NUMBER
OF SHARES DESCRIPTION VALUE
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LONG-TERM INVESTMENTS - 92.8%
COMMON STOCKS - 92.8%
CONSUMER DISCRETIONARY - 12.8%
17,000 Amazon.Com, Inc. (a) $ 1,373,770
45,100 Best Buy Co., Inc. 2,019,127
32,500 McDonald's Corp. 2,015,000
39,000 MGM Mirage (a) 1,372,410
10,000 Nike, Inc. - Class B 606,100
54,200 Nordstrom, Inc. 1,685,620
44,100 Target Corp. 2,338,182
44,800 Walt Disney Co. (The) 1,449,280
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12,859,489
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CONSUMER STAPLES - 7.8%
18,000 Coca-Cola Co. (The) 937,260
35,400 CVS Caremark Corp. 1,295,640
32,300 PepsiCo, Inc. 2,211,904
20,700 Philip Morris International, Inc. 1,111,590
33,800 Procter & Gamble Co. 2,358,226
-------------
7,914,620
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ENERGY - 8.0%
8,500 Apache Corp. 972,230
21,300 Chevron Corp. 1,838,616
23,000 Schlumberger Ltd. (Netherlands) 2,167,060
20,500 Valero Energy Corp. 712,580
76,200 Williams Cos., Inc. 2,353,818
-------------
8,044,304
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FINANCIALS - 14.2%
27,500 Aflac, Inc. 1,559,250
11,700 American International Group, Inc. 251,433
42,600 Bank of America Corp. 1,326,564
80,200 Charles Schwab Corp. (The) 1,923,998
6,000 Goldman Sachs Group, Inc. 983,820
47,000 JPMorgan Chase & Co. 1,809,030
39,600 Lehman Brothers Holdings, Inc. 637,164
20,400 T Rowe Price Group, Inc. 1,210,944
76,000 US Bancorp 2,421,360
21,900 Wachovia Corp. 347,991
64,100 Wells Fargo & Co. 1,940,307
-------------
14,411,861
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HEALTH CARE - 4.8%
48,100 Coventry Health Care, Inc. (a) 1,684,462
32,100 Gilead Sciences, Inc. (a) 1,691,028
20,600 Johnson & Johnson 1,450,858
-------------
4,826,348
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INDUSTRIALS - 16.1%
17,900 Boeing Co. 1,173,524
26,400 Caterpillar, Inc. 1,867,272
34,700 Deere & Co. 2,448,779
44,100 Emerson Electric Co. 2,063,880
65,000 General Electric Co. 1,826,500
49,700 Honeywell International, Inc. 2,493,449
31,100 Rockwell Collins, Inc. 1,635,549
9,400 Sunpower Corp. - Class A (a) 916,970
28,100 United Technologies Corp. 1,843,079
-------------
16,269,002
-------------
INFORMATION TECHNOLOGY - 22.6%
51,500 Adobe Systems, Inc. (a) 2,205,745
13,200 Apple, Inc. (a) 2,237,796
81,700 Cisco Systems, Inc. (a) 1,964,885
62,400 Corning, Inc. 1,281,696
27,000 eBay, Inc. (a) 673,110
114,300 EMC Corp. (a) 1,746,504
3,400 Google, Inc. - Class A (a) 1,575,186
34,900 Hewlett-Packard Co. 1,637,508
85,800 Intel Corp. 1,962,246
12,900 International Business Machines Corp. 1,570,317
40,900 MEMC Electronic Materials, Inc. (a) 2,007,781
50,000 Microsoft Corp. 1,364,500
83,100 Oracle Corp. (a) 1,822,383
15,600 Qualcomm, Inc. 821,340
-------------
22,870,997
-------------
MATERIALS - 2.5%
13,000 Freeport-McMoRan Copper & Gold, Inc. - Class B 1,161,160
11,600 Monsanto Co. 1,325,300
-------------
2,486,460
-------------
TELECOMMUNICATION SERVICES - 4.0%
94,500 AT&T, Inc. 3,023,055
27,800 Verizon Communications, Inc. 976,336
-------------
3,999,391
-------------
TOTAL LONG-TERM INVESTMENTS - 92.8%
(Cost $104,915,746) 93,682,472
-------------
SHORT-TERM INVESTMENTS - 1.3%
MONEY MARKET FUND - 1.3%
1,264,274 Fidelity U.S. Treasury Money Market Fund
(Cost $1,264,274) 1,264,274
-------------
EXPIRATION
NUMBER OF NOTES DATE
------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES - 6.5%
FINANCIALS - 6.5%
3,000 Goldman Sachs XLV, Note
Linked to Health Care Select
SPDR Fund (a)(b) December 19, 2008 2,761,161
4,000 Morgan Stanley, Trigger Notes
Linked to S&P 500 Index (a) (b) December 29, 2008 3,825,200
-------------
TOTAL STRUCTURED NOTES
(Cost $6,649,121) 6,586,361
-------------
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) CALL OPTIONS PURCHASED (a) DATE PRICE VALUE
------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED - 1.0%
200 SPDR Trust Series 1
(Cost $1,452,400) December 9, 2009 80.00 990,000
-------------
TOTAL INVESTMENTS - 101.6%
(Cost $114,281,541) 102,523,107
Other Assets in excess of Liabilities - 1.0% 959,917
Total Options Written - (2.6%) (2,629,500)
-------------
NET ASSETS - 100.0% $100,853,524
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