHF = Swiss Franc
CZK = Czech Koruna
DKK = Danish Krone
ETF = Exchange-Traded Fund
EUR = Euro
FDIC = Federal Deposit Insurance Corporation
FHLB = Federal Home Loan Bank
FHLMC = Federal Home Loan Mortgage Corporation
FNMA = Federal National Mortgage Association
FTSE = Financial Times Stock Exchange
GBP = British Pound
GDR = Global Depositary Receipt
GNMA = Government National Mortgage Association
GO = General Obligation
HKD = Hong Kong Dollar
JPY = Japanese Yen
KRW = Korea Won
LB-UBS = Lehman Brothers, Inc. - UBS AG
LIQ FAC = Liquidity Facilities
LOC = Letter of Credit
MASTR = Mortgage Asset Securitization Transactions, Inc.
MTN = Medium Term Note
NOK = Norwegian Krone
NVDR = Non-Voting Depositary Receipt
NZD = New Zealand Dollar
OJSC = Open Joint Stock Company
PHHMC = PHH Mortgage Corporation
PIK = Payment in Kind
SEK = Swedish Krona
SEQ = Sequential Payer
SGD = Singapore Dollar
TWD = Taiwanese Dollar
USD = United States Dollar
VRDN = Variable Rate Demand Note. Interest reset date is indicated. Rate shown is effective at the period end.
VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is effective at the period end.
† | Category is less than 0.05% of total net assets. |
(1) | Non-income producing. |
(2) | When-issued security. |
(3) | Security was purchased under Rule 144A or Section 4(2) of the Securities Act of 1933 or is a private placement and, unless registered under the Act or exempted from registration, may only be sold to qualified institutional investors. The aggregate value of these securities at the period end was $53,014,422, which represented 3.3% of total net assets. |
(4) | Final maturity date indicated, unless otherwise noted. |
(5) | The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown. |
(6) | The debt is guaranteed under the FDIC Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or December 31, 2012. |
See Notes to Financial Statements.
50
MAY 31, 2012 (UNAUDITED) | ||||
Assets | ||||
Investment securities, at value (cost of $1,403,323,963) | $1,587,256,277 | |||
Foreign currency holdings, at value (cost of $459,228) | 452,174 | |||
Receivable for investments sold | 14,152,832 | |||
Receivable for capital shares sold | 677,274 | |||
Unrealized gain on forward foreign currency exchange contracts | 261,784 | |||
Swap agreements, at value (including net premiums paid (received) of $(8,152)) | 11,591 | |||
Dividends and interest receivable | 6,922,585 | |||
Other assets | 19,497 | |||
1,609,754,014 | ||||
Liabilities | ||||
Payable for investments purchased | 12,864,500 | |||
Payable for capital shares redeemed | 2,181,148 | |||
Unrealized loss on forward foreign currency exchange contracts | 345,372 | |||
Accrued management fees | 1,419,394 | |||
Distribution and service fees payable | 242,291 | |||
17,052,705 | ||||
Net Assets | $1,592,701,309 | |||
Net Assets Consist of: | ||||
Capital (par value and paid-in surplus) | $1,409,267,070 | |||
Undistributed net investment income | 7,479,404 | |||
Accumulated net realized loss | (7,902,602 | ) | ||
Net unrealized appreciation | 183,857,437 | |||
$1,592,701,309 |
Net assets | Shares outstanding | Net asset value per share | |
Investor Class, $0.01 Par Value | $589,404,607 | 88,713,680 | $6.64 |
Institutional Class, $0.01 Par Value | $265,505,477 | 39,951,651 | $6.65 |
A Class, $0.01 Par Value | $581,850,250 | 87,720,548 | $6.63* |
B Class, $0.01 Par Value | $19,830,714 | 2,993,951 | $6.62 |
C Class, $0.01 Par Value | $93,614,380 | 14,111,389 | $6.63 |
R Class, $0.01 Par Value | $42,495,881 | 6,418,641 | $6.62 |
*Maximum offering price $7.03 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
51
FOR THE SIX MONTHS ENDED MAY 31, 2012 (UNAUDITED) | ||||
Investment Income (Loss) | ||||
Income: | ||||
Dividends (net of foreign taxes withheld of $416,895) | $12,044,673 | |||
Interest (net of foreign taxes withheld of $416) | 9,237,318 | |||
21,281,991 | ||||
Expenses: | ||||
Management fees | 8,329,313 | |||
Distribution and service fees: | ||||
A Class | 740,815 | |||
B Class | 106,347 | |||
C Class | 473,522 | |||
R Class | 106,834 | |||
Directors’ fees and expenses | 41,988 | |||
Other expenses | 6,448 | |||
9,805,267 | ||||
Net investment income (loss) | 11,476,724 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 38,229,842 | |||
Futures contract transactions | 54,450 | |||
Swap agreement transactions | (34,588 | ) | ||
Foreign currency transactions | (53,545 | ) | ||
38,196,159 | ||||
Change in net unrealized appreciation (depreciation) on: | ||||
Investments | 11,256,054 | |||
Futures contracts | (5,508 | ) | ||
Swap agreements | (56,397 | ) | ||
Translation of assets and liabilities in foreign currencies | 18,071 | |||
11,212,220 | ||||
Net realized and unrealized gain (loss) | 49,408,379 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $60,885,103 |
See Notes to Financial Statements.
