SEC Info - Virtus Opportunities Trust

Virtus Opportunities Trust – ‘N-Q’ for 6/30/14

Virtus Opportunities Trust – ‘N-Q’ for 6/30/14

On: Thursday, 8/28/14, at 3:47pm ET · Effective: 8/28/14 · For: 6/30/14 · Accession #: 1193125-14-325302 · File #: 811-07455

Previous ‘N-Q’: ‘N-Q’ on 3/3/14 for 12/31/13 · Next: ‘N-Q’ on 3/2/15 for 12/31/14 · Latest: ‘N-Q’ on 3/1/19 for 12/31/18

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

N-Q — Virtus Opportunities Trust

This is an HTML Document rendered as filed. [ Alternative Formats ]

Dates Referenced Herein and Documents Incorporated by Reference

On: Thursday, 8/28/14, at 3:47pm ET · Effective: 8/28/14 · For: 6/30/14 · Accession #: 1193125-14-325302 · File #: 811-07455

Previous ‘N-Q’: ‘N-Q’ on 3/3/14 for 12/31/13 · Next: ‘N-Q’ on 3/2/15 for 12/31/14 · Latest: ‘N-Q’ on 3/1/19 for 12/31/18

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

N-Q — Virtus Opportunities Trust

This is an HTML Document rendered as filed. [ Alternative Formats ]

Dates Referenced Herein and Documents Incorporated by Reference

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

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

($ reported in thousands)


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—99.5%
Consumer Staples Select Sector SPDR Fund		772,320	$	34,461
Energy Select Sector SPDR Fund		345,880		34,623
Financial Select Sector SPDR Fund		1,529,460		34,780
Health Care Select Sector SPDR Fund		574,670		34,957
Industrial Select Sector SPDR Fund		634,720		34,313
iShares Barclays MBS Bond Fund		539,650		58,401
iShares Barclays Treasury Inflation Protected Securities Bond Fund		507,320		58,524
iShares Dow Jones U.S. Real Estate Index Fund		563,810		40,476
iShares iBoxx $ High Yield Corporate Bond Fund		610,300		58,101
iShares iBoxx $ Investment Grade Corporate Bond Fund		490,240		58,466
iShares MSCI Canada Index Fund		704,957		22,707
iShares MSCI Emerging Markets Index Fund		1,598,350		69,097
iShares MSCI Japan Index Fund		1,860,180		22,397
iShares MSCI Pacific Ex-Japan Index Fund		428,390		21,098
Materials Select Sector SPDR Fund		702,820		34,888
SPDR S&P 500^® ETF Trust Series 1		207,820		40,674
Technology Select Sector SPDR Fund		914,820		35,083
Utilities Select Sector SPDR Fund		801,880		35,491
Vanguard FTSE Europe ETF		1,090,530		65,377

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $726,555)				793,914

TOTAL LONG TERM INVESTMENTS—99.5% (Identified cost $726,555)				793,914

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		3,256,273		3,256

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $3,256)				3,256

TOTAL INVESTMENTS—99.9% (Identified Cost $729,811)				797,170	⁽¹⁾
Other assets and liabilities, net—0.1%				1,074

NET ASSETS—100.0%			$	798,244

Abbreviations:


ETF		Exchange-Traded Fund
SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
COMMON STOCKS—99.3%
Consumer Staples—12.3%
Altria Group, Inc.		119,270	$	5,002
Archer-Daniels-Midland Co.(The)		47,380		2,090
Avon Products, Inc.		35,860		524
Brown-Forman Corp. Class B		12,700		1,196
Campbell Soup Co.		15,320		702
Clorox Co. (The)		10,070		920
Coca-Cola Co. (The)		250,930		10,629
Coca-Cola Enterprises, Inc.		18,860		901
Colgate-Palmolive Co.		59,790		4,077
ConAgra Foods, Inc.		32,360		960
Constellation Brands, Inc. Class A⁽²⁾		16,890		1,489
Costco Wholesale Corp.		30,350		3,495
CVS Caremark Corp.		79,860		6,019
Dr. Pepper Snapple Group, Inc.		15,540		910
Estee Lauder Cos., Inc. (The) Class A		19,070		1,416
General Mills, Inc.		43,620		2,292
Hershey Co. (The)		11,450		1,115
Hormel Foods Corp.		12,730		628
J.M. Smucker Co. (The)		8,250		879
Kellogg Co.		19,210		1,262
Keurig Green Mountain, Inc.		8,460		1,054
Kimberly-Clark Corp.		26,360		2,932
Kraft Foods Group, Inc.		39,490		2,367
Kroger Co. (The)		38,380		1,897
Lorillard, Inc.		26,380		1,608
McCormick & Co., Inc.		10,590		758
Mead Johnson Nutrition Co.		14,750		1,374
Molson Coors Brewing Co. Class B		13,320		988
Mondelez International, Inc.		105,810		3,980
Monster Beverage Corp.⁽²⁾		10,440		742
PepsiCo, Inc.		57,740		5,159
Philip Morris International, Inc.		104,460		8,807
Procter & Gamble Co. (The)		179,700		14,123
Reynolds American, Inc.		22,950		1,385
Safeway, Inc.		21,250		730
SYSCO Corp.		42,590		1,595
Tyson Foods, Inc. Class A		24,030		902
Wal-Mart Stores, Inc.		106,960		8,030
Walgreen Co.		62,180		4,609
Whole Foods Market, Inc.		27,080		1,046

				110,592


	SHARES		VALUE
Energy—12.3%
Anadarko Petroleum Corp.		32,790	$	3,589
Apache Corp.		24,820		2,497
Baker Hughes, Inc.		32,180		2,396
Cabot Oil & Gas Corp.		50,440		1,722
Cameron International Corp.⁽²⁾		18,280		1,238
Chesapeake Energy Corp.		37,800		1,175
Chevron Corp.		107,650		14,054
Cimarex Energy Co.		4,890		701
ConocoPhillips		50,600		4,338
CONSOL Energy, Inc.		20,480		943
Denbury Resources, Inc.		39,580		731
Devon Energy Corp.		24,680		1,960
Diamond Offshore Drilling, Inc.⁽³⁾		6,310		313
Ensco plc Class A		13,000		722
EOG Resources, Inc.		37,190		4,346
EQT Corp.		8,480		906
Exxon Mobil Corp.		160,450		16,154
FMC Technologies, Inc.⁽²⁾		23,610		1,442
Halliburton Co.		56,500		4,012
Helmerich & Payne, Inc.		6,010		698
Hess Corp.		18,360		1,816
Kinder Morgan, Inc.		37,170		1,348
Marathon Oil Corp.		44,260		1,767
Marathon Petroleum Corp.		16,160		1,262
Murphy Oil Corp.		12,720		846
Nabors Industries Ltd.		27,100		796
National Oilwell Varco, Inc.		30,430		2,506
Newfield Exploration Co.⁽²⁾		7,550		334
Noble Corp. plc		14,080		473
Noble Energy, Inc.		27,400		2,122
Occidental Petroleum Corp.		38,280		3,929
ONEOK, Inc.		11,640		792
Peabody Energy Corp.		22,070		361
Phillips 66		31,610		2,542
Pioneer Natural Resources Co.		18,120		4,164
QEP Resources, Inc.		9,970		344
Range Resources Corp.		14,770		1,284
Rowan Cos. plc Class A		18,860		602
Schlumberger Ltd.		75,900		8,952
Southwestern Energy Co.⁽²⁾		25,140		1,144
Spectra Energy Corp.		50,180		2,132
Tesoro Corp.		22,760		1,335
Transocean Ltd.⁽³⁾		18,940		853


	SHARES		VALUE
Energy—(continued)
Valero Energy Corp.		41,660	$	2,087
Williams Cos., Inc. (The)		57,700		3,359

				111,087

Financials—12.3%
ACE Ltd.		13,450		1,395
Affiliated Managers Group, Inc.⁽²⁾		2,210		454
Aflac, Inc.		18,210		1,134
Allstate Corp. (The)		17,420		1,023
American Express Co.		36,380		3,451
American International Group, Inc.		57,730		3,151
Ameriprise Financial, Inc.		7,620		914
AON plc		11,790		1,062
Apartment Investment & Management Co. Class A		5,910		191
Assurant, Inc.		2,810		184
AvalonBay Communities, Inc.		4,850		690
Bank of America Corp.		419,810		6,452
Bank of New York Mellon Corp. (The)		45,580		1,708
BB&T Corp.		28,550		1,126
Berkshire Hathaway, Inc. Class B⁽²⁾		71,880		9,097
BlackRock, Inc.		5,010		1,601
Boston Properties, Inc.		6,110		722
Capital One Financial Corp.		22,860		1,888
CBRE Group, Inc.⁽²⁾		10,980		352
Charles Schwab Corp. (The)		46,670		1,257
Chubb Corp. (The)		9,710		895
Cincinnati Financial Corp.		5,770		277
Citigroup, Inc.		121,320		5,714
CME Group, Inc.		12,610		895
Comerica, Inc.		7,330		368
Crown Castle International Corp.		13,380		994
Discover Financial Services		18,660		1,157
E*Trade Financial Corp.⁽²⁾		11,770		250
Equity Residential		13,430		846
Essex Property Trust, Inc.		2,480		459
Fifth Third Bancorp		33,780		721
Franklin Resources, Inc.		16,110		932
General Growth Properties, Inc.		20,710		488
Genworth Financial, Inc. Class A⁽²⁾		20,000		348
Goldman Sachs Group, Inc. (The)		16,580		2,776
Hartford Financial Services Group, Inc. (The)		18,080		647
HCP, Inc.		18,400		761
Health Care REIT, Inc.		12,150		761


	SHARES		VALUE
Financials—(continued)
Host Hotels & Resorts, Inc.		30,160	$	664
Hudson City Bancorp, Inc.		19,310		190
Huntington Bancshares, Inc.		32,700		312
IntercontinentalExchange Group, Inc.		4,570		863
Invesco Ltd.		17,150		647
JPMorgan Chase & Co.		151,130		8,708
KeyCorp		35,400		507
Kimco Realty Corp.		16,270		374
Legg Mason, Inc.		4,160		213
Leucadia National Corp.		12,710		333
Lincoln National Corp.		10,630		547
Loews Corp.		12,240		539
M&T Bank Corp.		5,240		650
Macerich Co. (The)		5,690		380
Marsh & McLennan Cos., Inc.		21,950		1,137
McGraw-Hill Cos., Inc. (The)		10,890		904
MetLife, Inc.		44,970		2,498
Moody’s Corp.		7,570		664
Morgan Stanley		55,720		1,801
NASDAQ OMX Group, Inc. (The)		4,730		183
Navient Corp.		17,060		302
Northern Trust Corp.		8,900		571
People’s United Financial, Inc.		12,710		193
Plum Creek Timber Co., Inc.		6,980		315
PNC Financial Services Group, Inc. (The)		21,280		1,895
Principal Financial Group, Inc.		10,930		552
Progressive Corp. (The)		21,900		555
Prologis, Inc.		19,950		820
Prudential Financial, Inc.		18,450		1,638
Public Storage		5,810		996
Regions Financial Corp.		54,820		582
Simon Property Group, Inc.		12,400		2,062
State Street Corp.		17,170		1,155
SunTrust Banks, Inc.		21,410		858
T. Rowe Price Group, Inc.		10,500		886
Torchmark Corp.		3,540		290
Travelers Cos., Inc. (The)		13,900		1,308
U.S. Bancorp		72,390		3,136
Unum Group		10,180		354
Ventas, Inc.		11,780		755
Vornado Realty Trust		6,930		740
Wells Fargo & Co.		191,460		10,063
Weyerhaeuser Co.⁽³⁾		23,230		769
XL Group plc		10,900		357


	SHARES		VALUE
Financials—(continued)
Zions Bancorp		7,530	$	222

				110,629

Health Care—12.4%
Abbott Laboratories		61,320		2,508
AbbVie, Inc.		76,720		4,330
Actavis plc⁽²⁾		13,410		2,991
Aetna, Inc.		17,660		1,432
Agilent Technologies, Inc.		16,090		924
Alexion Pharmaceuticals, Inc.⁽²⁾		9,570		1,495
Allergan, Inc.		14,730		2,493
AmerisourceBergen Corp.		11,240		817
Amgen, Inc.		36,490		4,319
Bard (C.R.), Inc.		3,930		562
Baxter International, Inc.		26,630		1,925
Becton, Dickinson & Co.		9,570		1,132
Biogen Idec, Inc.⁽²⁾		11,700		3,689
Boston Scientific Corp.⁽²⁾		64,830		828
Bristol-Myers Squibb Co.		80,260		3,893
Cardinal Health, Inc.		16,610		1,139
CareFusion Corp.⁽²⁾		9,900		439
Celgene Corp.⁽²⁾		38,466		3,303
Cerner Corp.⁽²⁾		14,280		737
CIGNA Corp.		13,370		1,230
Covidien plc		21,720		1,959
DaVita, Inc.⁽²⁾		8,610		623
DENTSPLY International, Inc.		6,810		322
Edwards Lifesciences Corp.⁽²⁾		5,140		441
Eli Lilly & Co.		47,480		2,952
Express Scripts Holding Co.⁽²⁾		39,320		2,726
Gilead Sciences, Inc.⁽²⁾		74,100		6,144
Hospira, Inc.⁽²⁾		7,970		409
Humana, Inc.		8,000		1,022
Intuitive Surgical, Inc.⁽²⁾		1,860		766
Johnson & Johnson		136,510		14,282
Laboratory Corp. of America Holdings⁽²⁾		4,050		415
McKesson Corp.		11,450		2,132
Medtronic, Inc.		48,480		3,091
Merck & Co., Inc.		141,000		8,157
Mylan, Inc.⁽²⁾		17,980		927
Patterson Cos., Inc.		3,900		154
PerkinElmer, Inc.		5,520		259
Perrigo Co. plc		6,470		943
Pfizer, Inc.		307,710		9,133


	SHARES		VALUE
Health Care—(continued)
Quest Diagnostics, Inc.		7,200	$	423
Regeneron Pharmaceuticals, Inc.⁽²⁾		3,860		1,090
St. Jude Medical, Inc.		14,150		980
Stryker Corp.		14,500		1,223
Tenet Healthcare Corp.⁽²⁾		4,910		230
Thermo Fisher Scientific, Inc.		19,220		2,268
UnitedHealth Group, Inc.		47,700		3,899
Varian Medical Systems, Inc.⁽²⁾		4,960		412
Vertex Pharmaceuticals, Inc.⁽²⁾		11,350		1,075
Waters Corp.⁽²⁾		4,040		422
WellPoint, Inc.		13,870		1,492
Zimmer Holdings, Inc.		8,260		858
Zoetis, Inc.		24,160		780

				112,195

Industrials—12.3%
3M Co.		36,690		5,255
ADT Corp. (The)		9,980		349
Allegion plc		5,256		298
Ametek, Inc.		14,090		737
Avery Dennison Corp.		17,440		894
Boeing Co. (The)		40,390		5,139
Caterpillar, Inc.		38,360		4,169
Cintas Corp.		7,060		449
CSX Corp.		69,600		2,144
Cummins, Inc.		18,120		2,796
Danaher Corp.		38,970		3,068
Deere & Co.		23,370		2,116
Delta Air Lines, Inc.		48,900		1,893
Dover Corp.		11,590		1,054
Dun & Bradstreet Corp.		2,110		232
Eaton Corp. plc		33,600		2,593
Emerson Electric Co.		42,760		2,838
Equifax, Inc.		9,580		695
Expeditors International of Washington, Inc.		11,290		499
Fastenal Co.		15,700		777
FedEx Corp.		17,170		2,599
Flowserve Corp.		7,940		590
Fluor Corp.		13,280		1,021
General Dynamics Corp.		20,420		2,380
General Electric Co.		427,820		11,243
Grainger (W.W.), Inc.		4,610		1,172
Honeywell International, Inc.		47,550		4,420
Illinois Tool Works, Inc.		23,250		2,036


	SHARES		VALUE
Industrials—(continued)
Ingersoll-Rand plc		14,540	$	909
Iron Mountain, Inc.		9,970		353
Jacobs Engineering Group, Inc.⁽²⁾		7,680		409
Joy Global, Inc.		5,760		355
Kansas City Southern		6,340		682
L-3 Communications Holdings, Inc.		5,000		604
Lockheed Martin Corp.		16,290		2,618
Masco Corp.		22,890		508
Nielsen Holdings NV		17,350		840
Norfolk Southern Corp.		20,950		2,158
Northrop Grumman Corp.		13,350		1,597
PACCAR, Inc.		23,740		1,492
Pall Corp.		9,220		787
Parker Hannifin Corp.		10,790		1,357
Pentair plc		11,190		807
Pitney Bowes, Inc.		13,380		370
Precision Castparts Corp.		8,350		2,107
Quanta Services, Inc.⁽²⁾		12,640		437
Raytheon Co.		19,780		1,825
Republic Services, Inc.		15,350		583
Robert Half International, Inc.		11,160		533
Robinson (C.H.) Worldwide, Inc.		8,580		547
Rockwell Automation, Inc.		10,290		1,288
Rockwell Collins, Inc.		10,030		784
Roper Industries, Inc.		5,720		835
Ryder System, Inc.		5,510		485
Snap-On, Inc.		3,390		402
Southwest Airlines Co.		43,890		1,179
Stanley Black & Decker, Inc.		8,960		787
Stericycle, Inc.⁽²⁾		4,840		573
Textron, Inc.		20,110		770
Tyco International Ltd.		26,610		1,213
Union Pacific Corp.		56,760		5,662
United Parcel Service, Inc. Class B		41,310		4,241
United Technologies Corp.		50,440		5,823
Waste Management, Inc.		27,100		1,212
Xylem, Inc.		10,680		417

				111,005

Information Technology—11.1%
Accenture plc Class A		19,260		1,557
Adobe Systems, Inc.⁽²⁾		14,520		1,051
Akamai Technologies, Inc.⁽²⁾		6,170		377
Alliance Data Systems Corp.⁽²⁾		1,640		461


	SHARES		VALUE
Information Technology—(continued)
Altera Corp.		10,310	$	358
Amphenol Corp. Class A		5,120		493
Analog Devices, Inc.		10,170		550
Apple, Inc.		183,540		17,056
Applied Materials, Inc.		37,860		854
Autodesk, Inc.⁽²⁾		7,610		429
Automatic Data Processing, Inc.		14,990		1,188
Avago Technologies Ltd.		7,590		547
Broadcom Corp. Class A		17,370		645
CA, Inc.		10,140		291
Cisco Systems, Inc.		155,880		3,874
Citrix Systems, Inc.⁽²⁾		5,390		337
Cognizant Technology Solutions Corp. Class A⁽²⁾		19,370		947
Computer Sciences Corp.		4,720		298
Corning, Inc.		40,520		889
eBay, Inc.⁽²⁾		35,250		1,765
Electronic Arts, Inc.⁽²⁾		10,150		364
EMC Corp.		62,950		1,658
F5 Networks, Inc.⁽²⁾		2,350		262
Facebook, Inc. Class A⁽²⁾		52,400		3,526
Fidelity National Information Services, Inc.		9,630		527
First Solar, Inc.⁽²⁾		2,110		150
Fiserv, Inc.⁽²⁾		8,020		484
FLIR Systems, Inc.		4,830		168
Google, Inc. Class A⁽²⁾		8,620		5,040
Google, Inc. Class C⁽²⁾		8,600		4,947
Harris Corp.		3,580		271
Hewlett-Packard Co.		47,420		1,597
Intel Corp.		129,040		3,987
International Business Machines Corp.		28,930		5,244
Intuit, Inc.		9,020		726
Jabil Circuit, Inc.		7,000		146
Juniper Networks, Inc.⁽²⁾		14,830		364
KLA-Tencor Corp.		5,470		397
Lam Research Corp.		4,880		330
Linear Technology Corp.		7,820		368
MasterCard, Inc. Class A		31,220		2,294
Microchip Technology, Inc.⁽³⁾		6,650		325
Micron Technology, Inc.⁽²⁾		34,750		1,145
Microsoft Corp.		228,760		9,539
Motorola Solutions, Inc.		7,040		469
NetApp, Inc.		10,530		385
NVIDIA Corp.		18,210		338
Oracle Corp.		105,060		4,258


	SHARES		VALUE
Information Technology—(continued)
Paychex, Inc.		10,250	$	426
QUALCOMM, Inc.		51,660		4,092
Red Hat, Inc.⁽²⁾		6,330		350
Salesforce.com, Inc.⁽²⁾		18,490		1,074
SanDisk Corp.		7,550		788
Seagate Technology plc		9,980		567
Symantec Corp.		21,970		503
TE Connectivity Ltd.		12,480		772
Teradata Corp.⁽²⁾		5,300		213
Texas Instruments, Inc.		33,280		1,590
Total System Services, Inc.		5,810		183
VeriSign, Inc.⁽²⁾		4,160		203
Visa, Inc. Class A		15,280		3,220
Western Digital Corp.		6,660		615
Western Union Co. (The)		16,740		290
Xerox Corp.		35,250		439
Xilinx, Inc.		8,810		417
Yahoo!, Inc.⁽²⁾		29,050		1,021

				100,039

Materials—12.3%
Air Products & Chemicals, Inc.		39,340		5,060
Airgas, Inc.		12,880		1,403
Alcoa, Inc.		216,510		3,224
Allegheny Technologies, Inc.		21,460		968
Ball Corp.		26,620		1,669
Bemis Co., Inc.		20,200		821
CF Industries Holdings, Inc.		9,810		2,360
Dow Chemical Co. (The)		220,840		11,364
Du Pont (E.I.) de Nemours & Co.		168,440		11,023
Eastman Chemical Co.		28,270		2,469
Ecolab, Inc.		49,360		5,496
FMC Corp.		25,340		1,804
Freeport-McMoRan Copper & Gold, Inc.		143,520		5,238
International Flavors & Fragrances, Inc.		15,550		1,622
International Paper Co.		80,620		4,069
LyondellBasell Industries N.V. Class A		76,360		7,457
MeadWestvaco Corp.		32,290		1,429
Monsanto Co.		95,770		11,946
Mosaic Co. (The)		60,540		2,994
Newmont Mining Corp.		93,950		2,390
Nucor Corp.		59,620		2,936
Owens-Illinois, Inc.⁽²⁾		32,240		1,117
PPG Industries, Inc.		25,440		5,346


	SHARES		VALUE
Materials—(continued)
Praxair, Inc.		53,680	$	7,131
Sealed Air Corp.		37,590		1,284
Sherwin-Williams Co. (The)		15,830		3,275
Sigma-Aldrich Corp.		22,420		2,275
United States Steel Corp.⁽³⁾		29,190		760
Vulcan Materials Co.		25,040		1,596

				110,526

Telecommunication Services—1.6%
American Tower Corp.		15,750		1,417
AT&T, Inc.		158,100		5,590
CenturyLink, Inc.		18,140		657
Frontier Communications Corp.⁽³⁾		37,470		219
Verizon Communications, Inc.		126,830		6,206
Windstream Holdings, Inc.		19,910		198

				14,287

Utilities—12.7%
AES Corp. (The)		138,510		2,154
AGL Resources, Inc.		24,800		1,365
Ameren Corp.		50,950		2,083
American Electric Power Co., Inc.		102,250		5,702
CenterPoint Energy, Inc.		90,910		2,322
CMS Energy Corp.		57,590		1,794
Consolidated Edison, Inc.		61,450		3,548
Dominion Resources, Inc.		121,320		8,677
DTE Energy Co.		37,320		2,906
Duke Energy Corp.		136,040		10,093
Edison International		68,150		3,960
Entergy Corp.		37,450		3,074
Exelon Corp.		179,070		6,532
FirstEnergy Corp.		87,670		3,044
Integrys Energy Group, Inc.		16,980		1,208
NextEra Energy, Inc.		90,940		9,320
NiSource, Inc.		66,780		2,627
Northeast Utilities		65,950		3,117
NRG Energy, Inc.		70,390		2,619
Pepco Holdings, Inc.		53,060		1,458
PG&E Corp.		97,370		4,676
Pinnacle West Capital Corp.		23,510		1,360
PPL Corp.		132,070		4,692
Public Service Enterprise Group, Inc.		105,600		4,307
SCANA Corp.		29,500		1,587
Sempra Energy		47,740		4,999


	SHARES		VALUE
Utilities—(continued)
Southern Co.		185,760	$	8,430
TECO Energy, Inc.		43,100		797
Wisconsin Energy Corp.		46,950		2,203
XCEL Energy, Inc.		105,720		3,407

				114,061

TOTAL COMMON STOCKS (Identified Cost $754,331)				894,421

TOTAL LONG TERM INVESTMENTS—99.3% (Identified cost $754,331)				894,421

SECURITIES LENDING COLLATERAL—0.3%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.060%)⁽⁴⁾		2,453,045		2,453

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $2,453)				2,453

TOTAL INVESTMENTS—99.6% (Identified Cost $756,784)				896,874	⁽¹⁾
Other assets and liabilities, net—0.4%				3,325

NET ASSETS—100.0%			$	900,199

Abbreviations:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion of security is on loan.

⁽⁴⁾	Represents security purchased with cash collateral received for securities on loan.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
AFFILIATED MUTUAL FUNDS—74.3%
Equity Funds—66.9%
Virtus Global Commodities Stock Fund Class I		2,339,583	$	22,179
Virtus Global Dividend Fund Class I		2,325,250		37,483
Virtus Global Real Estate Securities Fund Class I		484,896		12,757
Virtus International Real Estate Securities Fund Class I		2,522,254		18,564
Virtus Real Estate Securities Class I		474,028		18,013

				108,996

Fixed Income Funds—7.4%
Virtus Senior Floating Rate Fund Class I		1,214,047		11,995

TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $93,688)				120,991

EXCHANGE-TRADED FUNDS—25.2%
Market Vectors Agribusiness		84,900		4,670
Market Vectors Coal		193,100		3,615
PowerShares DB Commodity Index Tracking Fund⁽²⁾		559,500		14,872
PowerShares DB G10 Currency Harvest Fund⁽²⁾		641,900		16,747
WisdomTree Managed Futures Strategy Fund		28,700		1,199

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $37,117)				41,103

TOTAL LONG TERM INVESTMENTS—99.5% (Identified cost $130,805)				162,094

SHORT-TERM INVESTMENTS—0.3%
Money Market Mutual Funds—0.3%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		462,022		462

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $462)				462

TOTAL INVESTMENTS—99.8% (Identified Cost $131,267)				162,556	⁽¹⁾
Other assets and liabilities, net—0.2%				336

NET ASSETS—100.0%			$	162,892

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—0.6%
U.S. Treasury Note 0.375%, 4/30/16	$	500		$	500

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $499)					500

MUNICIPAL BONDS—0.7%
Alabama—0.2%
County of Jefferson, Sewer Revenue Sub-Lien Warrants, Series D 6.000%, 10/1/42		155			169

Georgia—0.3%
Rockdale County Water & Sewerage Authority, Taxable 3.060%, 7/1/24		255			253

Iowa—0.1%
State Finance Authority Midwestern Disaster Area, Iowa Fertilizer Co. LLC Project Taxable 5.500%, 12/1/22		100			104

Michigan—0.1%
City of Flat Rock Finance Authority, Taxable Series A, 6.750%, 10/1/16		50			52

TOTAL MUNICIPAL BONDS (Identified Cost $567)					578

FOREIGN GOVERNMENT SECURITIES—4.6%
Argentine Republic Series NY, 8.280%, 12/31/33		161			135
Bolivarian Republic of Venezuela
RegS 8.250%, 10/13/24⁽⁴⁾		125			101
7.650%, 4/21/25		185			143
Commonwealth of Australia Series 130, 4.750%, 6/15/16		90	^AUD		88
Commonwealth of New Zealand Series 415, 6.000%, 4/15/15		120	^NZD		107
Hungary 5.750%, 11/22/23		80			89
Kingdom of Morocco 144A 4.250%, 12/11/22⁽³⁾		270			270
Mongolia 144A 5.125%, 12/5/22⁽³⁾⁽⁴⁾		200			176
New South Wales, Australia Treasury Corp., Series 17 5.500%, 3/1/17		190	^AUD		192
Republic of Chile 5.500%, 8/5/20		84,000	^CLP		159
Republic of Colombia 4.375%, 3/21/23		490,000	^COP		239
Republic of Croatia 144A 6.375%, 3/24/21⁽³⁾		280			308
Republic of Indonesia Series FR30, 10.750%, 5/15/16		1,745,000	^IDR		156


	PAR VALUE			VALUE
Series FR63, 5.625%, 5/15/23	$	1,478,000	^IDR	$	105
Republic of Peru GDN 144A 7.840%, 8/12/20⁽³⁾		575	^PEN		236
Republic of Philippines 4.950%, 1/15/21		6,000	^PHP		147
Republic of Romania 144A 4.875%, 1/22/24⁽³⁾		210			223
Republic of Uruguay 4.375%, 12/15/28⁽¹¹⁾		5,400	^UYU		263
United Mexican States Series M, 6.000%, 6/18/15		6,990	^MXN		554

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $3,854)					3,691

MORTGAGE-BACKED SECURITIES—21.4%
Agency—7.2%
FHLMC
7.000%, 4/1/16		3			3
5.000%, 12/1/35		47			53
FNMA
6.000%, 10/1/14		3			3
6.500%, 6/1/16		23			23
6.000%, 7/1/17		15			15
5.500%, 9/1/17		30			32
5.000%, 4/1/20		118			127
5.000%, 8/1/21		37			39
6.000%, 5/1/29		47			54
6.500%, 5/1/30		2			2
7.500%, 3/1/31		41			49
7.000%, 7/1/31		30			33
7.000%, 9/1/31		45			52
6.500%, 3/1/32		35			40
5.500%, 4/1/36		83			93
5.500%, 9/1/36		275			309
6.000%, 9/1/37		29			33
6.000%, 1/1/38		59			67
6.000%, 2/1/38		52			59
6.000%, 3/1/38		296			338
6.000%, 7/1/38		716			807
6.000%, 8/1/38		106			121
6.000%, 8/1/38		317			358
6.000%, 8/1/38		520			586
6.000%, 8/1/38		30			34
5.000%, 6/1/39		965			1,081
5.000%, 9/1/39		237			265
5.500%, 9/1/39		452			509
4.500%, 9/1/40		349			383
GNMA
8.500%, 11/15/22		—	⁽¹⁰⁾		—	⁽¹⁰⁾


	PAR VALUE		VALUE
Agency—(continued)
6.500%, 9/15/28	$	55	$	62
7.500%, 9/15/29		73		83

				5,713

Non-Agency—14.2%
A-10 Securitization LLC 13-1, B 144A 4.120%, 11/15/25⁽³⁾		260		259
A10 Term Asset Financing LLC 14-1, A1 144A 1.720%, 4/15/33⁽³⁾		250		250
Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32⁽²⁾⁽³⁾		205		213
Banc of America (Merrill Lynch) Commercial Mortgage, Inc. 05-2, B 5.297%, 7/10/43⁽²⁾		440		452
Banc of America Funding Corp. 04-B, 2A1 5.463%, 11/20/34⁽²⁾		131		130
Banc of America Funding Trust 05-1, 1A1 5.500%, 2/25/35		180		187
Banc of America Mortgage Securities, Inc. 05-3, 1A15 5.500%, 4/25/35		174		182
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust 04-6, 1A2 2.457%, 5/25/34⁽²⁾		403		404
Bayview Commercial Asset Trust 08-1, A2A 144A 1.150%, 1/25/38⁽²⁾⁽³⁾		173		171
BCAP LLC Trust 06-RR1, PE 5.000%, 11/25/36		498		509
Bear Stearns Commercial Mortgage Securities, Inc.
06-PW13, AM 5.582%, 9/11/41⁽²⁾		235		255
07-T28, A3 5.793%, 9/11/42		844		843
07- PW15, AM 5.363%, 2/11/44		250		263
Citigroup - Deutsche Bank Commercial Mortgage Trust 06-CD2, A3 5.543%, 1/15/46⁽²⁾		34		35
Citigroup Commercial Mortgage Trust 07-6, A4 5.899%, 12/10/49⁽²⁾		350		387
Extended Stay America Trust 13-ESH7, A27 144A 2.958%, 12/5/31⁽³⁾		270		274
Goldman Sachs Mortgage Securities Trust II 07- GG10, A4 5.997%, 8/10/45⁽²⁾		863		955
Greenwich Capital Commercial Funding Corp. 07- GG9, A4 5.444%, 3/10/39		145		158
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 03-S11, 3A5 5.950%, 11/25/33		264		282


	PAR VALUE		VALUE
Non-Agency—(continued)
JPMorgan Chase Commercial Mortgage Securities Trust
10-CNTR, A2 144A 4.311%, 8/5/32⁽³⁾	$	400	$	437
06-LDP7, AM 6.057%, 4/15/45⁽²⁾		475		517
JPMorgan Chase Mortgage Trust
04-A4, 2A1 2.446%, 9/25/34⁽²⁾		323		329
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		193		199
Morgan Stanley Capital I Trust
07-T27, A4 5.831%, 6/11/42⁽²⁾		565		630
05-IQ10, A4B 5.284%, 9/15/42⁽²⁾		855		895
08-T29, A4 6.454%, 1/11/43⁽²⁾		650		747
07-IQ14, A4 5.692%, 4/15/49⁽²⁾		300		331
07-IQ14, AM 5.869%, 4/15/49⁽²⁾		190		202
Motel 6 Trust 12-MTL6 D 144A 3.781%, 10/5/25⁽³⁾		270		274
New Residential Mortgage Loan Trust 14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		100		104
Residential Funding Mortgage Securities I, Inc. 05- S9, A9 5.500%, 12/25/35		189		188
Sequoia Mortgage Trust 12-3, A1 144A 4.000%, 12/25/43⁽²⁾⁽³⁾		222		229
SMA Issuer I LLC 12-LV1, A 144A 3.500%, 8/20/25⁽³⁾		12		12

				11,303

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $16,411)				17,016

ASSET-BACKED SECURITIES—4.6%
Avis Budget Rental Car Funding LLC (AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		375		379
Bank of America (Merrill Lynch - Countrywide)
Asset-Backed Certificates 05-1 AF5A 5.419%, 7/25/35⁽²⁾		317		308
Centre Point Funding LLC 12-2A, 1 144A 2.610%, 8/20/21⁽³⁾		324		325
Drug Royalty LP II 14-1, A2 144A 3.484%, 7/15/23⁽³⁾		250		250
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		153		155
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		189		193
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		189		192


	PAR VALUE		VALUE
Orange Lake Timeshare Trust 12-AA, A 144A 3.450%, 3/10/27⁽³⁾	$	99	$	101
Santander Drive Auto Receivables Trust
12-2, D 3.870%, 2/15/18		500		520
13-1, D 2.270%, 1/15/19		215		218
Sierra Timeshare Receivables Funding, LLC 12-3A, A 144A 1.870%, 8/20/29⁽³⁾		222		224
Silverleaf Finance XV LLC 12-D, A144A 3.000%, 3/17/25⁽³⁾		119		120
TAL Advantage V LLC 13-1A A 144A 2.830%, 2/22/38⁽³⁾		260		259
Tidewater Auto Receivables Trust 12-AA, B 144A 2.430%, 4/15/19⁽³⁾		215		219
Westgate Resorts LLC 12-2A, A 144A 3.000%, 1/20/25⁽³⁾		155		157

TOTAL ASSET-BACKED SECURITIES (Identified Cost $3,578)				3,620

CORPORATE BONDS—55.5%
Consumer Discretionary—6.7%
Boyd Gaming Corp. 9.000%, 7/1/20		200		221
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽³⁾		215		229
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20		100		84
Caesars Growth Properties Holdings LLC 144A 9.375%, 5/1/22⁽³⁾		70		71
Chrysler Group LLC 8.250%, 6/15/21		205		233
Clear Channel Communications, Inc. 144A 10.000%, 1/15/18⁽³⁾		35		34
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		175		190
Columbus International, Inc. 144A 7.375%, 3/30/21⁽³⁾		200		216
GLP Capital LP (GLP Financing II, Inc.)
144A 4.375%, 11/1/18⁽³⁾		9		9
144A 4.875%, 11/1/20⁽³⁾		145		149
144A 5.375%, 11/1/23⁽³⁾		5		5
Guitar Center, Inc. 144A 9.625%, 4/15/20⁽³⁾		35		33
Hot Topic, Inc. 144A 9.250%, 6/15/21⁽³⁾		100		112
Intelsat Jackson Holdings SA 5.500%, 8/1/23		185		184
Isle of Capri Casinos, Inc. 5.875%, 3/15/21		210		213
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		260		287
Meritor, Inc. 6.750%, 6/15/21		170		184


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
MGM Resorts International 6.750%, 10/1/20	$	215	$	241
Mohegan Tribal Gaming Authority 9.750%, 9/1/21		155		173
Numericable Group SA 144A 6.000%, 5/15/22⁽³⁾		200		208
Penn National Gaming, Inc. 144A 5.875%, 11/1/21⁽³⁾		110		104
Pinnacle Entertainment, Inc. 6.375%, 8/1/21		175		186
QVC, Inc. 4.375%, 3/15/23		265		269
Scientific Games International, Inc. 144A 6.625%, 5/15/21⁽³⁾		160		159
Seminole Hard Rock Entertainment, Inc. 144A 5.875%, 5/15/21⁽³⁾		65		66
Signet UK Finance plc 4.700%, 6/15/24		210		214
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽³⁾		235		242
Station Casinos LLC 7.500%, 3/1/21		230		252
Taylor Morrison Communities, Inc. 144A 5.250%, 4/15/21⁽³⁾		265		270
Toll Brothers Finance Corp. 6.750%, 11/1/19		180		208
United Artists Theatre Circuit, Inc. Series BD-1 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		7		8
Wyndham Worldwide Corp. 5.625%, 3/1/21		235		263

				5,317

Consumer Staples—1.1%
Elizabeth Arden, Inc. 7.375%, 3/15/21		100		107
Flowers Foods, Inc. 4.375%, 4/1/22		275		289
Ingles Markets, Inc. 5.750%, 6/15/23		170		173
Reynolds American, Inc. 3.250%, 11/1/22		295		284

				853

Energy—7.8%
Atlas Energy Holdings Operating Co. LLC 144A 7.750%, 1/15/21⁽³⁾		60		62
Calumet Specialty Products Partners LP 144A 6.500%, 4/15/21⁽³⁾		150		154
CHC Helicopter SA 9.250%, 10/15/20		144		158
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21		200		199
CONSOL Energy, Inc. 144A 5.875%, 4/15/22⁽³⁾		105		110
Denbury Resources, Inc. 5.500%, 5/1/22		160		164
Ecopetrol S.A. 5.875%, 9/18/23		135		152
El Paso Pipeline Partners Operating Co. LLC 7.500%, 11/15/40		245		316


	PAR VALUE			VALUE
Energy—(continued)
Endeavor Energy Resources LP 144A 7.000%, 8/15/21⁽³⁾	$	45		$	48
Energy XXI Gulf Coast, Inc. 144A 6.875%, 3/15/24⁽³⁾		210			215
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		200			207
Forest Oil Corp. 7.250%, 6/15/19		170			169
FTS International, Inc. 144A 6.250%, 5/1/22⁽³⁾		60			62
Gazprom OAO (Gaz Capital SA) 144A 3.850%, 2/6/20⁽³⁾⁽⁹⁾		430			418
Lukoil OAO International Finance BV 144A 4.563%, 4/24/23⁽³⁾		275			265
MEG Energy Corp. 144A 7.000%, 3/31/24⁽³⁾		50			55
NGL Energy Partners LP (NGL Energy Finance Corp.) 144A 5.125%, 7/15/19⁽³⁾		85			86
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22⁽³⁾⁽⁹⁾		285			265
Pacific Rubiales Energy Corp. 144A 5.375%, 1/26/19⁽³⁾		200			209
Petrobras International Finance Co. 5.375%, 1/27/21		515			537
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁴⁾		125			116
Petroleos Mexicanos
3.500%, 1/30/23		355			347
144A 4.875%, 1/18/24⁽³⁾		65			70
PHI, Inc. 144A 5.250%, 3/15/19⁽³⁾		65			66
Phillips 66 5.875%, 5/1/42		340			407
QGOG Constellation SA 144A 6.250%, 11/9/19⁽³⁾		220			223
Regency Energy Partners LP 5.875%, 3/1/22		235			256
Rosetta Resources, Inc. 5.875%, 6/1/24		160			167
Weatherford International Ltd. 4.500%, 4/15/22		310			329
Williams Cos., Inc. (The)
3.700%, 1/15/23		200			192
4.550%, 6/24/24		170			172

					6,196

Financials—21.6%
Air Lease Corp. 4.750%, 3/1/20		215			232
Aircastle Ltd.
4.625%, 12/15/18		10			10
6.250%, 12/1/19		225			248
5.125%, 3/15/21		95			98
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		375	^TRY		164


	PAR VALUE			VALUE
Financials—(continued)
Allstate Corp. (The) 5.750%, 8/15/53⁽²⁾⁽⁸⁾	$	310		$	333
ALROSA Finance S.A. 144A 7.750%, 11/3/20⁽³⁾		240			268
Apollo Management Holdings LP 144A 4.000%, 5/30/24⁽³⁾		190			191
Banco de Credito del Peru 144A 6.125%, 4/24/27⁽²⁾⁽³⁾		240			256
Banco de Credito e Inversiones 144A 4.000%, 2/11/23⁽³⁾		275			274
Banco Inbursa SA Institucion de Banca Multiple 144A 4.125%, 6/6/24⁽³⁾		160			156
Banco Internacional del Peru SAA 144A 6.625%, 3/19/29⁽²⁾⁽³⁾		300			319
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽³⁾		415	^BRL		179
Banco Santander Chile 144A 3.875%, 9/20/22⁽³⁾		450			453
Banco Votorantim S.A. 144A 7.375%, 1/21/20⁽³⁾		300			331
Bancolombia S.A. 5.125%, 9/11/22		260			261
Bank of America Corp. 5.625%, 7/1/20		235			270
Bank of Baroda 144A 4.875%, 7/23/19⁽³⁾		200			211
Bank of India 144A 3.250%, 4/18/18⁽³⁾		265			267
Barclays Bank plc 144A 6.050%, 12/4/17⁽³⁾		250			284
Braskem Finance Ltd. 6.450%, 2/3/24		200			214
CareTrust Partnership LP 144A 5.875%, 6/1/21⁽³⁾		130			132
Carlyle Holdings Finance LLC 144A 3.875%, 2/1/23⁽³⁾		270			275
Chubb Corp. (The) 6.375%, 3/29/67⁽²⁾		250			278
Corporate Office Properties LP 3.600%, 5/15/23		265			253
Developers Diversified Realty Corp.
7.875%, 9/1/20		155			196
3.500%, 1/15/21		130			132
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		290			274
Digital Realty Trust LP 5.250%, 3/15/21		165			177
Excel Trust LP 4.625%, 5/15/24		85			86
First Cash Financial Services, Inc. 144A 6.750%, 4/1/21⁽³⁾		100			107
Ford Motor Credit Co. LLC 5.750%, 2/1/21		235			274
General Electric Capital Corp. 4.650%, 10/17/21		95			106
General Motors Financial Co., Inc. 4.750%, 8/15/17		220			235
Genworth Holdings, Inc. 4.900%, 8/15/23		320			342
Goldman Sachs Group, Inc. (The) 5.750%, 1/24/22		500			578


	PAR VALUE		VALUE
Financials—(continued)
Hutchison Whampoa International Ltd. Series 12, 144A 6.000%, 5/29/49^(2)(3)(7)(8)	$	310	$	334
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.)
4.875%, 3/15/19		15		15
6.000%, 8/1/20		80		86
5.875%, 2/1/22		150		157
ICICI Bank Ltd. 144A 4.800%, 5/22/19⁽³⁾		200		211
Intesa San Paolo SpA 3.125%, 1/15/16		215		221
iStar Financial, Inc. 5.000%, 7/1/19		90		90
Itau Unibanco Holding S.A. 144A 5.125%, 5/13/23⁽³⁾		295		294
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		215		235
Legg Mason, Inc. 5.500%, 5/21/19		240		277
Leucadia National Corp. 5.500%, 10/18/23		150		159
Level 3 Financing, Inc. 7.000%, 6/1/20		160		176
Liberty Mutual Group, Inc. 144A 4.250%, 6/15/23⁽³⁾		245		254
Lincoln National Corp. 4.200%, 3/15/22		250		267
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽³⁾		15		17
Macquarie Group Ltd. 144A 6.250%, 1/14/21⁽³⁾		210		241
Morgan Stanley
5.550%, 4/27/17		330		367
4.100%, 5/22/23		155		157
6.375%, 7/24/42		435		548
Series H, 5.450%, 12/29/49⁽²⁾		25		26
MPT Operating Partnership LP 5.500%, 5/1/24		55		57
Nationstar Mortgage LLC 6.500%, 7/1/21		125		126
Navient Corp. (SLM Corp.) 5.500%, 1/25/23		200		198
Nordea Bank AB 144A 4.250%, 9/21/22⁽³⁾		265		274
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁹⁾		255		265
Prudential Financial, Inc.
5.875%, 9/15/42⁽²⁾		190		206
5.625%, 6/15/43⁽²⁾⁽⁸⁾		280		300
Russian Agricultural Bank OJSC (RSHB Capital SA) 144A 5.298%, 12/27/17⁽³⁾⁽⁹⁾		220		225
Schaeffler Holding Finance BV PIK Interest Capitalization, 144A 6.875%, 8/15/18^(3)(13)		200		212
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		305		307
UBS AG 7.625%, 8/17/22		500		602
Ventas Realty LP (Ventas Capital Corp.) 3.250%, 8/15/22		250		247


	PAR VALUE		VALUE
Financials—(continued)
Voya Financial, Inc. ( f.k.a. ING (U.S.), Inc.) 5.650%, 5/15/53⁽²⁾	$	210	$	215
VTB Bank OJSC (VTB Capital SA) 144A 6.000%, 4/12/17⁽³⁾⁽⁹⁾		500		527
Walter Investment Management Corp. 144A 7.875%, 12/15/21⁽³⁾		210		220
WP Carey, Inc. 4.600%, 4/1/24		160		166
XL Group plc Series E, 6.500%, 12/29/49⁽²⁾		240		237
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20⁽³⁾		270		258

				17,238

Health Care—3.1%
Acadia Healthcare Co., Inc. 144A 5.125%, 7/1/22⁽³⁾		65		65
Cardinal Health, Inc. 3.200%, 3/15/23		130		129
Catamaran Corp. 4.750%, 3/15/21		120		121
Centene Corp. 4.750%, 5/15/22		160		163
Community Health Systems, Inc. (CHS)
144A 5.125%, 8/1/21⁽³⁾		45		46
144A 6.875%, 2/1/22⁽³⁾		25		27
Crimson Merger Sub, Inc. 144A 6.625%, 5/15/22⁽³⁾		120		119
Forest Laboratories, Inc. 144A 4.875%, 2/15/21⁽³⁾		160		175
HCA, Inc. 6.500%, 2/15/20		160		180
IASIS Healthcare LLC 8.375%, 5/15/19		80		86
LifePoint Hospitals, Inc. 144A 5.500%, 12/1/21⁽³⁾		80		84
MPH Acquisition Holdings LLC 144A 6.625%, 4/1/22⁽³⁾		115		121
Mylan, Inc. 144A 3.125%, 1/15/23⁽³⁾		325		312
Select Medical Corp.
6.375%, 6/1/21		135		142
144A 6.375%, 6/1/21⁽³⁾		70		74
Tenet Healthcare Corp.
4.500%, 4/1/21		335		338
8.125%, 4/1/22		220		255
Valeant Pharmaceuticals International, Inc. Escrow Corp. 144A 7.500%, 7/15/21⁽³⁾		25		28

				2,465

Industrials—4.6%
AAR Corp. 7.250%, 1/15/22		190		209
ADT Corp.(The) 6.250%, 10/15/21		260		276
Ahern Rentals, Inc. 144A 9.500%, 6/15/18⁽³⁾		160		177
Air Canada


	PAR VALUE			VALUE
Industrials—(continued)
144A 6.750%, 10/1/19⁽³⁾	$	260		$	283
Pass-Through-Trust, 13-1, B 144A 5.375%, 5/15/21⁽³⁾		97			100
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾		115			119
Carpenter Technology Corp. 4.450%, 3/1/23		250			257
Continental Airlines Pass-Through-Trust
97-4, A 6.900%, 1/2/18		209			225
99-1, A 6.545%, 2/2/19		370			411
00-1, A1 8.048%, 11/1/20		420			483
CPG Merger Sub LLC 144A 8.000%, 10/1/21⁽³⁾		70			74
Delta Air Lines Pass-Through-Trust 12-1, A 4.750%, 5/7/20		309			336
ESAL GmbH 144A 6.250%, 2/5/23⁽³⁾		200			197
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21		188			204
Odebrecht Finance Ltd. 144A 8.250%, 4/25/18⁽³⁾		320	^BRL		130
Spirit AeroSystems, Inc. 144A 5.250%, 3/15/22⁽³⁾		45			46
TransDigm, Inc. 144A 6.000%, 7/15/22⁽³⁾		160			164

					3,691

Information Technology—1.5%
Ceridian LLC (Comdata, Inc.) 144A 8.125%, 11/15/17⁽³⁾		5			5
Dun & Bradstreet Corp. (The) 4.375%, 12/1/22		270			277
First Data Corp.
144A 8.250%, 1/15/21⁽³⁾		45			49
11.750%, 8/15/21		420			500
PIK Interest Capitalization, 144A 8.750%, 1/15/22^(3)(13)		135			150
Infor Software Parent LLC PIK Interest Capitalization, 144A 7.125%, 5/1/21^(3)(13)		40			41
Interactive Data Corp. 144A 5.875%, 4/15/19⁽³⁾		120			123
Sanmina Corp. 144A 4.375%, 6/1/19⁽³⁾		5			5
SunGard Availability Services Capital, Inc. 144A 8.750%, 4/1/22⁽³⁾		85			79

					1,229

Materials—5.0%
Alpek SA de C.V. 144A 5.375%, 8/8/23⁽³⁾		310			322
Beverage Packaging Holdings Luxembourg II SA 144A 6.000%, 6/15/17⁽³⁾		160			164
Cemex SAB de CV 144A 7.250%, 1/15/21⁽³⁾		265			292
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		95			96


	PAR VALUE		VALUE
Materials—(continued)
Gerdau Holdings, Inc.
144A 7.000%, 1/20/20⁽³⁾	$	100	$	113
144A 4.750%, 4/15/23⁽³⁾		315		312
Hexion U.S. Finance Corp.
8.875%, 2/1/18		130		136
6.625%, 4/15/20		130		138
INEOS Group Holdings SA 144A 5.875%, 2/15/19⁽³⁾		200		206
Inversiones CMPC S.A. 144A 4.375%, 5/15/23⁽³⁾		375		372
NewMarket Corp. 4.100%, 12/15/22		288		288
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽³⁾		75		79
Rayonier AM Products, Inc. 144A 5.500%, 6/1/24⁽³⁾		100		102
Reynolds Group Issuer, Inc. 8.250%, 2/15/21		140		153
Tronox Finance LLC 6.375%, 8/15/20		160		166
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽³⁾		320		310
United States Steel Corp. 6.875%, 4/1/21		265		284
Vale Overseas Ltd. 4.375%, 1/11/22		330		339
Vedanta Resources plc 144A 9.500%, 7/18/18⁽³⁾		115		133

				4,005

Telecommunication Services—2.5%
AT&T, Inc. 3.875%, 8/15/21		425		452
Cincinnati Bell, Inc. 8.375%, 10/15/20		210		231
Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24⁽³⁾		215		224
Koninklijke KPN NV 144A 7.000%, 3/28/73^(2)(3)(8)		210		223
Millicom International Cellular SA 144A 6.625%, 10/15/21⁽³⁾		200		216
Telefonica Emisiones SAU 4.570%, 4/27/23		225		239
Wind Acquisition Finance S.A. 144A 4.750%, 7/15/20⁽³⁾		200		202
Windstream Corp. 7.750%, 10/15/20		200		218

				2,005

Utilities—1.6%
Abu Dhabi National Energy Co. 144A 2.500%, 1/12/18⁽³⁾		270		274
Electricite de France SA 144A 5.250%, 12/29/49^(2)(3)(7)(8)		280		286
FirstEnergy Transmission LLC 144A 4.350%, 1/15/25⁽³⁾		210		212


	PAR VALUE		VALUE
Utilities—(continued)
Israel Electric Corp. Ltd. 144A 5.625%, 6/21/18⁽³⁾	$	250	$	267
State Grid Overseas Investment Ltd. 144A 4.125%, 5/7/24⁽³⁾		200		205

				1,244

TOTAL CORPORATE BONDS (Identified Cost $42,767)				44,243

CONVERTIBLE BONDS—0.4%
General Electric Capital Corp. Series A 7.125%, 12/15/49⁽²⁾		290		342

TOTAL CONVERTIBLE BONDS (Identified Cost $290)				342

LOAN AGREEMENTS⁽²⁾—8.3%
Consumer Discretionary—1.5%
Brickman Group Holdings, Inc. Second Lien, 0.000%, 12/17/21⁽¹⁴⁾		78		80
Caesars Entertainment Operating Co., Inc. Tranche B-7, 9.750%, 1/28/18		50		50
Caesars Growth Properties Holdings LLC Tranche B, First Lien 6.250%, 5/8/21		61		61
CBAC Borrower LLC Tranche B, 8.250%, 7/2/20		109		113
Clear Channel Communications, Inc. Tranche D, 6.900%, 1/30/19		150		149
Fitness International LLC 0.000%, 7/1/20⁽¹⁴⁾		144		144
Jason, Inc. 0.000%, 6/30/21⁽¹⁴⁾		53		53
Liberty Cablevision of Puerto Rico LLC Second Lien, 0.000%, 6/26/23⁽¹⁴⁾		12		12
Marina District Finance Co., Inc. 6.750%, 8/15/18		119		121
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		214		219
Shingle Springs Tribal Gaming Authority 6.250%, 8/29/19		113		118
TWCC Holding Corp. Second Lien, 7.000%, 6/26/20		122		121

				1,241

Consumer Staples—0.8%
AdvancePierre Foods, Inc. Second Lien, 9.500%, 10/10/17		210		204
New Hostess Brand Acquisition LLC Tranche B, 6.750%, 4/9/20		178		184
Rite Aid Corp.


