UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number   811-02753

SBL FUND

(Exact name of registrant as specified in charter)

ONE SECURITY BENEFIT PLACE, TOPEKA, KANSAS	66636-0001
(Address of principal executive offices)	(Zip code)

RICHARD M. GOLDMAN, PRESIDENT

SBL FUND

ONE SECURITY BENEFIT PLACE

TOPEKA, KANSAS 66636-0001

(Name and address of agent for service)

Registrant’s telephone number, including area code: (785) 438-3000

Date of fiscal year end: December 31

Date of reporting period: December 31, 2009

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.

Item 1. Reports to Stockholders.

SBL Fund

December 31, 2009

Annual Report

Table of Contents

Information about your Series expenses	2
Series A (Equity Series)	3
Series B (Large Cap Value Series)	11
Series C (Money Market Series)	19
Series D (Global Series)	27
Series E (U.S. Intermediate Bond Series)	35
Series H (Enhanced Index Series)	43
Series J (Mid Cap Growth Series)	53
Series N (Managed Asset Allocation Series)	61
Series O (All Cap Value Series)	89
Series P (High Yield Series)	97
Series Q (Small Cap Value Series)	107
Series V (Mid Cap Value Series)	114
Series X (Small Cap Growth Series)	123
Series Y (Select 25 Series)	131
Series Z (Alpha Opportunity Series)	137
Notes to Financial Statements	149
Directors and Officers	170

1

Information About Your Series Expenses

December 31, 2009 (unaudited)

Calculating your ongoing Series expenses

As a shareholder of the Series, you incur ongoing costs, including management fees and other series expenses. Performance figures and expense ratios do not reflect fees and expenses associated with an investment in variable insurance products. Shares of a Series of SBL Fund are available only through the purchase of such products. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, July 1, 2009 through December 31, 2009.

Actual Expenses

The first table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second table provides information about hypothetical account values and hypothetical expenses based on the Series actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses associated with an investment in variable insurance products. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses associated with an investment in variable insurance products were included, your costs would have been higher.

	Expense Ratio1		Fund Return		Beginning Account Value 7/1/2009		Ending Account Value 12/31/2009		Expenses Paid During Period2
Table 1. Based on actual Series return3
Series A (Equity Series)	0.91	%	22.82	%	$	1,000.00	$	1,228.17	$	5.11
Series B (Large Cap Value Series)	0.80	%	21.58	%		1,000.00		1,215.77		4.47
Series C (Money Market Series)	0.68	%	(0.29	)%		1,000.00		997.06		3.42
Series D (Global Series)	1.26	%	16.73	%		1,000.00		1,167.33		6.88
Series E (U.S. Intermediate Bond Series)	0.76	%	3.82	%		1,000.00		1,038.17		3.90
Series H (Enhanced Index Series)	0.76	%	22.95	%		1,000.00		1,229.49		4.27
Series J (Mid Cap Growth Series)	0.91	%	20.64	%		1,000.00		1,206.38		5.06
Series N (Managed Asset Allocation Series)	1.67	%	16.36	%		1,000.00		1,163.65		9.11
Series O (All Cap Value Series)	0.85	%	22.61	%		1,000.00		1,226.14		4.77
Series P (High Yield Series)	0.92	%	23.67	%		1,000.00		1,236.67		5.19
Series Q (Small Cap Value Series)	1.12	%	25.57	%		1,000.00		1,255.69		6.37
Series V (Mid Cap Value Series)	0.91	%	23.37	%		1,000.00		1,233.65		5.12
Series X (Small Cap Growth Series)	1.07	%	26.26	%		1,000.00		1,262.61		6.10
Series Y (Select 25 Series)	0.98	%	23.80	%		1,000.00		1,238.03		5.53
Series Z (Alpha Opportunity Series)	1.65	%	25.49	%		1,000.00		1,254.92		9.38
Table 2. Based on hypothetical 5% return (before expenses)
Series A (Equity Series)	0.91	%	5.00	%	$	1,000.00	$	1,020.62	$	4.63
Series B (Large Cap Value Series)	0.80	%	5.00	%		1,000.00		1,021.17		4.08
Series C (Money Market Series)	0.68	%	5.00	%		1,000.00		1,021.78		3.47
Series D (Global Series)	1.26	%	5.00	%		1,000.00		1,018.85		6.41
Series E (U.S. Intermediate Bond Series)	0.76	%	5.00	%		1,000.00		1,021.37		3.87
Series H (Enhanced Index Series)	0.76	%	5.00	%		1,000.00		1,021.37		3.87
Series J (Mid Cap Growth Series)	0.91	%	5.00	%		1,000.00		1,020.62		4.63
Series N (Managed Asset Allocation Series)	1.67	%	5.00	%		1,000.00		1,016.79		8.49
Series O (All Cap Value Series)	0.85	%	5.00	%		1,000.00		1,020.92		4.33
Series P (High Yield Series)	0.92	%	5.00	%		1,000.00		1,020.57		4.69
Series Q (Small Cap Value Series)	1.12	%	5.00	%		1,000.00		1,019.56		5.70
Series V (Mid Cap Value Series)	0.91	%	5.00	%		1,000.00		1,020.62		4.63
Series X (Small Cap Growth Series)	1.07	%	5.00	%		1,000.00		1,019.81		5.45
Series Y (Select 25 Series)	0.98	%	5.00	%		1,000.00		1,020.27		4.99
Series Z (Alpha Opportunity Series)	1.65	%	5.00	%		1,000.00		1,016.89		8.39

¹ Annualized

² Expenses are equal to the Series annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

³ Actual cumulative return at net asset value for the period July 1, 2009 to December 31, 2009.

2

Managers’ Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series A of the SBL Fund – Equity Series returned 29.84% during the year, outperforming the benchmark S&P 500 Index’s return of 26.46% and the Series’ peer group median return of 27.77%.

The Series’ strategy uses a blended approach, investing in growth and value stocks. Growth oriented stocks are securities of established companies that typically have a record of consistent earnings growth greater than the overall market. Value oriented stocks are securities of companies that are believed to be trading well below their intrinsic value.

Our strategy is to buy companies that are trading at a significant discount to their intrinsic value. Our investment approach is a defined and disciplined process of three clear philosophical tenants that drive our investment decisions: a valuation focus, a long-term perspective and an opportunistic approach.

This investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and thus a valuation target for each idea. We construct the portfolios based on the level of conviction generated by this bottom-up analysis and the upside/downside profile associated with each company.

Health Care and Industrials Top Performers

While the health care sector was an underweighted position, portfolio holdings nearly doubled that of the S&P 500 Index, 39% to 20%. Schering-Plough Corporation and Hospira, Inc. led the sector for the portfolio with gains of 67% and 90%, respectively, due to the larger weight based on our conviction. Other health care holdings that were of benefit to the strategy were Amgen, Inc., Pfizer, Inc., and Medco Health Solutions, Inc.

Superior stock selection boosted performance in the industrials sector as the portfolio holdings increased 35% compared to a 21% gain for the Index. Underweighting General Electric Company, which produced a negative return for the year, helped portfolio performance. Adding to returns for the strategy were Union Pacific Corporation Parker Hannifin Corporation and Goodrich Corporation.

Financials and Consumer Discretionary Disappoint

The largest detractor for the Series was the financials sector due to stock selection, gaining just 7% against the 13% return posted by the benchmark. The sector was a close weight to the Index. Capital One Financial Corporation declined 68% in the portfolio while MetLife, Inc. lost 61%.

Stock selection in the consumer discretionary sector also hurt strategy performance. Gains for the portfolio were 20%, which was well below the 42% increase for the benchmark. Best Buy Company, Inc. and Coach, Inc. were the biggest losers for the strategy. If held during the entire period, Coach, Inc. would have generated a gain of 77%. Instead, the position lost 32% while held in the portfolio. Darden Restaurants, Inc. and Lowe’s Companies, Inc. were other holdings in the sector that hurt overall performance.

Market Outlook

Our bottom-up approach looks at market uncertainty in the context of the potential long-term impact on individual companies. It is in times as these when our core philosophy and disciplined process becomes paramount. We continue to use a rigorous fundamental research process to identify strong companies from a risk perspective. Our focus is on identifying companies with the ability to be substantially better over the next three to five years or have the potential to maintain their return on capital at current levels in a difficult economic environment. We are confident in our ability to find these companies.

We believe that investing is a long-term pursuit that requires patience and a consistent approach. We recognize there are many investment fund alternatives available today and thank you for the confidence you place in us.

Sincerely,

Mark A. Mitchell, Portfolio Manager

Mark P. Bronzo, Portfolio Manager

3

Performance Summary	Series A (Equity Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series A (Equity Series) on December 31, 1999 and reflects the fees and expenses of Series A. The S&P 500 Index is a capitalization-weighted index composed of 500 selected common stocks that represent the broad domestic economy and is a widely recognized unmanaged index of market performance.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series A	29.84	%	(1.86	)%	(3.49	)%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	11.39	%
Consumer Staples	7.22
Energy	11.72
Financials	11.12
Health Care	11.45
Industrials	17.95
Information Technology	20.93
Materials	4.11
Telecommunication Services	0.58
Utilities	2.14
Cash & Other Assets, Less Liabilities	1.39
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

4

Schedule of Investments	Series A
December 31, 2009	(Equity Series)

	Shares	Value
COMMON STOCKS—98.6%
Advertising—1.7%
Omnicom Group, Inc.	81,000	$	3,171,150
Aerospace & Defense—5.1%
Boeing Company	57,600		3,117,888
Goodrich Corporation	51,260		3,293,454
Precision Castparts Corporation	1,333		147,097
United Technologies Corporation	39,400		2,734,754
			9,293,193
Air Freight & Logistics—1.4%
FedEx Corporation	31,500		2,628,675
Apparel Retail—1.6%
TJX Companies, Inc.	82,000		2,997,100
Application Software—0.5%
Synopsys, Inc.*	41,800		931,304
Asset Management & Custody Banks—0.7%
Bank of New York Mellon Corporation	46,900		1,311,793
Biotechnology—1.7%
Amgen, Inc.*	56,700		3,207,519
Building Products—1.2%
USG Corporation*	163,200		2,292,960
Coal & Consumable Fuels—1.6%
Peabody Energy Corporation	64,260		2,905,195
Communications Equipment—3.4%
Cisco Systems, Inc.*	127,700		3,057,138
Qualcomm, Inc.	66,265		3,065,419
			6,122,557
Computer Hardware—3.8%
Apple, Inc.*	20,720		4,369,018
Hewlett-Packard Company	47,900		2,467,329
			6,836,347
Computer Storage & Peripherals—2.1%
EMC Corporation*	226,760		3,961,497
Construction Materials—0.2%
Vulcan Materials Company	7,900		416,093
Consumer Finance—0.1%
First Marblehead Corporation*	103,452		220,353
Data Processing & Outsourced Services—2.3%
Western Union Company	231,100		4,356,235
Department Stores—2.4%
JC Penney Company, Inc.	61,400		1,633,854
Kohl’s Corporation*	50,950		2,747,734
			4,381,588
Diversified Banks—2.0%
U.S. Bancorp	85,875		1,933,047
Wells Fargo & Company	66,564		1,796,562
			3,729,609
Diversified Chemicals—0.8%
Dow Chemical Company	52,500		1,450,575
Diversified Metals & Mining—1.5%
Freeport-McMoRan Copper & Gold, Inc. (CI.B)	35,500		2,850,295
Drug Retail—1.0%
CVS Caremark Corporation	58,000		1,868,180
Electric Utilities—1.6%
Edison International	86,300		3,001,514
Electrical Components & Equipment—3.3%
Cooper Industries plc	72,780		3,103,338
Emerson Electric Company	70,690		3,011,394
			6,114,732
Electronic Manufacturing Services—1.1%
Tyco Electronics, Ltd.	85,200		2,091,660
Fertilizers & Agricultural Chemicals—1.6%
Potash Corporation of Saskatchewan, Inc.	26,905		2,919,193
Health Care Equipment—4.1%
Covidien plc	105,670		5,060,536
Hospira, Inc.*	48,400		2,468,400
			7,528,936
Health Care Services—0.9%
Medco Health Solutions, Inc.*	27,300		1,744,743
Home Improvement Retail—1.5%
Lowe’s Companies, Inc.	117,500		2,748,325
Hotels, Resorts & Cruise Lines—1.5%
Carnival Corporation*	89,900		2,848,931
Household Products—1.7%
Colgate-Palmolive Company	38,050		3,125,808
Hypermarkets & Super Centers—2.8%
Costco Wholesale Corporation	45,100		2,668,567
Wal-Mart Stores, Inc.	47,800		2,554,910
			5,223,477
Independent Power Producers & Energy Traders—0.5%
NRG Energy, Inc.*	41,600		982,176
Industrial Conglomerates—3.2%
3M Company	39,000		3,224,130
McDermott International, Inc.*	117,000		2,809,170
			6,033,300

The accompanying notes are an integral part of the financial statements

5

Schedule of Investments	Series A
December 31, 2009	(Equity Series)

	Shares	Value
COMMON STOCKS—98.6% (continued)
Industrial Machinery—1.0%
Parker Hannifin Corporation	33,603	$	1,810,530
Insurance Brokers—0.9%
AON Corporation	45,700		1,752,138
Integrated Oil & Gas—5.0%
Chevron Corporation	31,700		2,440,583
ConocoPhillips	15,200		776,264
Exxon Mobil Corporation	48,400		3,300,396
Occidental Petroleum Corporation	36,000		2,928,600
			9,445,843
Integrated Telecommunication Services—0.6%
Windstream Corporation	98,200		1,079,218
Internet Software & Services—2.5%
AOL, Inc.*	5,945		138,400
Google, Inc.*	7,235		4,485,555
			4,623,955
Investment Banking & Brokerage—1.6%
Morgan Stanley	100,500		2,974,800
IT Consulting & Other Services—1.6%
Cognizant Technology Solutions Corporation*	67,440		3,055,032
Managed Health Care—0.8%
Aetna, Inc.	49,600		1,572,320
Movies & Entertainment—1.0%
Time Warner, Inc.	65,400		1,905,756
Oil & Gas Drilling—1.9%
Transocean, Ltd.*	41,840		3,464,352
Oil & Gas Equipment & Services—1.2%
Halliburton Company	74,200		2,232,678
Oil & Gas Exploration & Production—0.9%
Chesapeake Energy Corporation	64,200		1,661,496
Oil & Gas Storage & Transportation—1.1%
Williams Companies, Inc.	99,500		2,097,460
Other Diversified Financial Services—2.4%
JPMorgan Chase & Company	104,106		4,338,096
Pharmaceuticals—3.9%
Merck & Company, Inc.	17,358		634,261
Pfizer, Inc.	169,900		3,090,481
Teva Pharmaceutical Industries, Ltd. ADR	62,490		3,510,689
			7,235,431
Property & Casualty Insurance—2.2%
Berkshire Hathaway, Inc.*	42		4,166,400
Railroads—1.3%
Union Pacific Corporation	37,200		2,377,080
Regional Banks—1.2%
BB&T Corporation	33,700		854,969
Fifth Third Bancorp	41,000		399,750
Regions Financial Corporation	178,000		941,620
			2,196,339
Research & Consulting Services—1.5%
Equifax, Inc.	91,900		2,838,791
Semiconductor Equipment—1.6%
Lam Research Corporation*	75,750		2,970,158
Semiconductors—2.1%
Intel Corporation	195,050		3,979,020
Soft Drinks—2.1%
PepsiCo, Inc.	63,810		3,879,648
Tobacco—1.3%
Altria Group, Inc.	50,500		991,315
Philip Morris International, Inc.	30,500		1,469,795
			2,461,110
TOTAL COMMON STOCKS (cost $172,811,350)		$	183,412,664
Total Investments—98.6%1 (cost $172,811,350)		$	183,412,664
Cash & Other Assets, Less Liabilities—1.4%			2,594,781
Total Net Assets—100.0%		$	186,007,445

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $173,165,753.

* Non-income producing security

¹ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

6

Series A

(Equity Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	183,412,664
Cash		2,932,270
Receivables:
Fund shares sold		391,256
Securities sold		296,724
Dividends		243,233
Prepaid expenses		3,665
Total assets		187,279,812
Liabilities:
Payable for:
Fund shares redeemed		395,157
Securities purchased		643,830
Management fees		118,522
Administration fees		15,133
Transfer agent/maintenance fees		2,083
Custodian fees		1,176
Directors’ fees		5,478
Professional fees		33,350
Other fees		57,638
Total liabilities		1,272,367
Net assets	$	186,007,445
Net assets consist of:
Paid in capital	$	230,763,789
Undistributed net investment income		1,140,095
Accumulated net realized loss on sale of investments		(56,497,753	)
Net unrealized appreciation in value of investments		10,601,314
Net assets	$	186,007,445
Capital shares authorized		unlimited
Capital shares outstanding		9,314,012
Net asset value per share (net assets divided by shares outstanding)	$	19.97
* Investments, at cost	$	172,811,350

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	2,678,032
Interest		4,423
Total investment income		2,682,455
Expenses:
Management fees		1,253,402
Administration fees		159,095
Transfer agent/maintenance fees		25,315
Custodian fees		7,740
Directors’ fees		15,695
Professional fees		41,123
Reports to shareholders		28,002
Other		11,988
Total expenses		1,542,360
Net investment income		1,140,095
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(27,019,679	)
Options written		7,098
Net realized loss		(27,012,581	)
Net unrealized appreciation (depreciation) during the year on:
Investments		69,815,569
Net unrealized appreciation		69,815,569
Net realized and unrealized gain		42,802,988
Net increase in net assets resulting from operations	$	43,943,083

The accompanying notes are an integral part of the financial statements

7

	Series A
Statement of Changes in Net Assets	(Equity Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	1,140,095		$	1,665,710
Net realized loss during the year on investments		(27,012,581	)		(21,709,270	)
Net unrealized appreciation (depreciation) during the year on investments		69,815,569			(85,457,350	)
Net increase (decrease) in net assets resulting from operations		43,943,083			(105,500,910	)
Capital share transactions:
Proceeds from sale of shares		17,506,604			24,426,853
Cost of shares redeemed		(40,551,126	)		(82,812,481	)
Net decrease from capital share transactions		(23,044,522	)		(58,385,628	)
Net increase (decrease) in net assets		20,898,561			(163,886,538	)
Net assets:
Beginning of year		165,108,884			328,995,422
End of year	$	186,007,445		$	165,108,884
Undistributed net investment income at end of year	$	1,140,095		$	1,665,710
Capital share activity:
Shares sold		1,102,467			1,174,494
Shares redeemed		(2,524,592	)		(3,831,105	)
Total capital share activity		(1,422,125	)		(2,656,611	)

The accompanying notes are an integral part of the financial statements

8

Financial Highlights	Series A
Selected data for each share of capital stock outstanding throughout each year	(Equity Series)

	2009			2008			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	15.38		$	24.57		$	25.83		$	22.88		$	21.93
Income (loss) from investment operations:
Net investment incomea		0.11			0.14			0.14			0.11			0.16
Net gain (loss) on securities (realized and unrealized)		4.48			(9.33	)		(1.40	)		2.84			0.79
Total from investment operations		4.59			(9.19	)		(1.26	)		2.95			0.95
Net asset value, end of period	$	19.97		$	15.38		$	24.57		$	25.83		$	22.88
Total Returnb		29.84	%		(37.40	)%		(4.88	)%		12.89	%		4.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	186,007		$	165,109		$	328,995		$	441,788		$	466,931
Ratios to average net assets:
Net investment income		0.68	%		0.66	%		0.52	%		0.33	%		0.55	%
Total expensesc		0.92	%		0.90	%		0.89	%		0.90	%		0.89	%
Net expensesd		0.92	%		0.90	%		0.89	%		0.90	%		0.89	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.92	%		0.90	%		0.89	%		0.90	%		0.89	%
Portfolio turnover rate		78	%		142	%e		14	%		26	%		37	%

^a Net investment income (loss) was computed using average shares outstanding throughout the period.

^b Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^c Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^d Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

^e Significant variation in the portfolio turnover rate is due to Investment Manager’s appointment of new portfolio manager for the Series.

The accompanying notes are an integral part of the financial statements

9

This page left blank intentionally.

10

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series B of the SBL Fund – Large Cap Value Series returned 26.50% during the year, leading the benchmark Russell 1000 Value Index’s return of 19.69%. The Series outperformed its peer group median return of 24.28%.

Our strategy is to buy companies that are trading at a significant discount to their intrinsic value. Our investment approach is a defined and disciplined process with three clear philosophical tenets that drive our investment decisions: a valuation focus, a long-term perspective and an opportunistic approach.

Our investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and thus a valuation target for each idea. We construct the portfolios based on the level of conviction generated by this bottom-up analysis and the upside/downside profile associated with each company. For Series B, we apply this philosophy to a broad range of value names.

Health Care and Industrials Top Performers

The Series’ health care sector led the portfolio due to superior security selection. While a slightly underweight position, holdings in the strategy increased 67% compared to a 23% return for the benchmark. Schering-Plough Corporation added the largest relative return to the sector while returns for Hospira, Inc. were 90%. Another contributor for the portfolio in the sector was Medco Health Solutions, Inc.

The Series has a significant overweight position in the industrials sector at 22%, more than double the 9% weight of the benchmark. Holdings in the sector for the portfolio outdistanced that of the Index 40% to 15%, respectively. Leaders for the portfolio were USG Corporation and Union Pacific Corporation, which increased 75% and 37%, respectively. Other contributing performers in the sector were General Electric Company and FedEx Corporation.

Financials and Consumer Discretionary Disappoint

The largest detractor from the portfolio was the financials sector due to underperforming stock selection. Capital One Financial Corporation dropped 71% during the period causing it to the be largest drag on performance for the sector. While JPMorgan Chase & Company gained 34% during the year, it was a significant underweight against the benchmark allowing the Index to increase its relative return. Finally, AON Corporation was a drag on portfolio performance due to its large relative overweight in a security that had negative returns.

The strategy’s consumer discretionary sector was an even weight position but held the portfolio back due to security selection. While the sector in the portfolio gained 27%, it was well short of the 47% return for the benchmark. Portfolio securities in the sector that detracted from performance were Lowe’s Companies, Inc., CBS Corporation (Cl B), and News Corporation (Cl A). Had the portfolio held CBS Corporation and News Corporation during the entire year, it would have realized the Index’s gains of 77% and 53%, respectively, rather than the actual 7% and 3% returns.

Market Outlook

Our bottom-up approach looks at market uncertainty in the context of the potential long-term impact on individual companies. Often times, volatility provides opportunity. We are maintaining flexibility in the portfolios to take advantage of these opportunities as they arise. Our focus is on identifying companies with the ability to be substantially better over the next three to five years or have the potential to maintain their return on capital at current levels in a difficult economic environment. We are confident in our ability to find these companies.

We believe that investing is a long-term pursuit that requires patience and a consistent approach. We recognize there are many investment fund alternatives available today and thank you for your business and the confidence you place in us.

Sincerely,

Mark A. Mitchell, Portfolio Manager

11

	Series B
Performance Summary	(Large Cap Value Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series B (Large Cap Value Series) on December 31, 1999 and reflects the fees and expenses of Series B. The Russell 1000 Value Index is an unmanaged index representing the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series B	26.50	%	2.54	%	0.78	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	7.22	%
Consumer Staples	10.17
Energy	13.68
Financials	16.68
Health Care	8.96
Industrials	20.07
Information Technology	11.13
Materials	2.22
Telecommunication Services	1.30
Utilities	4.62
Exchange Traded Funds	1.01
Commercial Paper	1.25
Cash & Other Assets, Less Liabilities	1.69
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

12

Schedule of Investments	Series B
December 31, 2009	(Large Cap Value Series)

	Shares	Value
COMMON STOCKS—97.1%
Aerospace & Defense—3.1%
Precision Castparts Corporation	4,180	$	461,263
United Technologies Corporation	117,300		8,141,793
			8,603,056
Air Freight & Logistics—3.0%
FedEx Corporation	101,643		8,482,108
Application Software—1.1%
Synopsys, Inc.*	134,800		3,003,344
Asset Management & Custody Banks—1.5%
Bank of New York Mellon Corporation	151,400		4,234,658
Building Products—2.6%
USG Corporation*	528,000		7,418,400
Computer Hardware—2.5%
Hewlett-Packard Company	137,300		7,072,323
Construction Materials—0.5%
Vulcan Materials Company	25,400		1,337,818
Consumer Finance—0.2%
First Marblehead Corporation*	317,112		675,449
Data Processing & Outsourced Services—4.9%
Western Union Company	737,500		13,901,875
Department Stores—1.9%
JC Penney Company, Inc.	198,800		5,290,068
Diversified Banks—4.6%
U.S. Bancorp	277,806		6,253,413
Wells Fargo & Company	242,405		6,542,511
			12,795,924
Diversified Chemicals—1.7%
Dow Chemical Company	176,400		4,873,932
Drug Retail—2.1%
CVS Caremark Corporation	186,200		5,997,502
Electric Utilities—3.5%
Edison International	282,400		9,821,872
Electronic Manufacturing Services—2.4%
Tyco Electronics, Ltd.	273,950		6,725,473
Exchange Traded Funds—1.0%
iShares Russell 1000 Value Index Fund	49,500		2,840,805
Health Care Equipment—4.5%
Covidien plc	101,650		4,868,019
Hospira, Inc.*	148,000		7,547,999
			12,416,018
Health Care Services—2.0%
Medco Health Solutions, Inc.*	88,200		5,636,862
Home Improvement Retail—2.8%
Lowe’s Companies, Inc.	343,500		8,034,465
Hypermarkets & Super Centers—5.7%
Costco Wholesale Corporation	126,400		7,479,088
Wal-Mart Stores, Inc.	154,500		8,258,025
			15,737,113
Independent Power Producers & Energy Traders—1.1%
NRG Energy, Inc.*	133,500		3,151,935
Industrial Conglomerates—3.3%
McDermott International, Inc.*	379,900		9,121,399
Industrial Machinery—2.1%
Parker Hannifin Corporation	109,810		5,916,563
Insurance Brokers—2.0%
AON Corporation	147,900		5,670,486
Integrated Oil & Gas—7.1%
Chevron Corporation	98,600		7,591,214
ConocoPhillips	41,200		2,104,084
Exxon Mobil Corporation	151,700		10,344,423
			20,039,721
Integrated Telecommunication Services—1.3%
Windstream Corporation	331,932		3,647,933
Internet Software & Services—0.2%
AOL, Inc.*	21,593		502,685
Managed Health Care—1.8%
Aetna, Inc.	158,000		5,008,600
Movies & Entertainment—2.5%
Time Warner, Inc.	237,533		6,921,712
Oil & Gas Equipment & Services—2.6%
Halliburton Company	244,000		7,341,960
Oil & Gas Exploration & Production—1.7%
Chesapeake Energy Corporation	179,200		4,637,696
Oil & Gas Storage & Transportation—2.3%
Williams Companies, Inc.	300,700		6,338,756
Other Diversified Financial Services—1.0%
JPMorgan Chase & Company	69,469		2,894,773

The accompanying notes are an integral part of the financial statements

13

Schedule of Investments	Series B
December 31, 2009	(Large Cap Value Series)

	Shares		Value
COMMON STOCKS—97.1% (continued)
Pharmaceuticals—0.7%
Merck & Company, Inc.		56,170	$	2,052,452
Property & Casualty Insurance—4.9%
Berkshire Hathaway, Inc.*		135		13,392,000
Railroads—2.7%
Union Pacific Corporation		120,000		7,668,000
Regional Banks—2.5%
BB&T Corporation		109,200		2,770,404
Fifth Third Bancorp		133,000		1,296,750
Regions Financial Corporation		575,500		3,044,395
				7,111,549
Research & Consulting Services—3.3%
Equifax, Inc.		295,500		9,127,994
Tobacco—2.4%
Altria Group, Inc.		108,000		2,120,040
Philip Morris International, Inc.		97,100		4,679,249
				6,799,289
TOTAL COMMON STOCKS (cost $262,147,025)			$	272,244,568
	Principal Amount		Value
COMMERCIAL PAPER—1.2%
Automotive—1.2%
Toyota Motor Credit Corporation
0.03%, 01/04/20101	$	3,500,000	$	3,499,991
TOTAL COMMERCIAL PAPER (cost $3,499,991)			$	3,499,991
Total Investments—98.3%2 (cost $265,647,016)			$	275,744,559
Cash & Other Assets, Less Liabilities—1.7%				4,728,827
Total Net Assets—100.0%			$	280,473,386

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $265,859,070.

plc Public Limited Company

* Non-income producing security

¹ Value determined based on Level 2 inputs.

² Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

14

Series B

(Large Cap Value Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	275,744,559
Cash		5,589,947
Receivables:
Fund shares sold		204,743
Securities sold		959,225
Dividends		457,031
Prepaid expenses		5,473
Total assets		282,960,978
Liabilities:
Payable for:
Fund shares redeemed		133,054
Securities purchased		2,074,253
Management fees		155,170
Administration fees		22,768
Transfer agent/maintenance fees		2,083
Custodian fees		556
Directors’ fees		4,182
Professional fees		43,600
Other fees		51,926
Total liabilities		2,487,592
Net assets	$	280,473,386
Net assets consist of:
Paid in capital	$	441,314,284
Undistributed net investment income		2,616,829
Accumulated net realized loss on sale of investments		(173,555,270	)
Net unrealized appreciation in value of investments		10,097,543
Net assets	$	280,473,386
Capital shares authorized		unlimited
Capital shares outstanding		12,635,575
Net asset value per share (net assets divided by shares outstanding)	$	22.20
* Investments, at cost	$	265,647,016
Statement of Operations For Year Ended December 31, 2009
Investment Income:
Dividends	$	4,664,091
Interest		11,183
Total investment income		4,675,274
Expenses:
Management fees		1,647,391
Administration fees		241,019
Transfer agent/maintenance fees		25,352
Custodian fees		10,111
Directors’ fees		23,688
Professional fees		48,545
Reports to shareholders		44,240
Other		18,099
Total expenses		2,058,445
Net investment income		2,616,829
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(21,745,604	)
Options written		22,775
Net realized loss		(21,722,829	)
Net unrealized appreciation (depreciation) during the year on:
Investments		77,753,258
Net unrealized appreciation		77,753,258
Net realized and unrealized gain		56,030,429
Net increase in net assets resulting from operations	$	58,647,258

The accompanying notes are an integral part of the financial statements

15

Series B
Statement of Changes in Net Assets	(Large Cap Value Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	2,616,829		$	4,509,471
Net realized loss during the year on investments		(21,722,829	)		(35,097,727	)
Net unrealized appreciation (depreciation) during the year on investments		77,753,258			(128,705,287	)
Net increase (decrease) in net assets resulting from operations		58,647,258			(159,293,543	)
Capital share transactions:
Proceeds from sale of shares		40,712,808			97,567,905
Cost of shares redeemed		(69,858,540	)		(167,274,870	)
Net decrease from capital share transactions		(29,145,732	)		(69,706,965	)
Net increase (decrease) in net assets		29,501,526			(229,000,508	)
Net assets:
Beginning of year		250,971,860			479,972,368
End of year	$	280,473,386		$	250,971,860
Undistributed net investment income at end of year	$	2,616,829		$	4,509,471
Capital share activity:
Shares sold		2,258,834			3,899,132
Shares redeemed		(3,921,822	)		(6,778,642	)
Total capital share activity		(1,662,988	)		(2,879,510	)

The accompanying notes are an integral part of the financial statements

16

Financial Highlights	Series B
Selected data for each share of capital stock outstanding throughout each year	(Large Cap Value Series)

	2009			2008			2007			2006			Year Ended December 31, 2005a
Per Share Data
Net asset value, beginning of period	$	17.55		$	27.94		$	26.40		$	21.64		$	19.58
Income (loss) from investment operations:
Net investment incomeb		0.19			0.29			0.25			0.20			0.24
Net gain (loss) on securities (realized and unrealized)		4.46			(10.68	)		1.29			4.56			1.82
Total from investment operations		4.65			(10.39	)		1.54			4.76			2.06
Net asset value, end of period	$	22.20		$	17.55		$	27.94		$	26.40		$	21.64
Total Returnc		26.50	%		(37.19	)%		5.83	%		22.00	%		10.52	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	280,473		$	250,972		$	479,972		$	480,683		$	410,692
Ratios to average net assets:
Net investment income		1.03	%		1.21	%		0.90	%		0.80	%		0.98	%
Total expensesd		0.81	%		0.80	%		0.79	%		0.79	%		0.84	%
Net expensese		0.81	%		0.80	%		0.79	%		0.79	%		0.84	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.81	%		0.80	%		0.79	%		0.79	%		0.84	%
Portfolio turnover rate		16	%		32	%		29	%		20	%		99	%

^a Security Global Investors (SGI), formerly Security Management Company, LLC, became the advisor of Series B effective June 30, 2005. Prior to June 30, 2005, SGI paid Dreyfus Corporation for sub-advisory services.

^b Net investment income (loss) was computed using average shares outstanding throughout the period.

^c Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^d Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^e Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

The accompanying notes are an integral part of the financial statements

17

This page left blank intentionally.

18

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series C of the SBL Fund – Money Market Series returned -0.37% for the year ended December 31, 2009, less than the benchmark I-Money Net Retail Tier 1 of 0.18% and the 0.13% performance of its peer group for the same period.