52
SIX MONTHS ENDED MAY 31, 2012 (UNAUDITED) AND YEAR ENDED NOVEMBER 30, 2011 | ||||||||
Increase (Decrease) in Net Assets | May 31, 2012 | November 30, 2011 | ||||||
Operations | ||||||||
Net investment income (loss) | $11,476,724 | $21,878,480 | ||||||
Net realized gain (loss) | 38,196,159 | 99,395,707 | ||||||
Change in net unrealized appreciation (depreciation) | 11,212,220 | (52,711,346 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 60,885,103 | 68,562,841 | ||||||
Distributions to Shareholders | ||||||||
From net investment income: | ||||||||
Investor Class | (3,474,525 | ) | (9,453,020 | ) | ||||
Institutional Class | (1,663,030 | ) | (4,058,373 | ) | ||||
A Class | (2,781,627 | ) | (7,346,085 | ) | ||||
B Class | (59,667 | ) | (124,491 | ) | ||||
C Class | (254,542 | ) | (480,961 | ) | ||||
R Class | (168,827 | ) | (385,199 | ) | ||||
From net realized gains: | ||||||||
Investor Class | (5,005,011 | ) | — | |||||
Institutional Class | (2,027,271 | ) | — | |||||
A Class | (4,840,237 | ) | — | |||||
B Class | (181,620 | ) | — | |||||
C Class | (775,696 | ) | — | |||||
R Class | (342,746 | ) | — | |||||
Decrease in net assets from distributions | (21,574,799 | ) | (21,848,129 | ) | ||||
Capital Share Transactions | ||||||||
Net increase (decrease) in net assets from capital share transactions | 15,855,306 | (71,312,700 | ) | |||||
Net increase (decrease) in net assets | 55,165,610 | (24,597,988 | ) | |||||
Net Assets | ||||||||
Beginning of period | 1,537,535,699 | 1,562,133,687 | ||||||
End of period | $1,592,701,309 | $1,537,535,699 | ||||||
Undistributed net investment income | $7,479,404 | $4,404,898 |
See Notes to Financial Statements.
53
1. Organization
American Century Strategic Asset Allocations, Inc. (the corporation) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company and is organized as a Maryland corporation. Strategic Allocation: Moderate Fund (the fund) is one fund in a series issued by the corporation. The fund is diversified as defined under the 1940 Act. The fund’s investment objective is to provide as high a level of total return (capital appreciation plus dividend and interest income) as is consistent with its asset mix. The fund pursues its objective by diversifying its assets among various classes of investments such as equity securities, bonds and money market instruments.
The fund offers the Investor Class, the Institutional Class, the A Class, the B Class, the C Class and the R Class. The A Class may incur an initial sales charge. The A Class, B Class and C Class may be subject to a contingent deferred sales charge. The share classes differ principally in their respective sales charges and distribution and shareholder servicing expenses and arrangements. The Institutional Class is made available to institutional shareholders or through financial intermediaries whose clients do not require the same level of shareholder and administrative services as shareholders of other classes. As a result, the Institutional Class is charged a lower unified management fee.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the fund in preparation of its financial statements. The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from these estimates.
Investment Valuations — The fund determines the fair value of its investments and computes its net asset value per share as of the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are typically valued at the closing price on the exchange where primarily traded or as of the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices is used. Depending on local convention or regulation, securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price. In its determination of fair value, the fund may review several factors including: market information specific to a security; news developments in U.S. and foreign markets; the performance of particular U.S. and foreign securities, indices, comparable securities, American Depositary Receipts, Exchange-Traded Funds, and other relevant market indicators.
Debt securities maturing in greater than 60 days at the time of purchase are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Debt securities maturing within 60 days at the time of purchase may be valued at cost, plus or minus any amortized discount or premium or at the evaluated mean as provided by an independent pricing service. Evaluated mean prices are commonly derived through utilization of market models, which may consider, among other factors, trade data, quotations from dealers and active market makers, relevant yield curve and spread data, related sector levels, creditworthiness, and other relevant market information on the same or comparable securities.
Investments in open-end management investment companies are valued at the reported net asset value per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate clearing corporation. Swap agreements are valued at an evaluated price as provided by independent pricing services or investment dealers. Forward foreign currency exchange contracts are valued at the mean of the latest bid and asked prices of the forward currency rates as provided by an independent pricing service.
54
The value of investments initially expressed in foreign currencies is translated into U.S. dollars at prevailing exchange rates.