	PAR VALUE		VALUE
Consumer Staples—(continued)
Tranche 1, Second Lien, 5.750%, 8/21/20	$	14	$	14
Tranche 2, 4.880%, 6/21/21		145		147
Shearer’s Foods LLC 0.000%, 6/30/22⁽¹⁴⁾		68		69

				618

Energy—0.7%
Chief Exploration & Development LLC 0.000%, 5/16/21⁽¹⁴⁾		117		120
Fieldwood Energy LLC Second Lien, 8.400%, 9/30/20		159		164
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		94		95
Templar Energy LLC Second Lien, 8.000%, 11/25/20		156		155

				534

Financials—0.6%
Altisource Solutions S.A R.L. Tranche B, 4.500%, 12/9/20		119		120
Asurion LLC Second Lien, 8.500%, 3/3/21		80		83
Capital Automotive LP Second Lien, 6.000%, 4/30/20		24		25
Nuveen Investments, Inc. Tranche B, Second Lien, 6.500%, 2/28/19		215		217

				445

Health Care—1.3%
Ardent Medical Services, Inc.
First Lien, 6.750%, 7/2/18		63		63
Second Lien, 11.000%, 1/2/19		56		57
CRC Health Corp. Tranche B, First Lien, 5.250%, 3/29/21		37		37
Curo Health Services LLC first Lien, 5.750%, 6/8/20		24		24
Gentiva Health Services, Inc. Tranche B, 6.500%, 10/18/19		159		159
INC Research LLC 4.250%, 7/12/18		77		77
InVentiv Health, Inc. 7.500%, 8/4/16		110		111
MMM Holdings, Inc. 9.750%, 12/12/17		58		59
MSO of Puerto Rico, Inc. 9.750%, 12/12/17		42		43
Regional Care, Inc. (RCHP, Inc.) First Lien, 6.000%, 4/23/19		71		71
Sheridan Holdings, Inc. Second Lien, 8.250%, 12/20/21		83		85
Surgery Center Holdings, Inc.


	PAR VALUE		VALUE
Health Care—(continued)
First Lien, 9.750%, 4/11/19	$	110	$	110
Second Lien, 6.000%, 4/10/20		90		92
United Surgical Partners Tranche B 4.750%, 4/3/19		79		80

				1,068

Industrials—0.9%
Alliance Laundry Systems LLC Second Lien, 9.500%, 12/10/19		25		25
American Airlines, Inc. Tranche B, 3.750%, 6/27/19		189		190
CHG Healthcare Services, Inc. Second Lien, 9.000%, 11/19/20		57		58
Harland Clarke Holdings Corp.
Tranche B-3, 7.000%, 5/22/18		71		72
Tranche B-4, 6.000%, 8/4/19		32		32
International Equipment Solutions Global B.V. 6.750%, 8/16/19		91		92
LM U.S. Member LLC (and LM U.S. Corp. Acquisition, Inc..) 0.000%, 10/26/20⁽¹⁴⁾		120		121
Navistar, Inc. Tranche B, 5.750%, 8/17/17		149		153

				743

Information Technology—1.7%
Allflex Holdings III, Inc. Second Lien, 8.000%, 7/19/21		109		110
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		4		4
Blue Coat Systems, Inc.
4.000%, 5/31/19		288		289
Second Lien, 9.500%, 6/26/20		293		298
Kronos, Inc. Second Lien, 9.750%, 4/30/20		110		115
Mitchell International, Inc. Second Lien, 8.500%, 10/11/21		49		50
Rovi Solutions Corp. 0.000%, 7/2/21⁽¹⁴⁾		41		41
RP Crown Parent LLC
First Lien, 6.000%, 12/21/18		156		156
Second Lien, 11.250%, 12/21/19		80		81
Sungard Availability Services Capital, Inc. Tranche B, 6.000%, 3/29/19		106		105
Wall Street Systems, Inc. 4.500%, 4/30/21		85		85

				1,334


	PAR VALUE			VALUE
Materials—0.7%
Fortescue Metals Group Ltd. (FMG Resources Ltd.) 3.750%, 6/28/19	$	280		$	281
Houghton International, Inc. Holding Corp. Second Lien, 9.500%, 12/21/20		110			113
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		152			146

					540

Utilities—0.1%
Atlantic Power LP 4.750%, 2/24/21		36			36
ExGen Renewables I LLC 5.250%, 2/6/21		40			40

					76

TOTAL LOAN AGREEMENTS (Identified Cost $6,537)					6,599


	SHARES			VALUE
PREFERRED STOCK—2.7%
Energy—0.3%
PTT Exploration & Production PCL, 144A, 4.875%⁽²⁾⁽³⁾		200	⁽¹²⁾		201

Financials—2.4%
Citigroup, Inc. Series J, 7.125%		8,000			221
General Electric Capital Corp. Series C, 5.250%⁽²⁾		300	⁽¹²⁾		303
Goldman Sachs Group, Inc. (The) Series L 5.700%⁽²⁾		160	⁽¹²⁾		165
JPMorgan Chase & Co.
Series Q, 5.150%⁽²⁾		315	⁽¹²⁾		313
Series V, 5.000%⁽²⁾		255	⁽¹²⁾		246
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽²⁾		215	⁽¹²⁾		207
Wells Fargo & Co. Series K, 7.980%⁽²⁾		230	⁽¹²⁾		262
Zions Bancorp, 6.950%⁽¹²⁾		8,800			233

					1,950

TOTAL PREFERRED STOCK (Identified Cost $2,149)					2,151

TOTAL LONG TERM INVESTMENTS—98.8% (Identified cost $76,652)					78,740	⁽¹⁵⁾


SHORT-TERM INVESTMENTS—1.4%
Money Market Mutual Funds—1.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)	1,120,822		1,121

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,121)			1,121

TOTAL INVESTMENTS—100.2% (Identified Cost $77,773)			79,861	⁽¹⁾
Other assets and liabilities, net—(0.2)%			(162	)

NET ASSETS—100.0%		$	79,699

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
GNMA		Government National Mortgage Association (“Ginnie Mae”)
PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2014.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, these securities amounted to a value of $26,344 or 33.1% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁶⁾	Illiquid security.

⁽⁷⁾	No contractual maturity date.

⁽⁸⁾	Interest payments may be deferred.

⁽⁹⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽¹⁰⁾	Amount less than $500.

⁽¹¹⁾	Principal amount is adjusted pursuant to the change in the Index.

⁽¹²⁾	Value shown as par value.

⁽¹³⁾	100% of the income received was in cash

⁽¹⁴⁾	This loan will settle after June 30, 2014, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹⁵⁾	All or a portion segregated as collateral for delayed delivery security.

Foreign Currencies:

AUD	Australian Dollar

BRL	Brazilian Real

CLP	Chilean Peso

COP	Colombian Peso

IDR	Indonesian Rupiah

MXN	Mexican Peso

NZD	New Zealand Dollar

PEN	Peruvian Nuevo Sol

PHP	Philippines Peso

TRY	Turkish Lira

UYU	Uruguayan Peso


Country Weightings †
United States	71	%
Luxembourg	4
Brazil	2
Chile	2
Mexico	2
Canada	1
Turkey	1
Other	17

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE		VALUE
MUNICIPAL TAX-EXEMPT BONDS⁽³⁾—97.6%
Development Revenue—6.0%
Hercules Redevelopment Agency, Tax-Allocation (AMBAC Insured) 5.000%, 8/1/29	$	500	$	485
San Diego Redevelopment Agency, Tax Allocation Series B (AMBAC Insured) 5.350%, 9/1/24		500		502
Tax Allocation Series A (AMBAC Insured) 4.750%, 9/1/30		500		509
Santa Clara Redevelopment Agency, Bayshore North Project (NATL Insured) 5.000%, 6/1/22		500		506

				2,002

General Obligation—20.2%
Brea Olinda Unified School District, Series A (NATL, FGIC Insured) 6.000%, 8/1/15		150		159
Cajon Valley Union School District Union School District 5.000%, 8/1/31		250		282
Contra Costa Community College District, 4.000%, 8/1/28		45		48
Election of 2006 5.000%, 8/1/38		200		224
Los Alamitos Unified School District, School Facilities Improvement Dist #1, 2008 Election - Series E 5.250%, 8/1/39		250		278
Los Angeles Unified School District, 2002 Election Series C (AGM Insured) 5.000%, 7/1/24		300		340
Series A-1 (NATL Insured) 4.500%, 1/1/28		440		472
Placer Union High School District, (AGM Insured) 0.000%, 8/1/32		1,500		675
Rancho Santiago Community College District, 2002 Election Series C (AGM Insured) 0.000%, 9/1/27		1,100		668
Riverside Unified School District, Series C (AGM Insured) 5.000%, 8/1/32		275		307
Ross Valley School District, 2010 Election Series B 5.000%, 8/1/37		350		384
San Diego Community College District, Election of 2006 5.000%, 8/1/43		100		111
San Diego Unified School District, 1998 Election, Series C2 (AGM Insured) 5.500%, 7/1/25		225		288


	PAR VALUE		VALUE
General Obligation—(continued)
San Jose Evergreen Community College District University & College Improvement, Election of 2010 Series A 5.000%, 8/1/41	$	400	$	440
Sequoia Union High School District, 4.000%, 7/1/26		250		272
State of California, 5.500%, 3/1/26		250		288
(AMBAC Insured) 5.000%, 2/1/27		290		353
5.000%, 9/1/32		300		333
5.000%, 12/1/37		275		298
6.000%, 4/1/38		250		295
5.000%, 2/1/43		250		275

				6,790

General Revenue—24.7%
Anaheim Public Financing Authority, Series C (AGM Insured) 6.000%, 9/1/16		1,435		1,561
City of Pomona, Certificates of Participation, (AMBAC Insured) 5.500%, 6/1/28		700		714
Contra Costa Transportation Authority, Series B 5.000%, 3/1/29		220		253
Golden State Tobacco Securitization Corp., Enhanced Asset, Series A 5.000%, 6/1/29		350		392
Series A-1 5.125%, 6/1/47		950		691
Imperial County Transportation Authority, Series E 4.000%, 6/1/20		300		325
Los Angeles County Public Works Financing Authority, Series A (AGM Insured) 5.500%, 10/1/18		60		66
North City West School Facilities Financing Authority, Series B (AMBAC Insured) 5.250%, 9/1/19		750		859
Sacramento Area Flood Control Agency, Consol Capital Assessment District (BHAC Insured) 5.500%, 10/1/28		250		283
Consol Capital Assessment District 5.000%, 10/1/37		500		547
South Bay Regional Public Communications Authority, Hawthorne Projects, Series B (ACA Insured) 4.750%, 1/1/31		435		438
State Health Facilities Financing Authority Lucille Salter Packard Children Hospital at Sanford, Series A 5.000%, 8/15/43		100		110


	PAR VALUE		VALUE
General Revenue—(continued)
State of California Public Works Board, Department of General Services, Buildings 8&9 6.125%, 4/1/29	$	500	$	588
Capital Projects, Series G-1 5.750%, 10/1/30		550		636
Department of Forestry & Fire Protection, Series E 5.000%, 11/1/32		500		541
Ventura County Public Financing Authority, Series A 5.000%, 11/1/25		250		297

				8,301

Higher Education Revenue—5.3%
California Educational Facilities Authority, Pomona College, Series A 5.000%, 7/1/45		500		517
California State University, Series A (NATL, FGIC Insured) 5.250%, 11/1/38		435		483
University of California, Series D (NATL, FGIC Insured) 5.000%, 5/15/28		710		770

				1,770

Medical Revenue—6.4%
California Health Facilities Financing Authority, Cedars-Sinai Medical Center, 5.000%, 11/15/34		400		418
Providence Health & Services, Series C 6.500%, 10/1/38		195		240
Kaiser Permanente, Series A 5.250%, 4/1/39		400		414
California Statewide Communities Development Authority, Sutter Health, Series B, (AMBAC Insured) 5.000%, 11/15/38		205		216
St. Joseph Health System, (FGIC Insured) 5.750%, 7/1/47		350		387
San Benito Health Care District, (CA MTG Insured) 4.000%, 3/1/18		140		152
University of California, Regents Medical, Series A 4.750%, 5/15/31		300		306

				2,133

Natural Gas Revenue—2.1%
Roseville Natural Gas Financing Authority, 5.000%, 2/15/24		450		496
5.000%, 2/15/27		195		210

				706


	PAR VALUE		VALUE
Power Revenue—6.3%
Imperial Irrigation District, Series B 5.000%, 11/1/36	$	200	$	216
Northern California Power Agency, Hydroelectric Project No 1 5.000%, 7/1/32		200		220
Sacramento Municipal Utility District, Cosumnes Project (NATL Insured) 4.750%, 7/1/26		500		532
Series X 5.000%, 8/15/26		350		399
Series B 5.000%, 8/15/29		150		173
Series A 5.000%, 8/15/37		250		278
Southern California Public Power Authority, Windy Project Series 1, 5.000%, 7/1/28		250		288

				2,106

Pre-Refunded—12.3%
California Health Facilities Financing Authority, Providence Health & Services, Series C (Pre- refunded 10/1/18 @100) 6.500%, 10/1/18		5		6
California Infrastructure & Economic Development Bank, Bay Area Toll Bridges (Pre-refunded 7/1/26 @100) (AMBAC Insured) 5.125%, 7/1/37		755		962
City of Stockton, O’Connors Woods Project, Series A (Pre-refunded 9/20/17 @ 100) (GNMA Collateralized) 5.600%, 3/20/28		165		166
Northern California Power Agency, Series A (Pre- refunded 7/1/21 @ 100) (AMBAC Insured) 7.500%, 7/1/23		195		252
Riverside County Single Family, Series A (GNMA Collateralized) 7.800%, 5/1/21(2)		2,000		2,729

				4,115

Transportation Revenue—7.1%
Bay Area Toll Authority,
Series F-1 5.000%, 4/1/34		350		396
Series F-1 5.125%, 4/1/39		400		448
City of Long Beach Airport, Series A 5.000%, 6/1/30		200		213
San Diego County Regional Airport Authority, Subordinate Series A 5.000%, 7/1/40		250		268
Series B 5.000%, 7/1/40		500		536
San Diego Unified Port District, Series A 5.000%, 9/1/28		200		225


	PAR VALUE		VALUE
Transportation Revenue—(continued)
San Francisco City & County Airports Community- San Francisco International Airport, 2nd Series B 5.000%, 5/1/43	$	150	$	163
San Francisco Municipal Transportation Agency, 5.000%, 3/1/31		125		142

				2,391

Water & Sewer Revenue—7.2%
California State Department of Water Resources, Central Valley Projects Series AE 5.000%, 12/1/28		35		40
City of Manteca Water Revenue, 5.000%, 7/1/27		300		338
City of Oakland Sewer Revenue, Series A 5.000%, 6/15/29		200		232
East Bay Municipal Utility District, Subordinate Series A, (NATL Insured) 5.000%, 6/1/35		400		415
Ross Valley Public Financing Authority, Sanitary District #1, (AGM Insured) 5.000%, 10/1/33		225		249
San Diego County Water Authority, 5.000%, 5/1/31		250		289
Santa Margarita-Dana Point Authority, Water Districts Improvements, Districts 2,3,4, Series A 5.125%, 8/1/38		630		685
Silicon Valley Clean Water, Sewer Improvement 5.000%, 2/1/34		150		170

				2,418

TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $30,527)				32,732

TOTAL LONG TERM INVESTMENTS—97.6% (Identified cost $30,527)				32,732

TOTAL INVESTMENTS—97.6% (Identified Cost $30,527)				32,732	⁽¹⁾
Other assets and liabilities, net—2.4%				821

NET ASSETS—100.0%			$	33,553

Abbreviations:


ACA		American Capital Access Financial Guarantee Corp.
AGM		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
BHAC		Berkshire Hathaway Assurance Corp.
FGIC		Financial Guaranty Insurance Company
GNMA		Government National Mortgage Association (“Ginnie Mae”)
MBIA		Municipal Bond Insurance Association
NATL		National Public Finance Guarantee Corp.
VA		Department of Veterans Affairs
XLCA		XL Capital Assurance

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 1 (quoted prices) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—98.7%
iShares Russell 1000^® Growth Index Fund		7,780	$	707
iShares Russell 2000^® Growth Index Fund		5,100		706
iShares Russell Midcap^® Growth Index Fund		7,900		707

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $2,110)				2,120

TOTAL LONG TERM INVESTMENTS—98.7% (Identified cost $2,110)				2,120

SHORT-TERM INVESTMENTS—0.6%
Money Market Mutual Funds—0.6%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		11,531		12

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $12)				12

TOTAL INVESTMENTS—99.3% (Identified Cost $2,122)				2,132	⁽¹⁾
Other assets and liabilities, net—0.7%				15

NET ASSETS—100.0%			$	2,147

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—96.7%
iShares Barclays Treasury Inflation Protected Securities Bond Fund		4,550	$	525
iShares iBoxx $ High Yield Corporate Bond Fund		1,350		129
iShares iBoxx $ Investment Grade Corporate Bond Fund		3,280		391

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,030)				1,045

TOTAL LONG TERM INVESTMENTS—96.7% (Identified cost $1,030)				1,045

SHORT-TERM INVESTMENTS—1.4%
Money Market Mutual Funds—1.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		15,120		15

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $15)				15

TOTAL INVESTMENTS—98.1% (Identified Cost $1,045)				1,060	⁽¹⁾
Other assets and liabilities, net—1.9%				21

NET ASSETS—100.0%			$	1,081

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—96.0%
iShares MSCI Australia Index Fund		4,860	$	127
iShares MSCI France Index Fund		5,310		155
iShares MSCI Germany Index Fund		4,720		148
iShares MSCI Hong Kong Index Fund		2,170		45
iShares MSCI Italy Index Fund Capped		2,310		40
iShares MSCI Japan Index Fund		25,900		312
iShares MSCI Netherlands Investable Market Index Fund		1,850		47
iShares MSCI Singapore Index Fund		1,670		23
iShares MSCI Spain Index Fund Capped		1,310		56
iShares MSCI Sweden Index Fund		1,400		49
iShares MSCI Switzerland Index Fund Capped		4,200		144
iShares MSCI United Kingdom Index Fund		15,550		325

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,319)				1,471

TOTAL LONG TERM INVESTMENTS—96.0% (Identified cost $1,319)				1,471

SHORT-TERM INVESTMENTS—0.8%
Money Market Mutual Funds—0.8%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		11,684		12

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $12)				12

TOTAL INVESTMENTS—96.8% (Identified Cost $1,331)				1,483	⁽¹⁾
Other assets and liabilities, net—3.2%				49

NET ASSETS—100.0%			$	1,532

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—125.3%
Consumer Staples Select Sector SPDR Fund		10,065,400	$	449,118
Energy Select Sector SPDR Fund		4,465,700		447,017
Financial Select Sector SPDR Fund		19,902,000		452,571
Health Care Select Sector SPDR Fund		7,400,000		450,142
Industrial Select Sector SPDR Fund		8,240,900		445,503
Materials Select Sector SPDR Fund		9,091,800		451,317
Technology Select Sector SPDR Fund		11,896,200		456,219
Utilities Select Sector SPDR Fund		10,363,300		458,680

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $3,236,669)				3,610,567

TOTAL LONG TERM INVESTMENTS—125.3% (Identified cost $3,236,669)				3,610,567	⁽²⁾

SHORT-TERM INVESTMENTS—0.1%
Money Market Mutual Funds—0.1%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		1,587,715		1,588

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,588)				1,588

TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT—125.4% (Identified Cost $3,238,257)				3,612,155	⁽¹⁾

SECURITIES SOLD SHORT—(5.4)%
EXCHANGE-TRADED FUNDS SOLD SHORT—(5.4)%
Consumer Discretionary Select Sector SPDR Fund		2,343,500		(156,405	)

TOTAL SECURITIES SOLD SHORT—(5.4)% (Proceeds ($149,144))				(156,405	)

TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT—120.0% (Identified Cost $3,089,113)				3,455,750
Other assets and liabilities, net—(20.0)%				(573,913	)

NET ASSETS—100.0%			$	2,881,837

Abbreviations:


SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	All or a portion have been segregated as collateral for margin borrowing and securities sold short.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE			VALUE
FOREIGN GOVERNMENT SECURITIES—26.6%
Argentine Republic
7.000%, 10/3/15	$	100		$	97
8.750%, 5/7/24		50			47
Series NY, 8.280%, 12/31/33		119			100
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽⁴⁾		270			256
RegS 7.000%, 12/1/18⁽⁴⁾		70			61
7.650%, 4/21/25		885			686
9.375%, 1/13/34		325			274
Dominican Republic 144A 5.875%, 4/18/24⁽³⁾		100			105
Federal Republic of Nigeria RegS 6.375%, 7/12/23⁽⁴⁾		200			217
Gabonese Republic 144A 6.375%, 12/12/24⁽³⁾		200			219
Honduras Republic RegS 7.500%, 3/15/24⁽⁴⁾		200			209
Hungary
6.375%, 3/29/21		110			126
5.375%, 2/21/23		146			158
5.750%, 11/22/23		22			24
5.375%, 3/25/24		60			64
Mongolia 144A 5.125%, 12/5/22⁽³⁾⁽⁴⁾		200			176
Republic of Azerbaijan 144A 4.750%, 3/18/24⁽³⁾		200			206
Republic of Chile 5.500%, 8/5/20		70,000	^CLP		132
Republic of Colombia Treasury Note, Series B, 11.250%, 10/24/18		192,000	^COP		122
Republic of Costa Rica 144A 7.000%, 4/4/44⁽³⁾		200			208
Republic of Cote d’ Ivoire 144A 5.750%, 12/31/32⁽²⁾⁽³⁾		100			97
Republic of Croatia 144A 6.000%, 1/26/24⁽³⁾		200			216
Republic of Ecuador
144A 9.375%, 12/15/15⁽³⁾		100			107
144A 7.950%, 6/20/24⁽³⁾		200			205
Republic of El Salvador 144A 7.650%, 6/15/35⁽³⁾		70			76
Republic of Ghana 144A 7.875%, 8/7/23⁽³⁾		200			195
Republic of Guatemala 144A 4.875%, 2/13/28⁽³⁾		200			198
Republic of Indonesia
Series FR30, 10.750%, 5/15/16		3,273,000	^IDR		293
Series FR55, 7.375%, 9/15/16		379,000	^IDR		32
Series FR63, 5.625%, 5/15/23		624,000	^IDR		44
Republic of Iraq RegS 5.800%, 1/15/28⁽⁴⁾		250			227
Republic of Mozambique EMATUM Finance BV, Series 2020, RegS 6.305%, 9/11/20⁽⁴⁾		200			203
Republic of Panama 5.200%, 1/30/20⁽⁴⁾		200			223


	PAR VALUE			VALUE
Republic of Peru 144A 6.900%, 8/12/37⁽³⁾		400	^PEN	$	149
Republic of Philippines 4.950%, 1/15/21		5,000	^PHP		122
Republic of Poland
Series 1021, 5.750%, 10/25/21		300	^PLN		114
3.000%, 3/17/23	$	75			73
4.000%, 1/22/24		84			88
Republic of Romania 144A 4.875%, 1/22/24⁽³⁾		84			89
Republic of South Africa
Series R203, 8.250%, 9/15/17		758	^ZAR		73
Series R208, 6.750%, 3/31/21		1,470	^ZAR		130
Republic of Sri Lanka 144A 5.875%, 7/25/22⁽³⁾		200			208
Republic of Turkey
5.125%, 3/25/22		200			212
6.750%, 5/30/40		225			263
Republic of Uruguay 4.375%, 12/15/28⁽⁸⁾		5,193	^UYU		251
Republic of Zambia 144A 5.375%, 9/20/22⁽³⁾		200			189
Romania 144A 6.750%, 2/7/22⁽³⁾		150			180
Russian Federation 144A 7.850%, 3/10/18⁽³⁾		5,000	^RUB		147
Ukraine
144A 7.750%, 9/23/20⁽³⁾		325			312
144A 7.500%, 4/17/23⁽³⁾		200			189
United Mexican States
Series M, 6.000%, 6/18/15		3,855	^MXN		305
Series M, 6.500%, 6/9/22		2,250	^MXN		184

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $9,079)					8,881

CORPORATE BONDS—69.5%
Austria—1.3%
Sappi Papier Holding GmbH
144A 8.375%, 6/15/19⁽³⁾		200			222
144A 6.625%, 4/15/21⁽³⁾		200			212

					434

Barbados—0.6%
Columbus International, Inc. 144A 7.375%, 3/30/21⁽³⁾		200			216

Bermuda—2.0%
Aircastle Ltd.
6.250%, 12/1/19		100			110
5.125%, 3/15/21		120			124
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		200			219


	PAR VALUE			VALUE
Bermuda—(continued)
GeoPark Latin America Ltd. 144A 7.500%, 2/11/20⁽³⁾	$	200		$	218

					671

Brazil—5.5%
Banco ABC Brasil S.A. 144A 7.875%, 4/8/20⁽³⁾		100			109
Banco do Brasil SA 144A 9.250%^(2)(3)(6)(7)		200			208
Banco Santander Brasil SA 144A 8.000%, 3/18/16		300	^BRL		130
Banco Votorantim S.A. 144A 7.375%, 1/21/20⁽³⁾		125			138
Braskem Finance Ltd. 144A 5.375%, 5/2/22⁽³⁾		200			203
BRF SA 144A 7.750%, 5/22/18⁽³⁾		400	^BRL		156
Companhia Brasileira de Aluminio 144A 4.750%, 6/17/24⁽³⁾		200			197
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		125			141
Itau Unibanco Holding SA RegS 5.650%, 3/19/22⁽⁴⁾		250			258
Petrobras International Finance Co. 6.750%, 1/27/41		100			103
Vale SA 5.625%, 9/11/42		200			196

					1,839

Canada—1.0%
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		45			46
Pacific Rubiales Energy Corp.
144A 5.375%, 1/26/19⁽³⁾		100			105
144A 5.125%, 3/28/23⁽³⁾		200			199

					350

Cayman Islands—1.3%
Marfrig Overseas Ltd. 144A 9.500%, 5/4/20⁽³⁾		200			217
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22⁽³⁾		193			206

					423

Chile—2.1%
CorpGroup Banking S.A. 144A 6.750%, 3/15/23⁽³⁾		250			249
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		250			263
Inversiones CMPC S.A. 144A 4.375%, 5/15/23⁽³⁾		200			199

					711

China—2.4%
China Railway Resources Huitung Ltd. 3.850%, 2/5/23		200			193
Country Garden Holdings Co., Ltd. 144A 7.500%, 1/10/23⁽³⁾		200			194


	PAR VALUE		VALUE
China—(continued)
Evergrande Real Estate Group Ltd. 144A 8.750%, 10/30/18⁽³⁾	$	200	$	191
Kaisa Group Holdings Ltd. 144A 8.875%, 3/19/18⁽³⁾		200		207

				785

Colombia—1.6%
Bancolombia S.A. 5.125%, 9/11/22		250		251
Comcel Trust 144A 6.875%, 2/6/24⁽³⁾		200		217
Ecopetrol S.A. 5.875%, 9/18/23		65		73

				541

Georgia—0.6%
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽³⁾		200		216

Hong Kong—1.7%
Bank of China Hong Kong Ltd. 144A 5.550%, 2/11/20⁽³⁾		200		221
Hutchison Whampoa International Ltd. Series 12, 144A 6.000%^(2)(3)(6)(7)		325		350

				571

Hungary—0.7%
Magyar Fejlesztesi Bank Zrt. 144A 6.250%, 10/21/20⁽³⁾		200		223

India—1.6%
Bank of Baroda 144A 4.875%, 7/23/19⁽³⁾		200		211
ICICI Bank Ltd. 144A 6.375%, 4/30/22⁽²⁾⁽³⁾		300		312

				523

Indonesia—2.2%
Pertamina Persero PT
144A 4.875%, 5/3/22⁽³⁾		200		199
144A 6.000%, 5/3/42⁽³⁾		275		258
Perusahaan Listrik Negara PT 144A 5.500%, 11/22/21⁽³⁾		250		264

				721

Ireland—2.2%
Alfa Bank OJSC (Alfa Bond Issuance plc) 144A 7.500%, 9/26/19⁽³⁾⁽⁵⁾		200		209
EuroChem Mineral & Chemical Co. OJSC 144A 5.125%, 12/12/17⁽³⁾⁽⁵⁾		200		202
Metalloinvest Finance Ltd. 144A 5.625%, 4/17/20⁽³⁾		200		195


	PAR VALUE			VALUE
Ireland—(continued)
Vimpel Communications OJSC (VIP Finance Ireland Ltd.) 144A 9.125%, 4/30/18⁽³⁾	$	125		$	144

					750

Israel—0.7%
Israel Electric Corp. Ltd. RegS 7.250%, 1/15/19⁽⁴⁾		200			228

Kazakhstan—2.4%
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		200			189
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾		200			198
KazMunayGas National Co. JSC 144A 5.750%, 4/30/43⁽³⁾		200			192
Zhaikmunai LP 144A 7.125%, 11/13/19⁽³⁾		200			218

					797

Luxembourg—5.3%
ALROSA Finance S.A. 144A 7.750%, 11/3/20⁽³⁾		200			223
Ardagh Finance Holdings SA PIK Interest Capitalization, 144A 8.625%, 6/15/19⁽³⁾⁽⁹⁾		200			207
Gazprom Neft OAO (GPN Capital SA) 144A 6.000%, 11/27/23⁽³⁾⁽⁵⁾		200			205
Millicom International Cellular SA 144A 6.625%, 10/15/21⁽³⁾		200			216
QGOG Constellation SA 144A 6.250%, 11/9/19⁽³⁾		200			203
Sberbank of Russia (Sberbank Capital SA) 144A 5.125%, 10/29/22⁽³⁾⁽⁵⁾		200			190
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽³⁾⁽⁵⁾		100			107
TMK OAO (TMK Capital) SA 144A 6.750%, 4/3/20⁽³⁾⁽⁵⁾		200			195
Wind Acquisition Finance S.A. 144A 7.250%, 2/15/18⁽³⁾		200			212

					1,758

Macedonia—0.6%
Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24⁽³⁾		200			210

Mexico—5.7%
Alfa SAB de CV 144A 5.250%, 3/25/24⁽³⁾		200			209
Alpek SA de C.V. 144A 5.375%, 8/8/23⁽³⁾		200			208
America Movil SAB de C.V. Series 12 6.450%, 12/5/22		2,000	^MXN		153


	PAR VALUE			VALUE
Mexico—(continued)
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.750%, 9/30/22⁽³⁾	$	150		$	171
Banco Inbursa SA Institucion de Banca Multiple 144A 4.125%, 6/6/24⁽³⁾		150			147
Banco Santander Mexico SA 144A 5.950%, 1/30/24⁽²⁾⁽³⁾		200			211
Cemex SAB de CV 144A 7.250%, 1/15/21⁽³⁾		200			220
Fermaca Enterprises S de RL de CV 144A 6.375%, 3/30/38⁽³⁾		200			208
Grupo Televisa SAB 7.250%, 5/14/43		2,000	^MXN		134
Petroleos Mexicanos 144A 6.375%, 1/23/45⁽³⁾		200			232

					1,893

Netherlands—2.5%
Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23⁽³⁾		200			206
Lukoil OAO International Finance BV 144A 4.563%, 4/24/23⁽³⁾		200			193
Petrobras Global Finance BV 6.250%, 3/17/24		200			213
VTR Finance B.V. 144A 6.875%, 1/15/24⁽³⁾		200			215

					827

Panama—1.7%
AES El Salvador Trust II 144A 6.750%, 3/28/23⁽³⁾		200			206
Avianca Holdings SA (Avianca Leasing LLC) 144A 8.375%, 5/10/20⁽³⁾		200			215
Banco Latinoamericano de Comercio Exterior SA 144A 3.750%, 4/4/17⁽³⁾		150			156

					577

Peru—2.5%
Banco de Credito del Peru
144A 5.375%, 9/16/20⁽³⁾		100			110
144A 6.125%, 4/24/27⁽²⁾⁽³⁾		100			107
Banco Internacional del Peru SAA
144A 5.750%, 10/7/20⁽³⁾		100			107
144A 6.625%, 3/19/29⁽²⁾⁽³⁾		100			106
Transportadora de Gas del Peru SA 144A 4.250%, 4/30/28⁽³⁾		200			188
Volcan Compania Minera SAA 144A 5.375%, 2/2/22⁽³⁾		200			200

					818


	PAR VALUE			VALUE
Russia—1.0%
AHML Finance Ltd. 144A 7.750%, 2/13/18		5,000	^RUB	$	137
VTB Bank OJSC 144A 9.500%, 12/1/49^(2)(3)(5)	$	200			205

					342

Singapore—1.2%
BOC Aviation Pte Ltd. 144A 3.875%, 5/9/19		200			200
Oversea-Chinese Banking Corp. Ltd. 4.000%, 10/15/24⁽²⁾⁽³⁾		200			204

					404

South Africa—0.6%
Transnet SOC Ltd. 144A 4.000%, 7/26/22⁽³⁾		200			188

Sri Lanka—0.6%
Bank of Ceylon 144A 6.875%, 5/3/17⁽³⁾		200			213

Sweden—0.6%
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁵⁾		200			208

Thailand—0.6%
Bangkok Bank Plc 144A 3.300%, 10/3/18⁽³⁾		200			203

Trinidad and Tobago—0.2%
Petroleum Co. of Trinidad & Tobago Ltd. RegS 6.000%, 5/8/22⁽⁴⁾		67			71

Turkey—3.4%
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		300	^TRY		132
KOC Holdings AS 144A 3.500%, 4/24/20⁽³⁾		200			190
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		200			201
Turkiye Is Bankasi A.S 144A 7.850%, 12/10/23⁽³⁾		200			222
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽³⁾		200			194
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20⁽³⁾		200			191

					1,130

Ukraine—0.8%
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		250			279

United Arab Emirates—1.9%
Abu Dhabi National Energy Co. 144A 5.875%, 12/13/21⁽³⁾		275			322
IPIC GMTN Ltd. 144A 6.875%, 11/1/41⁽³⁾		250			327

					649


	PAR VALUE			VALUE
United Kingdom—2.6%
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾	$	200		$	207
Tullow Oil plc 144A 6.000%, 11/1/20⁽³⁾		200			209
Vedanta Resources plc
144A 9.500%, 7/18/18⁽³⁾		200			231
144A 7.125%, 5/31/23⁽³⁾		200			211

					858

United States—2.9%
Brazil Loan Trust 1 144A 5.477%, 7/24/23⁽³⁾		250			258
Clear Channel Communications, Inc. 144A 10.000%, 1/15/18⁽³⁾		45			44
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		100			108
First Data Corp. 11.750%, 8/15/21		165			196
Interactive Data Corp. 144A 5.875%, 4/15/19⁽³⁾		55			56
Parker Drilling Co.(The) 144A 6.750%, 7/15/22⁽³⁾		50			52
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽³⁾		250			270

					984

Venezuela—3.3%
Corp Andina de Fomento 4.375%, 6/15/22		200			212
Petroleos de Venezuela SA RegS 8.500%, 11/2/17⁽⁴⁾		955			887

					1,099

Virgin Islands (British)—1.6%
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽³⁾		275	^BRL		120
China Cinda Finance Ltd. 144A 4.000%, 5/14/19⁽³⁾		200			201
State Grid Overseas Investment Ltd. 144A 4.125%, 5/7/24⁽³⁾		200			205

					526

TOTAL CORPORATE BONDS (Identified Cost $23,020)					23,236


	SHARES			VALUE
PREFERRED STOCK—0.6%
Energy—0.6%
PTT Exploration & Production PCL, 144A, 4.875%⁽²⁾⁽³⁾		200	⁽¹¹⁾		201

TOTAL PREFERRED STOCK (Identified Cost $202)					201


	PAR VALUE		VALUE
LOAN AGREEMENTS⁽²⁾—1.2%
Consumer Discretionary—0.5%
Laureate Education, Inc. 2018 Extended, 0.000%, 6/15/18⁽¹⁰⁾	$	150	$	147
Liberty Cablevision of Puerto Rico LLC Second Lien, 0.000%, 6/26/23⁽¹⁰⁾		22		22

				169

Information Technology—0.7%
Alcatel-Lucent USA, Inc. 4.500%, 1/30/19		168		169
IPC Systems, Inc. First Lien, 0.000%, 11/8/20⁽¹⁰⁾		54		54

				223

TOTAL LOAN AGREEMENTS (Identified Cost $393)				392

TOTAL LONG TERM INVESTMENTS—97.9% (Identified cost $32,694)				32,710


	SHARES		VALUE
SHORT-TERM INVESTMENTS—1.4%
Money Market Mutual Funds—1.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		472,138		472

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $472)				472

TOTAL INVESTMENTS—99.3% (Identified Cost $33,166)				33,182	⁽¹⁾
Other assets and liabilities, net—0.7%				245

NET ASSETS—100.0%			$	33,427

Abbreviations:


PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2014.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, these securities amounted to a value of $22,931 or 68.6% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁶⁾	No contractual maturity date.

⁽⁷⁾	Interest payments may be deferred.

⁽⁸⁾	Principal amount is adjusted pursuant to the change in the Index.

⁽⁹⁾	100% of the income received was in cash.

⁽¹⁰⁾	This loan will settle after June 30, 2014, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹¹⁾	Value shown as par value.

Foreign Currencies:

BRL	Brazilian Real

CLP	Chilean Peso

COP	Colombian Peso

EUR	European Currency Unit

IDR	Indonesian Rupiah

MXN	Mexican Peso

PEN	Peruvian Nuevo Sol

PHP	Philippines Peso

PLN	Polish Zloty

RUB	Russian Ruble

TRY	Turkish Lira

UYU	Uruguayan Peso

ZAR	South African Rand


Country Weightings †
Mexico	7	%
Venezuela	7
Brazil	6
United States	6
Luxembourg	5
Turkey	5
Indonesia	3
Other	61

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
PREFERRED STOCK—4.0%
Financials—0.5%
Banco Davivienda SA 4.090% (Colombia)		23,969	$	387

Materials—2.2%
Klabin SA 2.620% (Brazil)		387,600		384
Vale SA 6.290% (Brazil)		121,900		1,449

				1,833

Utilities—1.3%
Cia Energetica de Sao Paulo, Class B 3.850% (Brazil)		47,200		592
Companhia Paranaense de Energia 2.350%, Class B (Brazil)		32,700		500

				1,092

TOTAL PREFERRED STOCK (Identified Cost $3,096)				3,312

COMMON STOCKS—86.1%
Consumer Discretionary—7.0%
Arcelik AS (Turkey)		36,225		220
China Motor Corp. (Taiwan)		436,000		435
Coway Co. Ltd. (South Korea)		8,658		725
Foschini Group Ltd. (The) (South Africa)		21,108		221
Great Wall Motor Co., Ltd. (China)		86,500		321
Halla Visteon Climate Control Corp. (South Korea)		15,810		716
Imperial Holdings Ltd. (South Africa)		14,067		264
Kangwon Land, Inc. (South Korea)		23,600		693
Lojas Renner S.A. (Brazil)		10,600		340
Media Nusantara Citra Tbk PT (Indonesia)		695,200		162
Naspers Ltd. Class N (South Africa)		1,902		224
Pou Chen Corp. (Taiwan)		215,000		259
Tofas Turk Otomobil Fabrikasi AS (Turkey)		51,536		320
Truworths International Ltd. (South Africa)		35,291		249
UMW Holdings Bhd (Malaysia)		216,400		736

				5,885

Consumer Staples—5.6%
Ambev SA (Brazil)⁽²⁾		188,400		1,334
Fomento Economico Mexicano S.A.B. de CV (Mexico)		37,400		350
Hite Jinro Co., Ltd. (South Korea)		19,220		417
Kimberly-Clark de Mexico S.A.B. de C.V. Class A (Mexico)		77,100		216


	SHARES		VALUE
Consumer Staples—(continued)
KT&G Corp. (South Korea)		15,251	$	1,349
Souza Cruz S.A. (Brazil)		15,600		162
Spar Group Ltd. (The) (South Africa)		38,831		454
Wal-Mart de Mexico S.A.B. de C.V. (Mexico)		84,100		226
Want Want China Holdings Ltd. (China)		116,000		167

				4,675

Energy—9.3%
China Petroleum & Chemical Corp. Class H (China)		671,800		640
China Shenhua Energy Co., Ltd. Class H (China)		240,000		694
CNOOC Ltd. (China)		540,000		970
Ecopetrol S.A. (Colombia)		469,758		853
Gazprom OAO (Gazstream S.A.) Sponsored ADR (Russia)		35,691		311
Lukoil OAO Sponsored ADR (Russia)		18,750		1,122
PT Indo Tambangraya Megah ADR (Indonesia)		107,400		245
PTT PCL (Thailand)		54,800		537
Sasol Ltd. (South Africa)		23,000		1,367
Tatneft OAO (Russia)		28,572		1,117

				7,856

Financials—27.5%
Agricultural Bank of China Ltd. (China)		1,144,000		505
Alliance Financial Group Bhd (Malaysia)		434,400		639
AMMB Holdings Bhd (Malaysia)		237,600		527
Banco de Chile (Chile)		5,193,495		691
Banco do Brasil S.A. (Brazil)		18,200		204
Banco Santander Chile SA (Chile)		26,799,327		1,766
Bancolombia SA (Colombia)		45,777		671
Bank of China Ltd. (China)		4,363,000		1,953
Barclays Africa Group Ltd. (South Africa)		53,227		808
BR Malls Participacoes S.A. (Brazil)		49,900		425
BR Properties S.A. (Brazil)		24,700		149
China Construction Bank Corp. (China)		3,069,000		2,320
China Life Insurance Co. Ltd. (China)		286,000		749
China Minsheng Banking Corp. Ltd. (China)		480,000		435
Compartamos Sab de CV (Mexico)		368,800		712
Dongbu Insurance Co., Ltd. (South Korea)		8,590		441
Evergrande Real Estate Group Ltd. (China)		642,000		249
Far East Horizon Ltd. (Hong Kong)		308,000		225
Farglory Land Development Co., Ltd. (Taiwan)		321,000		437
FirstRand Ltd. (South Africa)		183,191		702
Grupo Financiero Inbursa Sab de C.V. (Mexico)		49,500		148


	SHARES		VALUE
Financials—(continued)
Guangzhou R&F Properties Co., Ltd. (China)		332,800	$	411
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea)		16,830		480
Industrial & Commercial Bank of China Ltd. (China)		3,026,000		1,913
Industrial Bank of Korea (South Korea)		30,170		403
Komercni Banka A.S. (Czech Republic)		1,744		401
Mirae Asset Securities Co., Ltd. (South Korea)		3,403		151
Porto Seguro S.A. (Brazil)		21,300		304
Powszechna Kasa Oszczednosci Bank Polski S.A. (Poland)		24,469		304
Powszechny Zaklad Ubezpieczen S.A. (Poland)		5,882		860
Redefine Properties Ltd. (South Africa)		320,931		289
Samsung Fire & Marine Insurance Co., Ltd. (South Korea)		956		243
Sberbank of Russia ADR (Russia)		106,222		1,080
Shimao Property Holdings Ltd. (China)		108,500		199
Siam Commercial Bank PCL (Thailand)		101,100		525
Soho China Ltd. (China)		289,000		228
Standard Bank Group Ltd. (South Africa)		45,633		622

				23,169

Health Care—0.2%
Kalbe Farma Tbk PT (Indonesia)		1,155,000		162

Industrials—7.4%
Aboitiz Equity Ventures, Inc. (Philippines)		311,000		399
Alfa Sab de C.V. (Mexico)		108,600		300
CTCI Corp. (Taiwan)		239,000		414
Doosan Heavy Industries & Construction Co. Ltd. (South Korea)		21,140		732
EcoRodovias Infraestrutura e Logistica S.A. (Brazil)		115,700		789
Grupo Carso Sab de C.V. (Mexico)		22,600		117
Jiangsu Expressway Co., Ltd. (China)		588,000		696
LG Corp. (South Korea)		12,122		749
LS Industrial Systems Co. Ltd. (South Korea)		5,354		349
S-1 Corp. (South Korea)		4,190		337
Samsung Heavy Industries Co., Ltd. (South Korea)		20,420		546
Tav Havalimanlari Holding AS (Turkey)		34,349		273
Zhejiang Expressway Co., Ltd. (China)		542,000		549

				6,250


	SHARES		VALUE
Information Technology—13.2%
Asustek Computer, Inc. (Taiwan)		51,000	$	569
Cielo SA (Brazil)		38,540		794
Delta Electronics, Inc. (Taiwan)		120,000		874
Kinsus Interconnect Technology Corp. (Taiwan)		138,000		619
Lite-On Technology Corp. (Taiwan)		184,184		307
Phison Electronics Corp. (Taiwan)		65,000		524
Quanta Computer, Inc. (Taiwan)		326,000		950
Radiant Opto-Electronics Corp. (Taiwan)		231,260		991
Realtek Semiconductor Corp. (Taiwan)		253,000		802
SK C&C Co. Ltd. (South Korea)		3,529		581
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)		822,000		3,483
Transcend Information, Inc. (Taiwan)		186,000		639

				11,133

Materials—6.4%
China Bluechemical Ltd. Class H (China)		502,000		274
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		291,100		971
Indocement Tunggal Prakarsa Tbk PT (Indonesia)		142,700		271
Jiangxi Copper Co., Ltd. (China)		444,000		702
Kumba Iron Ore Ltd. (South Africa)		16,156		515
MMC Norilsk Nickel ADR (Russia)		43,201		860
Nampak Ltd. (South Africa)		37,656		130
PTT Global Chemical PCL (Thailand)		311,800		649
Semen Gresik (Persero) Tbk PT (Indonesia)		246,600		314
Taiwan Cement Corp. (Taiwan)		451,000		683

				5,369

Telecommunication Services—6.6%
Advanced Info Service PCL (Thailand)		65,400		443
America Movil S.A.B. de C.V. Series L (Mexico)		265,400		276
China Communications Services Corp. Ltd. (China)		480,000		233
China Mobile Ltd. (China)		133,500		1,295
MTN Group Ltd. (South Africa)		50,526		1,064
SK Telecom Co., Ltd. (South Korea)		3,719		869
Telekomunikasi Indonesia Persero Tbk PT (Indonesia)		2,706,000		563
Tim Participacoes S.A. (Brazil)		29,000		169
Turk Telekomunikasyon AS (Turkey)		223,158		645

				5,557

Utilities—2.9%
CEZ AS (Czech Republic)		28,969		875


	SHARES		VALUE
Utilities—(continued)
Huaneng Power International, Inc. Class H (China)		676,000	$	763
Perusahaan Gas Negara Persero Tbk PT (Indonesia)		1,603,500		754

				2,392

TOTAL COMMON STOCKS (Identified Cost $68,568)				72,448

EXCHANGE-TRADED FUNDS—6.2%
iPath MSCI India Index ETN		37,894		2,610
iShares MSCI India ETF		88,600		2,634

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $4,630)				5,244

TOTAL LONG TERM INVESTMENTS—96.3% (Identified cost $76,294)				81,004

SHORT-TERM INVESTMENTS—2.4%
Money Market Mutual Funds—2.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		2,022,044		2,022

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,022)				2,022

TOTAL INVESTMENTS—98.7% (Identified Cost $78,316)				83,026	⁽¹⁾
Other assets and liabilities, net—1.3%				1,127

NET ASSETS—100.0%			$	84,153

Abbreviations:


ADR		American Depositary Receipt
ETF		Exchange-Traded Fund
ETN		Exchange Traded Note

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.


