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Kensington Funds · N-Q · For 9/30/04

Filed On 11/29/04 4:42pm ET · SEC File 811-21316 · Accession Number 1144204-4-20577

  As Of               Filer                 Filing     As/For/On Docs:Pgs              Issuer               Agent

11/29/04  Kensington Funds                  N-Q        11/29/04    2:12                                     1144204

Quarterly Schedule of Portfolio Holdings of a Management Investment Company · Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Quarterly Schedule of Portfolio Holdings of a         10     63K 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit                                  2     13K

N-Q · Quarterly Schedule of Portfolio Holdings of a Management Investment Company
Document Table of Contents

Page	(sequential)	\|	(alphabetic)	Top
			Alternative Formats (RTF, XML, et al.) Controls and Procedures Exhibits Schedule of Investments
1	1st Page
2	Item 1. Schedule of Investments
9	Item 2. Controls and Procedures
"	Item 3. Exhibits

N-Q 1st Page of 10 TOC Top Previous Next Bottom Just 1st
 Sponsored Ads...







 As filed with the Securities and Exchange Commission on November 29, 2004

 UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q
 QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY

 Investment Company Act file number 811- 21316
                                    ----------

THE KENSINGTON FUNDS
--------------------
(Exact name of registrant as specified in charter)

 4 Orinda Way, Suite 200 C
Orinda, California 94563
------------------------
 (Address of principal executive offices) (Zip code)

 US Bancorp Fund Services, LLC
2020 East Financial Way, Suite 100
Glendora, California 91741
--------------------------
 (Name and address of agent for service)

1-800-253-2949
--------------
Registrant's telephone number, including area code

Date of fiscal year end: DECEMBER 31, 2004                                      
-----------------             

Date of reporting period: SEPTEMBER 30, 2004                                    
------------------          

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ITEM 1. SCHEDULE OF INVESTMENTS.                                                

--------------------------------------------------------------------------------
KENSINGTON REAL ESTATE SECURITIES FUND                                          
--------------------------------------------------------------------------------

SCHEDULE OF PORTFOLIO INVESTMENTS                                               
SEPTEMBER 30, 2004 (Unaudited)                                                  

                                                                · Download Table

                                                    SHARES  MARKET VALUE($)
                                                                           
COMMON STOCK 98.2%                                                         
REAL ESTATE (3.1%)                                                         
Medical Properties Trust 144A (2)                   87,900       879,000   
                                                             -----------   

REAL ESTATE INVESTMENT TRUSTS (95.1%)                                      
APARTMENTS (14.9%)                                                         
Archstone-Smith Trust                               23,000       727,720   
Avalonbay Communities, Incorporated                 13,750       828,025   
Camden Property Trust                                5,830       269,346   
Equity Residential Properties Trust                 31,620       980,220   
Home Properties of New York, Incorporated            6,800       269,008   
Post Properties, Incorporated                       28,200       843,180   
United Dominion Realty Trust, Incorporated          17,600       349,008   
                                                             -----------   
                                                               4,266,507   
                                                             -----------   

DIVERSIFIED (12.4%)                                                        
Catellus Development Corporation                    20,300       538,153   
Duke Realty Corporation                             16,100       534,520   
iStar Financial, Incorporated                       20,600       849,338   
Liberty Property Trust                              13,560       540,230   
Vornado Realty Trust                                17,350     1,087,498   
                                                             -----------   
                                                               3,549,739   
                                                             -----------   

HEALTH CARE (6.1%)                                                         
LTC Properties, Incorporated                        53,700       960,693   
Ventas, Incorporated                                30,300       785,376   
                                                             -----------   
                                                               1,746,069   
                                                             -----------   

HOTEL/RESTAURANT (7.5%)                                                    
Ashford Hospitality Trust                           42,800       402,320   
MeriStar Hospitality Corporation(1)                100,900       549,905   
Starwood Hotels & Resorts Worldwide, Incorporated   25,600     1,188,352   
                                                             -----------   
                                                               2,140,577   
                                                             -----------   

INDUSTRIAL (8.0%)                                                          
AMB Property Corporation                             9,575       354,466   
EastGroup Properties, Incorporated                  16,270       540,164   
First Industrial Realty Trust, Incorporated          8,400       309,960   
ProLogis Trust                                      30,660     1,080,458   
                                                             -----------   
                                                               2,285,048   
                                                             -----------   