If the fund determines that the market price for a portfolio security is not readily available or the valuation methods mentioned above do not reflect a security’s fair value, such security is valued as determined in good faith by the Board of Directors or its designee, in accordance with procedures adopted by the Board of Directors. Circumstances that may cause the fund to use these procedures to value a security include, but are not limited to: a security has been declared in default; trading in a security has been halted during the trading day; there is a foreign market holiday and no trading occurred; or an event occurred between the close of a foreign exchange and the NYSE that may affect the value of a security.
Security Transactions — Security transactions are accounted for as of the trade date. Net realized gains and losses are determined on the identified cost basis, which is also used for federal income tax purposes.
Investment Income — Dividend income less foreign taxes withheld, if any, is recorded as of the ex-dividend date. Interest income less foreign taxes withheld, if any, is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums.
When-Issued and Forward Commitments — The fund may engage in securities transactions on a when-issued or forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. In a when-issued transaction, the payment and delivery are scheduled for a future date and during this period, securities are subject to market fluctuations. In a forward commitment transaction, the fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Segregated Assets — In accordance with the 1940 Act, the fund segregates assets on its books and records to cover certain types of investments, including, but not limited to, futures contracts, forward commitments, when-issued securities, swap agreements and certain forward foreign currency exchange contracts. American Century Investment Management, Inc. (ACIM) (the investment advisor) monitors, on a daily basis, the securities segregated to ensure the fund designates a sufficient amount of liquid assets, marked-to-market daily. The fund may also receive assets or be required to pledge assets at the custodian bank or with a broker for margin requirements on futures contracts and swap agreements.
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. The fund is no longer subject to examination by tax authorities for years prior to 2008. Additionally, non-U.S. tax returns filed by the fund due to investments in certain foreign securities remain subject to examination by the relevant taxing authority for seven years from the date of filing. At this time, management believes there are no uncertain tax positions which, based on their technical merit, would not be sustained upon examination and for
55
which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Accordingly, no provision has been made for federal or state income taxes.
Multiple Class — All shares of the fund represent an equal pro rata interest in the net assets of the class to which such shares belong, and have identical voting, dividend, liquidation and other rights and the same terms and conditions, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Income, non-class specific expenses, and realized and unrealized capital gains and losses of the fund are allocated to each class of shares based on their relative net assets.
Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly. Distributions from net realized gains, if any, are generally declared and paid annually. The fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with provisions of the 1940 Act.
Indemnifications — Under the corporation’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the fund. In addition, in the normal course of business, the fund enters into contracts that provide general indemnifications. The maximum exposure under these arrangements is unknown as this would involve future claims that may be made against a fund. The risk of material loss from such claims is considered by management to be remote.
3. Fees and Transactions with Related Parties
Management Fees — The corporation has entered into a management agreement with ACIM, under which ACIM provides the fund with investment advisory and management services in exchange for a single, unified management fee (the fee) per class. The agreement provides that all expenses of managing and operating the fund, except distribution and service fees, brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), and extraordinary expenses, will be paid by ACIM. The fee is computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The rate of the fee is determined by applying a fee rate calculation formula. This formula takes into account the fund’s assets as well as certain assets, if any, of other clients of the investment advisor outside the American Century Investments family of funds (such as subadvised funds and separate accounts) that have very similar investment teams and investment strategies (strategy assets). The annual management fee schedule ranges from 0.90% to 1.10% for the Investor Class, A Class, B Class, C Class and R Class. The Institutional Class is 0.20% less at each point within the range. The effective annual management fee for each class for the six months ended May 31, 2012 was 1.06% for the Investor Class, A Class, B Class, C Class and R Class and 0.86% for the Institutional Class.
Distribution and Service Fees — The Board of Directors has adopted a separate Master Distribution and Individual Shareholder Services Plan for each of the A Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule 12b-1 of the 1940 Act. The plans provide that the A Class will pay American Century Investment Services, Inc. (ACIS) an annual distribution and service fee of 0.25%. The plans provide that the B Class and C Class will each pay ACIS an annual distribution and service fee of 1.00%, of which 0.25% is paid for individual shareholder services and 0.75% is paid for distribution services. The plans provide that the R Class will pay ACIS an annual distribution and service fee of 0.50%. The fees are computed and accrued daily based on each class’s daily net assets and paid monthly in arrears. The fees are used to pay financial intermediaries for distribution and individual shareholder services. Fees incurred under the plans during the six months ended May 31, 2012 are detailed in the Statement of Operations.
Related Parties — Certain officers and directors of the corporation are also officers and/or directors of American Century Companies, Inc., the parent of the corporation’s investment advisor, ACIM, the distributor of the corporation, ACIS, and the corporation’s transfer agent, American Century Services, LLC.
56
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the six months ended May 31, 2012 totaled $601,565,684, of which $97,553,995 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the six months ended May 31, 2012 totaled $586,335,586, of which $75,059,316 represented U.S. Treasury and Government Agency obligations.
