Stevens Capital Management

Stevens Capital Management as of June 30, 2008

Portfolio Holdings for Stevens Capital Management

Stevens Capital Management holds 0 positions in its portfolio as reported in the June 2008 quarterly 13F filing

                {S} {C}
                                                                  VALUE   SHRS/PRN    SH/     PUT/    INV    OTHER  VOTING AUTHORITY
           NAME OF ISSUER             TITLE OF CLASS     CUSIP   (x$1000)  AMOUNT     PRN     CALL   DISCR  MANAGERS        SOLE
         ------------------            -------------     ------   -----     ----      ----    ----    ----   ------ --------------
3COM CORP                           COM                885535104    21      10000      SH     CALL    SOLE          10000
3COM CORP                           COM                885535104    68      31999      SH             SOLE          31999
4 KIDS ENTMT INC                    COM                350865101    88      11853      SH             SOLE          11853
A H BELO CORP                       COM CL A           001282102   123      21598      SH             SOLE          21598
ACACIA RESH CORP                    ACACIA TCH COM     003881307    51      11303      SH             SOLE          11303
ACADIA PHARMACEUTICALS INC          COM                004225108    40      10929      SH             SOLE          10929
ACM MANAGED DLR INCOME FD           COM                000949107    76      11000      SH             SOLE          11000
ACME COMMUNICATION INC              COM                004631107    18      13400      SH             SOLE          13400
ACTIONS SEMICONDUCTOR CO LTD        ADR                00507E107    61      17719      SH             SOLE          17719
ACTIVIDENTITY CORP                  COM                00506P103    58      21185      SH             SOLE          21185
ACTUANT CORP                        SDCV     2.000%11/100508XAB0   817     500000      SH             SOLE          500000
ACTUATE CORP                        COM                00508B102   124      31798      SH             SOLE          31798
ACUITY BRANDS INC                   COM                00508Y102   203      4232       SH             SOLE          4232
ACUSPHERE INC                       COM                00511R870    7       10000      SH             SOLE          10000
ADOLOR CORP                         COM                00724X102    66      11963      SH             SOLE          11963
ADVANCED ANALOGIC TECHNOLOGI        COM                00752J108    50      12142      SH             SOLE          12142
ADVANCED MICRO DEVICES INC          NOTE   5.750% 8/1  007903AN7   734     1000000     SH             SOLE          1000000
ADVANCED SEMICONDUCTOR ENGR         SPONSORED ADR      00756M404   104      23348      SH             SOLE          23348
ADVANTA CORP                        CL A               007942105    80      14600      SH             SOLE          14600
AGCO CORP                           NOTE   1.250%12/1  001084AM4   728     500000      SH             SOLE          500000
AGNICO EAGLE MINES LTD              COM                008474108   398      5350       SH             SOLE          5350
AIR TRANSPORT SERVICES GRP I        COM                00922R105    66      66200      SH             SOLE          66200
AIRCASTLE LTD                       COM                G0129K104   108      12851      SH             SOLE          12851
AIRTRAN HLDGS INC                   COM                00949P108   182      89315      SH             SOLE          89315
ALABAMA AIRCRAFT IND INC            COM                01023E100   429      1977       SH             SOLE          1977
ALBANY INTL CORP                    CL A               012348108   278      9575       SH             SOLE          9575
ALESCO FINL INC                     COM                014485106    42      20844      SH             SOLE          20844
ALEXION PHARMACEUTICALS INC         NOTE   1.375% 2/0  015351AF6   1177    500000      SH             SOLE          500000
ALEXZA PHARMACEUTICALS INC          COM                015384100    50      12743      SH             SOLE          12743
ALLERGAN INC                        NOTE    1.500% 4/0 018490AL6   2112    2000000     SH             SOLE          2000000
ALLIANCE DATA SYSTEMS CORP          COM                018581108   267      4724       SH             SOLE          4724
ALLIANCE ONE INTL INC               COM                018772103    65      12634      SH             SOLE          12634
ALLIANT TECHSYSTEMS INC             NOTE    2.750% 9/1 018804AN4   601     500000      SH             SOLE          500000
ALLIANT TECHSYSTEMS INC             NOTE    2.750% 2/1 018804AH7   662     500000      SH             SOLE          500000
ALLIANT TECHSYSTEMS INC             NOTE    3.000% 8/1 018804AK0   722     500000      SH             SOLE          500000
ALLOT COMMUNICATIONS LTD            SHS                M0854Q105    41      13850      SH             SOLE          13850
ALLOY INC                           NEW COM            019855303   121      16700      SH             SOLE          16700
ALPHARMA INC                        NOTE   2.125% 3/1  020813AH4   476     500000      SH             SOLE          500000
ALTUS PHARMACEUTICALS INC           COM                02216N105    61      13772      SH             SOLE          13772
AMB PROPERTY CORP                   COM                00163T109   207      4106       SH             SOLE          4106
AMBASSADORS INTL INC                COM                023178106   150      34164      SH             SOLE          34164
AMDOCS LTD                          NOTE    0.500% 3/1 02342TAD1   1476    1500000     SH             SOLE          1500000
AMERICAN CMNTY NEWSPAPERS IN        COM                02520T103    5       20200      SH             SOLE          20200
AMERICAN COMMERCIAL LINES           COM NEW            025195207   146      13314      SH             SOLE          13314
AMERICAN DENTAL PARTNERS            COM                025353103   120      10100      SH             SOLE          10100
AMERICAN SOFTWARE INC               CL A               029683109    93      16554      SH             SOLE          16554
AMERICAN STRATEGIC INCM PTFL        COM                030098107   147      14300      SH             SOLE          14300
AMERICAN TOWER CORP                 NOTE    3.000% 8/1 029912AR3   1046    500000      SH             SOLE          500000
AMERICANWEST BANCORPORATION         COM                03058P109    23      10156      SH             SOLE          10156
AMERIGON INC                        COM                03070L300    80      11257      SH             SOLE          11257
AMGEN INC                           COM                031162100   679      14401      SH             SOLE          14401
AMGEN INC                           NOTE   0.375% 2/0  031162AQ3   870     1000000     SH             SOLE          1000000
AMGEN INC                           NOTE   0.125% 2/0  031162AN0   907     1000000     SH             SOLE          1000000
ANADYS PHARMACEUTICALS INC          COM                03252Q408    43      19126      SH             SOLE          19126
ANALOGIC CORP                       COM PAR $0.05      032657207   255      4039       SH             SOLE          4039
ANDERSONS INC                       COM                034164103   386      9488       SH             SOLE          9488
ANGIOTECH PHARMACEUTICALS IN        COM                034918102    56      18821      SH             SOLE          18821
ANIMAL HEALTH INTL INC              COM                03525N109    80      12900      SH             SOLE          12900
ANIXTER INTL INC                    NOTE     1.000% 2/1035290AJ4   550     500000      SH             SOLE          500000
APEX SILVER MINES LTD               ORD                G04074103   170      34673      SH             SOLE          34673
APPLIED INDL TECHNOLOGIES IN        COM                03820C105   232      9586       SH             SOLE          9586
ARACRUZ CELULOSE S A                SPON ADR PFD B     038496204   310      4225       SH             SOLE          4225
ARBOR RLTY TR INC                   COM                038923108   110      12245      SH             SOLE          12245
ARCHER DANIELS MIDLAND CO           NOTE   0.875% 2/1  039483AW2   2025    2000000     SH             SOLE          2000000
ARCTIC CAT INC                      COM                039670104   166      21200      SH             SOLE          21200
ARES CAP CORP                       COM                04010L103   104      10314      SH             SOLE          10314
ARGO GROUP INTL HLDGS LTD           COM                G0464B107   277      8258       SH             SOLE          8258
ARIAD PHARMACEUTICALS INC           COM                04033A100    87      36106      SH             SOLE          36106
ARIBA INC                           COM NEW            04033V203   166      11262      SH             SOLE          11262
ARQULE INC                          COM                04269E107    92      28200      SH             SOLE          28200
ARRAY BIOPHARMA INC                 COM                04269X105    72      15301      SH             SOLE          15301
ART TECHNOLOGY GROUP INC            COM                04289L107   100      31121      SH             SOLE          31121
ARUBA NETWORKS INC                  COM                043176106    53      10042      SH             SOLE          10042
ASA LIMITED                         COM                G3156P103   378      4467       SH             SOLE          4467
ASPECT MED SYS INC                  COM                045235108    79      12500      SH             SOLE          12500
ASYST TECHNOLOGY CORP               COM                04648X107    76      21400      SH             SOLE          21400
ATMEL CORP                          COM                049513104    79      22678      SH             SOLE          22678
