NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 118.3%
COMMON STOCKS - 118.0%
CONSUMER DISCRETIONARY - 13.3%
16,142 Amazon.Com, Inc. (a) (b) $ 1,150,924
64,319 Best Buy Co., Inc. (b) 2,666,666
146,821 Big Lots, Inc. (a)(b) 3,274,108
121,122 DIRECTV Group, Inc. (a)(b) 3,002,614
28,082 Expedia, Inc. (a)(b) 614,715
543,329 Ford Motor Co. (a)(b) 3,107,842
29,053 Gap, Inc. (b) 571,763
35,253 Hasbro, Inc. (b) 983,559
285,201 Interpublic Group of Companies, Inc. (a)(b) 2,398,540
100,410 Newell Rubbermaid, Inc. (b) 2,296,377
11,527 Office Depot, Inc. (a)(b) 127,373
22,708 OfficeMax, Inc. (b) 434,631
95,538 Snap-On, Inc. (b) 4,858,107
353,584 Time Warner, Inc. (b) 4,957,248
46,827 VF Corp. (b) 3,629,561
140,149 Walt Disney Co. (The) (b) 4,397,876
4,064 Wendy's International, Inc. (b) 93,716
54,001 Wyndham Worldwide Corp. 1,116,741
--------------
39,682,361
--------------
CONSUMER STAPLES - 12.8%
63,119 Altria Group, Inc. (b) 1,401,242
86,806 Archer-Daniels-Midland Co. (b) 3,572,935
136,416 Coca-Cola Enterprises, Inc. (b) 3,301,267
76,588 Constellation Brands, Inc. - Class A (a)(b) 1,353,310
54,140 Costco Wholesale Corp. (b) 3,517,476
97,014 Dean Foods Co. (a)(b) 1,949,011
188,358 Kroger Co. (b) 4,784,293
16,097 Molson Coors Brewing Co. - Class B (b) 846,220
63,119 Philip Morris International, Inc. (a) 3,192,559
44,398 Procter & Gamble Co. (b) 3,110,968
212,808 SYSCO Corp. (b) 6,175,688
172,799 Tyson Foods, Inc. - Class A (b) 2,756,144
40,150 Wal-Mart Stores, Inc. 2,115,102
--------------
38,076,215
--------------
ENERGY - 13.3%
5,747 Baker Hughes, Inc. (b) 393,669
109,787 Chevron Corp. (b) 9,371,418
7,786 ConocoPhillips (b) 593,371
4,806 Devon Energy Corp. (b) 501,410
187,232 Exxon Mobil Corp. 15,836,083
108,276 Halliburton Co. (b) 4,258,495
53,855 Marathon Oil Corp. (b) 2,455,788
7,941 Murphy Oil Corp. (b) 652,274
2,183 National Oilwell Varco, Inc. (a)(b) 127,443
12,723 Occidental Petroleum Corp. (b) 930,942
9,228 Schlumberger Ltd. (Netherlands Antilles) (b) 802,836
2,725 Transocean, Inc. (Cayman Islands) (a)(b) 368,420
9,866 Weatherford International Ltd. (Bermuda) (a)(b) 714,989
79,820 Williams Cos., Inc. 2,632,464
--------------
39,639,602
--------------
FINANCIALS - 17.1%
78,109 ACE Ltd. (Cayman Islands) (b) 4,300,682
31,812 American Express Co. (b) 1,390,821
20,654 American International Group, Inc. (b) 893,285
11,450 Ameriprise Financial, Inc. (b) 593,682
21,682 AvalonBay Communities, Inc., REIT (b) 2,092,747
116,332 Bank of New York Mellon Corp. (b) 4,854,534
46 Boston Properties, Inc., REIT (b) 4,235
42,877 Capital One Financial Corp. (b) 2,110,406
57,205 CB Richard Ellis Group, Inc. - Class A (a)(b) 1,237,916
227,305 Charles Schwab Corp. (b) 4,280,153
32,474 Cincinnati Financial Corp. (b) 1,235,311
246 CME Group, Inc. (b) 115,399
20,752 Franklin Resources, Inc. (b) 2,012,736
106,148 Host Hotels & Resorts, Inc., REIT (b) 1,689,876
48,584 Janus Capital Group, Inc. (b) 1,130,550
146,704 JPMorgan Chase & Co. (b) 6,300,937
37,881 Loews Corp. (b) 1,523,574
64,560 MetLife, Inc. (b) 3,890,386
57,919 Northern Trust Corp. (b) 3,849,876
14,147 NYSE Euronext (b) 873,011
11,914 State Street Corp. (b) 941,206
29,998 T Rowe Price Group, Inc. (b) 1,499,900
89,112 Travelers Co., Inc. (b) 4,264,009
--------------
51,085,232
--------------
HEALTH CARE - 14.4%
105,782 AmerisourceBergen Corp. (b) 4,334,946
73,938 Amgen, Inc. (a)(b) 3,089,130
85,616 Baxter International, Inc. (b) 4,950,317
17,698 Bristol-Myers Squibb Co. (b) 376,968
106,289 Cardinal Health, Inc. (b) 5,581,235
44,597 Cigna Corp. (b) 1,809,300