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended May 31, 2012 | Year ended November 30, 2011 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Investor Class/Shares Authorized | 400,000,000 | 400,000,000 | ||||||||||||||
Sold | 7,440,590 | $50,231,358 | 15,975,192 | $105,704,231 | ||||||||||||
Issued in reinvestment of distributions | 1,299,657 | 8,335,360 | 1,415,892 | 9,268,839 | ||||||||||||
Redeemed | (10,596,612 | ) | (71,025,680 | ) | (24,378,606 | ) | (161,020,195 | ) | ||||||||
(1,856,365 | ) | (12,458,962 | ) | (6,987,522 | ) | (46,047,125 | ) | |||||||||
Institutional Class/Shares Authorized | 225,000,000 | 225,000,000 | ||||||||||||||
Sold | 6,767,254 | 45,423,194 | 7,175,838 | 47,283,443 | ||||||||||||
Issued in reinvestment of distributions | 573,475 | 3,690,301 | 620,078 | 4,058,373 | ||||||||||||
Redeemed | (3,768,789 | ) | (25,444,109 | ) | (7,201,874 | ) | (47,205,912 | ) | ||||||||
3,571,940 | 23,669,386 | 594,042 | 4,135,904 | |||||||||||||
A Class/Shares Authorized | 350,000,000 | 350,000,000 | ||||||||||||||
Sold | 10,247,719 | 68,785,137 | 19,721,529 | 130,216,970 | ||||||||||||
Issued in reinvestment of distributions | 1,141,474 | 7,299,181 | 1,074,570 | 7,036,972 | ||||||||||||
Redeemed | (10,568,971 | ) | (71,047,699 | ) | (25,100,121 | ) | (165,898,139 | ) | ||||||||
820,222 | 5,036,619 | (4,304,022 | ) | (28,644,197 | ) | |||||||||||
B Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||||
Sold | 25,040 | 167,818 | 36,040 | 236,659 | ||||||||||||
Issued in reinvestment of distributions | 36,021 | 230,254 | 17,869 | 117,615 | ||||||||||||
Redeemed | (391,808 | ) | (2,638,885 | ) | (817,376 | ) | (5,403,215 | ) | ||||||||
(330,747 | ) | (2,240,813 | ) | (763,467 | ) | (5,048,941 | ) | |||||||||
C Class/Shares Authorized | 75,000,000 | 75,000,000 | ||||||||||||||
Sold | 1,264,252 | 8,546,555 | 2,654,554 | 17,482,796 | ||||||||||||
Issued in reinvestment of distributions | 143,005 | 915,547 | 64,216 | 423,316 | ||||||||||||
Redeemed | (1,348,732 | ) | (9,063,771 | ) | (2,869,784 | ) | (18,877,392 | ) | ||||||||
58,525 | 398,331 | (151,014 | ) | (971,280 | ) | |||||||||||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||||
Sold | 1,578,460 | 10,583,337 | 2,363,025 | 15,492,477 | ||||||||||||
Issued in reinvestment of distributions | 79,168 | 505,336 | 58,474 | 382,529 | ||||||||||||
Redeemed | (1,423,770 | ) | (9,637,928 | ) | (1,608,800 | ) | (10,612,067 | ) | ||||||||
233,858 | 1,450,745 | 812,699 | 5,262,939 | |||||||||||||
Net increase (decrease) | 2,497,433 | $15,855,306 | (10,799,284 | ) | $(71,312,700 | ) |
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6. Fair Value Measurements
The fund’s securities valuation process is based on several considerations and may use multiple inputs to determine the fair value of the positions held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels as follows:
• | Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical securities; |
• | Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for similar securities, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.); or |
• | Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions). |
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 | Level 2 | Level 3 | ||||||||||
Investment Securities | ||||||||||||
Domestic Common Stocks | $732,744,595 | — | — | |||||||||
Foreign Common Stocks | 52,900,469 | $205,558,045 | — | |||||||||
U.S. Treasury Securities | — | 171,387,663 | — | |||||||||
Corporate Bonds | — | 151,908,904 | — | |||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 93,765,770 | — | |||||||||
Sovereign Governments and Agencies | — | 46,364,793 | — | |||||||||
Municipal Securities | — | 38,693,932 | — | |||||||||
Commercial Paper | — | 37,792,776 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 14,829,578 | — | |||||||||
Collateralized Mortgage Obligations | — | 9,914,651 | — | |||||||||
U.S. Government Agency Securities | — | 6,400,728 | — | |||||||||
Exchange-Traded Funds | 1,797,150 | — | — | |||||||||
Convertible Preferred Stocks | — | 333,558 | — | |||||||||
Asset-Backed Securities | — | 149,305 | — | |||||||||
Preferred Stocks | — | 147,097 | — | |||||||||
Temporary Cash Investments | 22,567,263 | — | — | |||||||||
Total Value of Investment Securities | $810,009,477 | $777,246,800 | — | |||||||||
Other Financial Instruments | ||||||||||||
Swap Agreements | — | $19,743 | — | |||||||||
Forward Foreign Currency Exchange Contracts | — | (83,588 | ) | — | ||||||||
Total Unrealized Gain (Loss) on Other Financial Instruments | — | $(63,845 | ) | — |
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7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. The buyer/seller of credit protection against a security or basket of securities may pay/receive an up-front or periodic payment to compensate for/against potential default events. A fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet requirements. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. Realized gain or loss is recorded upon receipt or payment of a periodic settlement or termination of swap agreements. Net realized and unrealized gains or losses occurring during the holding period of swap agreements are a component of net realized gain (loss) on swap agreement transactions and change in net unrealized appreciation (depreciation) on swap agreements, respectively. The risks of entering into swap agreements include the possible lack of liquidity, failure of the counterparty to meet its obligations, and that there may be unfavorable changes in the underlying investments or instruments. The credit risk derivative instruments held at period end as disclosed on the Schedule of Investments are indicative of the fund’s typical volume during the period.
