UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: September 30, 2012
Check here if Amendment [ ]; Amendment Number
This Amendment (Check only one.) [ ]is a restatement
[ ]adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Verizon Investment Management Corp.
Address: 1 Verizon Way, Building 7, 1st Floor South
Basking Ridge, New Jersey 07920
Form 13F File Number: 028-04063
The institutional investment manager filing this report and the person by
whom it is signed hereby represent that the person signing the report is
authorized to submit it, that all information contained herein is true,
correct and complete, and that it is understood that all required items,
statements, schedules, lists, and tables, are considered integral parts of
this form.
Person Signing this Report on Behalf of Reporting manager:
Name: David L. Beik
-------------------------
Title: Chief Operating Officer
-------------------------
Phone: 908 559-5890
-------------------------
Signature, Place, and Date of Signing:
/s/ David L. Beik Basking Ridge, New Jersey November 13, 2012
----------------- ------------------------- -----------------
[Signature] [City, State] [Date]
Report Type (Check only one.):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report )
[ ] 13F NOTICE. (Check here if no holdings reported are in this report, and
all holdings are reported by other reporting manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this
reporting manager are reported in this report and a portion are reported by
other reporting manager(s).)
Form 13F SUMMARY PAGE
Report summary:
Number of Other Included Managers: 1
------------
Form 13F Information Table Entry Total: 446
------------
Form 13F Information Table Value Total: 284,050.00
------------
(thousands)
List of Other Included Managers:
Provide a numbered list of the name(s) and Form 13F file number(s) of all
institutional investment managers with respect to which this report is filed,
other than the manager filing this report.
Verizon Investment Management Corp.
FORM 13F-SOLE INSTR V. NONE AUTHORITY
30-Sep-12
INVESTMENT DISCRETION
------------------------------
CUSIP FAIR MKT PRINCIPAL SHARED OTHER VOTING
NAME OF ISSUER TITLE OF CLASS NUMBER VALUE (000) AMOUNT SOLE SHARED OTHER MGRS AUTHORITY
------------------------ -------------- --------- ------------- ---------- ------- ---------- ---------- ------ ----------
AIRCASTLE LTD COM G0129K104 244 21,569 X 21,569
ALKERMES PLC SHS G01767105 220 10,610 X 10,610
CREDICORP LTD COM G2519Y108 517 4,130 X 4,130
ENSCO PLC SHS CLASS A G3157S106 518 9,500 X 9,500
GENPACT LIMITED SHS G3922B107 459 27,500 X 27,500
HERBALIFE LTD COM USD SHS G4412G101 611 12,900 X 12,900
INVESCO LTD SHS G491BT108 592 23,700 X 23,700
JAZZ PHARMACEUTICALS PLC SHS USD G50871105 659 11,560 X 11,560
ROWAN COMPANIES PLC SHS CL A G7665A101 799 23,670 X 23,670
SIGNET JEWELERS LIMITED SHS G81276100 670 13,740 X 13,740
VANTAGE DRILLING COMPANY ORD SHS G93205113 43 23,200 X 23,200
FOSTER WHEELER AG COM H27178104 435 18,140 X 18,140
PACIFIC DRILLING SA
LUXEMBOU REG SHS L7257P106 285 28,600 X 28,600
CHECK POINT SOFTWARE
TECH LT ORD M22465104 313 6,500 X 6,500
CLICKSOFTWARE
TECHNOLOGIES L ORD M25082104 445 57,800 X 57,800
MELLANOX TECHNOLOGIES
LTD SHS M51363113 551 5,430 X 5,430
LYONDELLBASELL