ATWOOD OCEANICS INC                 COM                050095108   256      2059       SH             SOLE          2059
AUDIOCODES LTD                      ORD                M15342104    80      21908      SH             SOLE          21908
AURORA OIL & GAS CORP               COM                052036100    9       21000      SH             SOLE          21000
AUTHENTIDATE HLDG CORP              COM                052666104    4       10100      SH             SOLE          10100
AVNET INC                           DBCV   2.000% 3/1  053807AL7   2064    2000000     SH             SOLE          2000000
AXCELIS TECHNOLOGIES INC            COM                054540109    98      20096      SH             SOLE          20096
AXT INC                             COM                00246W103   112      26700      SH             SOLE          26700
B & G FOODS INC NEW                 CL A               05508R106   106      11322      SH             SOLE          11322
BAIDU COM INC                       SPON ADR REP A     056752108   1938     6192       SH             SOLE          6192
BANCORP RHODE ISLAND INC            COM                059690107   210      7351       SH             SOLE          7351
BAUER EDDIE HLDGS INC               COM                071625107   115      27643      SH             SOLE          27643
BBVA BANCO FRANCES S A              SPONSORED ADR      07329M100    72      13555      SH             SOLE          13555
BEARINGPOINT INC                    COM                074002106    66      80883      SH             SOLE          80883
BECKMAN COULTER INC                 NOTE   2.500%12/1  075811AD1   1104    1000000     SH             SOLE          1000000
BENIHANA INC                        CL A               082047200    90      14200      SH             SOLE          14200
BERRY PETE CO                       CL A               085789105   212      3607       SH             SOLE          3607
BEST BUY INC                        SDCV     2.250% 1/1086516AF8   2094    2000000     SH             SOLE          2000000
BFC FINL CORP                       CL A               055384200    28      37600      SH             SOLE          37600
BGC PARTNERS INC                    CL A               05541T101   107      14191      SH             SOLE          14191
BHP BILLITON PLC                    SPONSORED ADR      05545E209   365      4712       SH             SOLE          4712
BIOSANTE PHARMACEUTICALS INC        COM NEW            09065V203   106      22300      SH             SOLE          22300
BJS RESTAURANTS INC                 COM                09180C106    98      10079      SH             SOLE          10079
BLACKROCK DIVID ACHIEVRS TM         COM                09250N107   156      15800      SH             SOLE          15800
BLACKROCK INC                       DBCV     2.625% 2/109247XAB7   1787    1000000     SH             SOLE          1000000
BLACKROCK S^P QLTY RK EQ MD         SHS BEN INT        09250D109   167      11600      SH             SOLE          11600
BLACKROCK SR HIGH INCOME FD         COM                09255T109    47      10000      SH             SOLE          10000
BLACKROCK STRAT DIVD ACHIEVE        COM                09249Y107   136      13100      SH             SOLE          13100
BLOCKBUSTER INC                     CL B               093679207    42      20571      SH             SOLE          20571
BLUELINX HLDGS INC                  COM                09624H109    78      22111      SH             SOLE          22111
BOISE INC                           COM                09746Y105    49      12855      SH             SOLE          12855
BOSTON PRIVATE FINL HLDGS IN        COM                101119105   183      32341      SH             SOLE          32341
BOULDER GROWTH & INCOME FD I        COM                101507101   108      14700      SH             SOLE          14700
BOWNE & CO INC                      COM                103043105   183      14324      SH             SOLE          14324
BP PRUDHOE BAY RTY TR               UNIT BEN INT       055630107   414      4003       SH             SOLE          4003
BRADY CORP                          CL A               104674106   316      9154       SH             SOLE          9154
BRASIL TELECOM PARTICIPACOES        SPON ADR PFD       105530109   223      3045       SH             SOLE          3045
BRISTOW GROUP INC                   COM                110394103   268      5411       SH             SOLE          5411
BRUSH ENGINEERED MATLS INC          COM                117421107   207      8480       SH             SOLE          8480
BSD MED CORP DEL                    COM                055662100    63      11200      SH             SOLE          11200
C^D TECHNOLOGIES INC                COM                124661109   108      12800      SH             SOLE          12800
CABOT MICROELECTRONICS CORP         COM                12709P103   244      7360       SH             SOLE          7360
CADENCE DESIGN SYSTEM INC           NOTE   1.375%12/1  127387AD0   431     500000      SH             SOLE          500000
CADENCE PHARMACEUTICALS INC         COM                12738T100   118      19387      SH             SOLE          19387
CAL DIVE INTL INC                   NOTE   3.250%12/1  127914AB5   733     500000      SH             SOLE          500000
CALAMP CORP                         COM                128126109    29      14116      SH             SOLE          14116
CALIFORNIA PIZZA KITCHEN INC        COM                13054D109   196      17502      SH             SOLE          17502
CALLWAVE INC DEL                    COM                13126N101    77      29700      SH             SOLE          29700
CAMERON INTERNATIONAL CORP          NOTE    2.500% 6/1 13342BAB1   2525    1500000     SH             SOLE          1500000
CANTEL MEDICAL CORP                 COM                138098108   112      11100      SH             SOLE          11100
CAPITALSOURCE INC                   COM                14055X102   139      12586      SH             SOLE          12586
CARDIAC SCIENCE CORP                COM                14141A108   165      20085      SH             SOLE          20085
CARNIVAL CORP                       DBCV     2.000% 4/1143658AN2   510     500000      SH             SOLE          500000
CARRIZO OIL & CO INC                COM                144577103   511      7506       SH             SOLE          7506
CARROLS RESTAURANT GROUP INC        COM                14574X104   135      25857      SH             SOLE          25857
CASUAL MALE RETAIL GRP INC          COM                148711104    33      10700      SH             SOLE          10700
CATO CORP NEW                       CL A               149205106   195      13669      SH             SOLE          13669
CAVALIER HOMES INC                  COM                149507105    27      13600      SH             SOLE          13600
CBEYOND INC                         COM                149847105   168      10485      SH             SOLE          10485
CDC CORP                            SHS A              G2022L106   147      59077      SH             SOLE          59077
CELANESE CORP DEL                   COM SER A          150870103   284      6211       SH             SOLE          6211
CELGENE CORP                        COM                151020104   2636     41279      SH             SOLE          41279
CELL GENESYS INC                    COM                150921104    32      12161      SH             SOLE          12161
CENTENNIAL COMMUNCTNS CORP N        CL A NEW           15133V208    80      11388      SH             SOLE          11388
CENTER BANCORP INC                  COM                151408101   165      18900      SH             SOLE          18900
CENTER FINL CORP CALIF              COM                15146E102   137      16200      SH             SOLE          16200
CENTURY ALUM CO                     NOTE   1.750% 8/0  156431AE8   1099    500000      SH             SOLE          500000
CEPHALON INC                        NOTE           6/1 156708AL3   620     500000      SH             SOLE          500000
CEPHALON INC                        NOTE   2.000% 6/0  156708AP4   1872    1219000     SH             SOLE          1219000
CERADYNE INC                        COM                156710105   283      8254       SH             SOLE          8254
CERUS CORP                          COM                157085101   120      29387      SH             SOLE          29387
CHARLES RIV LABS INTL INC           NOTE   2.250% 6/1  159864AB3   1420    1000000     SH             SOLE          1000000
CHARTER COMMUNICATIONS INC D        CL A               16117M107    12      11553      SH             SOLE          11553
CHESAPEAKE ENERGY CORP              NOTE    2.500% 5/1 165167BZ9   1773    1000000     SH             SOLE          1000000
CHESAPEAKE ENERGY CORP              NOTE    2.750%11/1 165167BW6   1789    1000000     SH             SOLE          1000000
CHICAGO BRIDGE & IRON CO N V        N Y REGISTRY SH    167250109   374      9393       SH             SOLE          9393
CHICOPEE BANCORP INC                COM                168565109   136      10616      SH             SOLE          10616
CHINA GRENTECH CORP LTD             ADR                16938P107    74      16265      SH             SOLE          16265
CHINA MOBILE LIMITED                SPONSORED ADR      16941M109   622      9290       SH             SOLE          9290
CHINA PRECISION STEEL INC           COM                16941J106    55      12504      SH             SOLE          12504
CHINACAST EDU CORP                  COM                16946T109    61      14500      SH             SOLE          14500
CHIPMOS TECH BERMUDA LTD            SHS                G2110R106   186      57400      SH             SOLE          57400
CHORDIANT SOFTWARE INC              COM NEW            170404305    71      14278      SH             SOLE          14278