Equity Price Risk — The fund is subject to equity price risk in the normal course of pursuing its investment objectives. A fund may enter into futures contracts based on an equity index in order to manage its exposure to changes in market conditions. A fund may purchase futures contracts to gain exposure to increases in market value or sell futures contracts to protect against a decline in market value. Upon entering into a futures contract, a fund is required to deposit either cash or securities in an amount equal to a certain percentage of the contract value (initial margin). Subsequent payments (variation margin) are made or received daily, in cash, by a fund. The variation margin is equal to the daily change in the contract value and is recorded as unrealized gains and losses. A fund recognizes a realized gain or loss when the contract is closed or expires. Net realized and unrealized gains or losses occurring during the holding period of futures contracts are a component of net realized gain (loss) on futures contract transactions and change in net unrealized appreciation (depreciation) on futures contracts, respectively. One of the risks of entering into futures contracts is the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. During the period, the fund infrequently purchased equity price risk derivative instruments for temporary investment purposes.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund’s exposure to foreign currency exchange rate fluctuations, or to shift exposure to the fluctuations in the value of foreign currencies from one foreign currency to another foreign currency. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon the termination of the contract. Net realized and unrealized gains or losses occurring during the holding period of forward foreign currency exchange contracts are a component of net realized gain (loss) on foreign currency transactions and change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies, respectively. A fund bears the risk of an unfavorable change in the foreign currency exchange rate underlying the forward contract. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms. The foreign currency risk derivative instruments held at period end as disclosed on the Schedule of Investments are indicative of the fund’s typical volume during the period.
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Value of Derivative Instruments as of May 31, 2012
Asset Derivatives | Liability Derivatives | ||||||||||
Type of Risk Exposure | Location on Statement of Assets and Liabilities | Value | Location on Statement of Assets and Liabilities | Value | |||||||
Credit Risk | Swap agreements | $11,591 | Swap agreements | — | |||||||
Foreign Currency Risk | Unrealized gain on forward foreign currency exchange contracts | 261,784 | Unrealized loss on forward foreign currency exchange contracts | $345,372 | |||||||
$273,375 | $345,372 | ||||||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended May 31, 2012 | |||||||||||
Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | ||||||||||
Type of Risk Exposure | Location on Statement of Operations | Value | Location on Statement of Operations | Value | |||||||
Credit Risk | Net realized gain (loss) on swap agreement transactions | $(34,588 | ) | Change in net unrealized appreciation (depreciation) on swap agreements | $(56,397 | ) | |||||
Equity Price Risk | Net realized gain (loss) on futures contract transactions | 54,450 | Change in net unrealized appreciation (depreciation) on futures contracts | (5,508 | ) | ||||||
Foreign Currency Risk | Net realized gain (loss) on foreign currency transactions | 119,275 | Change in net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies | 44,723 | |||||||
$139,137 | $(17,182 | ) |
8. Risk Factors
There are certain risks involved in investing in foreign securities. These risks include those resulting from future adverse political, social and economic developments, fluctuations in currency exchange rates, the possible imposition of exchange controls, and other foreign laws or restrictions. Investing in emerging markets may accentuate these risks.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of May 31, 2012, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $1,440,110,683 | |||
Gross tax appreciation of investments | $188,388,749 | |||
Gross tax depreciation of investments | (41,243,155 | ) | ||
Net tax appreciation (depreciation) of investments | $147,145,594 |
The difference between book-basis and tax-basis cost and unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
The fund has elected to treat $(2,156,979) of net capital losses incurred in the one-month period ended November 30, 2011, as having been incurred in the following fiscal year for federal income tax purposes.