MORTGAGE (0.6%)                                                            
Capital Lease Funding, Incorporated                 15,600       172,224   
                                                             -----------   

OFFICE PROPERTY (22.7%)                                                    
Alexandria Real Estate Equities, Incorporated        4,300       282,596   
American Financial Realty Trust                     77,800     1,097,758   
Boston Properties, Incorporated                     24,975     1,383,365   
CarrAmerica Realty Corporation                      16,850       550,995   
CRT Properties, Incorporated                        36,870       790,862   
Equity Office Properties Trust                      26,600       724,850   
Kilroy Realty Corporation                            7,300       277,619   
Mack-Cali Realty Corporation                        12,275       543,783   
Prentiss Properties Trust                           22,750       819,000   
                                                             -----------   
                                                               6,470,828   
                                                             -----------   

RETAIL (17.9%)                                                             
Acadia Realty Trust                                 51,500       759,625   
Developers Diversified Realty Corporation           14,600       571,590   
Federal Realty Investment Trust                      6,650       292,600   
General Growth Properties, Incorporated             28,850       894,350   
Kimco Realty Corporation                            13,800       707,940   
Regency Centers Corporation                         14,985       696,653   
Simon Property Group, Incorporated                  22,300     1,195,949   
                                                             -----------   
                                                               5,118,707   
                                                             -----------   

                                                                               1

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SCHEDULE OF PORTFOLIO INVESTMENTS                                               
SEPTEMBER 30, 2004 (Unaudited) (continued)                                      

                                                                · Download Table

                                                       SHARES                   
                                                         OR                     
                                                      PRINCIPAL                 
                                                        AMOUNT   MARKET VALUE($)
                                                                                
SHOPPING CENTERS (2.4%)                                                         
Ramco-Gershenson Properties Trust                       24,800        671,584   
                                                                  -----------   

STORAGE (2.6%)                                                                  
Public Storage, Incorporated                            14,695        728,137   
                                                                  -----------   
Toal Real Estate Investment Trust                                  27,149,420   
                                                                  -----------   
Total Common Stock                                                 28,028,420   
                                                                  -----------   

REPURCHASE AGREEMENT-1.5%                                                       
Custodial Trust Company, 1.75%, dated 9/30/04,                                  
due 01/01/2100, repurchase price                                                
$418,270, (collateralized by U.S. Treasury Bonds)  $   418,250        418,250   
                                                                  -----------   

Total investments (Cost $26,529,562)(3) - 99.7%                    28,446,670   
Other assets in excess of liabilities - 0.3%                           98,322   
                                                                  -----------   
NET ASSETS - 100.0%                                               $28,544,992   
                                                                  ===========   

(1) Represents non-income producing securities.                                 
(2) Rule 144A, Section 4(2) or other security which is restricted as to resale  
 to institutional investors. The Adviser, using Board approved procedures,
has deemed all or a portion of these securities to be illiquid.         
(3) Represents cost for financial reporting purposes, is substantially the same 
as cost for federal income tax purposes, and differs from value by      
unrealized appreciation/depreciation of securities as follows:          
Unrealized appreciation ................    $2,049,910                  
Unrealized depreciation ................      (132,802)                 
                          ----------
Net unrealized appreciation ............    $1,917,108                  
                          ==========

                                                                               2

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--------------------------------------------------------------------------------
KENSINGTON SELECT INCOME FUND                                                   
--------------------------------------------------------------------------------

SCHEDULE OF PORTFOLIO INVESTMENTS                                               
SEPTEMBER 30, 2004 (Unaudited)                                                  

                                                        · Enlarge/Download Table

                                                                     SHARES    MARKET VALUE($)
                                                                                              