Country Weightings †
China	20	%
Taiwan	14
South Korea	12
Brazil	9
South Africa	8
United States	6
Russia	5
Other	26

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
PREFERRED STOCK—1.5%
Consumer Discretionary—1.5%
Marcopolo S.A. 1.860% (Brazil)		29,100	$	57

TOTAL PREFERRED STOCK (Identified Cost $64)				57

COMMON STOCKS—84.8%
Consumer Discretionary—8.8%
Ace Hardware Indonesia Tbk PT (Indonesia)		985,000		73
Goldlion Holdings Ltd. (Hong Kong)		206,000		83
Pico Far East Holdings Ltd. (Hong Kong)		477,780		111
Truworths International Ltd. (South Africa)		8,900		63

				330

Consumer Staples—21.8%
AVI Ltd. (South Africa)		12,000		69
Compania Cervecerias Unidas SA ADR (Chile)		2,735		64
Embotelladora Andina ADR S.A. (Chile)		3,610		82
Eurocash S.A. (Poland)		6,100		81
Grupo Herdez Sab de CV (Mexico)		19,300		59
Guinness Anchor Bhd (Malaysia)		20,500		84
Massmart Holdings Ltd. (South Africa)		7,700		95
Oldtown Bhd (Malaysia)		109,750		75
Premier Marketing PCL (Thailand)		562,000		175
Wumart Stores, Inc. (China)		42,000		33

				817

Financials—11.9%
ARA Asset Management Ltd. (Singapore)		70,000		100
BFI Finance Indonesia Tbk PT (Indonesia)⁽²⁾		325,000		61
Bolsa Mexicana de Valores Sab de CV SA (Mexico)		27,900		59
Equity Bank Ltd. (Kenya)		164,000		86
Korea Ratings Corp. (South Korea)		2,100		72
Tisco Financial Group PCL (Thailand)		54,700		69

				447

Health Care—2.9%
OdontoPrev S.A. (Brazil)		24,800		107

Industrials—20.8%
ASR Logistics Holdings Ltd (Hong Kong)		591,000		100
Freight Management Holdings Bhd (Malaysia)		108,029		60
Prosegur Cia de Seguridad S.A. (Spain)		10,300		74
Riverstone Holdings Ltd. (Singapore)		172,000		128


	SHARES		VALUE
Industrials—(continued)
S-1 Corp. (South Korea)		1,000	$	80
Taiwan Secom Co., Ltd. (Taiwan)		38,300		100
Turk Traktor Ve Ziraat Makineleri AS (Turkey)		3,700		121
Valid Solucoes e Servicos de Seguranca Em Meios de Pagamento e Identificacao S.A (Brazil)		7,000		120

				783

Information Technology—11.8%
Bitauto Holdings Ltd. ADR (China)⁽²⁾		2,890		141
Lumax International Corp., Ltd. (Taiwan)		55,800		134
MercadoLibre, Inc. (United States)		650		62
Totvs S.A. Com NPV (Brazil)		6,200		107

				444

Materials—6.8%
Cimsa Cimento Sanayi Ve Ticaret AS (Turkey)		5,700		37
Corp. Moctezuma SAB de C.V. (Mexico)		21,300		72
KPX Chemical Co. Ltd. (South Korea)		1,600		96
Synthos SA (Poland)		35,000		51

				256

TOTAL COMMON STOCKS (Identified Cost $3,109)				3,184

WARRANTS—8.6%
Financials—6.4%
Crisil Ltd. Strike price $0.01 Expiration Date 06/02/16 (India)⁽²⁾		5,800		173
eClerx Services Ltd. Strike price $0.01 Expiration Date 12/31/18 (India)⁽²⁾		3,500		67

				240

Industrials—2.2%
Cummins India Ltd. Strike price $0.01 Expiration Date.12/31/18 (India)⁽²⁾		7,800		84

TOTAL WARRANTS (Identified Cost $262)				324

TOTAL LONG TERM INVESTMENTS—94.9% (Identified cost $3,435)				3,565

SHORT-TERM INVESTMENTS—5.5%
Money Market Mutual Funds—5.5%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		206,835		207


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $207)		207

TOTAL INVESTMENTS—100.4% (Identified Cost $3,642)		3,772	⁽¹⁾
Other assets and liabilities, net—(0.4)%		(15	)

NET ASSETS—100.0%	$	3,757

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.


Country Weightings †
Brazil	10	%
India	9
Hong Kong	8
South Korea	7
United States	7
Taiwan	6
Thailand	6
Other	47

Total	100	%

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
PREFERRED STOCK—1.0%
Financials—1.0%
Itau Unibanco Holding S.A. ADR 0.51% (Brazil)		1,346,387	$	19,361

TOTAL PREFERRED STOCK (Identified Cost $16,138)				19,361

COMMON STOCKS—94.8%
Consumer Discretionary—13.2%
Alimentation Couche Tard, Inc. Class B (Canada)		675,402		18,502
Compagnie Financiere Richemont SA Registered Shares (Switzerland)		180,423		18,931
Domino’s Pizza Group plc (United Kingdom)		1,895,180		16,995
Galaxy Entertainment Group Ltd. (Hong Kong)		2,735,286		21,881
Hermes International (France)		54,077		19,956
Luxottica Group SpA (Italy)		142,399		8,242
Naspers Ltd. Class N (South Africa)		197,708		23,275
Paddy Power plc (Ireland)⁽²⁾		262,430		17,249
Persimmon plc (United Kingdom)		1,115,705		24,307
Priceline Group, Inc. (The) (United States)⁽²⁾		33,207		39,948
Sands China Ltd. (China)		5,507,884		41,609
Shaw Communications, Inc. (Canada)		376,546		9,655

				260,550

Consumer Staples—35.7%
British American Tobacco plc (United Kingdom)		1,951,933		116,183
Diageo plc (United Kingdom)		1,597,062		51,001
Hindustan Unilever Ltd. (India)		1,157,049		11,934
ITC Ltd. (India)		8,734,338		47,204
L’Oreal S.A. (France)		154,038		26,545
Lindt & Spruengli AG (Switzerland)		5,714		29,085
Nestle S.A. Registered Shares (Switzerland)		1,099,789		85,200
Pernod-Ricard S.A. (France)		158,066		18,982
Philip Morris International, Inc. (United States)		1,101,845		92,897
Reckitt Benckiser Group plc (United Kingdom)		663,612		57,921
SABMiller plc (United Kingdom)		1,047,100		60,713
Unilever N.V. (Netherlands)		1,974,111		86,379
Wal-Mart de Mexico S.A.B. de C.V. (Mexico)		6,709,395		17,987

				702,031

Energy—4.6%
Core Laboratories N.V. (United States)		302,953		50,611
Enbridge, Inc. (Canada)		854,707		40,555

				91,166


	SHARES		VALUE
Financials—13.2%
Bank of Nova Scotia (Canada)⁽³⁾		598,004	$	39,869
Daito Trust Construction Co., Ltd. (Japan)		211,100		24,818
Housing Development Finance Corp. (India)		5,194,012		85,715
Housing Development Finance Corp. Bank Ltd. (India)		4,884,767		66,723
Housing Development Finance Corp. Bank Ltd. ADR (India)		2,898		136
Link REIT (The) (Hong Kong)		4,190,994		22,549
UBS AG Registered Shares (Switzerland)		1,054,530		19,347

				259,157

Health Care—12.3%
Cie Generale D’optique Essilor International SA (France)		290,271		30,784
CSL Ltd. (Australia)		423,165		26,555
Grifols SA (Spain)		524,158		28,648
Novo Nordisk A/S Class B (Denmark)		1,277,430		58,794
Ramsay Health Care Ltd. (Australia)		624,394		26,789
Roche Holding AG (Switzerland)		239,196		71,344

				242,914

Industrials—8.6%
Bureau Veritas SA (France)		1,433,050		39,775
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		1,409,974		9,724
DKSH Holding AG (Switzerland)⁽³⁾		357,181		27,167
Legrand SA (France)		220,371		13,484
Rolls-Royce Holdings plc (United Kingdom)		1,764,896		32,288
Rolls-Royce Holdings plc C Shares (United Kingdom)		236,496,064		405
SGS SA Registered Shares (Switzerland)		19,138		45,860

				168,703

Information Technology—3.8%
Baidu, Inc. Sponsored ADR (China)⁽²⁾		144,279		26,953
Cielo SA (Brazil)		1,208,124		24,906
Tencent Holdings Ltd. (Cayman Islands)		1,499,835		22,874

				74,733

Materials—3.4%
Air Liquide SA (France)		30,592		4,130
Fresnillo plc (United Kingdom)		1,730,533		25,825
Goldcorp, Inc. (Canada)⁽³⁾		839,466		23,429


	SHARES		VALUE
Materials—(continued)
Silver Wheaton Corp. (Canada)		520,753	$	13,704

				67,088

TOTAL COMMON STOCKS (Identified Cost $1,395,344)				1,866,342

TOTAL LONG TERM INVESTMENTS—95.8% (Identified cost $1,411,482)				1,885,703

SHORT-TERM INVESTMENTS—3.7%
Money Market Mutual Funds—3.7%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		72,852,934		72,853

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $72,853)				72,853

SECURITIES LENDING COLLATERAL—3.9%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.060%)⁽⁴⁾		76,299,471		76,299

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $76,299)				76,299

TOTAL INVESTMENTS—103.4% (Identified Cost $1,560,634)				2,034,855	⁽¹⁾
Other assets and liabilities, net—(3.4)%				(66,923	)

NET ASSETS—100.0%			$	1,967,932

Abbreviations:

ADR	American Depositary Receipt

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion of security is on loan.

⁽⁴⁾	Represents security purchased with cash collateral received for securities on loan.


Country Weightings †
United Kingdom	19	%
United States	16
Switzerland	15
India	10
France	8
Canada	7
Netherlands	4
Other	21

Total	100	%

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—95.3%
Consumer Discretionary—0.9%
Mahindra & Mahindra Ltd (India)		11,546	$	224

Consumer Staples—12.1%
Andersons, Inc. (The) (United States)		11,467		592
BRF - Brasil Foods S.A. ADR (Brazil)		22,096		537
KWS Saat AG (Germany)		442		156
S&W Seed Co. (United States)⁽²⁾		20,193		131
Sanderson Farms, Inc. (United States)		5,290		514
Tyson Foods, Inc. Class A (United States)		29,595		1,111

				3,041

Energy—40.9%
Abraxas Petroleum Corp. (United States)⁽²⁾		52,118		326
Athabasca Oil Corp. (Canada)⁽²⁾		44,363		318
Bankers Petroleum Ltd. (Canada)⁽²⁾		79,270		507
Bellatrix Exploration Ltd. (Canada)⁽²⁾⁽³⁾		70,693		613
Birchcliff Energy Ltd. (Canada)⁽²⁾		18,219		241
Cabot Oil & Gas Corp. (United States)		4,919		168
Canadian Natural Resources Ltd. (Canada)		8,141		374
Canyon Services Group, Inc. (Canada)		23,027		408
Concho Resources, Inc. (United States)⁽²⁾		4,652		672
Continental Resources, Inc. (United States)⁽²⁾		1,323		209
Crew Energy, Inc. (Canada)		17,361		180
EnCana Corp. (Canada)		25,266		599
EQT Corp. (United States)		2,188		234
FX Energy, Inc. (United States)⁽²⁾		56,535		204
Halliburton Co. (United States)		8,384		595
Keyera Corp. (Canada)		4,644		342
MEG Energy Corp. (Canada)⁽²⁾		21,154		771
Nabors Industries Ltd. (Bermuda)		6,167		181
Painted Pony Petroleum Ltd. (Canada)⁽²⁾		19,043		244
Pembina Pipeline Corp. (Canada)		5,636		243
Precision Drilling Corp. (Canada)		28,180		399
Schlumberger Ltd. (United States)		2,338		276
Shawcor Ltd. (Canada)		5,484		305
Suncor Energy, Inc. (Canada)		13,608		580
Trican Well Service Ltd. (Canada)		18,444		298
Trilogy Energy Corp. (Canada)		8,684		238
Valero Energy Corp. (United States)		14,692		736

				10,261

Health Care—0.6%
Evogene Ltd. (Israel)⁽²⁾		9,788		160


	SHARES		VALUE
Industrials—4.7%
AGCO Corp. (United States)		4,644	$	261
JGC Corp. (Japan)		9,700		295
Kubota Corp. Sponsored ADR (Japan)		3,009		214
Lindsay Corp. (United States)		2,792		236
Raven Industries, Inc. (United States)		5,207		172

				1,178

Materials—36.1%
Agrium, Inc. (Canada)		2,722		249
Balchem Corp. (United States)		5,171		277
BHP Billiton Ltd. Sponsored ADR (Australia)		9,806		671
CF Industries Holdings, Inc. (United States)		2,068		497
Detour Gold Corp. (Canada)⁽²⁾		4,309		59
Du Pont (E.I.) de Nemours & Co. (United States)		9,349		612
Dundee Precious Metals, Inc. (Canada)⁽²⁾		12,999		62
First Quantum Minerals Ltd. (Canada)		11,732		251
Fortuna Silver Mines, Inc. (Canada)		10,954		61
Franco-Nevada Corp. (Canada)		15,584		894
Goldcorp, Inc. (Canada)		18,751		523
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		103,298		345
Hudbay Minerals, Inc. (Canada)		27,557		255
Imperial Metals Corp. (Canada)⁽²⁾		33,707		493
MBAC Fertilizer Corp. (Canada)⁽²⁾⁽³⁾		196,244		74
Monsanto Co. (United States)		3,077		384
New Gold, Inc. (Canada)⁽²⁾		37,763		240
Nippon Steel & Sumitomo Metal Corp. (Japan)		56,000		179
Potash Corp. of Saskatchewan, Inc. (Canada)⁽²⁾		11,681		444
Premier Gold Mines Ltd. (Canada)⁽²⁾		23,057		64
Pretium Resources, Inc. (Canada)⁽²⁾		7,951		66
Primero Mining Corp. (Canada)⁽²⁾		7,584		61
Romarco Minerals Inc (Canada)⁽²⁾		68,000		57
Royal Gold, Inc. (United States)		13,583		1,034
Rubicon Minerals Corp (Canada)⁽²⁾		43,223		63
Silver Wheaton Corp. (Canada)		19,895		523
Tahoe Resources, Inc. (Canada)⁽²⁾		11,192		293
Teck Cominco Ltd. Class B (Canada)		8,620		197
Timmins Gold Corp. (Canada)⁽²⁾		33,553		60
Torex Gold Resources, Inc. (Canada)		40,306		62

				9,050

TOTAL COMMON STOCKS (Identified Cost $19,958)				23,914

TOTAL LONG TERM INVESTMENTS—95.3% (Identified cost $19,958)				23,914


	SHARES		VALUE
SHORT-TERM INVESTMENTS—3.9%
Money Market Mutual Funds—3.9%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		974,188	$	974

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $ 974)				974

TOTAL INVESTMENTS—99.2% (Identified Cost $ 20,932)				24,888	⁽¹⁾
Other assets and liabilities, net—0.8%				206

NET ASSETS—100.0%			$	25,094

Abbreviations:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.


Country Weightings †
Canada	47	%
United States	41
Australia	3
Japan	3
Brazil	2
India	1
Mexico	1
Other	2

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities


	SHARES		VALUE
COMMON STOCKS—97.2%
Consumer Discretionary—2.5%
Eutelsat Communications SA (France)		46,855	$	1,628
SES SA (Luxembourg)		55,335		2,099

				3,727

Energy—26.1%
Enbridge, Inc. (Canada)		156,955		7,451
Keyera Corp. (Canada)		24,945		1,838
Kinder Morgan, Inc. (United States)		104,730		3,797
ONEOK, Inc. (United States)		32,645		2,222
Pembina Pipeline Corp. (Canada)		65,995		2,839
Plains GP Holdings LP (United States)		50,520		1,616
Spectra Energy Corp. (United States)		117,890		5,008
TransCanada Corp. (Canada)		105,260		5,023
Williams Cos., Inc. (The) (United States)		157,320		9,158

				38,952

Financials—2.3%
Crown Castle International Corp. (United States)		45,205		3,357

Industrials—14.5%
Abertis Infraestructuras S.A. (Spain)		132,460		3,048
Atlantia SpA (Italy)		131,061		3,736
Auckland International Airport Ltd. (New Zealand)		522,230		1,783
Ferrovial S.A. (Spain)		96,645		2,153
Flughafen Zuerich AG (Switzerland)		2,711		1,666
Fraport AG Frankfurt Airport Services Worldwide (Germany)		23,790		1,681
Sydney Airport (Australia)		474,720		1,889
Transurban Group (Australia)		508,890		3,546
Vinci SA (France)		28,965		2,166

				21,668

Telecommunication Services—20.1%
American Tower Corp. (United States)		35,750		3,217
AT&T, Inc. (United States)		164,110		5,803
BCE, Inc. (Canada)		25,835		1,172
BT Group plc (United Kingdom)		355,465		2,342
Nippon Telegraph & Telephone Corp. ADR (Japan)		42,940		1,340
Singapore Telecommunications Ltd. (Singapore)		733,400		2,264
TDC A/S (Denmark)		199,055		2,060
TELUS Corp. (Canada)		50,695		1,889
Verizon Communications, Inc. (United States)		109,619		5,364


	SHARES		VALUE
Telecommunication Services—(continued)
Vodafone Group plc ADR (United Kingdom)		97,936	$	3,270
Windstream Holdings, Inc. (United States)		127,965		1,275

				29,996

Utilities—31.7%
Allette, Inc. (United States)		26,755		1,374
American Water Works Co., Inc. (United States)		39,260		1,941
APA Group (Australia)		218,385		1,419
Cleco Corp. (United States)		28,040		1,653
CMS Energy Corp. (United States)		47,755		1,488
Dominion Resources, Inc. (United States)		37,235		2,663
DTE Energy Co. (United States)		20,220		1,575
Edison International (United States)		24,595		1,429
Hera SpA (Italy)		474,455		1,351
ITC Holdings Corp. (United States)		38,865		1,418
National Grid plc (United Kingdom)		330,805		4,756
NextEra Energy, Inc. (United States)		42,965		4,403
NiSource, Inc. (United States)		58,465		2,300
Northeast Utilities (United States)		30,805		1,456
Pennon Group plc (United Kingdom)		114,590		1,539
PPL Corp. (United States)		41,615		1,479
Public Service Enterprise Group, Inc. (United States)		43,225		1,763
Questar Corp. (United States)		47,160		1,170
Scottish & Southern Energy plc (United Kingdom)		75,665		2,029
Sempra Energy (United States)		32,895		3,444
Snam Rete Gas SpA (Italy)		242,070		1,458
Terna Rete Elettrica Nazionale S.p.A (Italy)		270,035		1,424
Veolia Environnement SA (France)		105,335		2,007
Wisconsin Energy Corp. (United States)		35,225		1,653

				47,192

TOTAL COMMON STOCKS (Identified Cost $109,447)				144,892

TOTAL LONG TERM INVESTMENTS—97.2% (Identified cost $109,447)				144,892

SHORT-TERM INVESTMENTS—2.1%
Money Market Mutual Funds—2.1%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		3,167,464		3,167

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $3,167)				3,167


TOTAL INVESTMENTS—99.3% (Identified Cost $112,614)		148,059	⁽¹⁾
Other assets and liabilities, net—0.7%		1,093

NET ASSETS—100.0%	$	149,152


ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.


Country Weightings †
United States	51	%
Canada	14
United Kingdom	9
Australia	5
Italy	5
France	4
Spain	3
Other	9

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
PREFERRED STOCK—1.2%
Financials—1.2%
Itau Unibanco Holding S.A. ADR 0.51% (Brazil)		99,772	$	1,435

TOTAL PREFERRED STOCK (Identified Cost $1,182)				1,435

COMMON STOCKS—97.7%
Consumer Discretionary—15.9%
Alimentation Couche Tard, Inc. Class B (Canada)		44,256		1,212
Bally Technologies, Inc. (United States)⁽²⁾		19,834		1,304
Chipotle Mexican Grill, Inc. (United States)⁽²⁾		1,163		689
Galaxy Entertainment Group Ltd. (Hong Kong)		82,484		660
Las Vegas Sands Corp. (United States)		46,697		3,559
Naspers Ltd. Class N (South Africa)		10,607		1,249
Paddy Power plc (Ireland)⁽²⁾		14,075		925
Persimmon plc (United Kingdom)		58,888		1,283
Priceline Group, Inc. (The) (United States)⁽²⁾		3,137		3,774
TJX Cos., Inc. (United States)		35,413		1,882
Twenty-First Century Fox, Inc. Class A (United States)		88,887		3,124

				19,661

Consumer Staples—33.7%
Altria Group, Inc. (United States)		79,640		3,340
British American Tobacco plc (United Kingdom)		121,791		7,249
Coca-Cola Co. (The) (United States)		86,276		3,655
Diageo plc (United Kingdom)		77,466		2,474
Hershey Co. (The) (United States)		24,796		2,414
ITC Ltd. (India)		519,583		2,808
Nestle S.A. Registered Shares (Switzerland)		54,586		4,229
Philip Morris International, Inc. (United States)		73,124		6,165
Reckitt Benckiser Group plc (United Kingdom)		23,831		2,080
SABMiller plc (United Kingdom)		35,493		2,058
Unilever N.V. (Netherlands)		95,836		4,193
Whole Foods Market, Inc. (United States)		21,711		839

				41,504

Energy—2.6%
Core Laboratories N.V. (United States)		6,824		1,140
Enbridge, Inc. (Canada)		44,387		2,106

				3,246

Financials—11.4%
Housing Development Finance Corp. (India)		288,510		4,761


	SHARES		VALUE
Financials—(continued)
Housing Development Finance Corp. Bank Ltd. (India)		272,025	$	3,716
Prosperity Bancshares, Inc. (United States)		1,700		107
UBS AG Registered Shares (Switzerland)		66,573		1,221
Wells Fargo & Co. (United States)		81,220		4,269

				14,074

Health Care—11.5%
Biogen Idec, Inc. (United States)⁽²⁾		5,040		1,589
Celgene Corp. (United States)⁽²⁾		28,018		2,406
Grifols SA (Spain)		32,454		1,774
HealthSouth Corp. (United States)		290		10
Johnson & Johnson (United States)		17,812		1,864
Novo Nordisk A/S Class B (Denmark)		44,068		2,028
Roche Holding AG (Switzerland)		8,274		2,468
Zoetis, Inc. (United States)		61,984		2,000

				14,139

Industrials—5.2%
Bureau Veritas SA (France)		48,927		1,358
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		74,206		512
Precision Castparts Corp. (United States)		4,700		1,186
SGS SA Registered Shares (Switzerland)		839		2,010
TransDigm Group, Inc. (United States)		8,308		1,390

				6,456

Information Technology—14.5%
Baidu, Inc. Sponsored ADR (China)⁽²⁾		7,523		1,405
Cielo SA (Brazil)		67,475		1,391
Cognizant Technology Solutions Corp. Class A (United States)⁽²⁾		42,650		2,086
Google, Inc. Class C (United States)⁽²⁾		4,411		2,538
MasterCard, Inc. Class A (United States)		78,230		5,748
Tencent Holdings Ltd. (Cayman Islands)		95,765		1,460
Visa, Inc. Class A (United States)		15,140		3,190

				17,818

Materials—2.9%
Fresnillo plc (United Kingdom)		91,164		1,361
Goldcorp, Inc. (Canada)⁽³⁾		52,102		1,454
Silver Wheaton Corp. (Canada)		27,870		733

				3,548

TOTAL COMMON STOCKS (Identified Cost $90,397)				120,446


	SHARES		VALUE
TOTAL LONG TERM INVESTMENTS—98.9% (Identified cost $91,579)				121,881

SHORT-TERM INVESTMENTS—0.9%
Money Market Mutual Funds—0.9%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		1,141,934	$	1,142

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,142)				1,142

SECURITIES LENDING COLLATERAL—1.2%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.060%)⁽⁴⁾		1,479,000		1,479	⁽⁴⁾

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $1,479)				1,479

TOTAL INVESTMENTS—101.0% (Identified Cost $94,200)				124,502	⁽¹⁾
Other assets and liabilities, net—(1.0)%				(1,221	)

NET ASSETS—100.0%			$	123,281

Abbreviations:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion of security is on loan.

⁽⁴⁾	Represents security purchased with cash collateral received for securities on loan.


Country Weightings †
United States	51	%
United Kingdom	13
India	9
Switzerland	8
Canada	5
Netherlands	3
Brazil	2
Other	9

Total	100	%

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—99.4%
Consumer Staples Select Sector SPDR Fund		380,170	$	16,963
Energy Select Sector SPDR Fund		170,370		17,054
Financial Select Sector SPDR Fund		753,670		17,138
Health Care Select Sector SPDR Fund		283,520		17,246
Industrial Select Sector SPDR Fund		312,480		16,893
iShares MSCI Canada Index Fund		347,623		11,197
iShares MSCI Emerging Markets Index Fund		788,490		34,086
iShares MSCI Japan Index Fund		916,000		11,029
iShares MSCI Pacific Ex-Japan Index Fund		211,180		10,401
Materials Select Sector SPDR Fund		346,470		17,199
Technology Select Sector SPDR Fund		451,400		17,311
Utilities Select Sector SPDR Fund		395,910		17,523
Vanguard FTSE Europe ETF		537,410		32,218

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $210,811)				236,258

TOTAL LONG TERM INVESTMENTS—99.4% (Identified cost $210,811)				236,258

SHORT-TERM INVESTMENTS—0.1%
Money Market Mutual Funds—0.1%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		193,015		193

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $193)				193

TOTAL INVESTMENTS—99.5% (Identified Cost $211,004)				236,451	⁽¹⁾
Other assets and liabilities, net—0.5%				1,168

NET ASSETS—100.0%			$	237,619

Abbreviations:

ETF	Exchange-Traded Fund

SPDR	S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
COMMON STOCKS—97.4%
Australia—5.1%
BGP Holdings plc^(2)(3)(4)		13,566	$	0
Dexus Property Group		593,440		621
GPT Group		76,500		277
Scentre Group⁽²⁾		295,989		893
Westfield Corp		121,550		820

				2,611

Canada—4.2%
Allied Properties Real Estate Investment Trust		20,485		679
Canadian Real Estate Investment Trust		8,475		365
First Capital Realty, Inc.		23,380		408
RioCan Real Estate Investment Trust		26,562		680

				2,132

Finland—0.6%
Citycon OYJ⁽²⁾		86,470		317

France—1.7%
Fonciere Des Regions		2,554		277
Klepierre		5,120		261
Mercialys SA		14,700		342

				880

Germany—2.0%
Deutsche Annington Immobilien SE		13,780		406
LEG Immobilien AG		9,254		623

				1,029

Hong Kong—3.9%
Hang Lung Properties Ltd.		143,000		441
Hongkong Land Holdings Ltd.		56,900		379
Hysan Development Co. Ltd.		74,000		347
Link REIT (The)		154,504		831

				1,998

Italy—0.1%
Beni Stabili SpA		49,478		45

Japan—5.7%
AEON Mall Co., Ltd.		14,377		379
GLP J-REIT		356		399
Industrial & Infrastructure Fund Investment Corp.		23		206
Japan Prime Realty Investment Corp.		26		93
Japan Real Estate Investment Corp.		56		326
Kenedix Realty Investment Corp.		64		348


	SHARES		VALUE
Japan—(continued)
Nippon Building Fund, Inc.		61	$	357
Nippon Prologis REIT, Inc.		170		396
Nomura Real Estate Office Fund, Inc.		64		302
Tokyu REIT, Inc.		80		112

				2,918

Mexico—1.9%
Prologis Property Mexico SA de CV⁽²⁾		306,800		651
TF Administradora Industrial S de Rl de CV		146,222		327

				978

Netherlands—3.1%
Unibail-Rodamco SE		5,373		1,563

Norway—0.6%
Norwegian Property ASA⁽²⁾		242,575		299

Singapore—3.6%
CapitaMall Trust		266,450		422
CapitaRetail China Trust		374,331		444
Global Logistic Properties Ltd.		332,500		720
Mapletree Logistics Trust		291,545		273

				1,859

Sweden—0.8%
Castellum AB		23,340		414

United Kingdom—7.6%
Big Yellow Group plc		38,728		329
British Land Co. plc		47,400		570
Derwent London plc		5,310		243
Great Portland Estates plc		18,171		200
Hammerson plc		63,320		629
Land Securities Group plc		44,131		782
Safestore Holdings plc		121,726		454
SEGRO plc		63,490		375
Unite Group PLC / The		46,500		314

				3,896

United States—56.5%
American Campus Communities, Inc.		15,638		598
AvalonBay Communities, Inc.		7,945		1,130
Boston Properties, Inc.		9,228		1,091
Brixmor Property Group, Inc.		9,883		227
Camden Property Trust		12,510		890
DCT Industrial Trust, Inc.		134,393		1,103


	SHARES		VALUE
United States—(continued)
DDR Corp.		43,845	$	773
Douglas Emmett, Inc.		24,269		685
Duke Realty Corp.		36,800		668
EastGroup Properties, Inc.		1,700		109
Equity Lifestyle Properties, Inc.		5,246		232
Equity Residential		23,515		1,481
Essex Property Trust, Inc.		7,429		1,374
Extra Space Storage, Inc.		18,695		996
General Growth Properties, Inc.		59,219		1,395
HCP, Inc.		20,529		849
Highwoods Properties, Inc.		7,510		315
Host Hotels & Resorts, Inc.		34,308		755
Kilroy Realty Corp.		19,275		1,200
Kimco Realty Corp.		26,285		604
LaSalle Hotel Properties		15,115		533
Liberty Property Trust		23,167		879
Macerich Co. (The)		19,273		1,286
Pebblebrook Hotel Trust		22,959		849
Prologis, Inc.		41,648		1,711
Public Storage		11,290		1,935
Simon Property Group, Inc.		18,731		3,115
SL Green Realty Corp.		3,786		414
Tanger Factory Outlet Centers		21,600		755
Ventas, Inc.		12,072		774
Washington Prime Group, Inc.⁽²⁾		11,616		218

				28,944

TOTAL COMMON STOCKS (Identified Cost $41,868)				49,883

RIGHTS—0.1%
Finland—0.1%
Citycon Oyj⁽²⁾⁽⁴⁾		12,352		45

TOTAL RIGHTS (Identified Cost $44)				45

TOTAL LONG TERM INVESTMENTS—97.5% (Identified cost $41,912)				49,928


	SHARES		VALUE
SHORT-TERM INVESTMENTS—3.2%
Money Market Mutual Funds—3.2%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		1,637,909	$	1,638

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $ 1,638)				1,638

TOTAL INVESTMENTS—100.7% (Identified Cost $ 43,550)				51,566	⁽¹⁾
Other assets and liabilities, net—(0.7)%				(341	)

NET ASSETS—100.0%			$	51,225

Abbreviations:

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.


Country Weightings †
United States	59	%
United Kingdom	7
Japan	6
Australia	5
Canada	4
Hong Kong	4
Singapore	4
Other	11

Total	100	%

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—95.1%
Consumer Discretionary—15.4%
Barrat Developments plc (United Kingdom)		43,662	$	279
Compagnie Financiere Richemont SA Registered Shares (Switzerland)		4,032		423
Domino’s Pizza Group plc (United Kingdom)		20,832		187
Hermes International (France)		535		197
Luxottica Group SpA (Italy)		7,299		423
Naspers Ltd. Class N (South Africa)		1,963		231
Paddy Power plc (Ireland)⁽²⁾		4,422		291
Persimmon plc (United Kingdom)		13,654		297
Priceline.com LLC (United States)⁽²⁾		297		357
William Hill plc (United Kingdom)		42,725		240

				2,925

Consumer Staples—34.1%
Anheuser-Busch InBev N.V. (Belgium)		3,334		383
British American Tobacco plc (United Kingdom)		16,452		979
Diageo plc (United Kingdom)		16,948		541
L’Oreal S.A. (France)		2,016		348
Lindt & Spruengli AG (Switzerland)		42		214
Nestle S.A. Registered Shares (Switzerland)		9,849		763
Pernod-Ricard S.A. (France)		2,106		253
Philip Morris International, Inc. (United States)		9,461		798
Reckitt Benckiser Group plc (United Kingdom)		6,890		601
SABMiller plc (United Kingdom)		14,191		823
Unilever N.V. (Netherlands)		17,465		764

				6,467

Energy—3.3%
Core Laboratories N.V. (United States)		3,717		621

Financials—5.5%
Countrywide plc (United Kingdom)		11,721		103
Reinet Investments SCA (Luxembourg)		8,943		206
Svenska Handelsbanken AB Class A (Sweden)		4,767		233
UBS AG Registered Shares (Switzerland)		17,586		323
Unibail-Rodamco SE (France)		637		185

				1,050

Health Care—15.3%
Cie Generale D’optique Essilor International SA (France)		2,885		306
Elekta AB (Sweden)		10,877		139
Grifols SA (Spain)		10,250		560


	SHARES		VALUE
Health Care—(continued)
Novartis AG Registered Shares (Switzerland)		1,813	$	164
Novo Nordisk A/S Class B (Denmark)		12,195		561
Novozymes A/S Class B (Denmark)		4,410		221
Roche Holding AG (Switzerland)		3,153		941

				2,892

Industrials—12.8%
Airbus Group NV (United States)		2,195		147
Bureau Veritas SA (France)		17,799		494
DKSH Holding AG (Switzerland)		4,067		309
Indutrade AB (Sweden)		4,841		226
Intertek Group plc (United Kingdom)		1,401		66
Legrand SA (France)		2,137		131
Rolls-Royce Holdings plc C Shares (United Kingdom)		2,630,018		4
Rolls-Royce Holdings plc C Shares (United Kingdom)⁽²⁾		20,827		381
SGS SA Registered Shares (Switzerland)		148		355
Zodiac Aerospace (France)		9,145		310

				2,423

Information Technology—2.3%
Accenture plc Class A (United States)		2,596		210
Wirecard AG (Germany)		5,173		223

				433

Materials—6.4%
Air Liquide SA (France)		2,595		351
Fresnillo plc (United Kingdom)		25,240		377
Randgold Resources Ltd. (Jersey)		1,658		138
Randgold Resources Ltd. ADR (Jersey)		1,823		154
Sika AG (Switzerland)		47		192

				1,212

TOTAL COMMON STOCKS (Identified Cost $14,429)				18,023

TOTAL LONG TERM INVESTMENTS—95.1% (Identified cost $14,429)				18,023

SHORT-TERM INVESTMENTS—7.0%
Money Market Mutual Funds—7.0%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		1,334,220		1,334

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,334)				1,334

Abbreviations:


ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.


Country Weightings †
United Kingdom	25	%
Switzerland	19
United States	18
France	13
Denmark	4
Netherlands	4
Sweden	3
Other	14

Total	100	%

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
CLOSED END FUNDS—85.9%
Convertible Funds—6.0%
AllianzGI Equity & Convertible Income Fund		37,208	$	752
Putnam High Income Securities Fund		44,103		384

				1,136

Equity Funds—31.0%
Adams Express Co.		42,270		581
Alpine Total Dynamic Dividend Fund		56,634		505
ASA Gold and Precious Metals Ltd.		4,500		66
Boulder Growth & Income Fund, Inc.		14,323		122
Cohen & Steers Infrastructure Fund, Inc.		18,500		453
Cohen & Steers REIT and Preferred Income Fund, Inc.		21,491		388
Cohen & Steers Total Return Realty Fund, Inc.		16,684		207
Eaton Vance Tax-Advantaged Dividend Income Fund		5,363		111
First Opportunity Fund, Inc.		21,721		209
Gabelli Healthcare & WellnessRx Trust (The)		25,082		259
General American Investors Co., Inc.		12,235		450
Goldman Sachs MLP Income Opportunities Fund		16,300		339
H&Q Healthcare Investors		5,000		132
Kayne Anderson Energy Total Return Fund, Inc.		16,060		521
Liberty All Star Equity Fund		57,389		345
LMP Capital and Income Fund, Inc.		21,665		384
Petroleum & Resources Corp.		12,354		385
RMR Real Estate Income Fund		10,502		207
Tortoise Energy Independence Fund, Inc.		4,190		118
Tri-Continental Corp.		5,847		123

				5,905

Income Funds—25.5%
American Income Fund, Inc.		78,797		611
American Select Portfolio		50,113		536
BlackRock Credit Allocation Income Trust IV		18,768		258
First Trust High Income Long/Short Fund		25,400		461
First Trust Intermediate Duration Preferred & Income Fund		35,871		820
First Trust Mortgage Income Fund		20,300		322
Guggenheim Build America Bonds Managed Duration Trust		4,219		93
Montgomery Street Income Securities, Inc.		6,207		104
Morgan Stanley Income Securities, Inc.		6,582		119
Nuveen Credit Strategies Income Fund		81,725		765


	SHARES		VALUE
Income Funds—(continued)
Putnam Master Intermediate Income Trust		13,600	$	70
Putnam Premier Income Trust		72,407		402
TCW Strategic Income Fund, Inc.		42,661		235
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund		5,000		62

				4,858

International Equity Funds—15.2%
Aberdeen Indonesia Fund, Inc. (The)		2,210		21
Aberdeen Japan Equity Fund, Inc.		61,284		436
Aberdeen Singapore Fund, Inc.		5,100		67
Alpine Global Dynamic Dividend Fund		46,097		484
Brookfield Global Listed Infrastructure Income Fund, Inc.		14,217		356
Clough Global Opportunities Fund		19,477		253
Delaware Enhanced Global Dividend and Income Fund		10,400		132
Japan Smaller Capitalization Fund, Inc.		38,777		366
Korea Fund, Inc. (The)⁽²⁾		5,918		253
Macquarie Global Infrastructure Total Return Fund, Inc.		4,900		126
New Germany Fund, Inc. (The)		15,933		297
Templeton Dragon Fund, Inc.		4,400		114

				2,905

International Income Funds—4.8%
Aberdeen Asia-Pacific Income Fund, Inc.		17,034		107
Pimco Dynamic Credit Income Fund		34,300		817

				924

Municipal Bond Funds—3.4%
Nuveen Dividend Advantage Municipal Fund 3		20,900		286
Nuveen Dividend Advantage Municipal Income Fund		25,334		359

				645

TOTAL CLOSED END FUNDS (Identified Cost $15,309)				16,373

PREFERRED STOCK—4.0%
Financials—4.0%
Oxford Lane Capital Corp.⁽²⁾		16,516		405
Oxford Lane Capital Corp.⁽²⁾		14,227		360

TOTAL PREFERRED STOCK (Identified Cost $753)				765


	PAR VALUE		VALUE
RIGHTS—0.1%
Gabelli Healthcare & WellnessRx Trust		25,082	$	10

TOTAL RIGHTS (Identified Cost $0)				10

TOTAL LONG TERM INVESTMENTS—90.0% (Identified cost $16,062)				17,148


	SHARES		VALUE
SHORT-TERM INVESTMENTS—11.1%
Money Market Mutual Funds—11.1%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		2,118,212		2,118

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,118)				2,118

TOTAL INVESTMENTS—101.1% (Identified Cost $18,180)				19,266	⁽¹⁾
Other assets and liabilities, net—(1.1)%				(218	)

NET ASSETS—100.0%			$	19,048

Abbreviations:

REIT	Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE		VALUE
MUNICIPAL BONDS—0.4%
Iowa—0.2%
State Finance Authority Midwestern Disaster Area, Iowa Fertilizer Co. LLC Project Taxable 5.500%, 12/1/22	$	155	$	161

Puerto Rico—0.2%
Commonwealth of Puerto Rico Series A, 5.750%, 7/1/41		310		224

TOTAL MUNICIPAL BONDS (Identified Cost $399)				385

MORTGAGE-BACKED SECURITIES—1.5%
Non-Agency—1.5%
Banc of America Alternative Loan Trust 07-2, 2A4 5.750%, 6/25/37		225		177
Citigroup Mortgage Loan Trust, Inc. 05-5, 2A3 5.000%, 8/25/35		172		174
Goldman Sachs Mortgage Pass-Through- Securities Mortgage Loan Trust 05-RP1, 1A3 144A 8.000%, 1/25/35⁽³⁾		205		217
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽³⁾		270		279
Residential Accredit Loans, Inc. 05-QS1, A5 5.500%, 1/25/35		216		219
Residential Asset Securities Corp. 01-KS2, AI5 7.514%, 6/25/31⁽²⁾		232		235

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,274)				1,301

ASSET-BACKED SECURITIES—0.5%
LEAF Receivables Funding 9 LLC 13-1, E1 144A 6.000%, 9/15/21⁽³⁾		270		276
Terwin Mortgage Trust 04-15AL, A1 144A 5.676%, 7/25/34⁽²⁾⁽³⁾		122		119

TOTAL ASSET-BACKED SECURITIES (Identified Cost $380)				395

CORPORATE BONDS—79.1%
Consumer Discretionary—19.0%
Ashton Woods USA LLC (Ashton Woods Finance Co.) 144A 6.875%, 2/15/21⁽³⁾		340		341


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Boyd Gaming Corp. 9.000%, 7/1/20	$	500	$	553
Brookfield Residential Properties, Inc.
144A 6.500%, 12/15/20⁽³⁾		385		409
144A 6.125%, 7/1/22⁽³⁾		35		37
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20		500		421
Caesars Entertainment Resort Properties LLC
144A 8.000%, 10/1/20⁽³⁾		235		247
144A 11.000%, 10/1/21⁽³⁾		410		443
Caesars Growth Properties Holdings LLC 144A 9.375%, 5/1/22⁽³⁾		260		264
CCO Holdings LLC (CCO Holdings Capital Corp.) 6.500%, 4/30/21		415		444
Cequel Communications Holdings I LLC 144A 6.375%, 9/15/20⁽³⁾		650		694
Chrysler Group LLC 8.250%, 6/15/21		380		431
Churchill Downs, Inc. 144A 5.375%, 12/15/21⁽³⁾		300		308
Clear Channel Communications, Inc. 144A 10.000%, 1/15/18⁽³⁾		180		175
Clear Channel Worldwide Holdings, Inc.
Series B 7.625%, 3/15/20		780		845
Series A 7.625%, 3/15/20		130		140
Columbus International, Inc. 144A 7.375%, 3/30/21⁽³⁾		245		265
DISH DBS Corp. 5.000%, 3/15/23		640		654
GLP Capital LP (GLP Financing II, Inc.)
144A 4.375%, 11/1/18⁽³⁾		10		10
144A 4.875%, 11/1/20⁽³⁾		205		211
144A 5.375%, 11/1/23⁽³⁾		5		5
GRD Holdings III Corp. 144A 10.750%, 6/1/19⁽³⁾		320		360
Guitar Center, Inc.
144A 6.500%, 4/15/19⁽³⁾		250		248
144A 9.625%, 4/15/20⁽³⁾		90		86
Hilton Worldwide Finance LLC 144A 5.625%, 10/15/21⁽³⁾		440		468
Hot Topic, Inc. 144A 9.250%, 6/15/21⁽³⁾		260		290
Isle of Capri Casinos, Inc. 5.875%, 3/15/21		390		396
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		355		392
Lear Corp. 5.375%, 3/15/24		245		253
Mediacom Broadband LLC 144A 5.500%, 4/15/21⁽³⁾		250		254
Meritor, Inc. 6.750%, 6/15/21		445		481


	PAR VALUE			VALUE
Consumer Discretionary—(continued)
MGM Resorts International 6.750%, 10/1/20	$	760		$	850
Mohegan Tribal Gaming Authority 9.750%, 9/1/21		450			502
Numericable Group SA
144A 6.000%, 5/15/22⁽³⁾		200			208
144A 6.250%, 5/15/24⁽³⁾		200			209
Penn National Gaming, Inc. 144A 5.875%, 11/1/21⁽³⁾		140			133
Pinnacle Entertainment, Inc. 7.500%, 4/15/21		500			540
Playa Resorts Holding B.V. 144A 8.000%, 8/15/20⁽³⁾		200			217
Quiksilver Wholesale, Inc. 10.000%, 8/1/20		200			202
Rent-A-Center, Inc. 6.625%, 11/15/20		250			262
Scientific Games International, Inc. 144A 6.625%, 5/15/21⁽³⁾		270			268
Sinclair Television Group, Inc. 5.375%, 4/1/21		560			566
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20⁽³⁾		430			425
Six Flags Entertainment Corp. 144A 5.250%, 1/15/21⁽³⁾		365			375
Taylor Morrison Communities, Inc. 144A 5.250%, 4/15/21⁽³⁾		475			485
United Artists Theatre Circuit, Inc.
Series BD-1 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		95			96
Series AW-0 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		—	⁽¹¹⁾		1
Series BE-9 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		3			3
Series 95-A 9.300%, 7/1/15⁽⁵⁾⁽⁶⁾		84			85
Univision Communications, Inc. 144A 8.500%, 5/15/21⁽³⁾		365			407
VTR Finance B.V. 144A 6.875%, 1/15/24⁽³⁾		250			269
WMG Acquisition Corp.
144A 5.625%, 4/15/22⁽³⁾		250			252
144A 6.750%, 4/15/22⁽³⁾		250			251

					16,731

Consumer Staples—3.4%
Darling Ingredients, Inc. Escrow Corp. 144A 5.375%, 1/15/22⁽³⁾		440			458
Elizabeth Arden, Inc. 7.375%, 3/15/21		165			176
Ingles Markets, Inc. 5.750%, 6/15/23		550			560
Post Holdings, Inc. 6.000%, 12/15/22⁽³⁾		250			256
Rite Aid Corp. 6.750%, 6/15/21		250			272
Roundy’s Supermarkets, Inc. 144A 10.250%, 12/15/20⁽³⁾		250			265
Spectrum Brands Escrow Corp. 6.375%, 11/15/20		385			417


	PAR VALUE		VALUE
Consumer Staples—(continued)
SUPERVALU, Inc. 6.750%, 6/1/21	$	300	$	310
Vector Group Ltd. 7.750%, 2/15/21		300		321

				3,035

Energy—11.8%
Atlas Energy Holdings Operating Co. LLC 144A 7.750%, 1/15/21⁽³⁾		95		99
BreitBurn Energy Partners 7.875%, 4/15/22		360		393
Calumet Specialty Products Partners LP 144A 6.500%, 4/15/21⁽³⁾		445		456
CHC Helicopter SA 9.250%, 10/15/20		252		276
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21		235		234
CONSOL Energy, Inc. 144A 5.875%, 4/15/22⁽³⁾		260		273
Denbury Resources, Inc. 5.500%, 5/1/22		285		292
Endeavor Energy Resources LP 144A 7.000%, 8/15/21⁽³⁾		55		59
Energy Transfer Equity LP 144A 5.875%, 1/15/24⁽³⁾		345		362
Energy XXI Gulf Coast, Inc. 7.500%, 12/15/21		500		538
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		250		259
EP Energy LLC 9.375%, 5/1/20		215		247
EV Energy Partners LP 8.000%, 4/15/19		125		132
Exterran Partners LP 144A 6.000%, 10/1/22⁽³⁾		355		362
Forest Oil Corp. 7.250%, 6/15/19		329		327
FTS International, Inc. 144A 6.250%, 5/1/22⁽³⁾		190		195
Gulfmark Offshore, Inc. 6.375%, 3/15/22		400		418
Halcon Resources Corp. 8.875%, 5/15/21		390		421
Laredo Petroleum, Inc. 5.625%, 1/15/22		350		364
Linn Energy LLC (Linn Energy Finance Corp.) 7.750%, 2/1/21		490		531
MEG Energy Corp. 144A 7.000%, 3/31/24⁽³⁾		375		414
Memorial Production Partners LP 7.625%, 5/1/21		290		306
NGL Energy Partners LP (NGL Energy Finance Corp.) 144A 5.125%, 7/15/19⁽³⁾		160		161
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22⁽³⁾		236		253
Pacific Rubiales Energy Corp. 144A 7.250%, 12/12/21⁽³⁾		335		374
Parker Drilling Co. (The) 7.500%, 8/1/20		275		298
PHI, Inc. 144A 5.250%, 3/15/19⁽³⁾		120		123
QEP Resources, Inc. 6.875%, 3/1/21		410		462
Regency Energy Partners LP 5.875%, 3/1/22		390		425


	PAR VALUE		VALUE
Energy—(continued)
Rosetta Resources, Inc. 5.875%, 6/1/22	$	280	$	293
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		285		303
Targa Resources Partners LP 6.375%, 8/1/22		420		459
Tullow Oil plc 144A 6.000%, 11/1/20⁽³⁾		270		281