CHURCHILL DOWNS INC                 COM                171484108   201      5766       SH             SOLE          5766
CIBER INC                           COM                17163B102   190      30617      SH             SOLE          30617
CIRRUS LOGIC INC                    COM                172755100    68      12148      SH             SOLE          12148
CITADEL BROADCASTING CORP           COM                17285T106    48      39292      SH             SOLE          39292
CKE RESTAURANTS INC                 NOTE    4.000%10/0 12561EAG0   1429    1000000     SH             SOLE          1000000
CLARIENT INC                        COM                180489106    34      17011      SH             SOLE          17011
CMGI INC                            COM NEW            125750307   118      11166      SH             SOLE          11166
CMS ENERGY CORP                     NOTE   2.875%12/0  125896AW0   591     500000      SH             SOLE          500000
CMS ENERGY CORP                     NOTE   3.375% 7/1  125896AY6   1473    1028000     SH             SOLE          1028000
CNX GAS CORP                        COM                12618H309   306      7279       SH             SOLE          7279
COEUR D ALENE MINES CORP IDA        COM                192108108    88      30274      SH             SOLE          30274
COGENT INC                          COM                19239Y108   131      11537      SH             SOLE          11537
COGO GROUP INC                      COM                192448108    99      10857      SH             SOLE          10857
COHERENT INC                        COM                192479103   279      9345       SH             SOLE          9345
COLUMBIA LABS INC                   COM                197779101    37      11200      SH             SOLE          11200
COMPANHIA DE BEBIDAS DAS AME        SPON ADR PFD       20441W203   224      3530       SH             SOLE          3530
COMPANHIA VALE DO RIO DOCE          SPON ADR PFD       204412100   278      9332       SH             SOLE          9332
COMPANIA DE TELECOMUNICS CHI        SPON ADR NEW       204449300    76      13237      SH             SOLE          13237
COMPASS DIVERSIFIED HOLDINGS        SH BEN INT         20451Q104   130      11417      SH             SOLE          11417
COMPASS MINERALS INTL INC           COM                20451N101   300      3728       SH             SOLE          3728
COMPUTER ASSOC INTL INC             NOTE    1.625%12/1 204912AQ2   1241    1000000     SH             SOLE          1000000
COMTECH TELECOMMUNICATIONS C        NOTE     2.000% 2/0205826AD2   597     384000      SH             SOLE          384000
CONCORD CAMERA CORP                 COM NEW            206156200    54      15100      SH             SOLE          15100
CONEXANT SYSTEMS INC                COM                207142100   106      23512      SH             SOLE          23512
CONSOLIDATED GRAPHICS INC           COM                209341106   317      6425       SH             SOLE          6425
CONSUMER PORTFOLIO SVCS INC         COM                210502100    29      19685      SH             SOLE          19685
CORE LABORATORIES N V               COM                N22717107   351      2467       SH             SOLE          2467
COVANTA HLDG CORP                   DBCV   1.000% 2/0  22282EAA0   535     500000      SH             SOLE          500000
CPI INTERNATIONAL INC               COM                12618M100   131      10681      SH             SOLE          10681
CRAY INC                            COM NEW            225223304   106      22851      SH             SOLE          22851
CRITICAL THERAPEUTICS INC           COM                22674T105    15      39900      SH             SOLE          39900
CROWN CRAFTS INC                    COM                228309100    48      13300      SH             SOLE          13300
CUTERA INC                          COM                232109108   175      19400      SH             SOLE          19400
CVB FINL CORP                       COM                126600105   177      18802      SH             SOLE          18802
CYBERONICS INC                      COM                23251P102   279      12844      SH             SOLE          12844
CYPRESS SEMICONDUCTOR CORP          NOTE   1.000% 9/1  232806AK5   2313    2000000     SH             SOLE          2000000
CYTOKINETICS INC                    COM                23282W100    50      13400      SH             SOLE          13400
DAG MEDIA INC                       COM                233729102    51      54500      SH             SOLE          54500
DEL MONTE FOODS CO                  COM                24522P103   138      19405      SH             SOLE          19405
DEPOMED INC                         COM                249908104    82      25500      SH             SOLE          25500
DESARROLLADORA HOMEX S A DE         SPONSORED ADR      25030W100   444      7584       SH             SOLE          7584
DEUTSCHE BANK AG                    NAMEN AKT          D18190898   2508     29385      SH             SOLE          29385
DIAMOND MGMT & TECHNOLOGY CO        COM                25269L106    70      13416      SH             SOLE          13416
DIAMONDROCK HOSPITALITY CO          COM                252784301   137      12565      SH             SOLE          12565
DIGI INTL INC                       COM                253798102    89      11290      SH             SOLE          11290
DIONEX CORP                         COM                254546104   602      9069       SH             SOLE          9069
DIVIDEND CAP RLTY INCM ALLC         COM                25537T105   147      27900      SH             SOLE          27900
DIVX INC                            COM                255413106   128      17422      SH             SOLE          17422
DOMINION RES INC VA NEW             NOTE     2.125%12/125746UAT6   648     500000      SH             SOLE          500000
DOT HILL SYS CORP                   COM                25848T109    97      38186      SH             SOLE          38186
DOVER CORP                          COM                260003108   438      9054       SH             SOLE          9054
DREAMWORKS ANIMATION SKG INC        CL A               26153C103   212      7103       SH             SOLE          7103
DSP GROUP INC                       COM                23332B106   145      20661      SH             SOLE          20661
DST SYS INC DEL                     DBCV    4.125% 8/1 233326AB3   462     370000      SH             SOLE          370000
DST SYS INC DEL                     DBCV    3.625% 8/1 233326AD9   845     737000      SH             SOLE          737000
DUN & BRADSTREET CORP DEL NE        COM                26483E100   210      2395       SH             SOLE          2395
DURECT CORP                         COM                266605104    66      17947      SH             SOLE          17947
DYAX CORP                           COM                26746E103   138      44641      SH             SOLE          44641
DYNAMIC MATLS CORP                  COM                267888105   288      8736       SH             SOLE          8736
E M C CORP MASS                     NOTE   1.750%12/0  268648AK8   1137    1000000     SH             SOLE          1000000
E M C CORP MASS                     NOTE   1.750%12/0  268648AM4   1144    1000000     SH             SOLE          1000000
EASTGROUP PPTY INC                  COM                277276101   400      9327       SH             SOLE          9327
EASTMAN KODAK CO                    NOTE     3.375%10/1277461BE8   470     500000      SH             SOLE          500000
EASYLINK SERVICES INTL CORP         CL A               277858106    65      19200      SH             SOLE          19200
ECHOSTAR CORP                       CL A               278768106   300      9611       SH             SOLE          9611
ECTEL LTD                           ORD                M29925100    34      18100      SH             SOLE          18100
EDGE PETE CORP DEL                  COM                279862106    77      14378      SH             SOLE          14378
EMAGEON INC                         COM                29076V109    25      11411      SH             SOLE          11411
EMMIS COMMUNICATIONS CORP           CL A               291525103   108      42937      SH             SOLE          42937
EMPIRE RESORTS INC                  COM                292052107    75      25506      SH             SOLE          25506
ENBRIDGE INC                        COM                29250N105   229      5296       SH             SOLE          5296
ENPRO INDS INC                      COM                29355X107   334      8941       SH             SOLE          8941
ENTERTAINMENT DIST CO INC           COM                29382J105    9       17838      SH             SOLE          17838
ENZO BIOCHEM INC                    COM                294100102   115      10240      SH             SOLE          10240
EPICOR SOFTWARE CORP                NOTE    2.375% 5/1 29426LAA6   691     1000000     SH             SOLE          1000000
EPIQ SYS INC                        COM                26882D109   157      11024      SH             SOLE          11024
EQUINIX INC                         DBCV    2.500% 2/1 29444UAE6   1464    638000      SH             SOLE          638000
EQUUS TOTAL RETURN INC              COM                294766100   127      18100      SH             SOLE          18100
ERP OPER LTD PARTNERSHIP            NOTE    3.850% 8/1 26884AAV5   951     1000000     SH             SOLE          1000000
ESSEX PPTY TR INC                   COM                297178105   582      5469       SH             SOLE          5469
EVOLUTION PETROLEUM CORP            COM                30049A107    71      11600      SH             SOLE          11600
EXFO ELECTRO OPTICAL ENGR IN        SUB VTG SHS        302043104   139      31172      SH             SOLE          31172