COMMON STOCK (20.0%)                                                                          
FINANCIAL SERVICES (1.7%)                                                                     
Spirit Finance Corporation 144A (1)                                 1,434,400       14,344,000
                                                                               ---------------
REAL ESTATE INVESTMENT TRUSTS (18.3%)                                                         
HOTELS (1.8%)                                                                                 
Ashford Hospitality Trust                                           1,313,200       12,344,080
Hersha Hospitality Trust                                              194,100        1,824,540
                                                                               ---------------
                                                                                    14,168,620
                                                                               ---------------
MORTGAGE (7.3%)                                                                               
Accredited Mortgage Loan REIT Trust                                   540,000       13,743,000
Anthracite Capital, Incorporated                                    1,269,600       14,117,952
Anworth Mortgage Asset Corporation                                    283,000        3,220,540
Luminent Mortgage Capital, Incorporated                             1,020,500       12,939,940
MFA Mortgage Investments, Incorporated                                355,900        3,277,839
Newcastle Investment Corporation                                      391,100       12,006,770
                                                                               ---------------
                                                                                    59,306,041
                                                                               ---------------
OFFICE PROPERTY (4.5%)                                                                        
American Financial Realty Trust                                     1,396,400       19,703,204
CRT Properties, Incorporated                                          408,200        8,755,890
HRPT Properties Trust                                                 742,600        8,161,174
                                                                               ---------------
                                                                                    36,620,268
                                                                               ---------------
RETAIL (0.8%)                                                                                 
Kramont Realty Trust                                                  343,800        6,394,680
                                                                               ---------------

WHOLE LOANS (3.9%)                                                                            
RAIT Investment Trust                                               1,161,900       31,777,965
                                                                               ---------------
TOTAL REAL ESTATE INVESTMENT TRUSTS                                                148,267,574
                                                                               ---------------
TOTAL COMMON STOCK                                                                 162,611,574
                                                                               ---------------

PREFERRED STOCK (106.0%)                                                                      
REAL ESTATE INVESTMENT TRUSTS                                                                 
Affordable Residential, Series A, 8.25%                               779,400       19,882,494
Alexandria Real Estate Equities, Incorporated, Series B, 9.10%        143,300        3,871,966
Alexandria Real Estate Equities, Incorporated, Series C, 8.375%       194,500        5,105,625
American Home Mortgage Investment Corporation, Series A , 9.75%       296,500        7,943,235
Annaly Mortgage Management, Series A, 7.875%                          956,000       23,986,040
Anthracite Capital, Incorporated, Series C, 9.375%                    854,800       22,780,420
Apartment Investment & Management Company, Series G, 9.375%           376,200       10,029,492
Apartment Investment & Management Company, Series U, 7.75%          1,026,700       24,856,407
Apartment Investment & Management Company, Series T, 8.00%            898,500       22,399,605
Apartment Investment & Management Company, Class R, 10.00%            155,100        4,136,517
Ashford Hospitality Trust                                             350,000        8,893,500
Associated Estates Realty, Series A, 9.75%                            192,600        4,930,560
Bedford Property Investors, Incorporated, Series A, 8.75% 144A (1)    400,000       20,500,000
Bedford Property Investors, Incorporated, Series B, 7.625%            325,000        8,287,500
Boykin Lodging Company, Class A, 10.50%                               465,100       13,027,451
Brandywine Realty Trust, Class C, 7.50%(2)                            420,700       10,605,847
Brandywine Realty Trust, Series D, 7.375%                             386,500        9,739,800
Capital Automotive REIT, Series A, 7.50%                              355,444        9,028,278
Capital Automotive REIT, 6.75%                                        784,800       19,078,488
CBL & Associates Properties, Incorporated, Series B, 8.75%            137,000        7,363,750
CBL & Associates Properties, Incorporated, Series C, 7.75%            419,000       10,981,990
Colonial Properties Trust, Series D, 8.125%                           435,100       11,490,991
Corporate Office Properties Trust, Series F, 9.875%                   136,200        3,710,088
Corporate Office Properties Trust, Series G, 8.00%                    434,400       11,077,200
Cousins Properties, Incorporated, Series A, 7.75%                     536,600       13,838,914
Crescent Real Estate Equities Company, Series A, 6.75%                349,700        7,417,137
Crescent Real Estate Equities Company, Series B, 9.50%                721,100       19,613,920
CRT Properties, Incorporated, Series A, 8.50%                       1,001,300       26,384,255
EastGroup Properties, Incorporated, Series D, 7.95%                   393,000       10,598,738
Entertainment Properties Trust, Series A, 9.50%                       697,500       18,902,250
Equity Inns, Incorporated, Series B, 8.75%                            106,200        2,803,680
FelCor Lodging Trust, Incorporated, Series A, 1.95%(2)                305,500        7,393,100
FelCor Lodging Trust, Incorporated, Series B, 9.00%                   438,300       11,220,480
Forest City Enterprises, Incorporated, Series, 7.375%                 630,800       15,858,312
Glimcher Realty Trust, Series F, 8.75%                                694,200       18,461,416
Glimcher Realty Trust, Series G, 8.125%                               383,600        9,762,620
Highwoods Properties, Incorporated, Series A, 8.625%                    6,204        6,754,605
Highwoods Properties, Incorporated, Series B, 8.00%                   300,700        7,568,619
Highwoods Properties, Incorporated, Series D, 8.00%                   193,600        4,830,320
Home Properties of New York, Incorporated, Series F, 9.00%            307,200        8,540,160
Hospitality Properties Trust, Series B, 8.875%                        305,500        8,340,150
Host Marriott Corporation, Series E, 8.875%                           596,200       16,431,272
HRPT Properties Trust, Series B, 8.75%                                212,182        5,786,203