				10,390

Financials—10.4%
Aircastle Ltd. 5.125%, 3/15/21		470		486
CareTrust Partnership LP 144A 5.875%, 6/1/21⁽³⁾		250		253
CIT Group, Inc. 3.875%, 2/19/19		400		407
CNL Lifestyle Properties, Inc. 7.250%, 4/15/19		500		528
DuPont Fabros Technology LP 5.875%, 9/15/21		305		320
First Cash Financial Services, Inc. 144A 6.750%, 4/1/21⁽³⁾		205		219
General Motors Financial Co., Inc. 6.750%, 6/1/18		205		234
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.)
6.000%, 8/1/20		150		161
5.875%, 2/1/22		250		262
International Lease Finance Corp. 5.875%, 8/15/22		840		918
iStar Financial, Inc.
4.875%, 7/1/18		335		338
5.000%, 7/1/19		195		196
Landry’s Holdings II, Inc. 144A 10.250%, 1/1/18⁽³⁾		175		186
Level 3 Financing, Inc.
7.000%, 6/1/20		200		220
144A 6.125%, 1/15/21⁽³⁾		250		269
MPT Operating Partnership LP 5.500%, 5/1/24		100		103
Nationstar Mortgage LLC 6.500%, 7/1/21		610		613
Navient Corp.
(SLM Corp.) 4.875%, 6/17/19		75		77
(SLM Corp.) 5.500%, 1/25/23		240		238
Sabra Health Care LP 5.500%, 2/1/21		180		189
Springleaf Finance Corp. 6.500%, 9/15/17		300		327
Sprint Capital Corp.
6.900%, 5/1/19		265		294
6.875%, 11/15/28		520		528
UPCB Finance Ltd.
Series V 144A 7.250%, 11/15/21⁽³⁾		250		276
Series VI 144A 6.875%, 1/15/22⁽³⁾		150		165
Voya Financial, Inc. ( f.k.a. ING (U.S.), Inc.) 5.650%, 5/15/53⁽²⁾		570		583


	PAR VALUE		VALUE
Financials—(continued)
Walter Investment Management Corp. 144A 7.875%, 12/15/21⁽³⁾	$	410	$	429
WideOpenWest Finance LLC 10.250%, 7/15/19		265		299

				9,118

Health Care—8.7%
Acadia Healthcare Co., Inc. 144A 5.125%, 7/1/22⁽³⁾		105		106
Alere, Inc. 6.500%, 6/15/20		415		438
Catamaran Corp. 4.750%, 3/15/21		325		329
Centene Corp. 4.750%, 5/15/22		240		244
Community Health Systems, Inc. (CHS)
144A 5.125%, 8/1/21⁽³⁾		535		551
144A 6.875%, 2/1/22⁽³⁾		320		341
Crimson Merger Sub, Inc. 144A 6.625%, 5/15/22⁽³⁾		265		263
DaVita Healthcare Partners, Inc. 5.125%, 7/15/24		230		232
Endo Finance LLC (Endo Finco, Inc.) 144A 5.375%, 1/15/23⁽³⁾		265		266
Envision Healthcare Corp. 5.125%, 7/1/22⁽³⁾		250		253
HCA, Inc.
6.500%, 2/15/20		775		874
7.500%, 2/15/22		415		480
LifePoint Hospitals, Inc. 144A 5.500%, 12/1/21⁽³⁾		155		163
MPH Acquisition Holdings LLC 144A 6.625%, 4/1/22⁽³⁾		445		467
Par Pharmaceutical Cos., Inc. 7.375%, 10/15/20		350		382
Salix Pharmaceuticals Ltd. 144A 6.000%, 1/15/21⁽³⁾		80		86
Select Medical Corp.
6.375%, 6/1/21		265		278
144A 6.375%, 6/1/21⁽³⁾		135		142
Tenet Healthcare Corp.
6.000%, 10/1/20		310		337
4.500%, 4/1/21		230		232
8.125%, 4/1/22		635		736
Valeant Pharmaceuticals International, Inc.
Escrow Corp.
144A 6.750%, 8/15/18⁽³⁾		155		167
144A 7.250%, 7/15/22⁽³⁾		300		325

				7,692

Industrials—6.2%
AAR Corp. 7.250%, 1/15/22		285		313


	PAR VALUE		VALUE
Industrials—(continued)
ADS Waste Holdings, Inc. 8.250%, 10/1/20	$	250	$	271
ADT Corp. (The) 6.250%, 10/15/21		620		659
Ahern Rentals, Inc. 144A 9.500%, 6/15/18⁽³⁾		300		332
Air Canada 144A 6.750%, 10/1/19⁽³⁾		310		338
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾		250		259
CPG Merger Sub LLC 144A 8.000%, 10/1/21⁽³⁾		90		95
Dycom Investments, Inc. 7.125%, 1/15/21		250		270
Garda World Security Corp. 144A 7.250%, 11/15/21⁽³⁾		300		317
Harland Clarke Holdings Corp. 144A 9.250%, 3/1/21⁽³⁾		350		368
Iron Mountain, Inc. 5.750%, 8/15/24		425		440
Ply Gem Industries, Inc. 144A 6.500%, 2/1/22⁽³⁾		295		286
Rexel SA 144A 5.250%, 6/15/20⁽³⁾		335		350
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽³⁾		250		279
Spirit AeroSystems, Inc. 144A 5.250%, 3/15/22⁽³⁾		140		142
TransDigm, Inc. 144A 6.000%, 7/15/22⁽³⁾		440		453
United Rentals, Inc. 5.750%, 11/15/24		300		312

				5,484

Information Technology—3.5%
Alcatel-Lucent USA, Inc. 144A 6.750%, 11/15/20⁽³⁾		335		358
Avaya, Inc. 144A 7.000%, 4/1/19⁽³⁾		500		503
Ceridian LLC (Comdata, Inc.) 144A 8.125%, 11/15/17⁽³⁾		10		10
CommScope, Inc. 144A 5.000%, 6/15/21⁽³⁾		140		144
First Data Corp. 11.750%, 8/15/21		970		1,154
Infor Software Parent LLC PIK Interest Capitalization, 144A 7.125%, 5/1/21^(3)(10)		255		262
Interactive Data Corp. 144A 5.875%, 4/15/19⁽³⁾		360		369
Sanmina Corp. 144A 4.375%, 6/1/19⁽³⁾		80		80
SunGard Availability Services Capital, Inc. 144A 8.750%, 4/1/22⁽³⁾		180		168

				3,048

Materials—6.9%
Ardagh Packaging Finance plc
144A 6.250%, 1/31/19⁽³⁾		295		303
144A 9.125%, 10/15/20⁽³⁾		275		302
144A 6.750%, 1/31/21⁽³⁾		295		305
Beverage Packaging Holdings Luxembourg II SA 144A 6.000%, 6/15/17⁽³⁾		215		221


	PAR VALUE		VALUE
Materials—(continued)
Cascades, Inc. 7.875%, 1/15/20	$	880	$	939
Cemex SAB de CV
144A 9.500%, 6/15/18⁽³⁾		225		259
144A 7.250%, 1/15/21⁽³⁾		245		270
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		190		193
Hexion U.S. Finance Corp. 6.625%, 4/15/20		215		229
INEOS Finance plc 144A 7.500%, 5/1/20⁽³⁾		220		240
INEOS Group Holdings SA
144A 6.125%, 8/15/18⁽³⁾		235		244
144A 5.875%, 2/15/19⁽³⁾		340		349
Rayonier AM Products, Inc. 144A 5.500%, 6/1/24⁽³⁾		140		143
Reynolds Group Issuer, Inc. 8.250%, 2/15/21		665		727
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽³⁾		500		530
Tronox Finance LLC 6.375%, 8/15/20		230		239
United States Steel Corp. 6.875%, 4/1/21		340		364
Vedanta Resources plc 144A 9.500%, 7/18/18⁽³⁾		200		232

				6,089

Telecommunication Services—7.5%
CenturyLink, Inc. Series V 5.625%, 4/1/20		550		584
Cogent Communications Finance, Inc. 144A 5.625%, 4/15/21⁽³⁾		250		249
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		310		339
Frontier Communications Corp. 8.500%, 4/15/20		335		397
MetroPCS Wireless, Inc. 6.625%, 11/15/20		310		332
Millicom International Cellular SA 144A 6.625%, 10/15/21⁽³⁾		225		243
RCN Telecom Services LLC 144A 8.500%, 8/15/20⁽³⁾		500		538
SBA Communications Corp. 4.875%, 7/15/22⁽³⁾		250		248
Sprint Communications, Inc. 6.000%, 11/15/22		270		277
Sprint Corp.
144A 7.250%, 9/15/21⁽³⁾		525		581
144A 7.875%, 9/15/23⁽³⁾		270		301
T-Mobile USA, Inc.
6.250%, 4/1/21		490		522
6.125%, 1/15/22		230		245
6.836%, 4/28/23		210		229
6.500%, 1/15/24		235		252
Vimpel Communications OJSC 144A 7.748%, 2/2/21⁽³⁾⁽⁷⁾		220		243


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Wind Acquisition Finance S.A.
144A 7.250%, 2/15/18⁽³⁾	$	370	$	391
144A 4.750%, 7/15/20⁽³⁾		220		222
Windstream Corp. 7.750%, 10/1/21		340		373

				6,566

Utilities—1.7%
AmeriGas Partners LP 7.000%, 5/20/22		200		222
Calpine Corp.
144A 7.500%, 2/15/21⁽³⁾		262		284
144A 6.000%, 1/15/22⁽³⁾		35		38
NRG Energy, Inc.
7.875%, 5/15/21		210		234
144A 6.250%, 7/15/22⁽³⁾		250		267
Texas Competitive Electric Holdings Co., LLC 144A 11.500%, 10/1/20⁽³⁾⁽⁹⁾		500		459

				1,504

TOTAL CORPORATE BONDS (Identified Cost $66,376)				69,657

LOAN AGREEMENTS⁽²⁾—15.3%
Consumer Discretionary—3.2%
Brickman Group Holdings, Inc. Second Lien, 7.500%, 12/17/21⁽⁸⁾		173		176
Caesars Entertainment Operating Co., Inc. Tranche B-7, 9.750%, 1/28/18		166		164
CBAC Borrower LLC Tranche B, 8.250%, 7/2/20		142		148
Clear Channel Communications, Inc. Tranche D, 6.900%, 1/30/19		1,079		1,076
Granite Broadcasting Corp. Tranche B, First Lien 6.750%, 5/23/18		111		111
Jason, Inc. 0.000%, 5/21/21⁽⁸⁾		73		73
Liberty Cablevision of Puerto Rico LLC Second Lien, 0.000%, 6/26/23⁽⁸⁾		32		32
Marina District Finance Co., Inc. 6.750%, 8/15/18		249		253
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		335		344
Transtar Holding Co. Second Lien, 10.000%, 10/9/19		200		199
TWCC Holding Corp. Second Lien, 7.000%, 6/26/20		202		201

				2,777


	PAR VALUE		VALUE
Consumer Staples—1.0%
AdvancePierre Foods, Inc. Second Lien, 9.500%, 10/10/17	$	290	$	282
Crossmark Holdings, Inc. Second Lien, 8.750%, 12/21/20		190		189
New Hostess Brand Acquisition LLC Tranche B, 6.750%, 4/9/20		261		271
Shearer’s Foods LLC 0.000%, 6/17/22⁽⁸⁾		150		152

				894

Energy—2.0%
Chief Exploration & Development LLC 0.000%, 5/16/21⁽⁸⁾		183		187
Fieldwood Energy LLC Second Lien, 8.380%, 9/30/20		285		295
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		159		160
NGPL Pipeco LLC 6.750%, 9/15/17		238		239
Quicksilver Resources, Inc. Second Lien, 7.000%, 6/21/19		202		198
Sabine Oil & Gas LLC Second Lien, 8.750%, 12/31/18		285		291
Templar Energy LLC Second Lien, 8.000%, 11/25/20		355		353

				1,723

Financials—0.6%
Asurion LLC Second Lien, 8.500%, 3/3/21		295		307
Nuveen Investments, Inc. Tranche B, Second Lien, 6.500%, 2/28/19		191		193

				500

Health Care—2.1%
American Renal Holdings, Inc. Second Lien, 8.500%, 3/20/20		292		293
Ardent Medical Services, Inc.
First Lien, 6.750%, 7/2/18		153		154
Second Lien, 11.000%, 1/2/19		86		86
Curo Health Services LLC first Lien, 5.750%, 6/8/20		80		79
Gentiva Health Services, Inc. Tranche B, 6.500%, 10/18/19		430		430
MMM Holdings, Inc. 9.750%, 12/12/17		93		94
MSO of Puerto Rico, Inc. 9.750%, 12/12/17		67		68
PharMEDium Healthcare Corp. Second Lien, 7.750%, 1/28/22		76		77


	PAR VALUE		VALUE
Health Care—(continued)
Regional Care, Inc. (RCHP, Inc.) First Lien, 6.000%, 4/23/19	$	173	$	173
Sheridan Holdings, Inc. Second Lien, 8.250%, 12/20/21		152		156
Surgery Center Holdings, Inc. Second Lien, 9.750%, 4/11/20		275		281

				1,891

Industrials—1.2%
Alliance Laundry Systems LLC Second Lien, 9.500%, 12/10/19		59		60
CHG Healthcare Services, Inc. Second Lien, 9.000%, 11/19/20		136		139
Filtration Group Corp. Second Lien, 8.250%, 11/22/21		310		318
International Equipment Solutions Global B.V. 6.750%, 8/16/19		316		321
LM U.S. Member LLC (and LM U.S. Corp. Acquisition, Inc..) 0.000%, 10/26/20⁽⁸⁾		220		222

				1,060

Information Technology—3.5%
Allflex Holdings III, Inc. Second Lien, 8.000%, 7/19/21		193		195
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		324		331
Blue Coat Systems, Inc. Second Lien, 9.500%, 6/26/20		445		453
Deltek, Inc. Second Lien, 10.000%, 10/10/19⁽⁸⁾		268		274
IPC Systems, Inc. First Lien, 6.000%, 11/8/20⁽⁸⁾		171		172
Kronos, Inc. Second Lien, 9.750%, 4/30/20		380		397
Mitchell International, Inc. Second Lien, 8.500%, 10/11/21		435		445
RP Crown Parent LLC Second Lien, 11.250%, 12/21/19		415		420
SkillSoft Corp. 0.000%, 4/28/22⁽⁸⁾		252		251
Sungard Availability Services Capital, Inc. Tranche B, 6.000%, 3/29/19		180		179

				3,117

Materials—0.9%
Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 9.250%, 9/19/14		413		414


	PAR VALUE			VALUE
Materials—(continued)
Houghton International, Inc. Holding Corp. Second Lien, 9.500%, 12/21/20	$	370		$	380

					794

Telecommunication Services—0.5%
Integra Telecom Holdings, Inc. Second Lien, 9.750%, 2/21/20		126			129
Securus Technologies Holdings, Inc. Second Lien, 9.000%, 4/30/21		285			289

					418

Utilities—0.3%
Energy Future Holdings 4.250%, 6/19/16		276			278

TOTAL LOAN AGREEMENTS (Identified Cost $13,240)					13,452


	SHARES			VALUE
PREFERRED STOCK—1.5%
Financials—1.5%
Ally Financial, Inc. Series A, 8.500%⁽²⁾		11,530			319
Citigroup, Inc. Series J, 7.125%		20,000	⁽⁴⁾		553
Goldman Sachs Group, Inc. (The)⁽²⁾		225			232
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		220			219

TOTAL PREFERRED STOCK (Identified Cost $1,291)					1,323

COMMON STOCKS—0.1%
Health Care—0.1%
HealthSouth Corp.		2,789			100

TOTAL COMMON STOCKS (Identified Cost $62)					100

TOTAL LONG TERM INVESTMENTS—98.4% (Identified cost $83,022)					86,613	⁽¹²⁾

SHORT-TERM INVESTMENTS—1.6%
Money Market Mutual Funds—1.6%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		1,434,449			1,434

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,434)					1,434


TOTAL INVESTMENTS—100.0% (Identified Cost $84,456)		88,047	⁽¹⁾
Other assets and liabilities, net—0.0%		7

NET ASSETS—100.0%	$	88,054

Abbreviations:


PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2014.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, these securities amounted to a value of $32,581 or 37.0% of net assets.

⁽⁴⁾	Value shown as par.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁶⁾	Illiquid security.

⁽⁷⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	This loan will settle after June 30, 2014, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁹⁾	Security in default.

⁽¹⁰⁾	100% of the income received was in cash.

⁽¹¹⁾	Amount less than $500 ( not reported in 000’s).

⁽¹²⁾	Interest payments may be deferred.

Legend


BRL		Brazilian Real
SEK		Swedish Krona


Country Weightings †
United States	85	%
Canada	5
Luxembourg	3
Bermuda	1
France	1
Ireland	1
United Kingdom	1
Other	3

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—95.6%
Consumer Discretionary—12.8%
Bridgestone Corp. (Japan)		7,500	$	262
Fuji Heavy Industries Ltd. (Japan)		11,000		305
Li & Fung Ltd. (Hong Kong)		177,300		263
Melco PBL Entertainment Ltd. ADR (United States)		6,200		221
Tata Motors Ltd. Sponsored ADR (India)		6,900		270

				1,321

Consumer Staples—4.7%
Marine Harvest Asa ADR (Norway)		20,300		279
Svenska Cellulosa AB SCA B Shares (Sweden)		7,946		207

				486

Energy—12.1%
Cameco Corp. (Canada)		12,600		247
Canadian Natural Resources Ltd. (Canada)		7,050		324
EnCana Corp. (Canada)		14,800		351
Royal Dutch Shell plc Class A ADR (United Kingdom)		44		3
Royal Dutch Shell plc Class B ADR (United Kingdom)		3,700		322

				1,247

Financials—21.2%
Aviva plc (United Kingdom)		29,261		256
Banco Bilbao Vizcaya Argentaria SA Sponsored ADR (Spain)		18,916		241
BNP Paribas SA (France)		4,353		295
Credit Agricole SA (France)		20,287		286
ING Groep N.V. ADR (Netherlands)⁽²⁾		22,800		320
Intesa Sanpaolo SpA (Italy)		94,423		292
ORIX Corp. (Japan)		19,000		315
Unicredit SPA (Italy)		22,500		188

				2,193

Health Care—10.9%
H Lundbeck A/S (Denmark)		11,250		277
Shire plc ADR (United Kingdom)		1,450		341
Smith & Nephew plc Sponsored ADR (United Kingdom)		3,050		272
Valeant Pharmaceuticals International, Inc. (Canada)⁽²⁾		1,900		240

				1,130


	SHARES		VALUE
Industrials—13.0%
Hitachi Ltd. (Japan)		36,350	$	266
Hutchison Whampoa Ltd. (Hong Kong)		19,200		263
Nidec Corp. (Japan)		5,000		307
Schneider Electric SA (France)		2,700		254
Siemens AG Sponsored ADR (Germany)		1,900		251

				1,341

Information Technology—2.7%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan)		13,300		284

Materials—8.8%
CRH plc Sponsored ADR (Ireland)		9,000		233
Newcrest Mining Ltd. (Australia)⁽²⁾		19,300		191
Randgold Resources Ltd. ADR (Jersey)		2,400		203
Syngenta AG ADR (Switzerland)		3,700		277

				904

Telecommunication Services—6.6%
Nippon Telegraph & Telephone Corp. ADR (Japan)		13,300		415
Telecom Corporation of New Zealand Ltd. (New Zealand)		113,150		266

				681

Utilities—2.8%
GDF Suez (France)		10,600		292

TOTAL COMMON STOCKS (Identified Cost $9,020)				9,879

RIGHTS—2.5%
Financials—2.5%
Hyundai Motor Co. Pref		1,600		253

TOTAL RIGHTS (Identified Cost $239)				253

TOTAL LONG TERM INVESTMENTS—98.1% (Identified cost $9,259)				10,132

SHORT-TERM INVESTMENTS—1.4%
Money Market Mutual Funds—1.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		144,302		144

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $144)				144


TOTAL INVESTMENTS—99.5% (Identified Cost $9,403)		10,276	⁽¹⁾
Other assets and liabilities, net—0.5%		55

NET ASSETS—100.0%	$	10,331

Abbreviations:


ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.


Country Weightings †
Japan	18	%
United Kingdom	12
Canada	11
France	11
Hong Kong	5
Italy	5
United States	3
Other	35

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—97.4%
Australia—12.6%
BGP Holdings plc^(2)(3)(4)		588,920	$	0
Dexus Property Group		1,378,115		1,442
GPT Group		179,000		648
Scentre Group⁽²⁾		694,271		2,095
Westfield Corp		284,473		1,918

				6,103

Canada—9.6%
Allied Properties Real Estate Investment Trust		44,615		1,478
Canadian Real Estate Investment Trust		18,195		784
First Capital Realty, Inc.		53,405		932
RioCan Real Estate Investment Trust		56,850		1,455

				4,649

Finland—1.5%
Citycon OYJ⁽²⁾		202,820		744

France—4.2%
Fonciere Des Regions		5,760		625
Klepierre		11,856		604
Mercialys SA		34,000		792

				2,021

Germany—4.9%
Deutsche Annington Immobilien SE		30,420		895
LEG Immobilien AG		21,861		1,473

				2,368

Hong Kong—9.4%
Hang Lung Properties Ltd.		339,000		1,045
Hongkong Land Holdings Ltd.		131,100		875
Hysan Development Co. Ltd.		177,000		829
Link REIT (The)		335,441		1,805

				4,554

Italy—0.2%
Beni Stabili SpA		127,257		117

Japan—14.2%
AEON Mall Co., Ltd.		33,413		880
GLP J-REIT		861		964
Industrial & Infrastructure Fund Investment Corp.		52		466
Japan Prime Realty Investment Corp.		65		233
Japan Real Estate Investment Corp.		142		827
Kenedix Realty Investment Corp.		149		811


	SHARES		VALUE
Japan—(continued)
Nippon Building Fund, Inc.		154	$	900
Nippon Prologis REIT, Inc.		390		909
Nomura Real Estate Office Fund, Inc.		149		704
Tokyu REIT, Inc.		155		216

				6,910

Mexico—3.5%
Prologis Property Mexico SA de CV⁽²⁾		443,200		941
TF Administradora Industrial S de Rl de CV		343,852		768

				1,709

Netherlands—7.0%
Unibail-Rodamco SE		11,660		3,392

Norway—1.4%
Norwegian Property ASA⁽²⁾		570,600		702

Singapore—8.6%
CapitaMall Trust		599,650		950
CapitaRetail China Trust		860,868		1,022
Global Logistic Properties Ltd.		774,500		1,677
Mapletree Logistics Trust		583,544		545

				4,194

Sweden—1.7%
Castellum AB		46,866		831

United Kingdom—18.6%
Big Yellow Group plc		88,688		753
British Land Co. plc		111,305		1,338
Derwent London plc		12,346		566
Great Portland Estates plc		42,118		464
Hammerson plc		147,809		1,467
Land Securities Group plc		102,885		1,824
Safestore Holdings plc		283,876		1,059
SEGRO plc		151,057		893
Unite Group PLC / The		102,000		688

				9,052

TOTAL COMMON STOCKS (Identified Cost $36,159)				47,346


	SHARES		VALUE
Finland—0.2%
Citycon Oyj^{(2) (4)}		28,974	$	106

TOTAL RIGHTS (Identified Cost $105)				106

TOTAL LONG TERM INVESTMENTS—97.6% (Identified cost $36,264)				47,452

SHORT-TERM INVESTMENTS—2.3%
Money Market Mutual Funds—2.3%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		1,121,299		1,121

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,121)				1,121

TOTAL INVESTMENTS—99.9% (Identified Cost $37,385)				48,573	⁽¹⁾
Other assets and liabilities, net—0.1%				31

NET ASSETS—100.0%			$	48,604

Abbreviations:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.


Country Weightings †
United Kingdom	19	%
Japan	14
Australia	12
Canada	10
Hong Kong	9
Singapore	9
Netherlands	7
Other	20

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE
COMMON STOCKS—92.9%
Consumer Discretionary—8.4%
Goldlion Holdings Ltd. (Hong Kong)		3,299,600	$	1,337
Pico Far East Holdings Ltd. (Hong Kong)		7,049,122		1,637
Rightmove plc (United Kingdom)		14,150		519
Watts Co. Ltd. (Japan)		108,091		1,057

				4,550

Consumer Staples—10.6%
Compania Cervecerias Unidas S.A. (Chile)		135,986		1,595
Dongsuh Co., Inc. (South Korea)		33,288		553
Oldtown Bhd (Malaysia)		1,193,750		818
Premier Marketing PCL (Thailand)		6,867,727		2,137
Wawel SA (Poland)		1,900		629

				5,732

Energy—4.0%
Calfrac Well Services Ltd. (Canada)		30,000		561
Schoeller-Bleckmann Oilfield Equipment AG (Austria)		2,148		277
TGS Nopec Geophysical Co. ASA (Norway)		42,000		1,343

				2,181

Financials—15.4%
ARA Asset Management Ltd. (Singapore)		1,121,760		1,601
Euler Hermes SA (France)		13,550		1,627
Euroz Ltd. (Australia)		1,380,867		1,686
Financiere Marc de Lacharriere (France)		6,232		498
Hiscox Ltd (United Kingdom)		132,740		1,606
Korea Ratings Corp. (South Korea)		38,000		1,303

				8,321

Health Care—8.7%
Haw Par Corp. Ltd. (Singapore)		150,719		1,034
Nakanishi, Inc. (Japan)		21,500		883
Sirona Dental Systems, Inc. (United States)⁽²⁾		10,900		899
WIN-Partners Co. Ltd. (Japan)		163,010		1,850

				4,666

Industrials—22.5%
AIT Corp. (Japan)		348,000		2,745
ASR Holdings Ltd. (Hong Kong)		8,242,389		1,393
Clasquin (France)		9,707		367
Freight Management Holdings Bhd (Malaysia)⁽³⁾		701,312		389
Konecranes Oyj (Finland)		48,500		1,566
Riverstone Holdings Ltd. (Singapore)		1,819,000		1,356


	SHARES		VALUE
Industrials—(continued)
Rotork plc (United Kingdom)		23,785	$	1,087
SMT Scharf AG (Germany)		18,667		455
Thermador Groupe (France)		10,339		1,090
Turk Traktor Ve Ziraat Makineleri AS (Turkey)		52,500		1,710

				12,158

Information Technology—12.5%
Bouvet ASA (Norway)		156,945		2,213
Domino Printing Sciences plc (United Kingdom)		32,200		331
Lumax International Corp., Ltd. (Taiwan)		942,000		2,265
MercadoLibre, Inc. (United States)		11,000		1,049
Pro-Ship, Inc. (Japan)		39,500		864

				6,722

Materials—10.8%
Corp. Moctezuma SAB de C.V. (Mexico)		124,474		422
Goodpack Ltd. (Singapore)		546,000		1,038
KPX Chemical Co. Ltd. (South Korea)		27,399		1,649
Rimoni Industries Ltd. (Israel)		77,663		600
Uyemura (C) & Co. Ltd. (Japan)		23,100		1,177
Victrex plc (United Kingdom)		33,000		961

				5,847

TOTAL COMMON STOCKS (Identified Cost $45,065)				50,177

TOTAL LONG TERM INVESTMENTS—92.9% (Identified cost $45,065)				50,177

SHORT-TERM INVESTMENTS—7.0%
Money Market Mutual Funds—7.0%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		3,774,282		3,774

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $3,774)				3,774

TOTAL INVESTMENTS—99.9% (Identified Cost $48,839)				53,951	⁽¹⁾
Other assets and liabilities, net—0.1%				35

NET ASSETS—100.0%			$	53,986

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.


Country Weightings †
Japan	16	%
United States	11
Singapore	9
Hong Kong	8
United Kingdom	8
France	7
Norway	7
Other	34

Total	100	%

†	% of total investments as of June 30, 2014

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—97.7%
iShares S&P 100 Index Fund⁽³⁾		24,590	$	2,127

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,836)				2,127

PURCHASED OPTIONS—0.0%
Call Options—0.0%
CBOE Volatility Index expiring 7/16/14 strike price $16⁽²⁾		24		1

TOTAL PURCHASED OPTIONS (Premiums Paid $1)				1

TOTAL LONG TERM INVESTMENTS—97.7% (Identified Cost $1,837)				2,128	⁽¹⁾

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		7,643		8

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $8)				8

TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS— 98.2% (Identified Cost $1,845)				2,136	⁽¹⁾

WRITTEN OPTIONS—0.0%
Call Options—(0.1)%
S&P 500^® Index Fund expiring 7/19/14 strike price $2,005		10		(1	)

TOTAL WRITTEN OPTIONS (Premiums Received $2)				(1	)

TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS— 98.1% (Identified Cost $1,843)				2,135	⁽¹⁾
Other assets and liabilities, net—1.9%				41

NET ASSETS—100.0%			$	2,176

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion segregated as collateral for written options.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE			VALUE
MUNICIPAL BONDS—0.6%
Alabama—0.2%
County of Jefferson, Sewer Revenue Sub-Lien Warrants, Series D 6.000%, 10/1/42	$	680		$	744

Iowa—0.1%
State Finance Authority Midwestern Disaster Area, Iowa Fertilizer Co. LLC Project Taxable 5.500%, 12/1/22		555			579

Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		327			340

Michigan—0.0%
Tobacco Settlement Finance Authority Taxable Series 06-A, 7.309%, 6/1/34		145			125

Texas—0.1%
City of Houston Airport System Revenue United Airline, Inc. Terminal E Project 4.750%, 7/1/24		200			205

Virginia—0.1%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		335			249

TOTAL MUNICIPAL BONDS (Identified Cost $2,248)					2,242

FOREIGN GOVERNMENT SECURITIES—10.8%
Argentine Republic
Series X, 7.000%, 4/17/17		575			540
8.750%, 5/7/24		405			381
Series NY, 8.280%, 12/31/33		1,753			1,472
Bolivarian Republic of Venezuela
RegS 7.000%, 12/1/18⁽⁴⁾		510			448
RegS 8.250%, 10/13/24⁽⁴⁾		1,110			896
7.650%, 4/21/25		1,500			1,163
9.250%, 9/15/27		360			310
9.375%, 1/13/34		2,145			1,807
Commonwealth of Australia Series 130, 4.750%, 6/15/16		1,220	^AUD		1,199
Commonwealth of New Zealand Series 415, 6.000%, 4/15/15		2,010	^NZD		1,793
Federative Republic of Brazil 8.500%, 1/5/24		4,990	^BRL		2,185
Hungary


	PAR VALUE			VALUE
4.000%, 3/25/19	$	715		$	738
5.750%, 11/22/23		352			390
Kingdom of Morocco 144A 4.250%, 12/11/22⁽³⁾		1,030			1,031
Mongolia
144A 4.125%, 1/5/18⁽³⁾		450			428
144A 5.125%, 12/5/22⁽³⁾⁽⁴⁾		825			726
New South Wales, Australia Treasury Corp.,
Series 17 5.500%, 3/1/17		610	^AUD		616
Provincia de Neuquen, Argentina 144A 7.875%, 4/26/21⁽³⁾		534			532
Republic of Chile 5.500%, 8/5/20		474,000	^CLP		895
Republic of Colombia
12.000%, 10/22/15		925,000	^COP		537
Treasury Note, Series B, 11.250%, 10/24/18		865,000	^COP		548
4.375%, 3/21/23		1,867,000	^COP		910
Republic of Costa Rica 144A 4.375%, 4/30/25⁽³⁾		795			749
Republic of Croatia 144A 6.375%, 3/24/21⁽³⁾		1,045			1,148
Republic of Iceland 144A 5.875%, 5/11/22⁽³⁾		925			1,020
Republic of Indonesia
Series FR30, 10.750%, 5/15/16		18,654,000	^IDR		1,667
Series FR55, 7.375%, 9/15/16		5,125,000	^IDR		431
Series FR63, 5.625%, 5/15/23		6,141,000	^IDR		435
Republic of Iraq RegS 5.800%, 1/15/28⁽⁴⁾		610			554
Republic of Peru
GDN 144A 7.840%, 8/12/20(3)		1,065	^PEN		437
RegS 6.900%, 8/12/37⁽⁴⁾		2,010	^PEN		750
Republic of Philippines 4.950%, 1/15/21		32,000	^PHP		782
Republic of Romania 144A 4.875%, 1/22/24⁽³⁾		1,136			1,208
Republic of Slovak 144A 4.375%, 5/21/22⁽³⁾		850			907
Republic of South Africa
Series R203, 8.250%, 9/15/17		3,690	^ZAR		356
Series R208, 6.750%, 3/31/21		6,720	^ZAR		592
Republic of Sri Lanka 144A 6.000%, 1/14/19⁽³⁾		925			976
Republic of Uruguay 4.375%, 12/15/28		21,634	^UYU(9)		1,047
Russian Federation 144A 7.850%, 3/10/18⁽³⁾		60,000	^RUB		1,758
United Mexican States
Series M, 6.000%, 6/18/15		30,592	^MXN		2,423
Series M, 6.500%, 6/9/22		30,825	^MXN		2,525

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $39,743)					39,310


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES—9.0%
Non-Agency—9.0%
A-10 Securitization LLC 13-1, B 144A 4.120%, 11/15/25⁽³⁾	$	1,100	$	1,096
Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32⁽²⁾⁽³⁾		245		254
Banc of America Alternative Loan Trust
03-2, CB3 5.750%, 4/25/33		1,069		1,108
07-2, 2A4 5.750%, 6/25/37		900		707
Banc of America Funding Corp. 06-2, 3A1 6.000%, 3/25/36		405		409
Banc of America Funding Trust 05-1, 1A1 5.500%, 2/25/35		830		859
Bank of America (Merrill Lynch - Countrywide)
Alternative Loan Trust
04-22CB, 1A1 6.000%, 10/25/34		640		671
04-24CB, 1A1 6.000%, 11/25/34		143		147
Bank of America (Merrill Lynch - Countrywide)
Mortgage Trust 06-C1, AM 5.862%, 5/12/39⁽²⁾		715		768
Bank of America (Merrill Lynch) Mortgage
Investors Trust 98-C1, CTL 6.750%, 11/15/26⁽²⁾		1,260		1,441
Bear Stearns Commercial Mortgage Securities, Inc.
06-PW12, AM 5.937%, 9/11/38⁽²⁾		650		701
05-PW10, AM 5.449%, 12/11/40⁽²⁾		895		945
06-PW13, AM 5.582%, 9/11/41⁽²⁾		1,360		1,477
07-PW18, AM 6.084%, 6/11/50⁽²⁾		1,525		1,724
Citigroup Mortgage Loan Trust, Inc. 05-5, 2A3 5.000%, 8/25/35		481		486
Commercial Mortgage Trust 07-GG11, AM 5.867%, 12/10/49⁽²⁾		1,200		1,326
Credit Suisse Commercial Mortgage Trust 07 - C5, A1AM 5.870%, 9/15/40⁽²⁾		564		584
Extended Stay America Trust 13-ESH7, A17 144A 2.295%, 12/5/31⁽³⁾		750		729
Fannie Mae Connecticut Avenue Securities 14-C02, 2M2 2.751%, 5/25/24⁽²⁾		1,080		1,080
Goldman Sachs Mortgage Pass-Through-Securities Mortgage Loan Trust
05-RP1, 1A3 144A 8.000%, 1/25/35⁽³⁾		1,164		1,233
06-RP1, 1A4 144A 8.500%, 1/25/36⁽³⁾		820		883
Goldman Sachs Mortgage Securities Trust II 07-GG10, A4 5.997%, 8/10/45⁽²⁾		681		754


	PAR VALUE		VALUE
Non-Agency—(continued)
Hilton USA Trust 13-HLT, EFX 144A 5.609%, 11/5/30⁽²⁾⁽³⁾	$	720	$	743
JPMorgan Chase (Washington Mutual)
Commercial Mortgage Securities Trust 06-SL1, A 144A 4.469%, 11/23/43⁽²⁾⁽³⁾		15		15
JPMorgan Chase Commercial Mortgage
Securities Trust 10-CNTR, A2 144A 4.311%, 8/5/32⁽³⁾		750		819
JPMorgan Chase Mortgage Trust 14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		1,109		1,141
Lehman Brothers - UBS Commercial Mortgage
Trust 07-C7, A3 5.866%, 9/15/45⁽²⁾		452		509
MASTR Alternative Loan Trust 04-6, 7A1 6.000%, 7/25/34		521		530
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽³⁾		720		742
Morgan Stanley Capital I Trust 07-IQ14, AM 5.869%, 4/15/49(2)		800		852
Motel 6 Trust 12-MTL6 D 144A 3.781%, 10/5/25⁽³⁾		1,075		1,091
Nomura Asset Acceptance Corp.
04-R1, A1 144A 6.500%, 3/25/34⁽³⁾		1,405		1,470
04-R3, A1 144A 6.500%, 2/25/35⁽³⁾		307		316
Residential Funding Mortgage Securities I, Inc.
05-S1, 1A2 5.500%, 2/25/35		1,178		1,191
05-S9, A9 5.500%, 12/25/35		1,090		1,085
Sequoia Mortgage Trust 12-3, A1 144A 4.000%, 12/25/43⁽²⁾⁽³⁾		554		573
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 3.868%, 1/25/37⁽²⁾		665		665
Wells Fargo (Wachovia Bank Commercial Mortgage Trust)
06-C25, AM 5.904%, 5/15/43⁽²⁾		1,125		1,211
07-C32, A3 5.933%, 6/15/49⁽²⁾		360		394

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $31,503)				32,729

ASSET-BACKED SECURITIES—3.5%
Bank of America (Merrill Lynch - Countrywide)
Asset-Backed Certificates
05-1 AF5A 5.419%, 7/25/35⁽²⁾		1,220		1,184
05-12, 1A4 5.323%, 2/25/36⁽²⁾		1,053		1,059
05-12, 2A4 5.575%, 2/25/36⁽²⁾		540		521


	PAR VALUE			VALUE
Carfinance Capital Auto Trust 14-1A, D 144A 4.900%, 4/15/20⁽³⁾	$	1,316		$	1,352
Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		952			977
Conseco Financial Corp. 01-3, A4 6.910%, 5/1/33⁽²⁾		417			463
Dominos Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42⁽³⁾		1,208			1,298
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		568			576
GMAC Mortgage Corp. Loan Trust 06-HLTV, A4 5.810%, 10/25/29		442			448
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		847			863
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		297			306
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		494			500
Origen Manufactured Housing Contract Trust 04- B, M1 5.730%, 11/15/35⁽²⁾		553			579
Residential Asset Mortgage Trust 04-RZ1, M1 4.820%, 3/25/34⁽²⁾		1,081			1,080
Residential Funding Mortgage Securities II Home Loan Trust
03-HS3, AI4 5.550%, 9/25/33⁽²⁾		535			556
07-HI1, A3 5.720%, 3/25/37		404			415
Terwin Mortgage Trust 04-15AL, A1 144A 5.676%, 7/25/34⁽²⁾⁽³⁾		353			343
Trip Rail Master Funding LLC 11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		280			296

TOTAL ASSET-BACKED SECURITIES (Identified Cost $12,465)					12,816

CORPORATE BONDS—57.3%
Consumer Discretionary—7.4%
Arcelik AS 144A 5.000%, 4/3/23⁽³⁾		540			522
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽³⁾		1,125	^BRL		489
Ashton Woods USA LLC (Ashton Woods Finance Co.) 144A 6.875%, 2/15/21⁽³⁾		1,100			1,103
Boyd Gaming Corp. 9.000%, 7/1/20		870			962
Brookfield Residential Properties, Inc.
144A 6.500%, 12/15/20⁽³⁾		1,065			1,132
144A 6.125%, 7/1/22⁽³⁾		185			193


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20	$	535	$	450
Caesars Entertainment Resort Properties LLC 144A 8.000%, 10/1/20⁽³⁾		320		336
Caesars Growth Properties Holdings LLC 144A 9.375%, 5/1/22⁽³⁾		495		503
Chrysler Group LLC 8.250%, 6/15/21		1,140		1,294
Clear Channel Communications, Inc. 144A 10.000%, 1/15/18⁽³⁾		235		228
Clear Channel Worldwide Holdings, Inc.
Series A 7.625%, 3/15/20		320		344
Series B 7.625%, 3/15/20		1,595		1,729
Columbus International, Inc. 144A 7.375%, 3/30/21⁽³⁾		200		216
GLP Capital LP (GLP Financing II, Inc.)
144A 4.375%, 11/1/18⁽³⁾		34		35
144A 4.875%, 11/1/20⁽³⁾		720		742
144A 5.375%, 11/1/23⁽³⁾		25		26
GRD Holdings III Corp. 144A 10.750%, 6/1/19⁽³⁾		520		585
Guitar Center, Inc. 144A 9.625%, 4/15/20⁽³⁾		200		191
Hot Topic, Inc. 144A 9.250%, 6/15/21⁽³⁾		595		663
Intelsat Jackson Holdings SA 5.500%, 8/1/23		760		757
International Game Technology 7.500%, 6/15/19		580		659
Isle of Capri Casinos, Inc. 5.875%, 3/15/21		1,320		1,342
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		475		525
Meritor, Inc. 6.750%, 6/15/21		960		1,037
Mohegan Tribal Gaming Authority 9.750%, 9/1/21		1,000		1,115
Numericable Group SA
144A 4.875%, 5/15/19⁽³⁾		505		519
144A 6.000%, 5/15/22⁽³⁾		605		630
ONO Finance II plc 144A 10.875%, 7/15/19⁽³⁾		150		165
Penn National Gaming, Inc. 144A 5.875%, 11/1/21⁽³⁾		490		464
Pinnacle Entertainment, Inc. 6.375%, 8/1/21		1,035		1,097
QVC, Inc. 5.125%, 7/2/22		240		255
Scientific Games International, Inc. 144A 6.625%, 5/15/21⁽³⁾		910		904
Sinclair Television Group, Inc. 5.375%, 4/1/21		1,155		1,168
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20⁽³⁾		1,185		1,172
Station Casinos LLC 7.500%, 3/1/21		970		1,065
Taylor Morrison Communities, Inc. 144A 5.250%, 4/15/21⁽³⁾		1,410		1,438
Toll Brothers Finance Corp. 6.750%, 11/1/19		465		538


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Virgin Media Secured Finance plc 144A 5.375%, 4/15/21⁽³⁾	$	415	$	438

				27,031

Consumer Staples—0.8%
Darling Ingredients, Inc. Escrow Corp. 144A 5.375%, 1/15/22⁽³⁾		840		875
Elizabeth Arden, Inc. 7.375%, 3/15/21		485		517
Ingles Markets, Inc. 5.750%, 6/15/23		975		992
Smithfield Foods, Inc. 144A 5.875%, 8/1/21⁽³⁾		525		556

				2,940

Energy—10.9%
Afren plc 144A 11.500%, 2/1/16⁽³⁾		475		533
Atlas Energy Holdings Operating Co. LLC 144A 7.750%, 1/15/21⁽³⁾		325		338
Calumet Specialty Products Partners LP 144A 6.500%, 4/15/21⁽³⁾		1,130		1,158
CHC Helicopter SA 9.250%, 10/15/20		653		715
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21		725		723
CONSOL Energy, Inc. 144A 5.875%, 4/15/22⁽³⁾		650		683
Denbury Resources, Inc. 5.500%, 5/1/22		885		906
Endeavor Energy Resources LP 144A 7.000%, 8/15/21⁽³⁾		255		273
Energy Transfer Equity LP 144A 5.875%, 1/15/24⁽³⁾		885		929
Energy XXI Gulf Coast, Inc. 144A 6.875%, 3/15/24⁽³⁾		1,105		1,130
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		885		915
EP Energy LLC 9.375%, 5/1/20		840		966
EPL Oil & Gas, Inc. 8.250%, 2/15/18		1,120		1,204
EV Energy Partners LP 8.000%, 4/15/19		325		343
Exterran Partners LP 144A 6.000%, 10/1/22⁽³⁾		740		755
Forest Oil Corp. 7.250%, 6/15/19		935		930
FTS International, Inc. 144A 6.250%, 5/1/22⁽³⁾		450		462
Gazprom Neft OAO (GPN Capital SA) 144A 6.000%, 11/27/23⁽³⁾		255		262
Gazprom OAO (Gaz Capital SA)
144A 8.146%, 4/11/18⁽³⁾⁽⁷⁾		460		528
144A 3.850%, 2/6/20⁽³⁾⁽⁷⁾		1,115		1,084
144A 6.510%, 3/7/22⁽³⁾⁽⁷⁾		315		341
Gulfmark Offshore, Inc. 6.375%, 3/15/22		960		1,003


	PAR VALUE		VALUE
Energy—(continued)
Halcon Resources Corp. 8.875%, 5/15/21	$	910	$	983
Linn Energy LLC 6.500%, 5/15/19		512		543
Lukoil OAO International Finance BV
144A 7.250%, 11/5/19⁽³⁾		525		595
144A 4.563%, 4/24/23⁽³⁾		495		478
MEG Energy Corp. 144A 7.000%, 3/31/24⁽³⁾		500		553
Memorial Production Partners LP 7.625%, 5/1/21		980		1,034
NGL Energy Partners LP (NGL Energy Finance Corp.) 144A 5.125%, 7/15/19⁽³⁾		485		489
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22⁽³⁾⁽⁷⁾		1,105		1,026
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22⁽³⁾		1,181		1,264
Pacific Rubiales Energy Corp. 144A 5.375%, 1/26/19⁽³⁾		915		956
Parker Drilling Co. (The) 7.500%, 8/1/20		1,075		1,166
Petrobras Global Finance BV 6.250%, 3/17/24		895		953
Petrobras International Finance Co. 5.375%, 1/27/21		500		521
Petroleos de Venezuela SA
Series 2015, 5.000%, 10/28/15		385		362
RegS 8.500%, 11/2/17⁽⁴⁾		3,225		2,996
Petroleos Mexicanos
144A 4.875%, 1/18/24⁽³⁾		305		327
5.500%, 6/27/44		650		677
PHI, Inc. 144A 5.250%, 3/15/19⁽³⁾		360		368
Plains Exploration & Production Co. 6.875%, 2/15/23		995		1,169
QEP Resources, Inc. 6.875%, 3/1/21		480		541
QGOG Constellation SA 144A 6.250%, 11/9/19⁽³⁾		1,000		1,015
Regency Energy Partners LP 5.875%, 3/1/22		360		392
Rosetta Resources, Inc. 5.875%, 6/1/22		945		989
Rosneft Oil Co. 144A 4.199%, 3/6/22⁽³⁾⁽⁷⁾		300		279
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		915		972
Targa Resources Partners LP 6.375%, 8/1/22		787		860
Tullow Oil plc 144A 6.000%, 11/1/20⁽³⁾		945		985
Venoco, Inc. 8.875%, 2/15/19		185		181
Zhaikmunai LP 144A 7.125%, 11/13/19⁽³⁾		790		863

				39,718

Financials—18.9%
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽³⁾		560		565


	PAR VALUE			VALUE
Financials—(continued)
Aircastle Ltd. 5.125%, 3/15/21	$	1,715		$	1,775
Akbank TAS 144A 7.500%, 2/5/18		1,565	^TRY		685
Allstate Corp. (The) 5.750%, 8/15/53⁽²⁾⁽⁶⁾		1,455			1,563
ALROSA Finance S.A. 144A 7.750%, 11/3/20⁽³⁾		1,065			1,189
Banco ABC Brasil S.A. 144A 7.875%, 4/8/20⁽³⁾		1,025			1,113
Banco Bilbao Vizcaya Argentaria Bancomer S.A.
144A 6.500%, 3/10/21⁽³⁾		425			479
144A 6.750%, 9/30/22⁽³⁾		1,000			1,142
Banco Bradesco S.A. 144A 5.900%, 1/16/21⁽³⁾		1,150			1,212
Banco de Credito del Peru
144A 4.250%, 4/1/23⁽³⁾		657			659
144A 6.125%, 4/24/27⁽²⁾⁽³⁾		1,095			1,166
Banco do Brasil S.A. 144A 5.375%, 1/15/21⁽³⁾		600			610
Banco Internacional del Peru SAA
144A 5.750%, 10/7/20⁽³⁾		1,060			1,139
144A 6.625%, 3/19/29⁽²⁾⁽³⁾		395			420
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽³⁾		900	^BRL		389
Banco Votorantim S.A. 144A 7.375%, 1/21/20⁽³⁾		1,660			1,830
Bancolombia S.A. 5.125%, 9/11/22		1,015			1,021
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽³⁾		515			556
Bank of India 144A 3.250%, 4/18/18⁽³⁾		1,150			1,157
Barclays Bank plc 144A 5.926% ^(2)(3)(5)(6)		600			645
Braskem Finance Ltd.
144A 5.750%, 4/15/21⁽³⁾		500			523
6.450%, 2/3/24		800			855
Brazil Loan Trust 1 144A 5.477%, 7/24/23⁽³⁾		1,050			1,081
CareTrust Partnership LP 144A 5.875%, 6/1/21⁽³⁾		720			729
Chubb Corp. (The) 6.375%, 3/29/67⁽²⁾		680			756
CorpGroup Banking S.A. 144A 6.750%, 3/15/23⁽³⁾		1,075			1,070
Credit Bank of Moscow 144A 7.700%, 2/1/18⁽³⁾⁽⁷⁾		245			251
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		1,090			1,032
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾		925			913
Evergrande Real Estate Group Ltd. 144A 8.750%, 10/30/18⁽³⁾		620			592
Excel Trust LP 4.625%, 5/15/24		230			234
First Cash Financial Services, Inc. 144A 6.750%, 4/1/21⁽³⁾		530			566
First Niagara Financial Group, Inc. 6.750%, 3/19/20		1,160			1,341