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Income From Investment Operations: | Distributions From: | Total Return(2) | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||
Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||||
Investor Class | |||||||||||||||||||||||||||||||
2012(3) | $6.48 | 0.05 | 0.21 | 0.26 | (0.04 | ) | (0.06 | ) | (0.10 | ) | $6.64 | 3.97 | % | 1.07 | %(4) | 1.56 | %(4) | 38 | % | $589,405 | |||||||||||
2011 | $6.30 | 0.10 | 0.18 | 0.28 | (0.10 | ) | — | (0.10 | ) | $6.48 | 4.42 | % | 1.07 | % | 1.51 | % | 86 | % | $586,861 | ||||||||||||
2010 | $5.83 | 0.09 | 0.47 | 0.56 | (0.09 | ) | — | (0.09 | ) | $6.30 | 9.65 | % | 1.07 | % | 1.44 | % | 87 | % | $614,299 | ||||||||||||
2009 | $4.84 | 0.09 | 1.00 | 1.09 | (0.10 | ) | — | (0.10 | ) | $5.83 | 22.86 | % | 1.08 | % | 1.83 | % | 135 | % | $561,341 | ||||||||||||
2008 | $7.64 | 0.13 | (2.01 | ) | (1.88 | ) | (0.15 | ) | (0.77 | ) | (0.92 | ) | $4.84 | (27.85 | )% | 1.06 | % | 2.09 | % | 163 | % | $457,057 | |||||||||
2007 | $7.36 | 0.15 | 0.70 | 0.85 | (0.15 | ) | (0.42 | ) | (0.57 | ) | $7.64 | 12.26 | % | 1.05 | % | 2.00 | % | 147 | % | $831,559 | |||||||||||
Institutional Class | |||||||||||||||||||||||||||||||
2012(3) | $6.48 | 0.06 | 0.21 | 0.27 | (0.04 | ) | (0.06 | ) | (0.10 | ) | $6.65 | 4.23 | % | 0.87 | %(4) | 1.76 | %(4) | 38 | % | $265,505 | |||||||||||
2011 | $6.30 | 0.11 | 0.18 | 0.29 | (0.11 | ) | — | (0.11 | ) | $6.48 | 4.63 | % | 0.87 | % | 1.71 | % | 86 | % | $235,783 | ||||||||||||
2010 | $5.83 | 0.10 | 0.47 | 0.57 | (0.10 | ) | — | (0.10 | ) | $6.30 | 9.87 | % | 0.87 | % | 1.64 | % | 87 | % | $225,389 | ||||||||||||
2009 | $4.84 | 0.11 | 0.99 | 1.10 | (0.11 | ) | — | (0.11 | ) | $5.83 | 23.11 | % | 0.88 | % | 2.03 | % | 135 | % | $367,093 | ||||||||||||
2008 | $7.64 | 0.14 | (2.01 | ) | (1.87 | ) | (0.16 | ) | (0.77 | ) | (0.93 | ) | $4.84 | (27.70 | )% | 0.86 | % | 2.29 | % | 163 | % | $308,684 | |||||||||
2007 | $7.36 | 0.16 | 0.70 | 0.86 | (0.16 | ) | (0.42 | ) | (0.58 | ) | $7.64 | 12.48 | % | 0.85 | % | 2.20 | % | 147 | % | $520,500 |
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For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Income From Investment Operations: | Distributions From: | Total Return(2) | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||
Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||||
A Class(5) | |||||||||||||||||||||||||||||||
2012(3) | $6.47 | 0.04 | 0.21 | 0.25 | (0.03 | ) | (0.06 | ) | (0.09 | ) | $6.63 | 3.87 | % | 1.32 | %(4) | 1.31 | %(4) | 38 | % | $581,850 | |||||||||||
2011 | $6.29 | 0.08 | 0.18 | 0.26 | (0.08 | ) | — | (0.08 | ) | $6.47 | 4.17 | % | 1.32 | % | 1.26 | % | 86 | % | $562,309 | ||||||||||||
2010 | $5.82 | 0.07 | 0.47 | 0.54 | (0.07 | ) | — | (0.07 | ) | $6.29 | 9.39 | % | 1.32 | % | 1.19 | % | 87 | % | $573,518 | ||||||||||||
2009 | $4.83 | 0.08 | 1.00 | 1.08 | (0.09 | ) | — | (0.09 | ) | $5.82 | 22.60 | % | 1.33 | % | 1.58 | % | 135 | % | $558,588 | ||||||||||||
2008 | $7.63 | 0.12 | (2.02 | ) | (1.90 | ) | (0.13 | ) | (0.77 | ) | (0.90 | ) | $4.83 | (28.07 | )% | 1.31 | % | 1.84 | % | 163 | % | $469,970 | |||||||||
2007 | $7.35 | 0.13 | 0.70 | 0.83 | (0.13 | ) | (0.42 | ) | (0.55 | ) | $7.63 | 11.99 | % | 1.30 | % | 1.75 | % | 147 | % | $410,570 | |||||||||||
B Class | |||||||||||||||||||||||||||||||
2012(3) | $6.47 | 0.02 | 0.21 | 0.23 | (0.02 | ) | (0.06 | ) | (0.08 | ) | $6.62 | 3.50 | % | 2.07 | %(4) | 0.56 | %(4) | 38 | % | $19,831 | |||||||||||