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SCHEDULE OF PORTFOLIO INVESTMENTS                                               
SEPTEMBER 30, 2004 (Unaudited) (continued)                                      

                                                        · Enlarge/Download Table

                                                                         SHARES    MARKET VALUE($) 
                                                                                                   
Impac Mortgage Holdings, Incorporated, Series B, 9.375%                   515,000       13,977,100 
Innkeepers USA Trust, Series C, 8.00%                                     257,300        6,509,690 
iStar Financial, Incorporated, Series D, 8.00%                            175,950        4,455,054 
iStar Financial, Incorporated, Series E, 7.875%                           653,000       16,449,070 
iStar Financial, Incorporated, Series G, 7.650%                           400,000       10,000,000 
iStar Financial, Incorporated, Series I, 7.50%                            297,800        7,385,440 
Kilroy Realty Corporation, Series E, 7.80%                                134,000        3,534,250 
Kramont Realty Trust, Series E, 8.25%                                     617,600       16,409,632 
La Quinta Properties, Incorporated, Series A, 9.00%                       182,700        4,631,445 
LaSalle Hotel Properties, Series A, 10.25%                                281,600        7,856,640 
Lexington Corporate Properties Trust, Series B, 8.05%                     454,100       11,738,485 
LTC Properties, Incorporated, Series F, 8.00%                           1,433,600       36,442,112 
Maguire Properties, Incorporated, Series A, 7.625%                        930,200       23,161,980 
MFA Mortgage Investment, Incorporated, Series A, 8.50%                    435,000       11,144,700 
Mid-America Apartment Communities, Incorporated, Series H, 8.30%          571,700       14,732,709 
Mills Corporation, Series B, 9.00%                                        256,600        6,974,388 
Mills Corporation, Series E, 8.75%                                        597,100       16,121,700 
Nationwide Health Properties, Series A, 7.677%                             50,000        5,057,815 
Newcastle Investment Corporation, Series B, 9.75%                         593,225       15,951,820 
Novastar Financial, Series C, 8.90%(2)                                    292,400        7,447,428 
Omega Healthcare Investors, Incorporated, Series D, 8.375%                969,100       25,245,055 
Parkway Properties, Incorporated, Series D, 8.00%                         505,100       13,167,957 
Pennsylvania Real Estate Investment Trust, Series A, 11.00%               168,900       10,049,550 
Prime Group Realty Trust, Series B, 9.00%                                 106,900        2,706,708 
RAIT Investment Trust, Series A, 7.75%                                    376,500        9,280,725 
Saul Centers, Incorporated, Series A, 8.00%                               260,000        6,929,000 
Sizeler Property Investors, Incorporated, Series B, 9.75% 144A (1)        261,900        7,155,108 
SL Green Realty Corporation, Series D, 7.875%                             262,500        6,693,750 
Urstadt Biddle Properties, Incorporated, Series C, 8.50% 144A (1)          95,500       10,361,750 
WestCoast Hospitality Corporation, Series A, 9.50%                        142,300        3,685,570 
Winston Hotels, Incorporated, Series B, 8.00%                             448,000       11,155,200 
                                                                                   --------------- 
TOTAL PREFERRED STOCK                                                                  860,625,226 
                                                                                   --------------- 