	PAR VALUE			VALUE
Financials—(continued)
General Motors Financial Co., Inc. 4.750%, 8/15/17	$	1,535		$	1,637
Genworth Holdings, Inc. 4.900%, 8/15/23		750			802
Glen Meadow Pass-Through Trust 144A 6.505%, 2/12/67⁽²⁾⁽³⁾		970			965
HSBC Finance Corp. 6.676%, 1/15/21		500			598
Hutchison Whampoa International Ltd. Series 12, 144A 6.000% ^(2)(3)(5)(6)		1,130			1,219
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.)
4.875%, 3/15/19		65			67
6.000%, 8/1/20		370			397
5.875%, 2/1/22		755			791
ICICI Bank Ltd. 144A 4.800%, 5/22/19⁽³⁾		940			993
iStar Financial, Inc. 5.000%, 7/1/19		500			502
Itau Unibanco Holding S.A. 144A 5.125%, 5/13/23⁽³⁾		1,085			1,081
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		795			871
Korea Finance Corp. 4.625%, 11/16/21		700			769
Landry’s Holdings II, Inc. 144A 10.250%, 1/1/18⁽³⁾		425			453
Leucadia National Corp. 5.500%, 10/18/23		575			610
Level 3 Financing, Inc. 7.000%, 6/1/20		935			1,026
Lincoln National Corp. 6.050%, 4/20/67⁽²⁾⁽⁶⁾		300			303
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽³⁾		189			217
Morgan Stanley 144A
10.090%, 5/3/17⁽³⁾		2,400	^BRL		1,073
Series H, 5.450%, 12/29/49⁽²⁾		925			943
MPT Operating Partnership LP 5.500%, 5/1/24		325			336
Nationstar Mortgage LLC 6.500%, 7/1/21		1,665			1,673
Navient Corp. (SLM Corp.) 5.500%, 1/25/23		850			843
Nordea Bank AB 144A 4.250%, 9/21/22⁽³⁾		1,360			1,408
Phosagro OAO (Phosagro Bond Funding Ltd.) 144A 4.204%, 2/13/18⁽³⁾⁽⁷⁾		875			867
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁷⁾		1,315			1,368
Progressive Corp. (The) 6.700%, 6/15/37⁽²⁾		1,200			1,335
Prudential Financial, Inc.
5.875%, 9/15/42⁽²⁾		2,155			2,341
5.625%, 6/15/43⁽²⁾⁽⁶⁾		450			481
Regency Energy Partners LP 4.500%, 11/1/23		1,160			1,154
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽³⁾		1,000			1,079
Royal Bank of Scotland Group plc (The)


	PAR VALUE		VALUE
Financials—(continued)
6.400%, 10/21/19	$	370	$	436
7.648%, 8/29/49^(2)(5)(6)		550		668
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 6.299%, 5/15/17⁽³⁾		380		401
144A 5.298%, 12/27/17⁽³⁾		515		528
Sabra Health Care LP 5.500%, 2/1/21		470		495
Schaeffler Holding Finance BV PIK Interest Capitalization, 144A 6.875%, 8/15/18(3)⁽¹²⁾		255		270
Sovereign Bank 8.750%, 5/30/18		400		487
SunTrust Bank, Inc. 5.400%, 4/1/20		250		281
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		1,285		1,291
UPCB Finance Ltd. Series VI 144A 6.875%, 1/15/22⁽³⁾		665		730
Vnesheconombank (VEB Finance plc) 144A 6.800%, 11/22/25⁽³⁾⁽⁷⁾		500		533
Voya Financial, Inc. ( f.k.a. ING (U.S.), Inc.) 5.650%, 5/15/53⁽²⁾		1,210		1,237
VTB Bank OJSC (VTB Capital SA) 144A 6.000%, 4/12/17⁽³⁾⁽⁷⁾		1,655		1,744
Walter Investment Management Corp. 144A 7.875%, 12/15/21⁽³⁾		1,100		1,152
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20⁽³⁾		1,080		1,033

				68,746

Health Care—3.3%
Acadia Healthcare Co., Inc. 144A 5.125%, 7/1/22⁽³⁾		300		302
Catamaran Corp. 4.750%, 3/15/21		585		592
Centene Corp. 4.750%, 5/15/22		715		727
Crimson Merger Sub, Inc. 144A 6.625%, 5/15/22⁽³⁾		710		706
DaVita Healthcare Partners, Inc. 5.125%, 7/15/24		935		943
Endo Finance LLC (Endo Finco, Inc.) 144A 5.375%, 1/15/23⁽³⁾		710		712
Forest Laboratories, Inc. 144A 4.875%, 2/15/21⁽³⁾		915		1,000
HCA, Inc. 6.500%, 2/15/20		990		1,116
IASIS Healthcare LLC 8.375%, 5/15/19		545		582
LifePoint Hospitals, Inc. 144A 5.500%, 12/1/21⁽³⁾		435		457
MPH Acquisition Holdings LLC 144A 6.625%, 4/1/22⁽³⁾		595		625
Select Medical Corp. 6.375%, 6/1/21		605		635


	PAR VALUE			VALUE
Health Care—(continued)
144A 6.375%, 6/1/21⁽³⁾	$	300		$	315
Tenet Healthcare Corp.
4.750%, 6/1/20		1,150			1,182
6.000%, 10/1/20		180			196
4.500%, 4/1/21		470			475
8.125%, 4/1/22		770			893
Valeant Pharmaceuticals International, Inc. Escrow Corp.
144A 6.750%, 8/15/18⁽³⁾		255			275
144A 7.500%, 7/15/21⁽³⁾		130			144
144A 5.625%, 12/1/21⁽³⁾		140			144

					12,021

Industrials—5.1%
AAR Corp. 7.250%, 1/15/22		1,135			1,249
ADT Corp.(The) 6.250%, 10/15/21		1,130			1,201
Ahern Rentals, Inc. 144A 9.500%, 6/15/18⁽³⁾		925			1,024
Air Canada 144A 6.750%, 10/1/19⁽³⁾		1,050			1,143
Pass-Through-Trust, 13-1, B 144A 5.375%, 5/15/21⁽³⁾		521			539
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		288			294
99-1, A1 7.200%, 1/2/19		495			515
00-1, A 8.707%, 1/2/19		172			180
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽³⁾		867			898
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾		670			694
Carpenter Technology Corp. 5.200%, 7/15/21		600			645
Continental Airlines Pass-Through-Trust
98-, A 6.648%, 9/15/17		158			168
00-1, A1 8.048%, 11/1/20		780			897
01-1, A1 6.703%, 6/15/21		237			259
CPG Merger Sub LLC 144A 8.000%, 10/1/21⁽³⁾		310			328
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		400			446
ESAL GmbH 144A 6.250%, 2/5/23⁽³⁾		1,110			1,093
KOC Holdings AS 144A 3.500%, 4/24/20⁽³⁾		830			790
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21		456			493
Odebrecht Finance Ltd. 144A 8.250%, 4/25/18⁽³⁾		650	^BRL		265
Ply Gem Industries, Inc. 144A 6.500%, 2/1/22⁽³⁾		920			891
Rexel SA 144A 5.250%, 6/15/20⁽³⁾		1,130			1,181


	PAR VALUE		VALUE
Industrials—(continued)
Sappi Papier Holding GmbH 144A 8.375%, 6/15/19⁽³⁾	$	440	$	487
Spirit AeroSystems, Inc. 144A 5.250%, 3/15/22⁽³⁾		250		254
TransDigm, Inc. 144A 6.000%, 7/15/22⁽³⁾		900		926
U.S. Airways Pass-Through-Trust 11-1, A 7.125%, 10/22/23		614		719
United Rentals, Inc. 5.750%, 11/15/24		895		932

				18,511

Information Technology—2.3%
Avaya, Inc. 144A 7.000%, 4/1/19⁽³⁾		1,385		1,392
Ceridian LLC (Comdata, Inc.) 144A 8.125%, 11/15/17⁽³⁾		30		30
Equinix, Inc. 4.875%, 4/1/20		465		479
First Data Corp. 144A
8.250%, 1/15/21⁽³⁾		475		523
11.750%, 8/15/21		2,370		2,820
PIK Interest Capitalization, 144A 8.750%, 1/15/22^(3)(12)		645		715
Infor Software Parent LLC PIK Interest Capitalization, 144A 7.125%, 5/1/21^(3)(12)		275		283
Interactive Data Corp. 144A 5.875%, 4/15/19⁽³⁾		675		691
Sanmina Corp. 144A 4.375%, 6/1/19⁽³⁾		205		205
SunGard Availability Services Capital, Inc. 144A 8.750%, 4/1/22⁽³⁾		470		440
VeriSign, Inc. 4.625%, 5/1/23		810		804

				8,382

Materials—5.2%
Alpek SA de C.V. 144A 5.375%, 8/8/23⁽³⁾		1,460		1,518
Beverage Packaging Holdings Luxembourg II SA 144A 6.000%, 6/15/17⁽³⁾		1,700		1,747
Cascades, Inc. 7.875%, 1/15/20		1,100		1,174
Cemex SAB de CV 144A 9.500%, 6/15/18⁽³⁾		976		1,122
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		455		462
EuroChem Mineral & Chemical Co. OJSC 144A 5.125%, 12/12/17⁽³⁾⁽⁷⁾		550		556
Gerdau Holdings, Inc.
144A 7.000%, 1/20/20⁽³⁾		1,075		1,215
144A 4.750%, 4/15/23⁽³⁾		590		583
Hexion U.S. Finance Corp.
8.875%, 2/1/18		595		620
6.625%, 4/15/20		580		618


	PAR VALUE			VALUE
Materials—(continued)
Mexichem SAB de C.V. 144A 4.875%, 9/19/22⁽³⁾	$	485		$	504
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽³⁾		580			609
Rayonier AM Products, Inc. 144A 5.500%, 6/1/24⁽³⁾		555			566
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽³⁾		1,710			1,813
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽³⁾⁽⁷⁾		425			456
Tronox Finance LLC 6.375%, 8/15/20		865			898
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽³⁾		695			674
United States Steel Corp. 6.875%, 4/1/21		1,360			1,455
Vale Overseas Ltd. 4.375%, 1/11/22		1,355			1,391
Vedanta Resources plc 144A 9.500%, 7/18/18⁽³⁾		745			862

					18,843

Telecommunication Services—2.6%
America Movil SAB de C.V. Series 12 6.450%, 12/5/22		5,000	^MXN		382
Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23⁽³⁾		880			906
CenturyLink, Inc. Series V 5.625%, 4/1/20		975			1,036
Comcel Trust 144A 6.875%, 2/6/24⁽³⁾		475			514
Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24⁽³⁾		430			447
Koninklijke KPN NV 144A 7.000%, 3/28/73^(2)(3)(6)		885			939
Millicom International Cellular SA 144A 6.625%, 10/15/21⁽³⁾		400			432
Sprint Communications, Inc. 6.000%, 11/15/22		1,305			1,338
T-Mobile USA, Inc.
6.125%, 1/15/22		540			575
6.500%, 1/15/24		380			407
Vimpel Communications OJSC 144A 7.748%, 2/2/21⁽³⁾⁽⁷⁾		840			926
Wind Acquisition Finance S.A. 144A 4.750%, 7/15/20⁽³⁾		460			465
Windstream Corp. 7.750%, 10/15/20		780			849

					9,216

Utilities—0.8%
AmeriGas Partners LP 7.000%, 5/20/22		450			501
Calpine Corp. 144A 6.000%, 1/15/22⁽³⁾		40			43
Electricite de France SA 144A 5.250% ^(2)(3)(5)(6)		1,360			1,387


	PAR VALUE		VALUE
Utilities—(continued)
Enel SpA 144A 8.750%, 9/24/73⁽²⁾⁽³⁾	$	375	$	443
Israel Electric Corp. Ltd. 144A 5.625%, 6/21/18⁽³⁾		500		535
NRG Energy, Inc. 6.625%, 3/15/23		75		82
Texas Competitive Electric Holdings Co. LLC Series A 10.250%, 11/1/15⁽¹³⁾		200		32

				3,023

TOTAL CORPORATE BONDS (Identified Cost $200,206)				208,431

LOAN AGREEMENTS⁽²⁾ —13.3%
Consumer Discretionary—3.0%
Advantage Sales & Marketing, Inc. Second Lien, 8.250%, 6/17/18		351		352
Affinity Gaming LLC 4.250%, 11/9/17		541		543
Bauer Performance Sports Ltd. 4.500%, 4/15/21		463		465
Brickman Group Holdings, Inc. Second Lien, 7.500%, 12/17/21⁽⁸⁾		344		351
Caesars Entertainment Operating Co., Inc.
Tranche B-6, 6.451%, 1/28/18		542		507
Tranche B-7, 9.750%, 1/28/18		103		102
Caesars Growth Properties Holdings LLC Tranche B, First Lien 6.250%, 5/8/21		357		358
CBAC Borrower LLC Tranche B, 8.250%, 7/2/20		692		719
Clear Channel Communications, Inc. Tranche D, 6.900%, 1/30/19		1,333		1,329
Fitness International LLC 0.000%, 6/24/20(8)		657		656
Granite Broadcasting Corp. Tranche B, First Lien 6.750%, 5/23/18		422		422
Jason, Inc. 0.000%, 5/21/21(8)		245		246
Landry’s, Inc. Tranche B, 4.000%, 4/24/18		1,022		1,027
Liberty Cablevision of Puerto Rico LLC Second Lien, 0.000%, 6/26/23⁽⁸⁾		79		79
Marina District Finance Co., Inc. 6.750%, 8/15/18		415		421
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		1,056		1,083
SEASAC, Inc. First Lien, 5.000%, 2/7/19		456		460
Shingle Springs Tribal Gaming Authority 6.250%, 8/29/19		650		673
Transtar Holding Co. Second Lien, 10.000%, 10/9/19		380		378


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
TWCC Holding Corp. Second Lien, 7.000%, 6/26/20	$	813	$	807

				10,978

Consumer Staples—0.3%
AdvancePierre Foods, Inc. Second Lien, 9.500%, 10/10/17		655		636
Shearer’s Foods LLC 0.000%, 6/17/22⁽⁸⁾		521		527

				1,163

Energy—1.1%
Chief Exploration & Development LLC 0.000%, 5/16/21⁽⁸⁾		649		665
Fieldwood Energy LLC Second Lien, 8.375%, 9/30/20		861		890
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		520		526
NGPL Pipeco LLC 6.750%, 9/15/17		473		474
Seadrill Operating LP (Seadrill Partners Finco LLC) Tranche B 0.000%, 2/21/21⁽⁸⁾		510		508
Templar Energy LLC Second Lien, 8.000%, 11/25/20		925		920

				3,983

Financials—0.8%
Altisource Solutions S.A R.L. Tranche B, 4.500%, 12/9/20		892		894
Asurion LLC Second Lien, 8.500%, 3/3/21		720		748
Capital Automotive LP Second Lien, 6.000%, 4/30/20		106		109
Nuveen Investments, Inc. Tranche B, Second Lien, 6.500%, 2/28/19		1,144		1,157

				2,908

Health Care—1.7%
American Renal Holdings, Inc. Second Lien, 8.500%, 3/20/20		909		913
Ardent Medical Services, Inc.
First Lien, 6.750%, 7/2/18		318		320
Second Lien, 11.000%, 1/2/19		206		208
Community Health Systems, Inc. (CHS) Tranche D, 4.250%, 1/27/21		102		103
CRC Health Corp. Tranche B, First Lien, 5.250%, 3/29/21		222		225


	PAR VALUE		VALUE
Health Care—(continued)
Curo Health Services LLC first Lien, 5.750%, 6/8/20	$	165	$	164
Gentiva Health Services, Inc. Tranche B, 6.500%, 10/18/19		888		889
INC Research LLC 4.250%, 7/12/18		337		337
InVentiv Health, Inc. 7.500%, 8/4/16		583		587
MMM Holdings, Inc. 9.750%, 12/12/17		286		288
MSO of Puerto Rico, Inc. 9.750%, 12/12/17		208		209
PharMEDium Healthcare Corp. Second Lien, 7.750%, 1/28/22		187		190
Regional Care, Inc. (RCHP, Inc.) First Lien, 6.000%, 4/23/19		421		421
Sheridan Holdings, Inc. Second Lien, 8.250%, 12/20/21		505		518
Surgery Center Holdings, Inc.
First Lien, 6.000%, 4/11/19		299		299
Second Lien, 9.750%, 4/11/20		409		417

				6,088

Industrials—2.0%
Alliance Laundry Systems LLC Second Lien, 9.500%, 12/10/19		93		95
American Airlines, Inc. Tranche B, 3.750%, 6/27/19		1,021		1,024
AWAS Finance Luxembourg SA 3.500%, 7/16/18		588		589
Brock Holdings Ill, Inc. Second Lien, 10.000%, 3/16/18		285		288
CHG Healthcare Services, Inc. Second Lien, 9.000%, 11/19/20		217		222
Commercial Barge Line Co. First Lien, 7.500%, 9/22/19		1,116		1,124
Filtration Group Corp. Second Lien, 8.250%, 11/22/21		740		759
Harland Clarke Holdings Corp.
Tranche B-3, 7.000%, 5/22/18		409		416
Tranche B-4, 6.000%, 8/4/19		178		181
Husky Injection Molding Systems Ltd. (Yukon Acquisition, Inc.) 4.250%, 7/2/18		535		537
International Equipment Solutions Global B.V. 6.750%, 8/16/19		617		625
LM U.S. Member LLC (and LM U.S. Corp. Acquisition, Inc..) 0.000%, 10/26/20(7)⁽⁸⁾		725		732


	PAR VALUE		VALUE
Industrials—(continued)
Navistar, Inc. Tranche B, 5.750%, 8/17/17	$	729	$	745

				7,337

Information Technology—3.4%
Active Network, Inc. (Lanyon Solutions, Inc. First Lien, 5.500%, 11/13/20⁽⁸⁾		569		568
Allflex Holdings III, Inc. Second Lien, 8.000%, 7/19/21		599		606
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		45		46
Blue Coat Systems, Inc.
4.000%, 5/31/19		1,124		1,127
Second Lien, 9.500%, 6/26/20		1,660		1,690
Deltek, Inc.
First Lien, 4.500%, 10/10/18		768		774
Second Lien, 10.000%, 10/10/19⁽⁸⁾		638		653
Excelitas Technologies Corp. Tranche B, 6.000%, 11/2/20		711		717
IPC Systems, Inc. First Lien, 6.000%, 11/8/20⁽⁸⁾		482		484
Kronos, Inc.
First Lien, 4.500%, 10/30/19		8		8
Second Lien, 9.750%, 4/30/20		827		863
Mitchell International, Inc. Second Lien, 8.500%, 10/11/21		798		817
Novell, Inc. (Attachmate Corp.) First Lien, 7.250%, 11/22/17⁽⁸⁾		314		317
RP Crown Parent LLC
First Lien, 6.000%, 12/21/18		721		722
Second Lien, 11.250%, 12/21/19		365		369
SkillSoft Corp. 7.750%, 4/28/22⁽⁸⁾		393		391
SRA International, Inc. 6.500%, 7/20/18		463		465
Sungard Availability Services Capital, Inc. Tranche B, 6.000%, 3/29/19		465		463
Vision Solutions, Inc. First Lien, 6.000%, 7/23/16		549		549
Wall Street Systems, Inc. 4.500%, 4/30/21		622		624

				12,253

Materials—0.6%
Fortescue Metals Group Ltd. (FMG Resources Ltd.) 3.750%, 6/28/19		322		323
Houghton International, Inc. Holding Corp. Second Lien, 9.500%, 12/21/20		630		646


	PAR VALUE			VALUE
Materials—(continued)
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19	$	1,303		$	1,258

					2,227

Telecommunication Services—0.2%
Securus Technologies Holdings, Inc. Second Lien, 9.000%, 4/30/21		480			488

Utilities—0.2%
Atlantic Power LP 4.750%, 2/24/21		201			203
ExGen Renewables I LLC 5.250%, 2/6/21		226			231
Texas Competitive Electric Holdings Co. LLC 2017 Extended, 4.625%, 10/10/17⁽¹⁴⁾		379			311

					745

TOTAL LOAN AGREEMENTS (Identified Cost $47,580)					48,170


	SHARES			VALUE
PREFERRED STOCK—3.6%
Energy—0.2%
PTT Exploration & Production PCL, 144A, 4.875%⁽²⁾⁽³⁾		905,000			911

Financials—3.2%
Ally Financial, Inc. Series A, 8.500%		20,000			552
Ally Financial, Inc. Series G, 144A, 7.000%⁽³⁾		321			322
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽²⁾		675	⁽¹¹⁾		704
Banco do Brasil S.A., Tranche B, 144A, 8.500%⁽²⁾⁽³⁾		600	⁽¹¹⁾		669
Citigroup, Inc. Series J, 7. 125%		46,600			1,288
General Electric Capital Corp. Series B, 6.250%⁽²⁾		700	⁽¹¹⁾		779
General Electric Capital Corp. Series C, 5.250%⁽²⁾		600	⁽¹¹⁾		607
Goldman Sachs Group, Inc. (The)⁽²⁾		890,000			919
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		285,000			283
JPMorgan Chase & Co., Series Q, 5.150%⁽²⁾		1,595	⁽¹¹⁾		1,537
PNC Financial Services Group, Inc. (The) 4.454%⁽²⁾		350	⁽¹¹⁾		350
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽²⁾		965	⁽¹¹⁾		928
U.S. Bancorp Series G, 6.000%		22,600			619
Wells Fargo & Co. Series K, 7.980%⁽²⁾		950	⁽¹¹⁾		1,081


	SHARES		VALUE
Financials—(continued)
Zions Bancorp, 6.950%		38,525	$	1,021

				11,659

Industrials—0.2%
Seaspan Corp. Series C, 9.500%		20,000		554

TOTAL PREFERRED STOCK (Identified Cost $12,377)				13,124

COMMON STOCKS—0.0%
Consumer Discretionary—0.0%
Mark IV Industries		446		21

TOTAL COMMON STOCKS (Identified Cost $4)				21

EXCHANGE-TRADED FUNDS—0.5%
SPDR S&P 500^® ETF Trust Series 1		9,500		1,859

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,799)				1,859

TOTAL LONG TERM INVESTMENTS—98.6% (Identified cost $347,925)				358,702	⁽¹⁰⁾

SHORT-TERM INVESTMENTS—1.6%
Money Market Mutual Funds—1.6%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		5,699,653		5,700

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $5,700)				5,700

TOTAL INVESTMENTS—100.2% (Identified Cost $353,625)				364,402	⁽¹⁾
Other assets and liabilities, net—(0.2)%				(563	)

NET ASSETS—100.0%			$	363,839

Abbreviations:


ETF		Exchange-Traded Fund
PIK		Payment-in-Kind Security
SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2014.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, these securities amounted to a value of $142,454 or 39.2% of net assets.

($ reported in thousands)

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	No contractual maturity date.

⁽⁶⁾	Interest payments may be deferred.

⁽⁷⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	This loan will settle after June 30, 2014, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁹⁾	Principal amount is adjusted pursuant to the change in the local inflation index.

⁽¹⁰⁾	A portion of the Fund’s assets have been segregated for delayed delivery settlements.

⁽¹¹⁾	Value shown as par value.

⁽¹²⁾	100% of the income received was in cash.

⁽¹³⁾	Security in default, portion of the interest payments are being received during the bankruptcy proceedings.

⁽¹⁴⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

Foreign Currencies:


AUD		Australian Dollar
BRL		Brazilian Real
CLP		Chilean Peso
COP		Colombian Peso
IDR		Indonesian Rupiah
MXN		Mexican Peso
NZD		New Zealand Dollar
PEN		Peruvian Nuevo Sol
PHP		Philippine Peso
RUB		Russian Ruble
TRY		Turkish Lira
UYU		Uruguayan Peso
ZAR		South African Rand


Country Weightings †
United States	62	%
Brazil	4
Luxembourg	4
Mexico	3
Canada	2
Venezuela	2
Ireland	1
Other	22

Total	100	%

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $322 were transferred from Level 1 to Level 2 since an exchange price was no longer available.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—1.5%
U.S. Treasury Note
0.750%, 3/15/17	$	15,000		$	14,998
0.875%, 6/15/17		100,000			100,023
1.375%, 9/30/18		18,000			17,975

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $132,821)					132,996

MUNICIPAL BONDS—0.2%
Iowa—0.1%
State Finance Authority Midwestern Disaster Area, Iowa Fertilizer Co. LLC Project Taxable 5.500%, 12/1/22		4,505			4,696

Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		4,597			4,787

Texas—0.0%
City of Houston Airport System United Airlines, Inc. Terminal 4.500%, 7/1/20		1,900			1,942

Virginia—0.0%
Tobacco Settlement Financing Corp. Taxable
Series 07-A1, 6.706%, 6/1/46		4,715			3,501

TOTAL MUNICIPAL BONDS (Identified Cost $15,354)					14,926

FOREIGN GOVERNMENT SECURITIES—5.8%
Argentine Republic
Series X, 7.000%, 4/17/17		14,375			13,498
8.750%, 5/7/24		9,930			9,334
Series NY, 8.280%, 12/31/33		24,360			20,463
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽³⁾⁽⁴⁾		27,308			25,929
RegS 7.000%, 12/1/18⁽²⁾⁽⁴⁾		8,350			7,327
Commonwealth of Australia Series 130, 4.750%, 6/15/16		33,080	^AUD		32,503
Commonwealth of New Zealand Series 415, 6.000%, 4/15/15		40,545	^NZD		36,159
Federative Republic of Brazil 12.500%, 1/5/16		92,159	^BRL		43,692
Hungary 4.000%, 3/25/19		9,025			9,319
Mongolia 144A 4.125%, 1/5/18⁽³⁾		16,000			15,200


	PAR VALUE			VALUE
New South Wales, Australia Treasury Corp., Series 17 5.500%, 3/1/17	$	10,665	^AUD	$	10,772
Provincia de Neuquen, Argentina 144A 7.875%, 4/26/21⁽³⁾		5,562			5,548
Republic of Chile 5.500%, 8/5/20		11,647,000	^CLP		21,988
Republic of Colombia 12.000%, 10/22/15		27,535,000	^COP		15,997
Treasury Note, Series B, 11.250%, 10/24/18		21,072,000	^COP		13,361
Republic of Indonesia
Series FR30, 10.750%, 5/15/16		415,359,000	^IDR		37,123
Series FR55, 7.375%, 9/15/16		120,196,000	^IDR		10,119
Republic of Latvia RegS 2.750%, 1/12/20⁽⁴⁾		8,560			8,496
Republic of Panama 5.200%, 1/30/20⁽⁴⁾		3,800			4,241
Republic of Peru GDN 144A 7.840%, 8/12/20⁽³⁾		50,140	^PEN		20,577
Republic of South Africa Series R203, 8.250%, 9/15/17		134,520	^ZAR		12,980
Republic of Sri Lanka 144A 6.000%, 1/14/19⁽³⁾		17,450			18,410
Russian Federation
144A 7.850%, 3/10/18⁽³⁾		1,005,000	^RUB		29,445
RegS 7.500%, 3/31/30⁽²⁾⁽⁴⁾		1,370			1,587
State of Qatar 144A 3.125%, 1/20/17⁽³⁾		12,000			12,628
United Mexican States Series M, 6.000%, 6/18/15		1,096,623	^MXN		86,840

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $529,994)					523,536

MORTGAGE-BACKED SECURITIES—21.8%
Agency—1.8%
FHLMC
14-DN2, M2 1.800%, 4/25/24⁽²⁾		21,365			21,511
6.000%, 8/1/34		473			538
FNMA
5.500%, 1/1/17		71			75
6.000%, 5/1/17		22			23
4.500%, 4/1/18		176			187
5.000%, 10/1/19		543			576
5.500%, 2/1/20		180			191
5.500%, 3/1/20		155			165
5.500%, 3/1/20		20			21
5.500%, 3/1/20		92			98
5.500%, 3/1/20		87			92
5.500%, 4/1/20		284			308
5.000%, 6/1/20		590			626
4.000%, 8/1/25		17,110			18,321
3.000%, 6/1/27		1,346			1,399


	PAR VALUE		VALUE
Agency—(continued)
2.500%, 5/1/28	$	19,656	$	19,988
6.000%, 12/1/32		59		67
5.500%, 2/1/33		100		113
5.500%, 5/1/34		439		492
6.000%, 8/1/34		344		389
6.000%, 10/1/34		267		303
6.000%, 10/1/34		249		281
5.500%, 11/1/34		409		457
5.500%, 11/1/34		149		167
6.000%, 11/1/34		530		598
5.500%, 12/1/34		194		217
5.500%, 1/1/35		351		394
6.000%, 1/1/37		578		653
6.000%, 1/1/37		436		492
5.500%, 7/1/37		8		9
6.000%, 7/1/37		121		136
6.000%, 12/1/37		413		464
6.000%, 4/1/38		306		345
5.000%, 12/1/39		10,219		11,466
4.500%, 4/1/40		12,823		13,884
5.000%, 8/1/40		19,635		21,822
4.000%, 10/1/40		259		275
4.000%, 3/1/41		7,673		8,148
4.500%, 5/1/41		8,774		9,501
3.500%, 4/1/42		13,309		13,706
GNMA
6.500%, 7/15/31		13		15
6.500%, 8/15/31		35		40
6.500%, 11/15/31		21		24
6.500%, 2/15/32		24		28
6.500%, 4/15/32		52		60
6.500%, 4/15/32		52		59
12-147, AK 2.586%, 4/16/54		9,531		9,863

				158,587

Non-Agency—20.0%
A10 Securitization LLC 13-1, A 144A 2.400%, 11/15/25⁽³⁾		4,474		4,493
A10 Term Asset Financing LLC 14-1, A1 144A 1.720%, 4/15/33⁽³⁾		13,885		13,884
ABN AMRO Mortgage Corp. 02-9, M 5.750%, 12/25/32		891		854


	PAR VALUE		VALUE
Non-Agency—(continued)
Americold LLC Trust 10-ARTA, A1 144A 3.847%, 1/14/29⁽³⁾	$	10,186	$	10,770
Banc of America (Merrill Lynch) Commercial Mortgage, Inc. 05-2, B 5.297%, 7/10/43⁽²⁾		10,916		11,220
Banc of America Alternative Loan Trust
03-2, CB3 5.750%, 4/25/33		21,540		22,336
03-10, 2A1 6.000%, 12/25/33		4,106		4,449
07-2, 2A4 5.750%, 6/25/37		6,167		4,845
Banc of America Commercial Mortgage Trust 07- 2, A4 5.781%, 4/10/49⁽²⁾		17,178		18,875
Banc of America Funding Corp.
04-4, 3A1 4.750%, 10/25/19		4,029		4,112
04-B, 2A1 5.455%, 11/20/34⁽²⁾		1,162		1,158
06-2, 3A1 6.000%, 3/25/36		4,126		4,167
Banc of America Funding Trust 05-1, 1A1 5.500%, 2/25/35		925		958
Banc of America Mortgage Securities, Inc.
04-11, 2A1 5.750%, 1/25/35		3,051		3,103
05-3, 2A2 5.500%, 3/25/35		130		130
05-3, 1A15 5.500%, 4/25/35		3,240		3,393
Banc of America Mortgage Trust 04-7, 6A3 4.500%, 8/25/19		1,644		1,659
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust
04-18CB, 1A1 6.000%, 9/25/34		14,748		15,653
04-22CB, 1A1 6.000%, 10/25/34		33,670		35,318
04-36CBC, 2A1 5.500%, 2/25/35		7,021		7,041
Bank of America (Merrill Lynch - Countrywide) Commercial Mortgage Trust 06-4, A3 5.172%, 12/12/49		10,300		11,084
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust
02-35, 1A2 5.000%, 2/25/18		918		933
03-4, 1A15 5.500%, 4/25/33		2,376		2,446
03-28, A8 5.500%, 8/25/33		1,099		1,153
04-6, 1A2 2.457%, 5/25/34⁽²⁾		2,138		2,143
04-4, A6 5.500%, 5/25/34		1,507		1,553
Bank of America (Merrill Lynch - Countrywide) Mortgage Trust 06-C1, AM 5.862%, 5/12/39⁽²⁾		7,570		8,130
Bank of America (Merrill Lynch - Deutsche Bank Trust) 12-OSI, A2FX 144A 3.352%, 4/13/29⁽³⁾		19,916		20,612
Bank of America (Merrill Lynch) Mortgage Investors, Inc. 98-C1, B 6.750%, 11/15/26⁽²⁾		10,000		11,261


	PAR VALUE		VALUE
Non-Agency—(continued)
Bank of America (Merrill Lynch) Commercial Mortgage Trust 06-3, A4 5.414%, 7/12/46⁽²⁾	$	11,099	$	11,968
Bank of America Re-Remic Trust 12-CLRN, E 144A 3.352%, 8/15/17⁽²⁾⁽³⁾		7,500		7,515
Bayview Commercial Asset Trust
07-5A, A2 144A 1.052%, 10/25/37⁽²⁾⁽³⁾		14,037		13,948
08-1, A2A 144A 1.152%, 1/25/38⁽²⁾⁽³⁾		12,285		12,141
08-1, A3 144A 1.652%, 1/25/38⁽²⁾⁽³⁾		32,808		31,083
BCAP LLC Trust 06-RR1, PE 5.000%, 11/25/36		3,114		3,180
Bear Stearns Adjustable Rate Mortgage Trust
03-9, 4A1 2.617%, 2/25/34⁽²⁾		7,876		7,880
04-10, 14A1 5.066%, 1/25/35⁽²⁾		2,206		2,230
05-8, A3 144A 5.151%, 8/25/35⁽²⁾⁽³⁾		45		45
Bear Stearns Asset Backed Securities Trust 03- AC4. A 5.500%, 9/25/33⁽²⁾		9,724		10,048
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.757%, 4/12/38⁽²⁾		10,700		11,503
06-PW12, AM 5.937%, 9/11/38⁽²⁾		9,250		9,973
06-PW14, AM 5.243%, 12/11/38		10,000		10,897
05-PW10, AM 5.449%, 12/11/40⁽²⁾		14,480		15,284
06-PW13, AM 5.582%, 9/11/41⁽²⁾		3,272		3,554
07- PW15, AM 5.363%, 2/11/44		22,100		23,283
07- PW17, A4 5.694%, 6/11/50⁽²⁾		21,890		24,361
07-PW18, A4 5.700%, 6/11/50		17,330		19,384
07-PW18, AM 6.084%, 6/11/50⁽²⁾		12,400		14,019
Citicorp Mortgage Securities, Inc. 07-1,A1 5.500%, 1/25/22		267		269
Citigroup - Deutsche Bank Commercial Mortgage Trust
05-CD1, AM 5.401%, 7/15/44⁽²⁾		6,410		6,721
06-CD2, A4 5.480%, 1/15/46⁽²⁾		2,659		2,806
07-CD4, A4 5.322%, 12/11/49		3,730		4,058
Citigroup Commercial Mortgage Trust
07-6, A4 5.899%, 12/10/49⁽²⁾		388		429
07-C6, A1A 5.899%, 12/10/49⁽²⁾		19,262		21,332
08-C7, AM 6.341%, 12/10/49⁽²⁾		12,335		13,837
10-RR3, MLSR 144A 5.810%, 6/14/50⁽²⁾⁽³⁾		3,460		3,789
Citigroup Mortgage Loan Trust, Inc.
03-UP3, A2 7.000%, 9/25/33		1,112		1,173
04-UST1, A3 2.206%, 8/25/34⁽²⁾		2,425		2,439
04-MCL2, 2CB2 6.750%, 8/25/34		14,983		16,338
14-A, A 144A 4.000%, 1/25/35⁽²⁾⁽³⁾		25,985		27,052


	PAR VALUE		VALUE
Non-Agency—(continued)
05-5, 2A3 5.000%, 8/25/35	$	865	$	875
Commercial Mortgage Trust 07-GG11, AM 5.867%, 12/10/49⁽²⁾		18,174		20,081
Credit Suisse Commercial Mortgage Trust
07-C4, A1AM 6.051%, 9/15/39⁽²⁾		12,590		13,772
07-C1, A1A 5.361%, 2/15/40		42,855		45,987
07-C5, A1AM 5.870%, 9/15/40⁽²⁾		13,714		14,187
14-LVR2, A2 4.000%, 4/25/44⁽²⁾⁽³⁾		19,420		20,139
07-C2, A3 5.542%, 1/15/49⁽²⁾		12,995		14,224
Credit Suisse First Boston Mortgage Securities Corp.
03-27, 5A3 5.250%, 11/25/33		2,763		2,831
04-AR8, 6A1 2.479%, 9/25/34⁽²⁾		11,028		11,140
04-8, 7A1 6.000%, 12/25/34		7,919		8,379
Extended Stay America Trust
13-ESH7, A17 144A 2.295%, 12/5/31⁽³⁾		29,200		28,362
13-ESH7, A27 144A 2.958%, 12/5/31⁽³⁾		8,340		8,460
Fannie Mae Connecticut Avenue Securities 14- C02, 2M2 2.752%, 5/25/24⁽²⁾		1,420		1,420
FDIC Trust 13-N1, A 144A 4.500%, 10/25/18⁽³⁾		3,284		3,330
GMAC Commercial Mortgage Securities, Inc. 04- C3, A4 4.547%, 12/10/41		439		439
GMAC Mortgage Corp. Loan Trust
03-J7 5.500%, 11/25/33		1,950		2,038
04-AR1, 12A 2.986%, 6/25/34⁽²⁾		11,394		11,665
05-AR1, 5A 5.066%, 3/18/35⁽²⁾		4,042		4,070
Goldman Sachs Mortgage Securities Trust
II 07-GG10, A4 5.997%, 8/10/45⁽²⁾		21,789		24,126
07-GG,10 5.997%, 8/10/45⁽²⁾		3,856		4,235
GSR Mortgage Loan Trust
04-15F, 2A2 5.000%, 12/25/34		3,319		3,495
05-5F, 2A8 5.500%, 6/25/35		1,055		1,063
05-AR4, 6A1 5.211%, 7/25/35⁽²⁾		7,059		7,090
07-1F, 2A2 5.500%, 1/25/37		690		661
Heller Financial Commercial Mortgage Asset 00- PH1, G 144A 6.750%, 1/17/34⁽³⁾		2,602		2,656
Hilton USA Trust 13-HLT, EFX 144A 5.609%, 11/5/30⁽²⁾⁽³⁾		17,280		17,835
JPMorgan Mortgage Trust 14-2, 2A2 144A 3.500%, 10/25/26⁽²⁾⁽³⁾		18,175		18,874
JPMorgan Chase (Washington Mutual) Commercial Mortgage Securities Trust 06-SL1, A 144A 4.469%, 11/23/43⁽²⁾⁽³⁾		338		338


	PAR VALUE		VALUE
Non-Agency—(continued)
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust
04-CB1, 5A 5.000%, 6/25/19	$	2,029	$	2,088
03-AR6, A1 2.439%, 6/25/33⁽²⁾		1,373		1,388
03-AR4, 2A1 2.251%, 8/25/33⁽²⁾		434		434
04-CB1, 2A 5.000%, 6/25/34		4,343		4,643
JPMorgan Chase Commercial Mortgage Securities Trust
13-ALC, A 144A 1.655%, 7/17/26⁽²⁾⁽³⁾		8,700		8,712
09-IWST, A1 144A 4.314%, 12/5/27⁽³⁾		7,139		7,682
09-IWST, A2 144A 5.633%, 12/5/27⁽³⁾		4,900		5,680
10-CNTR, A1 144A 3.300%, 8/5/32⁽³⁾		2,099		2,197
10-CNTR, A2 144A 4.311%, 8/5/32⁽³⁾		14,828		16,200
06-LDP7, A4 6.057%, 4/15/45⁽²⁾		12,301		13,230
06-LDP7, AM 6.057%, 4/15/45⁽²⁾		22,312		24,301
06-LDP9, A3 5.336%, 5/15/47		20,649		22,399
07-LDPX, AM 5.464%, 1/15/49⁽²⁾		24,049		25,597
07-LD12, A4 5.882%, 2/15/51⁽²⁾		8,029		8,893
JPMorgan Chase Mortgage Trust
03-A2, 3A1 1.990%, 11/25/33⁽²⁾		7,733		7,749
06-A2, 4A1 2.574%, 8/25/34⁽²⁾		2,857		2,857
04-A4, 2A1 2.434%, 9/25/34⁽²⁾		4,957		5,048
05-A1, 4A1 2.811%, 2/25/35⁽²⁾		1,065		1,081
05-A2, 4A1 5.025%, 4/25/35⁽²⁾		1,448		1,442
05-A4, 3A1 2.201%, 7/25/35⁽²⁾		8,055		8,078
06-A4, 3A1 5.105%, 6/25/36⁽²⁾		7,506		6,734
06-A6, 3A3L 5.052%, 10/25/36⁽²⁾		1,983		1,811
14-1, 1A1 144A 4.000%, 4/25/43⁽²⁾⁽³⁾		36,974		38,056
Leaf II Receivables Funding LLC 13-1, C 144A 3.460%, 9/15/21⁽³⁾		6,850		6,892
Lehman Brothers - UBS Commercial Mortgage Trust
04-C7, A6 4.786%, 10/15/29⁽²⁾		1,777		1,782
06-C3, AM 5.712%, 3/15/39⁽²⁾		7,615		8,156
07-C2, A3 5.430%, 2/15/40		6,431		7,053
07-C6, A4 5.858%, 7/15/40⁽²⁾		20,470		21,932
07-C7, A3 5.866%, 9/15/45⁽²⁾		11,112		12,494
MASTR Adjustable Rate Mortgages Trust 04- 12,3A1 2.625%, 11/25/34⁽²⁾		2,402		2,404
MASTR Alternative Loan Trust
04-7, 4A1 4.500%, 7/25/19		4,749		4,852
03-8, 2A1 5.750%, 11/25/33		8,920		9,334
04-4, 6A1 5.500%, 4/25/34		4,958		5,350


	PAR VALUE		VALUE
Non-Agency—(continued)
04-6, 7A1 6.000%, 7/25/34	$	7,414	$	7,544
04-7, 9A1 6.000%, 8/25/34		18,833		19,656
05-2, 2A1 6.000%, 1/25/35		4,520		4,671
05-2, 1A1 6.500%, 3/25/35		12,167		12,828
MASTR Asset Securitization Trust
04-6, 4A1 5.000%, 7/25/19		1,444		1,492
05-1, 1A1 5.000%, 5/25/20		948		975
MASTR Reperforming Loan Trust 05-1, 1A2 144A 6.500%, 8/25/34⁽³⁾		2,135		2,193
Morgan Stanley Capital I Trust
06-T23, AM 5.984%, 8/12/41⁽²⁾		10,575		11,568
06-IQ12, A4 5.332%, 12/15/43		14,415		15,529
07-IQ14, A4 5.692%, 4/15/49⁽²⁾		17,390		19,174
07-IQ14, AM 5.869%, 4/15/49⁽²⁾		21,232		22,609
07- LQ14, AMFX 5.869%, 4/15/49⁽²⁾		5,000		5,324
07- LQ16, A4 5.809%, 12/12/49		22,735		25,316
Morgan Stanley Mortgage Loan Trust
04-2AR, 3A 2.159%, 2/25/34⁽²⁾		2,120		2,130
04-2AR, 4A 2.539%, 2/25/34⁽²⁾		2,044		2,081
Motel 6 Trust 12-MTL6 D 144A 3.781%, 10/5/25⁽³⁾		20,790		21,106
New Residential Mortgage Loan Trust 14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		11,532		11,929
Nomura Asset Acceptance Corp.
04-R1, A1 144A 6.500%, 3/25/34⁽³⁾		12,527		13,101
04-R3, A1 144A 6.500%, 2/25/35⁽³⁾		8,582		8,852
05-WF1, 2A2 4.786%, 3/25/35		2,620		2,704
Residential Accredit Loans, Inc.
03-QS6, A4 4.250%, 3/25/33		2,378		2,423
05-QS1, A5 5.500%, 1/25/35		1,850		1,876
Residential Asset Mortgage Products, Inc.
04-SL2, A3 7.000%, 10/25/31		2,992		3,154
04-SL1, A8 6.500%, 11/25/31		3,359		3,455
05-SL2, A4 7.500%, 2/25/32		2,903		3,060
04-SL4, A3 6.500%, 7/25/32		1,947		2,011
Residential Asset Securities Corp. 01-KS2, AI5 7.514%, 6/25/31⁽²⁾		3,238		3,276
Residential Asset Securitization Trust
13-LT2, A 144A 2.833%, 5/22/28⁽³⁾		7,703		7,707
03,A11, A9 5.750%, 11/25/33		3,639		3,806
04-A1, A5 5.500%, 4/25/34		15,120		15,759
04-QS8, A6 5.500%, 6/25/34		4,189		4,316
Residential Funding Mortgage Securities I, Inc. 06-S12, 1A1 5.500%, 12/25/21		2,085		2,163


	PAR VALUE		VALUE
Non-Agency—(continued)
05-S1, 1A2 5.500%, 2/25/35	$	1,964	$	1,985
05-S9, A9 5.500%, 12/25/35		863		859
06-S4, A2 6.000%, 4/25/36		1,336		1,257
SBA Tower Trust 144A 4.254%, 4/15/15⁽³⁾		13,535		13,897
Sequoia Mortgage Trust 12-3, A1 144A 4.000%, 12/25/43⁽²⁾⁽³⁾		13,849		14,325
SilverLeaf Finance XVII LLC 13-12, A1 144A 2.680%, 3/16/26⁽³⁾		9,158		9,103
SMA Issuer I LLC 12-LV1, A 144A 3.500%, 8/20/25⁽³⁾		1,052		1,052
Springleaf Mortgage Loan Trust
11-1A, A1 144A 4.050%, 9/25/41⁽²⁾⁽³⁾		4,323		4,506
09-1, A7 144A 5.750%, 9/25/48⁽²⁾⁽³⁾		4,168		4,169
12-3A, A 144A 1.570%, 12/25/59⁽²⁾⁽³⁾		3,920		3,918
Structured Adjustable Rate Mortgage Loan Trust
03-30, 2A1 5.112%, 10/25/33⁽²⁾		6,111		6,490
04-4, 3A4 2.458%, 4/25/34⁽²⁾		3,912		3,917
04-4, 3A1 2.458%, 4/25/34⁽²⁾		1,146		1,148
04-4, 3A2 2.458%, 4/25/34⁽²⁾		4,529		4,542
04-5, 3A2 2.415%, 5/25/34⁽²⁾		2,453		2,461
04-14, 7A 2.368%, 10/25/34⁽²⁾		16,474		16,582
Structured Asset Securities Corp. 03-AL1, A 144A 3.357%, 4/25/31⁽³⁾		11,389		11,185
Structured Asset Securities Corp. Mortgage Pass - Through Certificates
02-AL1, A3 3.450%, 2/25/32		5,456		5,387
03-33H, 1A1 5.500%, 10/25/33		4,904		5,014
03-34A, 6A 2.646%, 11/25/33⁽²⁾		3,945		3,883
04-21XS, 2A4A 4.900%, 12/25/34⁽²⁾		362		362
SunTrust Adjustable Rate Mortgage Loan Trust 07-S1, 5A1 3.868%, 1/25/37⁽²⁾		1,380		1,379
Topre Corp. 13-LTR1,A 3.470%, 11/20/28		5,606		5,612
Wells Fargo (Wachovia Bank Commercial Mortgage Trust)
04-C15, B 4.892%, 10/15/41		14,875		14,920
06-C25, AM 5.904%, 5/15/43⁽²⁾		18,625		20,051
06-C25, A4 5.904%, 5/15/43⁽²⁾		9,370		9,940
07-C30, A5 5.342%, 12/15/43		39,765		43,356
07-C30, AM 5.383%, 12/15/43		24,070		26,181
07-C31, A4 5.509%, 4/15/47		12,177		13,182
07-31, AM 5.591%, 4/15/47⁽²⁾		34,000		37,238
07-C32, A3 5.933%, 6/15/49⁽²⁾		22,577		24,702
07-C33, A5 6.140%, 2/15/51⁽²⁾		1,265		1,409


	PAR VALUE		VALUE
Non-Agency—(continued)
Wells Fargo Mortgage Backed Securities Trust
06-17, A1 5.500%, 11/25/21	$	250	$	254
03-G, A1 2.490%, 6/25/33⁽²⁾		1,704		1,740
03-J, 5A1 2.492%, 10/25/33⁽²⁾		660		667
04-4, A9 5.500%, 5/25/34		2,866		2,951
04-U, A1 2.635%, 10/25/34⁽²⁾		1,305		1,312
04-Z, 2A1 2.615%, 12/25/34⁽²⁾		9,581		9,759
04-CC, A1 2.615%, 1/25/35⁽²⁾		4,043		4,057
05-12, 1A1 5.500%, 11/25/35		6,745		6,949
05-14, 2A1 5.500%, 12/25/35		5,092		5,225
06-6, 1A15 5.750%, 5/25/36		670		666
06-16, A5 5.000%, 11/25/36		1,717		1,780
07-16, 1A1 6.000%, 12/28/37		6,505		6,723
07-AR10, 2A1 6.170%, 1/25/38⁽²⁾		5,733		5,743
WinWater Mortgage Loan Trust 14-1, A1 144A 4.000%, 6/27/44⁽³⁾		19,380		20,034

				1,794,253

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,895,870)				1,952,840

ASSET-BACKED SECURITIES—16.2%
1st Financial Bank U.S.A. 10-D, C 144A 5.920%, 6/17/19⁽³⁾		3,000		3,014
American Home 4 Rent 14-SFR1, A 144A 1.250%, 6/17/31⁽²⁾⁽³⁾		7,460		7,470
AmeriCredit Automobile Receivables Trust
10-4, C 2.760%, 5/9/16		1,594		1,603
11-1, C 2.850%, 8/8/16		800		806
10-4, D 4.200%, 11/8/16		7,700		7,906
11-1, D 4.260%, 2/8/17		11,119		11,448
11-5, D 5.050%, 12/8/17		5,010		5,312
12-1, C 2.670%, 1/8/18		4,625		4,714
12-3, C 2.420%, 5/8/18		16,750		17,124
12-3, D 3.030%, 7/9/18		19,762		20,433
12-4, D 2.680%, 10/9/18		7,150		7,341
13-2, D 2.420%, 5/8/19		20,600		20,827
14-1, D 2.540%, 5/8/20		5,350		5,377
14-2, C 2.180%, 6/8/20		19,450		19,515
Ameriquest Mortgage Securities, Inc. 03-10, AF6 5.210%, 11/25/33⁽²⁾		1,643		1,700
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 6/25/35⁽²⁾		4,372		4,491