2011 | $6.29 | 0.03 | 0.18 | 0.21 | (0.03 | ) | — | (0.03 | ) | $6.47 | 3.39 | % | 2.07 | % | 0.51 | % | 86 | % | $21,518 | ||||||||||||
2010 | $5.82 | 0.03 | 0.47 | 0.50 | (0.03 | ) | — | (0.03 | ) | $6.29 | 8.56 | % | 2.07 | % | 0.44 | % | 87 | % | $25,713 | ||||||||||||
2009 | $4.83 | 0.04 | 1.00 | 1.04 | (0.05 | ) | — | (0.05 | ) | $5.82 | 21.69 | % | 2.08 | % | 0.83 | % | 135 | % | $29,134 | ||||||||||||
2008 | $7.63 | 0.07 | (2.02 | ) | (1.95 | ) | (0.08 | ) | (0.77 | ) | (0.85 | ) | $4.83 | (28.61 | )% | 2.06 | % | 1.09 | % | 163 | % | $25,620 | |||||||||
2007 | $7.35 | 0.07 | 0.71 | 0.78 | (0.08 | ) | (0.42 | ) | (0.50 | ) | $7.63 | 11.16 | % | 2.05 | % | 1.00 | % | 147 | % | $35,619 | |||||||||||
C Class | |||||||||||||||||||||||||||||||
2012(3) | $6.48 | 0.02 | 0.21 | 0.23 | (0.02 | ) | (0.06 | ) | (0.08 | ) | $6.63 | 3.49 | % | 2.07 | %(4) | 0.56 | %(4) | 38 | % | $93,614 | |||||||||||
2011 | $6.30 | 0.03 | 0.18 | 0.21 | (0.03 | ) | — | (0.03 | ) | $6.48 | 3.38 | % | 2.07 | % | 0.51 | % | 86 | % | $91,094 | ||||||||||||
2010 | $5.83 | 0.03 | 0.47 | 0.50 | (0.03 | ) | — | (0.03 | ) | $6.30 | 8.54 | % | 2.07 | % | 0.44 | % | 87 | % | $89,474 | ||||||||||||
2009 | $4.84 | 0.04 | 1.00 | 1.04 | (0.05 | ) | — | (0.05 | ) | $5.83 | 21.64 | % | 2.08 | % | 0.83 | % | 135 | % | $81,248 | ||||||||||||
2008 | $7.64 | 0.07 | (2.02 | ) | (1.95 | ) | (0.08 | ) | (0.77 | ) | (0.85 | ) | $4.84 | (28.56 | )% | 2.06 | % | 1.09 | % | 163 | % | $51,619 | |||||||||
2007 | $7.36 | 0.07 | 0.71 | 0.78 | (0.08 | ) | (0.42 | ) | (0.50 | ) | $7.64 | 11.15 | % | 2.05 | % | 1.00 | % | 147 | % | $46,978 |
62
For a Share Outstanding Throughout the Years Ended November 30 (except as noted) | |||||||||||||||||||||||||||||||
Per-Share Data | Ratios and Supplemental Data | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Income From Investment Operations: | Distributions From: | Total Return(2) | Ratio to Average Net Assets of: | Portfolio Turnover Rate | ||||||||||||||||||||||||||
Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total From Investment Operations | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | Operating Expenses | Net Investment Income (Loss) | Net Assets, End of Period (in thousands) | ||||||||||||||||||||||
R Class | |||||||||||||||||||||||||||||||
2012(3) | $6.46 | 0.04 | 0.21 | 0.25 | (0.03 | ) | (0.06 | ) | (0.09 | ) | $6.62 | 3.81 | % | 1.57 | %(4) | 1.06 | %(4) | 38 | % | $42,496 | |||||||||||
2011 | $6.28 | 0.07 | 0.18 | 0.25 | (0.07 | ) | — | (0.07 | ) | $6.46 | 3.91 | % | 1.57 | % | 1.01 | % | 86 | % | $39,971 | ||||||||||||
2010 | $5.82 | 0.06 | 0.46 | 0.52 | (0.06 | ) | — | (0.06 | ) | $6.28 | 8.94 | % | 1.57 | % | 0.94 | % | 87 | % | $33,741 | ||||||||||||
2009 | $4.83 | 0.07 | 0.99 | 1.06 | (0.07 | ) | — | (0.07 | ) | $5.82 | 22.30 | % | 1.58 | % | 1.33 | % | 135 | % | $21,186 | ||||||||||||
2008 | $7.63 | 0.10 | (2.02 | ) | (1.92 | ) | (0.11 | ) | (0.77 | ) | (0.88 | ) | $4.83 | (28.24 | )% | 1.56 | % | 1.59 | % | 163 | % | $8,458 | |||||||||
2007 | $7.35 | 0.12 | 0.69 | 0.81 | (0.11 | ) | (0.42 | ) | (0.53 | ) | $7.63 | 11.72 | % | 1.55 | % | 1.50 | % | 147 | % | $4,051 |
Notes to Financial Highlights
(1) | Computed using average shares outstanding throughout the period. |
(2) | Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized. |
(3) | Six months ended May 31, 2012 (unaudited). |
(4) | Annualized. |
(5) | Prior to December 3, 2007, the A Class was referred to as the Advisor Class. |
See Notes to Financial Statements.