EXXON MOBIL CORP                    COM                30231G102   220      2500       SH     PUT     SOLE          2500
EXXON MOBIL CORP                    COM                30231G102   823      9333       SH             SOLE          9333
FALCONSTOR SOFTWARE INC             COM                306137100   175      24774      SH             SOLE          24774
FEDFIRST FINL CORP                  COM                31429X105    65      11800      SH             SOLE          11800
FEI CO                              NOTE     2.875% 6/030241LAF6   512     500000      SH             SOLE          500000
FIRST BANCORP P R                   COM                318672102   149      23547      SH             SOLE          23547
FIRST COMWLTH FINL CORP PA          COM                319829107   111      11919      SH             SOLE          11919
FIRST FINANCIAL NORTHWEST IN        COM                32022K102   168      16943      SH             SOLE          16943
FIRST REGL BANCORP                  COM                33615C101   139      24733      SH             SOLE          24733
FIVE STAR QUALITY CARE INC          COM                33832D106    49      10300      SH             SOLE          10300
FLEXTRONICS INTL LTD                NOTE   1.000% 8/0  33938EAL1   1879    2000000     SH             SOLE          2000000
FLIR SYS INC                        NOTE     3.000% 6/0302445AB7   3711    1000000     SH             SOLE          1000000
FLUOR CORP NEW                      NOTE   1.500% 2/1  343412AA0   1656    500000      SH             SOLE          500000
FORTRESS INTL GROUP INC             COM                34958D102    37      15600      SH             SOLE          15600
FORWARD AIR CORP                    COM                349853101   262      7583       SH             SOLE          7583
FOUNDATION COAL HLDGS INC           COM                35039W100   277      3130       SH             SOLE          3130
FRANKLIN STREET PPTYS CORP          COM                35471R106   196      15495      SH             SOLE          15495
FRANKLIN UNVL TR                    SH BEN INT         355145103    80      12400      SH             SOLE          12400
FREDERICKS HOLLYWOOD GROUP I        COM                35582T108    16      10350      SH             SOLE          10350
FRIEDMAN BILLINGS RAMSEY GRO        CL A               358434108   150     100146      SH             SOLE          100146
FTI CONSULTING INC                  NOTE     3.750% 7/1302941AB5   1165    500000      SH             SOLE          500000
FUELCELL ENERGY INC                 COM                35952H106   141      19891      SH             SOLE          19891
FULTON FINL CORP PA                 COM                360271100   114      11370      SH             SOLE          11370
GABELLI HLTHCARE & WELLNESS         SHS                36246K103    71      11400      SH             SOLE          11400
GATEHOUSE MEDIA INC                 COM                367348109   178      72170      SH             SOLE          72170
GENERAL CABLE CORP DEL NEW          NOTE     0.875%11/1369300AD0   672     500000      SH             SOLE          500000
GENERAL COMMUNICATION INC           CL A               369385109   110      15996      SH             SOLE          15996
GENERAL ELECTRIC CO                 COM                369604103   9334    349708      SH             SOLE          349708
GENERAL EMPLOYMENT ENTERPRIS        COM                369730106    25      29000      SH             SOLE          29000
GENESIS LEASE LTD                   ADR                37183T107   197      19081      SH             SOLE          19081
GENZYME CORP                        NOTE   1.250%12/0  372917AN4   1106    1000000     SH             SOLE          1000000
GEVITY HR INC                       COM                374393106    56      10330      SH             SOLE          10330
GFI GROUP INC                       COM                361652209   130      14446      SH             SOLE          14446
GIGAMEDIA LTD                       ORD                Y2711Y104   152      12746      SH             SOLE          12746
GILEAD SCIENCES INC                 NOTE   0.500% 5/0  375558AG8   718     500000      SH             SOLE          500000
GLADSTONE INVT CORP                 COM                376546107    64      10000      SH             SOLE          10000
GLG PARTNERS INC                    COM                37929X107   108      13904      SH             SOLE          13904
GLOBALSTAR INC                      COM                378973408    44      15696      SH             SOLE          15696
GLU MOBILE INC                      COM                379890106    61      12610      SH             SOLE          12610
GOLDEN CYCLE GOLD CORP              COM                380894105   3988    376892      SH             SOLE          376892
GOLDEN STAR RES LTD CDA             COM                38119T104    29      10943      SH             SOLE          10943
GOLDLEAF FINANCIAL SOLUTIONS        COM NEW            38144H208    29      13600      SH             SOLE          13600
GRAVITY CO LTD                      SPONSORED ADR      38911N107    18      13400      SH             SOLE          13400
GREAT LAKES DREDGE & DOCK CO        COM                390607109   116      18970      SH             SOLE          18970
GREAT WOLF RESORTS INC              COM                391523107   184      42042      SH             SOLE          42042
GREEN BANKSHARES INC                COM NEW            394361208   152      10815      SH             SOLE          10815
GRIFFON CORP                        COM                398433102   167      19111      SH             SOLE          19111
GRUBB & ELLIS CO                    COM PAR $0.01      400095204    40      10355      SH             SOLE          10355
GRUPO FINANCIERO GALICIA S A        SP ADR 10 SH B     399909100    59      12010      SH             SOLE          12010
GULFMARK OFFSHORE INC               COM                402629109   203      3485       SH             SOLE          3485
HANOVER CAP MTG HLDGS INC           COM                410761100    15      71190      SH             SOLE          71190
HARRINGTON WEST FINL GROUP I        COM                41383L104   184      49792      SH             SOLE          49792
HARRIS INTERACTIVE INC              COM                414549105   118      58800      SH             SOLE          58800
HARTMARX CORP                       COM                417119104    84      38530      SH             SOLE          38530
HASBRO INC                          DBCV   2.750%12/0  418056AN7   831     500000      SH             SOLE          500000
HCC INS HLDGS INC                   NOTE    1.300% 4/0 404132AB8   763     722000      SH             SOLE          722000
HEALTH CARE REIT INC                NOTE   4.750%12/0  42217KAP1   532     500000      SH             SOLE          500000
HEALTHTRONICS INC                   COM                42222L107   102      31100      SH             SOLE          31100
HEICO CORP NEW                      COM                422806109   204      6261       SH             SOLE          6261
HELEN OF TROY CORP LTD              COM                G4388N106   171      10597      SH             SOLE          10597
HERCULES TECH GROWTH CAP INC        COM                427096508   180      20129      SH             SOLE          20129
HFF INC                             CL A               40418F108   101      17678      SH             SOLE          17678
HORIZON LINES INC                   COM                44044K101   181      18153      SH             SOLE          18153
HORNBECK OFFSHORE SVCS INC N        COM                440543106   301      5334       SH             SOLE          5334
HOT TOPIC INC                       COM                441339108   113      20943      SH             SOLE          20943
HUMAN GENOME SCIENCES INC           COM                444903108   192      36829      SH             SOLE          36829
HUMANA INC                          COM                444859102   297      7460       SH             SOLE          7460
IAMGOLD CORP                        COM                450913108   125      20693      SH             SOLE          20693
IDEARC INC                          COM                451663108    57      24265      SH             SOLE          24265
IMMUNOGEN INC                       COM                45253H101    91      29753      SH             SOLE          29753
IMPERIAL OIL LTD                    COM NEW            453038408   441      8004       SH             SOLE          8004
INDYMAC BANCORP INC                 COM                456607100    42      68385      SH             SOLE          68385
INFOCUS CORP                        COM                45665B106    16      10500      SH             SOLE          10500
INFOGROUP INC                       COM                45670G108    86      19576      SH             SOLE          19576
INFORMATION SERVICES GROUP I        COM                45675Y104   158      33010      SH             SOLE          33010
ING RISK MANAGED NAT RES FD         COM                449810100   175      10200      SH             SOLE          10200
INLAND REAL ESTATE CORP             COM NEW            457461200   176      12212      SH             SOLE          12212
INNODATA ISOGEN INC                 COM NEW            457642205    45      16100      SH             SOLE          16100
INNOSPEC INC                        COM                45768S105   194      10324      SH             SOLE          10324
INSIGHT ENTERPRISES INC             COM                45765U103   183      15641      SH             SOLE          15641
INSPIRE PHARMACEUTICALS INC         COM                457733103    86      19984      SH             SOLE          19984
INTEL CORP                          SDCV     2.950%12/1458140AD2   974     1000000     SH             SOLE          1000000