The Federal Reserve Board continues to hold rates near 0%, making it a challenge to maintain a positive yield. The Fed has signaled that it will continue to keep rates low in the near future.

Composition of Portfolio Assets

At December 31, 2009, the average maturity of the holdings in the Series was 84 days.

The Series’ assets were concentrated in commercial paper and U.S. government sponsored agency bonds and notes. At year-end, approximately 52% of the Series consisted of commercial paper and 48% in U.S. government/ agency obligations, less liabilities.

Market Review

A Federal Funds rate near 0% continued to be challenging for money market portfolios, as there was very little yield available. Bond markets were choppy in the first half of 2009 while the last half of the year was better due to less headline volatility. Unlike some peer competitors, the Series did not experience any security defaults that required firm backing.

While earnings were stronger and the economy improved in the third and fourth quarters, it remained necessary to manage the portfolio in a conservative manner since the economy was unable to gain a strong foothold. Adding to uncertainty were newly proposed SEC regulations regarding average weighted maturity, floating NAVs, liquidity constraints, and additional reporting requirements.

The Money Market Series does not invest in SIVs, or Structured Investment Vehicles securities. The manager remained focused on liquidity and credit quality, and the sub-prime mortgage securities never passed these tests. While a small portion of the portfolio was invested in asset-backed commercial paper, which posed no risk to the portfolio, we chose to take the conservative approach and keep exposure to this type of investment low.

Market Outlook

The upcoming year should prove to be another challenging year with respect to yields as the Federal Reserve has stated its intention to keep rates low for the foreseeable future. Our philosophy in managing the Money Market Series is to take a conservative approach that doesn’t add risk to the portfolio by reaching for marginal gains in yield. With the yield environment likely to remain as is for the time being, we will continue to manage the Series’ conservatively with expectations of low returns. As always, we will continue to monitor the economic and market conditions when deciding portfolio strategies and will adjust the asset mix and maturity structure in the portfolio accordingly.

Thank you for your investment in the Money Market Series.

We appreciate the confidence that you have placed in us and continue to focus on achieving the Series’ investment goals.

Sincerely,

Christina Fletcher, Portfolio Manager

19

Performance Summary	Series C (Money Market Series)
December 31, 2009	(unaudited)

PERFORMANCE

Portfolio Composition by Quality Ratings

Tier 1 Investments	99.43	%
Cash & Other Assets, Less Liabilities	0.57
Total Net Assets	100.00	%

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series C	(0.37	)%	2.70	%	2.56	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

The accompanying notes are an integral part of the financial statements

20

Schedule of Investments	Series C
December 31, 2009	(Money Market Series)

	Principal Amount		Value
ASSET BACKED SECURITIES—0.3%
Other Non-Agency—0.3%
Small Business Administration Pools
#503308, 0.75%, 20101,2,3	$	64,007	$	64,007
#503343, 0.88%, 20101,2,3		123,168		123,168
#503347, 0.88%, 20101,2,3		72,840		72,839
#502353, 1.00%, 20101,2,3		31,163		31,163
#503295, 0.75%, 20101,2,3		67,972		67,189
#503303, 0.75%, 20101,2,3		123,627		122,204
			$	480,570
TOTAL ASSET BACKED SECURITIES (cost $482,896)			$	480,570
	Principal Amount		Value
U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES—51.4%
Federal Farm Credit Bank
0.17%, 5/26/20101,2	$	2,000,000	$	1,999,988
0.50%, 6/1/20101		2,000,000		2,002,938
0.22%, 7/9/20101		2,000,000		1,997,934
0.20%, 8/3/20101		3,120,000		3,115,610
0.40%, 10/1/20101		3,000,000		2,996,451
0.45%, 10/21/20101		2,000,000		1,998,098
0.39%, 12/1/20101		2,500,000		2,495,658
0.38%, 12/1/20101		3,000,000		2,994,519
Federal Home Loan Mortgage Corporation
0.57%, 1/8/20101,2		1,000,000		1,000,035
0.13%, 1/27/20101		2,300,000		2,299,970
0.03%, 2/22/20101		2,200,000		2,199,905
0.17%, 3/16/20101		2,000,000		1,999,802
0.17%, 5/4/20101		2,000,000		1,999,200
0.15%, 5/24/20101		2,389,000		2,387,884
Federal Home Loan Bank
0.17%, 1/8/20101,2		1,000,000		1,000,002
0.50%, 8/24/20101,4		1,500,000		1,500,062
0.51%, 10/28/20101		3,035,000		3,033,491
0.55%, 11/3/20101		2,000,000		1,999,638
0.40%, 12/27/20101		2,000,000		1,996,228
0.45%, 12/29/20101		2,000,000		1,996,964
0.41%, 12/29/20101		2,000,000		1,996,178
0.45%, 12/30/20101		2,000,000		1,996,950
0.16%, 1/14/20111,2		2,000,000		1,998,946
Federal National Mortgage Association
0.20%, 1/22/20101		2,000,000		1,999,980
0.21%, 2/8/20101,2		3,000,000		3,000,651
0.17%, 2/24/20101		1,300,000		1,299,945
0.05%, 4/1/20101		1,154,000		1,153,721
0.18%, 5/12/20101		2,000,000		1,999,146
0.18%, 5/26/20101		1,528,000		1,527,277
0.17%, 7/13/20101,2		1,800,000		1,799,809
0.20%, 8/2/20101		2,000,000		1,997,200
0.30%, 9/13/20101		2,000,000		1,996,500
0.31%, 10/1/20101		1,100,000		1,097,608
0.34%, 11/1/20101		3,500,000		3,490,344
0.38%, 12/1/20101		3,600,000		3,587,753
0.40%, 12/2/20101		4,900,000		4,883,280
TOTAL U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES (cost $78,862,983)			$	78,839,665
	Principal Amount		Value
COMMERCIAL PAPER—47.7%
Automotive—8.9%
American Honda Finance
0.20%, 01/05/20101	$	2,000,000	$	1,999,955
0.17%, 01/13/20101		2,600,000		2,599,854
0.15%, 01/26/20101		2,000,000		1,999,792
0.15%, 01/27/20101		1,000,000		999,892
Toyota Motor Credit Corporation
0.04%, 01/06/20101		1,500,000		1,499,969
0.15%, 01/14/20101		2,500,000		2,499,865
0.15%, 01/15/20101		2,000,000		1,999,891
				13,599,218
Banking—3.7%
JP Morgan Chase & Company
0.14%, 01/19/20101		2,000,000		1,999,860
JP Morgan Chase Funding
018% 01/19/20101,5		2,500,000		2,499,776
0.17%, 01/26/20101,5		1,200,000		1,199,843
				5,699,479
Brokerage—3.1%
Goldman Sachs Group, Inc.
0.15%, 01/21/20101		2,000,000		1,999,801
0.11%, 01/22/20101		1,500,000		1,499,904
0.11%, 01/25/20101		1,300,000		1,299,905
				4,799,610
Electric—6.6%
FPL Group Capital, Inc.
0.14%, 01/11/20101,5		1,700,000		1,699,934
0.15%, 01/13/20101,5		1,200,000		1,199,940
0.12%, 01/15/20101,5		1,200,000		1,199,944
0.15%, 01/20/20101,5		3,500,000		3,499,715
Southern Company Funding Corporation
0.12%, 01/12/20101,5		2,500,000		2,499,908
				10,099,441
Food & Beverage—8.1%
Cargill, Inc.
0.13%, 01/05/20101,5		2,000,000		1,999,971
0.13%, 01/12/20101,5		1,800,000		1,799,929
0.15%, 02/01/20101,5		2,000,000		1,999,742
0.13%, 02/08/20101,5		1,500,000		1,499,794
Coca-Cola Company
0.11%, 01/13/20101		1,100,000		1,099,960
0.10%, 01/28/20101		2,000,000		1,999,850
0.13%, 02/03/20101		2,000,000		1,999,739
				12,398,985
Life Insurance—2.9%
General Reinsurance Corporation
0.12%, 01/21/20101		3,000,000		2,999,795
Swiss Re Treasury U.S. Corporation
0.19%, 01/29/20101,5		1,400,000		1,399,793
				4,399,588
Non U.S. Banking—3.3%
BNP Paribas Finance, Inc.
0.16%, 01/14/20101		2,000,000		1,999,884

0.18%, 01/26/20101	1,600,000	1,599,800
0.12%, 01/29/20101	1,500,000	1,499,860
		5,099,544
Pharmaceuticals—11.1%
Abbott Laboratories
0.10%, 01/11/20101,5	2,000,000	1,999,944

The accompanying notes are an integral part of the financial statements

21

Schedule of Investments	Series C
December 31, 2009	(Money Market Series)

	Principal Amount		Value
COMMERCIAL PAPER—47.7% (continued)
Pharmaceuticals—11.1% (continued)
Abbott Laboratories, Inc.
0.10%, 02/08/20101,5	$	1,985,000	$	1,984,790
GlaxoSmithKline Finance plc
0.11%, 01/06/20101,5		2,500,000		2,499,962
0.11%, 01/20/20101,5		2,000,000		1,999,884
0.12%, 01/27/20101,5		1,800,000		1,799,844
Johnson & Johnson, Inc.
0.16%, 04/19/20101,5		2,000,000		1,998,898
0.15%, 04/20/20101,5		2,200,000		2,198,770
0.20%, 05/25/20101,5		2,500,000		2,497,563
				16,979,655
TOTAL COMMERCIAL PAPER (cost $73,076,385)			$	73,075,520
Total Investments—99.4%6 (cost $152,422,264)			$	152,395,755
Cash & Other Assets, Less Liabilities—0.6%				865,881
Total Net Assets—100.0%			$	153,261,636

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $152,422,264.

plc Public Limited Company

¹ Value determined based on Level 2 inputs.

² Variable rate security. Rate indicated is rate effective at December 31, 2009.

³ Maturity date indicated is next interest reset date.

⁴ Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.

⁵ Security is a 144A or Section 4(2) security. The total market value of 144A or Section 4(2) securities is $39,477,944 (cost $39,478,768), or 25.8% of total net assets.

⁶ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1.

The accompanying notes are an integral part of the financial statements

22

Series C

(Money Market Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	152,395,755
Cash		849,412
Receivables:
Fund shares sold		438,914
Securities sold		3,983
Interest		19,539
Prepaid expenses		3,540
Total assets		153,711,143
Liabilities:
Payable for:
Fund shares redeemed		324,292
Management fees		65,323
Administration fees		15,711
Transfer agent/maintenance fees		2,083
Custodian fees		438
Directors’ fees		2,285
Professional fees		15,375
Other fees		24,000
Total liabilities		449,507
Net assets	$	153,261,636
Net assets consist of:
Paid in capital	$	153,288,145
Net unrealized depreciation in value of investments		(26,509	)
Net assets	$	153,261,636
Capital shares authorized		unlimited
Capital shares outstanding		11,298,797
Net asset value per share (net assets divided by shares outstanding)	$	13.56
* Investments, at cost	$	152,422,264
Statement of Operations For Year Ended December 31, 2009
Investment Income:
Interest		923,773
Total investment income		923,773
Expenses:
Management fees		1,043,540
Administration fees		213,547
Transfer agent/maintenance fees		25,381
Custodian fees		18,350
Directors’ fees		21,611
Professional fees		24,398
Reports to shareholders		46,298
Other		10,618
Total expenses		1,403,743
Net investment loss		(479,970	)
Net Unrealized Gain (Loss):
Net unrealized appreciation (depreciation) during the year on:
Investments		(209,951	)
Net decrease in net assets resulting from operations	$	(689,921	)

The accompanying notes are an integral part of the financial statements

23

	Series C
Statement of Changes in Net Assets	(Money Market Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income (loss)	$	(479,970	)	$	4,249,459
Net unrealized appreciation (depreciation) during the year on investments		(209,951	)		190,920
Net increase (decrease) in net assets resulting from operations		(689,921	)		4,440,379
Capital share transactions:
Proceeds from sale of shares		191,606,637			533,443,332
Cost of shares redeemed		(305,973,233	)		(438,227,047	)
Net increase (decrease) from capital share transactions		(114,366,596	)		95,216,285
Net increase (decrease) in net assets		(115,056,517	)		99,656,664
Net assets:
Beginning of year		268,318,153			168,661,489
End of year	$	153,261,636		$	268,318,153
Undistributed net investment income at end of year	$	—		$	4,249,459
Capital share activity:
Shares sold		14,085,993			39,510,948
Shares redeemed		(22,496,450	)		(32,452,086	)
Total capital share activity		(8,410,457	)		7,058,862

The accompanying notes are an integral part of the financial statements

24

Financial Highlights	Series C
Selected data for each share of capital stock outstanding throughout each year	(Money Market Series	)

	2009			2008			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	13.61		$	13.33		$	12.73		$	12.19		$	11.87
Income (loss) from investment operations:
Net investment income (loss)a		(0.03	)		0.26			0.60			0.45			0.33
Net gain (loss) on securities (realized and unrealized)		(0.02	)		0.02			—			0.09			(0.01	)
Total from investment operations		(0.05	)		0.28			0.60			0.54			0.32
Net asset value, end of period	$	13.56		$	13.61		$	13.33		$	12.73		$	12.19
Total Returnb		(0.37	)%		2.10	%		4.71	%		4.43	%		2.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	153,262		$	268,318		$	168,661		$	99,044		$	71,655
Ratios to average net assets:
Net investment income (loss)		(0.23	)%		1.94	%		4.59	%		4.43	%		2.63	%
Total expensesc		0.67	%		0.65	%		0.66	%		0.68	%		0.69	%
Net expensesd		0.67	%		0.65	%		0.66	%		0.68	%		0.69	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.67	%		0.65	%		0.66	%		0.68	%		0.69	%

^a Net investment income (loss) was computed using average shares outstanding throughout the period.

^b Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^c Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^d Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

The accompanying notes are an integral part of the financial statements

25

This page left blank intentionally.

26

Managers’ Commentary

February 15, 2010

Advised by:

To Our Shareholders

Series D of the SBL Fund – Global Series returned 19.73%, underperforming the benchmark, Morgan Stanley Capital International, Inc. (MSCI) World Index return of 29.99% and the peer group median return of 33.23%.

The SGI global team believes that excess return opportunities exist in global stock markets and that those opportunities are best identified and captured at the security level. Investing globally offers the greatest exposure to excess return opportunities while enhancing the ability to diversify risk. Successfully identifying and exploiting these opportunities requires thorough fundamental research. Superior stock selection continues to be the trademark for the team’s performance as selection effect accounts for nearly all the return of the portfolio.

The investment team employs a bottom-up approach to the global equity universe to identify and invest in the best opportunities around the world. The team melds sophisticated screening techniques, input from management meetings, and insights into global/regional trends to identify investment opportunities from around the world. Relative valuation and relative business momentum is a specific focus of the screening criteria. The team’s fundamental research is original and uses primary sources to substantiate forecasts and investment theses.

Energy and Information Technology Top Performers

The Global Series held an underweight position in energy during the year however, the sector was the best performing sector in the portfolio due to stock selection that generated 46% returns. A significant weight in Oil Search, Ltd. generated a return of 72%. Avoiding Exxon Mobil Corporation benefited performance as the stock dropped 13% during the period. Other gainers in the sector for the strategy included CNOOC, Ltd. and Transocean, Ltd.

As an even weight, the portfolio benefited from superior stock selection in the information technology sector, gaining 64% over the year. Check Point Software Technologies, Ltd., a significant holding during the period, gained 55% while Gree, Inc. soared 108%. Other sector holdings that contributed to performance include Google, Inc. (Cl A) and Tandberg ASA.

Consumer Staples, Consumer Discretionary, and Industrials Disappoint

The Series’ performance was especially hurt in the consumer staples, consumer discretionary, and industrials sectors, mainly due to security selection. As an over-weight position, the consumer staples holdings underperformed with a return of 10%. Holdings in Spartan Stores, Inc. and Winn-Dixie Stores, Inc. detracted from portfolio performance as both lost more than 40%. Other holdings hurting returns were Cal-Maine Foods, Inc. and Kirin Holdings Company, Ltd.

Performance in the strategy’s consumer discretionary sector did not keep pace with the benchmark even though it was up 19°%. Ubisoft Entertainment S.A., William Hill PLC, and Harley-Davidson, Inc. all posted negative returns for the strategy, even though two of the three were up significantly over the full period.

The largest industrials sector detractor was Foster Wheeler AG, which lost 56% during the year. Other holdings in the sector that pulled down performance include Brink’s Company, JGC Corporation, and Watson Wyatt Worldwide, Inc.

Market Outlook

The Series’ core strategy continues to focus on identifying companies with sustainable long-term earnings and cash flow, strong economic returns on invested capital, and healthy balance sheets. Our approach remains to identify the best possible investments in all phases of the market and economic cycle. The day-in day-out work of our analysts is speaking with companies around the world, interviewing their customers, suppliers and regulators and generating excess risk-adjusted returns through superior stock selection.

As we anticipated in last year’s report, unemployment did continue to rise and reached double digits. While global banking systems and economies appear to have stabilized, significant challenges remain. Foremost among these will be removal of the extraordinary measures taken by central banks and governments around the world to stimulate and re-liquefy economies. While growth has re-emerged in many areas of the world, the recovery remains fragile and measurement somewhat suspect.

We recognize there are many investment alternatives available today and thank you for your business and the confidence you place in us.

Sincerely,

David Whittall, Portfolio Manager

Scott Klimo, Portfolio Manager

27

Performance Summary	Series D (Global Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over Ten Years

The chart above assumes a hypothetical $10,000 investment in Series D (Global Series) on December 31, 1999 and reflects the fees and expenses of Series D. The MSCI World Index is an unmanaged capitalization-weighted index that is designed to measure global developed market equity performance.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series D	19.73	%	1.36	%	2.50	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	10.17	%
Consumer Staples	15.30
Energy	9.63
Financials	15.56
Health Care	8.73
Industrials	12.32
Information Technology	15.19
Materials	5.63
Telecommunication Services	0.46
Utilities	5.23
Exchange Traded Funds	0.77
Short Term Investments	0.78
Cash & Other Assets, Less Liabilities	0.23
Total Net Assets	100	%

The accompanying notes are an integral part of the financial statements

28

Schedule of Investments	Series D
December 31, 2009	(Global Series)

	Shares	Value
COMMON STOCKS—54.3%
Airlines—2.8%
Alaska Air Group, Inc.*	64,400	$	2,225,664
Allegiant Travel Company*	112,415		5,302,616
			7,528,280
Automotive Retail—0.8%
AutoNation, Inc.*	106,800		2,045,220
Cable & Satellite—1.7%
Time Warner Cable, Inc.	110,363		4,567,925
Communications Equipment—2.2%
Polycom, Inc.*	238,400		5,952,848
Computer Hardware—2.0%
Apple, Inc.*	26,117		5,507,031
Construction & Farm Machinery & Heavy Trucks—0.5%
Trinity Industries, Inc.	76,663		1,337,003
Data Processing & Outsourced Services—0.9%
Hewitt Associates, Inc.*	56,200		2,375,012
Diversified Banks—2.1%
ICICI Bank, Ltd. ADR	150,625		5,680,069
Education Services—2.3%
Corinthian Colleges, Inc.*	120,800		1,663,416
ITT Educational Services, Inc.*	46,705		4,481,812
			6,145,228
Electric Utilities—1.4%
Allegheny Energy, Inc.	68,800		1,615,424
Northeast Utilities	89,000		2,295,310
			3,910,734
Electrical Components & Equipment—1.7%
Suntech Power Holdings Company, Ltd. ADR*	272,503		4,531,725
Exchange Traded Funds—0.8%
iShares MSCI EAFE Index Fund	37,400		2,068,220
Gas Utilities—1.0%
UGI Corporation	109,300		2,643,967
General Merchandise Stores—0.8%
Dollar Tree, Inc.*	43,000		2,076,900
Health Care Services—4.1%
Express Scripts, Inc.*	92,200		7,970,689
Medco Health Solutions, Inc.*	44,800		2,863,168
			10,833,857
Home Entertainment Software—2.3%
Perfect World Company, Ltd. ADR*	95,700		3,774,408
Shanda Interactive Entertainment, Ltd. ADR*	44,900		2,362,189
			6,136,597
Home Improvement Retail—0.8%
Home Depot, Inc.	77,100		2,230,503
Household Products—1.9%
Kimberly-Clark Corporation	82,074		5,228,935
Independent Power Producers & Energy Traders—0.3%
Mirant Corporation*	61,900		945,213
Integrated Oil & Gas—1.3%
Occidental Petroleum Corporation	43,600		3,546,860
Life Sciences Tools & Services—3.1%
Life Technologies Corporation*	161,100		8,414,253
Multi-Line Insurance—0.7%
Hartford Financial Services Group, Inc.	77,400		1,800,324
Multi-Utilities—0.8%
Xcel Energy, Inc.	107,000		2,271,610
Oil & Gas Exploration & Production—1.3%
Forest Oil Corporation*	152,740		3,398,465
Oil & Gas Refining & Marketing—0.8%
World Fuel Services Corporation	77,600		2,078,904
Other Diversified Financial Services—1.8%
JPMorgan Chase & Company	118,878		4,953,646
Packaged Foods & Meats—0.8%
Campbell Soup Company	64,500		2,180,100
Paper Packaging—0.7%
Rock-Tenn Company	39,700		2,001,277
Pharmaceuticals—0.7%
Endo Pharmaceuticals Holdings, Inc.*	89,600		1,837,696
Property & Casualty Insurance—4.0%
ACE, Ltd.	124,135		6,256,404
Old Republic International Corporation	171,800		1,724,872
Tower Group, Inc.	32,400		758,484
W.R. Berkley Corporation	84,000		2,069,760
			10,809,520
Security & Alarm Services—0.6%
Brink’s Company	66,300		1,613,742
Specialty Stores—1.3%
Cabela’s, Inc.*	99,700		1,421,722
Tractor Supply Company*	40,200		2,128,992
			3,550,714

The accompanying notes are an integral part of the financial statements

29

Schedule of Investments	Series D
December 31, 2009	(Global Series)

	Shares		Value
COMMON STOCKS—54.3% (continued)
Systems Software—2.3%
Check Point Software Technologies *		187,067	$	6,337,830
Tobacco—3.7%
Altria Group, Inc.		278,232		5,461,693
Philip Morris International, Inc.		94,861		4,571,352
				10,033,045
TOTAL COMMON STOCKS (cost $129,000,402)			$	146,573,253
FOREIGN STOCKS—44.7%
Aerospace & Defense—2.6%
BAE Systems plc1,2		1,213,196		7,004,281
Automobile Manufacturers—2.5%
Honda Motor Company, Ltd.1,2		120,000		4,073,631
Renault S.A.1,2		54,036		2,768,542
				6,842,173
Diversified Banks—3.8%
DBS Group Holdings, Ltd.1,2		576,000		6,260,571
Standard Chartered plc1,2		164,678		4,140,113
				10,400,684
Electric Utilities—0.6%
Endesa S.A.1,2		47,182		1,625,075
Electrical Components & Equipment—2.8%
Prysmian SpA1,2		421,212		7,343,079
Fertilizers & Agricultural Chemicals—2.0%
Syngenta AG1,2		19,163		5,406,296
Food Retail—1.0%
Empire Company, Ltd.		29,804		1,352,408
Metro, Inc.		37,543		1,400,719
				2,753,127
Gold—1.4%
Randgold Resources, Ltd.1,2		48,145		3,836,118
Health Care Equipment—0.9%
Smith & Nephew plc1,2		242,798		2,499,005
Human Resources & Employment Services—1.4%
Seek, Ltd.1,2		634,078		3,915,615
Integrated Oil & Gas—1.9%
BG Group plc1,2		153,372		2,773,449
ENI SpA1,2		36,454		927,160
Repsol YPF S.A.1,2		61,074		1,636,829
				5,337,438
Integrated Telecommunication Services—0.5%
Telstra Corporation, Ltd.1,2		401,946		1,235,764
Internet Software & Services—2.6%
Gree, Inc.1,2		111,984		6,927,655
Life & Health Insurance—0.6%
CNP Assurances1,2		16,221		1,568,786
Multi-Utilities—1.0%
Veolia Environnement1,2		82,959		2,731,141
Office Electronics—0.5%
Neopost S.A.1,2		16,387		1,350,802
Oil & Gas Exploration & Production—3.8%
CNOOC, Ltd.1.,2		2,243,322		3,494,515
Oil Search, Ltd.1,2		1,244,315		6,822,460
				10,316,975
Oil & Gas Refining & Marketing—0.5%
Neste Oil Oyj1,2		75,521		1,340,320
Packaged Foods & Meats—5.7%
Marine Harvest1,2*		7,616,260		5,517,097
Parmalat SpA1,2		1,780,174		4,970,586
Toyo Suisan Kaisha, Ltd.1,2		220,703		5,092,286
				15,579,969
Property & Casualty Insurance—1.3%
Lancashire Holdings, Ltd.1,2		483,997		3,479,933
Regional Banks—0.6%
Seven Bank, Ltd.1,2		772		1,542,014
Semiconductor Equipment—2.4%
Tokyo Electron, Ltd.1,2		100,100		6,428,675
Specialized Finance—0.7%
Bolsas y Mercados Espanoles S.A.1,2		23,944		771,304
Osaka Securities Exchange Company, Ltd.1,2		213		1,015,813
				1,787,117
Steel—1.5%
Voestalpine AG1,2		108,959		3,975,640
Tobacco—2.1%
Imperial Tobacco Group plc1,2		176,120		5,550,923
TOTAL FOREIGN STOCKS (cost $109,375,770)			$	120,778,605
	Principal Amount		Value
SHORT TERM INVESTMENTS—0.8%
State Street General Account U.S. Government Fund1	$	2,109,842	$	2,109,842
TOTAL SHORT TERM INVESTMENTS (cost $2,109,842)			$	2,109,842
Total Investments—99.8%3 (cost $240,486,014)			$	269,461,700
Cash & Other Assets, Less Liabilities—0.2%				619,743
Total Net Assets—100.0%			$	270,081,443

The accompanying notes are an integral part of the financial statements

30

Schedule of Investments	Series D
December 31, 2009	(Global Series)

INVESTMENT CONCENTRATION

At December 31, 2009, the investment diversification of the Series was as follows:

Country	% of Net Assets		Value
United States	44.4	%	$	119,740,470
Japan	9.4			25,080,074
United Kingdom	8.1			21,967,771
Italy	4.9			13,240,825
Switzerland	4.3			11,662,700
Cayman Islands	4.0			10,668,322
France	3.1			8,419,271
Papua New Guinea	2.5			6,822,460
Israel	2.3			6,337,830
Singapore	2.3			6,260,571
India	2.1			5,680,069
Norway	2.0			5,517,097
Australia	1.9			5,151,379
Spain	1.5			4,033,208
Austria	1.5			3,975,640
Jersey	1.4			3,836,118
Hong Kong	1.3			3,494,515
Bermuda	1.3			3,479,933
Canada	1.0			2,753,127
Finland	0.5			1,340,320
Total Investments	99.8		$	269,461,700

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $241,875,662.

ADR	American Depositary Receipt
plc	Public Limited Company

* Non-income producing security

¹ Value determined based on Level 2 inputs.

² Security was subject to the fair value trigger at December 31, 2009. The total market value off air valued securities amounts to $118,025,478 (cost $107,000,295) or 43.7% of total net assets.

³ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

31

Series D

(Global Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	269,461,700
Cash denominated in a foreign currency, at value**		679
Receivables:
Fund shares sold		309,922
Dividends		945,192
Foreign taxes recoverable		182,385
Prepaid expenses		5,452
Total assets		270,905,330
Liabilities:
Payable for:
Fund shares redeemed		421,821
Management fees		228,664
Administration fees		35,499
Transfer agent/maintenance fees		2,083
Custodian fees		4,279
Directors’ fees		3,710
Professional fees		57,250
Other fees		70,581
Total liabilities		823,887
Net assets	$	270,081,443
Net assets consist of:
Paid in capital	$	350,560,600
Undistributed net investment income		1,919,749
Accumulated net realized loss on sale of investments and foreign currency transactions		(111,362,797	)
Net unrealized appreciation in value of investments and translation of assets and liabilities in foreign currencies		28,963,891
Net assets	$	270,081,443
Capital shares authorized		unlimited
Capital shares outstanding		30,474,571
Net asset value per share (net assets divided by shares outstanding)	$	8.86
* investments, at cost	$	240,486,014
** Cash denominated in a foreign currency, at cost		678
Statement of Operations For Year Ended December 31, 2009
Investment Income:
Dividends (net of foreign withholding tax $347,423)	$	6,138,630
Interest		2,148
Total investment income		6,140,778
Expenses:
Management fees		2,566,995
Administration fees		390,656
Transfer agent/maintenance fees		25,352
Custodian fees		83,950
Directors’ fees		27,362
Professional fees		90,708
Reports to shareholders		54,090
Other		20,010
Total expenses		3,259,123
Net investment income		2,881,655
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		1,024,997
Foreign currency transactions		(961,906	)
Net realized gain		63,091
Net unrealized appreciation (depreciation) during the year on:
Investments		42,167,814
Translation of assets and liabilities in foreign currencies		(1,636	)
Net unrealized appreciation		42,166,178
Net realized and unrealized gain		42,229,269
Net increase in net assets resulting from operations	$	45,110,924

The accompanying notes are an integral part of the financial statements

32

Statement of Changes in Net Assets Series D (Global Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	2,881,655		$	4,539,604
Net realized gain (loss) during the year on investments and foreign currency transactions		63,091			(107,176,596	)
Net unrealized appreciation (depreciation) during the year on investments and translation of assets and liabilities in foreign currencies		42,166,178			(87,984,897	)
Net increase (decrease) in net assets resulting from operations		45,110,924			(190,621,889	)
Capital share transactions:
Proceeds from sale of shares		26,124,600			71,253,122
Cost of shares redeemed		(77,119,578	)		(154,842,547	)
Net decrease from capital share transactions		(50,994,978	)		(83,589,425	)
Net decrease in net assets		(5,884,054	)		(274,211,314	)
Net assets:
Beginning of year		275,965,497			550,176,811
End of year	$	270,081,443		$	275,965,497
Undistributed net investment income at end of year	$	1,919,749		$	7,455,215
Capital share activity:
Shares sold		3,505,475			7,091,222
Shares redeemed		(10,300,582	)		(15,639,694	)
Total capital share activity		(6,795,107	)		(8,548,472	)

The accompanying notes are an integral part of the financial statements

33

Financial Highlights	Series D
Selected data for each share of capital stock outstanding throughout each year	(Global Series	)

	2009			2008a			2007b			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	7.40		$	12.01		$	11.03		$	9.40		$	8.28
Income (loss) from investment operations:
Net investment incomec		0.09			0.11			0.08			0.03			0.03
Net gain (loss) on securities (realized and unrealized)		1.37			(4.72	)		0.90			1.60			1.09
Total from investment operations		1.46			(4.61	)		0.98			1.63			1.12
Net asset value, end of period	$	8.86		$	7.40		$	12.01		$	11.03		$	9.40
Total Returnd		19.73	%		(38.38	%)		8.88	%		17.34	%		13.53	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	270,081		$	275,965		$	550,177		$	571,006		$	516,213
Ratios to average net assets:
Net investment income		1.12	%		1.09	%		0.67	%		0.32	%		0.30	%
Total expensese		1.27	%		1.26	%		1.26	%		1.24	%		1.24	%
Net expensesf		1.27	%		1.25	%		1.26	%		1.24	%		1.24	%
Net expenses prior to custodian earnings credits and net of expense waivers		1.27	%		1.26	%		1.26	%		1.24	%		1.24	%
Portfolio turnover rate		317	%		302	%g		115	%		23	%		33	%

^a SGI became the sub-advisor of Series D effective May 1, 2008. Prior to May 1, 2008, Security Investors (SI) paid Oppenheimer Funds for sub-advising 50% of Series D. SGI sub-advised the remaining 50%.

^b Security Global Investors, LLC (SGI) became sub-advisor of 50% of Series D effective August 1, 2007. OppenheimerFunds sub-advised the remaining 50%. Prior to August 1, 2007, OppenheimerFunds sub-advised the entire Series.

^c Net investment income (loss) was computed using average shares outstanding throughout the period.

^d Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^e Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^f Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

^g Significant variation in the portfolio turnover rate is due to the re-alignment of the Series portfolio following the appointment of SGI as sub-advisor.

The accompanying notes are an integral part of the financial statements

34

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series E of the SBL Fund – U.S. Intermediate Bond Series earned a return of 8.41%¹ for the year ended December 31, 2009, outperforming the benchmark Barclays Capital Intermediate U.S. Government/Credit Index return of 5.24%.

The U.S. Intermediate Bond Series will primarily invest in a diversified portfolio of investment grade debt securities and maintain a dollar-weighted average duration of 3 to 10 years. The Series’ investment approach uses a bottom-up process in selecting asset classes and securities. We emphasize rigorous credit analysis and relative value in selecting securities. Credit analysis includes assessing factors such as an issuer’s management experience, cash flow, position in its market, capital structure, and general economic and market factors. Relative value analysis includes earnings growth, profitability trends, the issuer’s financial strength, and valuation analysis. Relative valuation also compares the credit risk and yield of a security to that of other securities of the same or another asset class.

Composition of Portfolio Assets

At the end of the year, the Series held 44% in corporate issues, 5% in mortgage-backed securities, 30% in U.S. government securities, and 16% in U.S. government sponsored agency bonds and notes. Other securities, such as asset-backed securities, preferred stock, and cash constituted 5% of the portfolio.