20,884 Genzyme Corp. (a)(b) 1,556,693
26,649 Humana, Inc. (a)(b) 1,195,474
11,076 Johnson & Johnson (b) 718,500
97,090 McKesson Corp. (b) 5,084,603
105,563 Medco Health Solutions, Inc. (a)(b) 4,622,604
63,266 PerkinElmer, Inc. (b) 1,534,201
163,489 Pfizer, Inc. (b) 3,421,825
57,177 Stryker Corp. (b) 3,719,364
151,404 Tenet Healthcare Corp. (a)(b) 856,947
--------------
42,852,107
--------------
INDUSTRIALS - 16.0%
88,491 Boeing Co. (b) 6,581,076
3,805 C.H. Robinson Worldwide, Inc. (b) 206,992
22,090 CSX Corp. (b) 1,238,586
28,010 FedEx Corp. (b) 2,595,687
16,002 Fluor Corp. (b) 2,258,842
393,624 General Electric Co. (b) 14,568,024
12,262 Honeywell International, Inc. (b) 691,822
44,560 Jacobs Engineering Group, Inc. (a)(b) 3,279,170
20,204 Lockheed Martin Corp. (b) 2,006,257
576 Masco Corp. (b) 11,422
28,792 Parker Hannifin Corp. (b) 1,994,422
70,051 Raytheon Co. (b) 4,525,995
51,485 RR Donnelley & Sons Co. (b) 1,560,510
2,568 Ryder System, Inc. (b) 156,417
60,372 Southwest Airlines Co. (b) 748,613
28,460 Union Pacific Corp. (b) 3,568,315
20,661 WW Grainger, Inc. (b) 1,578,294
--------------
47,570,444
--------------
INFORMATION TECHNOLOGY - 16.1%
19,864 Agilent Technologies, Inc. (a)(b) 592,543
14,772 BMC Software, Inc. (a)(b) 480,385
110,451 Computer Sciences Corp. (a)(b) 4,505,296
63,594 Convergys Corp. (a)(b) 957,726
60,290 Corning, Inc. (b) 1,449,372
36,282 eBay, Inc. (a)(b) 1,082,655
175,553 Electronic Data Systems Corp. (b) 2,922,957
249 Google, Inc. - Class A (a)(b) 109,677
173,952 Hewlett-Packard Co. (b) 7,942,648
108,301 Jabil Circuit, Inc. (b) 1,024,528
8,987 Micron Technology, Inc. (a)(b) 53,652
266,695 Microsoft Corp. (b) 7,568,804
28,529 Molex, Inc. (b) 660,732
252,725 Motorola, Inc. (b) 2,350,343
108,082 Novell, Inc. (a)(b) 679,836
45,123 NVIDIA Corp. (a)(b) 892,984
280,165 Sun Microsystems, Inc. (a)(b) 4,350,963
177,983 Texas Instruments, Inc. (b) 5,031,579
297,211 Unisys Corp. (a)(b) 1,316,645
68,021 Western Union Co. 1,446,807
147,785 Xerox Corp. 2,212,341
12,868 Yahoo!, Inc. (a) 372,271
--------------
48,004,744
--------------
MATERIALS - 6.1%
12,533 Alcoa, Inc. (b) 451,940
108,152 Ashland, Inc. (b) 5,115,590
57,562 Du Pont (E.I.) de Nemours and Co. (b) 2,691,599
28,029 Ecolab, Inc. (b) 1,217,299
13,764 Hercules, Inc. (b) 251,744
54,509 International Paper Co. (b) 1,482,645
30,227 Newmont Mining Corp. (b) 1,369,283
19,011 Nucor Corp. (b) 1,287,805
42,320 Pactiv Corp. (a)(b) 1,109,207
28,258 PPG Industries, Inc. (b) 1,709,892
31,856 Sealed Air Corp. (b) 804,364
13,387 Titanium Metals Corp. (b) 201,474
6,597 Vulcan Materials Co. (b) 438,041
--------------
18,130,883
--------------
TELECOMMUNICATIONS - 6.1%
72,308 American Tower Corp. - Class A (a)(b) 2,835,197
301,974 AT&T, Inc. (b) 11,565,604
105,025 Verizon Communications, Inc. (b) 3,828,161
--------------
18,228,962
--------------
UTILITIES - 2.8%
58,010 AES Corp. (a)(b) 967,027
15,290 Dominion Resources, Inc. (b) 624,444
357,070 Dynegy, Inc. - Class A (a)(b) 2,817,282
108,998 PG&E Corp. (b) 4,013,306
--------------
8,422,059
--------------
TOTAL COMMON STOCKS - 118.0%
(Cost $398,278,755) 351,692,609
--------------
TRACKING STOCKS - 0.3%
HEALTH CARE - 0.3%
22,255 Applera Corp - Applied Biosystems Group (b)
(Cost $748,008) 731,299
--------------
TOTAL LONG-TERM INVESTMENTS - 118.3%
(Cost $399,026,763) 352,423,908
--------------
PRINCIPAL AMOUNT VALUE
------------------- --------------
SHORT-TERM INVESTMENTS - 9.1%
U.S. GOVERNMENT SECURITIES - 9.1%
$ 27,250,000 U.S. Treasury Bill
yielding 2.89%, 6/05/08 maturity (b)
(Cost $27,109,894) 27,187,271