INTERMUNE INC                       COM                45884X103   195      14893      SH             SOLE          14893
INTERNAP NETWORK SVCS CORP          COM PAR $.001      45885A300    88      18731      SH             SOLE          18731
INTERNATIONAL BUSINESS MACHS        COM                459200101   237      2000       SH     CALL    SOLE          2000
INTERNATIONAL COAL GRP INC N        COM                45928H106   183      14018      SH             SOLE          14018
INTERNET CAP GROUP INC              COM NEW            46059C205   189      24495      SH             SOLE          24495
INTERSTATE HOTELS & RESRTS I        COM                46088S106   138      53400      SH             SOLE          53400
INTUITIVE SURGICAL INC              COM NEW            46120E602   1991     7392       SH             SOLE          7392
INVESTORS REAL ESTATE TR            SH BEN INT         461730103   166      17410      SH             SOLE          17410
ION MEDIA NETWORKS INC              NOTE 11.000% 7/3   46205AAB9    56     200859      SH             SOLE          200859
IPASS INC                           COM                46261V108   181      87352      SH             SOLE          87352
IRWIN FINL CORP                     COM                464119106    90      33500      SH             SOLE          33500
ISHARES INC                         MSCI MEXICO        464286822   401      7044       SH             SOLE          7044
ISHARES INC                         MSCI BRAZIL        464286400   2234     24935      SH             SOLE          24935
ISHARES TR                          RUSSELL 2000       464287655   463      6700       SH     CALL    SOLE          6700
ISHARES TR                          FTSE XNHUA IDX     464287184   1435     10910      SH             SOLE          10910
ISHARES TR                          DJ US REAL EST     464287739   2292     37612      SH             SOLE          37612
ISLE OF CAPRI CASINOS INC           COM                464592104    97      20293      SH             SOLE          20293
IXYS CORP                           COM                46600W106   125      10504      SH             SOLE          10504
JAMBA INC                           COM                47023A101   137      74142      SH             SOLE          74142
JAPAN EQUITY FD INC                 COM                471057109   191      27300      SH             SOLE          27300
JAVELIN PHARMACEUTICALS INC         COM                471894105    29      12600      SH             SOLE          12600
JAZZ TECHNOLOGIES INC               COM                47214E102    42      34600      SH             SOLE          34600
JENNIFER CONVS INC                  COM                476153101    21      14400      SH             SOLE          14400
JER INVT TR INC                     COM                46614H301    81      12876      SH             SOLE          12876
JOS A BANK CLOTHIERS INC            COM                480838101   249      9320       SH             SOLE          9320
JUPITERMEDIA CORP                   COM                48207D101    19      13800      SH             SOLE          13800
K V PHARMACEUTICAL CO               NOTE   2.500% 5/1  482740AC1   483     500000      SH             SOLE          500000
KAISER ALUMINUM CORP                COM PAR $0.01      483007704   378      7066       SH             SOLE          7066
KAYDON CORP                         COM                486587108   277      5397       SH             SOLE          5397
KB HOME                             COM                48666K109   188      11111      SH             SOLE          11111
KINTERA INC                         COM                49720P506    69      62607      SH             SOLE          62607
KODIAK OIL & GAS CORP               COM                50015Q100    78      17200      SH             SOLE          17200
KOPPERS HOLDINGS INC                COM                50060P106   216      5168       SH             SOLE          5168
KULICKE & SOFFA INDS INC            COM                501242101    90      12304      SH             SOLE          12304
LABORATORY CORP AMER HLDGS          NOTE          9/1  50540RAG7   476     500000      SH             SOLE          500000
LAMAR ADVERTISING CO                NOTE   2.875%12/3  512815AH4   493     500000      SH             SOLE          500000
LATTICE SEMICONDUCTOR CORP          COM                518415104   103      32890      SH             SOLE          32890
LAYNE CHRISTENSEN CO                COM                521050104   211      4811       SH             SOLE          4811
LENNAR CORP                         CL B               526057302   158      14242      SH             SOLE          14242
LEUCADIA NATL CORP                  NOTE   3.750% 4/1  527288AX2   2921    1360000     SH             SOLE          1360000
LEVEL 3 COMMUNICATIONS INC          COM                52729N100   105      35599      SH             SOLE          35599
LEVEL 3 COMMUNICATIONS INC          NOTE   6.000% 9/1  52729NAG5   476     500000      SH             SOLE          500000
LEXICON PHARMACEUTICALS INC         COM                528872104    25      15790      SH             SOLE          15790
LIBERTY GLOBAL INC                  COM SER A          530555101   257      8174       SH             SOLE          8174
LIBERTY MEDIA CORP NEW              ENT COM SER A      53071M500   235      9704       SH             SOLE          9704
LIBERTY MEDIA CORP NEW              CAP COM SER A      53071M302   197      13652      SH             SOLE          13652
LIGAND PHARMACEUTICALS INC          CL B               53220K207    48      18594      SH             SOLE          18594
LIN TV CORP                         CL A               532774106    62      10338      SH             SOLE          10338
LIONBRIDGE TECHNOLOGIES INC         COM                536252109   111      43113      SH             SOLE          43113
LITTELFUSE INC                      COM                537008104   206      6526       SH             SOLE          6526
LO-JACK CORP                        COM                539451104    80      10050      SH             SOLE          10050
LOCKHEED MARTIN CORP                DBCV            8/1539830AP4   682     500000      SH             SOLE          500000
LODGIAN INC                         COM PAR $.01       54021P403   149      18969      SH             SOLE          18969
M-SYSTEMS FIN INC                   NOTE   1.000% 3/1  55375VAB8   217     238000      SH             SOLE          238000
MAD CATZ INTERACTIVE INC            COM                556162105    21      36000      SH             SOLE          36000
MAGUIRE PPTYS INC                   COM                559775101   127      10457      SH             SOLE          10457
MALAYSIA FD INC                     COM                560905101   140      15300      SH             SOLE          15300
MANAGED HIGH YIELD PLUS FD I        COM                561911108    41      12700      SH             SOLE          12700
MANNKIND CORP                       COM                56400P201   122      40615      SH             SOLE          40615
MARLIN BUSINESS SVCS CORP           COM                571157106    88      12714      SH             SOLE          12714
MASTERCARD INC                      CL A               57636Q104   2273     8561       SH             SOLE          8561
MATTHEWS INTL CORP                  CL A               577128101   367      8116       SH             SOLE          8116
MAXIMUS INC                         COM                577933104   241      6912       SH             SOLE          6912
MAXYGEN INC                         COM                577776107    42      12272      SH             SOLE          12272
MCG CAPITAL CORP                    COM                58047P107    87      21796      SH             SOLE          21796
MEADE INSTRUMENTS CORP              COM                583062104    79      87377      SH             SOLE          87377
MEDIA SCIENCES INTL INC             COM                58446X107    29      12200      SH             SOLE          12200
MEDIACOM COMMUNICATIONS CORP        CL A               58446K105    55      10313      SH             SOLE          10313
MEDTRONIC INC                       NOTE     1.500% 4/1585055AL0   1064    1000000     SH             SOLE          1000000
MEDTRONIC INC                       NOTE     1.625% 4/1585055AM8   1071    1000000     SH             SOLE          1000000
MEMC ELECTR MATLS INC               COM                552715104   315      5126       SH             SOLE          5126
METALLICA RES INC                   COM                59125J104    69      10314      SH             SOLE          10314
METROPOLITAN HEALTH NETWORKS        COM                592142103    39      21782      SH             SOLE          21782
METTLER TOLEDO INTERNATIONAL        COM                592688105   455      4794       SH             SOLE          4794
MGP INGREDIENTS INC                 COM                55302G103    93      15974      SH             SOLE          15974
MICROMET INC                        COM                59509C105    36      13500      SH             SOLE          13500
MICROSTRATEGY INC                   CL A NEW           594972408   379      5858       SH             SOLE          5858
MIDWAY GAMES INC                    COM                598148104    31      13914      SH             SOLE          13914
MILLER INDS INC TENN                COM NEW            600551204   125      12536      SH             SOLE          12536
MILLIPORE CORP                      NOTE    3.750% 6/0 601073AD1   1009    1000000     SH             SOLE          1000000
MOBILE TELESYSTEMS OJSC             SPONSORED ADR      607409109   280      3650       SH             SOLE          3650
MOMENTA PHARMACEUTICALS INC         COM                60877T100   179      14552      SH             SOLE          14552