U.S. Intermediate Bond Market Review

Turbulent does not begin to describe 2009 in the fixed income markets. U.S. treasuries had their worst total return in thirty years after starting the year as the global investor’s safe haven of choice. U.S. investment grade bond issuance was approximately $1 trillion, a remarkable 30% improvement from 2008. Corporate bonds performed extremely well as supply served to strengthen the balance sheets of many financial institutions and also to extend the maturities of many high yield issuers, lessening their near-term principal repayment risk.

The U.S. Treasury and Federal Reserve each played a key role in unlocking what were once frozen credit markets in 2009. At the height of the credit freeze, investors were fearful that impending corporate debt maturities would go unpaid for fear of companies not being able to roll over their debt. Through a variety of programs and security purchases, the U.S. Treasury, FDIC, and Federal Reserve enabled corporations to once again issue debt and meet near-term obligations. Because this served to reduce implied default rates, corporations were then able to tender for other debt and amend covenants to their benefit, leaving many issuers with less onerous debt covenants and reduced near-term maturities.

Fixed-income factors we follow point to improving economic growth as the yield curve remains historically steep and monetary policy remains accommodative. The cost of capital is cheap, as interest rates remain very low with no sign of inflation. Therefore, companies are able to expand but it is through merger and acquisition activity rather than organic growth.

Market Outlook

Increased government bond issuance, particularly of longer duration securities, combined with the removal of a buyer (the Federal Reserve) that purchased approximately 20% of total new cash raised by the U.S. treasury in 2009, caused us to be underweight U.S. treasuries and agencies in 2010. We expect the trend of corporate out-performance versus U.S. treasuries to continue as we enter 2010. Therefore, we will continue to overweight corporate bonds and underweight U.S. treasuries as the improving credit trend plays out over the next 12 months.

The Federal Reserve’s U.S. treasury purchases have ended and its agency purchases are scheduled to end early in 2010, removing a significant source of demand from both markets. However, government bond supply will remain robust as JP Morgan forecasts nearly a 20% increase in gross issuance of coupon treasury securities in 2010. The U.S. treasury has also stated its intention to lengthen the average maturity of its debt. We will continue to monitor the economic and market conditions and will adjust the asset mix and maturity structure in the portfolio accordingly.

Thank you for your investment in the U.S. Intermediate Bond Series.

We recognize there are many investment fund alternatives available today and appreciate the confidence you place in us.

Sincerely,

Daniel Portanova, Portfolio Manager

¹ Fee waivers and/or reimbursements reduce Series expenses and in the absence of such waivers, the performance quoted would be reduced.

35

	Series E
Performance Summary	(U.S. Intermediate Bond Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series E (U.S. Intermediate Bond Series) on December 31, 1999 and reflects the fees and expenses of Series E. The Barclays Capital Intermediate U.S. Government Credit Index is an unmanaged Index that tracks U.S. dollar denominated U.S. treasuries, government-related and investment grade U.S. corporate securities that have a remaining maturing of greater than or equal to 1 year and less than 10 years.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series E	8.41	%	1.50	%	3.91	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Quality Ratings

(Based on Standard and Poor’s Ratings)

AAA	52.07	%
AA	12.01
A	16.58
BBB	15.52
CCC	0.35
CC	0.21
Preferred Stock	0.17
Cash & Other Assets, Less Liabilities	3.09
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

36

Performance Summary	Series E
December 31, 2009	(U.S. Intermediate Bond Series)

	Principal Amount		Value
CORPORATE BONDS—48.4%
Banking—6.5%
BOI Capital Funding No. 2, LP
5.57%, 20491,2,3,4	$	650,000	$	273,000
Citigroup, Inc.
6.38%, 20141		500,000		523,454
8.50%, 20191		1,000,000		1,154,753
JPMorgan Chase & Company
4.65%, 20141		2,000,000		2,106,877
6.30%, 20191		1,000,000		1,100,077
Standard Chartered plc
6.41%, 20491,2,3,4		1,750,000		1,389,019
Wells Fargo & Company
4.38%, 20131		2,000,000		2,077,360
				8,624,540
Brokerage—2.9%
BlackRock, Inc.
6.25%, 20171		1,500,000		1,612,835
Raymond James Financial, Inc.
8.60%, 20191		2,000,000		2,163,710
				3,776,545
Building Materials—0.5%
CRH America, Inc.
6.95%, 20121		600,000		649,926
Chemicals—4.2%
Airgas, Inc.
4.50%, 20141		1,000,000		1,015,150
PPG Industries, Inc.
7.40%, 20191		650,000		724,718
Praxair, Inc.
4.38%, 20141		1,000,000		1,054,449
4.63%, 20151		1,500,000		1,595,330
5.20%, 20171		1,000,000		1,048,576
				5,438,223
Diversified Manufacturing—2.7%
Amphenol Corporation
4.75%, 20141		2,000,000		2,000,702
ITT Corporation
4.90%, 20141		1,500,000		1,571,783
				3,572,485
Electric—4.0%
American Water Capital Corporation
6.09%, 20171		3,000,000		3,134,711
Arizona Public Service Company
6.38%, 20111		600,000		642,293
Cincinnati Gas & Electric
5.70%, 20121		600,000		650,716
East Coast Power LLC
7.07%, 20121		77,467		80,425
Oncor Electric Delivery Company
6.38%, 20151		600,000		654,503
				5,162,648
Entertainment—0.6%
Walt Disney Company
4.50%, 20131		700,000		743,572
Financial Companies—Noncaptive
Consumer—0.3%
Residential Capital LLC
8.50%, 20121		650,000		455,000
Financial Companies—Noncaptive Diversified—1.7%
General Electric Capital Corporation
6.00%, 20121		2,000,000		2,155,814
Food & Beverage—3.4%
Brown-Forman Corporation
5.00%, 20141		2,000,000		2,101,968
General Mills, Inc.
5.25%, 20131		1,000,000		1,078,840
5.70%, 20171		1,200,000		1,297,744
				4,478,552
Independent Energy—1.3%
Devon Financing Corporation ULC
6.88%, 20111		1,600,000		1,738,104
Industrial—Other—1.2%
Johns Hopkins University
5.25%, 20191		1,500,000		1,560,225
Insurance—Life—0.8%
RenaissanceRe Holdings, Ltd.
5.88%, 20131		1,000,000		1,014,986
Insurance—Property & Casualty—1.5%
Berkshire Hathaway Finance Corporation
4.75%, 20121		1,800,000		1,918,919
Integrated Energy—2.8%
BP Capital Markets plc
5.25%, 20131		2,000,000		2,178,458
Statoil ASA
2.90%, 20141		1,500,000		1,493,796
				3,672,254
Media—Cable—3.7%
Omnicom Group, Inc.
6.25%, 20191		4,500,000		4,854,821
Natural Gas Pipelines—0.1%
Express Pipeline, LP
6.47%, 20131,3,4		136,000		137,550
Pharmaceuticals—4.3%
AstraZeneca plc
5.90%, 20171		1,750,000		1,944,549
GlaxoSmithKline Capital, Inc.
4.85%, 20131		500,000		536,725
Novartis Securities Investment, Ltd.
5.13%, 20191		1,000,000		1,050,526
Wyeth
5.50%,20131		2,000,000		2,174,575
				5,706,375

The accompanying notes are an integral part of the financial statements

37

Schedule of Investments	Series E
December 31, 2009	(U.S. Intermediate Bond Series)

	Principal Amount		Value
CORPORATE BONDS—48.4% (continued)
Restaurants—1.6%
Starbucks Corporation
6.25%, 20171	$	2,000,000	$	2,115,316
Technology—0.8%
Microsoft Corporation
2.95%, 20141		1,000,000		1,010,712
Telecommunications—Wireless—1.1%
AT&T, Inc.
4.85%, 20141		1,300,000		1,382,284
Transportation Services—0.8%
United Parcel Service, Inc.
3.88%, 20141		1,000,000		1,038,974
U.S. Banking—1.6%
American Express Bank FSB
3.15%, 20111		2,000,000		2,066,936
TOTAL CORPORATE BOND (cost $61,144,860)			$	63,274,761
	Principal Amount		Value
PREFERRED STOCK—0.2%
Insurance Brokers—0.2%
Woodbourne Capital Trust I
1.53%, 20492,3,5,6		300,000		56,176
Woodbourne Capital Trust II
1.57%, 20492,3,5,6		300,000		56,177
Woodbourne Capital Trust III
1.58%, 20492,3,5,6		300,000		56,177
Woodbourne Capital Trust IV
1.58%, 20492,3,5,6		300,000		56,176
				224,706
TOTAL PREFERRED STOCK (cost $1,205,796)			$	224,706
	Principal Amount		Value
MORTGAGE BACKED SECURITIES—2.8%
Other Non-Agency—2.8%
C.M.O.’s—2.8%
Chase Mortgage Finance Corporation
2005-A1 2A2, 5.23%, 20351,2	$	998,286	$	921,927
Homebanc Mortgage Trust
2006-1, 3.74%, 20371,2		1,176,297		722,395
JP Morgan Alternative Loan Trust
2006-S3, 6.00%, 20361		3,000,000		1,775,543
JP Morgan Mortgage Trust
2006-A3, 3.97%, 20361,2		307,927		260,922
				3,680,787
				3,680,787
U.S. Government Sponsored Agencies—0.0%
C.M.O.’s—0.0%
Federal Home Loan Mortgage Corporation
FHR 188 H, 7.00%, 20211		996		1,086
Federal National Mortgage Association
FNR 1990-68 J, 6.95%, 2020 1		2,442		2,675
FNR 1990-103 K, 7.50%, 20201		919		984
				4,745
				4,745
U.S. Government Sponsored Securities—0.0%
Pass Through’s—0.0%
Government National Mortgage Association
#518436, 7.25%, 20291		18,389		20,595
				20,595
TOTAL MORTGAGE BACKED SECURITIES (cost $5,500,927)			$	3,706,127
	Principal Amount		Value
ASSET BACKED SECURITIES—0.3%
Home Equity Loans—0.3%
Credit-Based Asset Servicing and Securitization LLC
2005-CB5, 0.49%, 20351,2	$	427,933	$	396,870
TOTAL ASSET BACKED SECURITIES (cost $427,933)			$	396,870
	Principal Amount		Value
U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES—15.7%
Federal Home Loan Bank
0.80%, 4/30/20101	$	4,000,000	$	4,008,500
1.63%, 3/16/20111		9,000,000		9,095,876
3.63%, 10/18/20131		1,500,000		1,571,306
5.25%, 6/18/20141		1,500,000		1,666,367
5.00%, 12/21/20151		2,000,000		2,156,182
Federal Home Loan Mortgage Corporation
3.75%, 3/27/20191		2,000,000		1,960,842
TOTAL U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES (cost $20,463,714)			$	20,459,073

38

Schedule of Investments	Series E
December 31, 2009	(U.S. Intermediate Bond Series)

	Principal Amount		Value
U.S. GOVERNMENT SECURITIES—29.5%
U.S. Treasury Notes
2.00%, 2/28/2010	$	7,500,000	$	7,521,390
0.88%, 5/31/2011		2,250,000		2,252,725
1.38%, 4/15/2012		4,500,000		4,504,221
1.50%, 7/15/2012		6,500,000		6,510,152
3.63%, 12/31/2012		2,000,000		2,114,844
2.50%, 3/31/2013		5,500,000		5,625,037
3.25%, 6/30/2016		4,500,000		4,513,010
2.75%, 2/15/2019		3,250,000		2,992,031
3.13%, 5/15/2019		1,600,000		1,515,250
3.38%, 11/15/2019		1,000,000		961,880
TOTAL U.S. GOVERNMENT SECURITIES (cost $38,645,707)			$	38,510,540
Total Investments—96.9%7 (cost $127,388,937)			$	126,572,077
Cash & Other Assets, Less Liabilities—3.1%				3,996,558
Total Net Assets—100.0%			$	130,568,635

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $128,623,894.

plc Public Limited Company

¹ Value determined based on Level 2 inputs.

² Variable rate security. Rate indicated is rate effective at December 31, 2009.

³ Security was acquired through a private placement.

⁴ Security is a 144A or Section 4(2) security. The total market value of 144A or Section 4(2) securities is $1,799,569 (cost $2,526,889), or 1.4% of total net assets.

⁵ Value determined based on Level 3 inputs.

⁶ Security was fair valued by the Valuation Committee at December 31, 2009. The total market value of fair valued securities amounts to $224,706, (cost $1,205,796) or 0.2% of total net assets.

⁷ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

39

Series E

(U.S. Intermediate Bond Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	126,572,077
Cash		2,430,992
Receivables:
Fund shares sold		398,535
Securities sold		75,875
Interest		1,264,277
Prepaid expenses		2,746
Total assets		130,744,502
Liabilities:
Payable for:
Fund shares redeemed		63,602
Management fees		66,763
Administration fees		12,671
Transfer agent/maintenance fees		2,083
Custodian fees		941
Directors’ fees		1,762
Professional fees		13,762
Other fees		14,283
Total liabilities		175,867
Net assets	$	130,568,635
Net assets consist of:
Paid in capital	$	146,756,551
Undistributed net investment income		2,568,703
Accumulated net realized loss on sale of investments		(17,939,759	)
Net unrealized depreciation in value of investments		(816,860	)
Net assets	$	130,568,635
Capital shares authorized		unlimited
Capital shares outstanding		10,671,548
Net asset value per share (net assets divided by shares outstanding)	$	12.24
* Investments, at cost	$	127,388,937

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	59,471
Interest		4,308,293
Total investment income		4,367,764
Expenses:
Management fees		850,765
Administration fees		115,030
Transfer agent/maintenance fees		25,321
Custodian fees		6,337
Directors’ fees		12,063
Professional fees		16,989
Reports to shareholders		14,667
Other		5,552
Total expenses		1,046,724
Expenses waived		(170,154	)
Net expenses		876,570
Net investment income		3,491,194
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(9,761,362	)
Net realized loss		(9,761,362	)
Net unrealized appreciation (depreciation) during the year on:
Investments		15,320,180
Net unrealized appreciation		15,320,180
Net realized and unrealized gain		5,558,818
Net increase in net assets resulting from operations	$	9,050,012

The accompanying notes are an integral part of the financial statements

40

	Series E
Statement of Changes in Net Assets	(U.S. Intermediate Bond Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	3,491,194		$	5,515,405
Net realized loss during the year on investments		(9,761,362	)		(3,305,573	)
Net unrealized appreciation (depreciation) during the year on investments		15,320,180			(12,398,639	)
Net increase (decrease) in net assets resulting from operations		9,050,012			(10,188,807	)
Capital share transactions:
Proceeds from sale of shares		71,807,375			46,877,829
Cost of shares redeemed		(49,358,471	)		(59,271,743	)
Net increase (decrease) from capital share transactions		22,448,904			(12,393,914	)
Net increase (decrease) in net assets		31,498,916			(22,582,721	)
Net assets:
Beginning of year		99,069,719			121,652,440
End of year	$	130,568,635		$	99,069,719
Undistributed net investment income at end of year	$	2,568,703		$	4,539,597
Capital share activity:
Shares sold		6,109,866			3,844,656
Shares redeemed		(4,215,010	)		(4,911,549	)
Total capital share activity		1,894,856			(1,066,893	)

The accompanying notes are an integral part of the financial statements

41

Financial Highlights	Series E
Selected data for each share of capital stock outstanding throughout each year	(U.S. Intermediate Bond Series)

	2009			2008a			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	11.29		$	12.36		$	12.01		$	11.57		$	11.36
Income (loss) from investment operations:
Net investment incomeb		0.37			0.58			0.60			0.63			0.49
Net gain (loss) on securities (realized and unrealized)		0.58			(1.65	)		(0.25	)		(0.19	)		(0.28	)
Total from investment operations		0.95			(1.07	)		0.35			0.44			0.21
Net asset value, end of period	$	12.24		$	11.29		$	12.36		$	12.01		$	11.57
Total Returnc		8.41	%		(8.66	)%		2.91	%		3.80	%		1.85	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	130,569		$	99,070		$	121,652		$	151,311		$	159,386
Ratios to average net assets:
Net investment income		3.08	%		4.80	%		4.90	%		4.67	%		4.23	%
Total expensesd		0.92	%		0.93	%		0.91	%		0.93	%		0.92	%
Net expensese		0.77	%		0.78	%		0.76	%		0.78	%		0.77	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.77	%		0.78	%		0.76	%		0.78	%		0.77	%
Portfolio turnover rate		76	%f		34	%		31	%		64	%		60	%

^a Effective November 24, 2008 the Series name became U.S. Intermediate Bond Series. Prior to November 24, 2008 the Series was known as the Diversified Income Series.

^b Net investment income (loss) was computed using average shares outstanding throughout the period.

^c Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^d Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^e Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

^f Significant variation in the portfolio turnover rate is due to Investment Manager’s appointment of new portfolio manager for the Series.

The accompanying notes are an integral part of the financial statements

42

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series H of the SBL Fund – Enhanced Index Series returned 26.65%¹ for the year ended December 31, 2009, in line with the S&P 500 Index gain of 26.46% but less than the peer group of 27.77%.

Our investment strategy is predicated on the philosophy that, over the long-term, intrinsic value is an anchor for stock prices, but behavioral biases, trends, bubbles, and busts can cause significant short-term deviations.

Market Overview

The U.S. market rose more than 25% in 2009, providing a significant rebound from the 2008 drop. On March 9, 2009 the market fell to a valuation first reached 13 years prior, in 1996. Since 1996, the U.S. GDP had grown by more than 6 trillion dollars, more than 75%, yet the market capitalization of the S&P 500 was unchanged. Equity values conveyed expectations as low as we had recorded since our data starting point in 1963. On a normalized earnings basis we calculated a risk premium above 20%. Valuations didn’t matter; investors would not hold risky assets, so prices fell regardless of underlying assets and earning potential. Risk played a dominant role to valuations and capital preservation superseded all other motivations.

Fund Review

Accordingly, our process is anchored with our value model and incorporates other factors to measure the strength and legitimacy of different market waves and currents. In February 2009 most empirical evidence clearly pointed towards a significant dislocation of intrinsic value from stock price. We observed the largest spread between valuations and earnings power than at any point in our research, dating back to 1963. The empirical evidence supported our view that value stocks were, inexpensive and presented a significant opportunity. Meanwhile, our other alpha factors intended to provide sentiment indications appeared relatively expensive, arguing higher quality and momentum stocks were significantly overpriced relative to riskier stocks. We positioned our portfolio to take advantage of the dislocation by increasing our exposure to inexpensive stocks and decreasing our exposure to the high quality positive momentum stocks. In hindsight our timing looks fortuitous; however through March 9, 2009, it looked disastrously early. Despite early underperformance, we trusted (with verification) the empirical evidence and remained relatively over-exposed to the market rally, which led to our outperformance over the final 9 months of the year.

Calendar year 2009 presented a market with enormous risk and commensurate price dislocations exploitable primarily through factor rotation or market timing. To our benefit we realized significant positive performance from our value model but with it came disastrous performance of our other factors. While we certainly could not have predicted the magnitudes of performance spreads, we expected the divergent factor performance because the signals had reached all-time price dislocations and correlation between value and the other factors was at an all-time low, meaning virtually no attractively valued stocks exhibited improving fundamentals, quality or momentum characteristics in January 2009.

Market Outlook

We have now transitioned to a more normal environment; correlations and factor prices are not at severe dislocations. Accordingly, we expect a more normal outcome for 2010, where stocks exhibiting value characteristics along with improving fundamentals outperform the market.

Thank you for your business and the confidence you place in us.

Sincerely,

Peter C. Stournaras, Portfolio Manager,

Northern Trust Investments

¹ Fee waivers and/or reimbursements reduce Series expenses and in the absence of such waivers, the performance quoted would be reduced.

43

	Series H
Performance Summary	(Enhanced Index Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series H (Enhanced Index Series) on December 31, 1999 and reflects the fees and expenses of Series H. The S&P 500 Index is a capitalization-weighted index composed of 500 selected common stocks that represent the broad domestic economy and is a widely recognized unmanaged index of market performance.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series H	26.65	%	(0.62	)%	(1.98	)%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	9.38	%
Consumer Staples	11.02
Energy	11.22
Financials	13.09
Health Care	12.44
Industrials	10.01
Information Technology	19.12
Materials	3.52
Telecommunication Services	3.15
Utilities	3.79
Preferred Stock	0.73
U.S. Government Sponsored Securities	0.23
Cash & Other Assets, Less Liabilities	2.30
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

44

Schedule of Investments	Series H
December 31, 2009	(Enhanced Index Series)

	Shares	Value
COMMON STOCKS—96.8%
Advertising—0.6%
Interpublic Group of Companies, Inc.*	6,848	$	50,538
Omnicom Group, Inc.	5,867		229,693
			280,231
Aerospace & Defense—3.2%
Boeing Company	222		12,017
General Dynamics Corporation	4,163		283,792
Honeywell International, Inc.	1,809		70,913
ITT Corporation	3,935		195,727
L-3 Communications Holdings, Inc.	1,796		156,162
Lockheed Martin Corporation	1,177		88,687
Raytheon Company	5,174		266,564
United Technologies Corporation	6,353		440,961
			1,514,823
Agricultural Products—0.3%
Archer-Daniels-Midland Company	3,831		119,949
Air Freight & Logistics—0.5%
FedEx Corporation	1,595		133,103
United Parcel Service, Inc. (Cl.B)	1,908		109,462
			242,565
Apparel Retail—1.1%
Gap, Inc.	9,701		203,236
Ltd. Brands, Inc.	10,887		209,466
TJX Companies, Inc.	2,286		83,553
			496,255
Apparel, Accessories & Luxury Goods—0.2%
V.F. Corporation	1,482		108,542
Asset Management & Custody Banks—0.5%
Ameriprise Financial, Inc.	3,379		131,173
Franklin Resources, Inc.	28		2,950
Legg Mason, Inc.	3,138		94,642
			228,765
Automobile Manufacturers—0.3%
Ford Motor Company*	14,309		143,090
Biotechnology—1.3%
Amgen, Inc.*	7,773		439,719
Gilead Sciences, Inc.*	4,366		188,960
			628,679
Broadcasting—0.1%
CBS Corporation (CI.B)	2,498		35,097
Building Products—0.1%
Masco Corporation	3,751		51,801
Cable & Satellite—0.3%
Comcast Corporation	3,728		62,854
DIRECTV*	2,713		90,479
			153,333
Coal & Consumable Fuels—0.1%
Peabody Energy Corporation	1,526		68,990
Commercial Printing—0.4%
RR Donnelley & Sons Company	9,040		201,321
Communications Equipment—2.5%
Cisco Systems, Inc.*	33,891		811,350
Harris Corporation	4,238		201,517
Motorola, Inc.	551		4,276
Qualcomm, Inc.	4,225		195,449
			1,212,592
Computer & Electronics Retail—0.4%
Best Buy Company, Inc.	1,919		75,724
RadioShack Corporation	6,806		132,717
			208,441
Computer Hardware—5.7%
Apple, Inc.*	3,373		711,231
Dell, Inc.*	17,992		258,365
Hewlett-Packard Company	13,698		705,584
International Business Machines Corporation	7,494		980,964
Sun Microsystems, Inc.*	907		8,499
			2,664,643
Computer Storage & Peripherals—0.7%
EMC Corporation*	10,722		187,313
Western Digital Corporation*	3,119		137,704
			325,017
Construction & Engineering—0.1%
Fluor Corporation	964		43,418
Jacobs Engineering Group, Inc.*	162		6,093
			49,511
Construction & Farm Machinery & Heavy Trucks—0.0%
Caterpillar, Inc.	292		16,641
Consumer Finance—0.9%
American Express Company	3,382		137,039
Capital One Financial Corporation	6,351		243,497
SLM Corporation*	3,300		37,191
			417,727
Data Processing & Outsourced Services—0.8%
Computer Sciences Corporation*	3,827		220,167
Convergys Corporation*	267		2,870
Fidelity National Information Services, Inc.	5,811		136,210
Total System Services, Inc.	1,073		18,531
Western Union Company	761		14,345
			392,123
Department Stores—0.7%
JC Penney Company, Inc.	6,032		160,512
Sears Holdings Corporation*	2,326		194,104
			354,616
Distributors—0.1%
Genuine Parts Company	1,518		57,623
Diversified Banks—2.1%
Comerica, Inc.	5,309		156,987
U.S. Bancorp	2,052		46,191
Wells Fargo & Company	29,626		799,605
			1,002,783
Diversified Chemicals—0.8%
Eastman Chemical Company	3,134		188,792

The accompanying notes are an integral part of the financial statements

45

Schedule of Investments	Series H
December 31, 2009	(Enhanced Index Series)

	Shares	Value
COMMON STOCKS—96.8% (continued)
Diversified Chemicals—0.8% (continued)
PPG Industries, Inc.	3,453	$	202,139
			390,931
Diversified Metals & Mining—0.3%
Freeport-McMoRan Copper & Gold, Inc. (CI.B)	1,567		125,814
Drug Retail—0.9%
CVS Caremark Corporation	8,054		259,419
Walgreen Company	4,973		182,609
			442,028
Electric Utilities—1.5%
American Electric Power Company, Inc.	3,535		122,983
Edison International	6,300		219,114
Exelon Corporation	892		43,592
FirstEnergy Corporation	5,121		237,871
PPL Corporation	2,893		93,473
			717,033
Electrical Components & Equipment—0.7%
Emerson Electric Company	7,326		312,088
Electronic Manufacturing Services—0.4%
Jabil Circuit, Inc.	10,615		184,383
Fertilizers & Agricultural Chemicals—0.5%
CF Industries Holdings, Inc.	2,207		200,351
Monsanto Company	578		47,252
			247,603
Food Retail—0.2%
Safeway, Inc.	4,649		98,977
Gas Utilities—0.4%
Nicor, Inc.	4,292		180,693
General Merchandise Stores—0.6%
Big Lots, Inc.*	7,050		204,309
Target Corporation	2,140		103,512
			307,821
Health Care Distributors—0.9%
AmerisourceBergen Corporation	7,932		206,787
McKesson Corporation	3,896		243,500
			450,287
Health Care Equipment—1.9%
Baxter International, Inc.	24		1,408
CR Bard, Inc.	342		26,642
Hospira, Inc.*	3,771		192,321
Intuitive Surgical, Inc.*	254		77,043
Medtronic, Inc.	9,280		408,135
Stryker Corporation	2,793		140,683
			846,232
Health Care Services—0.6%
Medco Health Solutions, Inc.*	4,774		305,106
Health Care Technology—0.0%
IMS Health, Inc.	881		18,554
Home Improvement Retail—0.9%
Home Depot, Inc.	14,015		405,454
Hotels, Resorts & Cruise Lines—0.1%
Carnival Corporation*	1,578		50,007
Household Appliances—0.4%
Whirlpool Corporation	2,513		202,699
Household Products—2.1%
Colgate-Palmolive Company	362		29,738
Kimberly-Clark Corporation	4,644		295,869
Procter & Gamble Company	11,912		722,225
			1,047,832
Hypermarkets & Super Centers—1.5%
Wal-Mart Stores, Inc.	13,073		698,752
Independent Power Producers & Energy Traders—0.4%
Constellation Energy Group, Inc.	5,897		207,397
Industrial Conglomerates—2.4%
3M Company	5,554		459,149
General Electric Company	46,364		701,488
			1,160,637
Industrial Machinery—1.4%
Dover Corporation	4,882		203,140
Eaton Corporation	2,875		182,908
Illinois Tool Works, Inc.	3,579		171,756
Parker Hannifin Corporation	341		18,373
Stanley Works	1,569		80,819
			656,996
Industrial REIT’s—0.4%
ProLogis	14,766		202,147
Integrated Oil & Gas—7.6%
Chevron Corporation	11,527		887,464
ConocoPhillips	9,408		480,467
Exxon Mobil Corporation1	24,898		1,697,795
Marathon Oil Corporation	2,517		78,581
Occidental Petroleum Corporation	5,864		477,036
			3,621,343
Integrated Telecommunication Services—3.1%
AT&T, Inc.	33,954		951,731
Qwest Communications International, Inc.	49,367		207,835
Verizon Communications, Inc.	10,140		335,938
			1,495,504
Internet Retail—0.3%
Amazon.com, Inc.*	1,234		165,998
Internet Software & Services—2.3%
AOL, Inc.*	138		3,213
eBay, Inc.*	9,403		221,347

The accompanying notes are an integral part of the financial statements

46

Schedule of Investments	Series H
December 31, 2009	(Enhanced Index Series)

	Shares	Value
COMMON STOCKS—96.8% (continued)
Internet Software & Services—2.3% (continued)
Google, Inc.*	1,232	$	763,815
Yahoo!, Inc.*	7,272		122,024
			1,110,399
Investment Banking & Brokerage—1.2%
Goldman Sachs Group, Inc.	3,339		563,757
Life & Health Insurance—0.7%
Lincoln National Corporation	3,021		75,162
MetLife, Inc.	3,062		108,242
Prudential Financial, Inc.	248		12,340
Torchmark Corporation	81		3,560
Unum Group	6,294		122,859
			322,163
Life Sciences Tools & Services—0.4%
Thermo Fisher Scientific, Inc.*	2,008		95,761
Waters Corporation*	1,512		93,684
			189,445
Managed Health Care—0.7%
Coventry Health Care, Inc.*	1,173		28,492
UnitedHealth Group, Inc.	6,595		201,016
WellPoint, Inc.*	2,120		123,575
			353,083
Metal & Glass Containers—0.0%
Ball Corporation	125		6,463
Movies & Entertainment —1.4%
News Corporation*	8,591		117,611
Time Warner, Inc.	1,528		44,526
Viacom, Inc. (CI.B)*	8,074		240,039
Walt Disney Company	6,931		223,524
			625,700
Multi-Line Insurance—0.6%
Genworth Financial, Inc.*	2,755		31,269
Loews Corporation*	6,572		238,892
			270,161
Multi-Utilities—1.5%
CenterPoint Energy, Inc.	13,027		189,022
DTE Energy Company	4,819		210,059
Public Service Enterprise Group, Inc.	3,694		122,826
Sempra Energy	3,071		171,915
			693,822
Office Services & Supplies—0.4%
Avery Dennison Corporation	4,590		167,489
Oil & Gas Drilling—1.0%
Ensco International plc ADR	4,221		168,587
Nabors Industries, Ltd.*	9,074		198,630
Rowan Companies, Inc.	4,610		104,370
			471,587
Oil & Gas Equipment & Services—1.1%
FMC Technologies, Inc.*	525		30,366
National Oilwell Varco, Inc.	5,737		252,944
Schlumberger, Ltd.	3,399		221,241
			504,551
Oil & Gas Exploration & Production—0.9%
Anadarko Petroleum Corporation	484		30,211
Chesapeake Energy Corporation	4,337		112,242
XTO Energy, Inc.	6,534		304,027
			446,480
Oil & Gas Storage & Transportation—0.5%
El Paso Corporation	975		9,584
Williams Companies, Inc.	10,638		224,249
			233,833
Other Diversified Financial Services—3.9%
Bank of America Corporation	33,863		509,976
Citigroup, Inc.	52,093		172,428
JPMorgan Chase & Company	21,159		881,695
Morgan Stanley	11,291		334,214
			1,898,313
Packaged Foods & Meats—1.8%
Campbell Soup Company	5,433		183,635
Kellogg Company	4,178		222,270
Kraft Foods, Inc.	3,224		87,628
Sara Lee Corporation	16,687		203,248
Tyson Foods, Inc.	13,084		160,541
			857,322
Paper Packaging—0.5%
Bemis Company, Inc.	2,468		73,176
Sealed Air Corporation	7,895		172,585
			245,761
Paper Products—0.8%
International Paper Company	9,076		243,055
MeadWestvaco Corporation	4,189		119,931
			362,986
Personal Products—0.1%
Avon Products, Inc.	763		24,035
Mead Johnson Nutrition Company	876		38,291
			62,326
Pharmaceuticals—6.6%
Abbott Laboratories	5,858		316,273
Bristol-Myers Squibb Company	1,188		29,997
Eli Lilly & Company	7,560		269,968
Forest Laboratories, Inc.*	3,647		117,105
Johnson & Johnson	15,489		997,646
Merck & Company, Inc.	13,783		503,631
Pfizer, Inc.	47,240		859,296
			3,093,916
Property & Casualty Insurance—1.3%
Allstate Corporation	805		24,182
Chubb Corporation	2,735		134,507
Travelers Companies, Inc.	5,687		283,555
XL Capital, Ltd.	10,483		192,153
			634,397
Publishing—0.8%
Gannett Company, Inc.	14,545		215,993
McGraw-Hill Companies, Inc.	4,356		145,970
			361,963
Railroads—0.2%
CSX Corporation	1,591		77,148

The accompanying notes are an integral part of the financial statements

47

Schedule of Investments	Series H
December 31, 2009	(Enhanced Index Series)

	Shares		Value
COMMON STOCKS—96.8% (continued)
Regional Banks—0.5%
Fifth Third Bancorp		6,145	$	59,914
PNC Financial Services Group, Inc.		2,469		130,338
SunTrust Banks, Inc.		1,278		25,931
				216,183
Restaurants—0.9%
Darden Restaurants, Inc.		2,709		95,005
McDonald’s Corporation		5,109		319,006
				414,011
Semiconductors—2.3%
Intel Corporation		34,632		706,492
Texas Instruments, Inc.		12,675		330,311
Xilinx, Inc.		2,317		58,064
				1,094,867
Soft Drinks—2.2%
Coca-Cola Company		8,117		462,669
Coca-Cola Enterprises, Inc.		9,511		201,633
Dr Pepper Snapple Group, Inc.		1,829		51,761
Pepsi Bottling Group, Inc.		673		25,238
PepsiCo, Inc.		4,753		288,982
				1,030,283
Specialized Consumer Services—0.2%
H&R Block, Inc.		4,299		97,243
Specialized Finance—0.2%
CME Group, Inc.		286		96,082
Specialized REIT’s—0.8%
HCP, Inc.		5,183		158,289
Host Hotels & Resorts, Inc.		18,982		221,520
				379,809
Specialty Chemicals—0.4%
International Flavors & Fragrances, Inc.		4,338		178,465
Steel—0.2%
Nucor Corporation		2,505		116,858
Systems Software—4.5%
BMC Software, Inc.*		4,949		198,455
Microsoft Corporation		42,338		1,290,885
Oracle Corporation		25,746		631,807
				2,121,147
Tobacco—2.0%
Altria Group, Inc.		16,317		320,303
Philip Morris International, Inc.		8,288		399,398
Reynolds American, Inc.		4,037		213,840
				933,541
Trading Companies & Distributors—0.3%
W.W. Grainger, Inc.		1,693		163,933
Trucking—0.3%
Ryder System, Inc.		3,813		156,981
Wireless Telecommunication Services—0.0%
Sprint Nextel Corporation*		747		2,734
TOTAL COMMON STOCKS (cost $42,532,216)			$	46,072,676
	Shares		Value
PREFERRED STOCK—0.7%
Other Diversified Financial Services—0.7%
Bank of America Corporation
10.00%,2,*		23,191	$	346,010
TOTAL PREFERRED STOCK (cost $370,691)			$	346,010
	Principal Amount		Value
U.S. GOVERNMENT SECURITIES—0.2%
U.S. Treasury Bill
0.12%, 5/6/2010	$	110,000	$	109,958
TOTAL U.S. GOVERNMENT SECURITIES (cost $109,963)			$	109,958
Total Investments—97.7%3 (cost $43,012,870)			$	46,528,644
Cash & Other Assets, Less Liabilities—2.3%				1,095,943
Total Net Assets—100.0%			$	47,624,587

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $45,346,126.