                                                                       SHARES                      
                                                                         OR                        
                                                                      PRINCIPAL                    
                                                                        AMOUNT      MARKET VALUE($)
                                                                                                   
REPURCHASE AGREEMENT (0.3%)                                                                        
Custodial Trust Company, 1.88%, dated 9/30/04,                                                     
due 10/01/04, repurchase price                                                                     
$2,275,018, (collateralized by U.S. Treasury Bonds)(3)              $   2,274,900        2,274,900 
                                                                                   --------------- 

TOTAL INVESTMENTS (COST $990,322,276)(4) - 126.3%                                    1,025,511,700 
                                                                                   --------------- 
Liabilities in excess of other assets - (26.3%)                                       (213,375,715)
                                                                                   --------------- 
NET ASSETS - 100.0%                                                                $   811,735,985 
                                                                                   =============== 

(1) Rule 144A, Section 4(2) or other security which is restricted as to resale  
 to institutional investors. The Adviser, using Board approved procedures,
has deemed all or a portion of these securities to be illiquid.         
(2) A portion of the security was on loan at September 30, 2004.                
(3) Security purchased with the cash proceeds from securities loaned.           
(4) Represents cost for financial reporting purposes, is substantially the same 
as cost for federal income tax purposes, and differs from value by      
unrealized appreciation/depreciation of securities as follows:          
Unrealized appreciation ..............      $54,064,702                 
Unrealized depreciation ..............       (3,829,934)                
                           -----------
Net unrealized appreciation ..........      $50,234,768                 
                           ===========

                                                                · Download Table

                                                    SHARES    MARKET VALUE($)
                                                                             
SECURITIES SOLD SHORT (2.3%)                                                 
COMMON STOCK (0.2%)                                                          
FINANCIAL SERVICES                                                           
W.P. Carey & Company LLC                             50,100        1,495,986 
                                                             --------------- 

REAL ESTATE INVESTMENT TRUST (2.1%)                                          
DIVERSIFIED (0.6%)                                                           
Capital Automotive REIT                             146,100        4,568,547 
                                                             --------------- 

RETAIL (1.5%)                                                                
Realty Income Corporation                           276,300       12,441,789 
                                                             --------------- 
                                                                  17,010,336 
                                                             --------------- 
TOTAL SECURITIES SOLD SHORT (PROCEEDS $16,771,951)           $ 18,506,322.00 
                                                             =============== 

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--------------------------------------------------------------------------------
KENSINGTON STRATEGIC REALTY FUND                                                
--------------------------------------------------------------------------------

SCHEDULE OF PORTFOLIO INVESTMENTS                                               
SEPTEMBER 30, 2004 (Unaudited)                                                  

                                                                · Download Table

                                                     SHARES   MARKET VALUE($)
                                                                             