INDUSTRIES N SHS - A - N53745100 1,059 20,500 X 20,500
NXP SEMICONDUCTORS N V COM N6596X109 618 24,700 X 24,700
TRONOX LTD SHS CL A Q9235V101 276 12,200 X 12,200
AEP INDS INC COM 001031103 204 3,375 X 3,375
AZZ INC COM 002474104 206 5,430 X 5,430
ACCELRYS INC COM 00430U103 157 18,110 X 18,110
ACI WORLDWIDE INC COM 004498101 318 7,530 X 7,530
ACORDA THERAPEUTICS INC COM 00484M106 228 8,893 X 8,893
ACTUATE CORP COM 00508B102 89 12,618 X 12,618
ADOBE SYS INC COM 00724F101 744 22,940 X 22,940
ADTRAN INC COM 00738A106 238 13,780 X 13,780
ADVANCE AUTO PARTS INC COM 00751Y106 1,063 15,530 X 15,530
AEROPOSTALE COM 007865108 146 10,760 X 10,760
AGENUS INC COM NEW 00847G705 58 12,588 X 12,588
AIR METHODS CORP COM PAR $.06 009128307 295 2,470 X 2,470
AIR TRANSPORT SERVICES
GRP I COM 00922R105 74 16,780 X 16,780
AKORN INC COM 009728106 135 10,210 X 10,210
ALASKA AIR GROUP INC COM 011659109 265 7,560 X 7,560
ALIGN TECHNOLOGY INC COM 016255101 313 8,460 X 8,460
ALTERA CORP COM 021441100 298 8,750 X 8,750
AMARIN CORP PLC SPONS ADR NEW 023111206 385 30,600 X 30,600
AMAZON COM INC COM 023135106 572 2,250 X 2,250
AMERICAN CAMPUS CMNTYS
INC COM 024835100 670 15,270 X 15,270
AMERICAN EQTY INVT LIFE
HLD COM 025676206 575 49,430 X 49,430
AMERICAN GREETINGS CORP CL A 026375105 173 10,300 X 10,300
AMERISTAR CASINOS INC COM 03070Q101 428 24,062 X 24,062
ANIXTER INTL INC COM 035290105 294 5,110 X 5,110
ANN INC COM 035623107 243 6,450 X 6,450
APACHE CORP COM 037411105 405 4,680 X 4,680
APPLE INC COM 037833100 5,637 8,450 X 8,450
APPLIED INDL
TECHNOLOGIES IN COM 03820C105 294 7,100 X 7,100
ARENA PHARMACEUTICALS
INC COM 040047102 202 24,300 X 24,300
ARMSTRONG WORLD INDS INC
NEW COM 04247X102 307 6,610 X 6,610
ASCENA RETAIL GROUP INC COM 04351G101 791 36,892 X 36,892
ASHFORD HOSPITALITY TR
INC COM SHS 044103109 345 41,120 X 41,120
ASHLAND INC NEW COM 044209104 2,966 41,430 X 41,430
ASPEN TECHNOLOGY INC COM 045327103 607 23,480 X 23,480
ASSISTED LIVING CONCPT
NEV N CL A NEW 04544X300 92 12,030 X 12,030
ATHENAHEALTH INC COM 04685W103 372 4,049 X 4,049
AVIS BUDGET GROUP COM 053774105 247 16,050 X 16,050
B & G FOODS INC NEW COM 05508R106 265 8,750 X 8,750
BOFI HLDG INC COM 05566U108 216 8,291 X 8,291
BANCO SANTANDER CHILE SP ADR
NEW REP COM 05965X109 264 3,600 X 3,600
BANK NOVA SCOTIA HALIFAX COM 064149107 1,513 27,601 X 27,601
BANKUNITED INC COM 06652K103 243 9,880 X 9,880
BAXTER INTL INC COM 071813109 680 11,290 X 11,290
BBCN BANCORP INC COM 073295107 128 10,140 X 10,140
BELO CORP COM SER A 080555105 79 10,150 X 10,150
BERRY PETE CO CL A 085789105 1,022 25,150 X 25,150
BIOMARIN PHARMACEUTICAL
INC COM 09061G101 624 15,500 X 15,500
BIOGEN IDEC INC COM 09062X103 270 1,810 X 1,810
BIOSCRIP INC COM 09069N108 129 14,205 X 14,205
BLACKROCK INC COM 09247X101 408 2,290 X 2,290
BLOUNT INTL INC NEW COM 095180105 373 28,370 X 28,370
BLUCORA INC COM 095229100 223 12,520 X 12,520
BODY CENT CORP COM 09689U102 192 18,327 X 18,327
BRINKER INTL INC COM 109641100 220 6,246 X 6,246
BROADCOM CORP CL A 111320107 1,221 35,310 X 35,310
BROOKFIELD ASSET MGMT CL A
INC LTD VT SH 112585104 604 17,500 X 17,500
BRUNSWICK CORP COM 117043109 241 10,650 X 10,650
CBL & ASSOC PPTYS INC COM 124830100 275 12,890 X 12,890
CBRE GROUP INC CL A 12504L109 196 10,660 X 10,660
CF INDS HLDGS INC COM 125269100 240 1,080 X 1,080