ADR American Depositary Receipt

plc Public Limited Company

* Non-income producing security

¹ Security is segregated as collateral for open futures contracts.

² Variable rate security. Rate indicated is rate effective at December 31, 2009.

³ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

48

Series H

(Enhanced Index Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	46,528,644
Cash		798,208
Receivables:
Fund shares sold		311,671
Dividends		68,510
Prepaid expenses		820
Total assets		47,707,853
Liabilities:
Payable for:
Fund shares redeemed		26,427
Variation margin on futures		8,889
Management fees		18,838
Administration fees		5,079
Transfer agent/maintenance fees		2,083
Custodian fees		477
Directors’ fees		637
Professional fees		12,336
Other fees		8,500
Total liabilities		83,266
Net assets	$	47,624,587
Net assets consist of:
Paid in capital	$	64,157,232
Undistributed net investment income		681,706
Accumulated net realized loss on sale of investments		(20,737,076	)
Net unrealized appreciation in value of investments		3,522,725
Net assets	$	47,624,587
Capital shares authorized		unlimited
Capital shares outstanding		5,388,280
Net asset value per share (net assets divided by shares outstanding)	$	8.84
* Investments, at cost	$	43,012,870

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	1,009,875
Interest		749
Total investment income		1,010,624
Expenses:
Management fees		313,871
Administration fees		45,484
Transfer agent/maintenance fees		25,185
Custodian fees		12,376
Directors’ fees		4,590
Professional fees		20,664
Reports to shareholders		8,038
Other		3,334
Total expenses		433,542
Expenses waived		(104,624	)
Net expenses		328,918
Net investment income		681,706
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(6,964,266	)
Futures		205,203
Net realized loss		(6,759,063	)
Net unrealized appreciation (depreciation) during the year on:
Investments		16,159,591
Futures		(11,247	)
Net unrealized appreciation		16,148,344
Net realized and unrealized gain		9,389,281
Net increase in net assets resulting from operations	$	10,070,987

The accompanying notes are an integral part of the financial statements

49

	Series H
Statement of Changes in Net Assets	(Enhanced Index Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	681,706		$	994,450
Net realized loss during the year on investments		(6,759,063	)		(12,878,004	)
Net unrealized appreciation (depreciation) during the year on investments		16,148,344			(15,946,663	)
Net increase (decrease) in net assets resulting from operations		10,070,987			(27,830,217	)
Capital share transactions:
Proceeds from sale of shares		7,182,261			15,012,095
Cost of shares redeemed		(13,266,072	)		(27,073,231	)
Net decrease from capital share transactions		(6,083,811	)		(12,061,136	)
Net increase (decrease) in net assets		3,987,176			(39,891,353	)
Net assets:
Beginning of year		43,637,411			83,528,764
End of year	$	47,624,587		$	43,637,411
Undistributed net investment income at end of year	$	681,706		$	994,450
Capital share activity:
Shares sold		1,001,402			1,623,139
Shares redeemed		(1,867,536	)		(2,843,320	)
Total capital share activity		(866,134	)		(1,220,181	)

The accompanying notes are an integral part of the financial statements

50

Financial Highlights	Series H
Selected data for each share of capital stock outstanding throughout each year	(Enhanced Index Series)

	2009			2008			2007			2006a			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	6.98		$	11.18		$	11.07		$	9.58		$	9.12
Income (loss) from investment operations:
Net investment incomeb		0.12			0.15			0.14			0.03			0.11
Net gain (loss) on securities (realized and unrealized)		1.74			(4.35	)		(0.03	)		1.46			0.35
Total from investment operations		1.86			(4.20	)		0.11			1.49			0.46
Net asset value, end of period	$	8.84		$	6.98		$	11.18		$	11.07		$	9.58
Total Returnc		26.65	%		(37.57	%)		0.99	%		15.55	%		5.04	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	47,625		$	43,637		$	83,529		$	110,030		$	40,101
Ratios to average net assets:
Net investment income		1.61	%		1.60	%		1.25	%		1.23	%		1.15	%
Total expensesd		1.03	%		0.99	%		0.94	%		0.98	%		1.04	%
Net expensese		0.78	%		0.74	%		0.69	%		0.73	%		0.79	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.78	%		0.74	%		0.69	%		0.73	%		0.79	%
Portfolio turnover rate		85	%		106	%		89	%		119	%		106	%

^a The financial highlights for Series H exclude the historical financial highlights for Series W. The assets of Series W were acquired by Series H on June 16, 2006. A total of $53,926,052 was excluded from purchases in the portfolio turnover calculation, which represents the cost of the securities Series H received as a result of the merger,

^b Net investment income (loss) was computed using average shares outstanding throughout the period.

^c Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products,

^d Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable,

^e Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

The accompanying notes are an integral part of the financial statements

51

This page left blank intentionally.

52

Managers’ Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series J of the SBL Fund - Mid Cap Growth Series posted a return of 43.96% for the year, underperforming its benchmark, the Russell MidCap Growth, which gained 46.29%. However, the portfolio exceeded the Series’ peer group median return of 42.07%.

Our approach to the Series is to seek securities of companies that are able to grow and/or reinvest in increasingly profitable ventures and hold them over three to five years to capture the best part of the improvements in profits. We focus on investing in securities of companies that appear likely to generate above average profitability at prices that, as of yet, do not reflect that potential.

We use a bottom-up approach to choose portfolio securities that we believe are attractively valued with the greatest potential for appreciation. We attempt to identify companies that are in the early to middle stages of growth and are valued at a reasonable price.

Information Technology, Industrials, and Consumer Discretionary Top Performers

Good stock selection allowed the portfolio to benefit from holdings in the information technology, industrials, and consumer discretionary sectors.

While an even weight, holdings in the information technology sector gained 90% against a 68% increase for the Index. Cognizant Technology Solutions Corporation and ON Semiconductor Corporation both soared over 150%. Other top holdings for the portfolio were Fairchild Semiconductor International, Inc. and Skyworks Solutions, Inc.

The industrials sector was a significant underweight position, 11% to 16%, but the holdings outperformed those in the Index 48% to 29%. Top positions for the portfolio included Precision Castparts Corporation, up 100%, and Goodrich Corporation, which gained 77% over the period.

The consumer discretionary sector was a slight overweight position that returned 54% against 49% for the benchmark. Jarden Corporation was up 144% while Life Time Fitness, Inc. increased 100%. Both companies were active positions not held in the Index. Other leading companies in the portfolio were Starwood Hotels & Resorts Worldwide, Inc. and Bed Bath & Beyond, Inc.

Health Care, Consumer Staples, and Materials Disappoint

As with the top performing sectors, those that hurt performance did so due to stock selection. Holdings in health care gained only about half that of the Index, 18% to 40%. Genzyme Corporation stock dropped 27% over the period while Gilead Sciences, Inc. lost 8%.

The portfolio positioned consumer staples as a half weighted sector but its picks lost 7% during the year compared to a gain of 31%. Kroger Company lost 15% and J.M. Smucker Company gave up 21% of its value.

The materials sector also fell short of the benchmark. Even though the portfolio gained 43% in the sector, it was outpaced by the 54% increased for the Index. Holdings detracting from portfolio performance included Airgas Inc., Ball Corporation, and Praxair, Inc.

Market Outlook

We continue to pursue opportunities with a focus on bottom-up research rather than a macro forecast. We believe that investing is a long-term pursuit that requires patience and a consistent approach. As always, we will continue to do our best to seek the potential available in mid capitalization growth companies.

On behalf of Security Global Investors, I would like to thank you for placing your trust in us.

Sincerely,

Joe O’Connor, Portfolio Manager

53

	Series J
Performance Summary	(Mid Cap Growth Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series J (Mid Cap Growth Series) on December 31, 1999 and reflects the fees and expenses of Series J. The Russell MidCap Growth Index is an unmanaged capitalization-weighted Index that is designed to measure the performance of the 800 smallest companies in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series J	43.96	%	(2.62	)%	0.55	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	17.59	%
Consumer Staples	1.89
Energy	7.25
Financials	5.32
Health Care	10.52
Industrials	14.53
Information Technology	27.82
Materials	8.86
Exchange Traded Funds	3.04
Cash & Other Assets, Less Liabilities	3.18
Total Net Assets	100.00	°%

The accompanying notes are an integral part of the financial statements

54

Schedule of Investments	Series J
December 31, 2009	(Mid Cap Growth Series)

	Shares	Value
COMMON STOCKS—96.8%
Advertising—2.3%
Omnicom Group, Inc.	92,120	$	3,606,498
Aerospace & Defense—4.0%
Goodrich Corporation	55,780		3,583,865
Precision Castparts Corporation	23,395		2,581,638
			6,165,503
Apparel Retail—3.4%
Gap, Inc.	126,980		2,660,231
TJX Companies, Inc.	69,420		2,537,301
			5,197,532
Apparel, Accessories & Luxury Goods—2.2%
Phillips-Van Heusen Corporation	84,400		3,433,392
Application Software—2.2%
Nuance Communications, Inc.*	216,570		3,365,498
Asset Management & Custody Banks—3.7%
BlackRock, Inc.	10,830		2,514,726
T. Rowe Price Group, Inc.	60,300		3,210,975
			5,725,701
Casinos & Gaming—1.9%
WMS Industries, Inc.*	72,385		2,895,400
Coal & Consumable Fuels—2.2%
Peabody Energy Corporation	72,700		3,286,766
Communications Equipment—0.7%
Juniper Networks, Inc.*	43,000		1,146,810
Computer Storage & Peripherals—2.4%
QLogic Corporation*	193,580		3,652,855
Data Processing & Outsourced Services—4.3%
Alliance Data Systems Corporation*	25,310		1,634,773
Global Payments, Inc.	44,475		2,395,424
Western Union Company	138,750		2,615,437
			6,645,634
Electrical Components & Equipment—3.3%
Baldor Electric Company	57,400		1,612,366
Roper Industries, Inc.	65,170		3,412,953
			5,025,319
Exchange Traded Funds—3.0%
iShares Russell Midcap Growth Index Fund	103,285		4,682,942
Health Care Equipment—5.6%
Beckman Coulter, Inc.	62,710		4,103,742
Zimmer Holdings, Inc.*	75,200		4,445,072
			8,548,814
Home Entertainment Software—1.3%
Activision Blizzard, Inc.*	175,750		1,952,583
Homefurnishing Retail—2.0%
Bed Bath & Beyond, Inc.*	79,100		3,055,633
Hotels, Resorts & Cruise Lines—1.3%
Royal Caribbean Cruises, Ltd.*	81,500		2,060,320
Household Products—1.9%
Clorox Company	47,900		2,921,900
Housewares & Specialties—4.5%
Fortune Brands, Inc.	63,900		2,760,480
Jarden Corporation	133,325		4,121,076
			6,881,556
Industrial Gases—4.3%
AirGas, Inc.	65,075		3,097,570
Praxair, Inc.	44,130		3,544,080
			6,641,650
Industrial Machinery—5.3%
Dover Corporation	120,200		5,001,522
Gardner Denver, Inc.	22,450		955,248
Ingersoll-Rand plc	66,100		2,362,414
			8,319,184
IT Consulting & Other Services—4.1%
Amdocs, Ltd.*	68,460		1,953,164
Cognizant Technology Solutions Corporation*	97,300		4,407,690
			6,360,854
Life Sciences Tools & Services—2.1%
Thermo Fisher Scientific, Inc.*	69,385		3,308,971
Metal & Glass Containers—2.1%
Ball Corporation	61,526		3,180,894
Multi-Line Insurance—1.6%
HCC Insurance Holdings, Inc.	88,775		2,483,037
Oil & Gas Drilling—1.4%
Noble Corporation	54,535		2,219,575
Oil & Gas Equipment & Services—2.1%
Cameron International Corporation*	78,300		3,272,940
Oil & Gas Storage & Transportation—1.6%
Williams Companies, Inc.	114,185		2,407,020
Pharmaceuticals—2.8%
Teva Pharmaceutical Industries, Ltd. ADR	78,005		4,382,321
Railroads—1.9%
Union Pacific Corporation	45,440		2,903,616
Semiconductor Equipment—1.8%
Lam Research Corporation*	69,400		2,721,174

The accompanying notes are an integral part of the financial statements

55

Schedule of Investments	Series J
December 31, 2009	(Mid Cap Growth Series)

	Shares	Value
COMMON STOCKS—96.8% (continued)
Semiconductors—4.8%
ON Semiconductor Corporation*	368,305	$	3,244,767
Skyworks Solutions, Inc.*	292,315		4,147,949
			7,392,716
Specialty Chemicals—1.4%
International Flavors & Fragrances, Inc.	51,050		2,100,197
Steel—1.1%
Steel Dynamics, Inc.	98,740		1,749,673
Systems Software—6.2%
Check Point Software Technologies*	95,365		3,230,965
McAfee, Inc.*	49,750		2,018,358
Rovi Corporation*	65,600		2,090,672
Sybase, Inc.*	53,620		2,327,108
			9,667,103
TOTAL COMMON STOCKS (cost $126,275,838)		$	149,361,581
	Shares	Value
WARRANTS—0.0%
Nova Biosource Fuels, Inc.
$2.40, 7/5/20111	358,100		795
TOTAL WARRANTS (cost $369,900)		$	795
Total Investments—96.8%2 (cost $126,645,738)		$	149,362,376
Cash & Other Assets, Less Liabilities—3.2%			4,910,893
Total Net Assets—100.0%		$	154,273,269

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $127,843,396.

ADR	American Depositary Receipt
plc	Public Limited Company

^* Non-income producing security

¹ Value determined based on Level 2 inputs.

² Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

56

Series J

(Mid Cap Growth Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	149,362,376
Cash		4,150,943
Receivables:
Fund shares sold		581,622
Securities sold		966,464
Dividends		92,478
Prepaid expenses		3,170
Total assets		155,157,053
Liabilities:
Payable for:
Fund shares redeemed		52,287
Securities purchased		667,910
Management fees		97,147
Administration fees		12,605
Transfer agent/maintenance fees		2,083
Custodian fees		684
Directors’ fees		2,059
Professional fees		21,509
Other fees		27,500
Total liabilities		883,784
Net assets	$	154,273,269
Net assets consist of:
Paid in capital	$	212,290,288
Accumulated net realized loss on sale of investments		(80,733,657	)
Net unrealized appreciation in value of investments		22,716,638
Net assets	$	154,273,269
Capital shares authorized		unlimited
Capital shares outstanding		6,374,410
Net asset value per share (net assets divided by shares outstanding)	$	24.20
*  investments, at cost	$	126,645,738

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	1,062,851
Interest		4,550
Total investment income		1,067,401
Expenses:
Management fees		1,023,840
Administration fees		130,109
Transfer agent/maintenance fees		25,280
Custodian fees		3,991
Directors’ fees		14,751
Professional fees		23,631
Reports to shareholders		21,364
Other		8,576
Total expenses		1,251,542
Net investment loss		(184,141	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(10,016,613	)
Net realized loss		(10,016,613	)
Net unrealized appreciation (depreciation) during the year on:
Investments		59,381,654
Net unrealized appreciation		59,381,654
Net realized and unrealized gain		49,365,041
Net increase in net assets resulting from operations	$	49,180,900

The accompanying notes are an integral part of the financial statements

57

	Series J
Statement of Changes in Net Assets	(Mid Cap Growth Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment loss	$	(184,141	)	$	(105,176	)
Net realized loss during the year on investments		(10,016,613	)		(46,515,676	)
Net unrealized appreciation (depreciation) during the year on investments		59,381,654			(40,063,644	)
Net increase (decrease) in net assets resulting from operations		49,180,900			(86,684,496	)
Capital share transactions:
Proceeds from sale of shares		25,347,942			37,579,885
Cost of shares redeemed		(42,285,359	)		(80,932,084	)
Net decrease from capital share transactions		(16,937,417	)		(43,352,199	)
Net increase (decrease) in net assets		32,243,483			(130,036,695	)
Net assets:
Beginning of year		122,029,786			252,066,481
End of year	$	154,273,269		$	122,029,786
Undistributed net investment income at end of year	$	—		$	—
Capital share activity:
Shares sold		1,288,966			1,587,753
Shares redeemed		(2,174,470	)		(3,329,065	)
Total capital share activity		(885,504	)		(1,741,312	)

The accompanying notes are an integral part of the financial statements

58

Financial Highlights	Series J
Selected data for each share of capital stock outstanding throughout each year	(Mid Cap Growth Series)

	2009			2008			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	16.81		$	28.00		$	31.26		$	29.79		$	27.63
Income (loss) from investment operations:
Net investment lossa		(0.03	)		(0.01	)		(0.04	)		(0.16	)		(0.13	)
Net gain (loss) on securities (realized and unrealized)		7.42			(11.18	)		(3.22	)		1.63			2.29
Total from investment operations		7.39			(11.19	)		(3.26	)		1.47			2.16
Net asset value, end of period	$	24.20		$	16.81		$	28.00		$	31.26		$	29.79
Total Returnb		43.96	%		(39.96	%)		(10.43	%)		4.93	%		7.82	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	154,273		$	122,030		$	252,066		$	380,664		$	420,798
Ratios to average net assets:
Net investment loss		(0.13	%)		(0.06	%)		(0.14	%)		(0.48	%)		(0.47	%)
Total expensesc		0.92	%		0.91	%		0.90	%		0.90	%		0.90	%
Net expensesd		0.92	%		0.91	%		0.90	%		0.90	%		0.90	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.92	%		0.91	%		0.90	%		0.90	%		0.90	%
Portfolio turnover rate		136	%		203	%e		34	%		29	%		29	%

^a Net investment income (loss) was computed using average shares outstanding throughout the period.

^b Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products,

^c Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable,

^d Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

^e Significant variation in the portfolio turnover rate is due to Investment Manager’s appointment of new portfolio manager for the Series.

The accompanying notes are an integral part of the financial statements

59

This page left blank intentionally.

60

Managers’ Commentary

February 15, 2009

Advised by:

To Our Shareholders:

The SBL Fund – Series N, Managed Asset Allocation Series, returned 25.72% for the year ended December 31, 2009, outperforming its 60% S&P 500/40% Barclays Capital U.S. Aggregate Bond Index benchmark, which returned 18.25%. The S&P 500 returned 26.46% over the period, and the Barclays Capital U.S. Aggregate Index returned 5.93%.

Market Environment

U.S. stocks produced strong gains in 2009 - the best year for U.S. equities since 2003. In the first quarter, major indexes extended 2008’s decline and plunged to 12-year lows as the economy contracted, unemployment surged, and the U.S. federal government intervened aggressively to provide liquidity to the credit markets, stabilize the banking sector, and stimulate the economy. From early March through the end of the year, share prices soared as credit market conditions improved, corporate earnings were generally better than expected, and the economy showed signs that it was emerging from the longest and deepest recession since the Great Depression.

Equities in many non-U.S. markets far surpassed domestic shares in 2009, as global economies improved and weakness in the U.S. dollar versus other currencies enhanced returns to U.S. investors. The MSCI EAFE Index, which measures the performance of mostly large-cap equities in Europe, Australia, and the Far East, returned 32.46% versus 79.02% for the MSCI Emerging Markets Index.

Most U.S. bond sectors produced excellent returns in 2009 as non-Treasury sectors, which had collapsed in the closing months of 2008, rebounded briskly and money market yields near 0% prompted yield-hungry investors to seek riskier securities with an income advantage. High yield bonds produced the strongest annual gains in the history of the sector as credit spreads narrowed significantly. Investment-grade companies and municipal bonds were less robust but still did very well. Agency mortgage-backed securities produced relatively mild gains. U.S. Treasury securities, which performed best during the flight to quality in 2008, declined as longer-term interest rates rebounded from their lowers levels amid signs of an economic recovery and heavy new issuance.

Portfolio Review

The portfolio’s outperformance relative to its blended benchmark can be attributed to strong security selection across all of the underlying strategies. The largest positive contributor to the portfolio’s relative outperformance was the strong security selection within out investment-grade bond and large-cap equity strategies. The non-U.S. equity strategy also provided a relative boost to performance, outperforming its respective benchmark, the MSCI EAFE Index. Exposure to non-U.S. equities and small-cap stocks provided a positive impact to performance as these sectors outperformed the large-cap S&P 500 Index. Additionally, the allocation to high yield bonds also aided relative returns as the high yield sector significantly outperformed the Barclays Capital U.S. Aggregate Index. Our allocation decision to overweight equities throughout the period also positively contributed to relative performance as the S&P 500 Index outperformed the Barclays Capital U.S. Aggregate Index for the year.

Outlook

We are currently overweight stocks relative to bonds but have moderated our overweight as valuations are less attractive following the equity rally from March 9, 2009, market lows. While yields on U.S. government bonds remain supported near historically low levels by the U.S. Federal Reserve’s quantitative easing program, elevated levels of new U.S. Treasury supply could provide upward pressure on interest rates. We are underweight to small-cap stocks as valuations favor large-cap stocks. We are modestly overweight in non-U.S. equity markets, based on attractive valuations in non-U.S. markets. We have increased our weighting in high yield relative to investment-grade bonds, given a gradually improving economy and expectations for a lower default rate. Within the high yield sector, spread levels remain attractive relative to their historical average. Fundamental credit research remains a critical part of the security selection process in the context of uncertainty in the current environment.

We continue to believe that our commitment to broad diversification across asset classes and our emphasis on strong fundamental research in seeking investment opportunities will continue to serve our clients well over the long term.

Sincerely,

Edmond M. Notzon, Portfolio Manager, T. Rowe Price

61

	Series N
Performance Summary	(Managed Asset Allocation Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series N (Managed Asset Allocation Series) on December 31, 1999 and reflects the fees and expenses of Series N. The blended index is 60% S&P 500 Index and 40% Barclays Capital U.S. Aggregate Bond Index. The S&P 500 Index is a capitalization-weighted index composed of 500 selected common stocks that represent the broad domestic economy and is a widely recognized unmanaged index of market performance. The Barclays Capital U.S. Aggregate Bond Index is an unmanaged index that tracks investment grade bonds including U.S. Treasury and agency issues, corporate bond issues, asset-backed, commercial mortgage-backed and mortgage-backed securities and Yankee issues.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series N	25.72	%	2.55	%	2.84	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector for Equity Holdings & Quality Ratings (Based on Standard and Poor’s Ratings) for Fixed Income Holdings

Consumer Discretionary	6.96	%
Consumer Staples	6.50
Energy	6.90
Financials	10.37
Health Care	7.56
Industrials	6.99
Information Technology	10.82
Materials	2.82
Telecommunication Services	2.38
Utilities	2.35
AAA	17.85
AA	0.86
A	4.07
BBB	5.98
BB	1.72
B	1.41
CCC	0.45
C	0.02
Not Rated	0.18
Short Term Investments	2.97
Cash & Other Assets, Less Liabilities	0.84
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

62

Schedule of Investment	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Shares	Value
COMMON STOCKS—51.1%
Advertising—0.1%
Lamar Advertising Company*	950	$	29,536
Omnicom Group, Inc.	1,600		62,640
			92,176
Aerospace & Defense—1.4%
American Science & Engineering, Inc.	300		22,752
Boeing Company	2,790		151,023
General Dynamics Corporation	1,200		81,804
Goodrich Corporation	1,000		64,250
Honeywell International, Inc.	2,700		105,840
Lockheed Martin Corporation	1,900		143,165
Northrop Grumman Corporation	1,200		67,020
Precision Castparts Corporation	700		77,245
Raytheon Company	1,200		61,824
Rockwell Collins, Inc.	500		27,680
Teledyne Technologies, Inc.*	400		15,344
Triumph Group, Inc.	400		19,300
United Technologies Corporation	4,210		292,216
			1,129,463
Agricultural Products—0.1%
Archer-Daniels-Midland Company	1,400		43,834
Bunge, Ltd.	400		25,532
			69,366
Air Freight & Logistics—0.4%
CH Robinson Worldwide, Inc.	700		41,111
Expeditors International of Washington, Inc.	800		27,784
FedEx Corporation	900		75,105
United Parcel Service, Inc. (CI.B)	3,200		183,584
UTi Worldwide, Inc.	1,200		17,184
			344,768
Airlines—0.1%
AirTran Holdings, Inc.*	1,300		6,786
AMR Corporation*	1,600		12,368
Skywest, Inc.	500		8,460
Southwest Airlines Company	5,100		58,293
			85,907
Apparel Retail—0.2%
American Eagle Outfitters, Inc.*	900		15,282
Dress Barn, Inc.*	188		4,343
Gap, Inc.	5,300		111,035
J Crew Group, Inc.*	400		17,896
			148,556
Apparel, Accessories & Luxury Goods—0.1%
Anvil Holdings, Inc.1,2,*	30		23
Coach, Inc.	2,400		87,672
Fossil, Inc.*	600		20,136
			107,831
Application Software—0.4%
Autodesk, Inc.*	7,100		180,411
Cadence Design Systems, Inc.*	2,300		13,777
Factset Research Systems, Inc.	320		21,078
Intuit, Inc.*	2,800		85,988
Jack Henry & Associates, Inc.	1,000		23,120
Salary.com, Inc.*	2,400		5,640
Symyx Technologies, Inc.*	1,600		8,800
Taleo Corporation*	600		14,112
			352,926
Asset Management & Custody Banks—0.7%
Bank of New York Mellon Corporation	3,800		106,286
BlackRock, Inc.	50		11,610
Eaton Vance Corporation	600		18,246
Invesco, Ltd.	2,900		68,121
Janus Capital Group, Inc.	3,500		47,075
Northern Trust Corporation	1,500		78,600
State Street Corporation	2,200		95,788
Waddell & Reed Financial, Inc.	600		18,324
			444,050
Auto Parts & Equipment—0.2%
BorgWarner, Inc.	200		6,644
Gentex Corporation	1,500		26,775
Johnson Controls, Inc.	3,200		87,168
			120,587
Automobile Manufacturers—0.1%
Ford Motor Company*	3,600		36,000
Thor Industries, Inc.	300		9,420
Winnebago Industries*	600		7,320
			52,740
Automotive Retail—0.1%
Advance Auto Parts, Inc.	200		8,096
AutoZone, Inc.*	500		79,035
CarMax, Inc.*	1,000		24,250
			111,381
Biotechnology—0.9%
Alexion Pharmaceuticals, Inc.*	150		7,323
Alkermes, Inc.*	1,000		9,410
Amgen, Inc.*	3,610		204,217
Biogen Idec, Inc.*	1,100		58,850
BioMarin Pharmaceutical, Inc.*	600		11,286
Celgene Corporation*	2,400		133,632
Cephalon, Inc.*	500		31,205
Gilead Sciences, Inc.*	4,000		173,120
Human Genome Sciences, Inc.*	1,900		58,140
Incyte Corporation, Ltd.*	700		6,377
Martek Biosciences Corporation*	400		7,576
Maxygen, Inc.*	1,500		9,135
Vertex Pharmaceuticals, Inc.*	970		41,565
			751,836
Brewers—0.0%
Boston Beer Company, Inc.*	500		23,300
Compania Cervecerias Unidas S.A. ADR*	900		35,118
			58,418
Broadcasting—0.1%
Discovery Communications, Inc.*	1,083		33,216
Discovery Communications, Inc. (CI. C)*	2,483		65,849
			99,065
Building Products—0.1%
Masco Corporation	3,800		52,478
Universal Forest Products, Inc.	500		18,405
USG Corporation*	500		7,025
			77,908
Cable & Satellite—0.4%
Cablevision Systems Corporation	3,300		85,206
DIRECTV*	1,200		40,020
DISH Network Corporation	700		14,539

The accompanying notes are an integral part of the financial statements

63

Schedule of Investments	Series N
December 31, 2008	(Managed Asset Allocation Series)

	Shares	Value
COMMON STOCKS—51.1% (continued)
Cable & Satellite—0.4% (continued)
Liberty Global, Inc.*	975	$	21,362
Time Warner Cable, Inc.	4,739		196,147
			357,274
Casinos & Gaming—0.2%
International Game Technology	1,500		28,155
MGM Mirage*	9,601		87,561
Wynn Resorts, Ltd.*	300		17,469
			133,185
Catalog Retail—0.1%
Liberty Media Corporation - Interactive*	4,800		52,032
Coal & Consumable Fuels—0.3%
Alpha Natural Resources, Inc.*	350		15,183
Arch Coal, Inc.	700		15,575
Consol Energy, Inc.	1,500		74,700
Massey Energy Company	400		16,804
Peabody Energy Corporation	1,600		72,336
Westmoreland Coal Company*	900		8,019
			202,617
Commodity Chemicals—0.0%
Koppers Holdings, Inc.	700		21,308
Communications Equipment—1.3%
Blue Coat Systems, Inc.*	500		14,270
Cisco Systems, Inc.*	15,500		371,070
F5 Networks, Inc.*	800		42,384
Finisar Corporation*	1,213		10,816
Ixia*	1,900		14,136
JDS Uniphase Corporation*	5,300		43,725
Juniper Networks, Inc.*	4,300		114,681
Motorola, Inc.	8,700		67,512
Palm, Inc.*	2,400		24,096
Qualcomm, Inc.	6,800		314,568
			1,017,258
Computer & Electronics Retail—0.0%
Rent-A-Center, Inc.*	1,000		17,720
Computer Hardware—2.3%
Apple, Inc.*	3,500		738,010
Avid Technology, Inc.*	700		8,932
Dell, Inc.*	5,600		80,416
Hewlett-Packard Company	7,800		401,778
International Business Machines Corporation	4,820		630,938
			1,860,074
Computer Storage & Peripherals—0.3%
EMC Corporation*	7,700		134,519
Isilon Systems, Inc.*	1,900		13,034
NetApp, Inc.*	1,200		41,268
SanDisk Corporation*	900		26,091
			214,912
Construction & Engineering—0.1%
Fluor Corporation	1,100		49,544
Foster Wheeler AG*	900		26,496
Insituform Technologies, Inc.*	900		20,448
Quanta Services, Inc.*	600		12,504
			108,992
Construction & Farm Machinery & Heavy Trucks—0.3%
Deere & Company	2,000		108,180
Joy Global, Inc.	500		25,795
Oshkosh Corporation	440		16,293
Paccar, Inc.	2,900		105,183
			255,451
Construction Materials—0.1%
Martin Marietta Materials, Inc.	130		11,623
Vulcan Materials Company	1,200		63,204
			74,827
Consumer Finance—0.2%
American Express Company	2,800		113,456
SLM Corporation*	3,700		41,699
			155,155
Data Processing & Outsourced Services—0.9%
Automatic Data Processing, Inc.	2,200		94,204
Computer Sciences Corporation*	900		51,777
Fidelity National Information Services, Inc.	1,000		23,440
Fiserv, Inc.*	800		38,784
Global Payments, Inc.	500		26,930
Heartland Payment Systems, Inc.	1,000		13,130
Mastercard, Inc.	400		102,392
Paychex, Inc.	900		27,576
Visa, Inc.	2,700		236,142
Western Union Company	3,800		71,630
			686,005
Department Stores—0.2%
Kohl's Corporation*	2,470		133,207
Distributors—0.0%
Genuine Parts Company	500		18,980
Diversified Banks—1.0%
Barclays plc ADR	6,100		107,360
U.S. Bancorp	8,200		184,582
Wells Fargo & Company	20,391		550,353
			842,295
Diversified Chemicals—0.2%
Cabot Corporation	730		19,148
Dow Chemical Company	1,800		49,734
E.I. Du Pont de Nemours & Company	3,651		122,929
			191,811
Diversified Metals & Mining—0.2%
Freeport-McMoRan Copper & Gold, Inc. (CI.B)	1,869		150,062
Diversified Real Estate Activities—0.0%
St. Joe Company*	600		17,334
Diversified Support Services—0.0%
Cintas Corporation	1,200		31,260