MONEYGRAM INTL INC                  COM                60935Y109    29      32466      SH             SOLE          32466
MORTONS RESTAURANT GRP INC N        COM                619430101   110      15926      SH             SOLE          15926
MTR GAMING GROUP INC                COM                553769100   123      25754      SH             SOLE          25754
MYERS INDS INC                      COM                628464109   110      13537      SH             SOLE          13537
NABI BIOPHARMACEUTICALS             COM                629519109   108      27291      SH             SOLE          27291
NARA BANCORP INC                    COM                63080P105   136      12676      SH             SOLE          12676
NASH FINCH CO                       COM                631158102   246      7189       SH             SOLE          7189
NATIONAL RETAIL PROPERTIES I        NOTE   3.950% 9/1  637417AA4   486     500000      SH             SOLE          500000
NAUTILUS INC                        COM                63910B102    92      18113      SH             SOLE          18113
NAVISITE INC                        COM NEW            63935M208    50      13200      SH             SOLE          13200
NCI BUILDING SYS INC                COM                628852105   366      9953       SH             SOLE          9953
NEONODE INC                         COM                64051M105    6       17552      SH             SOLE          17552
NEOSE TECHNOLOGIES INC              COM                640522108    9       30200      SH             SOLE          30200
NETGEAR INC                         COM                64111Q104   159      11488      SH             SOLE          11488
NETWORK EQUIP TECHNOLOGIES          COM                641208103    53      14811      SH             SOLE          14811
NEVADA GOLD & CASINOS INC           COM NEW            64126Q206    30      24400      SH             SOLE          24400
NEVSUN RES LTD                      COM                64156L101    48      22800      SH             SOLE          22800
NEW AMER HIGH INCOME FD INC         COM                641876107    30      18600      SH             SOLE          18600
NEW FRONTIER MEDIA INC              COM                644398109    39      10100      SH             SOLE          10100
NEWSTAR FINANCIAL INC               COM                65251F105    99      16814      SH             SOLE          16814
NEXMED INC                          COM                652903105    15      11700      SH             SOLE          11700
NEXTWAVE WIRELESS INC               COM                65337Y102    62      15256      SH             SOLE          15256
NIC INC                             COM                62914B100    74      10881      SH             SOLE          10881
NICHOLAS APPLEGATE CV^INC FD        COM                65370G109   116      10000      SH             SOLE          10000
NIGHTHAWK RADIOLOGY HLDGS IN        COM                65411N105   104      14650      SH             SOLE          14650
NII HLDGS INC                       NOTE   2.750% 8/1  62913FAF9   1164    1000000     SH             SOLE          1000000
NORTHFIELD BANCORP INC NEW          COM                66611L105   152      14142      SH             SOLE          14142
NORTHWEST AIRLS CORP                COM                667280408    99      14914      SH             SOLE          14914
NOVACEA INC                         COM                66987B103    65      24951      SH             SOLE          24951
NOVAMED INC DEL                     COM                66986W108    53      14100      SH             SOLE          14100
NOVAMERICAN STEEL INC               COM                66986M100    33      11253      SH             SOLE          11253
NUVEEN EQUITY PREM & GROWTH         COM                6706EW100   186      12100      SH             SOLE          12100
NUVEEN QUALITY PFD INCOME FD        COM                67071S101    94      10000      SH             SOLE          10000
NVR INC                             COM                62944T105   671      1342       SH             SOLE          1342
NXSTAGE MEDICAL INC                 COM                67072V103    66      17173      SH             SOLE          17173
NYMEX HOLDINGS INC                  COM                62948N104   2323     27500      SH     PUT     SOLE          27500
OM GROUP INC                        COM                670872100   290      8831       SH             SOLE          8831
OMNICELL INC                        COM                68213N109   162      12291      SH             SOLE          12291
OMNOVA SOLUTIONS INC                COM                682129101    95      34000      SH             SOLE          34000
ON ASSIGNMENT INC                   COM                682159108   135      16808      SH             SOLE          16808
OPNET TECHNOLOGIES INC              COM                683757108   101      11200      SH             SOLE          11200
OPNEXT INC                          COM                68375V105    83      15468      SH             SOLE          15468
OPTIMAL GROUP INC                   CL A NEW           68388R208   108      49900      SH             SOLE          49900
ORASURE TECHNOLOGIES INC            COM                68554V108    54      14451      SH             SOLE          14451
ORCHID CELLMARK INC                 COM                68573C107    75      28800      SH             SOLE          28800
ORTHOVITA INC                       COM                68750U102   177      86515      SH             SOLE          86515
OSCIENT PHARMACEUTICALS CORP        COM NEW            68812R303    17      11700      SH             SOLE          11700
PANERA BREAD CO                     CL A               69840W108   257      5555       SH             SOLE          5555
PANTRY INC                          COM                698657103   131      12299      SH             SOLE          12299
PARKWAY PPTYS INC                   COM                70159Q104   257      7608       SH             SOLE          7608
PATNI COMPUTER SYS                  SPONS ADR          703248203   110      10995      SH             SOLE          10995
PENNANTPARK INVT CORP               COM                708062104   194      26894      SH             SOLE          26894
PENWEST PHARMACEUTICALS CO          COM                709754105    43      16092      SH             SOLE          16092
PERDIGAO S A                        SPONSORED ADR      71361V303   208      3823       SH             SOLE          3823
PERINI CORP                         COM                713839108   220      6671       SH             SOLE          6671
PETMED EXPRESS INC                  COM                716382106   177      14472      SH             SOLE          14472
PETROLEO BRASILEIRO SA PETRO        SP ADR NON VTG     71654V101   213      3679       SH             SOLE          3679
PETROLEO BRASILEIRO SA PETRO        SPONSORED ADR      71654V408   499      7052       SH             SOLE          7052
PETROLEUM DEV CORP                  COM                716578109   366      5499       SH             SOLE          5499
PHARMACOPEIA INC                    COM                7171EP101    49      12700      SH             SOLE          12700
PHOTOMEDEX INC                      COM                719358103    18      25500      SH             SOLE          25500
PINNACLE AIRL CORP                  COM                723443107   153      48500      SH             SOLE          48500
PINNACLE GAS RESOURCES INC          COM                723464301    47      12924      SH             SOLE          12924
PLAINS EXPL& PRODTN CO              COM                726505100   479      6559       SH             SOLE          6559
POLARIS INDS INC                    COM                731068102   262      6496       SH             SOLE          6496
POSCO                               SPONSORED ADR      693483109   609      4689       SH             SOLE          4689
POWERSHARES QQQ TRUST               UNIT SER 1         73935A104   632      14000      SH     CALL    SOLE          14000
POZEN INC                           COM                73941U102   190      17456      SH             SOLE          17456
PREFERRED BK LOS ANGELES CA         COM                740367107   194      37525      SH             SOLE          37525
PREMIER EXIBITIONS INC              COM                74051E102    67      14800      SH             SOLE          14800
PRESTIGE BRANDS HLDGS INC           COM                74112D101   127      11878      SH             SOLE          11878
PRG-SCHULTZ INTERNATIONAL IN        COM NEW            69357C503   110      11739      SH             SOLE          11739
PROASSURANCE CORP                   DBCV    3.900% 6/3 74267CAB2   577     500000      SH             SOLE          500000
PROGRESS SOFTWARE CORP              COM                743312100   241      9442       SH             SOLE          9442
PROLIANCE INTL INC                  COM                74340R104    25      26800      SH             SOLE          26800
PUTNAM MANAGED MUN INCOM TR         COM                746823103    99      14008      SH             SOLE          14008
PUTNAM MUN OPPORTUNITIES TR         SH BEN INT         746922103   152      14072      SH             SOLE          14072
PYRAMID BREWERIES INC               COM                747135101    87      32258      SH             SOLE          32258
QIAO XING MOBILE COMM CO LTD        SHS                G73031109    54      11050      SH             SOLE          11050
QIAO XING UNIVERSAL TELEPHON        ORD                G7303A109    70      15900      SH             SOLE          15900
QUANTA SVCS INC                     SDCV   4.500%10/0  74762EAC6   1105    369000      SH             SOLE          369000
QUANTA SVCS INC                     NOTE   3.750% 4/3  74762EAE2   1602    1000000     SH             SOLE          1000000
QUANTUM CORP                        COM DSSG           747906204    15      11440      SH             SOLE          11440