CME GROUP INC COM 12572Q105 427 7,450 X 7,450
CSX CORP COM 126408103 398 19,160 X 19,160
CVS CAREMARK CORPORATION COM 126650100 2,420 49,970 X 49,970
CABELAS INC COM 126804301 343 6,267 X 6,267
CAL MAINE FOODS INC COM NEW 128030202 220 4,900 X 4,900
CALAMOS ASSET MGMT INC CL A 12811R104 188 16,144 X 16,144
CALAMP CORP COM 128126109 165 20,050 X 20,050
CALLIDUS SOFTWARE INC COM 13123E500 210 42,560 X 42,560
CAMECO CORP COM 13321L108 1,172 60,260 X 60,260
CAMERON INTERNATIONAL
CORP COM 13342B105 270 4,810 X 4,810
CAPITAL ONE FINL CORP COM 14040H105 1,370 24,030 X 24,030
CAPITALSOURCE INC COM 14055X102 328 43,304 X 43,304
CARDTRONICS INC COM 14161H108 378 12,700 X 12,700
CARLISLE COS INC COM 142339100 757 14,580 X 14,580
CARMIKE CINEMAS INC COM 143436400 135 11,973 X 11,973
CASEYS GEN STORES INC COM 147528103 383 6,710 X 6,710
CATAMARAN CORP COM 148887102 229 2,333 X 2,333
CATERPILLAR INC DEL COM 149123101 849 9,870 X 9,870
CEMEX SAB DE CV SPON ADR NEW 151290889 357 42,828 X 42,828
CENTENE CORP DEL COM 15135B101 299 8,000 X 8,000
CENTURYLINK INC COM 156700106 675 16,713 X 16,713
CERUS CORP COM 157085101 139 41,013 X 41,013
CHARLES RIV LABS INTL
INC COM 159864107 358 9,040 X 9,040
CHEESECAKE FACTORY INC COM 163072101 272 7,600 X 7,600
CHEMED CORP NEW COM 16359R103 296 4,268 X 4,268
CHEVRON CORP NEW COM 166764100 1,372 11,770 X 11,770
CINEMARK HOLDINGS INC COM 17243V102 909 40,530 X 40,530
CISCO SYS INC COM 17275R102 592 31,000 X 31,000
CIRRUS LOGIC INC COM 172755100 543 14,150 X 14,150
CLEARWIRE CORP NEW CL A 18538Q105 27 19,980 X 19,980
COACH INC COM 189754104 361 6,440 X 6,440
COGENT COMM GROUP INC COM NEW 19239V302 408 17,760 X 17,760
COGNIZANT TECHNOLOGY
SOLUTIO CL A 192446102 1,124 16,080 X 16,080
COINSTAR INC COM 19259P300 346 7,700 X 7,700
COLFAX CORP COM 194014106 1,249 34,070 X 34,070
COMMVAULT SYSTEMS INC COM 204166102 449 7,650 X 7,650
COMPANHIA DE BEBIDAS DAS
AME SPON ADR PFD 20441W203 823 21,500 X 21,500
COMPANIA DE MINAS
BUENAVENTU SPONSORED ADR 204448104 365 9,370 X 9,370
COMPUWARE CORP COM 205638109 1,029 104,070 X 104,070
COOPER TIRE & RUBR CO COM 216831107 518 27,000 X 27,000
CORESITE RLTY CORP COM 21870Q105 434 16,100 X 16,100
CRACKER BARREL OLD CTRY
STOR COM 22410J106 309 4,600 X 4,600
CROCS INC COM 227046109 175 10,810 X 10,810
CROSSTEX ENERGY INC COM 22765Y104 141 10,028 X 10,028
CUBESMART COM 229663109 442 34,310 X 34,310
CUBIST PHARMACEUTICALS
INC COM 229678107 606 12,706 X 12,706
CUMMINS INC COM 231021106 787 8,530 X 8,530
CURIS INC COM 231269101 71 17,254 X 17,254
CYBERONICS INC COM 23251P102 268 5,120 X 5,120
CYTEC INDS INC COM 232820100 383 5,840 X 5,840
DFC GLOBAL CORP COM 23324T107 750 43,725 X 43,725
DSW INC CL A 23334L102 536 8,038 X 8,038
DXP ENTERPRISES INC NEW COM NEW 233377407 1,416 29,632 X 29,632
DANA HLDG CORP COM 235825205 123 10,020 X 10,020
DANAHER CORP DEL COM 235851102 765 13,880 X 13,880
DATALINK CORP COM 237934104 224 27,088 X 27,088
DELEK US HLDGS INC COM 246647101 335 13,140 X 13,140
DENBURY RES INC COM NEW 247916208 1,339 82,870 X 82,870
DENDREON CORP COM 24823Q107 51 10,520 X 10,520
DENNYS CORP COM 24869P104 488 100,740 X 100,740
DEPOMED INC COM 249908104 73 12,300 X 12,300
DESTINATION MATERNITY
CORP COM 25065D100 292 15,600 X 15,600
DILLARDS INC CL A 254067101 238 3,290 X 3,290