COMMON STOCK (121.2%)                                                        
FINANCIAL SERVICES (2.3%)                                                    
Fieldstone Investment Corporation 144A (3)           197,100       3,350,700 
JER Investors Trust, Incorporated 144A (2)(3)        242,000       3,630,000 
KKR Financial 144A (2)(3)                            450,000       4,612,500 
                                                              -------------- 
                                                                  11,593,200 
                                                              -------------- 
HOTEL/RESTAURANT (3.2%)                                                      
DiamondRock Hospitality Company 144A (2)(3)          465,000       4,650,000 
Lodgian, Incorporated                              1,174,400      11,626,560 
                                                              -------------- 
                                                                  16,276,560 
                                                              -------------- 
REAL ESTATE (3.7%)                                                           
Medical Properties Trust 144A (3)                  1,096,100      10,961,000 
Wellsford Real Properties, Incorporated(2)           540,450       8,187,818 
                                                              -------------- 
                                                                  19,148,818 
                                                              -------------- 
REAL ESTATE INVESTMENT TRUSTS (112.0%)                                       
APARTMENTS (10.4%)                                                           
Archstone-Smith Trust                                215,000       6,802,600 
Avalonbay Communities, Incorporated                  241,000      14,513,020 
BNP Residential Properties, Incorporated             358,000       4,897,440 
Equity Residential Properties Trust                  396,200      12,282,200 
Home Properties, Incorporated                        177,600       7,025,856 
Post Properties, Incorporated                        251,100       7,507,890 
                                                              -------------- 
                                                                  53,029,006 
                                                              -------------- 
DIVERSIFIED (16.9%)                                                          
American Financial Realty Trust                      901,300      12,717,343 
Cousins Properties, Incorporated                     336,600      11,548,746 
Duke Realty Corporation                              312,100      10,361,720 
First Union Real Estate(2)                         3,194,750       9,935,672 
iStar Financial, Incorporated                         52,400       2,160,452 
Liberty Property Trust                               182,600       7,274,784 
One Liberty Properties, Incorporated                 261,500       4,720,075 
Reckson Associates Realty Corporation                441,100      12,681,625 
Vornado Realty Trust(1)                              233,900      14,660,852 
                                                              -------------- 
                                                                  86,061,269 
                                                              -------------- 
HEALTH CARE (3.3%)                                                           
Capital Senior Living Corporation(2)                  28,600         137,280 
LTC Properties, Incorporated                         287,500       5,143,375 
Omega Healthcare Investors, Incorporated             436,400       4,695,664 
Provident Senior Living Trust 144A (2)(3)            465,000       6,975,000 
                                                              -------------- 
                                                                  16,951,319 
                                                              -------------- 
HOTEL/RESTAURANT (10.6%)                                                     
Ashford Hospitality Trust                          1,591,900      14,963,860 
Hersha Hospitality Trust                             555,500       5,221,700 
Highland Hospitality Corporation                     560,000       6,384,000 
Host Marriot Corporation(1)                          913,700      12,819,211 
Marriott International, Incorporated - Class A        40,000       2,078,400 
Meristar Hospitality Corporation(2)                  958,900       5,226,005 
Starwood Hotels & Resorts Worldwide, Incorporated    150,400       6,981,568 
                                                              -------------- 
                                                                  53,674,744 
                                                              -------------- 
INDUSTRIAL (4.1%)                                                            
First Potomac Realty Trust(1)                        377,300       7,795,018 
ProLogis Trust(1)                                    374,900      13,211,476 
                                                              -------------- 
                                                                  21,006,494 
                                                              -------------- 
MORTGAGE (13.1%)                                                             
Anthracite Capital, Incorporated                     896,400       9,967,968 
Arbor Realty Trust                                   461,840      10,252,848 
Bimini Mortgage Management, Incorporated             225,000       3,546,000 
Bimini Mortgage Management, Incorporated 144A (3)    580,000       8,226,720 
Capital Lease Funding, Incorporated                  226,300       2,498,352 
Gramercy Capital Corporation(2)                      203,600       3,176,160 
Luminent Mortgage Capital, Incorporated 144A (3)   1,304,200      16,537,256 
Newcastle Investment Corporation                     243,000       7,460,100 
Origen Financial, Incorporated 144A (3)              700,000       5,152,000 
                                                              -------------- 
                                                                  66,817,404 
                                                              -------------- 
OFFICE PROPERTY (21.9%)                                                      
Arden Realty, Incorporated(1)                        304,300       9,914,094 
BioMed Realty Trust, Incorporated                    738,900      12,997,251 
Boston Properties, Incorporated                      210,960      11,685,074 
Brandywine Realty Trust                              373,100      10,625,888 
CarrAmerica Realty Corporation                       212,800       6,958,560 
CRT Properties, Incorporated                         615,550      13,203,548 
Equity Office Properties Trust                       617,700      16,832,325 
Mack-Cali Realty Corporation                         118,200       5,236,260 
Maguire Properties, Incorporated                     193,500       4,703,985 
Prentiss Properties Trust                            162,715       5,857,740 
Prime Group Realty Trust(2)                        2,315,300      13,197,210 
                                                              -------------- 
                                                                 111,211,935 
                                                              -------------- 
REAL ESTATE (3.1%)                                                           
The St. Joe Company(1)                               330,900      15,807,093 
                                                              -------------- 