The accompanying notes are an integral part of the financial statements

64

Schedule of Investments	Series N
December 31, 2009	(Management Asset Allocation Series)

	Shares	Value
COMMON STOCKS—51.1% (continued)
Drug Retail—0.5%
CVS Caremark Corporation	6,768	$	217,997
Walgreen Company	3,900		143,208
			361,205
Education Services—0.1%
Apollo Group, Inc.*	800		48,464
Corinthian Colleges, Inc.*	1,200		16,524
DeVry, Inc.	200		11,346
Education Management Corporation*	300		6,603
			82,937
Electric Utilities—1.0%
Allegheny Energy, Inc.	1,700		39,916
American Electric Power Company, Inc.	3,600		125,244
Duke Energy Corporation	1,600		27,536
Edison International	1,300		45,214
Entergy Corporation	1,400		114,576
Exelon Corporation	2,500		122,175
FirstEnergy Corporation	1,500		69,675
FPL Group, Inc.	700		36,974
Great Plains Energy, Inc.	1,400		27,146
Pepco Holdings, Inc.	2,000		33,700
Pinnacle West Capital Corporation	800		29,264
PPL Corporation	2,500		80,775
Progress Energy, Inc.	400		16,404
			768,599
Electrical Components & Equipment—0.4%
A123 Systems, Inc.*	200		4,488
AO Smith Corporation	600		26,034
Baldor Electric Company	500		14,045
Belden, Inc.	280		6,138
BTU International, Inc.*	1,200		7,620
Cooper Industries plc	1,500		63,960
Emerson Electric Company	1,900		80,940
First Solar, Inc.*	100		13,540
General Cable Corporation*	400		11,768
Rockwell Automation, Inc.	2,000		93,959
Roper Industries, Inc.	50		2,619
			325,111
Electronic Components—0.1%
AVX Corporation	1,300		16,471
Corning, Inc.	4,800		92,688
			109,159
Electronic Equipment & Instruments—0.1%
Agilent Technologies, Inc.*	1,500		46,605
Electronic Manufacturing Services—0.1%
Cyberoptics Corporation*	1,300		8,723
Plexus Corporation*	500		14,250
Tyco Electronics, Ltd.	2,875		70,581
			93,554
Environmental & Facilities Services—0.3%
Covanta Holding Corporation*	1,000		18,090
Republic Services, Inc.	5,200		147,212
Stericycle, Inc.*	1,200		66,204
Waste Connections, Inc.*	500	$	16,660
			248,166
Fertilizers & Agricultural Chemicals—0.3%
American Vanguard Corporation	1,400		11,620
Monsanto Company	2,400		196,200
Mosaic Company	450		26,879
Potash Corporation of Saskatchewan, Inc.	200		21,700
			256,399
Food Distributors—0.1%
Sysco Corporation	2,900		81,026
Food Retail—0.1%
Casey’s General Stores, Inc.	600		19,152
Pantry, Inc.*	400		5,436
Whole Foods Market, Inc.*	1,300		35,685
			60,273
Footwear—0.1%
Nike, Inc. (CI.B)	1,280		84,570
Forest Products—0.1%
Weyerhaeuser Company	1,400		60,396
Gas Utilities—0.1%
National Fuel Gas Company	300		15,000
Southwest Gas Corporation	900		25,677
			40,677
General Merchandise Stores—0.0%
Dollar Tree, Inc.*	400		19,320
Gold—0.1%
Allied Nevada Gold Corporation*	1,400		21,112
Eldorado Gold Corporation*	2,000		28,340
Newmont Mining Corporation	1,300		61,503
			110,955
Health Care Distributors—0.1%
Cardinal Health, Inc.	700		22,568
Henry Schein, Inc.*	500		26,300
McKesson Corporation	1,000		62,500
			111,368
Health Care Equipment—1.2%
Baxter International, Inc.	2,600		152,568
Boston Scientific Corporation*	4,900		44,100
CareFusion Corporation*	2,000		50,020
Covidien plc	2,075		99,372
CR Bard, Inc.	700		54,530
Edwards Lifesciences Corporation*	360		31,266
Gen-Probe, Inc.*	350		15,015
Hologic, Inc.*	928		13,456
Hospira, Inc.*	600		30,600
Intuitive Surgical, Inc.*	200		60,664
Medtronic, Inc.	4,400		193,512
Micrus Endovascular Corporation*	1,000		15,010
ResMed, Inc.*	500		26,135
St. Jude Medical, Inc.*	2,000		73,560

The accompanying notes are an integral part of the financial statements

65

Schedule of Investments	Series N
December 31, 2009	(Management Asset Allocation Series)

	Shares	Value
COMMON STOCKS—51.1% (continued)
Health Care Equipment—1.2% (continued)
STERIS Corporation	500	$	13,985
Stryker Corporation	1,500		75,555
Thoratec Corporation*	600		16,152
			965,500
Health Care Facilities—0.1%
Community Health Systems, Inc.*	500		17,800
Health Management Associates, Inc.*	500		3,635
Life Point Hospitals, Inc.*	700		22,757
Tenet Healthcare Corporation*	5,700		30,723
			74,915
Health Care Services—0.4%
DaVita, Inc.*	800		46,992
Express Scripts, Inc.*	1,400		121,030
Healthways, Inc.*	300		5,502
Medco Health Solutions, Inc.*	1,600		102,256
Omnicare, Inc.	610		14,756
			290,536
Health Care Supplies—0.0%
Dentsply International, Inc.	1,000		35,170
Health Care Technology—0.0%
Cerner Corporation*	100		8,244
Computer Programs & Systems, Inc.	500		23,025
			31,269
Home Entertainment Software—0.1%
Activision Blizzard, Inc.*	2,366		26,286
Electronic Arts, Inc.*	1,600		28,400
			54,686
Home Furnishings—0.0%
Mohawk Industries, Inc.*	260		12,376
Home Improvement Retail—0.6%
Home Depot, Inc.	7,550		218,422
Lowe’s Companies, Inc.	10,600		247,934
Sherwin-Williams Company	800		49,320
			515,676
Homebuilding—0.1%
DR Horton, Inc.	1,500		16,305
Lennar Corporation	1,200		15,324
Toll Brothers, Inc.*	1,000		18,810
			50,439
Homefurnishing Retail—0.2%
Bed Bath & Beyond, Inc.*	2,800		108,164
Williams-Sonoma, Inc.	700		14,546
			122,710
Hotels, Resorts & Cruise Lines—0.2%
Choice Hotels International, Inc.	500		15,830
Gaylord Entertainment Company*	400		7,900
Marriott International, Inc.	3,638		99,136
Starwood Hotels & Resorts Worldwide, Inc.	700		25,599
			148,465
Household Products—1.4%
Church & Dwight Company, Inc.	40		2,418
Clorox Company	1,700		103,700
Colgate-Palmolive Company	800		65,720
Energizer Holdings, Inc.*	300		18,384
Kimberly-Clark Corporation	2,700		172,017
Procter & Gamble Company	12,073		731,986
			1,094,225
Human Resources & Employment Services—0.1%
Manpower, Inc.	500		27,290
Robert Half International, Inc.	500		13,365
			40,655
Hypermarkets & Super Centers—0.6%
BJ’s Wholesale Club, Inc.*	500		16,355
Costco Wholesale Corporation	100		5,917
Wal-Mart Stores, Inc.	9,200		491,740
			514,012
Independent Power Producers & Energy Traders—0.3%
AES Corporation*	1,300		17,303
Constellation Energy Group, Inc.	2,200		77,374
Mirant Corporation*	1,020		15,575
NRG Energy, Inc.*	4,500		106,245
RRI Energy, Inc.*	2,300		13,156
			229,653
Industrial Conglomerates—1.1%
3M Company	3,400		281,078
General Electric Company	32,700		494,751
McDermott International, Inc.*	1,900		45,619
			821,448
Industrial Gases—0.2%
Praxair, Inc.	1,800		144,558
Industrial Machinery—0.5%
3D Systems Corporation*	700		7,910
Actuant Corporation	680		12,600
Clarcor, Inc.	100		3,244
Danaher Corporation	3,300		248,160
Harsco Corporation	560		18,049
Illinois Tool Works, Inc.	800		38,392
John Bean Technologies Corporation	308		5,239
Nordson Corporation	300		18,354
Stanley Works	400		20,604
			372,552
Industrial REIT’s—0.0%
AMB Property Corporation	700		17,885
East Group Properties, Inc.	500		19,140
			37,025
Insurance Brokers—0.2%
AON Corporation	2,400		92,016
Marsh & McLennan Companies, Inc.	1,700		37,536
			129,552
Integrated Oil & Gas—3.8%
BP plc ADR	4,500		260,865
Chevron Corporation	7,850		604,372
ConocoPhillips	3,500		178,745
Exxon Mobil Corporation	17,880		1,219,237

The accompanying notes are an integral part of the financial statements

66

Schedule of Investments	Series N
December 31, 2009	(Management Asset Allocation Series)

	Shares	Value
COMMON STOCKS—51.1% (continued)
Integrated Oil & Gas—3.8% (continued)
Hess Corporation	1,300	$	78,650
Murphy Oil Corporation	2,400		130,080
Occidental Petroleum Corporation	2,600		211,510
Royal Dutch Shell plc (CI.B) ADR	3,800		220,894
Suncor Energy, Inc.	2,100		74,151
			2,978,504
Integrated Telecommunication Services—0.9%
AT&T, Inc.	26,092		731,359
Verizon Communications, Inc.	400		13,252
			744,611
Internet Retail—0.5%
Amazon.com, Inc.*	1,900		255,588
Drugstore.com, Inc.*	5,100		15,759
Expedia, Inc.*	3,200		82,272
priceline.com, Inc.*	200		43,700
			397,319
Internet Software & Services—1.0%
Art Technology Group, Inc.*	3,300		14,883
Digital River, Inc.*	300		8,097
Google, Inc.*	1,010		626,180
VeriSign, Inc.*	2,900		70,296
Yahoo!, Inc.*	2,900		48,662
			768,118
Investment Banking & Brokerage—0.9%
Charles Schwab Corporation	3,700		69,634
Goldman Sachs Group, Inc.	2,000		337,680
Morgan Stanley	6,700		198,320
Raymond James Financial, Inc.	900		21,393
Stifel Financial Corporation*	435		25,769
TD Ameritrade Holding Corporation*	2,350		45,543
			698,339
IT Consulting & Other Services—0.2%
Accenture plc	2,900		120,350
RightNow Technologies, Inc.*	500		8,685
			129,035
Leisure Products—0.1%
Hasbro, Inc.	1,800		57,708
Pool Corporation	912		17,401
			75,109
Life & Health Insurance—0.5%
Aflac, Inc.	2,500		115,625
Lincoln National Corporation	1,200		29,856
MetLife, Inc.	3,300		116,655
Prudential Financial, Inc.	2,200		109,472
StanCorp Financial Group, Inc.	500		20,010
			391,618
Life Sciences Tools & Services—0.2%
Charles River Laboratories International, Inc.*	260		8,759
Covance, Inc.*	500		27,285
lllumina, Inc.*	300		9,195
Life Technologies Corporation*	700		36,561
Techne Corporation	370		25,367
Thermo Fisher Scientific, Inc.*	800		38,153
Waters Corporation*	600		37,176
			182,496
Managed Health Care—0.5%
Aetna, Inc.	1,800		57,060
AMERIGROUP Corporation*	500		13,480
Cigna Corporation	1,300		45,851
Humana, Inc.*	900		39,501
UnitedHealth Group, Inc.	3,700		112,776
WellPoint, Inc.*	2,500		145,725
			414,393
Metal & Glass Containers—0.0%
Myers Industries, Inc.	1,000		9,100
Motorcycle Manufacturers—0.1%
Harley-Davidson, Inc.	2,100		52,920
Movies & Entertainment—0.6%
Ascent Media Corporation*	43		1,098
News Corporation*	2,600		35,594
Time Warner, Inc.	6,000		174,840
Walt Disney Company	7,200		232,200
			443,732
Multi-Line Insurance—0.2%
Assurant, Inc.	1,200		35,376
Genworth Financial, Inc.*	2,100		23,835
Hartford Financial Services Group, Inc.	1,000		23,260
Loews Corporation*	1,500		54,525
			136,996
Multi-Utilities—0.4%
Alliant Energy Corporation	900		27,234
CenterPoint Energy, Inc.	6,900		100,119
NiSource, Inc.	1,200		18,456
OGE Energy Corporation	700		25,830
Public Service Enterprise Group, Inc.	1,500		49,875
Sempra Energy	1,000		55,980
TECO Energy, Inc.	3,300		53,526
Xcel Energy, Inc.	600		12,738
			343,758
Office REITs—0.2%
Boston Properties, Inc.	900		60,363
Duke Realty Corporation	2,300		27,991
SL Green Realty Corporation	651		32,706
			121,060
Office Services & Supplies—0.0%
American Reprographics Company*	1,600		11,216
Herman Miller, Inc.	500		7,990
			19,206
Oil & Gas Drilling—0.1%
Diamond Offshore Drilling, Inc.	300		29,526
Helmerich & Payne, Inc.	700		27,916
			57,442
Oil & Gas Equipment & Services—0.9%
Baker Hughes, Inc.
	2,200		89,056

The accompanying notes are an integral part of the financial statements

67

Schedule of Investments	Series N
December 31, 2009	(Management Asset Allocation Series)

	Shares	Value
COMMON STOCKS—51.1% (continued)
Oil & Gas Equipment & Services—0.9% (continued)
BJ Services Company	2,800	$	52,080
Complete Production Services, Inc.*	1,300		16,900
FMC Technologies, Inc.*	1,842		106,541
Halliburton Company	1,400		42,126
Schlumberger, Ltd.	6,200		403,558
Smith International, Inc.	1,600		43,472
			753,733
Oil & Gas Exploration & Production—1.0%
Cabot Oil & Gas Corporation	1,200		52,308
Concho Resources, Inc.*	600		26,940
Devon Energy Corporation	900		66,150
EOG Resources, Inc.	1,300		126,490
Forest Oil Corporation*	400		8,900
GeoMet, Inc.*	3,300		4,818
Mariner Energy, Inc.*	500		5,805
Newfield Exploration Company*	2,720		131,186
Petrohawk Energy Corporation*	100		2,399
Range Resources Corporation	800		39,880
Southwestern Energy Company*	2,500		120,500
Ultra Petroleum Corporation*	600		29,916
Whiting Petroleum Corporation*	400		28,588
XTO Energy, Inc.	3,475		161,691
			805,571
Oil & Gas Refining & Marketing—0.1%
Holly Corporation	600		15,378
Valero Energy Corporation	2,900		48,575
			63,953
Oil & Gas Storage & Transportation—0.2%
Spectra Energy Corporation	5,100		104,601
Williams Companies, Inc.	4,300		90,644
			195,245
Other Diversified Financial Services—1.7%
Bank of America Corporation	34,178		514,721
Citigroup, Inc.	46,800		154,908
JPMorgan Chase & Company	15,636		651,552
			1,321,181
Packaged Foods & Meats—0.5%
Campbell Soup Company	2,900		98,020
JM Smucker Company	549		33,901
Kellogg Company	2,500		133,000
Kraft Foods, Inc.	5,525		150,169
Tootsie Roll Industries, Inc.	708		19,385
			434,475
Paper Products—0.2%
Clearwater Paper Corporation*	630		34,631
Domtar Corporation*	233		12,911
International Paper Company	2,800		74,984
			122,526
Personal Products—0.0%
Avon Products, Inc.	600		18,900
Pharmaceuticals—3.0%
Abbott Laboratories	5,000		269,950
Allergan, Inc.	1,800		113,418
Bristol-Myers Squibb Company	7,500		189,375
Eli Lilly & Company	3,640		129,984
GlaxoSmithKline plc ADR	3,900		164,775
Johnson & Johnson	9,758		628,513
Medicines Company*	600		5,004
Medicis Pharmaceutical Corporation	500		13,525
Merck & Company, Inc.	11,536		421,525
Pfizer, Inc.	25,072		456,060
Valeant Pharmaceuticals International*	600		19,074
			2,411,203
Property & Casualty Insurance—0.4%
Allstate Corporation	1,600		48,064
Chubb Corporation	1,900		93,442
Employers Holdings, Inc.	600		9,204
Infinity Property & Casualty Corporation	410		16,662
Markel Corporation*	60		20,400
ProAssurance Corporation*	400		21,484
SeaBright Insurance Holdings, Inc.*	1,000		11,490
Selective Insurance Group	600		9,870
Travelers Companies, Inc.	2,314		115,376
W.R. Berkley Corporation	300		7,392
White Mountains Insurance Group, Ltd.	10		3,327
			356,711
Publishing—0.1%
McGraw-Hill Companies, Inc.	1,100		36,861
Scholastic Corporation	500		14,915
			51,776
Railroads—0.4%
CSX Corporation	1,200		58,188
Norfolk Southern Corporation	1,300		68,146
Union Pacific Corporation	2,400		153,360
			279,694
Regional Banks—0.6%
Citizens Republic Bancorp, Inc.*	1,200		828
City National Corporation	400		18,240
Commerce Bancshares, Inc.	614		23,774
East West Bancorp, Inc.	600		9,480
Fifth Third Bancorp	6,100		59,475
First Horizon National Corporation*	1,753		23,490
Glacier Bancorp, Inc.	1,000		13,720
Home Bancshares, Inc.	656		15,790
KeyCorp	7,300		40,515
Marshall & llsley Corporation	7,199		39,235
Pinnacle Financial Partners, Inc.*	500		7,110
PNC Financial Services Group, Inc.	1,100		58,069
Popular, Inc.	2,100		4,746
Regions Financial Corporation	8,300		43,907
Sandy Spring Bancorp, Inc.	700		6,223
Signature Bank NY*	600		19,140
SunTrust Banks, Inc.	2,000		40,580
Synovus Financial Corporation	500		1,025

The accompanying notes are an integral part of the financial statements

68

Schedule of Investments	Series N
December 31, 2009	(Management Asset Allocation Series)

	Shares	Value
COMMON STOCKS—51.1% (continued)
Regional Banks—0.6% (continued)
TCF Financial Corporation	400	$	5,448
Texas Capital Bancshares, Inc.*	100		1,396
Westamerica Bancorporation	400		22,148
Western Alliance Bancorp*	700		2,646
Wilmington Trust Corporation	600		7,404
			464,389
Reinsurance—0.0%
Everest Re Group, Ltd.	300		25,704
Research & Consulting Services—0.1%
Advisory Board Company*	600		18,396
Corporate Executive Board Company	370		8,443
FTI Consulting, Inc.*	400		18,864
Huron Consulting Group, Inc.*	300		6,912
Navigant Consulting, Inc.*	900		13,374
Verisk Analytics, Inc.*	200		6,056
			72,045
Residential REIT’s—0.1%
AvalonBay Communities, Inc.	600		49,266
Camden Property Trust	600		25,422
			74,688
Restaurants—0.6%
McDonald’s Corporation	4,700		293,468
Sonic Corporation*	700		7,049
Starbucks Corporation*	5,500		126,830
Yum! Brands, Inc.	2,000		69,940
			497,287
Retail REIT’s—0.3%
Kimco Realty Corporation	1,300		17,589
Regency Centers Corporation	500		17,530
Simon Property Group, Inc.	1,798		143,480
Weingarten Realty Investors	1,200		23,748
			202,347
Semiconductor Equipment—0.3%
Advanced Energy Industries, Inc.*	1,300		19,604
Applied Materials, Inc.	7,300		101,762
Cymer, Inc.*	600		23,028
KLA-Tencor Corporation	700		25,312
Lam Research Corporation*	200		7,842
MEMC Electronic Materials, Inc.*	1,100		14,982
Varian Semiconductor Equipment Associates, Inc.*	850		30,498
			223,028
Semiconductors—1.1%
Advanced Micro Devices, Inc.*	4,800		46,464
Intel Corporation	23,500		479,400
Intersil Corporation	900		13,806
Marvell Technology Group, Ltd.*	1,100		22,825
Maxim Integrated Products, Inc.	1,500		30,465
Micron Technology, Inc.*	5,200		54,912
National Semiconductor Corporation	5,500		84,480
NVIDIA Corporation*	2,500		46,700
Semtech Corporation*	1,300		22,113
Texas Instruments, Inc.	2,000		52,120
Zoran Corporation*	1,189		13,138
			866,423
Soft Drinks—1.2%
Coca-Cola Company	8,000		456,000
Pepsi Bottling Group, Inc.	700		26,250
PepsiCo, Inc.	7,700		468,160
Reed’s, Inc.*	2,000		2,860
			953,270
Specialized Consumer Services—0.0%
H&R Block, Inc.	600		13,572
Jackson Hewitt Tax Service, Inc.	600		2,640
			16,212
Specialized Finance—0.3%
CME Group, Inc.	200		67,190
Interactive Brokers Group, Inc.*	400		7,088
IntercontinentalExchange, Inc.*	400		44,920
Moody’s Corporation	1,500		40,200
NASDAQ OMX Group, Inc.*	600		11,892
NYSE Euronext	1,500		37,950
			209,240
Specialized REIT’s—0.1%
LaSalle Hotel Properties	1,300		27,599
Potlatch Corporation	655		20,881
			48,480
Specialty Chemicals—0.1%
Albemarle Corporation	600		21,822
Arch Chemicals, Inc.	700		21,616
Senomyx, Inc.*	2,500		9,425
Sigma-Aldrich Corporation	100		5,053
			57,916
Specialty Stores—0.0%
AC Moore Arts & Crafts, Inc.*	1,800		5,292
Dick’s Sporting Goods, Inc.*	660		16,414
Hibbett Sports, Inc.*	400		8,796
			30,502
Steel—0.2%
Carpenter Technology Corporation	400		10,780
Cliffs Natural Resources, Inc.	200		9,218
Haynes International, Inc.	300		9,891
Nucor Corporation	1,400		65,310
Steel Dynamics, Inc.	1,300		23,036
United States Steel Corporation	1,300		71,656
			189,891
Systems Software—1.7%
Ariba, Inc.*	1,000		12,520
CA, Inc.	6,800		152,728
CommVault Systems, Inc.*	200		4,738
McAfee, Inc.*	2,900		117,653
Microsoft Corporation	31,400		957,386
Red Hat, Inc.*	3,300		101,970
Websense, Inc.*	900		15,714
			1,362,709
Technology Distributors—0.0%
SYNNEX Corporation*	700		21,462
Tech Data Corporation*	300		13,998
			35,460
Textiles—0.0%
Culp, Inc.*	800		7,984
Thrifts & Mortgage Finance—0.0%
BankAtlantic Bancorp, Inc.	1,976		2,569

The accompanying notes are an integral part of the financial statements

69

Schedule of Investments	Series N
December 31, 2009	(Management Asset Allocation Series)

	Shares	Value
COMMON STOCKS—51.1% (continued)
Thrifts & Mortgage Finance—0.0% (continued)
Brooklyn Federal Bancorp, Inc.	100	$	1,004
ESSA Bancorp, Inc.	300		3,510
First Defiance Financial Corporation	300		3,387
Kentucky First Federal Bancorp	300		3,300
Louisiana Bancorp, Inc.*	200		2,890
MutualFirst Financial, Inc.	100		578
			17,238
Tobacco—0.7%
Alliance One International, Inc.*	2,400		11,712
Altria Group, Inc.	7,700		151,151
Philip Morris International, Inc.	8,130		391,785
			554,648
Trading Companies & Distributors—0.1%
Applied Industrial Technologies, Inc.	900		19,863
Fastenal Company	600		24,984
H&E Equipment Services, Inc.*	400		4,196
			49,043
Trucking—0.1%
Dollar Thrifty Automotive Group, Inc.*	700		17,927
Knight Transportation, Inc.*	1,300		25,077
			43,004
Wireless Telecommunication Services—0.8%
America Movil SAB de CV ADR	1,800		84,564
American Tower Corporation*	2,730		117,963
Crown Castle International Corporation*	2,500		97,600
Leap Wireless International, Inc.*	300		5,265
MetroPCS Communications, Inc.*	4,200		32,046
Nil Holdings, Inc.*	1,300		43,654
NTELOS Holdings Corporation	900		16,038
SBA Communications Corporation*	300		10,248
Sprint Nextel Corporation*	29,800		109,068
Vodafone Group plc ADR	8,400		193,956
			710,402
TOTAL COMMON STOCKS (cost $37,765,661)		$	40,625,113
	Shares		Value
FOREIGN STOCKS—12.3%
Advertising—0.1%
Aegis Group plc1,3	10,712		20,753
WPP plc1,3	4,374		42,735
			63,488
Aerospace & Defense—0.2%
Finmeccanica SpA1,3,*	3,812		60,957
QinetiQ Group pic1,3	17,232		45,152
Rolls-Royce Group plc	5,654		44,047
Rolls-Royce Group plc (Class C Entitlement)1,3,*	295,920		478
			150,634
Apparel Retail—0.2%
Esprit Holdings, Ltd.1,3	6,300		41,793
Industria de Diseno Textil S.A.1,3	786		49,026
			90,819
Apparel, Accessories & Luxury Goods—0.2%
Adidas AG1,3	1,344		72,707
Compagnie Financiere Richemont S.A.1, 3	3,133		105,246
			177,953
Application Software—0.0%
Autonomy Corporation plc1,3,*	1,351		32,828
Auto Parts & Equipment—0.1%
Aisin Seiki Company, Ltd.1,3	1,300		37,578
Autoliv, Inc.1,3	724		31,622
GKN plc1,3	18,383		34,451
Koito Manufacturing Company, Ltd.1,3	2,000		32,118
			135,769
Automobile Manufacturers—0.5%
Bayerische Motoren Werke AG1,3,*	1,275		57,968
Honda Motor Company, Ltd.1,3	1,600		54,315
Toyota Motor Corporation1,3	4,200		177,170
Volkswagen AG1,3	448		42,205
			331,658
Biotechnology—0.1%
CSL, Ltd.1,3,*	2,426		70,549
Brewers—0.1%
Kirin Holdings Company, Ltd.1,3	3,000		48,137
Broadcasting—0.0%
Television Broadcasts, Ltd.1,3	5,000		24,019
Cable & Satellite—0.2%
British Sky Broadcasting Group plc1,3	4,400		39,964
Jupiter Telecommunications Company, Ltd.1,3	79		78,214
			118,178
Catalog Retail—0.0%
Brown Group plc1,3	9,174		36,764
Commodity Chemicals—0.1%
Asahi Kasei Corporation1,3	7,000		35,093
Tosoh Corporation1,3	6,000		16,579
			51,672
Communications Equipment—0.0%
Alcatel-Lucent1,3	11,218		37,726
Computer Storage & Peripherals—0.0%
Wacom Company, Ltd.1,3	16		34,913
Construction & Engineering—0.3%
Bouygues S.A.1,3	1,542		79,772
Carillion plc1,3	8,905		43,694
China Railway Construction Corporation, Ltd.1,3	41,000		52,237
			175,703
Construction Materials—0.0%
Boral, Ltd.1,3	3,983		21,142
Cemex S.A. de CV*	16,243		19,252
			40,394

The accompanying notes are an integral part of the financial statements

70

Schedule of Investments	Series N
December 31, 2009	(Management Asset Allocation Series)

	Shares	Value
FOREIGN STOCKS—12.3% (continued)
Data Processing & Outsourced Services—0.1%
Cielo S.A.	7,300	$	64,209
Department Stores—0.1%
PPR1,3	659		79,003
Distillers & Vintners—0.1%
Pernod-Ricard S.A.1,3	1,157		98,810
Distributors—0.0%
Jardine Cycle & Carriage, Ltd.13	2,000		38,179
Diversified Banks—1.4%
Allied Irish Banks plc1,3	8,142		13,913
Australia & New Zealand Banking
Group, Ltd.1,3	5,347		108,966
Banco Santander S.A.1,3	7,695		126,997
BNP Paribas1,3	1,644		130,234
DBS Group Holdings, Ltd.1,3	6,000		65,214
DnB NORASA1,3,*	10,132		109,263
Erste Group Bank AG1,3	919		34,106
Intesa Sanpaolo SpA1,3	18,027		81,019
Mitsubishi UFJ Financial Group, Inc.1,3	8,400		41,399
National Bank of Greece S.A.1,3	1,100		28,225
Nordea Bank AB1,3	6,802		68,883
Societe Generale1,3	1,189		82,508
Standard Chartered plc1,3	5,544		139,380
Sumitomo Trust & Banking Company, Ltd.1,3	10,000		49,127
Swedbank AB1,3	7,563		74,423
			1,153,657
Diversified Capital Markets—0.2%
Close Brothers Group plc1,3	1,821		20,293
Credit Suisse Group AG1,3	1,107		54,787
Deutsche Bank AG1,3,*	842		59,463
			134,543
Diversified Chemicals—0.1%
BASF AG1,3	1,364		84,312
Diversified Metals & Mining—0.4%
BHP Billiton plc1,3	2,700		86,149
BHP Billiton, Ltd.1,3	2,325		88,972
Rio Tinto, Ltd.1,3	2,132		142,324
			317,445
Diversified Real Estate Activities—0.1%
Mitsui Fudosan Company, Ltd.1,3	3,000		50,752
Diversified REIT’s—0.1%
Mirvac Group1,3	46,792		65,288
Education Services—0.1%
Benesse Holdings, Inc.1,3	1,200		50,200
Electric Utilities—0.3%
E.ON AG1,3	4,329		181,476
EDP - Energias do Brasil S.A.	1,300		25,009
Scottish & Southern Energy plc1,3	4,093		76,525
			283,010
Electrical Components & Equipment—0.1%
Prysmian SpA1,3	2,943		51,306
Electronic Components—0.3%
Hamamatsu Photonics KK1,3	1,500		36,558
Hosiden Corporation1,3	2,300		24,642
LG Display Company, Ltd. 1,3	1,550		52,374
Nippon Electric Glass Company, Ltd.1,3	5,000		68,857
			182,431
Electronic Manufacturing Services—0.0%
Venture Corporation, Ltd.1,3	2,000		12,544
Fertilizers & Agricultural Chemicals—0.1%
Syngenta AG1,3	229		64,606
Food Retail—0.2%
FamilyMart Company, Ltd.1,3	1,600		47,183
Tesco plc1,3	23,680		163,271
			210,454
Gas Utilities—0.2%
Hong Kong & China Gas Company, Ltd.1,3	18,000		45,141
Health Care Equipment—0.3%
Elekta AB1,3	3,422		81,297
Fresenius SE1,3	1,078		77,288
Terumo Corporation 1,3	800		48,242
			206,827
Heavy Electrical Equipment—0.2%
ABB, Ltd.1,3	2,046		39,385
Alstom S.A.1,3	1,149		80,255
Mitsubishi Electric Corporation1,3	13,000		96,624
			216,264
Home Entertainment Software—0.1%
Nintendo Company, Ltd.1,3	200		47,793
Hotels, Resorts & Cruise Lines—0.1%
China CITIC Bank(CI. H)1,3,*	125,000		105,795
Household Appliances—0.0%
Makita Corporation1,3	700		24,057
Independent Power Producers & Energy Traders—0.1%
EDF Energies Nouvelles S.A.1,3	510		26,271
Iberdrola Renovables S.A.1,3	15,163		72,115
			98,386
Industrial Conglomerates—0.4%
DCC plc1,3	2,879		80,369
Hutchison Whampoa, Ltd.1,3	5,700		38,994
Koninklijke Philips Electronics N.V.1,3	2,328		68,727
SembCorp Industries, Ltd.1,3	26,900		70,279
			258,369