DINEEQUITY INC COM 254423106 233 4,160 X 4,160
DISH NETWORK CORP CL A 25470M109 341 11,130 X 11,130
DOMINOS PIZZA INC COM 25754A201 281 7,460 X 7,460
DOUGLAS EMMETT INC COM 25960P109 308 13,330 X 13,330
DUSA PHARMACEUTICALS INC COM 266898105 111 16,386 X 16,386
DYNAVAX TECHNOLOGIES
CORP COM 268158102 90 18,860 X 18,860
EAGLE BANCORP INC MD COM 268948106 191 11,441 X 11,441
E TRADE FINANCIAL CORP COM NEW 269246401 145 16,440 X 16,440
EBAY INC COM 278642103 677 14,000 X 14,000
EBIX INC COM NEW 278715206 484 20,490 X 20,490
ECOLAB INC COM 278865100 795 12,270 X 12,270
EDISON INTL COM 281020107 848 18,550 X 18,550
EDUCATION RLTY TR INC COM 28140H104 195 17,920 X 17,920
EMCOR GROUP INC COM 29084Q100 533 18,660 X 18,660
ENCORE CAP GROUP INC COM 292554102 434 15,370 X 15,370
ENSIGN GROUP INC COM 29358P101 205 6,690 X 6,690
EQUITY LIFESTYLE PPTYS
INC COM 29472R108 360 5,290 X 5,290
EXAR CORP COM 300645108 120 15,040 X 15,040
EXLSERVICE HOLDINGS INC COM 302081104 480 16,280 X 16,280
EXPEDIA INC DEL COM NEW 30212P303 235 4,065 X 4,065
EXPRESS INC COM 30219E103 479 32,320 X 32,320
EXPRESS SCRIPTS HLDG CO COM 30219G108 614 9,810 X 9,810
EZCORP INC CL A NON VTG 302301106 681 29,720 X 29,720
EXXON MOBIL CORP COM 30231G102 593 6,480 X 6,480
FXCM INC COM CL A 302693106 355 37,160 X 37,160
FAIR ISAAC CORP COM 303250104 438 9,890 X 9,890
FELCOR LODGING TR INC COM 31430F101 88 18,560 X 18,560
FIESTA RESTAURANT GROUP
INC COM 31660B101 444 27,990 X 27,990
FIRST FINL HLDGS INC COM 320239106 170 13,097 X 13,097
FLEETCOR TECHNOLOGIES
INC COM 339041105 308 6,880 X 6,880
FLOTEK INDS INC DEL COM 343389102 136 10,700 X 10,700
FLOWSERVE CORP COM 34354P105 258 2,020 X 2,020
FOMENTO ECONOMICO SPON
MEXICANO S ADR UNITS 344419106 414 4,504 X 4,504
FOREST CITY ENTERPRISES
INC CL A 345550107 360 22,710 X 22,710
FORRESTER RESH INC COM 346563109 206 7,167 X 7,167
FORUM ENERGY
TECHNOLOGIES IN COM 34984V100 213 8,770 X 8,770
FREEPORT-MCMORAN COPPER
& GO COM 35671D857 418 10,560 X 10,560
FRONTIER COMMUNICATIONS
CORP COM 35906A108 603 122,730 X 122,730
FURMANITE CORPORATION COM 361086101 249 43,760 X 43,760
GFI GROUP INC COM 361652209 146 45,910 X 45,910
GT ADVANCED TECHNOLOGIES
INC COM 36191U106 117 21,530 X 21,530
GENERAL CABLE CORP DEL
NEW COM 369300108 288 9,800 X 9,800
GENERAL ELECTRIC CO COM 369604103 430 18,930 X 18,930
GENERAL MTRS CO COM 37045V100 397 17,470 X 17,470
GENESEE & WYO INC CL A 371559105 369 5,520 X 5,520
GENOMIC HEALTH INC COM 37244C101 398 11,460 X 11,460
GENTHERM INC COM 37253A103 147 11,843 X 11,843
GILEAD SCIENCES INC COM 375558103 2,138 32,240 X 32,240
GILDAN ACTIVEWEAR INC COM 375916103 437 13,800 X 13,800
GLADSTONE CAPITAL CORP COM 376535100 119 13,590 X 13,590
GLATFELTER COM 377316104 193 10,850 X 10,850
GLOBAL CASH ACCESS HLDGS
INC COM 378967103 303 37,590 X 37,590
GLOBAL PMTS INC COM 37940X102 467 11,170 X 11,170
GOOGLE INC CL A 38259P508 3,403 4,510 X 4,510
GRIFOLS S A SP ADR
REP B N 398438408 420 18,400 X 18,400
GRUPO TELEVISA SA SPON ADR
REP O 40049J206 362 15,385 X 15,385
HDFC BANK LTD ADR REPS 3
SHS 40415F101 1,307 34,787 X 34,787
HSBC HLDGS PLC SPON ADR NEW 404280406 1,825 39,278 X 39,278
HSN INC COM 404303109 271 5,530 X 5,530
HACKETT GROUP INC COM 404609109 90 21,630 X 21,630
HAEMONETICS CORP COM 405024100 256 3,190 X 3,190
HALCON RES CORP COM NEW 40537Q209 109 14,910 X 14,910