--------------
TOTAL INVESTMENTS - 127.4%
(Cost $426,136,657) 379,611,179
Securities Sold Short - (26.8%)
(Proceeds $85,258,417) (79,935,103)
Total Value of Options Written
(Premiums received $5,683,266) - (1.5%) (4,469,375)
Other Assets less Liabilities - 0.9% 2,839,836
--------------
NET ASSETS - 100.0% $ 298,046,537
==============
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------------
SECURITIES SOLD SHORT - 26.8%
COMMON STOCKS - 26.8%
CONSUMER DISCRETIONARY - 7.7%
15,360 Abercrombie & Fitch Co. - Class A $ 1,123,430
3,012 Apollo Group, Inc. - Class A 130,118
10,054 Black & Decker Corp. 664,569
7,090 Carnival Corp. (Panama) 287,003
78,920 CBS Corp. - Class B 1,742,554
27,318 Centex Corp. 661,369
302,067 Circuit City Stores, Inc. 1,202,227
39,756 Clear Channel Communications, Inc. 1,161,670
50,808 DR Horton, Inc. 800,226
22,819 EW Scripps Co. - Class A 958,626
29,520 Fortune Brands, Inc. 2,051,640
21,692 GameStop Corp. - Class A 1,121,693
53,977 Gannett Co., Inc. 1,568,032
52,700 Harley-Davidson, Inc. 1,976,250
15,222 Home Depot, Inc. 425,759
65,595 JC Penney Co., Inc. 2,473,588
52,939 KB Home 1,309,182
20,315 Lennar Corp. - Class A 382,125
23,124 Lowe's Cos., Inc. 530,465
27,192 Pulte Homes, Inc. 395,644
45,931 Tiffany & Co. 1,921,753
--------------
22,887,923
--------------
CONSUMER STAPLES - 2.6%
12,036 Clorox Co. 681,719
88,908 Hershey Co. 3,349,164
3,509 Kimberly-Clark Corp. 226,506
1,587 Whole Foods Market, Inc. 52,324
55,969 Wrigley (Wm) Jr. Co. 3,517,092
--------------
7,826,805
--------------
ENERGY - 1.4%
15,131 Consol Energy, Inc. 1,046,914
18,770 Peabody Energy Corp. 957,270
20,566 Range Resources Corp. 1,304,913
14,041 XTO Energy, Inc. 868,576
--------------
4,177,673
--------------
FINANCIALS - 2.9%
22,589 Fannie Mae 594,542
32,729 Freddie Mac 828,698
6,622 Goldman Sachs Group, Inc. 1,095,213
27,786 Huntington Bancshares, Inc. 298,700
88,850 Leucadia National Corp. 4,017,797
18,372 Merrill Lynch & Co., Inc. 748,475
7,854 Toronto-Dominion Bank (Canada) 481,872
22,413 XL Capital Ltd. (Cayman Islands) 662,304
--------------
8,727,601
--------------
HEALTH CARE - 3.0%
26,232 Boston Scientific Corp. 337,606
14,882 Celgene Corp. 912,118
35,190 King Pharmaceuticals, Inc. 306,153
24,191 Millipore Corp. 1,630,715
281,643 Mylan, Inc. 3,267,059
16,738 Quest Diagnostics, Inc. 757,729
42,985 Schering-Plough Corp. 619,414
19,347 Waters Corp. 1,077,628
--------------
8,908,422
--------------
INDUSTRIALS - 1.1%
17,468 Allied Waste Industries, Inc. 188,829
6,491 L-3 Communications Holdings, Inc. 709,726
18,966 PACCAR, Inc. 853,470
43,007 Pitney Bowes, Inc. 1,506,105
337 Precision Castparts Corp. 34,401
--------------
3,292,531
--------------
INFORMATION TECHNOLOGY - 4.3%
19,176 Altera Corp. 353,414
70,287 Fidelity National Information Services, Inc. 2,680,746
15,979 Fiserv, Inc. 768,430
37,582 Linear Technology Corp. 1,153,392
53,992 Microchip Technology, Inc. 1,767,158
129,050 Paychex, Inc. 4,421,253
48,292 SanDisk Corp. 1,089,950
126,968 Tellabs, Inc. 691,976
--------------
12,926,319
--------------
MATERIALS - 1.1%
127,500 Bemis Co., Inc. 3,242,325
--------------
TELECOMMUNICATIONS - 2.2%
18,438 CenturyTel, Inc. 612,879
277,728 Citizens Communications Co. 2,913,367
252,018 Windstream Corp. 3,011,615
--------------
6,537,861
--------------
UTILITIES - 0.5%
3,743 Entergy Corp. 408,286
21,763 PPL Corp. 999,357
--------------
1,407,643
--------------
TOTAL SECURITIES SOLD SHORT - 26.8 %
(Proceeds $85,258,417) $ 79,935,103
==============
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