The accompanying notes are an integral part of the financial statements

71

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Shares	Value
FOREIGN STOCKS—12.3% (continued)
Industrial Gases—0.0%
Air Water, Inc.1,3	2,000	$	23,571
Industrial Machinery—0.1%
Cargotec Corporation (CI.B)1,3	1,033		28,399
Charter International plc1,3	3,642		42,391
Fanuc, Ltd.1,3	300		27,976
Toshiba Machine Company, Ltd.1,3	3,000		11,508
			110,274
Integrated Oil & Gas—0.3%
BG Group plc1,3	2,638		47,703
Statoil Hydro ASA1,3	5,100		127,054
			174,757
Integrated Telecommunication Services—0.3%
France Telecom S.A.1,3	3,625		90,468
Hutchison Telecommunications Hong Kong Holdings, Ltd.1,3	104,000		17,621
Singapore Telecommunications, Ltd.1,3	14,000		30,831
Telefonica S.A.1,3	6,637		185,529
Telstra Corporation, Ltd.1,3	13,867		42,633
			367,082
Internet Software & Services—0.0%
Kakaku.com, Inc.1,3	9		35,003
Investment Banking & Brokerage—0.1%
Macquarie Group, Ltd.1,3	1,344		57,587
IT Consulting & Other Services—0.0%
Logica plc1,3	13,045		23,860
NS Solutions Corporation1,3	1,100		17,357
			41,217
Life & Health Insurance—0.3%
Prudential plc1,3	6,082		62,051
Sony Financial Holdings, Inc.1,3	25		65,096
Sun Life Financial, Inc.	3,600		103,596
			230,743
Marine—0.0%
Nippon Yusen KK1,3	5,000		15,407
Multi-Line Insurance—0.1%
AXA S.A.1,3	4,786		112,229
Multi-Utilities—0.1%
GDF Suez1,3	1,428		61,784
Office Electronics—0.1%
Canon, Inc.1,3	1,800		76,610
Oil & Gas Drilling—0.0%
China Oilfield Services, Ltd.1,3	28,000		33,206
Oil & Gas Equipment & Services—0.2%
Fugro N.V.1,3	464		26,618
Modec, Inc.1,3	1,000		19,173
Saipem SpA1,3	2,035		70,140
Subsea 7, Inc.1,3,*	3,700		61,200
			177,131
Oil & Gas Exploration & Production—0.1%
Beach Energy, Ltd.1,3	51,900		42,700
Other Diversified Financial Services—0.0%
ING Groep N.V.1,3	2,480		23,853
Packaged Foods & Meats—0.6%
Dairy Crest Group plc 1,3	6,814		39,634
Goodman Fielder, Ltd.1,3	18,514		26,961
House Foods Corporation1,3	1,500		21,352
Nestle S.A.1,3	6,099		295,706
Unilever plc1,3	2,980		95,534
			479,187
Personal Products—0.1%
Kobayashi Pharmaceutical Company, Ltd.1,3	800		32,073
L'Oreal S.A.1,3	820		91,467
			123,540
Pharmaceuticals—0.7%
Astellas Pharma, Inc.1,3	800		29,863
Chugai Pharmaceutical Company, Ltd.1,3	1,200		22,442
Roche Holding AG1,3	1,233		210,645
Rohto Pharmaceutical Company, Ltd.1,3	2,000		23,080
Sanofi-Aventis S.A.1,3	2,152		169,026
			455,056
Photographic Products—0.0%
Nikon Corporation1,3	2,000		39,514
Property & Casualty Insurance—0.1%
QBE Insurance Group, Ltd.1,3	3,729		85,099
Suncorp-Metway, Ltd.1,3	3,775		29,227
			114,326
Publishing—0.1%
Informa plc1,3	3,220		16,579
Sanoma Oyj1,3	2,646		59,622
			76,201
Railroads—0.1%
Central Japan Railway Company1,3	9		60,272
Real Estate Development—0.0%
China Overseas Land & Investment, Ltd.1,3	17,760		37,207
Goldcrest Company, Ltd.1,3	820		22,974
Soho China, Ltd.1,3	62,000		33,304
			93,485
Regional Banks—0.1%
Bank of Yokohama, Ltd.1,3	9,000		41,057

The accompanying notes are an integral part of the financial statements

72

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

		Shares		Value
FOREIGN STOCKS—12.3% (continued)
Reinsurance—0.1%
Muenchener Rueckversicherungs AG1,3		574	$	89,293
Restaurants—0.1%
Compass Group plc1,3		6,631		47,675
Mitchells & Butlers plc1,3		7,690		30,765
				78,440
Retail REIT’s—0.1%
Unibail-Rodamco SE1,3		466		102,242
Semiconductor Equipment—0.2%
ASML Holding N.V. 1,3		1,687		57,525
Sumco Corporation1,3		3,000		53,040
				110,565
Semiconductors—0.1%
Samsung Electronics Company, Ltd.1,3		56		38,377
Taiwan Semiconductor Manufacturing Company, Ltd.1,3		28,129		56,672
				95,049
Specialized Finance—0.1%
Deutsche Boerse AG1,3		551		45,571
Specialty Chemicals—0.2%
Hitachi Chemical Company, Ltd.1,3		1,800		36,705
Umicore1,3		1,536		51,174
Wacker Chemie AG1,3		444		77,135
				165,014
Steel—0.1%
Kobe Steel, Ltd.1,3		21,000		38,077
SSAB Svenskt Stal AB1,3		3,869		65,677
				103,754
Switzerland—0.1%
Swiss LifeHolding AG1,3		732		93,043
Trading Companies & Distributors—0.3%
Mitsubishi Corporation1,3		3,600		89,719
Mitsui & Company, Ltd.1,3		5,800		82,324
				172,043
Trucking—0.1%
Arriva plc1,3		4,990		39,736
Wireless Telecommunication Services—0.1%
KDDI Corporation1,3		13		68,894
TOTAL FOREIGN STOCKS (cost $9,320,958)			$	9,794,021
	Shares		Value
PREFERRED STOCK—0.2%
Other Diversified Financial Services—0.2%
Bank of America Corporation
10.00%, 12/31/19495		9,100		135,772
Thrifts & Mortgage Finance—0.0%
Federal National Mortgage Association
8.25%, 12/31/2010*		1,050		1,155
TOTAL PREFERRED STOCK (cost $166,568)				136,927
	Shares		Value
WARRANTS—0.0%
Anvil (Cl. A)
$1.00, 2/28/20121,2		333		14
Anvil (Cl. B)
$1.00, 2/28/20121,2		370		7
TOTAL WARRANTS (cost $3,850)				21
	Principal Amount		Value
CORPORATE BONDS—13.8%
Aerospace & Defense—0.2%
Bombardier, Inc.
6.75%, 20121,6,7	$	50,000	$	51,625
Delta Air Lines, Inc.
12.25%, 20151,6,7		25,000		25,000
Lockheed Martin Corporation
4.12%, 20131		25,000		26,120
Spirit Aerosystems, Inc.
7.50%, 20171,6,7		25,000		24,625
				127,370
Airlines—0.0%
Continental Airlines, Inc.
7.25%, 20191		10,000		10,175
Delta Air Lines, Inc.
7.75%, 20191		10,000		10,200
				20,375
Automotive—0.2%
American Axle & Manufacturing, Inc.
7.88%, 20171		25,000		21,125
DaimlerChrysler North America Holding Corporation
6.50%, 20131		30,000		32,887
Erac USA Finance Company
5.60%, 20151,2,6,7		40,000		40,770
Ford Motor Credit Company LLC
12.00%, 20151		25,000		28,991
Hertz Corporation
10.50%, 20161		25,000		26,688
Motors Liquidation Company
8.25%, 20231,8		25,000		6,625
				157,086
Banking—1.4%
Bank of America Corporation
5.65%, 20181		105,000		106,639
BB&T Capital Trust II
6.75%, 20361		20,000		19,075

The accompanying notes are an integral part of the financial statements

73

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
CORPORATE BONDS—13.8% (continued)
Banking—1.4% (continued)
Citigroup, Inc.
6.50%, 20131	$	120,000	$	127,824
Credit Suisse Guernsey, Ltd.
5.86%, 20491,5		40,000		34,800
Credit Suisse USA, Inc.
5.50%, 20111		30,000		31,872
Discover Financial Services
10.25%, 20191		25,000		29,234
E*Trade Financial Corporation
12.50%, 20171		32,000		36,360
Fifth Third Bancorp
6.25%, 20131		20,000		20,592
Goldman Sachs Group, Inc.
7.50%, 20191		40,000		46,632
JP Morgan Chase Capital XXII
6.45%, 20371		35,000		32,121
JPMorgan Chase & Company
4.75%, 20131		55,000		58,054
6.00%, 20181		205,000		220,375
Morgan Stanley
7.30%, 20191		100,000		112,293
Northern Trust Company
4.60%, 20131		25,000		26,242
Northern Trust Corporation
5.30%, 20111		30,000		31,832
5.50%, 20131		10,000		10,939
PNC Funding Corporation
5.63%, 20171		35,000		34,682
Svensk Exportkredit AB
5.13%, 20171		70,000		73,921
U.S. Bancorp
4.50%, 20101		45,000		46,113
Wells Fargo & Company
4.88%, 20111		90,000		93,249
Westpac Banking Corporation
4.88%, 20191		25,000		24,675
				1,217,524
Basic Industry—0.2%
BWAY Corporation
10.00%, 20141,6,7		25,000		26,437
Lubrizol Corporation
8.88%, 20191		20,000		24,866
Potash Corporation of Saskatchewan, Inc.
4.88%, 20201		45,000		44,398
Rio Tinto Finance USA, Ltd.
8.95%, 20141		15,000		17,975
				113,676
Basic Industry—Other—0.0%
Cooper US, Inc.
6.10%, 20171		35,000		38,236
Xstrata Finance Canada, Ltd.
5.50%, 20111,2,6,7		35,000		36,735
				74,971
Brokerage—0.9%
Ameriprise Financial, Inc.
7.30%, 20191		40,000		44,482
Citigroup, Inc.
5.50%, 20121		37,000		38,675
5.50%, 20131		45,000		46,654
Goldman Sachs Group, Inc.
6.15%, 20181		195,000		208,748
6.35%, 20341		30,000		28,088
Jefferies Group, Inc.
6.25%, 20361		35,000		27,891
Merrill Lynch & Company, Inc.
5.45%, 20131		35,000		36,829
6.88%, 20181		85,000		91,582
7.75%, 20381		35,000		38,456
Morgan Stanley
6.00%, 20151		100,000		106,523
Nuveen Investments, Inc.
10.50%, 20151		25,000		22,688
Willis North America, Inc.
6.20%, 20171		25,000		24,783
				715,399
Building Materials—0.1%
CRH America, Inc.
6.00%, 20161		25,000		26,112
Freeport-McMoRan Copper & Gold, Inc.
8.38%, 20171		50,000		54,750
Gibraltar Industries, Inc.
8.00%, 20151		25,000		23,875
Holcim US Finance Sarl & Cie SCS
6.00%, 20191,2,6,7		20,000		20,818
Lafarge S.A.
6.15%, 20111		20,000		20,842
				146,397
Capital Goods—0.1%
Ball Corporation
7.13%, 20161		25,000		25,625
Goodrich Corporation
4.88%, 20201		15,000		14,837
Republic Services, Inc.
5.50%, 20191,2,6,7		20,000		20,309
Roper Industries, Inc.
6.25%, 20191		10,000		10,411
				71,182
Chemicals—0.1%
Praxair, Inc.
4.63%, 20151		35,000		37,225
5.20%, 20171		35,000		36,700
Solutia, Inc.
8.75%, 20171		25,000		26,031
				99,956
Communications—0.3%
American Tower Corporation
4.63%, 20151,2,6,7		15,000		15,172
7.25%, 20191,2,6,7		28,000		31,220
Grupo Televisa S.A.
6.63%, 20401,2,6,7		15,000		14,834
Intelsat Jackson Holdings, Ltd.
8.50%, 20191,6,7		50,000		51,500
QVC, Inc.
7.50%, 20191,6,7		25,000		25,500
Telecom Italia Capital S.A.
6.18%, 20141		30,000		32,517

The accompanying notes are an integral part of the financial statements

74

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
CORPORATE BONDS—13.8% (continued)
Communications—0.3% (continued)
Telefonica Emisiones SAU
5.88%, 20191	$	15,000	$	16,077
Thomson Reuters Corporation
4.70%, 20191		10,000		9,851
				196,671
Communications—Other—0.3%
AT&T, Inc.
5.63%, 20161		50,000		53,712
Dun & Bradstreet Corporation
5.50%, 20111		25,000		26,042
Hughes Network Systems LLC
9.50%, 20141		25,000		25,813
Lamar Media Corporation
6.63%, 20151		100,000		96,999
XM Satellite Radio, Inc.
11.25%, 20131,6,7		25,000		26,875
				229,441
Construction Machinery—0.1%
Commercial Vehicle Group
13.00%, 20131,2,7		20		16,972
Esco Corporation
8.63%, 20131,6,7		50,000		49,749
Honeywell International, Inc.
5.30%, 20181		35,000		36,916
				103,637
Consumer Noncyclical—0.1%
AmerisourceBergen Corporation
4.88%, 20191		25,000		24,681
Kroger Company
3.90%, 20151		20,000		20,109
				44,790
Consumer Noncyclical—Other—0.1%
Bunge North America Finance, LP
5.90%, 20171		55,000		54,445
Consumer Products—0.0%
Visant Corporation
7.63%, 20121		25,000		25,125
Distributors—0.0%
Ferrellgas Partners, LP
8.75%, 20121		25,000		25,313
Diversified Manufacturing—0.1%
3M Company
5.70%, 20371		35,000		36,525
Bombardier, Inc.
8.00%, 20141,6,7		25,000		25,969
Case New Holland, Inc.
7.75%, 20131,6,7		25,000		25,563
Hawk Corporation
8.75%, 20141		25,000		24,969
				113,026
Electric—1.1%
ACE INA Holdings, Inc.
5.90%, 20191		10,000		10,758
AES Corporation
7.75%, 20141		25,000		25,375
Allegheny Energy Supply Company LLC
6.75%, 20391,2,6,7		30,000		28,556
Appalachian Power Company
6.38%, 20361		25,000		25,265
Baltimore Gas & Electric Company
5.90%, 20161		50,000		52,708
Black Hills Corporation
6.50%, 20131		30,000		31,380
CenterPoint Energy, Inc.
7.25%, 20101		25,000		25,790
Consumers Energy Company
6.00%, 20141		25,000		27,479
El Paso Electric Company
6.00%, 20351		45,000		40,468
Energy Future Holdings Corporation
10.88%, 20171		25,000		20,438
11.25%, 20171		28,090		19,874
Entergy Gulf States Louisiana LLC
5.59%, 20241		10,000		9,994
Entergy Louisiana LLC
5.40%, 20241		10,000		9,754
Exelon Generation Company LLC
6.25%, 20391		15,000		15,282
Express Scripts, Inc.
6.25%, 20141		15,000		16,367
Illinois Power Company
6.13%, 20171		15,000		15,842
Massachusetts Electric Company
5.90%, 20391,2,6,7		25,000		25,383
Monongahela Power Company
5.70%, 20171,2,6,7		40,000		39,319
Northern States Power Company
5.35%, 20391		14,000		13,512
Pacific Gas & Electric Company
4.80%, 20141		30,000		31,860
6.35%, 20381		20,000		21,688
PacifiCorp
6.25%, 20371		40,000		43,157
Pinnacle Foods Finance LLC
9.25%, 20151		25,000		25,375
Public Service Company of Oklahoma
5.15%, 20191		15,000		14,893
Public Service Electric & Gas Company
5.70%, 20361		50,000		50,751
RRI Energy, Inc.
7.88%, 20171		25,000		24,563
Sierra Pacific Resources
7.80%, 20121		25,000		25,388
Southern Company
4.15%, 20141		20,000		20,567
Tampa Electric Company
6.15%, 20371		40,000		40,309
Teck Resources, Ltd.
9.75%, 20141		25,000		28,844

The accompanying notes are an integral part of the financial statements

75

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
CORPORATE BONDS—13.8% (continued)
Electric—1.1% (continued)
Texas Competitive Electric Holdings Company LLC
10.25%, 20151	$	50,000	$	40,500
Union Electric Company
5.40%, 20161		50,000		51,447
Virginia Electric and Power Company
4.50%, 20101		35,000		35,996
Westar Energy, Inc.
5.10%, 20201		25,000		24,417
				933,299
Energy—0.1%
Hess Corporation
6.00%, 20401		15,000		14,854
North American Energy Alliance LLC
10.88%, 20161,6,7		25,000		26,562
				41,416
Energy-Other—0.0%
Cie Generale de Gelphysique-Veritas
9.50%, 20161,7		25,000		26,750
Entertainment—0.1%
Historic TW, Inc.
6.88%, 20181		50,000		55,148
Ticketmaster Entertainment, Inc.
10.75%, 20161		25,000		26,938
				82,086
Environmental—0.2%
Veolia Environnement
6.00%, 20181		35,000		36,957
Waste Management, Inc.
6.10%, 20181		55,000		58,489
				95,446
Financial—Other—0.2%
AvalonBay Communities, Inc.
6.13%, 20121		16,000		16,978
Duke Realty, LP
6.25%, 20131		20,000		20,115
First Data Corporation
10.55%, 20151		27,760		24,636
Kinder Morgan Finance Company ULC
5.70%, 20161		45,000		43,200
Nuveen Investments, Inc.
5.50%, 20151		25,000		17,281
				122,210
Financial Companies—0.1%
American General Finance Corporation
6.90%, 20171		25,000		17,359
WEA Finance LLC
7.50%, 20141,2,6,7		20,000		22,506
				39,865
Financial Companies—Noncaptive Consumer—0.2%
American Express Credit Corporation
5.88%, 20131		35,000		37,561
7.30%, 20131		15,000		16,858
Capital One Capital IV
6.75%, 20371,5		50,000		41,500
John Deere Capital Corporation
5.50%, 20171		20,000		21,201
SLM Corporation
5.13%, 20121		15,000		14,062
8.45%, 20181		50,000		49,337
				180,519
Financial Companies—Noncaptive Diversified—0.2%
Caterpillar Financial Services Corporation
4.25%, 20131		35,000		36,445
5.85%, 20171		25,000		26,679
International Lease Finance Corporation
6.63%, 20131		55,000		44,274
Wachovia Corporation
5.75%, 20181		55,000		57,396
				164,794
Financial Institutions—0.1%
Citigroup, Inc.
5.50%, 20141		20,000		20,251
JPMorgan Chase Capital XXVII
7.00%, 20391		30,000		30,255
SLM Corporation
5.38%, 20141		25,000		23,059
				73,565
Food & Beverage—0.3%
Anheuser-Busch InBev Worldwide, Inc.
5.38%, 20141,2,6,7		60,000		63,524
ARAMARK Corporation
3.78%, 20151,5		25,000		22,875
B&G Foods, Inc.
8.00%, 20111		25,000		25,438
Coca-Cola Amatil, Ltd.
3.25%, 20141,2,6,7		20,000		19,744
General Mills, Inc.
5.25%, 20131		15,000		16,183
Mead Johnson Nutrition Company
4.90%, 20191,2,6,7		10,000		9,915
Pantry, Inc.
7.75%, 20141		25,000		24,000
SABMiller plc
6.20%, 20111,2,6,7		50,000		52,915
Sysco Corporation
5.25%, 20181		20,000		20,882
				255,476
Gaming—0.1%
Harrah’s Operating Company, Inc.
11.25%, 20171,6,7		25,000		26,156

The accompanying notes are an integral part of the financial statements

76

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
CORPORATE BONDS—13.8% (continued)
Gaming—0.1% (continued)
MGM Mirage
10.38%, 20141,6,7	$	25,000	$	27,125
11.38%, 20181,6,7		25,000		22,375
				75,656
Health Care—0.4%
Genentech, Inc.
4.75%, 20151		35,000		37,460
HCA, Inc.
9.25%, 20161		50,000		53,688
Highmark, Inc.
6.80%, 20131,2,6,7		30,000		31,389
Kellogg Company
4.25%, 20131		25,000		26,208
Medtronic, Inc.
4.75%, 20151		60,000		64,772
Talecris Biotherapeutics Holdings Corporation
7.75%, 20161,6,7		25,000		25,375
Vanguard Health Holding Company II LLC
9.00%, 20141		25,000		25,906
WellPoint, Inc.
5.00%, 20111		30,000		31,019
Wyeth
5.95%, 20371		35,000		36,497
				332,314
Home Construction—0.1%
MDC Holdings, Inc.
5.50%, 20131		55,000		55,258
NVR, Inc.
5.00%, 20101		20,000		20,184
				75,442
Independent Energy—0.3%
Canadian Natural Resources, Ltd.
6.25%, 20381		35,000		36,223
Connacher Oil and Gas, Ltd.
10.25%, 20151,6,7		25,000		22,875
Forest Oil Corporation
8.00%, 20111		25,000		26,063
Hilcorp Energy I, LP
7.75%, 20151,6,7		75,000		73,499
NRG Energy, Inc.
7.25%, 20141		25,000		25,313
Southern Company
5.30%, 20121		15,000		16,071
				200,044
Insurance—0.1%
Aflac, Inc.
6.90%, 20391		20,000		19,704
Genworth Financial, Inc.
8.63%, 20161		10,000		10,374
Markel Corporation
7.13%, 20191		15,000		15,488
Reinsurance Group of America, Inc.
6.45%, 20191		15,000		14,951
				60,517
Insurance—Life—0.3%
MetLife, Inc.
6.13%, 20111		50,000		53,750
NLV Financial Corporation
7.50%, 20331,2,6,7		30,000		25,852
Principal Financial Group, Inc.
6.05%, 20361		30,000		27,104
Principal Life Global Funding I
5.13%, 20131,2,6,7		45,000		45,623
Prudential Financial, Inc.
6.20%, 20151		10,000		10,759
Sun Life Financial Global Funding, LP
0.50%, 20131,2,5,6,7		45,000		42,174
				205,262
Insurance—Property & Casualty—0.1%
Ace INA Holdings, Inc.
5.70%, 20171		30,000		31,839
HUB International Holdings, Inc.
10.25%, 20151,6,7		25,000		23,000
				54,839
Integrated Energy—0.1%
Hess Corporation
7.88%, 20291		20,000		23,987
Petrobras International Finance Company
5.88%, 20181		35,000		35,294
Petro-Canada
6.80%, 20381		10,000		11,023
West Penn Power Company
5.95%, 20171,2,6,7		25,000		25,565
				95,869
Lodging—0.0%
Host Hotels & Resorts, LP
6.75%, 20161		25,000		24,875
Media-Cable—0.8%
British Sky Broadcasting Group plc
6.10%, 20181,2,6,7		55,000		58,264
Comcast Cable Communications Holdings, Inc.
8.38%, 20131		11,000		12,680
Comcast Corporation
5.70%, 20181		40,000		42,050
COX Communications, Inc.
7.13%, 20121		20,000		22,217
6.25%, 20181,2,6,7		10,000		10,644
8.38%, 20391,2,6,7		10,000		12,452
CSC Holdings, Inc.
8.50%, 20141,6,7		25,000		26,625
DirecTV Holdings LLC
7.63%, 20161		25,000		27,313
5.88%, 20191,2,6,7		45,000		45,769
News America, Inc.
6.15%, 20371		60,000		59,693
Omnicom Group, Inc.
6.25%, 20191		20,000		21,577
Rogers Cable, Inc.
5.50%, 20141		40,000		42,861
TCM Sub LLC
3.55%, 20151,2,6,7		35,000		34,284

The accompanying notes are an integral part of the financial statements

77

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
CORPORATE BONDS—13.8% (continued)
Media—Cable—0.8% (continued)
Time Warner Cable, Inc.
5.40%, 20121	$	55,000	$	58,764
7.30%, 20381		90,000		99,775
Videotron Ltee
9.13%, 20181,6,7		25,000		27,500
				602,468
Media—Non Cable—0.2%
Affinity Group, Inc.
9.00%, 20121		25,000		17,031
News America, Inc.
6.40%, 20351		45,000		46,208
Thomson Reuters Corporation
6.50%, 20181		25,000		28,256
Time Warner, Inc.
7.70%, 20321		20,000		23,487
Univision Communications, Inc.
9.75%, 20151,6,7		26,312		23,056
Vivendi S.A.
5.75%, 20131,2,6,7		35,000		36,797
				174,835
Metals & Mining—0.8%
ArcelorMittal
5.38%, 20131		35,000		36,933
Barrick Gold Financeco LLC
6.13%, 20131		30,000		32,976
BHP Billiton Finance, Ltd.
5.40%, 20171		30,000		32,141
Novelis, Inc.
11.50%, 20151,6,7		25,000		26,781
Placer Dome, Inc.
6.45%, 20351		35,000		35,927
Rio Tinto Finance USA, Ltd.
5.88%, 20131		35,000		37,767
Russel Metals, Inc.
6.38%, 20141		25,000		23,750
Steel Dynamics, Inc.
7.38%, 20121		25,000		25,750
Sunoco, Inc.
5.75%, 20171		34,000		34,375
Tube City IMS Corporation
9.75%, 20151		25,000		24,156
Vale Overseas, Ltd.
6.25%, 20171		20,000		20,862
6.88%, 20391		25,000		25,169
				356,587
Natural Gas—0.1%
AGL Capital Corporation
5.25%, 20191		5,000		5,035
Enogex LLC
6.25%, 20201,2,6,7		10,000		9,783
Enterprise Products Operating LLC
5.25%, 20201		5,000		4,946
7.55%, 20381		15,000		16,939
Magellan Midstream Partners, LP
6.55%, 20191		20,000		21,710
Plains All American Pipeline, LP
5.75%, 20201		20,000		20,015
Spectra Energy Capital LLC
5.65%, 20201		20,000		20,183
				98,611
Natural Gas Pipelines—0.2%
Boardwalk Pipelines LLC
5.50%, 20171		20,000		19,874
Buckeye Partners, LP
6.05%, 20181		15,000		15,539
Dynegy Holdings, Inc.
7.50%, 20151		25,000		23,375
El Paso Corporation
12.00%, 20131		25,000		29,313
Plains All American Pipeline, LP
6.50%, 20181		15,000		16,041
Texas Gas Transmission LLC
5.50%, 20131,2,6,7		50,000		52,578
				156,720
Oil Field Services—0.4%
Devon Financing Corporation ULC
7.88%, 20311		25,000		31,323
Diamond Offshore Drilling, Inc.
5.15%, 20141		25,000		26,656
El Paso Natural Gas Company
5.95%, 20171		13,000		13,390
EnCana Corporation
5.90%, 20171		35,000		37,641
6.50%, 20341		35,000		37,511
EOG Resources, Inc.
5.88%, 20171		25,000		27,224
Nabors Industries, Inc.
6.15%, 20181		10,000		10,393
Pemex Project Funding Master Trust
5.75%, 20181		80,000		80,891
Petrobras International Finance Company
7.88%, 20191		15,000		17,292
5.75%, 20201		10,000		10,173
Shell International Finance BV
6.38%, 20381		25,000		28,184
Southern Natural Gas Company
5.90%, 20171,2,6,7		13,000		13,350
Woodside Finance, Ltd.
4.50%, 20141,2,6,7		10,000		10,089
XTO Energy, Inc.
5.65%, 20161		30,000		32,788
				376,905
Paper—0.1%
Boise Cascade LLC
7.13%, 20141		15,000		13,519
Georgia-Pacific LLC
7.13%, 20171,6,7		25,000		25,313
Nielsen Finance LLC
11.63%, 20141		25,000		28,093
				66,925
Pharmaceuticals—0.1%
Teva Pharmaceutical Finance LLC
5.55%, 20161		40,000		42,223

The accompanying notes are an integral part of the financial statements

78

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
CORPORATE BONDS—13.8% (continued)
Pipelines—0.0%
Kinder Morgan, Inc.
6.50%, 20121	$	25,000	$	26,000
Railroads—0.0%
Union Pacific Corporation
5.70%, 20181		25,000		26,187
Refining—0.3%
Diamond Offshore Drilling, Inc.
4.88%, 20151		30,000		31,668
Enterprise Products Operating, LP
6.30%, 20171		20,000		21,530
Marathon Oil Corporation
6.00%, 20171		35,000		37,023
5.90%, 20181		45,000		47,400
6.60%, 20371		15,000		15,912
Valero Energy Corporation
6.13%, 20171		55,000		56,289
				209,822
REIT’s—0.3%
AMB Property, LP
6.63%, 20191		20,000		19,617
ERP Operating, LP
5.25%, 20141		25,000		25,426
Federal Realty Investment Trust
6.00%, 20121		20,000		20,869
Hospitality Properties Trust
5.63%, 20171		30,000		25,976
Mack-Cali Realty Corporation
7.75%, 20191		20,000		20,695
Reckson Operating Partnership, LP
6.00%, 20161		30,000		25,682
Regency Centers, LP
5.88%, 20171		15,000		13,881
Simon Property Group, LP
6.75%, 20141		5,000		5,328
5.75%, 20151		55,000		56,086
				213,560
Restaurants—0.0%
Federated Retail Holdings, Inc.
5.35%, 20121		20,000		20,425
Retailers—0.3%
AmeriGas Partners, LP
7.13%, 20161		100,000		100,000
GSC Holdings Corporation
8.00%, 20121		25,000		25,906
Home Depot, Inc.
5.40%, 20161		35,000		36,640
JC Penney Corporation, Inc.
9.00%, 20121		30,000		33,825
Neiman Marcus Group, Inc.
10.38%, 20151		25,000		24,500
Rite Aid Corporation
10.25%, 20191,6,7		25,000		26,375
				247,246
Services—0.1%
Allied Waste North America, Inc.
7.25%, 20151		50,000		52,250
Sovereigns—0.2%
Brazilian Government International Bond
11.00%, 20401		35,000		46,638
Italian Republic
5.25%, 20161		85,000		90,526
				137,164
Supermarkets—0.0%
Kroger Company
7.50%, 20141		5,000		5,706
Technology—0.3%
Seagate Technology HDD Holdings
6.80%, 20161		25,000		24,188
STATS ChipPAC, Ltd.
6.75%, 20111		25,000		25,156
SunGard Data Systems, Inc.
9.13%, 20131		100,000		102,500
Xerox Corporation
5.50%, 20121		15,000		15,852
6.75%, 20171		100,000		107,277
6.35%, 20181		25,000		26,078
				301,051
Telecommunications—Wireless—0.6%
America Movil S.A. de CV
6.38%, 20351		45,000		46,453
British Telecommunications plc
5.15%, 20131		40,000		41,711
CC Holdings GS V LLC
7.75%, 20171,6,7		25,000		26,625
Cricket Communications, Inc.
7.75%, 20161		25,000		24,938
Digicel Group, Ltd.
12.00%, 20141,6,7		25,000		27,750
iPCS, Inc.
4.28%, 20141,5		25,283		21,491
MetroPCS Wireless, Inc.
9.25%, 20141		25,000		25,313
New Cingular Wireless Services, Inc.
7.88%, 20111		30,000		32,232
NII Capital Corporation
10.00%, 20161,6,7		25,000		26,188
Rogers Communications, Inc.
6.80%, 20181		30,000		33,598
SBA Telecommunications, Inc.
8.00%, 20161,6,7		25,000		26,125
Sprint Capital Corporation
8.38%, 20121		25,000		25,875
Sprint Nextel Corporation
8.38%, 20171		50,000		50,999
Verizon Global Funding Corporation
7.75%, 20301		35,000		41,117
Verizon Virginia, Inc.
4.63%, 20131		45,000		46,730

The accompanying notes are an integral part of the financial statements

79

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
CORPORATE BONDS—13.8% (continued)
Telecommunications—Wireless—0.6% (continued)
Vodafone Group plc
5.63%, 20171	$	35,000	$	37,176
Wind Acquisition Finance S.A.
12.00%, 20151,6,7		25,000		26,750
				561,071
Telecommunications—Wirelines—0.4%
AT&T Corporation
7.30%, 20111		15,000		16,516
AT&T, Inc.
6.45%, 20341		50,000		50,983
Cellco Partnership
8.50%, 20181		40,000		49,615
Nordic Telephone Company Holdings ApS
8.88%, 20161,6,7		100,000		105,750
Rogers Wireless, Inc.
7.50%, 20151		15,000		17,520
Telecom Italia Capital S.A.
5.25%, 20131		30,000		31,554
Telefonica Emisiones SAU
6.22%, 20171		35,000		38,578
Windstream Corporation
8.63%, 20161		25,000		25,438
				335,954
Textile—0.1%
Invista
9.25%, 20121,6,7		100,000		101,500
Tobacco—0.1%
Altria Group, Inc.
8.50%, 20131		25,000		28,891
9.25%, 20191		20,000		24,373
BAT International Finance plc
8.13%, 20131,2,6,7		25,000		28,900
Reynolds American, Inc.
7.25%, 20131		30,000		32,730
				114,894
U.S. Banking—0.1%
Bank of America Corporation
6.50%, 20161		20,000		21,506
Fifth Third Bancorp
8.25%, 20381		25,000		23,770
GMAC, Inc.
8.00%, 20311,6,7		25,000		22,500
USB Capital XIII Trust
6.63%, 20391		15,000		15,245
				83,021
TOTAL CORPORATE BOND (cost $10,557,472)			$	10,987,753
	Principal Amount		Value
FOREIGN BONDS—0.2%
Chile—0.1%
Celulosa Arauco y Constitucion S.A.
5.13%, 20131	$	40,000	$	41,936
France—0.1%
France Telecom S.A.
7.75%, 20111	$	46,000	$	49,301
United Kingdom—0.0%
HBOS plc
6.00%, 20331,2,6,7		40,000		30,205
TOTAL FOREIGN BOND (cost $126,793)			$	121,442
	Principal Amount		Value
FOREIGN GOVERNMENT BONDS—0.2%
Mexico—0.1%
Mexico Government International Bond
6.38%, 20131		45,000		49,725
South Africa—0.1%
South Africa Government International Bond
6.50%, 20141		65,000		71,175
TOTAL FOREIGN GOVERNMENT BOND (cost $111,628)			$	120,900
	Principal Amount		Value
MUNICIPAL BONDS—0.5%
California—0.0%
Bay Area Toll Authority Revenue Bonds
6.26%, 20491		25,000		23,880
District Of Columbia—0.0%
District of Columbia Revenue Bonds
5.59%, 20341		10,000		9,798
Georgia—0.2%
City of Atlanta Georgia Revenue Bonds
5.50%, 20171		35,000		38,297
County of DeKalb Georgia Revenue Bonds
5.00%, 20351		40,000		43,016
				81,313
Illinois—0.1%
Chicago Metropolitan Water Reclamation District-Greater Chicago General Obligation Limited
5.72%, 20381		15,000		14,984
Chicago Transit Authority Revenue Bonds
6.90%, 20401		30,000		31,326
				46,310
Kansas—0.0%
Kansas Development Finance Authority Revenue Bonds
5.50%, 20341		30,000		26,870