HALOZYME THERAPEUTICS
INC COM 40637H109 103 13,660 X 13,660
HANGER INC COM NEW 41043F208 770 26,980 X 26,980
HARVARD BIOSCIENCE INC COM 416906105 174 41,080 X 41,080
HEALTHSOUTH CORP COM NEW 421924309 700 29,085 X 29,085
HEADWATERS INC COM 42210P102 93 14,120 X 14,120
HEARTLAND PMT SYS INC COM 42235N108 281 8,882 X 8,882
HECKMANN CORP COM 422680108 124 29,500 X 29,500
HEICO CORP NEW COM 422806109 212 5,468 X 5,468
HEWLETT PACKARD CO COM 428236103 223 13,060 X 13,060
HI-TECH PHARMACAL INC COM 42840B101 248 7,480 X 7,480
HIBBETT SPORTS INC COM 428567101 407 6,850 X 6,850
HOME DEPOT INC COM 437076102 1,305 21,620 X 21,620
HONEYWELL INTL INC COM 438516106 1,037 17,350 X 17,350
HOSPIRA INC COM 441060100 870 26,511 X 26,511
HOT TOPIC INC COM 441339108 201 23,050 X 23,050
HUNTINGTON BANCSHARES
INC COM 446150104 576 83,490 X 83,490
IDT CORP CL B NEW 448947507 141 13,740 X 13,740
ISTAR FINL INC COM 45031U101 177 21,418 X 21,418
IXIA COM 45071R109 268 16,700 X 16,700
ICON PUB LTD CO SPONSORED ADR 45103T107 478 19,600 X 19,600
IDENIX PHARMACEUTICALS
INC COM 45166R204 89 19,530 X 19,530
IMMUNOCELLULAR
THERAPEUTICS COM 452536105 37 13,280 X 13,280
IMPAX LABORATORIES INC COM 45256B101 274 10,570 X 10,570
INGREDION INC COM 457187102 282 5,110 X 5,110
INNERWORKINGS INC COM 45773Y105 191 14,700 X 14,700
INTERACTIVE BROKERS
GROUP IN COM 45841N107 656 46,819 X 46,819
INTERVAL LEISURE GROUP
INC COM 46113M108 228 12,060 X 12,060
INTRALINKS HLDGS INC COM 46118H104 125 19,110 X 19,110
ION GEOPHYSICAL CORP COM 462044108 84 12,110 X 12,110
ITAU UNIBANCO HLDG SA SPON ADR
REP P 465562106 1,113 72,813 X 72,813
JDA SOFTWARE GROUP INC COM 46612K108 755 23,760 X 23,760
JPMORGAN CHASE & CO COM 46625H100 1,337 33,020 X 33,020
JARDEN CORP COM 471109108 1,093 20,690 X 20,690
JONES LANG LASALLE INC COM 48020Q107 478 6,260 X 6,260
JOS A BANK CLOTHIERS INC COM 480838101 376 7,755 X 7,755
JUNIPER NETWORKS INC COM 48203R104 292 17,090 X 17,090
KIT DIGITAL INC COM NEW 482470200 374 124,712 X 124,712
KKR FINANCIAL HLDGS LLC NOTE 7.500% 1 48248AAD0 732 490,000 X 490,000
KKR FINANCIAL HLDGS LLC COM 48248A306 3,263 324,700 X 324,700
KELLOGG CO COM 487836108 345 6,670 X 6,670
KEY TRONICS CORP COM 493144109 216 21,746 X 21,746
KEYCORP NEW COM 493267108 339 38,780 X 38,780
KINDER MORGAN INC DEL *W EXP
05/25/2 49456B119 37 10,625 X 10,625
KOPPERS HOLDINGS INC COM 50060P106 293 8,393 X 8,393
KRAFT FOODS INC CL A 50075N104 744 17,990 X 17,990
LATTICE SEMICONDUCTOR
CORP COM 518415104 55 14,390 X 14,390
LEAPFROG ENTERPRISES INC CL A 52186N106 202 22,407 X 22,407
LIBBEY INC COM 529898108 304 19,236 X 19,236
LIONBRIDGE TECHNOLOGIES
INC COM 536252109 124 35,210 X 35,210
LIVEPERSON INC COM 538146101 304 16,760 X 16,760
MDC PARTNERS INC CL A SUB VTG 552697104 147 11,908 X 11,908
MTS SYS CORP COM 553777103 272 5,074 X 5,074
MWI VETERINARY SUPPLY
INC COM 55402X105 231 2,170 X 2,170
MA COM TECHNOLOGY
SOLUTIONS COM 55405Y100 384 30,200 X 30,200
MACERICH CO COM 554382101 263 4,600 X 4,600
MADDEN STEVEN LTD COM 556269108 363 8,310 X 8,310
MANULIFE FINL CORP COM 56501R106 1,423 118,185 X 118,185
MARATHON PETE CORP COM 56585A102 612 11,220 X 11,220
MARKET VECTORS ETF TR GOLD MINER
ETF 57060U100 362 6,742 X 6,742
MAXYGEN INC COM 577776107 111 41,899 X 41,899
MAXIMUS INC COM 577933104 890 14,910 X 14,910