QUESTCOR PHARMACEUTICALS INC        COM                74835Y101    52      11270      SH             SOLE          11270
QWEST COMMUNICATIONS INTL IN        NOTE   3.500%11/1  749121BY4   1389    1417000     SH             SOLE          1417000
RADISYS CORP                        COM                750459109   103      11328      SH             SOLE          11328
RADNET INC                          COM                750491102    71      11422      SH             SOLE          11422
RADWARE LTD                         ORD                M81873107   139      15752      SH             SOLE          15752
RAINMAKER SYSTEMS                   COM NEW            750875304   114      39200      SH             SOLE          39200
RAIT FINANCIAL TRUST                COM                749227104    92      12415      SH             SOLE          12415
RAMBUS INC DEL                      NOTE            2/0750917AB2   1058    1000000     SH             SOLE          1000000
RAND LOGISTICS INC                  COM                752182105    70      12400      SH             SOLE          12400
REALNETWORKS INC                    COM                75605L104   157      23753      SH             SOLE          23753
REDDY ICE HLDGS INC                 COM                75734R105   149      10874      SH             SOLE          10874
REGAL BELOIT CORP                   COM                758750103   253      5998       SH             SOLE          5998
REINSURANCE GROUP AMER INC          PFD TR INC EQ      759351307   283      6512       SH             SOLE          6512
RELM WIRELESS CORP                  COM                759525108    38      25000      SH             SOLE          25000
RENASANT CORP                       COM                75970E107   166      11254      SH             SOLE          11254
RESOURCE AMERICA INC                CL A               761195205   163      17500      SH             SOLE          17500
RETAIL VENTURES INC                 COM                76128Y102   105      22816      SH             SOLE          22816
REWARDS NETWORK INC                 COM                761557107    60      14700      SH             SOLE          14700
RITE AID CORP                       COM                767754104    18      11063      SH             SOLE          11063
ROCKFORD CORP                       COM                77316P101    21      20000      SH             SOLE          20000
ROFIN SINAR TECHNOLOGIES INC        COM                775043102   200      6639       SH             SOLE          6639
RPM INTL INC                        NOTE          5/1  749685AK9   279     500000      SH             SOLE          500000
RTI INTL METALS INC                 COM                74973W107   340      9551       SH             SOLE          9551
RUTHS HOSPITALITY GROUP INC         COM                783332109   124      24000      SH             SOLE          24000
RYANAIR HLDGS PLC                   SPONSORED ADR      783513104   248      8656       SH             SOLE          8656
SAIA INC                            COM                78709Y105   159      14600      SH             SOLE          14600
SAKS INC                            NOTE   2.000% 3/1  79377WAL2   528     500000      SH             SOLE          500000
SALARY COM INC                      COM                794006106    69      17400      SH             SOLE          17400
SANTARUS INC                        COM                802817304    26      12900      SH             SOLE          12900
SAPPI LTD                           SPON ADR NEW       803069202   195      16382      SH             SOLE          16382
SAUL CTRS INC                       COM                804395101   245      5223       SH             SOLE          5223
SBA COMMUNICATIONS CORP             NOTE   0.375%12/0  78388JAJ5   1176    1000000     SH             SOLE          1000000
SCHLUMBERGER LTD                    DBCV     2.125% 6/0806857AD0   2700    1000000     SH             SOLE          1000000
SCRIPPS NETWORKS INTERACT IN        CL A COM           811065101   342      8400       SH             SOLE          8400
SEACHANGE INTL INC                  COM                811699107    87      12086      SH             SOLE          12086
SEACOR HOLDINGS INC                 DBCV     2.875%12/1811904AJ0   647     500000      SH             SOLE          500000
SEALY CORP                          COM                812139301   140      24477      SH             SOLE          24477
SEASPAN CORP                        SHS                Y75638109   211      8791       SH             SOLE          8791
SECURE COMPUTING CORP               COM                813705100   184      44458      SH             SOLE          44458
SECURITY NATL FINL CORP             CL A NEW           814785309    42      11655      SH             SOLE          11655
SELECTICA INC                       COM                816288104    35      26100      SH             SOLE          26100
SEMICONDUCTOR MFG INTL CORP         SPONSORED ADR      81663N206    31      10792      SH             SOLE          10792
SENOMYX INC                         COM                81724Q107    80      16200      SH             SOLE          16200
SEPRACOR INC                        NOTE          12/1 817315AT1   978     1000000     SH             SOLE          1000000
SESI L L C                          NOTE   1.500%12/1  78412FAH7   1341    1000000     SH             SOLE          1000000
SIFY TECHNOLOGIES LIMITED           SPONSORED ADR      82655M107    92      24044      SH             SOLE          24044
SILICON GRAPHICS INC                COM NEW            827056300    84      15220      SH             SOLE          15220
SILICON LABORATORIES INC            COM                826919102   215      5961       SH             SOLE          5961
SILVERLEAF RESORTS INC              COM                828395103    51      22700      SH             SOLE          22700
SIRF TECHNOLOGY HLDGS INC           COM                82967H101   192      44475      SH             SOLE          44475
SKILLED HEALTHCARE GROUP INC        CL A               83066R107   150      11172      SH             SOLE          11172
SM^A                                COM                78465D105    74      15500      SH             SOLE          15500
SMART MODULAR TECHNOLOGIES I        ORD SHS            G82245104    66      17335      SH             SOLE          17335
SMARTPROS LTD                       COM                83171G103    37      10800      SH             SOLE          10800
SOAPSTONE NETWORKS INC              COM                833570104    87      22724      SH             SOLE          22724
SONIC INNOVATIONS INC               COM                83545M109   124      37000      SH             SOLE          37000
SOURCE INTERLINK COS INC            COM NEW            836151209    44      19800      SH             SOLE          19800
SOURCEFIRE INC                      COM                83616T108    92      11887      SH             SOLE          11887
SOUTH JERSEY INDS INC               COM                838518108   339      9072       SH             SOLE          9072
SPANISH BROADCASTING SYS INC        CL A               846425882    27      23600      SH             SOLE          23600
SPARK NETWORKS INC                  COM                84651P100    59      13800      SH             SOLE          13800
SPDR GOLD TRUST                     GOLD SHS           78463V107  73647    805769      SH             SOLE          805769
SPECTRUM CTL INC                    COM                847615101   119      14500      SH             SOLE          14500
SPHERION CORP                       COM                848420105   163      35211      SH             SOLE          35211
ST MARY LD & EXPL CO                COM                792228108   204      3158       SH             SOLE          3158
STANDARD MTR PRODS INC              COM                853666105   135      16605      SH             SOLE          16605
STEAK N SHAKE CO                    COM                857873103   132      20787      SH             SOLE          20787
STEINER LEISURE LTD                 ORD                P8744Y102   205      7227       SH             SOLE          7227
STERLING BANCORP                    COM                859158107   145      12108      SH             SOLE          12108
STERLING BANCSHARES INC             COM                858907108   110      12094      SH             SOLE          12094
SULPHCO INC                         COM                865378103    35      15631      SH             SOLE          15631
SUMTOTAL SYS INC                    COM                866615107    98      20900      SH             SOLE          20900
SUN BANCORP INC                     COM                86663B102   134      13238      SH             SOLE          13238
SUNPOWER CORP                       DBCV     1.250% 2/1867652AA7   110      77000      SH             SOLE          77000
SUNTECH PWR HLDGS CO LTD            NOTE    0.250% 2/1 86800CAC8   1560    1500000     SH             SOLE          1500000
SUPER MICRO COMPUTER INC            COM                86800U104    83      11303      SH             SOLE          11303
SUPERIOR ENERGY SVCS INC            COM                868157108   441      7989       SH             SOLE          7989
SYBASE INC                          NOTE     1.750% 2/2871130AB6   629     500000      SH             SOLE          500000
SYCAMORE NETWORKS INC               COM                871206108    80      24909      SH             SOLE          24909
SYKES ENTERPRISES INC               COM                871237103   195      10330      SH             SOLE          10330
SYMANTEC CORP                       NOTE   0.750% 6/1  871503AD0   573     500000      SH             SOLE          500000
SYMANTEC CORP                       NOTE   1.000% 6/1  871503AF5   579     500000      SH             SOLE          500000