The accompanying notes are an integral part of the financial statements

80

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
MUNICIPAL BONDS—0.5% (continued)
Maryland—0.0%
Maryland State Transportation Authority Revenue Bonds
5.89%, 20431	$	10,000	$	10,016
Massachusetts—0.2%
Massachusetts Health & Educational Facilities Authority Revenue Bonds
5.00%, 20381		45,000		47,292
New York—0.0%
Metropolitan Transportation Authority Revenue Bonds
7.34%, 20391		10,000		11,143
New York City Housing Development Corporation Revenue Bonds
6.42%, 20271		30,000		26,502
				37,645
Oregon—0.0%
State of Oregon General Obligation Unlimited
5.89%, 20271		15,000		14,865
Utah—0.0%
Utah Transit Authority Revenue Bonds
5.25%, 20381		35,000		37,383
West Virginia—0.0%
Tobacco Settlement Finance Authority of West Virginia Revenue Bonds
7.47%, 20471		45,000		35,944
TOTAL MUNICIPAL BOND (cost $373,004)			$	371,316
	Principal Amount		Value
MORTGAGE BACKED SECURITIES—10.8%
Other Non-Agency—2.0%
C.M.O.’s—2.0%
American Tower Trust
2007-1A, 5.96%, 20371,2,6,7	$	45,000	$	45,900
Banc of America Commercial Mortgage, Inc.
2003-1, 4.65%, 20361		75,000		75,579
2005-3, 4.50%, 20431		201,227		201,444
Banc of America Mortgage Securities, Inc.
2004-A, 4.48%, 20341,5		22,001		18,042
2004-D, 3.87%, 20341,5		2,188		2,008
2004-H, 3.76%, 20341,5		12,995		12,218
2004-I, 4.87%, 20341,5		11,097		10,596
2005-J, 5.24%, 20351,5		31,652		24,016
Bear Stearns Commercial Mortgage Securities
2005-PW10, 5.09%, 20401		39,604		40,084
2005-PWR8, 4.67%, 20411		60,000		57,396
2006-PW13, 5.54%, 20411		61,000		59,410
2005-PWR9, 4.87%, 20421		43,000		41,223
Citigroup
2005-CD1, 5.22%, 20441,5		175,000		179,080
Commercial Mortgage Loan Trust
2008-LS1, 6.02%, 20171,5		175,000		154,137
Credit Suisse Mortgage Capital Certificates
2006-C4, 5.47%, 20391		100,000		85,652
GMAC Commercial Mortgage Securities, Inc.
2001-C2, 6.70%, 20341		119,683		125,131
JP Morgan Chase Commercial Mortgage Securities Corporation
2001-CIBC, 6.26%, 2033 1		92,974		95,644
2001-CIB2, 6.24%, 20351		5,702		5,759
2004-LDP4, 4.82%, 20421,5		75,000		76,294
Morgan Stanley Capital I
2007-HQ11, 5.45%, 20441,5		100,000		87,634
Morgan Stanley Dean Witter Capital I
2002-T0P7, 5.98%, 20391		200,000		209,442
				1,606,689
				1,606,689
U.S. Government Sponsored
Agencies—7.5%
C.M.O.’s—0.1%
Federal Home Loan Mortgage Corporation
FHR 2614 IH, 4.50%, 20161,2,9		35,051		1,318
Federal National Mortgage Association
FNR 2003-40 Nl, 5.50%, 20281,2,9		1,211		11
FNS 319 2, 6.50%, 20321,2,9		8,364		1,903
FNR 2006-35 GK, 6.00%, 20321		66,013		68,955
				72,187
Pass Through’s—7.4%
Federal Home Loan Mortgage Corporation
#E01341, 5.50%, 20181		4,409		4,697
#E99933, 5.00%, 20181		2,790		2,940
#E99966, 5.00%, 20181		15,373		16,201
#B10343, 5.00%, 20181		4,075		4,294
#B19214, 5.50%, 20201		14,913		15,875
#J02272, 5.50%, 20201		50,959		54,246
#J02554, 5.50%, 20201		42,421		45,157
#J03203, 6.00%, 20211		37,256		39,852
#J03254, 6.00%, 20211		10,775		11,525
#J03615, 6.00%, 20211		69,875		74,743
#J03640, 6.00%, 20211		52,010		55,633
#J03672, 6.00%, 20211		20,941		22,400
#933890, 5.00%, 20231		187,095		195,731
#AA0774, 4.50%, 20241		174,611		179,815
#C68205, 7.00%, 20321		3,429		3,774
#1B0527, 3.35%, 20321,5		1,082		1,114

The accompanying notes are an integral part of the financial statements

81

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount		Value
MORTGAGE BACKED SECURITIES—10.8% (continued)
U.S. Government Sponsored
Agencies—7.5% (continued)
Pass Through’s—7.4% (continued)
Federal Home Loan Mortgage Corporation (continued)
#A12118, 5.00%, 20331	$	35,799	$	36,858
#D86309, 5.00%, 20331		22,297		22,957
#A15907, 5.00%, 20331		18,950		19,511
#A15852, 5.00%, 20331		16,024		16,498
#A21263, 4.50%, 20341		110,405		110,797
#G01805, 4.50%, 20351		234,607		235,748
#833174, 5.17%, 20351,5		158,777		166,935
#1G1762, 5.05%, 20351,5		26,732		28,083
#1G0661, 5.33%, 20361,5		11,829		12,462
#745336, 5.00%, 20361		94,810		97,481
#1G1353, 5.98%, 20361,5		67,590		72,110
#AA5588, 4.50%, 20391		214,499		214,320
Federal National Mortgage Association
#254140, 5.50%, 20171		2,822		3,000
#625931, 5.50%, 20171		2,422		2,575
#254234, 5.50%, 20171		2,915		3,099
#357280, 6.50%, 20171		14,100		15,308
#555345, 5.50%, 20181		2,800		2,977
#685202, 5.50%, 20181		40,990		43,711
#725098, 5.50%, 20181		9,992		10,655
#725528, 5.50%, 20191		7,398		7,889
#789885, 5.50%, 20191		10,084		10,753
#745406, 6.00%, 20211		55,968		59,980
#981614, 5.00%, 20231		6,367		6,661
#650075, 6.50%, 20321		9,047		9,776
#545759, 6.50%, 20321		73,605		78,896
#254514, 5.50%, 20321		1,815		1,909
#254550, 6.50%, 20321		14,704		15,889
#974321, 6.00%, 20331		76,780		81,386
#555417, 6.00%, 20331		36,896		39,479
#254767, 5.50%, 20331		104,142		109,458
#747387, 5.50%, 20331		22,799		23,963
#744692, 5.50%, 20331		26,504		27,857
#750362, 5.50%, 20331		20,179		21,209
#744750, 5.50%, 20331		9,647		10,140
#747571, 5.50%, 20331		15,314		16,096
#747549, 5.50%, 20331		5,880		6,180
#254983, 5.50%, 20331		48,024		50,475
#756190, 5.50%, 20331		29,236		30,728
#762076, 5.50%, 20341		26,455		27,805
#255028, 5.50%, 20341		11,983		12,555
#763700, 5.00%, 20341		57,820		59,521
#725424, 5.50%, 20341		228,879		240,561
#789293, 5.50%, 20341		94,270		99,214
#790044, 6.00%, 20341		25,254		26,935
#790217, 6.00%, 20341		10,291		10,976
#725704, 6.00%, 20341		229,696		245,344
#923129, 5.50%, 20341		14,590		15,335
#791574, 6.00%, 20341		26,474		28,237
#790237, 6.00%, 20341		26,821		28,606
#790629, 6.00%, 20341		24,501		26,132

#790788, 6.00%, 20341	29,431	31,390
#796104, 5.50%, 20341	27,292	28,685
#725946, 5.50%, 20341	327,080	343,776
#255459, 6.00%, 20341	29,081	31,017
#804395, 5.50%, 20341	64,289	67,570
#808951, 6.00%, 20351	306,324	325,948
#735502, 6.00%, 20351	27,874	29,729
#889829, 5.00%, 20351	367,181	378,331
#745216, 3.08%, 20351,5	32,077	32,920
#888884, 5.50%, 20351	132,139	138,884
#850863, 5.30%, 20351,5	22,607	23,815
#848522, 5.63%, 20351,5	11,655	12,289
#845354, 5.50%, 20361	50,071	52,595
#745554, 6.50%, 20361	308,729	331,498
#868728, 6.50%, 20361	12,132	13,004
#888010, 5.99%, 20361,5	29,265	31,123
#900362, 6.00%, 20361	44,941	47,735
#896329, 6.50%, 20361	28,387	30,463
#893353, 6.00%, 20361	34,245	36,375
#745946, 5.50%, 20361	14,834	15,556
#905196, 6.03%, 20361,5	38,937	41,245
#1B3203, 5.98%, 20371,5	24,092	25,508
#938883, 5.00%, 20371	70,604	72,539
#938089, 5.00%, 20371	25,594	26,295
#889543, 5.50%, 20371	79,456	83,251
#972155, 6.00%, 20381	57,624	61,081
#983288, 6.00%, 20381	70,892	75,146
#964926, 6.00%, 20381	40,551	42,984
#257407, 6.00%, 20381	17,961	19,041
#AA7985, 4.50%, 20391	64,297	64,244
#AD0441, 6.00%, 20391	78,770	83,558
#AC4810, 4.50%, 20391	25,774	25,753
		5,896,375
		5,968,562
U.S. Government Sponsored
Securities—1.3%
Pass Through’s—1.3%
Government National Mortgage Association
#780766, 7.00%, 20131	73	73
#67365, 11.50%, 20131	927	995
#781312, 7.00%, 20131	8,534	9,081
G2 2102, 8.00%, 20251	712	813
G2 3295, 5.50%, 20321	7,608	8,027
#615278, 5.00%, 20331	67,692	70,143
#612919, 5.00%, 20331	29,568	30,639
#604639, 5.00%, 20331	50,940	52,785
G2 3442, 5.00%, 20331	120,943	125,249
G2 3458, 5.00%, 20331	34,053	35,246
G2 3490, 6.50%, 20331	6,012	6,448
G2 3513, 5.00%, 20341	42,460	43,917
G2 3517, 6.00%, 20341	21,841	23,276
G2 3529, 5.00%, 20341	9,977	10,320
G2 3530, 5.50%, 20341	17,071	17,975
#605561, 5.50%, 20341	36,673	38,663
G2 4495, 4.50%, 20391	130,406	130,480
G2 4558, 4.50%, 20391	302,839	303,011

The accompanying notes are an integral part of the financial statements

82

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

	Principal Amount			Value
MORTGAGE BACKED SECURITIES—10.8% (continued)
U.S. Government Sponsored
Securities—1.3% (continued)
Pass Through’s—1.3% (continued)
Government National Mortgage Association (continued)
G2 4598, 4.50%, 20391	$	115,000		$	115,066
					1,022,207
					1,022,207
TOTAL MORTGAGE BACKED SECURITIES (cost $8,401,422)				$	8,597,458
	Principal Amount			Value
ASSET BACKED SECURITIES—1.4%
Auto—0.5%
AmeriCredit Automobile Receivables Trust
2006-RM, 5.53%, 20141	$	280,000		$	287,418
Triad Auto Receivables Owner Trust
2006-B, 5.52%, 20121		100,000			102,681
USAA Auto Owner Trust
2008-1, 4.16%, 20121		32,867			33,379
				$	423,478
Credit Cards—0.5%
Capital One Multi-Asset Execution Trust
2007-C3, 0.52%, 20131,5		70,000			69,276
2005-A7, 4.70%, 20151		70,000			73,956
GE Capital Credit Card Master Note Trust
2007-3, 0.53%, 20131,5		90,000			88,279
2009-2, 3.69%, 20151		114,000			116,442
MBNA Credit Card Master Note Trust
2006-C3, 0.52%, 20131,5		35,000			33,257
					381,210
Home Equity Loans—0.0%
Chase Funding Mortgage Loan Asset-Backed Certificates
2002-2, 5.60%, 20311		5,846			2,561
Other—0.3%
CNH Equipment Trust
2007-A, 5.09%, 20141		50,000			50,859
CNH Wholesale Master Note Trust
2009-1A, 1.93%, 20151,2,5,6,7		100,000			99,875
Greenwich Capital Commercial Funding Corporation
2007-GG9, 5.44%, 20391		50,000			44,177
Marriott Vacation Club Owner Trust
2006-1A, 5.74%, 20281,2,6,7		46,056			45,261
2006-2A, 5.36%, 20281,2,6,7		14,522			14,249
					254,421
Student Loans—0.1%
SLM Student Loan Trust
2008-4, 1.33%, 20121,5		60,000			60,785
TOTAL ASSET BACKED SECURITIES (cost $l,114,793)				$	1,122,455
	Principal Amount			Value
U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES—0.0%
Federal Home Loan Bank
5.60%, 6/28/20111	$	10,000		$	10,661
TOTAL U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES (cost $10,001)				$	10,661
	Principal Amount			Value
U.S. GOVERNMENT SECURITIES—5.7%
U.S. Treasury Bonds
4.75%, 2/15/2037	$	250,000		$	255,469
U.S. Treasury Inflation Indexed Bonds
0.88%, 4/15/2010		228,114			228,880
U.S. Treasury Note
2.38%, 8/31/2010		735,000			744,733
1.75%, 8/15/2012		1,405,000			1,414,110
3.13%, 9/30/2013		330,000			342,968
2.25%, 5/31/2014		915,000			908,781
2.63%, 7/31/2014		480,000			482,400
2.63%, 4/30/2016		40,000			38,759
4.00%, 8/15/2018		95,000			97,026
TOTAL U.S. GOVERNMENT SECURITIES (cost $4,523,816)				$	4,513,126
	Principal Amount			Value
SHORT TERM INVESTMENTS—3.0%
State Street GA Money Market Fund1	$	496,653		$	496,653
T. Rowe Price Reserve Investment Fund1		1,866,559			1,866,559
TOTAL SHORT TERM INVESTMENTS (cost $2,363,212)				$	2,363,212
Total Investments—99.2% 4 (cost $74,839,178)				$	78,764,405
Cash & Other Assets, Less Liabilities—0.8%					667,204
Total Net Assets—100.0%				$	79,431,609
INVESTMENT CONCENTRATION
At December 31, 2009, the investment diversification of the Series was as follows:
Country	% of Net Assets			Value
United States		81.1	%	$	64,482,409
United Kingdom		3.1			2,469,433
Japan		2.7			2,052,638
France		1.9			1,412,442
Switzerland		1.2			995,295
Canada		1.2			944,090
Australia		1.2			923,839
Germany		1.0			787,418
Netherlands		0.7			608,465
Spain		0.6			488,322
Sweden		0.5			395,823
Ireland		0.5			377,964
Bermuda		0.5			372,347
Italy		0.4			353,948
Singapore		0.3			242,203
Norway		0.3			236,317

The accompanying notes are an integral part of the financial statements

83

Schedule of Investments	Series N
December 31, 2009	(Managed Asset Allocation Series)

INVESTMENT CONCENTRATION (continued)

Country	% of Net Assets		Value
Cayman Islands	0.2	%	$	220,915
Mexico	0.3			214,828
Luxembourg	0.2			148,572
Hong Kong	0.2			145,361
Brazil	0.2			135,856
Denmark	0.1			105,750
Republic of Korea	0.1			90,751
Finland	0.1			88,021
China	0.1			85,443
Chile	0.1			77,054
South Africa	0.1			71,175
Taiwan, Province of China	0.1			56,672
Belgium	0.1			51,174
Panama	0.1			45,619
Austria	0.0			34,106
Greece	0.0			28,225
Virgin Islands (UK)	0.0			17,184
Puerto Rico	0.0			4,746
Total Investments	99.2		$	78,764,405

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $76,738,965.

ADR  American Depositary Receipt

plc      Public Limited Company

* Non-income producing security

¹ Value determined based on Level 2 inputs.

² Security is deemed illiquid. The total market value of illiquid securities is $1,180,971 (cost $1,188,768), or 1.5% of total net assets.

³ Security was subject to the fair value trigger at December 31, 2009. The total market value of fair valued securities amounts to $9,581,955 (cost $9,134,560), or 12.1% of total net assets.

⁴ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

⁵ Variable rate security. Rate indicated is rate effective at December 31, 2009.

⁶ Security was acquired through a private placement.

⁷ Security is a 144A or Section 4(2) security. The total market value of 144A or Section 4(2) securities is $2,303,093 (cost $2,237,043), or 2.9% of total net assets.

⁸ Security is in default of interest and/or principal obligations.

⁹ Security is an interest-only strip. Rate indicated is effective yield at December 31, 2009.

The accompanying notes are an integral part of the financial statements

84

Series N

(Managed Asset Allocation Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	78,764,405
Cash		329
Cash denominated in a foreign currency, at value**		482
Receivables:
Fund shares sold		81,201
Securities sold		678,604
Interest		254,430
Dividends		62,459
Foreign taxes recoverable		16,269
Prepaid expenses		1,637
Total assets		79,859,816
Liabilities:
Payable for:
Fund shares redeemed		46,783
Securities purchased		194,115
Management fees		67,468
Administration fees		52,120
Transfer agent/maintenance fees		2,083
Custodian fees		27,512
Directors’ fees		1,074
Professional fees		25,321
Other fees		11,731
Total liabilities		428,207
Net assets	$	79,431,609
Net assets consist of:
Paid in capital	$	87,883,239
Undistributed net investment income		976,274
Accumulated net realized loss on sale of investments		(13,352,050	)
Net unrealized appreciation in value of investments		3,924,146
Net assets	$	79,431,609
Capital shares authorized		unlimited
Capital shares outstanding		4,415,377
Net asset value per share (net assets divided by shares outstanding)	$	17.99
* investments, at cost	$	74,839,178
** Cash denominated in a foreign currency, at cost		464

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends (net of foreign withholding tax $41,226)	$	1,211,191
Interest		1,299,269
Total investment income		2,510,460
Expenses:
Management fees		743,569
Administration fees		277,883
Transfer agent/maintenance fees		25,291
Custodian fees		127,134
Directors’ fees		8,272
Professional fees		33,246
Reports to shareholders		12,141
Other		8,532
Total expenses		1,236,068
Net investment income		1,274,392
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(6,684,465	)
Foreign currency transactions		(10,731	)
Net realized loss		(6,695,196	)
Net unrealized appreciation (depreciation) during the year on:
Investments		22,081,939
Translation of assets and liabilities in foreign currencies		529
Net unrealized appreciation		22,082,468
Net realized and unrealized gain		15,387,272
Net increase in net assets resulting from operations	$	16,661,664

The accompanying notes are an integral part of the financial statements

85

	Series N
Statement of Changes in Net Assets	(Managed Asset Allocation Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	1,274,392		$	1,937,569
Net realized loss during the year on investments		(6,695,196	)		(6,196,875	)
Net unrealized appreciation (depreciation) during the year on investments		22,082,468			(26,102,064	)
Net increase (decrease) in net assets resulting from operations		16,661,664			(30,361,370	)
Capital share transactions:
Proceeds from sale of shares		9,550,796			25,871,130
Cost of shares redeemed		(23,202,268	)		(36,511,309	)
Net decrease from capital share transactions		(13,651,472	)		(10,640,179	)
Net increase (decrease) in net assets		3,010,192			(41,001,549	)
Net assets:
Beginning of year		76,421,417			117,422,966
End of year	$	79,431,609		$	76,421,417
Undistributed net investment income at end of year	$	976,274		$	1,692,780
Capital share activity:
Shares sold		629,934			1,491,277
Shares redeemed		(1,553,545	)		(2,121,410	)
Total capital share activity		(923,611	)		(630,133	)

The accompanying notes are an integral part of the financial statements

86

Financial Highlights	Series N
Selected data for each share of capital stock outstanding throughout each year	(Managed Asset Allocation Series)

	2009			2008			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	14.31		$	19.67		$	18.55		$	16.55		$	15.86
Income (loss) from investment operations:
Net investment incomea		0.27			0.34			0.32			0.30			0.23
Net gain (loss) on securities (realized and unrealized)		3.41			(5.70	)		0.80			1.70			0.46
Total from investment operations		3.68			(5.36	)		1.12			2.00			0.69
Net asset value, end of period	$	17.99		$	14.31		$	19.67		$	18.55		$	16.55
Total Returnb		25.72	%		(27.25	)%		6.04	%		12.08	%		4.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	79,432		$	76,421		$	117,423		$	105,300		$	97,690
Ratios to average net assets:
Net investment income		1.71	%		1.94	%		1.63	%		1.63	%		1.44	%
Total expensesc		1.66	%		1.52	%		1.41	%		1.41	%		1.41	%
Net expensesd		1.66	%		1.52	%		1.41	%		1.40	%		1.41	%
Net expenses prior to custodian earnings credits and net of expense waivers		1.66	%		1.52	%		1.41	%		1.41	%		1.41	%
Portfolio turnover rate		46	%		82	%		75	%		63	%		67	%

^a Net investment income (loss) was computed using average shares outstanding throughout the period.

^b Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^c Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^d Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

The accompanying notes are an integral part of the financial statements

87

This page left blank intentionally.

88

Managers’ Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series O of the SBL Fund – All Cap Value Series returned 33.01%¹ during the period, besting the benchmark Russell 3000 Value Index’s return of 19.76°% and the Series’ peer group median return of 24.28%.

Our strategy is to buy companies, across the market capitalization spectrum, trading at a significant discount to their intrinsic value. Our investment approach is a defined and disciplined process with three clear philosophical tenants that drive our investment decisions: a valuation focus, a long-term perspective and an opportunistic approach.

Our investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and thus a valuation target for each idea. We construct the portfolios based on the level of conviction generated by this bottom-up analysis and the upside/downside profile associated with each company.

Industrials, Health Care, Energy Top Performers

The leading three sectors in the Series outperformed due to superior stock selection.

The Series’ industrials holdings, which were a double overweight position, gained 35% compared to the 15% return of the Index. McDermott International, Inc. and Power-One, Inc. soared 143% and 266% during the period. Union Pacific Corporation was another strong performer in the sector.

Holdings in the energy sector were an underweight position but outperformed the benchmark. Global Industries, Ltd. gained 104% while Haliburton Company and Chesapeake Energy Corporation gained 68% and 62%, respectively.

Another underweight sector in the Series was health care, but a return of 80% was significantly higher than the 23% of the Russell 3000 Value Index. Leading securities for the Series included Schering-Plough Corporation and Hospira, Inc.

Financials Disappoint

The only sector in the Series that significantly underperformed was financials. The sector held 16% of the portfolio, a material underweight to the 24% position for the Index. However, stock selection for the portfolio amounted to a loss of 4% during the period while financials in the benchmark gained 12%, a 16% advantage.

The largest drop in the portfolio was registered by Capital One Financial Corporation with a dropped of 71%. Other detractors were Wilmington Trust, down 44%, and W.R. Berkley Corporation, down 20%.

Market Outlook

Our bottom-up approach looks at market uncertainty in the context of the potential long-term impact on individual companies. We are maintaining flexibility in the portfolios to take advantage of these opportunities as they arise. Our focus is on identifying companies with the ability to be substantially better over the next three to five years or have the potential to maintain their return on capital at current levels in a difficult economic environment. We are confident in our ability to find these companies and we are pleased with the positions we own today.

We believe that investing is a long-term pursuit that requires patience and a consistent approach. We recognize there are many investment fund alternatives available today and thank you for your business and the confidence you place in us.

Sincerely,

James Schier, Portfolio Manager

Mark A. Mitchell, Portfolio Manager

¹ Fee waivers and/or reimbursements reduce Series expenses and in the absence of such waivers, the performance quoted would be reduced.

89

	Series O
Performance Summary	(All Cap Value Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series O (All Cap Value Series) on December 31, 1999, and reflects the fees and expenses of Series O. The Russell 3000 Index measures the performance of the broad value segment of the U.S equity universe. It includes those Russell 3000 companies with lower price-to-book ratios and lower forcasted growth values.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series O	33.01	%	0.75	%	3.95	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	9.79	%
Consumer Staples	8.44
Energy	12.89
Financials	16.25
Health Care	6.45
Industrials	22.83
Information Technology	12.34
Materials	3.43
Telecommunication Services	1.28
Utilities	6.58
Liabilities, Less Cash & Other Assets	(0.28	)
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

90

Schedule of Investments	Series O
December 31, 2009	(All Cap Value Series)

	Shares	Value
COMMON STOCKS—100.3%
Aerospace & Defense—3.6%
GeoEye, Inc. *	42,300	$	1,179,324
Orbital Sciences Corporation *	48,821		745,008
Precision Castparts Corporation	2,410		265,944
United Technologies Corporation	53,000		3,678,730
			5,869,006
Air Freight & Logistics—2.4%
FedEx Corporation	46,500		3,880,425
Apparel Retail—1.2%
Brown Shoe Company, Inc.	74,900		739,263
Chico’s FAS, Inc. *	70,000		983,500
Talbots, Inc.	25,209		224,612
			1,947,375
Apparel, Accessories & Luxury Goods—0.5%
Fossil, Inc. 1,*	4,100		137,596
Maidenform Brands, Inc. *	37,600		627,544
			765,140
Application Software—0.8%
Synopsys, Inc. *	57,600		1,283,328
Asset Management & Custody Banks—1.3%
Bank of New York Mellon Corporation	75,600		2,114,532
Biotechnology—0.0%
Combinatorx, Inc. *	74,696		61,998
Building Products—2.1%
Trex Company, Inc. *	34,800		682,080
USG Corporation *	192,200		2,700,410
			3,382,490
Coal & Consumable Fuels—0.2%
Evergreen Energy, Inc. *	189,894		65,134
USEC, Inc. *	63,070		242,819
			307,953
Communications Equipment—0.4%
Symmetricom, Inc. 2,*	129,300		672,360
Computer Hardware—1.9%
Hewlett-Packard Company	60,400		3,111,204
Construction & Engineering—1.8%
Insituform Technologies, Inc. *	47,900		1,088,288
Quanta Services, Inc. *	39,900		831,516
URS Corporation *	23,200		1,032,864
			2,952,668
Construction & Farm Machinery & Heavy Trucks—0.2%
Force Protection, Inc. *	77,600		404,296
Construction Materials—0.2%
Eagle Materials, Inc.	11,723		305,384
Consumer Finance—0.3%
First Marblehead Corporation *	251,005		534,641
Data Processing & Outsourced Services—5.6%
Affiliated Computer Services, Inc. *	16,700		996,823
Computer Sciences Corporation *	55,400		3,187,162
Western Union Company	254,100		4,789,785
			8,973,770
Department Stores—1.5%
JC Penney Company, Inc.	91,400		2,432,154
Diversified Banks—2.5%
U.S. Bancorp	62,639		1,410,004
Wells Fargo & Company	98,495		2,658,380
			4,068,384
Diversified Chemicals—1.4%
Dow Chemical Company	81,000		2,238,030
Drug Retail—1.3%
CVS Caremark Corporation	65,300		2,103,313
Electric Utilities—4.4%
Allete, Inc.	28,098		918,243
Edison International	112,700		3,919,705
Great Plains Energy, Inc.	47,192		915,053
Northeast Utilities	27,064		697,981
Westar Energy, Inc.	25,400		551,942
			7,002,924
Electrical Components & Equipment—1.0%
General Cable Corporation *	28,000		823,760
Power-One, Inc. *	172,800		751,680
			1,575,440
Electronic Manufacturing Services—2.5%
Maxwell Technologies, Inc. *	68,700		1,225,608
Tyco Electronics, Ltd.	115,600		2,837,980
			4,063,588
Environmental & Facilities Services—0.3%
Covanta Holding Corporation *	31,000		560,790
Forest Products—0.7%
Louisiana-Pacific Corporation *	164,000		1,144,720
Gas Utilities—0.5%
Atmos Energy Corporation	28,500		837,900
Health Care Equipment—3.7%
Covidien plc	49,500		2,370,555
Hologic, Inc. *	39,593		574,099
Hospira, Inc. *	60,000		3,060,000
			6,004,654
Health Care Services—1.6%
Amedisys, Inc. *	9,200		446,752
Medco Health Solutions, Inc. *	7,200		460,152
Mednax, Inc. *	17,500		1,052,100
RehabCare Group, Inc. *	18,370		558,999
			2,518,003
Highways & Railtracks—0.1%
Quixote Corporation	26,100		166,257

The accompanying notes are an integral part of the financial statements

91

Schedule of Investments	Series O
December 31, 2009	(All Cap Value Series)

	Shares	Value
COMMON STOCKS—100.3% (continued)
Home Furnishings—0.6%
Leggett & Platt, Inc.	51,200	$	1,044,480
Home Improvement Retail—2.7%
Lowe’s Companies, Inc.	188,000		4,397,320
Human Resources & Employment Services—0.4%
Administaff, Inc.	24,100		568,519
Hypermarkets & Super Centers—2.6%
Wal-Mart Stores, Inc.	79,000		4,222,550
Independent Power Producers & Energy Traders—0.8%
NRG Energy, Inc. *	53,800		1,270,218
Industrial Conglomerates—2.2%
McDermott International, Inc. *	145,800		3,500,658
Industrial Machinery—2.6%
Dover Corporation	30,100		1,252,461
Harsco Corporation	28,400		915,332
Parker Hannifin Corporation	37,642		2,028,151
			4,195,944
Insurance Brokers—1.1%
AON Corporation	42,000		1,610,280
Arthur J Gallagher & Company	7,700		173,327
			1,783,607
Integrated Oil & Gas—5.1%
Chevron Corporation	41,200		3,171,989
ConocoPhillips	45,900		2,344,113
Exxon Mobil Corporation	39,700		2,707,143
			8,223,245
Integrated Telecommunication Services—1.3%
Windstream Corporation	188,000		2,066,120
Internet Software & Services—0.1%
AOL, Inc. *	8,951		208,379
IT Consulting & Other Services—0.2%
Satyam Computer Services, Ltd. ADR	74,036		341,306
Managed Health Care—0.8%
Aetna, Inc.	39,900		1,264,830
Movies & Entertainment—1.8%
Time Warner, Inc.	98,466		2,869,299
Multi-Line Insurance—0.7%
American Financial Group, Inc. 1	47,800		1,192,610
Multi-Utilities—0.9%
Alliant Energy Corporation	31,400		950,164
Black Hills Corporation	22,000		585,860
			1,536,024
Office Services & Supplies—0.2%
United Stationers, Inc. *	4,895	$	278,281
Oil & Gas Equipment & Services—2.8%
Complete Production Services, Inc. *	16,200		210,600
Global Industries, Ltd. *	203,002		1,447,404
Halliburton Company	94,800		2,852,532
			4,510,536
Oil & Gas Exploration & Production—2.5%
Chesapeake Energy Corporation	85,700		2,217,916
Goodrich Petroleum Corporation *	16,026		390,233
Gulfport Energy Corporation *	31,900		365,255

Petrohawk Energy Corporation 1,*	47,800	1,146,722
		4,120,126
Oil & Gas Storage & Transportation—2.3%
Southern Union Company	50,900	1,155,430
Williams Companies, Inc.	121,300	2,557,004
		3,712,434
Other Diversified Financial Services—1.0%
JPMorgan Chase & Company	39,400	1,641,798
Packaged Foods & Meats—3.0%
Hormel Foods Corporation 1	42,100	1,618,745
JM Smucker Company	23,300	1,438,775
Ralcorp Holdings, Inc. *	6,300	376,173
TreeHouse Foods, Inc. *	37,000	1,437,820
		4,871,513
Paper Packaging—0.9%
Bemis Company, Inc.	21,400	634,510
Sonoco Products Company	29,900	874,575
		1,509,085
Pharmaceuticals—0.4%
Merck & Company, Inc.	16,493	602,654
Property & Casualty Insurance—6.5%
Alleghany Corporation *	3,570	985,320
Berkshire Hathaway, Inc. (CI.B) *	1,766	5,803,076
Employers Holdings, Inc.	33,000	506,220
Hanover Insurance Group, Inc.	37,700	1,675,011
W.R. Berkley Corporation	58,300	1,436,512
		10,406,139
Railroads—1.9%
Union Pacific Corporation	49,200	3,143,880
Regional Banks—2.9%
Associated Banc-Corporation	46,270	509,433
BB&T Corporation	62,400	1,583,088
Fifth Third Bancorp	50,000	487,500
Old National Bancorp	19,545	242,944
Regions Financial Corporation	331,500	1,753,635
		4,576,600
Research & Consulting Services—3.6%
Equifax, Inc.	153,600	4,744,703
ICF International, Inc. *	11,100	297,480

The accompanying notes are an integral part of the financial statements

92

Schedule of Investments	Series O
December 31, 2009	(All Cap Value Series)

	Shares	Value
COMMON STOCKS—100.3% (continued)
Research & Consulting Services—3.6% (continued)
Navigant Consulting, Inc. *	58,500	$	869,310
			5,911,493
Restaurants—0.8%
Burger King Holdings, Inc.	46,466		874,490
Jack in the Box, Inc. *	20,000		393,400
			1,267,890
Semiconductors—0.8%
IXYS Corporation 2	177,900		1,320,018
Specialty Chemicals—0.2%
HB Fuller Company	2,588		58,877
Zoltek Companies, Inc. *	30,900		293,550
			352,427
Specialty Stores—0.7%
Cabela’s, Inc. *	79,237		1,129,920
Tobacco—1.5%
Philip Morris International, Inc.	51,300		2,472,147
Trucking—0.4%
Saia, Inc. *	39,000		577,980
TOTAL COMMON STOCKS (cost $170,821,820)		$	162,372,757
Total Investments—100.3% 3 (cost $170,821,820)		$	162,372,757
Liabilities, Less Cash & Other Assets—(0.3)%			(454,944	)
Total Net Assets—100.0%		$	161,917,813

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $170,845,470.