MCDONALDS CORP COM 580135101 1,438 15,670 X 15,670
MEAD JOHNSON NUTRITION
CO COM 582839106 1,057 14,425 X 14,425
MEDICIS PHARMACEUTICAL
CORP CL A NEW 584690309 223 5,150 X 5,150
MEDIVATION INC COM 58501N101 1,185 21,030 X 21,030
MEDNAX INC COM 58502B106 928 12,460 X 12,460
MEDTRONIC INC COM 585055106 758 17,590 X 17,590
MENTOR GRAPHICS CORP COM 587200106 652 42,133 X 42,133
MERCK & CO INC NEW COM 58933Y105 665 14,750 X 14,750
METLIFE INC COM 59156R108 554 16,090 X 16,090
METROPOLITAN HEALTH
NETWORKS COM 592142103 155 16,610 X 16,610
MICROSTRATEGY INC CL A NEW 594972408 265 1,980 X 1,980
MICRON TECHNOLOGY INC NOTE 1.500% 8 595112AQ6 324 360,000 X 360,000
MIDDLEBY CORP COM 596278101 213 1,843 X 1,843
MONOLITHIC PWR SYS INC COM 609839105 523 26,500 X 26,500
MULTI COLOR CORP COM 625383104 793 34,219 X 34,219
MULTIMEDIA GAMES HLDG CO
INC COM 625453105 185 11,730 X 11,730
MYERS INDS INC COM 628464109 311 19,882 X 19,882
MYLAN INC NOTE 3.750% 9 628530AJ6 653 341,000 X 341,000
NCR CORP NEW COM 62886E108 416 17,860 X 17,860
NII HLDGS INC CL B NEW 62913F201 132 16,800 X 16,800
NASDAQ OMX GROUP INC COM 631103108 571 24,510 X 24,510
NATIONAL CINEMEDIA INC COM 635309107 276 16,890 X 16,890
NATIONAL OILWELL VARCO
INC COM 637071101 549 6,850 X 6,850
NATIONAL PENN BANCSHARES
INC COM 637138108 214 23,500 X 23,500
NATIONSTAR MTG HLDGS INC COM 63861C109 534 16,080 X 16,080
NEUROCRINE BIOSCIENCES
INC COM 64125C109 205 25,630 X 25,630
NEWCASTLE INVT CORP COM 65105M108 91 12,030 X 12,030
NEXSTAR BROADCASTING
GROUP I CL A 65336K103 120 11,342 X 11,342
NICE SYS LTD SPONSORED ADR 653656108 1,633 49,157 X 49,157
NIKE INC CL B 654106103 659 6,940 X 6,940
NORTHSTAR RLTY FIN CORP COM 66704R100 354 55,710 X 55,710
OSI SYSTEMS INC COM 671044105 218 2,800 X 2,800
OYO GEOSPACE CORP COM 671074102 432 3,530 X 3,530
OCCIDENTAL PETE CORP DEL COM 674599105 1,042 12,110 X 12,110
OCWEN FINL CORP COM NEW 675746309 384 14,010 X 14,010
OLD DOMINION FGHT LINES
INC COM 679580100 271 8,985 X 8,985
OMNICOM GROUP INC COM 681919106 544 10,550 X 10,550
ONYX PHARMACEUTICALS INC COM 683399109 1,388 16,430 X 16,430
OPKO HEALTH INC COM 68375N103 52 12,510 X 12,510
ORACLE CORP COM 68389X105 1,730 54,990 X 54,990
ORBITZ WORLDWIDE INC COM 68557K109 53 20,880 X 20,880
OWENS & MINOR INC NEW COM 690732102 387 12,961 X 12,961
PDL BIOPHARMA INC COM 69329Y104 452 58,740 X 58,740
PNC FINL SVCS GROUP INC COM 693475105 485 7,680 X 7,680
PPG INDS INC COM 693506107 292 2,540 X 2,540
PACER INTL INC TENN COM 69373H106 163 40,984 X 40,984
PANTRY INC COM 698657103 288 19,783 X 19,783
PARAMETRIC TECHNOLOGY
CORP COM NEW 699173209 676 31,040 X 31,040
PAREXEL INTL CORP COM 699462107 256 8,310 X 8,310
PARKER HANNIFIN CORP COM 701094104 388 4,640 X 4,640
PATTERSON COMPANIES INC COM 703395103 355 10,360 X 10,360
PEPSICO INC COM 713448108 1,369 19,350 X 19,350
PETROLEO BRASILEIRO SA SP ADR
PETRO NON VTG 71654V101 248 11,256 X 11,256
PETROLEO BRASILEIRO SA
PETRO SPONSORED ADR 71654V408 289 12,600 X 12,600
PHARMACYCLICS INC COM 716933106 361 5,598 X 5,598
PFIZER INC COM 717081103 1,908 76,780 X 76,780
PHILIP MORRIS INTL INC COM 718172109 1,793 19,930 X 19,930
PHILLIPS 66 COM 718546104 523 11,280 X 11,280
PHOTRONICS INC COM 719405102 114 21,280 X 21,280
PIER 1 IMPORTS INC COM 720279108 364 19,445 X 19,445