SYNERON MEDICAL LTD                 ORD SHS            M87245102   173      10542      SH             SOLE          10542
SYNGENTA AG                         SPONSORED ADR      87160A100   220      3405       SH             SOLE          3405
SYNTROLEUM CORP                     COM                871630109    20      11442      SH             SOLE          11442
TAIWAN GREATER CHINA FD             SH BEN INT         874037104   127      20825      SH             SOLE          20825
TALBOTS INC                         COM                874161102   178      15380      SH             SOLE          15380
TANGER PPTYS LTD PARTNERSHIP        NOTE     3.750% 8/1875484AE7   543     500000      SH             SOLE          500000
TARGETED GENETICS CORP              COM NEW            87612M306    7       11700      SH             SOLE          11700
TATA MTRS LTD                       SPONSORED ADR      876568502   134      13343      SH             SOLE          13343
TCW STRATEGIC INCOME FUND IN        COM                872340104    37      10037      SH             SOLE          10037
TEFRON LTD                          ORD                M87482101    25      10330      SH             SOLE          10330
TELEDYNE TECHNOLOGIES INC           COM                879360105   238      4888       SH             SOLE          4888
TENET HEALTHCARE CORP               COM                88033G100   134      24189      SH             SOLE          24189
TERCICA INC                         COM                88078L105   146      16510      SH             SOLE          16510
TETON ENERGY CORP                   COM                881628101    53      10600      SH             SOLE          10600
TEVA PHARMACEUTICAL FIN CO B        NOTE   1.750% 2/0  88165FAA0   1112    1000000     SH             SOLE          1000000
TEVA PHARMACEUTICAL FIN II L        DBCV   0.500% 2/0  88164RAA5   1223    1000000     SH             SOLE          1000000
TEXAS INDS INC                      COM                882491103   206      3664       SH             SOLE          3664
THERAVANCE INC                      COM                88338T104   148      12491      SH             SOLE          12491
THOMAS WEISEL PARTNERS GRP I        COM                884481102    84      15426      SH             SOLE          15426
THOMSON                             SPONSORED ADR      885118109   183      35524      SH             SOLE          35524
THORNBURG MTG INC                   COM                885218107    5       22855      SH             SOLE          22855
TIBCO SOFTWARE INC                  COM                88632Q103   115      15045      SH             SOLE          15045
TICC CAPITAL CORP                   COM                87244T109    88      16154      SH             SOLE          16154
TOLLGRADE COMMUNICATIONS INC        COM                889542106    64      14151      SH             SOLE          14151
TORTOISE CAP RES CORP               COM                89147N304   126      10578      SH             SOLE          10578
TOWN SPORTS INTL HLDGS INC          COM                89214A102   163      17494      SH             SOLE          17494
TRANS WORLD ENTMT CORP              COM                89336Q100    38      13415      SH             SOLE          13415
TRANSACT TECHNOLOGIES INC           COM                892918103    94      11377      SH             SOLE          11377
TRANSDIGM GROUP INC                 COM                893641100   203      6057       SH             SOLE          6057
TRANSPORTADORA DE GAS SUR           SPON ADR B         893870204    44      12323      SH             SOLE          12323
TRIDENT MICROSYSTEMS INC            COM                895919108    58      15977      SH             SOLE          15977
TRINITY BIOTECH PLC                 SPON ADR NEW       896438306    45      11600      SH             SOLE          11600
TRIPLE CROWN MEDIA INC              COM                89675K102    9       18900      SH             SOLE          18900
TRIUMPH GROUP INC NEW               NOTE    2.625%10/0 896818AB7   543     500000      SH             SOLE          500000
TRIZETTO GROUP INC                  NOTE    2.750%10/0 896882AB3   625     500000      SH             SOLE          500000
TRONOX INC                          COM CL B           897051207    51      16797      SH             SOLE          16797
TRONOX INC                          CL A               897051108    74      23374      SH             SOLE          23374
TRUSTCO BK CORP N Y                 COM                898349105    89      12020      SH             SOLE          12020
TRW AUTOMOTIVE HLDGS CORP           COM                87264S106   204      11071      SH             SOLE          11071
TS^W CLAYMORE TAX ADVNTG BL         COM                87280R108   160      14400      SH             SOLE          14400
TSR INC                             COM                872885108    46      11900      SH             SOLE          11900
TYLER TECHNOLOGIES INC              COM                902252105   161      11833      SH             SOLE          11833
U S CONCRETE INC                    COM                90333L102    99      20697      SH             SOLE          20697
UCBH HOLDINGS INC                   COM                90262T308   131      58369      SH             SOLE          58369
UNICA CORP                          COM                904583101    84      10466      SH             SOLE          10466
UNIFI INC                           COM                904677101    78      31096      SH             SOLE          31096
UNILEVER PLC                        SPON ADR NEW       904767704   267      9406       SH             SOLE          9406
UNIONBANCAL CORP                    COM                908906100   373      9233       SH             SOLE          9233
UNIT CORP                           COM                909218109   752      9064       SH             SOLE          9064
UNIVERSAL AMERICAN CORP             COM                913377107   173      16959      SH             SOLE          16959
UNIVERSAL HEALTH RLTY INCM T        SH BEN INT         91359E105   216      7205       SH             SOLE          7205
UNIVERSAL POWER GROUP INC           COM                913788105    44      10000      SH             SOLE          10000
USA MOBILITY INC                    COM                90341G103   136      18033      SH             SOLE          18033
UST INC                             COM                902911106   719      13175      SH             SOLE          13175
VANDA PHARMACEUTICALS INC           COM                921659108   159      48378      SH             SOLE          48378
VCG HLDG CORP                       COM                91821K101    56      14867      SH             SOLE          14867
VERICHIP CORP                       COM                92342V105    24      15700      SH             SOLE          15700
VIMICRO INTL CORP                   ADR                92718N109    60      21100      SH             SOLE          21100
VIRGINIA COMM BANCORP INC           COM                92778Q109    64      12389      SH             SOLE          12389
VIROPHARMA INC                      COM                928241108   154      13951      SH             SOLE          13951
VIVO PARTICIPACOES S A              SPON ADR PFD       92855S101    82      12907      SH             SOLE          12907
VORNADO RLTY L P                    DEB    3.875% 4/1  929043AC1   566     500000      SH             SOLE          500000
W HLDG CO INC                       COM                929251106    25      29496      SH             SOLE          29496
WARNER MUSIC GROUP CORP             COM                934550104   101      14182      SH             SOLE          14182
WASHINGTON REAL ESTATE INVT         NOTE   3.875% 9/1  939653AJ0   452     500000      SH             SOLE          500000
WESCO INTL INC                      DBCV     2.625%10/195082PAE5   1150    1000000     SH             SOLE          1000000
WEST COAST BANCORP ORE NEW          COM                952145100   147      16900      SH             SOLE          16900
WEST PHARMACEUTICAL SVSC INC        COM                955306105   305      7042       SH             SOLE          7042
WESTAFF INC                         COM                957070105    19      15800      SH             SOLE          15800
WESTERN ALLIANCE BANCORP            COM                957638109   122      15756      SH             SOLE          15756
WILSONS THE LEATHER EXPERTS         COM                972463103    1       12199      SH             SOLE          12199
WINTHROP RLTY TR                    SH BEN INT         976391102    82      22678      SH             SOLE          22678
WMS INDS INC                        NOTE     2.750% 7/1929297AE9   622     269000      SH             SOLE          269000
WOODWARD GOVERNOR CO                COM                980745103   218      6100       SH             SOLE          6100
WORKSTREAM INC                      COM                981402100    6       32700      SH             SOLE          32700
WPP GROUP PLC                       SPON ADR 0905      929309409   382      7978       SH             SOLE          7978
WYETH                               DBCV          1/1  983024AD2   1538    1500000     SH             SOLE          1500000
XILINX INC                          COM                983919101   206      8144       SH             SOLE          8144
XILINX INC                          DBCV   3.125% 3/1  983919AD3   938     1000000     SH             SOLE          1000000
YOUNG BROADCASTING INC              CL A               987434107    5       38400      SH             SOLE          38400
ZIX CORP                            COM                98974P100    29      10433      SH             SOLE          10433
ZYMOGENETICS INC                    COM                98985T109   140      16590      SH             SOLE          16590