	PAR VALUE		VALUE
Associates Manufactured Housing Pass-Through Certificates 96-1, B1 8.000%, 3/15/27⁽²⁾	$	2,510	$	2,730
Avis Budget Rental Car Funding LLC
(AESOP) 11-3A, A 144A 3.410%, 11/20/17⁽³⁾		12,848		13,454
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		23,085		23,335
(AESOP) 13-1A, A 144A 1.920%, 9/20/19⁽³⁾		18,200		18,187
Bank of America (Merrill Lynch - Countrywide) Asset-Backed Certificates
04-10, AF6 4.485%, 12/25/34⁽²⁾		2,374		2,446
04-12, AF6 4.634%, 3/25/35⁽²⁾		2,030		2,062
05-1 AF5A 5.419%, 7/25/35⁽²⁾		13,675		13,276
05-12, 2A3 5.069%, 2/25/36⁽²⁾		4,191		4,270
BankAmerica Manufactured Housing Contract Trust 98-1, B1 7.810%, 8/10/25⁽²⁾		4,607		4,918
Bayview Financial Acquisition Trust 07-A, 1A2 6.205%, 5/28/37⁽²⁾		9,918		10,538
Bayview Financial Mortgage-Pass-Through Trust
06-B, 1A2 5.800%, 4/28/36⁽²⁾		115		122
06-A, 1A2 5.483%, 2/28/41⁽²⁾		179		182
06-A, 1A4 6.087%, 2/28/41⁽²⁾		16,408		16,895
BCC Funding VIII LLC 14-A, B 144A 3.123%, 8/20/20⁽³⁾		2,799		2,800
Beacon Container Finance LLC 12-1A, A 144A 3.720%, 9/20/27⁽³⁾		20,980		21,420
Bush Truck Leasing LLC 11-44, A 144A 5.000%, 9/25/18⁽³⁾		543		541
BXG Receivables Note Trust
10-A, A 144A 5.100%, 3/2/26⁽³⁾		2,832		2,924
12-A, A 144A 2.660%, 12/2/27⁽³⁾		5,912		5,906
13-A, A 144A 3.010%, 12/4/28⁽³⁾		10,191		10,267
California Republic Auto Receivables Trust
12-1, B 144A 1.760%, 1/16/18⁽³⁾		13,570		13,809
13-1, B 144A 2.240%, 1/15/19⁽³⁾		11,600		11,815
14-2, B 2.340%, 4/15/20		7,090		7,092
14-2 3.290%, 3/15/21		2,700		2,701
Capital Auto Receivables Asset Trust
13-1, C 1.740%, 10/22/18		5,425		5,435
13-4, C 2.670%, 2/20/19		2,550		2,595
Capital One Multi-Asset Execution Trust 14-A2, A2 1.260%, 1/15/20		19,412		19,498
Carfinance Capital Auto Trust
13-A, B 144A 2.750%, 11/15/18⁽³⁾		6,740		6,818
13-A1, C 144A 3.450%, 3/15/19⁽³⁾		2,210		2,243
13-2A, B 144A 3.150%, 8/15/19⁽³⁾		19,350		19,628


	PAR VALUE		VALUE
CarMax Auto Owner Trust
12-1, B 1.760%, 8/15/17	$	6,190	$	6,296
14-2, B 1.880%, 11/15/19		1,000		1,002
14-2, C 2.080%, 1/15/20		7,175		7,193
CarNow Auto Receivables Trust
12-1A, C 144A 4.940%, 3/15/16⁽³⁾		539		540
13-1A, B 144A 1.970%, 11/15/17⁽³⁾		4,570		4,577
13-1A,C 144A 2.980%, 11/15/17⁽³⁾		7,244		7,282
CCG Receivables Trust 14-1, B 144A 2.150%, 11/15/21⁽³⁾		4,180		4,200
Centre Point Funding LLC 12-2A, 1 144A 2.610%, 8/20/21⁽³⁾		9,242		9,273
CFC LLC 14-1A, B 144A 2.720%, 4/15/20⁽³⁾		5,550		5,565
Chase Funding Trust 04-2, 1A4 5.323%, 2/26/35		1,260		1,274
Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		29,452		30,246
CIT Equipment Collateral 12-VT1, D 144A 4.120%, 10/21/19⁽³⁾		10,000		10,209
Citicorp Residential Mortgage Securities, Inc. 07- 12, A6 5.753%, 6/25/37⁽²⁾		10,754		11,130
CNH Equipment Trust
12-B, A4 1.160%, 6/15/20		10,000		10,064
12-B, B 1.780%, 6/15/20		4,000		4,063
Conseco Financial Corp.
94-1, A5 7.650%, 4/15/19		135		140
01-3, A4 6.910%, 5/1/33⁽²⁾		12,541		13,909
Cronos Containers Program Ltd. 12-2A, A 144A 3.810%, 9/18/27⁽³⁾		18,435		18,527
Direct Capital Funding IV LLC
13-1, D 144A 4.599%, 10/20/19⁽³⁾		3,555		3,608
13-A1, C 144A 4.830%, 11/20/20⁽³⁾		5,000		5,103
Dominos Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42⁽³⁾		38,868		41,763
Drug Royalty LP
II 14-1, A2 144A 3.484%, 7/15/23⁽³⁾		15,045		15,045
I 12-1, A2 144A 5.800%, 7/15/24⁽³⁾		4,051		4,208
DT Auto Owner Trust
12-1A, C 144A 3.380%, 10/16/17⁽³⁾		724		724
13-1A, C 144A 2.730%, 2/15/19⁽³⁾		17,775		17,966
13-2A, C 144A 3.060%, 9/16/19⁽³⁾		17,500		17,767
14-1A, C 144A 2.640%, 10/15/19⁽³⁾		14,400		14,496
14-2A, C 144A 2.460%, 1/15/20⁽³⁾		14,370		14,381
Exeter Automobile Receivables Trust
12-1A, C 144A 5.270%, 10/16/17⁽³⁾		8,500		8,791


	PAR VALUE		VALUE
12-2A, C 144A 3.060%, 7/16/18⁽³⁾	$	8,050	$	8,221
13-2A, B 144A 3.090%, 7/16/18⁽³⁾		17,820		18,257
14-1A, B 144A 2.420%, 1/15/19⁽³⁾		9,220		9,296
13-1A, C 144A 3.520%, 2/15/19⁽³⁾		15,000		15,558
14-1A, C 144A 3.570%, 7/15/19⁽³⁾		15,830		16,280
13-1A, D 144A 5.050%, 10/15/19⁽³⁾		13,000		13,196
14-2A, C 144A 3.260%, 12/16/19⁽³⁾		14,615		14,699
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		16,012		16,241
Global Science Finance S.A.R.L.
13-1A, A 144A 2.980%, 4/17/28⁽³⁾		22,481		22,510
13-2A, A 144A 3.670%, 11/17/28⁽³⁾		6,592		6,742
GMAC Mortgage Corp. Loan Trust 06-HLTV, A4 5.810%, 10/25/29		4,390		4,441
GreatAmerica Leasing Receivables Funding, LLC 13-1, A4 144A 1.160%, 5/15/18⁽³⁾		2,235		2,249
GSAA Home Equity Trust
05-1, AF4 5.619%, 11/25/34⁽²⁾		833		884
05-12, AF3W 4.999%, 9/25/35⁽²⁾		11,890		12,108
Harley-Davidson Motorcycle Trust 10-1, C 2.590%, 4/15/18		7,558		7,593
Hertz Vehicle Financing LLC
09-2A, A2 144A 5.290%, 3/25/16		5,000		5,120
13-1A, A1 144A 1.120%, 8/25/17⁽³⁾		18,325		18,351
11-1A, A2 144A 3.290%, 3/25/18⁽³⁾		12,290		12,887
Hilton Grand Vacations Trust
13-A, A 144A 2.280%, 1/25/26⁽³⁾		15,405		15,609
14-AA, A 144A 1.770%, 11/25/26⁽³⁾		19,225		19,233
Hyundai Auto Receivables Trust
12-B, C 1.950%, 10/15/18		10,000		10,212
14-B, D 2.510%, 12/15/20		9,675		9,694
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28		3,869		3,887
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		1,220		1,257
LEAF Receivables Funding LLC
12-1, D 144A 4.680%, 9/15/20⁽³⁾		5,859		5,957
13-1, D 5.110%, 9/15/21⁽³⁾		655		671
Lehman Brothers Manufactured Housing Contract Trust 01-B, A3 4.350%, 4/15/40		4,838		4,955
Marriott Vacation Club Owner Trust
12-1A, A 144A 2.510%, 5/20/30⁽³⁾		23,112		23,540
10-1A, A 144A 3.540%, 10/20/32⁽³⁾		766		789
10-1A, B 144A 4.520%, 10/20/32⁽³⁾		1,493		1,556


	PAR VALUE		VALUE
Master Credit Card Trust 12-2A, A 144A 0.780%, 4/21/17⁽³⁾	$	5,000	$	5,009
Miramax LLC 11-1A, A 144A 6.250%, 10/20/21⁽³⁾		7,893		8,115
MMCA Auto Owner Trust 11-A, B 144A 2.720%, 10/17/16⁽³⁾		3,500		3,549
Nations Equipment Finance Funding I LLC
13-1A, B 144A 3.818%, 5/20/21⁽³⁾		4,000		4,015
13-1A, C 144A 5.500%, 5/20/21⁽³⁾		7,833		7,920
New Century Home Equity Loan Trust 05-A, A4W 4.812%, 8/25/35⁽²⁾		16,808		17,515
OneMain Financial Issuance Trust 14-1A, A 144A 2.430%, 6/18/24⁽³⁾		9,270		9,270
Orange Lake Timeshare Trust
12-AA, A 144A 3.450%, 3/10/27⁽³⁾		6,232		6,383
12-AA, B 144A 4.870%, 3/10/27⁽³⁾		586		603
Prestige Auto Receivables Trust 14-1A, C 144A 2.390%, 5/15/20⁽³⁾		7,000		6,992
Residential Asset Mortgage Products, Inc. 03- RS8, AI7 5.015%, 9/25/33⁽²⁾		1,121		1,139
Residential Funding Mortgage Securities II Home Loan Trust 06-H11, M1 6.010%, 2/25/36⁽²⁾		5,260		5,329
Santander Drive Auto Receivables Trust
11-2, B 2.660%, 1/15/16		951		952
10-B, C 144A 3.020%, 10/17/16⁽³⁾		3,288		3,297
12-4, C 2.940%, 12/15/17		5,170		5,298
12-2, D 3.870%, 2/15/18		31,045		32,316
12-6, C 1.940%, 3/15/18		9,645		9,793
12-5, C 2.700%, 8/15/18		4,850		4,985
12-6, D 2.520%, 10/15/18		17,455		17,855
13-1, D 2.270%, 1/15/19		23,445		23,751
13-3, C 1.810%, 4/15/19		17,215		17,320
13-5, D 2.730%, 10/15/19		19,500		19,885
14-3, C 2.130%, 8/17/20		16,400		16,415
Sierra Timeshare Receivables Funding, LLC
10-3A, B 144A 4.440%, 11/20/25⁽³⁾		3,637		3,729
11-1A, B 144A 4.230%, 4/20/26⁽³⁾		3,548		3,666
12-2A, B 144A 3.420%, 3/20/29⁽³⁾		4,859		4,972
12-3A, A 144A 1.870%, 8/20/29⁽³⁾		17,209		17,356
13-1A, A 144A 1.590%, 11/20/29⁽³⁾		6,681		6,709
14-1A, A 144A 2.070%, 3/20/30⁽³⁾		7,748		7,760
Silverleaf Finance XV LLC 12-D, A144A 3.000%, 3/17/25⁽³⁾		10,712		10,841
SLM Private Education Loan Trust
14-A, 2A2 144A 2.590%, 1/15/26⁽³⁾		3,850		3,898


	PAR VALUE			VALUE
13-B, A2A 144A 1.850%, 6/17/30⁽³⁾	$	14,500		$	14,321
13-C, A2A 144A 2.940%, 10/15/31⁽³⁾		10,805			11,130
SNAAC Auto Receivables Trust 14-1A, C 144A 2.210%, 1/15/20⁽³⁾		3,470			3,479
Structured Asset Investment Loan Trust 05-HE1, M1 0.857%, 7/25/35⁽²⁾		5,138			4,829
Structured Asset Securities Corp. 01-SB1, A2 3.375%, 8/25/31		2,713			2,670
SVO VOI Mortgage Corp.
10-AA, A 144A 3.650%, 7/20/27⁽³⁾		5,038			5,155
12-AA, A 144A 2.000%, 9/20/29⁽³⁾		9,928			9,963
TAL Advantage V LLC 13-1A A 144A 2.830%, 2/22/38⁽³⁾		14,508			14,453
Terwin Mortgage Trust 04-15AL, A1 144A 5.676%, 7/25/34(2)⁽³⁾		6,736			6,547
Textainer Marine Containers Ltd. 13-1A, A 144A 3.900%, 9/20/38⁽³⁾		18,500			19,098
Tidewater Auto Receivables Trust
12-AA, B 144A 2.430%, 4/15/19⁽³⁾		7,488			7,629
14-AA, C 2.560%, 8/15/19⁽³⁾		3,500			3,501
Trinity Rail Leasing LP 03-1A, A 144A 5.640%, 10/12/26⁽³⁾		5,506			6,011
Trip Rail Master Funding LLC
11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		18,472			19,504
14-1A, A1 2.863%, 4/15/44⁽³⁾		4,671			4,699
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		21,250			22,167
Volvo Financial Equipment LLC
13-1A, B 144A 1.240%, 8/15/19⁽³⁾		15,835			15,900
14-1A, C 144A 1.940%, 11/15/21⁽³⁾		6,000			5,993
Welk Resorts LLC 13-A, A 144A 3.100%, 3/15/29⁽³⁾		6,306			6,371
Westgate Resorts LLC 12-2A, A 144A 3.000%, 1/20/25⁽³⁾		703			708
Westlake Automobile Receivables Trust 14-1A, C 144A 1.700%, 11/15/19⁽³⁾		6,165			6,168

TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,434,154)					1,455,256

CORPORATE BONDS—36.7%
Consumer Discretionary—1.9%
Arcos Dorados Holdings, Inc. 144A 10.250%, 7/13/16⁽³⁾		14,225	^BRL		6,181
Boyd Gaming Corp.


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
9.125%, 12/1/18	$	2,425	$	2,592
9.000%, 7/1/20		5,350		5,918
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽³⁾		5,810		6,173
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20		3,625		3,050
CCO Holdings LLC 7.375%, 6/1/20		6,700		7,320
Clear Channel Communications, Inc. 144A 10.000%, 1/15/18⁽³⁾		4,025		3,909
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		8,020		8,692
Columbus International, Inc. 144A 7.375%, 3/30/21⁽³⁾		2,330		2,519
Daimler Finance North America LLC 144A 1.875%, 1/11/18⁽³⁾		7,100		7,163
Dana Holding Corp. 6.500%, 2/15/19		3,973		4,206
GLP Capital LP (GLP Financing II, Inc.)
144A 4.375%, 11/1/18⁽³⁾		4,085		4,218
144A 4.875%, 11/1/20⁽³⁾		13,800		14,214
Hyatt Hotels Corp. 3.875%, 8/15/16		7,000		7,377
Hyundai Motor Manufacturing 144A 4.500%, 4/15/15⁽³⁾		6,000		6,168
International Game Technology 7.500%, 6/15/19		1,115		1,267
Jaguar Land Rover Automotive plc 144A 4.125%, 12/15/18⁽³⁾		3,845		3,980
MGM Resorts International 6.750%, 10/1/20		6,500		7,272
Numericable Group SA 144A 4.875%, 5/15/19⁽³⁾		8,295		8,523
ONO Finance II plc 144A 10.875%, 7/15/19⁽³⁾		1,035		1,136
QVC, Inc. 3.125%, 4/1/19		12,765		12,980
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20⁽³⁾		20,955		20,719
Toll Brothers Finance Corp.
4.000%, 12/31/18		10,375		10,712
6.750%, 11/1/19		10,036		11,617
Weyerhaeuser Real Estate Co. 144A 4.375%, 6/15/19⁽³⁾		3,330		3,351
Wyndham Worldwide Corp. 2.500%, 3/1/18		2,960		3,006

				174,263

Consumer Staples—0.3%
Heinz (H.J.) Co. 4.250%, 10/15/20		20,949		21,106
Smithfield Foods, Inc. 144A 5.250%, 8/1/18⁽³⁾		6,850		7,175

				28,281


	PAR VALUE		VALUE
Energy—4.0%
Afren plc 144A 11.500%, 2/1/16⁽³⁾	$	4,790	$	5,371
Calumet Specialty Products Partners LP 144A 6.500%, 4/15/21⁽³⁾		17,435		17,871
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		778		792
Forest Oil Corp. 7.250%, 6/15/19		9,035		8,990
Frontier Oil Corp. 6.875%, 11/15/18		2,550		2,684
FTS International, Inc. 144A 6.250%, 5/1/22⁽³⁾		2,245		2,307
Gazprom OAO (Gaz Capital SA)
144A 4.950%, 5/23/16⁽³⁾⁽⁵⁾		5,000		5,250
144A 6.212%, 11/22/16⁽³⁾		10,405		11,315
144A 8.146%, 4/11/18⁽³⁾		2,880		3,308
144A 6.510%, 3/7/22⁽³⁾⁽⁵⁾		3,235		3,505
IPIC GMTN Ltd. RegS 3.750%, 3/1/17⁽⁴⁾		10,000		10,625
Lukoil OAO International Finance BV
144A 6.375%, 11/5/14⁽³⁾		4,900		4,975
144A 3.416%, 4/24/18⁽³⁾		6,000		5,955
Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19⁽³⁾		7,500		8,325
NGL Energy Partners LP (NGL Energy Finance Corp.) 144A 5.125%, 7/15/19⁽³⁾		4,940		4,977
Pacific Rubiales Energy Corp. 144A 5.375%, 1/26/19⁽³⁾		20,870		21,809
Petrobras Global Finance BV 3.250%, 3/17/17		21,600		22,108
Petrobras International Finance Co. 3.500%, 2/6/17		10,000		10,265
Petroleos de Venezuela SA
Series 2014 4.900%, 10/28/14		16,540		16,547
Series 2015, 5.000%, 10/28/15		8,905		8,384
RegS 8.500%, 11/2/17⁽⁴⁾		75,460		70,095
Petroleos Mexicanos 144A 3.125%, 1/23/19⁽³⁾		20,730		21,445
PHI, Inc. 144A 5.250%, 3/15/19⁽³⁾		6,275		6,416
Plains Exploration & Production Co. 6.500%, 11/15/20		13,200		14,701
Pride International, Inc. 8.500%, 6/15/19		4,065		5,179
QGOG Constellation SA 144A 6.250%, 11/9/19⁽³⁾		7,925		8,044
Rosneft Finance SA RegS 7.500%, 7/18/16⁽⁴⁾		13,235		14,492
Rosneft Oil Co. 144A 3.149%, 3/6/17⁽³⁾⁽⁵⁾		10,800		10,813
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		8,000		8,500
Sinopec Capital Ltd. 144A 1.875%, 4/24/18⁽³⁾		11,750		11,544
Venoco, Inc. 8.875%, 2/15/19		4,620		4,516


	PAR VALUE			VALUE
Energy—(continued)
Weatherford International Ltd. 9.625%, 3/1/19	$	4,110		$	5,393

					356,501

Financials—17.9%
ABN AMRO Bank N.V. 144A 4.250%, 2/2/17⁽³⁾		4,425			4,748
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽³⁾		5,290			5,335
AerCap Ireland Capital Ltd. (AerCap Global Aviation Trust) 144A 3.750%, 5/15/19⁽³⁾		5,930			5,982
Air Lease Corp. 4.750%, 3/1/20		14,055			15,179
Aircastle Ltd.
4.625%, 12/15/18		7,740			7,992
6.250%, 12/1/19		10,400			11,440
Akbank TAS
144A 5.125%, 7/22/15⁽³⁾		8,900			9,200
144A 7.500%, 2/5/18⁽³⁾		12,140	^TRY		5,314
Allstate Corp. 6.125%, 5/15/37⁽²⁾		4,730			5,067
American International Group, Inc.
2.375%, 8/24/15		5,825			5,929
5.850%, 1/16/18		7,300			8,333
American Tower Trust I 144A 1.551%, 3/15/18⁽³⁾		6,900			6,872
Anglo American Capital plc 144A 9.375%, 4/8/19⁽³⁾		1,950			2,510
Associated Banc Corp. 5.125%, 3/28/16		8,635			9,197
Aviation Capital Group Corp. 144A 3.875%, 9/27/16⁽³⁾		4,880			5,053
Avis Budget Car Rental LLC 4.875%, 11/15/17		13,470			14,076
Banco Bradesco SA
144A 4.125%, 5/16/16⁽³⁾		7,000			7,298
144A 4.500%, 1/12/17⁽³⁾		13,000			13,731
Banco Continental SA (Continental Senior Trustees II Cayman Ltd.) 144A 5.750%, 1/18/17(3)⁽⁵⁾		10,000			10,900
Banco de Credito del Peru 144A 4.750%, 3/16/16⁽³⁾		14,800			15,688
Banco Santander Brasil SA
144A 4.500%, 4/6/15⁽³⁾		7,500			7,669
144A 8.000%, 3/18/16⁽³⁾		28,335	^BRL		12,247
144A 4.625%, 2/13/17⁽³⁾		9,300			9,893
Banco Santander Chile 144A 2.106%, 6/7/18⁽²⁾⁽³⁾		5,300			5,406
Banco Votorantim SA 144A 5.250%, 2/11/16⁽³⁾		10,500			10,946
Bangkok Bank plc 144A 2.750%, 3/27/18⁽³⁾		16,550			16,557
Bank of America Corp. (Countrywide Financial Corp.) 6.250%, 5/15/16		9,110			9,940


	PAR VALUE		VALUE
Financials—(continued)
2.000%, 1/11/18	$	14,905	$	15,000
5.490%, 3/15/19		2,868		3,224
Bank of Baroda 144A 4.875%, 7/23/19⁽³⁾		23,575		24,858
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽³⁾		10,110		10,919
Bank of India
144A 3.250%, 4/18/18⁽³⁾		22,470		22,603
144A 3.625%, 9/21/18⁽³⁾		10,200		10,276
Barclays Bank plc
5.200%, 7/10/14		1,610		1,611
144A 6.050%, 12/4/17⁽³⁾		13,130		14,892
144A 5.926%, 9/29/49^(2)(3)(6)(7)		3,773		4,056
BBVA Banco Continental SA 144A 3.250%, 4/8/18⁽³⁾		8,270		8,446
BioMed Realty LP 3.850%, 4/15/16		9,375		9,808
Blackstone Holdings Finance Co. LLC 144A 6.625%, 8/15/19⁽³⁾		7,105		8,481
Brazil Loan Trust 1 144A 5.477%, 7/24/23⁽³⁾		21,035		21,666
Caixa Economica Federal 144A 4.250%, 5/13/19⁽³⁾		16,925		17,086
Capital One Financial Corp. 6.150%, 9/1/16		5,364		5,936
China Cinda Finance Ltd. 144A 4.000%, 5/14/19⁽³⁾		12,775		12,851
Chubb Corp. (The) 6.375%, 3/29/67⁽²⁾		8,205		9,118
Citigroup, Inc.
0.501%, 6/9/16⁽²⁾		3,400		3,369
5.500%, 2/15/17		23,460		25,797
2.500%, 9/26/18		10,000		10,166
CNA Financial Corp. 5.850%, 12/15/14		7,575		7,764
CNH Capital LLC 3.625%, 4/15/18		20,225		20,756
Comerica Bank, Inc.
4.800%, 5/1/15		1,828		1,889
5.750%, 11/21/16		5,940		6,590
Continental Airlines Pass-Through-Trust 99-2, C2 AMBC 6.236%, 3/15/20		12,953		14,572
Corpbanca SA 3.125%, 1/15/18		8,000		8,018
Daimler Finance North America LLC 144A 2.625%, 9/15/16⁽³⁾		11,000		11,364
Discover Bank 8.700%, 11/18/19		1,750		2,224
DNB Bank ASA 144A 3.200%, 4/3/17⁽³⁾		24,700		25,986
Fifth Third Bancorp 4.500%, 6/1/18		6,745		7,359
Fifth Third Bank 4.750%, 2/1/15		750		768
First Tennessee Bank N.A.
5.050%, 1/15/15		13,750		14,057
5.650%, 4/1/16		15,664		16,653
Ford Motor Credit Co. LLC


	PAR VALUE		VALUE
Financials—(continued)
4.207%, 4/15/16	$	10,000	$	10,553
5.000%, 5/15/18		10,000		11,123
General Electric Capital Corp. 0.603%, 5/5/26⁽²⁾		8,000		7,387
General Motors Financial Co., Inc. 4.750%, 8/15/17		25,655		27,355
Genworth Holdings, Inc.
7.200%, 2/15/21		5,000		6,099
7.625%, 9/24/21		13,825		17,314
Glen Meadow Pass-Through Trust 144A 6.505%, 2/12/67⁽²⁾⁽³⁾		10,345		10,293
Goldman Sachs Group, Inc. (The)
5.625%, 1/15/17		14,000		15,406
2.900%, 7/19/18		8,200		8,447
7.500%, 2/15/19		2,451		2,988
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		18,800		19,796
HBOS plc 144A 6.750%, 5/21/18⁽³⁾		685		789
HCP, Inc. 3.750%, 2/1/19		4,940		5,263
Health Care REIT, Inc.
4.700%, 9/15/17		8,565		9,368
4.125%, 4/1/19		4,100		4,410
Healthcare Realty Trust, Inc. 6.500%, 1/17/17		3,000		3,373
Hertz Corp. (The) 5.875%, 10/15/20		9,420		9,891
HSBC USA, Inc. 2.625%, 9/24/18		19,485		20,090
Huntington Bancshares, Inc. 7.000%, 12/15/20		17,065		20,693
Hutchison Whampoa International Ltd. Series 12, 144A 6.000% ^(2)(3)(6)(7)		13,210		14,250
Hyundai Capital Services, Inc.
144A 6.000%, 5/5/15⁽³⁾		4,975		5,187
144A 3.750%, 4/6/16⁽³⁾		500		523
144A 1.450%, 2/6/17⁽³⁾		8,000		8,029
144A 2.125%, 10/2/17⁽³⁾		2,940		2,984
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.) 3.500%, 3/15/17		965		976
4.875%, 3/15/19		1,520		1,566
ICICI Bank Ltd.
RegS 4.700%, 2/21/18⁽⁴⁾		13,000		13,748
144A 4.800%, 5/22/19⁽³⁾		13,000		13,733
ING Bank NV 144A 1.375%, 3/7/16⁽³⁾		9,000		9,106
International Lease Finance Corp. 3.875%, 4/15/18		18,635		19,101
Intesa San Paolo SpA 3.125%, 1/15/16		12,190		12,529
iStar Financial, Inc.


	PAR VALUE			VALUE
Financials—(continued)
4.000%, 11/1/17	$	12,900		$	12,997
4.875%, 7/1/18		12,250			12,342
5.000%, 7/1/19		2,440			2,452
Jefferies Group, Inc. 5.125%, 4/13/18		6,541			7,166
JPMorgan Chase & Co. 6.125%, 6/27/17		8,850			9,985
KeyBank N.A.
5.800%, 7/1/14		1,450			1,450
7.413%, 5/6/15		3,000			3,170
4.950%, 9/15/15		1,295			1,358
Korea Development Bank 3.500%, 8/22/17		9,750			10,280
Lazard Group LLC 4.250%, 11/14/20		7,765			8,134
Legg Mason, Inc. 5.500%, 5/21/19		13,868			16,026
Level 3 Financing, Inc. 7.000%, 6/1/20		4,065			4,461
Lincoln National Corp.
8.750%, 7/1/19		15,040			19,497
6.050%, 4/20/67⁽²⁾⁽⁷⁾		2,885			2,917
Macquarie Group Ltd.
144A 3.000%, 12/3/18⁽³⁾		4,870			4,995
144A 6.000%, 1/14/20⁽³⁾		1,790			2,027
Magyar Fejlesztesi Bank Zrt. 144A 6.250%, 10/21/20⁽³⁾		2,960			3,299
Manufacturers & Traders Trust Co. 5.629%, 12/1/21⁽²⁾		5,000			5,200
MetLife, Inc. 6.750%, 6/1/16		910			1,011
Morgan Stanley
5.550%, 4/27/17		10,200			11,333
144A 10.090%, 5/3/17⁽³⁾		22,595	^BRL		10,098
Nationstar Mortgage LLC 6.500%, 8/1/18		15,370			15,870
Navient Corp.
4.625%, 9/25/17		24,805			26,200
(SLM Corp.) 4.875%, 6/17/19		9,140			9,420
ORIX Corp. 5.000%, 1/12/16		5,228			5,542
Penske Truck Leasing Co. LP (PTL Finance Corp.) 144A 2.875%, 7/17/18⁽³⁾		8,505			8,705
Phosagro OAO (Phosagro Bond Funding Ltd.) 144A 4.204%, 2/13/18⁽³⁾⁽⁵⁾		14,800			14,671
PNC Funding Corp. 5.625%, 2/1/17		3,130			3,461
Principal Life Global Funding II 144A 2.250%, 10/15/18⁽³⁾		17,580			17,750
Progressive Corp. (The) 6.700%, 6/15/37⁽²⁾		2,740			3,048
Prudential Financial, Inc.
4.750%, 9/17/15		4,770			5,006
8.875%, 6/15/38⁽²⁾⁽⁷⁾		11,200			13,735


	PAR VALUE		VALUE
Financials—(continued)
QBE Insurance Group Ltd. 144A 2.400%, 5/1/18⁽³⁾	$	7,750	$	7,750
Regions Bank 7.500%, 5/15/18		12,001		14,282
Regions Financial Corp. 5.750%, 6/15/15		2,535		2,650
Royal Bank of Scotland Group plc (The) 6.400%, 10/21/19		3,130		3,685
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 6.299%, 5/15/17⁽³⁾		2,905		3,065
144A 5.298%, 12/27/17⁽³⁾		18,055		18,505
144A 5.100%, 7/25/18⁽³⁾⁽⁵⁾		8,750		8,838
Sabra Health Care LP 5.500%, 2/1/21		6,435		6,773
Santander Holdings USA, Inc. 3.000%, 9/24/15		980		1,007
Santander U.S. Debt S.A.U. 144A 3.724%, 1/20/15⁽³⁾		8,100		8,220
Unipersonal 144A 3.781%, 10/7/15⁽³⁾		8,000		8,263
SBA Tower Trust 144A 2.933%, 12/15/17⁽³⁾		13,275		13,526
Schaeffler Finance BV 144A 4.250%, 5/15/21⁽³⁾		14,140		14,175
Schaeffler Holding Finance BV PIK Interest Capitalization, 144A 6.875%, 8/15/18^(3)(10)		2,210		2,340
Senior Housing Properties Trust
4.300%, 1/15/16		6,875		7,123
3.250%, 5/1/19		6,685		6,769
Shinhan Bank
144A 4.375%, 7/27/17⁽³⁾		11,700		12,633
144A 1.875%, 7/30/18⁽³⁾		1,000		984
Skandinaviska Enskilda Banken AB 144A 1.750%, 3/19/18⁽³⁾		6,775		6,767
Societe Generale S.A.
144A 3.100%, 9/14/15⁽³⁾		2,900		2,980
144A 3.500%, 1/15/16⁽³⁾		6,895		7,160
State Street Corp. 4.956%, 3/15/18⁽⁷⁾		9,845		10,800
SunTrust Bank, Inc.
6.000%, 9/11/17		4,925		5,577
5.450%, 12/1/17		3,750		4,156
Svenska Handelsbanken AB 3.125%, 7/12/16		10,000		10,472
TeleCom Italia Capital SA 7.175%, 6/18/19		2,395		2,771
Turkiye Garanti Bankasi AS
144A 4.000%, 9/13/17⁽³⁾		12,500		12,653
144A 4.750%, 10/17/19⁽³⁾		8,500		8,564
Turkiye Is Bankasi 144A 3.750%, 10/10/18⁽³⁾		12,630		12,415
Turkiye Vakiflar Bankasi Tao 144A 3.750%, 4/15/18⁽³⁾		4,000		3,904


	PAR VALUE		VALUE
Financials—(continued)
Union Bank NA
1.500%, 9/26/16	$	2,000	$	2,028
2.625%, 9/26/18		2,700		2,776
Unum Group 7.125%, 9/30/16		6,620		7,497
Ventas Realty LP (Ventas Capital Corp.)
4.000%, 4/30/19		7,100		7,627
2.700%, 4/1/20		2,948		2,933
Vnesheconombank (VEB Finance plc) 144A 4.224%, 11/21/18⁽³⁾⁽⁵⁾		16,710		16,501
Voya Financials, Inc. 2.900%, 2/15/18		25,620		26,545
VTB Bank OJSC (VTB Capital SA)
144A 6.465%, 3/4/15⁽³⁾⁽⁵⁾		15,900		16,315
144A 6.000%, 4/12/17⁽³⁾⁽⁵⁾		16,175		17,048
Wachovia Corp. 5.625%, 10/15/16		2,500		2,755
Wells Fargo & Co. 5.125%, 9/15/16		5,000		5,459
Willis Group Holdings plc 4.125%, 3/15/16		6,000		6,273
Willis North America, Inc. 6.200%, 3/28/17		4,960		5,452
XL Group plc Series E, 6.500%, 12/29/49⁽²⁾		12,790		12,630
XLIT Ltd. 2.300%, 12/15/18		9,730		9,676
Yapi ve Kredi Bankasi AS 144A 4.000%, 1/22/20⁽³⁾		18,650		17,836
Zions Bancorp 4.500%, 3/27/17		8,120		8,665

				1,603,464

Health Care—1.4%
Alere, Inc. 6.500%, 6/15/20		6,175		6,515
Catamaran Corp. 4.750%, 3/15/21		7,165		7,254
Community Health Systems, Inc. (CHS)
144A 5.125%, 8/1/21⁽³⁾		4,790		4,934
144A 6.875%, 2/1/22⁽³⁾		860		916
Forest Laboratories, Inc. 144A 4.375%, 2/1/19⁽³⁾		13,430		14,522
HCA, Inc.
3.750%, 3/15/19		9,580		9,688
6.500%, 2/15/20		19,575		22,071
Salix Pharmaceuticals Ltd. 144A 6.000%, 1/15/21⁽³⁾		3,465		3,725
Symbion, Inc. 8.000%, 6/15/16		6,517		6,843
Tenet Healthcare Corp. 4.750%, 6/1/20		9,275		9,530
6.000%, 10/1/20		9,560		10,396
8.125%, 4/1/22		8,265		9,587
Valeant Pharmaceuticals International, Inc. Escrow Corp.
144A 6.750%, 8/15/18⁽³⁾		6,110		6,599
144A 5.625%, 12/1/21⁽³⁾		7,310		7,529


	PAR VALUE			VALUE
Health Care—(continued)
Zoetis, Inc. 1.875%, 2/1/18	$	1,975		$	1,979

					122,088

Industrials—4.9%
ADT Corp.(The) 6.250%, 10/15/21		13,360			14,195
Air Canada Pass-Through-Trust, 13-1, B 144A 5.375%, 5/15/21⁽³⁾		12,034			12,455
America West Airlines Pass-Through-Trust
98-1, A 6.870%, 1/2/17		1,623			1,716
99-1, G 7.930%, 1/2/19		10,329			11,491
01-1, G 7.100%, 4/2/21		45,158			50,125
American Airlines, Inc. 13-2, B 144A 5.600%, 7/15/20⁽³⁾		10,036			10,538
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		7,470			7,619
99-1, A1 7.200%, 1/2/19		1,704			1,772
00-1, A 8.707%, 1/2/19		4,864			5,108
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽³⁾		8,602			8,903
Bombardier, Inc. 144A 4.750%, 4/15/19⁽³⁾		3,875			3,948
British Airways plc 144A 5.625%, 6/20/20⁽³⁾		13,802			14,734
Continental Airlines Pass-Through-Trust
98-, A 6.648%, 9/15/17		3,585			3,807
97-4, A 6.900%, 1/2/18		4,039			4,342
99-1, A 6.545%, 2/2/19		10,182			11,289
09-2, A 7.250%, 11/10/19		741			868
00-1, A1 8.048%, 11/1/20		6,822			7,849
01-1, A1 6.703%, 6/15/21		13,349			14,584
Delta Air Lines Pass-Through-Trust 12-1, A 4.750%, 5/7/20		28,592			31,022
Deluxe Corp. 6.000%, 11/15/20		2,950			3,112
HD Supply, Inc. 8.125%, 4/15/19		2,935			3,243
KOC Holdings AS 144A 3.500%, 4/24/20⁽³⁾		13,595			12,935
Northwest Airlines Pass-Through-Trust
07-1, B 8.028%, 11/1/17		2,705			3,060
02-1, G2 6.264%, 11/20/21		13,520			14,625
Odebrecht Finance Ltd. 144A 8.250%, 4/25/18⁽³⁾		12,850	^BRL		5,234
Parker Hannifin Corp. 5.500%, 5/15/18		7,970			9,015
Rexel SA 144A 5.250%, 6/15/20⁽³⁾		15,970			16,689
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽³⁾		12,830			14,338
144A 8.375%, 6/15/19⁽³⁾		7,770			8,605
Spirit AeroSystems, Inc. 144A 5.250%, 3/15/22⁽³⁾		2,905			2,956


	PAR VALUE		VALUE
Industrials—(continued)
Toledo Edison Co. (The) 7.250%, 5/1/20	$	224	$	270
Transnet SOC Ltd. 144A 4.500%, 2/10/16⁽³⁾		9,000		9,443
U.S. Airways Pass-Through-Trust
12-2, C 5.450%, 6/3/18		10,000		10,325
01-1, G 7.076%, 3/20/21		22,004		24,535
11-1, A 7.125%, 10/22/23		7,879		9,239
UAL Pass-Through-Trust
09-2 9.750%, 1/15/17		25,138		28,783
07-01, A 6.636%, 7/2/22		19,505		21,553
United Rentals North America, Inc. 5.750%, 7/15/18		7,895		8,388
Virgin Australia Trust 13-1A 144A 5.000%, 10/23/23⁽³⁾		19,103		20,321

				443,034

Information Technology—1.1%
Alcatel-Lucent USA, Inc. 144A 6.750%, 11/15/20(³)		5,930		6,345
Avaya, Inc. 144A 7.000%, 4/1/19⁽³⁾		25,510		25,638
Ceridian LLC (Comdata, Inc.) 144A 8.125%, 11/15/17⁽³⁾		795		805
Dun & Bradstreet Corp. (The) 3.250%, 12/1/17		16,800		17,393
Equinix, Inc. 4.875%, 4/1/20		8,062		8,304
Fidelity National Financial, Inc. 6.600%, 5/15/17		6,475		7,292
First Data Corp. 11.750%, 8/15/21		11,515		13,703
PIK Interest Capitalization, 144A 8.750%, 1/15/22^(3)(10)		3,250		3,603
Infor Software Parent LLC PIK Interest Capitalization, 144A 7.125%, 5/1/21^(3)(10)		4,455		4,578
MDC-GMTN B.V. 144A 3.750%, 4/20/16⁽³⁾		4,000		4,206
Sanmina Corp. 144A 4.375%, 6/1/19⁽³⁾		3,280		3,284
SunGard Availability Services Capital, Inc. 144A 8.750%, 4/1/22⁽³⁾		4,550		4,254

				99,405

Materials—2.4%
Allegheny Technologies, Inc. 9.375%, 6/1/19		7,245		8,987
Ardagh Packaging Finance plc
144A 7.375%, 10/15/17⁽³⁾		8,145		8,601
144A 6.250%, 1/31/19⁽³⁾		2,705		2,779
Beverage Packaging Holdings Luxembourg II SA 144A 6.000%, 6/15/17⁽³⁾		6,050		6,216
Cemex SAB de CV 144A 9.500%, 6/15/18⁽³⁾		9,754		11,217


	PAR VALUE		VALUE
Materials—(continued)
CRH America, Inc.
4.125%, 1/15/16	$	4,000	$	4,193
8.125%, 7/15/18		4,770		5,863
EuroChem Mineral & Chemical Co. OJSC 144A 5.125%, 12/12/17⁽³⁾⁽⁵⁾		11,920		12,039
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽³⁾		8,600		9,396
Freeport-Mcmoran Copper & Gold, Inc. 2.375%, 3/15/18		9,000		9,133
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		10,280		11,616
Hexion U.S. Finance Corp.
8.875%, 2/1/18		12,085		12,599
6.625%, 4/15/20		12,240		13,036
Huntsman International LLC 4.875%, 11/15/20		3,910		4,066
INEOS Group Holdings SA 144A 5.875%, 2/1/19⁽³⁾		5,870		6,031
International Paper Co. 9.375%, 5/15/19		5,330		7,057
Nufarm Australia Ltd. 144A 6.375%, 10/15/19⁽³⁾		8,005		8,405
Reynolds Group Issuer, Inc.
5.750%, 10/15/20		12,945		13,722
8.250%, 2/15/21		3,120		3,409
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽³⁾⁽⁵⁾		5,975		6,404
Sinopec Group Overseas Development Ltd. 144A 2.750%, 5/17/17⁽³⁾		10,000		10,289
Tronox Finance LLC 6.375%, 8/15/20		10,840		11,247
Turkiye Sise Ve Cam Fabrikalari AS 144A 4.250%, 5/9/20⁽³⁾		12,755		12,372
Vedanta Resources plc
144A 9.500%, 7/18/18⁽³⁾		10,640		12,316
144A 6.000%, 1/31/19⁽³⁾		6,000		6,233

				217,226

Telecommunication Services—1.6%
AT&T, Inc. 5.500%, 2/1/18		11,123		12,601
CenturyLink, Inc. Series V 5.625%, 4/1/20		10,050		10,678
Crown Castle Towers LLC 144A
3.214%, 8/15/15⁽³⁾		4,950		5,029
144A 5.495%, 1/15/17⁽³⁾		5,915		6,383
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		8,360		9,154
Frontier Communications Corp. 7.125%, 3/15/19		12,200		13,908
Millicom International Cellular SA 144A 6.625%, 10/15/21⁽³⁾		6,045		6,529
Sprint Corp. 144A 7.250%, 9/15/21⁽³⁾		4,080		4,514


	PAR VALUE		VALUE
Telecommunication Services—(continued)
T-Mobile USA, Inc.
6.464%, 4/28/19	$	7,630	$	8,050
6.542%, 4/28/20		7,905		8,567
Telefonica Emisiones SAU 3.192%, 4/27/18		2,805		2,931
Verizon Communications, Inc.
2.500%, 9/15/16		5,900		6,081
3.650%, 9/14/18		13,800		14,736
Wind Acquisition Finance S.A.
144A 7.250%, 2/15/18⁽³⁾		7,000		7,402
144A 4.750%, 7/15/20⁽³⁾		9,005		9,095
Windstream Corp. 7.750%, 10/15/20		12,125		13,201

				138,859

Utilities—1.2%
Abu Dhabi National Energy Co. 144A 2.500%, 1/12/18⁽³⁾		13,930		14,133
AmeriGas Partners LP
6.250%, 8/20/19		5,670		6,081
6.750%, 5/20/20		4,000		4,360
Dayton Power & Light Co. (The) 144A 1.875%, 9/15/16⁽³⁾		2,000		2,034
Energy Transfer Partners LP 4.150%, 10/1/20		14,620		15,454
Israel Electric Corp. Ltd. 144A 5.625%, 6/21/18⁽³⁾		14,735		15,768
Korea Electric Power Corp. 144A 5.500%, 7/21/14⁽³⁾		3,420		3,428
Korea Gas Corp. 144A 6.000%, 7/15/14⁽³⁾		2,000		2,003
Korea Western Power Co., Ltd. 144A 3.125%, 5/10/17⁽³⁾		9,800		10,172
Majapahit Holding BV 144A 7.750%, 1/20/20⁽³⁾		8,800		10,340
PPL WEM Holdings plc 144A 3.900%, 5/1/16⁽³⁾		5,495		5,754
State Grid Overseas Investment Ltd.
144A 1.750%, 5/22/18⁽³⁾		5,000		4,917
144A 2.750%, 5/7/19⁽³⁾		9,370		9,445

				103,889

TOTAL CORPORATE BONDS (Identified Cost $3,167,780)				3,287,010

LOAN AGREEMENTS⁽²⁾—15.9%
Consumer Discretionary—4.2%
Acquisitions Cogeco Cable II LP Tranche B, 3.250%, 11/30/19		3,678		3,673
Affinia Group, Inc. Tranche B-2, 4.750%, 4/25/20		4,092		4,138


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Allison Transmission Tranche B-3, 3.750%, 8/23/19	$	11,776	$	11,819
Boyd Gaming Corp. Tranche B, 4.000%, 8/14/20		7,319		7,350
Caesars Entertainment Operating Co., Inc.
Tranche B-4, 9.500%, 10/31/16		5,858		5,894
Tranche B-6, 6.451%, 1/28/18		4,084		3,820
Tranche B-7, 9.750%, 1/28/18		1,750		1,729
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		7,960		8,022
Caesars Growth Properties Holdings LLC Tranche B, First Lien 6.250%, 5/8/21		4,350		4,359
Charter Communications Operations LLC
Tranche E, 3.000%, 7/1/20		9,481		9,349
Tranche F, 3.000%, 1/3/21		14,563		14,362
Checkout Holding Corp. Tranche B, First Lien 4.500%, 4/9/21⁽⁸⁾		8,710		8,730
Chrysler Group LLC
Tranche B, 3.500%, 5/24/17		8,148		8,187
Tranche B, 3.250%, 12/31/18		4,164		4,156
CityCenter Holdings LLC Tranche B, 5.000%, 10/16/20		5,419		5,466
Clear Channel Communications, Inc. Tranche D, 6.900%, 1/30/19		8,895		8,865
CSC Holdings, Inc. Tranche B, 2.650%, 4/17/20		7,162		7,096
Cumulus Media Holdings, Inc. 4.250%, 12/23/20		10,348		10,400
Hilton Worldwide Finance LLC 3.500%, 10/26/20		16,781		16,773
Hubbard Radio LLC Tranche 1, 0.000%, 0/0/0		—		—
Landry’s, Inc. Tranche B, 4.000%, 4/24/18		10,116		10,164
Las Vegas Sands LLC Tranche B, 3.250%, 12/19/20		21,597		21,614
Libbey Glass Co. 3.750%, 4/9/21		5,962		5,970
MGM Resort International Tranche B 3.500%, 12/20/19		7,153		7,139
Mohegan Tribal Gaming Authority Tranche B, 5.500%, 11/19/19		3,383		3,446
Numericable SFR
Tranche B-1, 4.500%, 5/21/20		6,074		6,120
Tranche B-2, 4.500%, 5/21/20		5,254		5,294
PVH Corp. Tranche B 3.250%, 2/13/20		17,026		17,169
Radio One, Inc. Tranche 2011, 7.500%, 3/31/16		1,855		1,899
Scientific Games International, Inc. 4.250%, 10/18/20		11,428		11,321


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Seminole Hard Rock Entertainment, Inc. Tranche B, 3.500%, 5/14/20	$	2,817	$	2,816
Seminole Tribe of Florida 3.000%, 4/29/20		14,553		14,551
ServiceMaster Co. (The)
Tranche C, 4.250%, 1/31/17		3,940		3,942
Tranche B, 4.400%, 1/31/17		4,168		4,174
0.000%, 7/1/21⁽⁸⁾		7,653		7,654
Seven Seas Cruises S.R.L. Tranche B-2, 3.750%, 12/21/18		4,267		4,270
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		2,121		2,127
SRAM Corp. First Lien, 4.625%, 4/10/20		2,029		2,015
Station Casinos LLC Tranche B, 4.250%, 3/2/20		12,019		12,069
Tribune Co. 4.000%, 12/27/20		11,839		11,879
TWCC Holding Corp. Second Lien, 7.000%, 6/26/20		8,500		8,440
U.S. Renal Care, Inc. Tranche B-2, First Lien, 4.250%, 7/3/19		4,212		4,231
Univision Communications, Inc.
First Lien, 4.000%, 3/1/20		21,761		21,769
4.000%, 3/1/20		10,817		10,830
Virgin Media Investment Holdings Ltd. Tranche B, 3.500%, 6/7/20		13,968		13,942
WideOpenWest Finance LLC Tranche B, 4.750%, 4/1/19		8,780		8,818
Zuffa LLC Initial Term 3.750%, 2/25/20		10,841		10,871

				378,722

Consumer Staples—0.8%
AdvancePierre Foods, Inc. First Lien, 5.750%, 7/10/17		210		210
ARAMARK Corp.
Tranche E, 3.250%, 9/7/19		19,740		19,631
Tranche F, 3.250%, 2/24/21		6,209		6,176
Darling International, Inc. Tranche B, 3.250%, 1/6/21		1,650		1,653
Del Monte Corp. Big Heart Pet Brands 3.500%, 3/9/20		11,504		11,428
Heinz (H.J.) Co. Tranche B-2, 3.500%, 6/5/20		5,647		5,696
New Hostess Brand Acquisition LLC Tranche B, 6.750%, 4/9/20		5,238		5,441
Rite Aid Corp.
Tranche 7, 3.500%, 2/21/20		6,930		6,932


	PAR VALUE		VALUE
Consumer Staples—(continued)
Tranche 1, Second Lien, 5.750%, 8/21/20	$	720	$	737
Tranche 2, 4.875%, 6/21/21		14,688		14,890

				72,794

Energy—0.5%
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		1,863		1,895
EP Energy LLC (Everest Acquisition LLC)
Tranche B-3, 3.500%, 5/24/18		4,100		4,096
Tranche B-2, 4.500%, 4/30/19		768		774
FTS International, Inc. 5.750%, 4/16/21		3,055		3,096
NGPL Pipeco LLC 6.750%, 9/15/17		5,858		5,876
Quicksilver Resources, Inc. Second Lien, 7.000%, 6/21/19		4,598		4,503
Seadrill Operating LP (Seadrill Partners Finco LLC) Tranche B 4.000%, 2/21/21⁽⁸⁾		21,871		21,785

				42,025

Financials—1.5%
Altisource Solutions S.A R.L. Tranche B, 4.500%, 12/9/20		19,213		19,245
Asurion LLC Tranche B-1, 5.000%, 5/24/19		10,050		10,127
Capital Automotive LP
Tranche B-1, 4.000%, 4/10/19		3,611		3,627
Second Lien, 6.000%, 4/30/20		429		439
Clipper Acquisitions Corp. Tranche B, 3.000%, 2/6/20		6,283		6,247
Delos Finance S.A R.L. 3.500%, 3/6/21		21,956		21,981
iStar Financial, Inc. Tranche A-2, 7.000%, 3/19/17		3,336		3,452
Nuveen Investments, Inc. Tranche B, Second Lien, 6.500%, 2/28/19		10,991		11,117
Realogy Corp.
Extended LOC, 2.201%, 10/10/16⁽⁸⁾		526		525
Tranche B, 3.750%, 3/5/20		17,827		17,850
RPI Finance Trust Tranche B-3, 3.250%, 11/9/18		10,737		10,766
Trans Union LLC 4.000%, 4/9/21		12,027		12,051
Walter Investment Management Corp. Tranche B 4.750%, 12/18/20		19,840		19,648