PILGRIMS PRIDE CORP NEW COM 72147K108 132 25,740 X 25,740
PLEXUS CORP COM 729132100 266 8,780 X 8,780
POLYCOM INC COM 73172K104 149 15,140 X 15,140
POOL CORPORATION COM 73278L105 234 5,620 X 5,620
PORTFOLIO RECOVERY
ASSOCS IN COM 73640Q105 253 2,420 X 2,420
PRAXAIR INC COM 74005P104 317 3,050 X 3,050
PRECISION CASTPARTS CORP COM 740189105 590 3,610 X 3,610
PRIMUS
TELECOMMUNICATIONS GR COM 741929301 197 12,870 X 12,870
PROCTER & GAMBLE CO COM 742718109 427 6,150 X 6,150
PROGRESS SOFTWARE CORP COM 743312100 480 22,455 X 22,455
QUALCOMM INC COM 747525103 1,744 27,910 X 27,910
QUESTCOR PHARMACEUTICALS
INC COM 74835Y101 206 11,170 X 11,170
QUINSTREET INC COM 74874Q100 107 12,750 X 12,750
RAIT FINANCIAL TRUST COM NEW 749227609 78 14,867 X 14,867
RTI BIOLOGICS INC COM 74975N105 250 59,872 X 59,872
RAPTOR PHARMACEUTICAL
CORP COM 75382F106 100 18,040 X 18,040
RAYMOND JAMES FINANCIAL
INC COM 754730109 299 8,150 X 8,150
REDWOOD TR INC COM 758075402 366 25,320 X 25,320
REGAL BELOIT CORP COM 758750103 884 12,540 X 12,540
REGIONS FINANCIAL CORP
NEW COM 7591EP100 146 20,250 X 20,250
REINSURANCE GROUP AMER
INC COM NEW 759351604 488 8,430 X 8,430
REPUBLIC AWYS HLDGS INC COM 760276105 67 14,489 X 14,489
RESPONSYS INC COM 761248103 450 44,020 X 44,020
REVLON INC CL A NEW 761525609 218 14,096 X 14,096
RICHARDSON ELECTRS LTD COM 763165107 188 15,864 X 15,864
RIO TINTO PLC SPONSORED ADR 767204100 229 4,900 X 4,900
ROCK-TENN CO CL A 772739207 1,005 13,920 X 13,920
ROCKVILLE FINL INC NEW COM 774188106 127 10,360 X 10,360
ROYAL GOLD INC COM 780287108 297 2,980 X 2,980
SBA COMMUNICATIONS CORP COM 78388J106 392 6,240 X 6,240
SALLY BEAUTY HLDGS INC COM 79546E104 334 13,310 X 13,310
SCANSOURCE INC COM 806037107 234 7,313 X 7,313
SCHLUMBERGER LTD COM 806857108 861 11,900 X 11,900
SCHWAB CHARLES CORP NEW COM 808513105 456 35,670 X 35,670
SCICLONE PHARMACEUTICALS
INC COM 80862K104 172 31,062 X 31,062
SELECT COMFORT CORP COM 81616X103 221 7,025 X 7,025
SIGNATURE BK NEW YORK N
Y COM 82669G104 243 3,620 X 3,620
SILGAN HOLDINGS INC COM 827048109 265 6,080 X 6,080
SINCLAIR BROADCAST GROUP
INC CL A 829226109 256 22,805 X 22,805
SIRONA DENTAL SYSTEMS
INC COM 82966C103 564 9,900 X 9,900
SIX FLAGS ENTMT CORP NEW COM 83001A102 211 3,588 X 3,588
SNYDERS-LANCE INC COM 833551104 337 13,480 X 13,480
SOCIEDAD QUIMICA MINERA SPON ADR
DE C SER B 833635105 495 8,031 X 8,031
SOLAZYME INC COM 83415T101 311 27,080 X 27,080
SOUTHWEST BANCORP INC
OKLA COM 844767103 115 10,612 X 10,612
SOVRAN SELF STORAGE INC COM 84610H108 418 7,220 X 7,220
SPECTRUM PHARMACEUTICALS
INC COM 84763A108 579 49,490 X 49,490
STAAR SURGICAL CO COM PAR $0.01 852312305 140 18,557 X 18,557
STERIS CORP COM 859152100 287 8,100 X 8,100
STEWART ENTERPRISES INC CL A 860370105 126 14,960 X 14,960
STRATEGIC HOTELS &
RESORTS I COM 86272T106 130 21,670 X 21,670
STURM RUGER & CO INC COM 864159108 294 5,940 X 5,940
SUNCOR ENERGY INC NEW COM 867224107 1,241 37,774 X 37,774
SUSSER HLDGS CORP COM 869233106 238 6,570 X 6,570
SYNOPSYS INC COM 871607107 276 8,350 X 8,350
SYNOVUS FINL CORP COM 87161C105 118 49,780 X 49,780
SYNTEL INC COM 87162H103 220 3,530 X 3,530
SYNTA PHARMACEUTICALS
CORP COM 87162T206 320 41,980 X 41,980
TCF FINL CORP COM 872275102 608 50,880 X 50,880
TJX COS INC NEW COM 872540109 1,108 24,740 X 24,740