RETAIL (24.9%)                                                               
Acadia Realty Trust                                  513,500       7,574,125 
Agree Realty Corporation                             128,500       3,649,400 
Atlantic Realty Trust, Incorporated                  184,322       3,177,711 
Developers Diversified Realty Corporation            194,000       7,595,100 
Federal Realty Investment Trust                      198,000       8,712,000 
General Growth Properties, Incorporated              686,900      21,293,900 
Kimco Realty Corporation                              69,000       3,539,700 
Kite Realty Group Trust                              525,300       6,907,695 
Kramont Realty Trust                                 358,300       6,664,380 
Macerich Company                                     248,500      13,242,565 
Ramco-Gershenson Properties Trust                    501,500      13,580,620 
Simon Property Group, Incorporated                   573,900      30,778,257 
                                                              -------------- 
                                                                 126,715,453 
                                                              -------------- 
WHOLE LOANS (3.7%)                                                           
RAIT Investment Trust                                686,175      18,766,886 
                                                              -------------- 
TOTAL REAL ESTATE INVESTMENT TRUSTS                              570,041,603 
                                                              -------------- 
TOTAL COMMON STOCK                                               617,060,181 
                                                              -------------- 

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SCHEDULE OF PORTFOLIO INVESTMENTS                                               
SEPTEMBER 30, 2004 (Unaudited) (continued)                                      

                                                        · Enlarge/Download Table

                                                                      SHARES   MARKET VALUE($) 
                                                                                               
PREFERRED STOCK (16.7%)                                                                        
REAL ESTATE INVESTMENT TRUSTS                                                                  
Anthracite Capital, Incorporated, Series C, 9.375%                     73,500       1,958,775  
Entertainment Properties Trust, Series A, 9.50%                       453,500      12,289,850  
FelCor Lodging Trust, Incorporated, Series B, 9.00%                   240,700       6,161,920  
iStar Financial, Incorporated, Series E, 7.875%                       519,100      13,076,129  
Maguire Properties, Incorporated, Series A, 7.625%                    438,700      10,923,630  
Mid-America Apartment Communities, Incorporated, Series H, 8.30%      367,500       9,470,475  
Mills Corporation, Series B, 9.00%                                    125,200       3,402,936  
Newcastle Investment Corporation, Series B, 9.75%                     228,000       6,130,920  
Novastar Financial, Incorporated, Series C, 8.90%                     305,000       7,768,350  
Pennsylvania Real Estate Investment Trust, Series A, 11.00%           147,000       8,746,500  
WestCoast Hospitality Corporation, Series A, 9.50%                    208,500       5,400,150  
                                                                               --------------  
TOTAL PREFERRED STOCK                                                              85,329,635  
                                                                               --------------  


                                                                     SHARES                    
                                                                       OR                      
                                                                    PRINCIPAL                  
                                                                      AMOUNT    MARKET VALUE($)
                                                                                               
REPURCHASE AGREEMENT (3.2%)                                                                    
Custodial Trust Company, 1.88%, dated 9/30/04,                                                 
due 10/01/04, repurchase price                                                                 
$16,137,640, (collateralized by U.S. Treasury Bonds)(4)           $16,136,800      16,136,800  
                                                                               --------------  

INVESTMENT COMPANY (1.6%)                                                                      
MUTUAL FUNDS                                                                                   
iShares Dow Jones U.S. Real Estate Index Fund (Cost $7,999,836)   $ 7,999,836       7,999,836  
                                                                               --------------  
TOTAL INVESTMENTS (COST $713,315,566)(5) - 142.7%                                 726,526,452  
Liabilities in excess of other assets - (42.7%)                                  (217,374,419) 
                                                                               --------------  
NET ASSETS - 100.0%                                                             $ 509,152,033  
                                                                               ==============  

(1) All or a portion of the security was on loan at September 30, 2004.         
(2) Represents non-income producing securities.                                 
(3) Rule 144A, Section 4(2) or other security which is restricted as to resale  
 to institutional investors. The Adviser, using Board approved procedures,
has deemed all or a portion of these securities to be illiquid.         
(4) Security purchased with the cash proceeds from securities loaned.           
(5) Represents cost for financial reporting purposes, is substantially the same 
as cost for federal income tax purposes, and differs from value by      
unrealized appreciation/depreciation of securities as follows:          
Unrealized appreciation ..........        $59,730,484                   
Unrealized depreciation ..........         (7,925,965)                  
                       -----------
Net unrealized appreciation ......        $51,804,519                   
                       ===========

                                                                               6

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SCHEDULE OF PORTFOLIO INVESTMENTS                                               
SEPTEMBER 30, 2004 (Unaudited) (continued)                                      