				137,075

Health Care—1.5%
Alere, Inc. (IM US Holdings LLC) Tranche B, 4.750%, 6/30/17		8,635		8,672


	PAR VALUE		VALUE
Health Care—(continued)
American Renal Holdings, Inc. Tranche B, First Lien, 4.500%, 8/20/19	$	9,345	$	9,362
Ardent Medical Services, Inc. First Lien, 6.750%, 7/2/18		4,005		4,033
Capsugel Holdings U.S., Inc. 3.500%, 8/1/18		2,433		2,432
CHG Healthcare Services, Inc. First Lien, 4.250%, 11/19/19		10,064		10,122
Community Health Systems, Inc. (CHS) Tranche D, 4.250%, 1/27/21		2,291		2,307
ConvaTec, Inc. 4.000%, 12/22/16		1,331		1,335
Davita Healthcare Partners, Inc. Tranche B, 3.500%, 6/24/21		3,927		3,950
Emdeon, Inc. Tranche B-2, 3.750%, 11/2/18		4,111		4,125
Envision Healthcare Corp. (aka Emergency Medical Services Corp.) 4.000%, 5/25/18		6,696		6,722
Hologic, Inc. Tranche B 3.250%, 8/1/19		14,790		14,798
Iasis Healthcare LLC Tranche B-2, 4.500%, 5/3/18		5,775		5,805
InVentiv Health, Inc. 7.500%, 8/4/16		8,750		8,807
Kinetic Concepts, Inc.
Tranche E-2, 3.500%, 11/4/16		6,686		6,695
Tranche E-1, 4.000%, 5/4/18		1,577		1,581
Quintiles Transnational Corp. Tranche B-3, 3.750%, 6/8/18		8,779		8,793
Salix Pharmaceuticals Ltd. First Lien, 4.250%, 1/2/20		5,052		5,098
Sheridan Holdings, Inc. First Lien, 4.500%, 6/29/18		8,502		8,515
Surgery Center Holdings, Inc. First Lien, 6.000%, 4/11/19		3,535		3,535
United Surgical Partners Tranche B 4.750%, 4/3/19		3,769		3,802
Valeant Pharmaceuticals International, Inc. Series D2, Tranche B, 3.750%, 2/13/19		14,019		14,041

				134,530

Industrials—1.8%
Acosta, Inc. Tranche B, 4.250%, 3/2/18		7,920		7,967
American Airlines, Inc. Tranche B, 3.750%, 6/27/19		35,483		35,596
AWAS Finance Luxembourg SA 3.500%, 7/16/18		9,730		9,760
Brand Energy & Infrastructure Services, Inc. 4.750%, 11/26/20		9,661		9,722
Brock Holdings Ill, Inc. First Lien, 6.000%, 3/16/17		1,457		1,462


	PAR VALUE		VALUE
Industrials—(continued)
Ceridian Corp. 4.400%, 8/14/15⁽⁸⁾	$	18,950	$	19,017
DynCorp International, Inc. 6.250%, 7/7/16		7,602		7,632
HD Supply, Inc. Term Loan 2014, 4.000%, 6/28/18		11,633		11,659
Husky Injection Molding Systems Ltd. (Yukon Acquisition, Inc.) 4.250%, 6/30/21		5,258		5,276
Mcjunkin Red Man Corp. 5.625%, 11/8/19		4,601		4,637
Nortek, Inc. 3.750%, 10/30/20		1,878		1,884
Spirit Aerosystems, Inc. Tranche B, 3.250%, 9/15/20		13,685		13,666
U.S. Airways, Inc. Tranche B-1, 3.500%, 5/23/19		25,121		25,145
WireCo Worldgroup, Inc. 6.000%, 2/15/17		2,448		2,468

				155,891

Information Technology—3.8%
Active Network, Inc. (Lanyon Solutions, Inc. First Lien, 5.500%, 11/13/20⁽⁸⁾		10,649		10,616
Activision Blizzard, Inc. 3.250%, 10/12/20		11,159		11,202
Alcatel-Lucent USA, Inc. 4.500%, 1/30/19		33,549		33,620
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		610		624
Avago Technologies 3.750%, 5/6/21		20,134		20,220
Blue Coat Systems, Inc.
4.000%, 5/31/19		8,695		8,715
Second Lien, 9.500%, 6/26/20		21,813		22,213
CCC Information Services 4.000%, 12/20/19		5,856		5,851
CDW LLC 3.250%, 4/29/20		12,387		12,276
Custom Sensors & Technologies 0.000%, 6/18/21⁽⁸⁾		1,321		1,331
Deltek, Inc.
First Lien, 4.500%, 10/10/18		9,481		9,558
Second Lien, 0.000%, 10/10/19⁽⁸⁾		4,420		4,522
Excelitas Technologies Corp. Tranche B, 6.000%, 11/2/20		9,405		9,495
First Data Corp.
Tranche 2018, 4.154%, 3/23/18		22,100		22,164
Tranche 2021, 4.154%, 3/24/21		13,980		14,022
Genpact Ltd. 3.500%, 8/30/19		3,677		3,699
Go Daddy Operating Co. LLC 4.750%, 5/13/21		4,105		4,092
Infor (U.S.), Inc.
Tranche B-5, 3.750%, 6/3/20		7,321		7,283
Tranche B-3, 3.750%, 6/3/20		4,839		4,811
Information Resources, Inc. (Symphonyiri Group, Inc.) 5.000%, 9/30/20		1,899		1,916


	PAR VALUE		VALUE
Information Technology—(continued)
Interactive Data Corp. 4.750%, 5/2/21	$	8,140	$	8,222
IPC Systems, Inc. First Lien, 6.000%, 11/8/20⁽⁸⁾		7,772		7,806
Kronos, Inc.
First Lien, 4.500%, 10/30/19		4,363		4,404
Second Lien, 9.750%, 4/30/20		4,177		4,359
Mitchell International, Inc.
4.500%, 10/13/20		4,202		4,226
Second Lien, 8.500%, 10/11/21		9,231		9,446
Moneygram International, Inc. 4.250%, 3/27/20		5,458		5,392
Novell, Inc. (Attachmate Corp.) First Lien, 7.250%, 11/22/17⁽⁸⁾		5,198		5,252
Presidio, Inc. 5.000%, 3/31/17		10,768		10,837
Rovi Solutions Corp. 0.000%, 7/2/21⁽⁸⁾		3,648		3,657
RP Crown Parent LLC
First Lien, 6.000%, 12/21/18		12,728		12,751
Second Lien, 11.250%, 12/21/19		6,675		6,750
SkillSoft Corp. 7.750%, 4/28/22⁽⁸⁾		6,352		6,316
Sophia LP Tranche B-1, 4.000%, 7/19/18		6,303		6,316
Spansion LLC 3.750%, 12/19/19		9,379		9,418
SRA International, Inc. 6.500%, 7/20/18		6,519		6,552
Sungard Availability Services Capital, Inc. Tranche B, 6.000%, 3/29/19		11,244		11,191
Vantiv LLC (Fifth Third Processing Solutions LLC) Tranche B, 3.750%, 6/13/21		3,021		3,051
Wall Street Systems, Inc. 4.500%, 4/30/21		5,026		5,042

				339,218

Materials—0.5%
Ardagh Packaging Finance plc 4.000%, 12/17/19		2,077		2,083
Avantor Performance Materials Holdings, Inc. 5.250%, 6/24/17		2,100		2,112
AZ Chem US, Inc. 0.000%, 6/11/21⁽⁸⁾		2,946		2,978
Fairmount Minerals Ltd. Tranche B-2, 4.500%, 9/5/19		3,870		3,915
Fortescue Metals Group Ltd. (FMG Resources Ltd.) 3.750%, 6/28/19		6,946		6,959
Houghton International, Inc. Holding Corp. (HII Holding Corp.) First Lien, 4.000%, 12/20/19		14,253		14,283
Ineos Group Holdings, Inc. 3.750%, 5/4/18		12,479		12,467
Pro Mach, Inc. 4.500%, 7/6/17		1,918		1,929

				46,726


	PAR VALUE			VALUE
Telecommunication Services—0.7%
Global Tel*Link Corp. First Lien, 5.000%, 5/22/20	$	9,163		$	9,140
Intelsat Jackson Holdings S A. Tranche B-2, 3.750%, 6/30/19		12,912			12,951
Level 3 Financing, Inc.
Tranche B-III 2019, 4.000%, 8/1/19		6,319			6,337
Tranche B, 4.000%, 1/15/20		3,485			3,493
UPC Financing Partnership Facility AH, 3.250%, 6/30/21		10,000			9,944
West Corp. Tranche B-10, 3.250%, 6/30/18		6,279			6,251
Windstream Corp. Tranche B-4, 3.500%, 1/23/20		14,084			14,082

					62,198

Utilities—0.6%
Atlantic Power LP 4.750%, 2/24/21		2,902			2,941
Calpine Corp. 4.000%, 10/9/19		6,632			6,660
NRG Energy, Inc. 2.750%, 7/1/18		23,969			23,954
State of Santa Catarina (The) 4.000%, 12/27/22		14,790			14,500
Texas Competitive Electric Holdings Co. LLC 2017 Extended, 4.625%, 10/10/17⁽¹²⁾		5,986			4,913

					52,968

TOTAL LOAN AGREEMENTS (Identified Cost $1,418,342)					1,422,147


	SHARES			VALUE
PREFERRED STOCKS—0.4%
Energy—0.1%
PTT Exploration & Production PCL, 144A, 4.875%⁽²⁾⁽³⁾		8,645	⁽⁹⁾		8,705

Financials—0.3%
Ally Financial, Inc. Series G, 144A, 7.000%⁽³⁾		702			704
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽²⁾		5,835	⁽⁹⁾		6,083
Banco do Brasil S.A., Tranche B, 144A, 8.500%⁽²⁾⁽³⁾		700	⁽⁹⁾		781
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		4,395	⁽⁹⁾		4,368
Wells Fargo & Co. Series K, 7.980%⁽²⁾		16,155	⁽⁹⁾		18,376

					30,312

TOTAL PREFERRED STOCKS (Identified Cost $37,429)					39,017


	SHARES		VALUE
EXCHANGE-TRADED FUNDS—0.3%
SPDR S&P 500^® ETF Trust Series 1		114,000	$	22,312

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $21,590)				22,312

TOTAL LONG TERM INVESTMENTS—98.8% (Identified cost $8,653,334)				8,850,040	⁽¹¹⁾

SHORT-TERM INVESTMENTS—1.1%
Money Market Mutual Funds—1.1%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		97,302,954		97,303

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $97,303)				97,303

TOTAL INVESTMENTS—99.9% (Identified Cost $8,750,637)				8,947,343	⁽¹⁾
Other assets and liabilities, net—0.1%				12,449

NET ASSETS—100.0%			$	8,959,792

Abbreviations:


ETF		Exchange-Traded Fund
FDIC		Federal Deposit Insurance Corporation
FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
GNMA		Government National Mortgage Association (“Ginnie Mae”)
PIK		Payment-in-Kind Security
REIT		Real Estate Investment Trust
REMIC		Real Estate Mortgage Investment Conduit
SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2014.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, these securities amounted to a value of $2,998,594 or 33.5% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁶⁾	No contractual maturity date.

⁽⁷⁾	Interest payments may be deferred.

⁽⁸⁾	This loan will settle after June 30, 2014, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁹⁾	Value shown as par value.

⁽¹⁰⁾	100% of the income received was in cash.

⁽¹¹⁾	A portion of the Fund’s assets have been segregated for delayed delivery settlements.


Country Weightings †
United States	76	%
Brazil	2
Luxembourg	2
Venezuela	2
Australia	1
Ireland	1
Mexico	1
Other	15

Total	100	%

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $704 were transferred from Level 1 to Level 2 since an exchange price was no longer available.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—100.3%
Consumer Discretionary—0.1%
Host Hotels & Resorts, Inc.		268,280	$	5,905

Consumer Staples—12.4%
Altria Group, Inc.		1,060,880		44,493
Archer-Daniels-Midland Co.(The)		421,470		18,591
Avon Products, Inc.		318,970		4,660
Brown-Forman Corp. Class B		112,950		10,636
Campbell Soup Co.		136,240		6,241
Clorox Co. (The)		89,590		8,188
Coca-Cola Co. (The)		2,232,060		94,550
Coca-Cola Enterprises, Inc.		167,750		8,015
Colgate-Palmolive Co.		531,870		36,263
ConAgra Foods, Inc.		287,810		8,542
Constellation Brands, Inc. Class A⁽²⁾		150,280		13,244
Costco Wholesale Corp.		269,980		31,091
CVS Caremark Corp.		710,370		53,541
Dr. Pepper Snapple Group, Inc.		138,270		8,100
Estee Lauder Cos., Inc. (The) Class A		169,610		12,595
General Mills, Inc.		387,990		20,385
Hershey Co. (The)		101,820		9,914
Hormel Foods Corp.		113,220		5,587
J.M. Smucker Co. (The)		73,360		7,818
Kellogg Co.		170,900		11,228
Keurig Green Mountain, Inc.		75,240		9,375
Kimberly-Clark Corp.		234,500		26,081
Kraft Foods Group, Inc.		351,240		21,057
Kroger Co. (The)		341,400		16,875
Lorillard, Inc.		234,690		14,309
McCormick & Co., Inc.		94,170		6,742
Mead Johnson Nutrition Co.		131,210		12,225
Molson Coors Brewing Co. Class B		118,470		8,786
Mondelez International, Inc.		941,180		35,398
Monster Beverage Corp.⁽²⁾		92,890		6,598
PepsiCo, Inc.		513,630		45,888
Philip Morris International, Inc.		929,210		78,342
Procter & Gamble Co. (The)		1,598,450		125,622
Reynolds American, Inc.		204,170		12,322
Safeway, Inc.		189,050		6,492
SYSCO Corp.		378,880		14,189
Tyson Foods, Inc. Class A		213,770		8,025
Wal-Mart Stores, Inc.		951,430		71,424


	SHARES		VALUE
Consumer Staples—(continued)
Walgreen Co.		553,120	$	41,003
Whole Foods Market, Inc.		240,840		9,304

				983,739

Diversiified REIT—0.1%
Prologis, Inc.		177,474		7,292

Energy—12.4%
Anadarko Petroleum Corp.		291,650		31,927
Apache Corp.		220,800		22,217
Baker Hughes, Inc.		286,290		21,314
Cabot Oil & Gas Corp.		448,700		15,319
Cameron International Corp.⁽²⁾		162,640		11,012
Chesapeake Energy Corp.		336,270		10,451
Chevron Corp.		957,520		125,004
Cimarex Energy Co.		43,500		6,241
ConocoPhillips		450,130		38,590
CONSOL Energy, Inc.		182,160		8,392
Denbury Resources, Inc.		352,070		6,499
Devon Energy Corp.		219,550		17,432
Diamond Offshore Drilling, Inc.⁽³⁾		56,160		2,787
Ensco plc Class A		115,630		6,426
EOG Resources, Inc.		330,810		38,658
EQT Corp.		75,460		8,067
Exxon Mobil Corp.		1,428,570		143,828
FMC Technologies, Inc.⁽²⁾		210,050		12,828
Halliburton Co.		502,580		35,688
Helmerich & Payne, Inc.		53,430		6,204
Hess Corp.		163,310		16,150
Kinder Morgan, Inc.		330,680		11,990
Marathon Oil Corp.		393,700		15,717
Marathon Petroleum Corp.		143,780		11,225
Murphy Oil Corp.		113,120		7,520
Nabors Industries Ltd.		241,030		7,079
National Oilwell Varco, Inc.		270,710		22,293
Newfield Exploration Co.⁽²⁾		67,150		2,968
Noble Corp. plc		125,290		4,205
Noble Energy, Inc.		243,740		18,880
Occidental Petroleum Corp.		340,560		34,952
ONEOK, Inc.		103,520		7,048
Peabody Energy Corp.		196,340		3,210
Phillips 66		281,160		22,614
Pioneer Natural Resources Co.		161,160		37,036
QEP Resources, Inc.		88,650		3,058


	SHARES		VALUE
Energy—(continued)
Range Resources Corp.		131,380	$	11,423
Rowan Cos. plc Class A		167,800		5,358
Schlumberger Ltd.		665,160		78,456
Southwestern Energy Co.⁽²⁾		223,600		10,172
Spectra Energy Corp.		446,360		18,961
Tesoro Corp.		202,430		11,877
Transocean Ltd.⁽³⁾		168,520		7,588
Valero Energy Corp.		370,590		18,567
Williams Cos., Inc. (The)		513,270		29,877

				987,108

Financials—11.2%
ACE Ltd.		119,680		12,411
Affiliated Managers Group, Inc.⁽²⁾		19,600		4,026
Aflac, Inc.		162,001		10,085
Allstate Corp. (The)		154,922		9,097
American Express Co.		323,620		30,702
American International Group, Inc.		513,518		28,028
Ameriprise Financial, Inc.		67,817		8,138
AON plc		104,872		9,448
Apartment Investment & Management Co. Class A		52,566		1,696
Assurant, Inc.		25,045		1,642
Bank of America Corp.		3,734,309		57,396
Bank of New York Mellon Corp. (The)		405,484		15,198
BB&T Corp.		253,952		10,013
Berkshire Hathaway, Inc. Class B⁽²⁾		639,391		80,921
BlackRock, Inc.		44,534		14,233
Capital One Financial Corp.		203,374		16,799
CBRE Group, Inc.⁽²⁾		97,679		3,130
Charles Schwab Corp. (The)		415,113		11,179
Chubb Corp. (The)		86,349		7,959
Cincinnati Financial Corp.		51,371		2,468
Citigroup, Inc.		1,079,138		50,827
CME Group, Inc.		112,161		7,958
Comerica, Inc.		65,202		3,271
Crown Castle International Corp.		118,998		8,837
Discover Financial Services		166,006		10,289
E*Trade Financial Corp.⁽²⁾		104,695		2,226
Fifth Third Bancorp		300,526		6,416
Franklin Resources, Inc.		143,320		8,290
Genworth Financial, Inc. Class A⁽²⁾		177,894		3,095
Goldman Sachs Group, Inc. (The)		147,440		24,687
Hartford Financial Services Group, Inc. (The)		160,835		5,760


	SHARES		VALUE
Financials—(continued)
Hudson City Bancorp, Inc.		171,761	$	1,688
Huntington Bancshares, Inc.		290,901		2,775
IntercontinentalExchange Group, Inc.		40,683		7,685
Invesco Ltd.		152,521		5,758
JPMorgan Chase & Co.		1,344,340		77,461
KeyCorp		314,873		4,512
Legg Mason, Inc.		37,035		1,900
Leucadia National Corp.		113,052		2,964
Lincoln National Corp.		94,564		4,864
Loews Corp.		108,909		4,793
M&T Bank Corp.		46,586		5,779
Marsh & McLennan Cos., Inc.		195,297		10,120
McGraw-Hill Cos., Inc. (The)		96,889		8,045
MetLife, Inc.		400,062		22,227
Moody’s Corp.		67,336		5,903
Morgan Stanley		495,632		16,024
NASDAQ OMX Group, Inc. (The)		42,087		1,625
Navient Corp.		151,740		2,687
Northern Trust Corp.		79,215		5,086
People’s United Financial, Inc.		113,056		1,715
Plum Creek Timber Co., Inc.		62,090		2,800
PNC Financial Services Group, Inc. (The)		189,255		16,853
Principal Financial Group, Inc.		97,212		4,907
Progressive Corp. (The)		194,849		4,941
Prudential Financial, Inc.		164,130		14,570
Regions Financial Corp.		487,653		5,179
State Street Corp.		152,757		10,274
SunTrust Banks, Inc.		190,476		7,631
T. Rowe Price Group, Inc.		93,382		7,882
Torchmark Corp.		31,501		2,581
Travelers Cos., Inc. (The)		123,670		11,634
U.S. Bancorp		643,899		27,894
Unum Group		90,590		3,149
Vornado Realty Trust		61,661		6,581
Wells Fargo & Co.		1,703,108		89,515
Weyerhaeuser Co.⁽³⁾		206,643		6,838
XL Group plc		96,973		3,174
Zions Bancorp		67,014		1,975

				888,214

Health Care—12.6%
Abbott Laboratories		545,410		22,307
AbbVie, Inc.		678,480		38,293
Actavis plc⁽²⁾		119,130		26,572


	SHARES		VALUE
Health Care—(continued)
Aetna, Inc.		157,060	$	12,734
Agilent Technologies, Inc.		143,080		8,219
Alexion Pharmaceuticals, Inc.⁽²⁾		85,110		13,298
Allergan, Inc.		131,010		22,170
AmerisourceBergen Corp.		99,990		7,265
Amgen, Inc.		324,600		38,423
Bard (C.R.), Inc.		34,960		5,000
Baxter International, Inc.		236,840		17,124
Becton, Dickinson & Co.		85,130		10,071
Biogen Idec, Inc.⁽²⁾		104,040		32,805
Boston Scientific Corp.⁽²⁾		576,680		7,364
Bristol-Myers Squibb Co.		713,960		34,634
Cardinal Health, Inc.		147,740		10,129
CareFusion Corp.⁽²⁾		88,070		3,906
Celgene Corp.⁽²⁾		341,719		29,347
Cerner Corp.⁽²⁾		127,010		6,551
CIGNA Corp.		118,880		10,933
Covidien plc		193,180		17,421
DaVita, Inc.⁽²⁾		76,560		5,537
DENTSPLY International, Inc.		60,600		2,869
Edwards Lifesciences Corp.⁽²⁾		45,700		3,923
Eli Lilly & Co.		422,300		26,254
Express Scripts Holding Co.⁽²⁾		349,740		24,248
Gilead Sciences, Inc.⁽²⁾		655,280		54,329
Hospira, Inc.⁽²⁾		70,850		3,640
Humana, Inc.		71,170		9,090
Intuitive Surgical, Inc.⁽²⁾		16,540		6,811
Johnson & Johnson		1,207,180		126,295
Laboratory Corp. of America Holdings⁽²⁾		35,980		3,684
McKesson Corp.		101,830		18,962
Medtronic, Inc.		431,200		27,493
Merck & Co., Inc.		1,246,980		72,138
Mylan, Inc.⁽²⁾		159,910		8,245
Patterson Cos., Inc.		34,700		1,371
PerkinElmer, Inc.		49,070		2,298
Perrigo Co. plc		57,570		8,391
Pfizer, Inc.		2,721,800		80,783
Quest Diagnostics, Inc.		64,060		3,760
Regeneron Pharmaceuticals, Inc.⁽²⁾		34,290		9,686
St. Jude Medical, Inc.		125,850		8,715
Stryker Corp.		129,020		10,879
Tenet Healthcare Corp.⁽²⁾		43,640		2,048
Thermo Fisher Scientific, Inc.		170,990		20,177
UnitedHealth Group, Inc.		421,540		34,461


	SHARES		VALUE
Health Care—(continued)
Varian Medical Systems, Inc.⁽²⁾		44,160	$	3,672
Vertex Pharmaceuticals, Inc.⁽²⁾		100,940		9,557
Waters Corp.⁽²⁾		35,970		3,757
WellPoint, Inc.		123,410		13,280
Zimmer Holdings, Inc.		73,470		7,631
Zoetis, Inc.		214,900		6,935

				995,485

Industrials—12.4%
3M Co.		326,373		46,750
ADT Corp. (The)		88,748		3,101
Allegion plc		46,731		2,649
Ametek, Inc.		125,340		6,553
Avery Dennison Corp.		155,110		7,949
Boeing Co. (The)		359,322		45,717
Caterpillar, Inc.		341,263		37,085
Cintas Corp.		62,765		3,988
CSX Corp.		619,078		19,074
Cummins, Inc.		161,145		24,863
Danaher Corp.		346,637		27,291
Deere & Co.		207,853		18,821
Delta Air Lines, Inc.		434,978		16,842
Dover Corp.		103,140		9,381
Dun & Bradstreet Corp.		18,741		2,065
Eaton Corp. plc		298,923		23,071
Emerson Electric Co.		380,335		25,239
Equifax, Inc.		85,241		6,183
Expeditors International of Washington, Inc.		100,433		4,435
Fastenal Co.		139,705		6,914
FedEx Corp.		152,726		23,120
Flowserve Corp.		70,639		5,252
Fluor Corp.		118,171		9,087
General Dynamics Corp.		181,613		21,167
General Electric Co.		3,805,576		100,010
Grainger (W.W.), Inc.		40,981		10,420
Honeywell International, Inc.		422,948		39,313
Illinois Tool Works, Inc.		206,834		18,110
Ingersoll-Rand plc		129,324		8,084
Iron Mountain, Inc.		88,681		3,144
Jacobs Engineering Group, Inc.⁽²⁾		68,342		3,641
Joy Global, Inc.		51,283		3,158
Kansas City Southern		56,364		6,060
L-3 Communications Holdings, Inc.		44,460		5,369
Lockheed Martin Corp.		144,882		23,287


	SHARES		VALUE
Industrials—(continued)
Masco Corp.		203,641	$	4,521
Nielsen Holdings NV		154,383		7,474
Norfolk Southern Corp.		186,362		19,201
Northrop Grumman Corp.		118,775		14,209
PACCAR, Inc.		211,141		13,266
Pall Corp.		82,058		7,007
Parker Hannifin Corp.		96,001		12,070
Pentair plc		99,498		7,176
Pitney Bowes, Inc.		119,036		3,288
Precision Castparts Corp.		74,239		18,738
Quanta Services, Inc.⁽²⁾		112,442		3,888
Raytheon Co.		175,965		16,233
Republic Services, Inc.		136,554		5,185
Robert Half International, Inc.		99,244		4,738
Robinson (C.H.) Worldwide, Inc.		76,356		4,871
Rockwell Automation, Inc.		91,573		11,461
Rockwell Collins, Inc.		89,241		6,973
Roper Industries, Inc.		50,915		7,434
Ryder System, Inc.		48,988		4,315
Snap-On, Inc.		30,124		3,570
Southwest Airlines Co.		390,385		10,486
Stanley Black & Decker, Inc.		79,728		7,002
Stericycle, Inc.⁽²⁾		43,077		5,101
Textron, Inc.		178,857		6,848
Tyco International Ltd.		236,728		10,795
Union Pacific Corp.		504,926		50,366
United Parcel Service, Inc. Class B		367,447		37,722
United Technologies Corp.		448,658		51,798
Waste Management, Inc.		241,023		10,781
Xylem, Inc.		95,036		3,714

				987,424

Information Technology—11.2%
Accenture plc Class A		171,308		13,848
Adobe Systems, Inc.⁽²⁾		129,142		9,345
Akamai Technologies, Inc.⁽²⁾		54,882		3,351
Alliance Data Systems Corp.⁽²⁾		14,550		4,092
Altera Corp.		91,746		3,189
Amphenol Corp. Class A		45,504		4,384
Analog Devices, Inc.		90,466		4,891
Apple, Inc.		1,612,573		149,856
Applied Materials, Inc.		336,770		7,594
Autodesk, Inc.⁽²⁾		67,730		3,819
Automatic Data Processing, Inc.		133,349		10,572


	SHARES		VALUE
Information Technology—(continued)
Avago Technologies Ltd.		67,550	$	4,868
Broadcom Corp. Class A		154,555		5,737
CA, Inc.		90,223		2,593
Cisco Systems, Inc.		1,386,630		34,458
Citrix Systems, Inc.⁽²⁾		47,926		2,998
Cognizant Technology Solutions Corp. Class A⁽²⁾		172,320		8,428
Computer Sciences Corp.		42,004		2,655
Corning, Inc.		360,414		7,911
eBay, Inc.⁽²⁾		313,539		15,696
Electronic Arts, Inc.⁽²⁾		90,267		3,238
EMC Corp.		559,946		14,749
F5 Networks, Inc.⁽²⁾		20,893		2,328
Facebook, Inc. Class A⁽²⁾		466,110		31,364
Fidelity National Information Services, Inc.		85,672		4,690
First Solar, Inc.⁽²⁾		18,818		1,337
Fiserv, Inc.⁽²⁾		71,326		4,302
FLIR Systems, Inc.		42,992		1,493
Google, Inc. Class A⁽²⁾		76,768		44,884
Google, Inc. Class C⁽²⁾		76,618		44,077
Harris Corp.		31,804		2,409
Hewlett-Packard Co.		421,848		14,208
Intel Corp.		1,147,818		35,468
International Business Machines Corp.		257,321		46,645
Intuit, Inc.		80,253		6,463
Jabil Circuit, Inc.		62,311		1,302
Juniper Networks, Inc.⁽²⁾		131,892		3,237
KLA-Tencor Corp.		48,701		3,538
Lam Research Corp.		43,395		2,933
Linear Technology Corp.		69,591		3,276
MasterCard, Inc. Class A		277,710		20,403
Microchip Technology, Inc.⁽³⁾		59,168		2,888
Micron Technology, Inc.⁽²⁾		309,086		10,184
Microsoft Corp.		2,034,867		84,854
Motorola Solutions, Inc.		62,593		4,167
NetApp, Inc.		93,692		3,422
NVIDIA Corp.		161,977		3,003
Oracle Corp.		934,538		37,877
Paychex, Inc.		91,178		3,789
QUALCOMM, Inc.		459,535		36,395
Red Hat, Inc.⁽²⁾		56,310		3,112
Salesforce.com, Inc.⁽²⁾		164,431		9,550
SanDisk Corp.		67,192		7,017
Seagate Technology plc		88,817		5,047
Symantec Corp.		195,446		4,476


	SHARES		VALUE
Information Technology—(continued)
TE Connectivity Ltd.		110,978	$	6,863
Teradata Corp.⁽²⁾		47,142		1,895
Texas Instruments, Inc.		296,019		14,147
Total System Services, Inc.		51,703		1,624
VeriSign, Inc.⁽²⁾		36,990		1,805
Visa, Inc. Class A		135,920		28,640
Western Digital Corp.		59,269		5,470
Western Union Co. (The)		148,888		2,582
Xerox Corp.		313,570		3,901
Xilinx, Inc.		78,408		3,709
Yahoo!, Inc.⁽²⁾		258,450		9,079

				888,125

Materials—12.4%
Air Products & Chemicals, Inc.		347,205		44,657
Airgas, Inc.		114,525		12,473
Alcoa, Inc.		1,947,922		29,004
Allegheny Technologies, Inc.		190,880		8,609
Ball Corp.		236,824		14,844
Bemis Co., Inc.		179,652		7,305
CF Industries Holdings, Inc.		85,266		20,509
Dow Chemical Co. (The)		1,964,374		101,087
Du Pont (E.I.) de Nemours & Co.		1,498,343		98,052
Eastman Chemical Co.		251,506		21,969
Ecolab, Inc.		439,091		48,888
FMC Corp.		225,414		16,047
Freeport-McMoRan Copper & Gold, Inc.		1,276,566		46,595
International Flavors & Fragrances, Inc.		138,279		14,420
International Paper Co.		717,111		36,193
LyondellBasell Industries N.V. Class A		679,232		66,327
MeadWestvaco Corp.		287,257		12,714
Monsanto Co.		855,281		106,688
Mosaic Co. (The)		530,293		26,223
Newmont Mining Corp.		816,531		20,772
Nucor Corp.		530,373		26,121
Owens-Illinois, Inc.⁽²⁾		286,758		9,933
PPG Industries, Inc.		227,843		47,881
Praxair, Inc.		477,513		63,433
Sealed Air Corp.		334,356		11,425
Sherwin-Williams Co. (The)		140,765		29,126
Sigma-Aldrich Corp.		199,441		20,239
United States Steel Corp.⁽³⁾		259,641		6,761
Vulcan Materials Co.		222,711		14,198

				982,493


	SHARES		VALUE
Office REIT—0.1%
Boston Properties, Inc.		54,315	$	6,419

Residential REITs—0.2%
AvalonBay Communities, Inc.		43,177		6,139
Equity Residential		119,460		7,526
Essex Property Trust, Inc.		22,030		4,074

				17,739

Retail REITs—0.4%
General Growth Properties, Inc.		184,200		4,340
Kimco Realty Corp.		144,722		3,326
Macerich Co. (The)		50,649		3,381
Simon Property Group, Inc.		110,322		18,344

				29,391

Specialized REITs—0.4%
HCP, Inc.		163,639		6,771
Health Care REIT, Inc.		108,070		6,773
Public Storage		51,643		8,849
Ventas, Inc.		104,778		6,716

				29,109

Telecommunication Services—1.6%
American Tower Corp.		140,073		12,604
AT&T, Inc.		1,406,307		49,727
CenturyLink, Inc.		161,387		5,842
Frontier Communications Corp.		333,281		1,946
Verizon Communications, Inc.		1,128,168		55,201
Windstream Holdings, Inc.		177,078		1,764

				127,084

Utilities—12.8%
AES Corp. (The)		1,232,070		19,159
AGL Resources, Inc.		220,630		12,141
Ameren Corp.		453,250		18,529
American Electric Power Co., Inc.		909,560		50,726
CenterPoint Energy, Inc.		808,670		20,653
CMS Energy Corp.		512,270		15,957
Consolidated Edison, Inc.		546,580		31,559
Dominion Resources, Inc.		1,079,130		77,179
DTE Energy Co.		332,010		25,854
Duke Energy Corp.		1,196,870		88,796
Edison International		606,190		35,226
Entergy Corp.		333,080		27,343
Exelon Corp.		1,592,840		58,107
FirstEnergy Corp.		779,870		27,077


	SHARES		VALUE
Utilities—(continued)
Integrys Energy Group, Inc.		151,000	$	10,741
NextEra Energy, Inc.		808,950		82,901
NiSource, Inc.		594,020		23,369
Northeast Utilities		586,600		27,729
NRG Energy, Inc.		626,150		23,293
Pepco Holdings, Inc.		471,940		12,969
PG&E Corp.		866,130		41,592
Pinnacle West Capital Corp.		209,110		12,095
PPL Corp.		1,174,820		41,741
Public Service Enterprise Group, Inc.		939,330		38,315
SCANA Corp.		262,390		14,119
Sempra Energy		424,630		44,463
Southern Co.		1,630,620		73,998
TECO Energy, Inc.		383,350		7,084
Wisconsin Energy Corp.		417,590		19,593
XCEL Energy, Inc.		940,410		30,309

				1,012,617

TOTAL COMMON STOCKS (Identified Cost $6,855,631)				7,948,144

TOTAL LONG TERM INVESTMENTS—100.3% (Identified cost $6,855,631)				7,948,144

SHORT-TERM INVESTMENTS—0.4%
Money Market Mutual Funds—0.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		30,411,331		30,411

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $30,411)				30,411

SECURITIES LENDING COLLATERAL—0.3%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.060%)⁽⁴⁾		21,407,855		21,408

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $21,408)				21,408

TOTAL INVESTMENTS—101.0% (Identified Cost $6,907,450)				7,999,963	⁽¹⁾
Other assets and liabilities, net—(1.0)%				(76,919	)

NET ASSETS—100.0%			$	7,923,044

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
COMMON STOCKS—96.5%
Real Estate Investment Trusts—96.5%
HEALTH CARE—5.5%
HCP, Inc.		1,118,471	$	46,282
Ventas, Inc.		597,261		38,285

				84,567

INDUSTRIAL/OFFICE—27.1%
Industrial—9.7%
DCT Industrial Trust, Inc.		7,135,297		58,581
Eastgroup Properties, Inc.		47,835		3,073
Prologis, Inc.		2,155,425		88,566

				150,220

Mixed—5.2%
Duke Realty Corp.		1,945,200		35,325
Liberty Property Trust		1,196,644		45,388

				80,713

Office—12.2%
Boston Properties, Inc.		477,183		56,393
Douglas Emmett, Inc.		1,274,833		35,976
Highwoods Properties, Inc.		200,442		8,409
Kilroy Realty Corp.		1,039,042		64,712
SL Green Realty Corp.		203,377		22,251

				187,741

				418,674

LODGING/RESORTS—6.9%
Host Hotels & Resorts, Inc.		1,790,772		39,415
LaSalle Hotel Properties		791,547		27,933
Pebblebrook Hotel Trust		1,059,713		39,167

				106,515

RESIDENTIAL—19.0%
Apartments—18.2%
American Campus Communities, Inc.		800,617		30,616
AvalonBay Communities, Inc.		407,090		57,884
Camden Property Trust		658,200		46,831
Equity Residential		1,212,122		76,364
Essex Property Trust, Inc.		379,640		70,199

				281,894

Manufactured Homes—0.8%
Equity Lifestyle Properties, Inc.		269,953		11,921


	SHARES		VALUE
Real Estate Investment Trusts—(continued)

				293,815

RETAIL—28.1%
Regional Malls—20.0%
General Growth Properties, Inc.		3,097,575	$	72,979
Macerich Co. (The)		998,275		66,635
Simon Property Group, Inc.		955,191		158,829
Washington Prime Group, Inc.⁽²⁾		570,796		10,696

				309,139

Shopping Centers—8.1%
Brixmor Property Group, Inc.		530,005		12,164
DDR Corp.		2,231,616		39,343
Kimco Realty Corp.		1,265,573		29,083
Tanger Factory Outlet Centers		1,303,600		45,587

				126,177

				435,316

SELF STORAGE—9.9%
Extra Space Storage, Inc.		996,662		53,072
Public Storage		580,481		99,466

				152,538

TOTAL COMMON STOCKS (Identified Cost $914,325)				1,491,425

TOTAL LONG TERM INVESTMENTS—96.5% (Identified cost $914,325)				1,491,425

SHORT-TERM INVESTMENTS—3.4%
Money Market Mutual Funds—3.4%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		52,145,141		52,145

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $52,145)				52,145

TOTAL INVESTMENTS—99.9% (Identified Cost $966,470)				1,543,570	⁽¹⁾
Other assets and liabilities, net—0.1%				2,072

NET ASSETS—100.0%			$	1,545,642

Footnote Legend

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES—0.3%
Non-Agency—0.3%
Hilton USA Trust 13-HLT, EFX 144A 5.609%, 11/5/30⁽²⁾⁽³⁾	$	2,500	$	2,580

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $2,512)				2,580

ASSET-BACKED SECURITIES—0.1%
New Century Home Equity Loan Trust 05-A, A4W 4.812%, 8/25/35⁽²⁾		840		875
Terwin Mortgage Trust 04-15AL, A1 144A 5.676%, 7/25/34⁽²⁾⁽³⁾		511		497

TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,238)				1,372

CORPORATE BONDS—7.2%
Consumer Discretionary—1.4%
American Axle & Manufacturing, Inc. 5.125%, 2/15/19		835		881
Boyd Gaming Corp. 9.125%, 12/1/18		1,150		1,229
Cequel Communications Holdings I LLC 144A 6.375%, 9/15/20⁽³⁾		1,000		1,067
Clear Channel Communications, Inc. 144A 10.000%, 1/15/18⁽³⁾		710		690
GLP Capital LP (GLP Financing II, Inc.)
144A 4.375%, 11/1/18⁽³⁾		85		88
144A 4.875%, 11/1/20⁽³⁾		950		979
Isle of Capri Casinos, Inc. 5.875%, 3/15/21		830		843
Jaguar Land Rover Automotive plc 144A 4.125%, 12/15/18⁽³⁾		495		512
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		950		1,050
MGM Resorts International 7.625%, 1/15/17		500		566
Numericable Group SA 144A 4.875%, 5/15/19⁽³⁾		755		776
ONO Finance II plc 144A 10.875%, 7/15/19⁽³⁾		315		346
ServiceMaster Co. 7.000%, 8/15/20		745		796
Sirius XM Radio, Inc. 144A 4.250%, 5/15/20⁽³⁾		1,800		1,780
Univision Communications, Inc. 144A 6.875%, 5/15/19⁽³⁾		1,135		1,214
Weyerhaeuser Real Estate Co. 144A 4.375%, 6/15/19⁽³⁾		505		508
Wynn Macau Ltd. 144A 5.250%, 10/15/21⁽³⁾		1,085		1,118

				14,443


	PAR VALUE			VALUE
Consumer Staples—0.3%
Heinz (H.J.) Co. 4.250%, 10/15/20	$	2,170		$	2,186
Spectrum Brands Escrow Corp. 6.375%, 11/15/20		715			774

					2,960

Energy—0.5%
Calumet Specialty Products Partners LP 144A 6.500%, 4/15/21⁽³⁾		490			502
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		182			185
EPL Oil & Gas, Inc. 8.250%, 2/15/18		1,250			1,344
FTS International, Inc. 144A 6.250%, 5/1/22⁽³⁾		825			848
NGL Energy Partners LP (NGL Energy Finance Corp.) 144A 5.125%, 7/15/19⁽³⁾		1,525			1,536
PHI, Inc. 144A 5.250%, 3/15/19⁽³⁾		450			460
Venoco, Inc. 8.875%, 2/15/19		710			694

					5,569

Financials—1.3%
AerCap Ireland Capital Ltd. (AerCap Global Aviation Trust) 144A 3.750%, 5/15/19⁽³⁾		550			555
Aircastle Ltd.
4.625%, 12/15/18		1,305			1,347
6.250%, 12/1/19		1,190			1,309
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽³⁾		1,300	^BRL		562
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.) 4.875%, 3/15/19		195			201
Intelsat Jackson Holdings SA 6.625%, 12/15/22		1,230			1,290
iStar Financial, Inc.
4.000%, 11/1/17		1,465			1,476
4.875%, 7/1/18		1,415			1,426
5.000%, 7/1/19		865			869
Level 3 Financing, Inc. 7.000%, 6/1/20		1,105			1,213
Nationstar Mortgage LLC
6.500%, 8/1/18		835			862
6.500%, 7/1/21		1,295			1,301
Navient Corp. (SLM Corp.) 4.875%, 6/17/19		785			809
Schaeffler Holding Finance BV PIK Interest Capitalization, 144A 6.875%, 8/15/18⁽³⁾⁽⁴⁾		335			355

					13,575

Health Care—0.3%
Community Health Systems, Inc. (CHS) 5.125%, 8/15/18		1,055			1,109


	PAR VALUE		VALUE
Health Care—(continued)
Salix Pharmaceuticals Ltd. 144A 6.000%, 1/15/21⁽³⁾	$	180	$	194
Tenet Healthcare Corp. 144A
5.000%, 3/1/19⁽³⁾		415		422
6.000%, 10/1/20		435		473
Valeant Pharmaceuticals International, Inc. Escrow Corp. 144A 6.750%, 8/15/18⁽³⁾		965		1,042

				3,240

Industrials—0.4%
Air Canada 144A 6.750%, 10/1/19⁽³⁾		965		1,051
Atlas Air Pass-Through-Trust 98-1, A 7.380%, 1/2/18		418		426
Ply Gem Industries, Inc. 144A 6.500%, 2/1/22⁽³⁾		1,070		1,036
Sappi Papier Holding GmbH 144A 7.750%, 7/15/17⁽³⁾		670		749
United Rentals, Inc. 7.375%, 5/15/20		1,000		1,110

				4,372

Information Technology—1.3%
Alcatel-Lucent USA, Inc. 144A 6.750%, 11/15/20⁽³⁾		560		599
Avaya, Inc. 144A 7.000%, 4/1/19⁽³⁾		3,015		3,030
Ceridian LLC (Comdata, Inc.) 144A 8.125%, 11/15/17⁽³⁾		95		96
First Data Corp.
144A 8.250%, 1/15/21⁽³⁾		1,015		1,117
11.750%, 8/15/21		3,590		4,272
Infor Software Parent LLC PIK Interest Capitalization, 144A 7.125%, 5/1/21⁽³⁾⁽⁴⁾		1,430		1,469
Interactive Data Corp. 144A 5.875%, 4/15/19⁽³⁾		2,050		2,099
Sanmina Corp. 144A 4.375%, 6/1/19⁽³⁾		595		596

				13,278

Materials—1.7%
Ardagh Packaging Finance plc
144A 7.375%, 10/15/17⁽³⁾		1,200		1,267
144A 6.250%, 1/31/19⁽³⁾		400		411
Beverage Packaging Holdings Luxembourg II SA 144A 6.000%, 6/15/17⁽³⁾		3,200		3,288
Cemex SAB de CV
144A 9.500%, 6/15/18⁽³⁾		1,499		1,724
144A 5.875%, 3/25/19⁽³⁾		815		854
FMG Resources Property Ltd. 144A 8.250%, 11/1/19⁽³⁾		750		819


	PAR VALUE		VALUE
Materials—(continued)
Hexion U.S. Finance Corp.
8.875%, 2/1/18	$	1,375	$	1,433
6.625%, 4/15/20		1,370		1,459
INEOS Group Holdings SA 144A 5.875%, 2/1/19⁽³⁾		1,130		1,161
Reynolds Group Issuer, Inc.
9.000%, 4/15/19		1,500		1,596
5.750%, 10/15/20		940		996
United States Steel Corp. 6.875%, 4/1/21		1,235		1,322
Vedanta Resources plc 144A 9.500%, 7/18/18⁽³⁾		685		793

				17,123

TOTAL CORPORATE BONDS (Identified Cost $71,935)				74,560

LOAN AGREEMENTS⁽²⁾—97.9%
Consumer Discretionary—28.1%
99 Cents Only Stores Tranche B-2 4.500%, 1/11/19		971		978
Academy Ltd. 4.500%, 8/3/18		1,560		1,567
Acquisitions Cogeco Cable II LP Tranche B, 3.250%, 11/30/19		818		817
Advantage Sales & Marketing, Inc.
First Lien, 4.250%, 12/18/17		4,113		4,121
Second Lien, 8.250%, 6/17/18		570		572
Affinia Group, Inc. Tranche B-2, 4.750%, 4/25/20		590		597
Affinity Gaming LLC 4.250%, 11/9/17		971		974
Allison Transmission Tranche B-3, 3.750%, 8/23/19		1,732		1,738
Bally Technologies, Inc. Tranche B, 4.250%, 11/25/20		2,985		3,001
Bauer Performance Sports Ltd. 4.500%, 4/15/21		2,553		2,560
BJ’s Wholesale Club, Inc.
First Lien, 4.500%, 9/26/19		4,101		4,111
Second Lien, 8.500%, 3/26/20		962		988
Boyd Gaming Corp. Tranche B, 4.000%, 8/14/20		4,884		4,905
Brickman Group Holdings, Inc. Second Lien, 0.000%, 12/17/21⁽⁵⁾		1,971		2,011
Caesars Entertainment Operating Co., Inc.
Tranche B-4, 9.500%, 10/31/16		1,528		1,538
Tranche B-6, 5.402%, 1/28/18		4,822		4,510
Tranche B-7, 9.750%, 1/28/18		2,231		2,205


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.) Tranche B- 5, 4.402%, 1/28/18	$	1,000	$	925
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		3,982		4,014
Caesars Growth Properties Holdings LLC Tranche B, First Lien 6.250%, 5/8/21		4,540		4,549
CBAC Borrower LLC Tranche B, 8.250%, 7/2/20		3,654		3,796
CBS Outdoor Americas Capital LLC 3.000%, 1/31/21		763		761
Cequel Communications LLC 3.500%, 2/14/19		1,707		1,710
Charter Communications Operations LLC
Tranche E, 3.000%, 7/1/20		4,379		4,318
Tranche F, 3.000%, 1/3/21		6,259		6,172
Checkout Holding Corp. Tranche B, First Lien 0.000%, 4/9/21⁽⁵⁾		2,901		2,908
Chrysler Group LLC
Tranche B, 3.500%, 5/24/17		3,667		3,684
Tranche B, 3.250%, 12/31/18		2,605		2,601
CityCenter Holdings LLC Tranche B, 5.000%, 10/16/20		2,560		2,582
Clear Channel Communications, Inc. Tranche D, 6.900%, 1/30/19		15,188		15,136
Cooper-Standard Automotive, Inc. 0.000%, 4/4/21⁽⁵⁾		3,783		3,786
CSC Holdings, Inc. Tranche B, 2.650%, 4/17/20		2,806		2,780
Cumulus Media Holdings, Inc. 4.250%, 12/23/20		3,724		3,743
Federal-Mogul Corp. 4.750%, 4/15/21		4,250		4,261
Fitness International LLC 0.000%, 6/24/20⁽⁵⁾		3,069		3,062
Gates Global LLC 0.000%, 6/11/21⁽⁵⁾		2,815		2,809
General Nutrition Center 3.250%, 3/4/19		3,036		3,014
Golden Nugget, Inc.
5.500%, 11/21/19		1,045		1,067
Delayed Draw 5.500%, 11/21/19		448		457
Granite Broadcasting Corp. Tranche B, First Lien 6.750%, 5/23/18		838		838
Great Wolf Resorts Tranche B, 4.500%, 8/6/20		2,970		2,983
Harbor Freight Tools 4.750%, 7/26/19		1,478		1,491
Hilton Worldwide Finance LLC 3.500%, 10/26/20		10,355		10,350
Jason, Inc. 0.000%, 5/21/21⁽⁵⁾		1,253		1,259
KAR Auction Services, Inc. Tranche B-2, 3.500%, 3/11/21		2,601		2,601
Lands’ End, Inc. Tranche B, 4.250%, 4/4/21		3,724		3,725