TRW AUTOMOTIVE HLDGS
CORP COM 87264S106 391 8,940 X 8,940
TAIWAN SEMICONDUCTOR MFG
LTD SPONSORED ADR 874039100 1,577 99,679 X 99,679
TAL INTL GROUP INC COM 874083108 366 10,770 X 10,770
TASER INTL INC COM 87651B104 80 13,200 X 13,200
TECH DATA CORP COM 878237106 252 5,570 X 5,570
TELULAR CORP COM NEW 87970T208 134 13,568 X 13,568
TEMPUR PEDIC INTL INC COM 88023U101 346 11,590 X 11,590
TENET HEALTHCARE CORP COM 88033G100 84 13,380 X 13,380
TENNECO INC COM 880349105 543 19,403 X 19,403
TEVA PHARMACEUTICAL INDS
LTD ADR 881624209 3,969 95,853 X 95,853
TEXAS CAPITAL BANCSHARES
INC COM 88224Q107 429 8,640 X 8,640
THERAVANCE INC COM 88338T104 432 16,670 X 16,670
THRESHOLD PHARMACEUTICAL
INC COM NEW 885807206 130 17,960 X 17,960
TOWN SPORTS INTL HLDGS
INC COM 89214A102 254 20,530 X 20,530
TRANSCEPT
PHARMACEUTICALS IN COM 89354M106 57 10,765 X 10,765
TRIMAS CORP COM NEW 896215209 353 14,650 X 14,650
TRIUS THERAPEUTICS INC COM 89685K100 93 15,910 X 15,910
TUPPERWARE BRANDS CORP COM 899896104 696 12,980 X 12,980
TYLER TECHNOLOGIES INC COM 902252105 309 7,026 X 7,026
UNS ENERGY CORP COM 903119105 296 7,060 X 7,060
USANA HEALTH SCIENCES
INC COM 90328M107 277 5,960 X 5,960
USA MOBILITY INC COM 90341G103 132 11,152 X 11,152
U S AIRWAYS GROUP INC COM 90341W108 223 21,300 X 21,300
ULTIMATE SOFTWARE GROUP
INC COM 90385D107 270 2,640 X 2,640
UNION PAC CORP COM 907818108 608 5,120 X 5,120
UNITED NAT FOODS INC COM 911163103 265 4,540 X 4,540
UNITED PARCEL SERVICE
INC CL B 911312106 733 10,240 X 10,240
UNITED TECHNOLOGIES CORP COM 913017109 1,529 19,530 X 19,530
UNIVERSAL AMERN CORP NEW COM 91338E101 193 20,916 X 20,916
UNIVERSAL CORP VA COM 913456109 200 3,930 X 3,930
UNIVERSAL HLTH SVCS INC CL B 913903100 765 16,730 X 16,730
V F CORP COM 918204108 432 2,710 X 2,710
VALASSIS COMMUNICATIONS
INC COM 918866104 303 12,270 X 12,270
VALEANT PHARMACEUTICALS
INTL COM 91911K102 641 11,600 X 11,600
VALE S A ADR REPSTG
PFD 91912E204 363 20,885 X 20,885
VARIAN MED SYS INC COM 92220P105 272 4,510 X 4,510
VERIZON COMMUNICATIONS
INC COM 92343V104 60,633 1,330,548 X 1,330,548
VIACOM INC NEW CL B 92553P201 1,169 21,810 X 21,810
VISA INC COM CL A 92826C839 482 3,590 X 3,590
VIRTUSA CORP COM 92827P102 295 16,610 X 16,610
VOCUS INC COM 92858J108 399 19,880 X 19,880
WI-LAN INC COM 928972108 69 12,303 X 12,303
WAL-MART STORES INC COM 931142103 597 8,090 X 8,090
WALTER INVT MGMT CORP COM 93317W102 309 8,350 X 8,350
WARNACO GROUP INC COM NEW 934390402 383 7,380 X 7,380
WEB COM GROUP INC COM 94733A104 672 37,440 X 37,440
WELLCARE HEALTH PLANS
INC COM 94946T106 398 7,030 X 7,030
WELLPOINT INC COM 94973V107 342 5,900 X 5,900
WELLS FARGO & CO NEW COM 949746101 480 13,900 X 13,900
WESCO INTL INC COM 95082P105 950 16,600 X 16,600
WESTELL TECHNOLOGIES INC CL A 957541105 33 15,576 X 15,576
WESTERN REFNG INC COM 959319104 314 12,010 X 12,010
WHITING PETE CORP NEW COM 966387102 438 9,240 X 9,240
WORLD ACCEP CORP DEL COM 981419104 384 5,700 X 5,700
WORLD FUEL SVCS CORP COM 981475106 908 25,510 X 25,510
WRIGHT EXPRESS CORP COM 98233Q105 342 4,900 X 4,900
WYNDHAM WORLDWIDE CORP COM 98310W108 308 5,860 X 5,860
XO GROUP INC COM 983772104 205 24,535 X 24,535
YM BIOSCIENCES INC COM 984238105 224 122,000 X 122,000
ZIX CORP COM 98974P100 70 24,530 X 24,530
ZUMIEZ INC COM 989817101 215 7,736 X 7,736
Total 284,050