63
As required by law, distributions you receive from certain IRAs, or 403(b), 457 and qualified plans are subject to federal income tax withholding, unless you elect not to have withholding apply. Tax will be withheld on the total amount withdrawn even though you may be receiving amounts that are not subject to withholding, such as nondeductible contributions. In such case, excess amounts of withholding could occur. You may adjust your withholding election so that a greater or lesser amount will be withheld.
If you don’t want us to withhold on this amount, you must notify us to not withhold the federal income tax. You may notify us in writing or in certain situations by telephone or through other electronic means. You have the right to revoke your withholding election at any time and any election you make may remain in effect until revoked by filing a new election.
Remember, even if you elect not to have income tax withheld, you are liable for paying income tax on the taxable portion of your withdrawal. If you elect not to have income tax withheld or you don’t have enough income tax withheld, you may be responsible for payment of estimated tax. You may incur penalties under the estimated tax rules if your withholding and estimated tax payments are not sufficient. You can reduce or defer the income tax on a distribution by directly or indirectly rolling such distribution over to another IRA or eligible plan. You should consult your tax advisor for additional information.
State tax will be withheld if, at the time of your distribution, your address is within one of the mandatory withholding states and you have federal income tax withheld. State taxes will be withheld from your distribution in accordance with the respective state rules.
Proxy Voting Guidelines
American Century Investment Management, Inc., the fund’s investment advisor, is responsible for exercising the voting rights associated with the securities purchased and/or held by the fund. A description of the policies and procedures the advisor uses in fulfilling this responsibility is available without charge, upon request, by calling 1-800-345-2021. It is also available on American Century Investments’ website at americancentury.com and on the Securities and Exchange Commission’s website at sec.gov. Information regarding how the investment advisor voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the “About Us” page at americancentury.com. It is also available at sec.gov.
Quarterly Portfolio Disclosure
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at sec.gov, and may be reviewed and copied at the SEC’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. The fund also makes its complete schedule of portfolio holdings for the most recent quarter of its fiscal year available on its website at americancentury.com and, upon request, by calling 1-800-345-2021.
64
Contact Us | americancentury.com |
Automated Information Line | 1-800-345-8765 |
Investor Services Representative | 1-800-345-2021 or 816-531-5575 |
Investors Using Advisors | 1-800-378-9878 |
Business, Not-For-Profit, Employer-Sponsored Retirement Plans | 1-800-345-3533 |
Banks and Trust Companies, Broker-Dealers, Financial Professionals, Insurance Companies | 1-800-345-6488 |
Telecommunications Device for the Deaf | 1-800-634-4113 |
American Century Strategic Asset Allocations, Inc.
Investment Advisor:
American Century Investment Management, Inc.
Kansas City, Missouri
This report and the statements it contains are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
©2012 American Century Proprietary Holdings, Inc. All rights reserved.
CL-SAN-75494 1207
ITEM 2. CODE OF ETHICS.
Not applicable for semiannual report filings.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semiannual report filings.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semiannual report filings.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) | The schedule of investments is included as part of the report to stockholders filed under Item 1 of this Form. |
(b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
During the reporting period, there were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective based on their evaluation of these controls and procedures 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 Investment Company Act of 1940) that occurred during the registrant's 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. |
ITEM 12. EXHIBITS.
(a)(1) | Not applicable for semiannual report filings. |
(a)(2) | Separate certifications by the registrant’s principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are filed and attached hereto as EX-99.CERT. |
(a)(3) | Not applicable. |
(b) | A certification by the registrant’s chief executive officer and chief financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, is furnished and attached hereto as EX- 99.906CERT. |
SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | American Century Strategic Asset Allocations, Inc. | |||
By: | /s/ Jonathan S. Thomas | |||
Name: | Jonathan S. Thomas | |||
Title: | President | |||
Date: | July 30, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jonathan S. Thomas | ||
Name: | Jonathan S. Thomas | ||
Title: | President | ||
(principal executive officer) | |||
Date: | July 30, 2012 |
By: | /s/ C. Jean Wade | ||
Name: | C. Jean Wade | ||
Title: | Vice President, Treasurer, and | ||
Chief Financial Officer | |||
(principal financial officer) | |||
Date: | July 30, 2012 |