                                                                · Download Table

                                                    SHARES     MARKET VALUE($) 
                                                                               
SECURITIES SOLD SHORT (10.7%)                                                  
APARTMENTS (4.0%)                                                              
Apartment Investment & Management Company            106,000        3,686,680  
Essex Property Trust, Incorporated                   143,500       10,310,475  
Gables Residential Trust                             149,400        5,102,010  
Mid-America Apartment Communities, Incorporated       34,400        1,339,880  
                                                                  -----------  
                                                                   20,439,045  
                                                                  -----------  
INDUSTRIAL (0.3%)                                                              
CenterPoint Properties Corporation                    37,000        1,612,460  
                                                                  -----------  

OFFICE PROPERTY (1.7%)                                                         
Corporate Office Properties Trust                    223,100        5,715,822  
SL Green Realty Corporation                           60,000        3,108,600  
                                                                  -----------  
                                                                    8,824,422  
                                                                  -----------  
RETAIL (1.0%)                                                                  
Inland Real Estate Corporation                        42,800          627,020  
Taubman Centers, Incorporated                        172,300        4,450,509  
                                                                  -----------  
                                                                    5,077,529  
                                                                  -----------  
STORAGE (3.7%)                                                                 
Public Storage, Incorporated                         373,800       18,521,790  
                                                                  -----------  

TOTAL SECURITIES SOLD SHORT (PROCEEDS $52,705,769)                $54,475,246  
                                                                  ===========  

WRITTEN OPTIONS                                                                
 CALL OPTIONS                                        CONTRACT   MARKET VALUE($)
 ------------                                        --------   ---------------
                                                                               
Equity Office Properties Trust                                                 
 $30, Exp. 01/2005                                       500             20,000
                                                     -------    ---------------

                                                                               7

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ITEM 2. CONTROLS AND PROCEDURES.                                                

(a)  The Registrant's President/Chief Executive Officer and Treasurer/Chief     
    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 (the "1940 Act")) are effective as of a date within 90 days of
     the filing date of the report that includes the disclosure required by this
paragraph, based on the evaluation of these controls and procedures   
    required by Rule 30a-3(b) under the 1940 Act and Rules 15d-15(b) under the
Securities Exchange Act of 1934, as amended.                          

(b)  There were no changes in the Registrant's internal control over financial  
    reporting (as defined in Rule 30a-3(d) under the Act) that occurred during
    the Registrant's last fiscal half-year that has materially affected, or is
   reasonably likely to materially affect, the Registrant's internal control
over financial reporting.                                             

ITEM 3. EXHIBITS.                                                               

Separate certifications for each principal executive officer and principal      
financial officer of the registrant as required by Rule 30a-2(a) under the Act  
(17 CFR 270.30a-2(a)). Filed herewith.                                          

                                                                               8

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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) The Kensington Funds                             
                     -----------------------------------------------------------

By (Signature and Title)* /s/ John P. Kramer                  
                                  ----------------------------------------------
             John P. Kramer, President

Date  November 23, 2004                                       
             -------------------------------------------------------------------

         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 (Signature and Title)* /s/ John P. Kramer                  
                                  ----------------------------------------------
             John P. Kramer, President

Date  November 23, 2004                                       
             -------------------------------------------------------------------

By (Signature and Title)* /s/ Cynthia M. Yee                  
                                  ----------------------------------------------
             Cynthia M. Yee, Treasurer

Date  November 23, 2004                                       
             -------------------------------------------------------------------

* Print the name and title of each signing officer under his or her signature.  

                                                                               9

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Dates Referenced Herein and Documents Incorporated By Reference

		Referenced-On Page
This N-Q Filing	Date	First	Last	Other Filings

For The Period Ended	9/30/04	1	8
	11/23/04	10
Filed On / Filed As Of / Effective As Of	11/29/04	1
	12/31/04	1		24F-2NT, N-CSR, NSAR-B

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Kensington Funds · N-Q · For 9/30/04

Filed On 11/29/04 4:42pm ET · SEC File 811-21316 · Accession Number 1144204-4-20577

Quarterly Schedule of Portfolio Holdings of a Management Investment Company · Form N-QFiling Table of Contents

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Quarterly Schedule of Portfolio Holdings of a Management Investment Company · Form N-Q
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