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Laureate Education, Inc. 2018 Extended, 5.000%, 6/15/18⁽⁵⁾	$	5,517	$	5,407
Leslie’s Poolmart Tranche B, 4.250%, 10/16/19		5,267		5,280
Libbey Glass Co. 3.750%, 4/9/21		3,554		3,558
Liberty Cablevision of Puerto Rico LLC
Tranche B, First Lien, 6.000%, 6/9/17		970		978
Second Lien, 0.000%, 6/26/23⁽⁵⁾		236		238
Live Nation Entertainment Tranche B-1, 3.500%, 8/17/20		3,368		3,368
Marina District Finance Co., Inc. 6.750%, 8/15/18		3,358		3,406
MCC LLC (Mediacom Broadband Group)
Tranche H, 3.250%, 1/29/21		1,980		1,966
0.000%, 6/18/21⁽⁵⁾		2,342		2,344
0.000%, 6/30/21⁽⁵⁾		937		940
Media General, Inc. Tranche B, 4.250%, 7/31/20		4,638		4,665
Metaldyne LLC Tranche 2014, 4.250%, 12/18/18		1,463		1,474
MGM Resort International Tranche B 3.500%, 12/20/19		5,799		5,788
Michaels Stores, Inc.
0.000%, 1/28/20⁽⁵⁾		1,833		1,836
Tranche B, 3.750%, 1/28/20		3,960		3,954
Mohegan Tribal Gaming Authority Tranche B, 5.500%, 11/19/19		3,198		3,257
Neiman Marcus Group 4.250%, 10/25/20		3,980		3,977
Numericable SFR
Tranche B-1, 4.500%, 5/21/20		1,852		1,866
Tranche B-2, 4.500%, 5/21/20		1,605		1,617
Oceania Cruises Tranche B-1, 5.250%, 7/2/20		2,608		2,635
Peninsula Gaming LLC Tranche B, 4.250%, 11/20/17		910		913
Penn National Gaming, Inc. Tranche B, 3.250%, 10/30/20		2,985		2,983
Peppermill Casinos, Inc. Tranche B, 7.250%, 11/9/18		2,296		2,356
Pinnacle Entertainment, Inc. Tranche B-2, 3.750%, 8/13/20		4,825		4,842
PVH Corp. Tranche B 3.250%, 2/13/20		3,066		3,091
Radio One, Inc. Tranche 2011, 7.500%, 3/31/16		586		600
Remy International, Inc. Tranche B, 4.250%, 3/5/20		1,970		1,977
Schrader International
0.000%, 4/27/18⁽⁵⁾		913		925
0.000%, 4/27/18⁽⁵⁾		1,062		1,077


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Scientific Games International, Inc. 4.250%, 10/18/20	$	1,764	$	1,747
SEASAC, Inc. First Lien, 5.000%, 2/7/19		1,037		1,047
Seminole Hard Rock Entertainment, Inc. Tranche B, 3.500%, 5/14/20		956		956
Seminole Tribe of Florida 3.000%, 4/29/20		3,508		3,507
ServiceMaster Co. (The)
Tranche C, 4.250%, 1/31/17		3,051		3,053
Tranche B, 4.400%, 1/31/17		1,904		1,906
0.000%, 6/25/21⁽⁵⁾		5,870		5,871
Seven Seas Cruises S.R.L. Tranche B-2, 3.750%, 12/21/18		2,262		2,263
Shingle Springs Tribal Gaming Authority 6.250%, 8/29/19		1,716		1,776
Smart & Final Bank 0.000%, 11/15/19⁽⁵⁾		1,971		1,979
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		1,015		1,017
SRAM Corp. First Lien, 4.000%, 4/10/20		2,712		2,693
Station Casinos LLC Tranche B, 4.250%, 3/2/20		3,174		3,187
TI Group Auto Systems LLC 5.500%, 3/28/19		1,564		1,568
Tower Automotive Holding 4.000%, 4/23/20		2,436		2,433
Transtar Holding Co.
First Lien, 5.750%, 10/9/18		1,429		1,430
Second Lien, 10.000%, 10/9/19		460		458
Tribune Co. 4.000%, 12/27/20		7,388		7,413
TWCC Holding Corp. Second Lien, 7.000%, 6/26/20		3,524		3,499
U.S. Renal Care, Inc. Tranche B-2, First Lien, 4.250%, 7/3/19		2,930		2,943
UCI International, Inc. (United Components) 5.500%, 7/26/17		1,230		1,236
Univision Communications, Inc.
First Lien, 4.000%, 3/1/20		4,453		4,455
4.000%, 3/1/20		5,166		5,172
Virgin Media Investment Holdings Ltd. Tranche B, 3.500%, 6/7/20		3,847		3,840
WideOpenWest Finance LLC Tranche B, 4.750%, 4/1/19		2,083		2,092
Ziggo B.V.
Tranche B-2, 0.000%, 1/15/22⁽⁵⁾		901		892
Tranche B-3, 0.000%, 1/15/22⁽⁵⁾		1,482		1,467
Tranche B-1 3.250%, 1/15/22		1,398		1,384


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Zuffa LLC Initial Term 3.750%, 2/25/20	$	3,656	$	3,667

				290,844

Consumer Staples—4.9%
AdvancePierre Foods, Inc.
First Lien, 5.750%, 7/10/17		1,074		1,076
Second Lien, 9.500%, 10/10/17		1,035		1,005
ARAMARK Corp.
Tranche E, 3.250%, 9/7/19		4,446		4,421
Tranche F, 3.250%, 2/24/21		996		990
Crossmark Holdings, Inc.
First Lien, 4.500%, 12/20/19		2,998		2,998
Second Lien, 8.750%, 12/21/20		520		517
Darling International, Inc. Tranche B, 3.250%, 1/6/21		777		778
Del Monte Corp.
Big Heart Pet Brands 3.500%, 3/9/20		2,958		2,939
First Lien, 4.250%, 2/18/21		958		954
Dole Food Co., Inc. Tranche B, 4.500%, 11/1/18		1,977		1,983
Heinz (H.J.) Co. Tranche B-2, 3.500%, 6/5/20		14,161		14,283
New Hostess Brand Acquisition LLC Tranche B, 6.750%, 4/9/20		4,037		4,193
Reynolds Group Holdings, Inc. 4.000%, 11/30/18		2,022		2,028
Rite Aid Corp.
Tranche 7, 3.500%, 2/21/20		5,940		5,942
Tranche 1, Second Lien, 5.750%, 8/21/20		101		103
Tranche 2, 4.875%, 6/21/21		1,417		1,437
Shearer’s Foods 0.000%, 6/30/21⁽⁵⁾		1,875		1,882
Shearer’s Foods LLC 0.000%, 6/17/22⁽⁵⁾		1,500		1,517
Spectrum Brands, Inc. Tranche C, 3.500%, 9/4/19		1,985		1,989

				51,035

Energy—3.2%
Azure Midstream 6.500%, 11/15/18		2,344		2,369
Chief Exploration & Development LLC 0.000%, 5/16/21⁽⁵⁾		2,739		2,807
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		197		201
Fieldwood Energy LLC
3.875%, 9/28/18		858		861
Second Lien, 8.375%, 9/30/20		2,613		2,699
FTS International, Inc. 5.750%, 4/16/21		1,572		1,594
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		1,885		1,905


	PAR VALUE		VALUE
Energy—(continued)
MEG Energy Corp. 3.750%, 3/31/20	$	3,449	$	3,459
NGPL Pipeco LLC 6.750%, 9/15/17		1,049		1,052
Quicksilver Resources, Inc. Second Lien, 7.000%, 6/21/19		1,745		1,709
Sabine Oil & Gas LLC Second Lien, 8.750%, 12/31/18		1,290		1,316
Seadrill Operating LP (Seadrill Partners Finco LLC) Tranche B 0.000%, 2/21/21⁽⁵⁾		10,375		10,334
Templar Energy LLC Second Lien, 8.000%, 11/25/20		3,000		2,985

				33,291

Financials—7.1%
Altisource Solutions S.A R.L. Tranche B, 4.500%, 12/9/20		3,253		3,259
Asurion LLC
Tranche B-1, 5.000%, 5/24/19		3,200		3,224
4.250%, 7/8/20		1,485		1,486
Second Lien, 8.500%, 3/3/21		2,170		2,255
Capital Automotive LP
Tranche B-1, 4.000%, 4/10/19		1,528		1,535
Second Lien, 6.000%, 4/30/20		1,185		1,214
Clipper Acquisitions Corp. Tranche B, 3.000%, 2/6/20		999		993
Delos Finance S.A R.L. 3.500%, 3/6/21		3,301		3,305
GEO Group, Inc. (The) 3.250%, 4/3/20		3,960		3,969
Guggenheim Partners LLC 5.500%, 7/22/20		2,978		2,992
Home Loan Servicing Solutions Ltd. 4.500%, 6/26/20		3,960		3,990
iStar Financial, Inc. Tranche A-2, 7.000%, 3/19/17		417		432
National Financial Partners Tranche B, 5.250%, 7/1/20		3,443		3,468
Nuveen Investments, Inc.
Tranche B, First Lien 4.150%, 5/13/17		2,925		2,934
Tranche B, Second Lien, 6.500%, 2/28/19		4,292		4,341
Ocean Rig 0.000%, 3/31/21⁽⁵⁾		2,978		3,031
Realogy Corp.
Extended LOC, 0.000%, 10/10/16⁽⁵⁾		315		315
Tranche B, 3.750%, 3/5/20		7,471		7,480
RPI Finance Trust Tranche B-3, 3.250%, 11/9/18		1,297		1,300
Sam Finance LUX S.a.r.l 0.000%, 12/17/20⁽⁵⁾		2,867		2,879
Starwood Property Trust, Inc. 3.500%, 4/17/20		6,346		6,319
Trans Union LLC 4.000%, 4/9/21		5,280		5,290


	PAR VALUE		VALUE
Financials—(continued)
Walter Investment Management Corp. Tranche B 4.750%, 12/18/20	$	7,110	$	7,041

				73,052

Health Care—13.2%
Accellent, Inc. First Lien, 4.500%, 3/12/21		3,305		3,299
Akorn, Inc. Tranche B, 4.500%, 4/16/21		6,250		6,281
Alere, Inc. (IM US Holdings LLC) Tranche B, 5.500%, 6/30/17		2,604		2,615
American Renal Holdings, Inc.
Tranche B, First Lien, 4.500%, 8/20/19		2,510		2,515
Second Lien, 8.500%, 3/20/20		1,860		1,868
Amneal Pharmaceuticals LLC Tranche B, 5.750%, 11/1/19		2,481		2,499
Ardent Medical Services, Inc.
First Lien, 6.750%, 7/2/18		794		800
Second Lien, 11.000%, 1/2/19		268		270
BSN Medical GmbH & Co. KG Tranche B-1B 4.000%, 8/28/19		1,979		1,984
Capsugel Holdings U.S., Inc. 3.500%, 8/1/18		4,273		4,272
CHG Healthcare Services, Inc. First Lien, 4.250%, 11/19/19		2,092		2,105
Community Health Systems, Inc. (CHS)
3.478%, 1/25/17		889		892
Tranche D, 4.250%, 1/27/21		3,740		3,765
ConvaTec, Inc. 4.000%, 12/22/16		1,531		1,535
CRC Health Corp. Tranche B, First Lien, 5.250%, 3/29/21		1,357		1,373
Curo Health Services LLC first Lien, 5.750%, 6/8/20		952		944
Davita Healthcare Partners, Inc. Tranche B, 3.500%, 6/24/21		3,155		3,173
Drumm Investors LLC (Golden Living) 6.750%, 5/4/18		1,503		1,510
Emdeon, Inc. Tranche B-2, 3.750%, 11/2/18		3,048		3,058
Endo Luxembourg Finance S.a.r.l Tranche B, 3.250%, 3/1/21		923		923
Envision Healthcare Corp. (aka Emergency Medical Services Corp.) 4.000%, 5/25/18		3,693		3,707
Gentiva Health Services, Inc. Tranche B, 6.500%, 10/18/19		3,662		3,665
Grifols, Inc. Tranche B, 3.150%, 2/27/21		5,341		5,341
Healogics, Inc. 0.000%, 6/9/21⁽⁵⁾		1,407		1,412


	PAR VALUE		VALUE
Health Care—(continued)
Hologic, Inc. Tranche B 3.250%, 8/1/19	$	2,691	$	2,692
Iasis Healthcare LLC Tranche B-2, 4.500%, 5/3/18		1,997		2,007
IMS Health, Inc. Tranche B, 3.500%, 3/17/21		5,345		5,323
INC Research LLC 4.250%, 7/12/18		2,392		2,395
InVentiv Health, Inc. 7.500%, 8/4/16		1,177		1,185
Kinetic Concepts, Inc.
Tranche E-2, 3.500%, 11/4/16		940		941
Tranche E-1, 4.000%, 5/4/18		579		580
Mallinckrodt Pharmaceuticals Tranche B, 3.500%, 3/19/21		2,782		2,786
Medpace Holdings, Inc. 5.000%, 4/1/21		3,550		3,566
MMM Holdings, Inc. 9.750%, 12/12/17		426		430
MSO of Puerto Rico, Inc. 9.750%, 12/12/17		310		312
Multiplan, Inc. Tranche B-1, 0.000%, 3/31/21⁽⁵⁾		3,685		3,679
National Mentor Holdings, Inc. Tranche B, 4.750%, 1/31/21		753		759
National Surgical Hospitals, Inc. 0.000%, 7/11/19⁽⁵⁾		1,407		1,413
NBTY, Inc. Tranche B-2, 3.500%, 10/1/17		2,782		2,788
Ortho-Clinical Diagnostics, Inc. 0.000%, 6/30/21⁽⁵⁾		1,882		1,899
Par Pharmaceutical Tranche B-2, 4.000%, 9/30/19		1,745		1,745
Pharmaceutical Product Development, Inc. (Jaguar Holdings LLC) 4.000%, 12/5/18		1,970		1,978
PharMEDium Healthcare Corp.
First Lien, 4.250%, 1/28/21		3,696		3,699
Second Lien, 7.750%, 1/28/22		540		547
PRA Holdings, Inc. 4.500%, 9/23/20		2,978		2,968
Quintiles Transnational Corp. Tranche B-3, 3.750%, 6/8/18		4,561		4,568
Regional Care, Inc. (RCHP, Inc.) First Lien, 6.000%, 4/23/19		3,012		3,014
Rexam Healthcare LLC (Devix) 0.000%, 5/3/21⁽⁵⁾		1,886		1,893
Salix Pharmaceuticals Ltd. First Lien, 4.250%, 1/2/20		2,496		2,518
Sheridan Holdings, Inc.
First Lien, 4.500%, 6/29/18		4,027		4,033
Second Lien, 8.250%, 12/20/21		1,800		1,845
Surgery Center Holdings, Inc.
First Lien, 6.000%, 4/11/19		1,277		1,277
Second Lien, 9.750%, 4/11/20		1,800		1,836
Surgical Care Affiliates LLC Tranche C, 4.000%, 6/29/18		3,439		3,439
United Surgical Partners Tranche B 4.750%, 4/3/19		2,084		2,102


	PAR VALUE		VALUE
Health Care—(continued)
Valeant Pharmaceuticals International, Inc.
Series D2, Tranche B, 3.750%, 2/13/19	$	2,486	$	2,490
Series C2, Tranche B 3.750%, 12/11/19		3		3
3.750%, 8/5/20		4,586		4,589

				137,105

Industrials—13.0%
Acosta, Inc. Tranche B, 4.250%, 3/2/18		3,927		3,950
Air Canada 5.500%, 9/26/19		4,265		4,366
Alixpartners, LLP First Lien, 4.000%, 7/10/20		2,963		2,965
Allegion Tranche B, 3.000%, 9/25/20		2,985		2,991
Alliance Laundry Systems LLC
First Lien, 4.250%, 12/10/18		2,751		2,770
Second Lien, 9.500%, 12/10/19		110		112
Alliant Techsystems, Inc. Tranche B, 3.500%, 11/2/20		4,795		4,812
Alllied Security Holdings LLC
First Lien, 3.250%, 2/12/21		496		495
First Lien, 4.250%, 2/12/21		1,394		1,402
Second Lien, 3.500%, 8/13/21		259		261
Second Lien, 8.000%, 8/13/21		688		686
American Airlines, Inc. Tranche B, 3.750%, 6/27/19		7,579		7,604
AWAS Finance Luxembourg SA 3.500%, 7/16/18		1,024		1,027
Brand Energy & Infrastructure Services, Inc. 4.750%, 11/26/20		3,143		3,163
Brickman Group Holdings, Inc. First Lien, 4.000%, 12/18/20		3,869		3,837
Brock Holdings Ill, Inc.
First Lien, 6.000%, 3/16/17		809		811
Second Lien, 10.000%, 3/16/18		450		455
Ceridian Corp. 0.000%, 8/14/15⁽⁵⁾		4,659		4,675
CHG Healthcare Services, Inc. Second Lien, 9.000%, 11/19/20		379		387
Commercial Barge Line Co. First Lien, 7.500%, 9/22/19		2,677		2,697
CPI International ,Inc. 4.250%, 4/7/21		3,787		3,805
Doncasters Group Ltd. 4.500%, 4/9/20		3,139		3,156
DynCorp International, Inc. 6.250%, 7/7/16		657		660
Filtration Group Corp.
First Lien, 4.500%, 11/20/20		1,145		1,156
Second Lien, 8.250%, 11/22/21		2,075		2,128


	PAR VALUE		VALUE
Industrials—(continued)
Grede Holdings LLC 6.000%, 6/2/21	$	942	$	948
Harland Clarke Holdings Corp.
Tranche B-3, 7.000%, 5/22/18		2,182		2,223
Tranche B-4, 6.000%, 8/4/19		1,296		1,321
HD Supply, Inc. Term Loan 2014, 4.000%, 6/28/18		3,249		3,256
HHI Holdings LLC 0.000%, 10/5/18⁽⁵⁾		939		948
Husky Injection Molding Systems Ltd. (Yukon Acquisition, Inc.) 4.250%, 7/2/18		3,304		3,315
International Equipment Solutions Global B.V. 6.750%, 8/16/19		3,011		3,052
LM U.S. Member LLC (and LM U.S. Corp. Acquisition, Inc..)
0.000%, 10/25/19⁽⁵⁾		937		940
0.000%, 10/26/20⁽⁵⁾		970		980
Mcjunkin Red Man Corp. 5.000%, 11/8/19		1,548		1,560
Navistar, Inc. Tranche B, 5.750%, 8/17/17		1,319		1,347
Nortek, Inc. 3.750%, 10/30/20		3,979		3,991
OPE USIC Holdings, Inc. 0.000%, 7/10/20⁽⁵⁾		4,038		4,012
Ply Gem Industries, Inc. 4.000%, 2/1/21		937		932
Quikrete Co., Inc. First Lien, 4.000%, 9/28/20		3,970		3,981
Rexnord LLC Tranche B, 4.000%, 8/21/20		4,963		4,966
Sedgwick, Inc. First Lien, 3.750%, 3/1/21		7,880		7,775
Southwire Co. 4.750%, 2/10/21		1,303		1,303
Spin Holdco, Inc. First Lien, 4.250%, 11/14/19		5,935		5,953
Spirit Aerosystems, Inc. Tranche B, 3.250%, 9/15/20		3,896		3,891
TransDigm, Inc.
Tranche C, 3.750%, 2/28/20		7,944		7,930
Tranche D, 3.750%, 6/4/21		2,675		2,667
U.S. Airways, Inc. Tranche B-1, 3.500%, 5/23/19		2,979		2,982
Utex Industries, Inc. 5.000%, 5/21/21		1,595		1,617
Wencor Group 0.000%, 6/19/21⁽⁵⁾		1,875		1,886
WireCo Worldgroup, Inc. 6.000%, 2/15/17		438		441

				134,588

Information Technology—13.7%
Active Network, Inc. (Lanyon Solutions, Inc. First Lien, 0.000%, 11/13/20⁽⁵⁾		2,901		2,892
Alcatel-Lucent USA, Inc. 4.500%, 1/30/19		8,951		8,969
Allflex Holdings III, Inc.
First Lien, 4.250%, 7/17/20		4,963		4,975
Second Lien, 8.000%, 7/19/21		789		798
Applied Systems, Inc.


	PAR VALUE		VALUE
Information Technology—(continued)
4.250%, 1/25/21	$	593	$	596
Second Lien, 7.500%, 1/24/22		207		212
Avago Technologies 3.750%, 5/6/21		6,557		6,585
Blue Coat Systems, Inc.
4.000%, 5/31/19		2,995		3,002
Second Lien, 9.500%, 6/26/20		3,154		3,212
CCC Information Services 4.000%, 12/20/19		2,664		2,662
CDW LLC 3.250%, 4/29/20		8,257		8,182
Custom Sensors & Technologies 0.000%, 6/18/21⁽⁵⁾		609		614
Deltek, Inc.
First Lien, 4.500%, 10/10/18		2,302		2,320
Second Lien, 10.000%, 10/10/19⁽⁵⁾		2,629		2,690
Electronic Funds Source LLC 0.000%, 5/28/21⁽⁵⁾		4,235		4,285
Epicor Software Corp. Tranche B-2, 4.000%, 5/16/18		2,872		2,880
Excelitas Technologies Corp. Tranche B, 6.000%, 11/2/20		3,684		3,719
First Data Corp.
Tranche 2018, 4.154%, 3/23/18		6,100		6,118
Tranche 2021, 4.154%, 3/24/21		4,381		4,394
Freescale Semiconductor, Inc. Tranche B-4, 5.000%, 1/15/21		1,985		1,997
Genpact Ltd. 3.500%, 8/30/19		1,227		1,234
Go Daddy Operating Co. LLC 4.750%, 5/13/21		4,572		4,558
Infor (U.S.), Inc.
Tranche B-5, 3.750%, 6/3/20		3,623		3,604
Tranche B-3, 3.750%, 6/3/20		4,495		4,469
Information Resources, Inc. (Symphonyiri Group, Inc.) 5.000%, 9/30/20		1,114		1,124
Interactive Data Corp. 4.750%, 5/2/21		4,211		4,253
ION Trading Technologies S.a.r.l 4.250%, 6/10/21		1,127		1,134
IPC Systems, Inc. First Lien, 6.000%, 11/8/20⁽⁵⁾		1,912		1,920
Ipreo Holdings LLC Tranche B-4, 5.000%, 8/7/17		1,217		1,217
Kronos, Inc.
First Lien, 4.500%, 10/30/19		568		573
Second Lien, 9.750%, 4/30/20		4,320		4,509
Mitchell International, Inc.
4.500%, 10/13/20		3,194		3,213
Second Lien, 8.500%, 10/11/21		2,524		2,583
Moneygram International, Inc. 4.250%, 3/27/20		949		938
Novell, Inc. (Attachmate Corp.) First Lien, 0.000%, 11/22/17⁽⁵⁾		985		995


	PAR VALUE		VALUE
Information Technology—(continued)
Oberthur Technologies of America Corp. 4.500%, 10/18/19	$	2,985	$	3,006
Presidio, Inc. 5.000%, 3/31/17		2,124		2,138
Rovi Solutions Corp. 0.000%, 6/30/21⁽⁵⁾		973		975
RP Crown Parent LLC
First Lien, 6.000%, 12/21/18		2,229		2,233
Second Lien, 11.250%, 12/21/19		3,333		3,370
SCS Holdings I, Inc. (Sirius Computer Solutions, Inc.) 7.000%, 12/7/18		493		501
SkillSoft Corp.
0.000%, 4/28/21⁽⁵⁾		3,800		3,806
0.000%, 4/28/22⁽⁵⁾		2,515		2,501
Sophia LP Tranche B-1, 4.000%, 7/19/18		2,891		2,897
Spansion LLC 3.750%, 12/19/19		3,316		3,330
SRA International, Inc. 6.500%, 7/20/18		1,157		1,163
Sungard Availability Services Capital, Inc. Tranche B, 6.000%, 3/29/19		4,068		4,049
Vantiv LLC (Fifth Third Processing Solutions LLC) Tranche B, 3.750%, 6/13/21		857		866
Vision Solutions, Inc. First Lien, 6.000%, 7/23/16		2,103		2,103
Wall Street Systems, Inc. 4.500%, 4/30/21		928		931

				141,295

Materials—6.4%
American Builders & Contractors Supply Co., Inc. Tranche B, 3.500%, 4/16/20		5,955		5,947
Anchor Glass Container Corp. 0.000%, 5/16/21⁽⁵⁾		6,400		6,427
Ardagh Packaging Finance plc 4.000%, 12/17/19		876		879
Ardagh Packaging Finance plc 4.250%, 12/17/19		1,854		1,863
Avantor Performance Materials Holdings, Inc. 5.250%, 6/24/17		573		576
AZ Chem US, Inc. 7.500%, 6/11/21⁽⁵⁾		1,730		1,748
Berlin Packaging, Inc. First Lien, 4.750%, 4/2/19		2,475		2,496
Berry Plastics Groups, Inc.
Tranche D, 3.500%, 2/8/20		4,590		4,558
Tranche E, 3.750%, 1/6/21		2,029		2,025
CEMEX Espana S.A. Tranche A-1, 4.652%, 2/14/17		894		894
Distribution International, Inc. 7.500%, 7/16/19⁽⁶⁾		1,980		1,985
Essar Steel Algoma, Inc. (Algoma Steel, Inc.) 9.250%, 9/19/14		1,916		1,924
Fairmount Minerals Ltd. Tranche B-2, 4.500%, 9/5/19		1,075		1,087


	PAR VALUE		VALUE
Materials—(continued)
Fortescue Metals Group Ltd. (FMG Resources Ltd.) 3.750%, 6/28/19	$	4,972	$	4,981
Houghton International, Inc. Holding Corp. Second Lien, 9.500%, 12/21/20		630		646
Houghton International, Inc. Holding Corp. (HII Holding Corp.) First Lien, 4.000%, 12/20/19		1,675		1,678
Huntsman International LLC 0.000%, 10/15/20⁽⁵⁾		4,000		4,008
Ineos Group Holdings, Inc. 3.750%, 5/4/18		9,114		9,105
Minerals Technologies, Inc. 4.000%, 5/7/21		3,772		3,797
Noranda Aluminum Acquisition Corp. Tranche B, 5.750%, 2/28/19		2,258		2,179
Pro Mach, Inc. 4.500%, 7/6/17		1,429		1,438
Univar, Inc. Tranche B, 5.000%, 6/30/17		1,350		1,358
W.R. Grace & Co.
Delayed Draw, 1.000%, 2/3/21		1,247		1,247
3.000%, 2/3/21		3,484		3,482

				66,328

Telecommunication Services—4.6%
Cincinnati Bell, Inc. Tranche B, 4.000%, 9/10/20		3,226		3,231
Crown Castle Operating Co. Tranche B-2, 3.000%, 1/31/21		2,664		2,667
Global Tel*Link Corp.
First Lien, 5.000%, 5/22/20		1,847		1,842
Second Lien, 9.000%, 11/23/20		660		658
Hawaiian Telcom Communications, Inc. 5.000%, 6/6/19		1,975		1,989
Integra Telecom Holdings, Inc.
Tranche B, 5.250%, 2/22/19		1,178		1,187
Second Lien, 9.750%, 2/21/20		449		459
Intelsat Jackson Holdings S A. Tranche B-2, 3.750%, 6/30/19		2,838		2,847
Level 3 Financing, Inc.
Tranche B-III 2019, 4.000%, 8/1/19		3,875		3,886
Tranche B, 4.000%, 1/15/20		3,388		3,396
LTS Buyer LLC Tranche B First Lien, 4.000%, 4/13/20		1,980		1,979
SBA Communications Tranche B-1A, 3.250%, 3/24/21		3,786		3,770
Securus Technologies Holdings, Inc. Second Lien, 9.000%, 4/30/21		685		696
Securus Technologies Holdings, Inc. (Securus Technologies, Inc.) First Lien, 4.750%, 4/30/20		2,382		2,395


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Telesat Canada, Inc. Tranche B-2, 3.500%, 3/28/19	$	3,744	$	3,744
West Corp. Tranche B-10, 3.250%, 6/30/18		2,507		2,496
Windstream Corp. Tranche B-4, 3.500%, 1/23/20		3,220		3,220
XO Communications LLC 4.250%, 3/20/21		4,723		4,758
Zayo Group LLC 0.000%, 7/2/19⁽⁵⁾		2,671		2,678

				47,898

Utilities—3.7%
Atlantic Power LP 4.750%, 2/24/21		1,187		1,202
Calpine Construction Finance Co. LP
4.000%, 4/1/18		1,935		1,944
Tranche B-1, 3.000%, 5/3/20		5,112		5,028
Tranche B-2, 3.250%, 1/31/22		3,867		3,838
Energy Future Holdings 4.250%, 6/19/16		2,000		2,014
ExGen Renewables I LLC 5.250%, 2/6/21		1,059		1,082
InterGen N.V. 5.500%, 6/15/20		2,663		2,687
NRG Energy, Inc. 2.750%, 7/1/18		5,361		5,357
Raven Power Finance 6.500%, 12/19/20		2,050		2,057
Sapphire Power Tranche B, 7.250%, 7/10/18		1,980		2,000
Texas Competitive Electric Holdings Co. LLC
1.500%, 5/5/16⁽⁷⁾		2,449		2,466
3.750%, 5/5/16⁽⁷⁾		3,172		3,194
2017 Extended, 4.625%, 10/10/17⁽⁷⁾		6,006		4,930

				37,799

TOTAL LOAN AGREEMENTS (Identified Cost $1,007,307)				1,013,235

TOTAL LONG TERM INVESTMENTS—105.5% (Identified cost $1,082,992)				1,091,747

TOTAL INVESTMENTS—105.5% (Identified Cost $1,082,992)				1,091,747	⁽¹⁾
Other assets and liabilities, net—(5.5)%				(56,613	)

NET ASSETS—100.0%			$	1,035,134

Abbreviations:


PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2014, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2014.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, these securities amounted to a value of $41,840 or 4.0% of net assets.

⁽⁴⁾	100% of the income received was in cash.

⁽⁵⁾	This loan will settle after June 30, 2014, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁶⁾	Illiquid security.

⁽⁷⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

Foreign Currencies:

BRL	Brazilian Real


Country Weightings †
United States	92	%
Canada	2
Luxembourg	2
Netherlands	1
Singapore	1
United Kingdom	1
Other	1

Total	100	%

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 1 (quoted prices) or Level 3 (significant unobservable inputs) priced securities.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—99.9%
Consumer Discretionary—36.0%
Amazon.com, Inc.⁽²⁾		2,405	$	781
AMC Networks, Inc. Class A⁽²⁾		12,984		798
American Eagle Outfitters, Inc.		67,703		760
Apollo Group, Inc. Class A⁽²⁾		26,547		830
AutoNation, Inc.⁽²⁾		13,315		795
Buckle, Inc. (The)		17,258		766
Cabela’s, Inc.⁽²⁾		13,204		824
Cablevision Systems Corp. Class A		45,169		797
Carnival Corp.		19,983		752
CBS Corp. Class B		13,344		829
Choice Hotels International, Inc.		16,767		790
Columbia Sportswear Co.		9,376		775
Comcast Corp. Class A		15,019		806
Dick’s Sporting Goods, Inc.		17,583		819
Dillard’s, Inc. Class A		6,740		786
Discovery Communications, Inc. Class A⁽²⁾		10,569		785
DISH Network Corp. Class A⁽²⁾		12,595		820
DSW, Inc. Class A		28,106		785
Expedia, Inc.		10,114		797
Family Dollar Stores, Inc.		11,498		760
Federal-Mogul Corp.⁽²⁾		38,880		787
Fossil Group, Inc.⁽²⁾		7,484		782
Gap, Inc. (The)		18,825		783
Garmin Ltd.		13,101		798
Horton (D.R.), Inc.		33,344		820
Host Hotels & Resorts, Inc.		35,258		776
Hyatt Hotels Corp. Class A⁽²⁾		12,977		791
International Speedway Corp. Class A		24,321		809
L Brands, Inc.		13,557		795
Lands’ End, Inc.⁽²⁾⁽³⁾		23,622		793
Las Vegas Sands Corp.		10,482		799
Lennar Corp. Class A		19,431		816
Liberty Global plc Class A		19,310		817
Liberty Interactive Corp. Class A⁽²⁾		27,187		798
Liberty Media Corp. Class A⁽²⁾		5,889		805
Liberty Ventures Class A⁽²⁾		11,081		818
Madison Square Garden Co. (The)⁽²⁾		13,030		814
Marriott International, Inc.		12,345		791
Marriott Vacations Worldwide Corp.⁽²⁾		13,657		801
MGM Resorts International⁽²⁾		30,686		810
Mohawk Industries, Inc.⁽²⁾		5,897		816
Morningstar, Inc.		10,905		783


	SHARES		VALUE
Consumer Discretionary—(continued)
News Corp. Class A⁽²⁾		45,279	$	812
NIKE, Inc. Class B		10,440		810
Nordstrom, Inc.		11,635		790
Papa John’s International, Inc.		18,566		787
Penske Automotive Group, Inc.		16,498		817
Ralph Lauren Corp.		5,044		811
Sears Holdings Corp.⁽²⁾⁽³⁾		19,803		791
Sears Hometown and Outlet Stores, Inc.⁽²⁾		36,026		773
Starbucks Corp.		10,269		795
Starz - Liberty Capital Class A⁽²⁾		26,771		797
Tesla Motors, Inc.⁽²⁾		3,321		797
Twenty-First Century Fox, Inc. Class A		22,945		806
Under Armour, Inc. Class A⁽²⁾		13,460		801
Urban Outfitters, Inc.⁽²⁾		23,163		784
Viacom, Inc. Class B		9,225		800
Wendy’s Co. (The)		91,541		781
Wynn Resorts Ltd.		3,914		812

				47,021

Consumer Staples—4.8%
Boston Beer Co., Inc. (The) Class A⁽²⁾		3,541		791
Brown-Forman Corp. Class B		8,249		777
Estee Lauder Cos., Inc. (The) Class A		10,526		782
Harbinger Group, Inc.⁽²⁾		60,053		763
Lancaster Colony Corp.		8,372		797
Monster Beverage Corp.⁽²⁾		10,744		763
PriceSmart, Inc.		9,005		784
Tootsie Roll Industries, Inc.		27,426		807

				6,264

Energy—6.6%
Chesapeake Energy Corp.		25,134		781
Continental Resources, Inc.⁽²⁾		5,017		793
CVR Energy, Inc.⁽³⁾		15,556		750
Exterran Holdings, Inc.		17,422		784
Halcon Resources Corp⁽²⁾		112,793		822
Hess Corp.		8,003		791
RPC, Inc.		33,634		790
Talisman Energy, Inc.		72,946		773
Transocean Ltd.⁽³⁾		17,135		772
W&T Offshore, Inc.		47,880		784
Western Refining, Inc.		18,856		708

				8,548


	SHARES		VALUE
Financials—15.6%
Altisource Portfolio Solutions SA		6,689	$	766
American Financial Group, Inc.		13,236		788
Amtrust Financial Services, Inc.		18,447		771
Berkley (W.R.) Corp.		17,120		793
Berkshire Hathaway, Inc. Class B⁽²⁾		6,217		787
BOK Financial Corp.		12,057		803
Brown & Brown, Inc.		25,686		789
Charles Schwab Corp. (The)		28,860		777
CommonWealth REIT		28,501		750
Credit Acceptance Corp.⁽²⁾		6,340		781
Erie Indemnity Co. Class A		10,433		785
First Citizens BancShares, Inc. Class A		3,128		766
Franklin Resources, Inc.		13,554		784
Gaming and Leisure Properties, Inc.		23,827		809
Greenlight Capital Re Ltd. Class A		23,609		778
Hilltop Holdings, Inc.⁽²⁾		37,397		795
Howard Hughes Corp. (The)⁽²⁾		5,270		832
Leucadia National Corp.		29,730		780
Loews Corp.		18,057		795
Mercury General Corp.		16,854		793
Ocwen Financial Corp.⁽²⁾		20,497		760
Raymond James Financial, Inc.		15,493		786
Taubman Centers, Inc.		10,509		797
Vornado Realty Trust		7,406		790
Washington Prime Group, Inc.⁽²⁾		40,807		765
Wisdomtree Investments Inc⁽²⁾		64,257		794

				20,414

Health Care—5.5%
Akorn, Inc.⁽²⁾		26,464		880
Bruker Corp.⁽²⁾		32,993		801
Cerner Corp.⁽²⁾		15,237		786
Halozyme Therapeutics, Inc.⁽²⁾		77,159		762
Hologic, Inc.⁽²⁾		30,951		785
MannKind Corp.⁽²⁾⁽³⁾		73,350		806
Opko Health, Inc.⁽²⁾⁽³⁾		86,880		768
Pharmacyclics, Inc.⁽²⁾		8,783		788
Teva Pharmaceutical Industries Ltd.		14,965		784

				7,160

Industrials—10.3%
Air Lease Corp.		20,034		773
American Railcar Industries, Inc.		11,512		780
Cintas Corp.		12,461		792


	SHARES		VALUE
Industrials—(continued)
Colfax Corp.⁽²⁾		10,525	$	785
Covanta Holding Corp.		39,113		806
Danaher Corp.		9,801		772
FedEx Corp.		5,284		800
Grainger (W.W.), Inc.		3,031		771
Heartland Express, Inc.		36,385		776
Illinois Tool Works, Inc.		8,870		777
MasTec, Inc.⁽²⁾		25,483		785
MSC Industrial Direct Co., Inc. Class A		8,374		801
Navistar International Corp.⁽²⁾		20,957		786
Rollins, Inc.		26,148		784
Timken Co. (The)		11,664		791
Werner Enterprises, Inc.		29,953		794
XPO Logistics, Inc.⁽²⁾		28,840		825

				13,398

Information Technology—13.9%
Amkor Technology, Inc.⁽²⁾		70,810		792
Anixter International, Inc.		7,904		791
Broadcom Corp. Class A		20,798		772
eBay, Inc.⁽²⁾		15,956		799
EchoStar Corp. Class A⁽²⁾		15,030		796
Google, Inc. Class C⁽²⁾		1,395		802
IAC/InterActiveCorp.		11,346		785
Intuit, Inc.		9,883		796
Marvell Technology Group Ltd.		53,484		766
Mentor Graphics Corp.		36,209		781
National Instruments Corp.		24,811		804
Nuance Communications, Inc.⁽²⁾		40,367		758
Oracle Corp.		19,161		777
Paychex, Inc.		18,940		787
Pegasystems, Inc.		37,028		782
QUALCOMM, Inc.		9,913		785
Rackspace Hosting, Inc.⁽²⁾		21,208		714
RealPage, Inc.⁽²⁾		35,732		803
Salesforce.com, Inc.⁽²⁾		13,569		788
SS&C Technologies Holdings, Inc.⁽²⁾		17,667		781
Syntel Co.⁽²⁾		9,379		806
TeleTech Holdings, Inc.⁽²⁾		28,239		819
Yahoo!, Inc.⁽²⁾		23,426		823

				18,107

Materials—4.8%
Airgas, Inc.		7,255		790


	SHARES		VALUE
Materials—(continued)
Huntsman Corp.		28,482	$	800
LyondellBasell Industries N.V. Class A		7,818		763
NewMarket Corp.		2,027		795
Novagold Resources, Inc.⁽²⁾		184,611		777
Scotts Miracle-Gro Co. (The) Class A		13,763		783
Silgan Holdings, Inc.		15,740		800
Westlake Chemical Corp.		9,306		780

				6,288

Office REIT—0.6%
Boston Properties, Inc.		6,655		786

Residential REITs—1.2%
Equity Lifestyle Properties, Inc.		17,543		775
Equity Residential		12,719		801

				1,576

Retail REIT—0.6%
Simon Property Group, Inc.		4,726		786

TOTAL COMMON STOCKS (Identified Cost $117,111)				130,348

TOTAL LONG TERM INVESTMENTS—99.9% (Identified cost $117,111)				130,348

SHORT-TERM INVESTMENTS—0.7%
Money Market Mutual Funds—0.7%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.090%)		977,894		978

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $978)				978

SECURITIES LENDING COLLATERAL—3.5%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.060%)⁽⁴⁾		4,589,859		4,590

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $4,590)				4,590

TOTAL INVESTMENTS—104.1% (Identified Cost $122,679)				135,916	⁽¹⁾
Other assets and liabilities, net—(4.1)%				(5,329	)

NET ASSETS—100.0%			$	130,587

Abbreviations:


REIT		Real Estate Investment Trust

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2014 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

The following is a summary of significant accounting policies consistently followed by the Virtus Opportunities Trust, a trust consisting of 31 Funds (each a “Fund”), in the preparation of the Schedules of Investments.The preparation of the Schedules of Investments in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the Schedules of Investments. Actual results could differ from those estimates and those differences could be significant.

Security valuation procedures for the Trust, which include, nightly price variance, as well as back-testing such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees (the “Board” or the “Trustees”). All internally fair valued securities are approved by a valuation committee (“Valuation Committee”) appointed by the Board. The Valuation Committee is comprised of certain members of management as identified by the Board and convenes independently from portfolio management. All internally fair valued securities are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of any model inputs and any changes to the model. Fair valuations are reviewed by the Board at least quarterly.

The Funds utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels.

A description of the valuation techniques applied to the Funds major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded, or if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid or are internally fair valued by the valuation committee are generally categorized as Level 3 in the hierarchy.

Certain non - U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non - U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (generally, the close of the New York Stock Exchange “NYSE”) that may impact the value of securities traded in these non - U.S. markets. In such cases the Fund fair values non - U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non - U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, Financial Futures, Exchange Traded Funds, and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non - U.S. common stocks may occur on a frequent basis.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing which considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments such as Mortgage-Backed and Asset-Backed Securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and is generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the valuation committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter (OTC) derivative contracts, which include forward currency contracts and equity linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at NAV. Investment in close-end mutual funds are valued as of the close of regular trading on the NYSE, generally 4 pm Eastern time, each business day. Both are categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Funds’ net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Funds own the following internally fair valued securities and which are categorized as Level 3 in the hierarchy.

The significant unobservable inputs used in the fair value measurement of these corporate bonds are based on comparable liquid assets adjusted for accretion/amortization rate, current yield, current swap rates, and discount rates related to differences in capital structure and liquidity.

Significant changes in any of these inputs in isolation would result in a significantly lower or higher fair value measurement. Generally, a change in the observable market assumptions would have direct impacts to the discount rates used related to capital structure and/or liquidity discounts.

Disclosures on derivative Instruments and hedging activities are intended to improve financial reporting for derivative instruments by enhanced disclosure that enables investors to understand how and why a fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a fund’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Funds.

Certain Funds may invest in options contracts. An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. Certain Funds may purchase or write both put and call options on portfolio securities. The

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund may use options contracts to hedge against changes in the values of equities. When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments.

The risk in writing call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value.

Warrants and Rights: Certain Funds hold warrants and rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Fund until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Certain Funds may loan securities to qualified brokers through an agreement with Brown Brothers Harriman (“BBH”), as a third party lending agent. Under the terms of agreement, a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged by BBH for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.

At June 30, 2014, the following Funds had securities on loan (reported in thousands):

Certain Funds may sell securities short. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, a Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Fund.

In accordance with the terms of its prime brokerage agreement, the Dynamic AlphaSector^® Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.

In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Fund’s ability to repatriate such amounts.

High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the adviser and/or subadviser to accurately predict risk.

Many municipalities insure repayment for their obligations. Although bond insurance reduces the risk of loss due to default by an issuer, such bonds remain subject to the risk that the market may fluctuate for other reasons, and there is no assurance that the insurance company will meet its obligations. Insured securities have been identified in the Schedule of Investments. A real or perceived decline in creditworthiness of a bond insurer can have an adverse impact on the value of insured bonds held in the Funds.

Certain Funds may invest a high percentage of their assets in specific sectors of the market in their pursuit of a greater investment return. Fluctuations in these sectors of concentration may have a greater impact on a Fund, positive or negative, than if a Fund did not concentrate its investments in such sectors.

Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by a Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such within each Fund’s Schedule of Investments where applicable. However, a portion of such footnoted securities could be liquid where the Subadviser determines that some, though not all of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund.

Restricted securities are illiquid securities as defined above, not registered under the Securities Act of 1933 as amended (the “1933 Act”). Generally144A securities are excluded from this category, except where defined as illiquid.

Each Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.

At June 30, 2014, the Funds did hold any securities that were both illiquid and restricted.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

At June 30, 2014, the Funds did not hold any securities that are both illiquid and restricted.

At June 30, 2014, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the f were as follows:

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Management has evaluated the impact of all subsequent events on the Funds through the date the Schedules of Investments (“N-Q”) were available for filing, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


Investments in Securities	Corporate Bonds And Notes
Balance as of September 30, 2013:	$	10	^(d)
Accrued discount/(premium)		—	^(c)
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		—	^(c)
Purchases		—
Sales^(b)		(2	)
Transfers into Level 3 ^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of June 30, 2014	$	8	^(d)


	Total Value at June 30, 2014		Level 2 Significant Observable Inputs
Debt Securities:
Municipal Tax-Exempt Bonds	$	32,732	$	32,732

Total Investments	$	32,732	$	32,732


	Total Value at June 30, 2014		Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	793,914	$	793,914
Short-Term Investments		3,256		3,256

Total Investments	$	797,170	$	797,170


	Total Value at		Level 1
	June 30, 2014		Quoted Prices
Equity Securities:
Affiliated Mutual Funds	$	120,991	$	120,991
Exchange-Traded Funds		41,103		41,103
Short-Term Investments		462		462

Total Investments	$	162,556	$	162,556


	Total Value at June 30, 2014		Level 1 Quoted Prices
Equity Securities:
Common Stocks	$	23,914	$	23,914
Short-Term Investments		974		974

Total Investments	$	24,888	$	24,888


	Total Value at June 30, 2014		Level 1 Quoted Prices		Level 2 Significant Observable Inputs
Equity Securities:
Common Stocks	$	18,023	$	18,019	$	4
Short-Term Investments		1,334		1,334		—

Total Investments	$	19,357	$	19,353	$	4


Investments in Securities	Rights
Balance as of September 30, 2013:	$	18
Accrued discount/(premium)		—
Realized gain (loss)		18
Change in unrealized appreciation (depreciation)		(18	)
Purchases		—
Sales		(18	)
Transfers into Level 3 ^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of June 30, 2014	$	—


	Total Value at June 30, 2014		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Asset-Backed Securities	$	12,816	$	—	$	12,816	$	—
Corporate Bonds		208,431		—		208,431		—
Foreign Government Securities		39,310		—		39,310		—
Loan Agreements		48,170		—		48,170		—
Mortgage-Backed Securities		32,729		—		32,729		—
Municipal Bonds		2,242		—		2,242		—
Equity Securities:
Common Stocks		21		—		—		21
Exchange-Traded Funds		1,859		1,859		—		—
Preferred Stock		13,124		4,034		9,090		—
Short-Term Investments		5,700		5,700		—		—

Total Investments	$	364,402	$	11,593	$	352,788	$	21


Investments in Securities	Total			Asset-Backed Securities			Common Stocks
Balance as of September 30, 2013:	$	691		$	673		$	18
Accrued discount/(premium)		—			—			—
Realized gain (loss)		13			13			—
Change in unrealized appreciation (depreciation)		8			5			3
Purchases		—			—			—
Sales^(b)		(691	)		(691	)		—
Transfers into Level 3^(a)		—			—			—
Transfers from Level 3^(a)		—			—			—

Balance as of June 30, 2014	$	21		$	0		$	21


Bond Fund		United Artists Theatre Circuit, Inc.
High Yield Fund		United Artists Theatre Circuit, Inc.


Fund	Market value		Collateral
AlphaSector^® Rotation Fund	$	2,421	$	2,453
Foreign Opportunities Fund		72,936		76,299
Global Opportunities Fund		1,423		1,479
Premium AlphaSector^® Fund		21,132		21,408
Wealth Masters Fund		4,624		4,590


Fund	Federal Tax Cost			Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Allocator Premium AlphaSector^® Fund	$	736,550		$	61,314	$	(694	)	$	60,620
AlphaSector^® Rotation Fund		760,282			138,189		(1,597	)		136,592
Alternatives Diversifier Fund		163,136			23,782		(24,362	)		(580	)
Bond Fund		77,805			2,832		(776	)		2,056
CA Tax-Exempt Bond		30,527			2,500		(295	)		2,205
Disciplined Equity Style Fund		2,122			10		—			10
Disciplined Select Bond Fund		1,051			9		—			9
Disciplined Select Country Fund		1,336			147		—			147
Dynamic AlphaSector^® Fund (Long positions)		3,246,793			374,463		(9,101	)		365,362
Dynamic AlphaSector^® Fund (Short positions)		(149,144	)		—		(7,261	)		(7,261	)
Emerging Markets Debt Fund		33,141			846		(805	)		41
Emerging Markets Equity Income Fund		78,711			6,306		(1,991	)		4,315
Emerging Markets Small-Cap Fund		3,642			307		(177	)		130
Foreign Opportunities Fund		1,569,795			480,109		(15,049	)		465,060
Global Commodities Stock Fund		21,407			3,927		(446	)		3,481
Global Dividend Fund		112,909			36,492		(1,342	)		35,150
Global Opportunities Fund		94,412			31,165		(1,075	)		30,090
Global Premium AlphaSector^® Fund		214,041			22,753		(343	)		22,410
Global Real Estate Securities Fund		44,172			7,575		(181	)		7,394
Greater European Opportunities Fund		15,932			3,531		(106	)		3,425
Herzfeld Fund		18,182			1,147		(63	)		1,084
High Yield Fund		84,470			3,824		(247	)		3,577
International Equity Fund		9,435			952		(111	)		841
International Real Estate Securities Fund		41,379			7,441		(247	)		7,194
International Small-Cap Fund		48,839			6,064		(952	)		5,112
Low Volatility Equity Fund
Investments		1,844			292		—			292
Written Options		(1	)		1		—			1
Multi-Sector Intermediate Fund		353,821			14,755		(4,174	)		10,581
Multi-Sector Short Term Bond Fund		8,753,169			241,715		(47,541	)		194,174
Premium AlphaSector^® Fund		7,006,234			1,019,563		(25,834	)		993,729
Real Estate Securities Fund		996,719			551,315		(4,464	)		546,851
Senior Floating Rate Fund		1,083,023			10,470		(1,746	)		8,724
Wealth Masters Fund		125,218			12,611		(1,913	)		10,698



By (Signature and Title)*		/s/ *George R. Aylward*
		George R. Aylward, President
		(principal executive officer)


By (Signature and Title)*		/s/ *W. Patrick Bradley*
		W. Patrick Bradley, Senior Vice President, Chief Financial Officer, and Treasurer
		(principal financial officer)

This ‘N-Q’ Filing	Date	Other Filings

Filed on / Effective on:	8/28/14
For Period End:	6/30/14	N-PX
	9/30/13	24F-2NT, N-CSR, NSAR-B
		List all Filings

TOTAL INVESTMENTS—102.1%

(Identified Cost $15,763)

19,357

Other assets and liabilities, net—(2.1)%

NET ASSETS—100.0%

18,960