ADR American Depositary Receipt

plc Public Limited Company

* Non-income producing security

¹ Security is segregated as collateral for open written option contracts.

² Security is deemed illiquid. The total market value of illiquid securities is $1,992,378 (cost $2,784,387), or 1.2% of total net assets.

³ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

93

Series O

(All Cap Value Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	162,372,757
Cash		345,833
Receivables:
Fund shares sold		192,969
Securities sold		385,836
Dividends		234,986
Security Investors		3,615
Prepaid expenses		3,001
Total assets		163,538,997
Liabilities:
Payable for:
Fund shares redeemed		62,181
Securities purchased		1,207,018
Written options, at value (premiums received $144,915)		177,195
Management fees		95,518
Administration fees		13,113
Transfer agent/maintenance fees		2,083
Custodian fees		769
Directors’ fees		6,240
Professional fees		32,000
Other fees		25,067
Total liabilities		1,621,184
Net assets	$	161,917,813
Net assets consist of:
Paid in capital	$	199,564,813
Undistributed net investment income		1,474,436
Accumulated net realized loss on sale of investments		(30,640,093)
Net unrealized depreciation in value of investments		(8,481,343	)
Net assets	$	161,917,813
Capital shares authorized		unlimited
Capital shares outstanding		8,461,513
Net asset value per share (net assets divided by shares outstanding)	$	19.14
*Investments, at cost	$	170,821,820

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	2,727,689
Interest		2,237
Total investment income		2,729,926
Expenses:
Management fees		1,033,934
Administration fees		140,772
Transfer agent/maintenance fees		25,304
Custodian fees		3,653
Directors’ fees		17,653
Professional fees		33,652
Reports to shareholders		24,775
Other		12,736
Total expenses		1,292,479
Reimbursement of expenses		(36,989	)
Net expenses		1,255,490
Net investment income		1,474,436
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(12,511,431	)
Options written		288,764
Net realized loss		(12,222,667	)
Net unrealized appreciation (depreciation) during the year on:
Investments		51,539,250
Options written		(77,500	)
Net unrealized appreciation		51,461,750
Net realized and unrealized gain		39,239,083
Net increase in net assets resulting from operations	$	40,713,519

The accompanying notes are an integral part of the financial statements

94

	Series O
Statement of Changes in Net Assets	(All Cap Value Series)

	Year Ended December 31,2009			Year Ended December 31,2008
Increase (decrease) in net assets from operations:
Net investment income	$	1,474,436		$	4,095,123
Net realized loss during the year on investments		(12,222,667	)		(17,206,865	)
Net unrealized appreciation (depreciation) during the year on investments		51,461,750			(94,226,726	)
Net increase (decrease) in net assets resulting from operations		40,713,519			(107,338,468	)
Capital share transactions:
Proceeds from sale of shares		18,436,280			128,467,594
Cost of shares redeemed		(53,865,932	)		(152,728,104	)
Net decrease from capital share transactions		(35,429,652	)		(24,260,510	)
Net increase (decrease) in net assets		5,283,867			(131,598,978	)
Net assets:
Beginning of year		156,633,946			288,232,924
End of year	$	161,917,813		$	156,633,946
Undistributed net investment income at end of year	$	1,474,436		$	4,037,889
Capital share activity:
Shares sold		1,210,470			6,181,412
Shares redeemed		(3,632,455	)		(7,629,934	)
Total capital share activity		(2,421,985	)		(1,448,522	)

The accompanying notes are an integral part of the financial statements

95

Financial Highlights	Series O
Selected data for each share of capital stock outstanding throughout each year	(All Cap Value Series)

	2009			2008a,b			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	14.39		$	23.37		$	22.73		$	19.13		$	18.44
Income (loss) from investment operations:
Net investment incomec		0.16			0.34			0.34			0.31			0.23
Net gain (loss) on securities (realized and unrealized)		4.59			(9.32	)		0.30			3.29			0.46
Total from investment operations		4.75			(8.98	)		0.64			3.60			0.69
Net asset value, end of period	$	19.14		$	14.39		$	23.37		$	22.73		$	19.13
Total Returnd		33.01	%		(38.43	)%		2.82	%		18.82	%		3.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	161,918		$	156,634		$	288,233		$	295,049		$	259,728
Ratios to average net assets:
Net investment income		1.00	%		1.72	%		1.42	%		1.41	%		1.29	%
Total expenses e		0.87	%		1.09	%		1.14	%		1.15	%		1.15	%
Net expensesf		0.85	%		1.07	%		1.14	%		1.15	%		1.15	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.85	%		1.07	%		1.14	%		1.15	%		1.15	%
Portfolio turnover rate		19	%		124	%g		25	%		18	%		20	%

^a Security Global Investors, LLC (SGI) became the advisor of Series 0 effective August 15, 2008. Prior to August 15, 2008, SGI paid T. Rowe Price for sub-advisory services.

^b Effective August 15, 2008 the Series name became All Cap Value Series. Prior to August 15, 2008 the Series was known as the Equity Income Series.

^c Net investment income (loss) was computed using average shares outstanding throughout the period.

^d Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^e Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^f Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

^g Significant variation in the portfolio turnover rate is due to Investment Manager’s appointment of new portfolio manager for the Series.

The accompanying notes are an integral part of the financial statements

96

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series P of the SBL Fund – High Yield Series recorded a gain of 73.52% for the year ended December 31, 2009, outperforming the 58.2l% performance of its benchmark, the Barclays Capital U.S. High Yield Bond Index by more than 1,500 basis points. The Series outpaced its peer group median return of 46.08% by an even greater amount.

The High Yield Series will primarily invest in a diversified portfolio consisting of a broad range of high yield, high-risk debt securities rated below the top four long-term credit rating categories and maintain a dollar-weighted average duration of 3 to 15 years.

The Series’ investment approach uses a bottom-up process in selecting high yield securities. We emphasize rigorous credit analysis and relative value in selecting securities. Credit analysis includes assessing factors such as an issuer’s management experience, its debt service coverage or ability to make interest payments on its debt, cash flow, and general economic and market factors. Relative value analysis compares the credit risk and yield of a security to that of other securities. We search for securities that appear to be inexpensive relative to comparable securities and securities that have the potential for an upgrade of their credit rating. A rating upgrade would typically increase the value of the security.

High Yield Market Review

The high yield asset class had a record year, gaining 58% compared to a 26% increase for the S&P 500 Index and -4% for U.S. treasuries. Still, high yield has the potential to outperform other asset classes again in 2010 if the economy continues to improve. Default rates peaked around 10% in late 2009 and expectations are that rates could decline to around 4% in 2010, about its long-term historical average. On the other hand, unemployment may remain stubbornly high hampering the consumer and holding back an economic recovery. An additional concern is the large budget deficits in states such as California and Illinois. At best, the imbalances will be a headwind for the markets while the effect of any state or municipal defaults could be significant. New issuance continues to help struggling companies reissue debt, thereby decreasing the default rate and lowering expectations of future defaults. The sudden collapse of market liquidity caused by the Lehman bankruptcy and the subsequent widening of credit spreads was so severe that many investors recognized the value in high yield securities. The response was massive inflows to high yield mutual funds, amounting to $5 billion in the first quarter alone, causing the market to stablize and spreads to begin to moderately tighten. Cash flows into the high-yield market were on a torrid pace throughout the year with September marking the tenth consecutive month of inflows of $1 billion.

Market Outlook

While keeping a long-term perspective, we will remain slightly aggressive given the current liquidity and momentum in the market and the economic recovery. We continue to stay fully invested as we’ve pared back on holdings that have produced solid gains. We feel that our security selection process provides the portfolio with higher quality issues with good underlying asset value, which should provide downside protection. We will be looking for whether firms are able to increase revenue rather than simply reduce costs, and whether unemployment figures will begin to show the return of jobs. We will also continue to watch the high-yield mutual fund flows closely to determine whether we should add or reduce our risk exposure. However, we will be prepared to reduce risk in the portfolio if the economy, unemployment, and earnings fail to continue to recover as the market is expecting.

We appreciate your business and thank you for being an investor in the Series.

Sincerely,

David Toussaint, Portfolio Manager

97

	Series P
Performance Summary	(High Yield Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series P (High Yield Series) on December 31, 1999 and reflects the fees and expenses of Series P. The Barclays Capital U.S. Corporate High Yield Bond Index is an unmanaged index that tracks below investment grade bonds.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series P	73.52	%	7.34	%	7.17	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Comparison by Quality Ratings

(Based on Standard & Poor’s Ratings)

AA	0.83	%
A	0.64
BBB	7.86
BB	18.15
B	35.77
CCC	24.11
CC	1.56
C	0.44
D	2.39
NR	5.05
Common Stocks	0.18
Preferred Stocks	0.27
Cash & Other Assets, Less Liabilities	2.75
Total Net Assets	100.00	°%

The accompanying notes are an integral part of the financial statements

98

Schedule of Investments	Series P
December 31, 2009	(High Yield Series)

	Shares		Value
COMMON STOCKS—0.3%
Air Freight & Logistics—0.0%
Atlas Air Worldwide Holdings, Inc.*		57	$	2,122
Airlines—0.0%
Delta Air Lines, Inc.*		2,225		25,320
Broadcasting—0.0%
Adelphia Recovery Trust1,*		5,270		264
Cable & Satellite—0.0%
Time Warner Cable, Inc.		101		4,180
Electronic Manufacturing Services—0.0%
Viasystems Group, Inc.2,3,*		1,207		3,621
Health Care Equipment—0.0%
MEDIQ, Inc.4,*		92		1
Mortgage REIT’s—0.0%
Bimini Capital Management, Inc.4		30,450		7,308
Oil & Gas Equipment & Services—0.1%
SemGroup Corporation2,3*		4,398		96,756
Specialized Finance—0.2%
CIT Group, Inc.*		7,613		210,195
TOTAL COMMON STOCKS (cost $828,173)			$	349,767
	Shares		Value
PREFERRED STOCKS—0.3%
Department Stores—0.2%
Sears Holdings Corporation
7.00%, 7/15/2042*		6,510	$	73,238
7.40%, 2/1/2043*		18,320		234,725
				307,963
Thrifts & Mortgage Finance—0.1%
Federal Home Loan Mortgage Corporation
8.38%, 12/31/2012*		28,000		29,400
Federal National Mortgage Association
8.25%, 12/31/2010*		28,000		30,800
4.38%, 5/13/2011		7,000		12,460
				72,660
TOTAL PREFERRED STOCK (cost $2,345,479)			$	380,623
	Shares		Value
WARRANTS—0.0%
SemGroup2,3		4,630		23,150
TOTAL WARRANTS (cost $23,150)			$	23,150
	Principal Amount		Value
CONVERTIBLE BONDS—4.6%
Automobiles—0.6%
Sonic Automotive, Inc.
5.00%, 20291	$	800,000	$	864,000
Brokerage—0.9%
E*Trade Financial Corporation
0.00%, 20191		750,000		1,264,688
Financial Services—0.8%
Forest City Enterprises, Inc.
5.00%, 20161,5		1,000,000		1,087,500
Health Care Services—1.8%
Hologic, Inc.
2.00%, 20371,6		2,450,000		2,091,687
Invacare Corporation
4.13%, 20271		350,000		400,312
				2,491,999
Metals & Minerals—0.5%
USEC, Inc.
3.00%, 20141		1,100,000		715,000
TOTAL CONVERTIBLE BONDS (cost $5,783,589)			$	6,423,187
	Principal Amount		Value
CORPORATE BONDS—89.7%
Aerospace & Defense—0.1%
Triumph Group, Inc.
8.00%, 20171,5		100,000		100,875
Airlines—3.3%
Continental Airlines, Inc.
8.31%, 20111		541,143		505,969
7.03%, 20111		1,661,662		1,578,579
7.34%, 20142,3		600,000		535,500
Delta Air Lines, Inc.
7.71%, 20111		530,000		522,050
7.78%, 20121		1,507,264		1,446,974
7.90%1,7		75,000		1,050
				4,590,122
Automotive—5.6%
Ford Motor Credit Company LLC
8.00%, 20141		1,600,000		1,642,860
8.00%, 20161		1,000,000		1,001,329
8.13%, 20201		400,000		393,080
General Motors Corporation
8.38%, 20331,7		1,150,000		310,500
Metaldyne Corporation
11.00%, 20122,3,4,7		1,000,000		—
Sonic Automotive, Inc.
8.63%, 20131		1,750,000		1,741,249
4.25%, 20151		800,000		778,000
Tenneco, Inc.
8.63%, 20141		800,000		807,000
TRW Automotive, Inc.
7.25%, 20141,5,8		1,250,000		1,212,500
				7,886,518
Banking—1.4%
FCB Capital Trust
8.05%, 20281		75,000		64,326

The accompanying notes are an integral part of the financial statements

99

Schedule of Investments	Series P
December 31, 2009	(High Yield Series)

	Principal Amount		Value
CORPORATE BONDS—89.7% (continued)
Banking—1.4% (continued)
Progress Capital Trust I
10.50%, 20271	$	700,000	$	733,475
Rabobank Capital Funding II
5.26%, 20491,5,8,9		1,400,000		1,148,001
				1,945,802
Brokerage—3.5%
E*Trade Financial Corporation
7.88%, 20151		2,150,000		2,002,188
Nuveen Investments, Inc.
5.00%, 20101		400,000		396,000
10.50%, 20151,5,8		2,800,000		2,541,000
				4,939,188
Chemicals—0.7%
Methanex Corporation
8.75%, 20121		5,000		5,188
PolyOne Corporation
6.52%, 20101		330,000		329,588
6.58%, 20111		625,000		621,874
				956,650
Construction Machinery—1.5%
RSC Equipment Rental, Inc.
9.50%, 20141		1,100,000		1,101,375
United Rentals North America, Inc.
6.50%, 20121		1,000,000		997,500
				2,098,875
Consumer Products—0.7%
Hanesbrands, Inc.
3.83%, 20141,8,9		150,000		141,938
8.00%, 20161		750,000		764,062
Icon Health & Fitness
11.25%, 20122,3		25,000		17,500
				923,500
Electric— 1.2%
AES Red Oak LLC
8.54%, 20191		1,662,438		1,658,282
East Coast Power LLC
7.07%, 20121		50,383		52,158
				1,710,440
Entertainment— 1.3%
Historic TW, Inc.
9.13%, 20131		30,000		34,810
Marquee Holdings, Inc.
12.00%, 20141		1,500,000		1,246,875
Speedway Motorsports, Inc.
6.75%, 20131		510,000		507,450
				1,789,135
Environmental—0.3%
Casella Waste Systems, Inc.
9.75%, 20131		400,000		395,000
Financial—Other—4.1%
American Real Estate Partners, LP
8.13%, 20121		2,185,000		2,228,700
7.13%, 20131		400,000		408,000
Harland Clarke Holdings Corporation
9.50%, 20151		1,500,000		1,393,125
6.00%, 20151,9		1,900,000		1,553,250
				5,583,075
Financial Companies—Noncaptive Consumer—1.7%
Nelnet, Inc.
7.40%, 20361,9		2,000,000		1,456,622
Residential Capital LLC
8.88%, 20151		1,300,000		910,000
				2,366,622
Financial Companies—Noncaptive Diversified—3.0%
CIT Group, Inc.
7.00%, 20131		88,448		82,478
7.00%, 20141		132,672		123,219
7.00%, 20151		132,672		118,741
7.00%, 20161		221,119		194,585
7.00%, 20171		309,567		268,549
General Motors Acceptance Corporation
6.75%, 20141		650,000		617,401
8.00%, 20311		1,600,000		1,439,557
International Lease Finance Corporation
5.65%, 20141		1,850,000		1,398,154
				4,242,684
Food & Beverage—1.5%
Bumble Bee Foods LLC
7.75%, 20151,5		200,000		200,500
Constellation Brands, Inc.
7.25%, 20171		1,000,000		1,013,750
Dole Food Company, Inc.
8.88%, 20111		405,000		408,038
Pinnacle Foods Finance LLC
9.25%, 20151,5		450,000		456,750
				2,079,038
Gaming—6.2%
Boyd Gaming Corporation
7.13%, 20161		800,000		696,000
Galaxy Entertainment Finance Company, Ltd.
9.88%, 20121,5,8		2,475,000		2,474,999
Mandalay Resort Group
7.63%, 20131		1,000,000		760,000
MGM Mirage
8.50%, 20101		15,000		14,925
8.38%, 20111		55,000		52,113
6.75%, 20121		625,000		557,813
6.75%, 20131,8		250,000		215,625
7.63%, 20171		500,000		388,750
11.13%, 20171,5,8		300,000		332,250
Mohegan Tribal Gaming Authority
7.13%, 20141		1,750,000		1,192,188
Pinnacle Entertainment, Inc.
7.50%, 20151		1,980,000		1,821,599
Station Casinos, Inc.		925,000		139,906
6.00%, 20121,7
Turning Stone Resort Casino Enterprise
9.13%, 20141,5,8		150,000		146,625
				8,792,793
Health Care—4.3%
Apria Healthcare Group, Inc.
11.25%, 20141,5,8		600,000		658,500

The accompanying notes are an integral part of the financial statements

100

Schedule of Investments	Series P
December 31, 2009	(High Yield Series)

	Principal Amount		Value
CORPORATE BONDS—89.7% (continued)
Health Care—4.3% (continued)
HCA, Inc.
9.25%, 20161	$	1,750,000	$	1,879,063
Healthsouth Corporation
8.13%, 20201		900,000		886,500
InvaCare Corporation
9.75%, 20151,8		150,000		156,375
Psychiatric Solutions, Inc.
7.75%, 20151,5,8		500,000		471,250
US Oncology, Inc.
10.75%, 20141		675,000		708,750
9.13%, 20171		1,100,000		1,155,000
				5,915,438
Independent Energy—2.0%
Energy XXI Gulf Coast, Inc.
10.00%, 20131		2,000,000		1,850,000
Hilcorp Energy I, LP
7.75%, 20151,5,8		250,000		245,000
Plains Exploration & Production Company
7.00%, 20171		500,000		491,250
Range Resources Corporation
7.38%, 20131		75,000		76,313
Southwestern Energy Company
7.50%, 20181		150,000		159,000
				2,821,563
Industrial—Other—0.6%
Belden, Inc.
7.00%, 20171		300,000		292,125
Noble Group, Ltd.
6.63%, 20151,5,8		550,000		583,000
				875,125
Insurance—Property & Casualty—2.0%
Fairfax Financial Holdings, Ltd.
7.75%, 20121		1,575,000		1,626,187
HUB International Holdings, Inc.
10.25%, 20151,5,8		265,000		243,800
Nationwide Mutual Insurance Company
8.25%, 20311,5,8		900,000		865,624
USI Holdings Corporation
9.75%, 20151,5,8		100,000		91,125
				2,826,736
Media—Cable—0.1%
CSC Holdings, Inc.
6.75%, 20121		42,000		43,365
UPC Germany GmbH
8.13%, 20171,5		100,000		101,125
				144,490
Media—Non Cable—6.0%
Block Communications, Inc.
8.25%, 20151,5,8		1,125,000		1,092,655
Bonten Media Acquisition Company
9.00%, 20151,5,8		109,594		40,824
Clear Channel Communications, Inc.
10.75%, 20161		1,250,000		981,249
CMP Susquehanna Corporation
9.88%, 20141		1,200,000		24,000
Fisher Communications, Inc.
8.63%, 20141		250,000		239,688
GeoEye, Inc.
9.63%, 20151,5		900,000		925,875
Idearc, Inc.
8.00%, 20161,7		650,000		45,500
Inmarsat Finance plc
7.38%, 20171,5		100,000		102,250
Intelsat, Ltd.
7.63%, 20121		1,475,000		1,460,249
Morris Publishing Group LLC
7.00%, 20131,8		1,625,000		475,313
Radio One, Inc.
6.38%, 20131		650,000		476,938
Reader’s Digest Association, Inc.
9.00%, 20171,7		150,000		1,688
RH Donnelley Corporation
8.88%, 20161,7		650,000		60,938
8.88%, 20171,7		3,350,000		314,063
Satelites Mexicanos S.A. de CV
9.00%, 20111,9		2,454,175		2,230,231
				8,471,461
Metals & Mining—3.0%
Asia Aluminum Holdings, Ltd.
8.00%, 20111,5,7,8		2,800,000		437,500
Cloud Peak Energy Resources LLC
8.50%, 20191,5		500,000		510,000
FMG Finance Pty, Ltd.
10.63%, 20161,5,8		2,150,000		2,378,438
Griffin Coal Mining Company Pty, Ltd.
9.50%, 20161,5,7,8		1,400,000		827,750
				4,153,688
Natural Gas Pipelines—1.8%
El Paso Corporation
8.25%, 20161		250,000		266,875
Regency Energy Partners, LP
8.38%, 20131		2,155,000		2,230,425
				2,497,300
Oil Field Services—1.2%
Key Energy Services, Inc.
8.38%, 20141		1,250,000		1,253,125
Pemex Project Funding Master Trust
9.13%, 20101		10,000		10,550
Stallion Oilfield Services
9.75%, 20151,5,7,8		700,000		409,500
				1,673,175
Packaging—1.4%
Ball Corporation
6.88%, 20121		400,000		405,000
Solo Cup Company
8.50%, 20141		1,550,000		1,515,125
				1,920,125

The accompanying notes are an integral part of the financial statements

101

Schedule of Investments	Series P
December 31, 2009	(High Yield Series)

	Principal Amount		Value
CORPORATE BONDS—89.7% (continued)
Paper—1.8%
Sino-Forest Corporation
10.25%, 20141,5,8	$	2,275,000	$	2,479,750
Pharmaceuticals—1.6%
Catalent Pharma Solutions, Inc.
9.50%, 20151		2,470,438		2,229,570
Refining—2.5%
Frontier Oil Corporation
6.63%, 20111		300,000		301,875
Tesoro Corporation
6.50%, 20171		1,900,000		1,767,000
9.75%, 20191		200,000		207,000
United Refining Company
10.50%, 20121		850,000		801,125
VeraSun Energy Corporation
9.38%, 20172,3,7		224,803		11,240
Western Refining, Inc.
11.25%, 20171,5,8		500,000		452,500
				3,540,740
REIT’S—6.3%
Forest City Enterprises, Inc.
7.63%, 20151		1,750,000		1,566,250
HCP, Inc.
6.70%, 20181		1,120,000		1,086,550
Hospitality Properties Trust
6.70%, 20181		3,150,000		2,882,507
HRPT Properties Trust
0.85%, 20111,9		1,624,000		1,508,259
Rouse Company, LP
8.00%, 20251,7		1,550,000		1,610,063
				8,653,629
Restaurants—0.6%
Dave & Buster’s, Inc.
11.25%, 20141		800,000		830,000
Retailers—4.6%
Duane Reade, Inc.
9.75%, 20111		1,300,000		1,324,375
Harry & David Holdings, Inc.
9.00%, 20131		900,000		616,500
Neiman Marcus Group, Inc.
10.38%, 20151		1,750,000		1,715,000
Penske Auto Group, Inc.
7.75%, 20161		1,750,000		1,693,125
Saks, Inc.
9.88%, 20111		1,050,000		1,098,563
				6,447,563
Services—5.3%
KAR Holdings, Inc.
8.75%, 20141		2,300,000		2,371,874
Mobile Services Group, Inc.
9.75%, 20141		200,000		208,000
Travelport LLC
9.88%, 20141		1,150,000		1,187,375
11.88%, 20161		650,000		689,000
West Corporation
9.50%, 20141		1,050,000		1,065,750
11.00%, 20161		1,750,000		1,828,750
				7,350,749
Technology—3.2%
Amkor Technology, Inc.
9.25%, 20161		2,025,000		2,151,563
Anixter International, Inc.
5.95%, 20151		250,000		234,375
Seagate Technology HDD Holdings
6.80%, 20161		1,400,000		1,354,500
SunGard Data Systems, Inc.
10.63%, 20151		600,000		660,750
				4,401,188
Telecommunications—Wireless—4.3%
Clearwire Communications LLC
12.00%, 20151,5		500,000		507,500
iPCS, Inc.
4.28%, 20141,9		1,997,986		1,698,288
MetroPCS Wireless, Inc.
9.25%, 20141		675,000		683,438
SBA Telecommunications, Inc.
8.00%, 20161,5,8		400,000		418,000
Sprint Capital Corporation
6.90%, 20191		2,850,000		2,622,000
				5,929,226
Telecommunications—Wirelines—0.1%
Qwest Corporation
7.88%, 20111		150,000		157,125
Textile—0.8%
Phillips-Van Heusen Corporation
8.13%, 20131		1,050,000		1,071,000
Transportation Services—0.1%
US Shipping Partners, LP
13.00%, 20 142,3,7		625,000		93,750
TOTAL CORPORATE BOND (cost $119,179,485)			$	124,883,708
	Principal Amount		Value
SENIOR FLOATING RATE INTERESTS—2.0%
Business Equipment & Services—2.0%
First Data Corporation, Initial Bl Term Loan
3.00%, 20141,9,10		160,100		141,822
2.98%, 20141,9,10		1,892,650		1,676,571
VNU, Term Loan
2.23%, 20131,9,10		1,045,829		976,543
				2,794,936
TOTAL SENIOR FLOATING RATE INTERESTS (cost $3,035,667)			$	2,794,936
	Principal Amount		Value
FOREIGN BOND—0.1%
Tunisia—0.1%
Banque Centrale de Tunisie
7.38%, 20121	$	80,000	$	86,600

The accompanying notes are an integral part of the financial statements

102

Schedule of Investments	Series P
December 31, 2009	(High Yield Series)

	Principal Amount		Value
FOREIGN BOND—0.1% (continued)
TOTAL FOREIGN BOND (cost $79,611)			$	86,600
	Principal Amount		Value
FOREIGN GOVERNMENT BONDS—0.3%
Chile—0.0%
Chile Government International Bond
7.13%, 20121	$	25,000	$	27,845
Mexico—0.2%
Mexico Government International Bond
8.38%, 20111		85,000		91,486
7.50%, 20121		116,000		128,469
				219,955
Russia—0.1%
Russia Government International Bond
8.25%, 20101,5,8		4,057		4,139
Russian Ministry of Finance
3.00%, 20111		80,000		80,104
				84,243
South Africa—0.0%
South Africa Government International Bond
7.38%, 20121		35,000		38,413
TOTAL FOREIGN GOVERNMENT B0ND (cost $337,698)			$	370,456
Total Investments—97.3%11 (cost $131,612,852)			$	135,312,427
Cash & Other Assets, Less Liabilities—2.7%				3,819,812
Total Net Assets—100.0%			$	139,132,239

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $129,623,461.

plc Public Limited Company

* Non-income producing security

¹ Value determined based on Level 2 inputs.

² Value determined based on Level 3 inputs.

³ Security was fair valued by the Valuation Committee at December 31, 2009. The total market value of fair valued securities amounts to $781,517 (cost $2,480,344) or 0.6% of total net assets.

⁴ Security is deemed illiquid. The total market value of illiquid securities is $7,309 (cost $l,491,332), or 0.0% of total net assets.

⁵ Security was acquired through a private placement.

⁶ Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.

⁷ Security is in default of interest and/or principal obligations.

⁸ Security is a 144A or Section 4(2) security. The total market value of 144A or Section 4(2) securities is $20,543,981 (cost $21,840,229), or 14.8% of total net assets.

⁹ Variable rate security. Rate indicated is rate effective at December 31, 2009.

¹⁰ Security is a senior floating rate interest. See Notes to Financial Statements for additional information.

¹¹ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

103

Series P

(High Yield Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	135,312,427
Cash		1,823,842
Receivables:
Fund shares sold		48,652
Interest		2,131,760
Dividends		19,793
Prepaid expenses		3,048
Total assets		139,339,522
Liabilities:
Payable for:
Fund shares redeemed		75,834
Management fees		87,471
Administration fees		14,880
Transfer agent/maintenance fees		2,083
Custodian fees		126
Directors’ fees		1,607
Professional fees		17,275
Other fees		8,007
Total liabilities		207,283
Net assets	$	139,132,239
Net assets consist of:
Paid in capital	$	126,023,771
Undistributed net investment income		12,054,279
Accumulated net realized loss on sale of investments		(2,645,386	)
Net unrealized appreciation in value of investments		3,699,575
Net assets	$	139,132,239
Capital shares authorized		unlimited
Capital shares outstanding		5,997,533
Net asset value per share (net assets divided by shares outstanding)	$	23.20
* Investments, at cost	$	131,612,852

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	102,534
Interest		12,251,798
Total investment income		12,354,332
Expenses:
Management fees		828,232
Administration fees		121,099
Transfer agent/maintenance fees		25,225
Custodian fees		8,139
Directors’ fees		12,579
Professional fees		23,228
Reports to shareholders		10,363
Other		5,208
Total expenses		1,034,073
Net investment income		11,320,259
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(1,184,089	)
Net realized loss		(1,184,089	)
Net unrealized appreciation (depreciation) during the year on:
Investments		48,718,757
Net unrealized appreciation		48,718,757
Net realized and unrealized gain		47,534,668
Net increase in net assets resulting from operations	$	58,854,927

The accompanying notes are an integral part of the financial statements

104

	Series P
Statement of Changes in Net Assets	(High Yield Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	11,320,259		$	8,617,741
Net realized loss during the year on investments		(1,184,089	)		(475,444	)
Net unrealized appreciation (depreciation) during the year on investments		48,718,757			(39,644,244	)
Net increase (decrease) in net assets resulting from operations		58,854,927			(31,501,947	)
Capital share transactions:
Proceeds from sale of shares		63,655,395			102,209,457
Cost of shares redeemed		(66,597,004	)		(102,789,673	)
Net decrease from capital share transactions		(2,941,609	)		(580,216	)
Net increase (decrease) in net assets		55,913,318			(32,082,163	)
Net assets:
Beginning of year		83,218,921			115,301,084
End of year	$	139,132,239		$	83,218,921
Undistributed net investment income at end of year	$	12,054,279		$	9,103,520
Capital share activity:
Shares sold		3,753,671			5,951,233
Shares redeemed		(3,982,293	)		(5,738,109	)
Total capital share activity		(228,622	)		213,124

The accompanying notes are an integral part of the financial statements

105

Financial Highlights	Series P
Selected data for each share of capital stock outstanding throughout each year	(High Yield Series)

	2009			2008			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	13.37		$	19.18		$	18.79		$	16.90		$	16.28
Income (loss) from investment operations:
Net investment incomea		1.89			1.57			1.38			0.90			1.09
Net gain (loss) on securities (realized and unrealized)		7.94			(7.38	)		(0.99	)		0.99			(0.47	)
Total from investment operations		9.83			(5.81	)		0.39			1.89			0.62
Net asset value, end of period	$	23.20		$	13.37		$	19.18		$	18.79		$	16.90
Total Returnb		73.52	%		(30.29	)%		2.08	%		11.18	%		3.81	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	139,132		$	83,219		$	115,301		$	106,144		$	77,971
Ratios to average net assets:
Net investment income		10.24	%		9.02	%		7.19	%		7.24	%		7.13	%
Total expensesc		0.94	%		0.94	%		0.92	%		0.93	%		0.97	%
Net expensesd		0.94	%		0.94	%		0.92	%		0.93	%		0.97	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.94	%		0.94	%		0.92	%		0.93	%		0.97	%
Portfolio turnover rate		48	%		33	%		50	%		52	%		64	%

^a Net investment income (loss) was computed using average shares outstanding throughout the period,

^b Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^c Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^d Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

The accompanying notes are an integral part of the financial statements

106

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

For the year ended December 31, 2009, Series Q of the SBL Fund – Small Cap Value Series returned 55.93%, outperformed the Russell 2000 Value Index, which returned 20.58%, and the Series’ peer group median return of 29.40%.

Financials, Materials, and Industrials Top Performers

The Series outperformed its benchmark in nearly every sector category with the largest excess returns stemming from the financials, materials, and industrials sectors.

As a large underweight position, 9% against 35% for the Russell 2000 Value Index, in a poor performing sector, allocation to this sector made the biggest difference for the portfolio. Additionally, holdings in the portfolio gained 7% compared to a loss of 2% for the Index. Old National Bancorp increased 34% over the period while Hilltop Holdings, Inc. and Capstead Mortgage Corporation also contributed to returns.

The portfolio’s materials position was nearly a double weight relative to the Index, 11% to 6%. The Series benefited from superior stock selection as the portfolio gained 112% against a 61% gain in the benchmark. Clearwater Paper Corporation soared 445%, Louisiana-Pacific Corporation was up 240%, and Schweitzer-Mauduit International Corporation, Inc. gained 221% during the period.

An overweight position in the industrials sector actually hurt performance in the portfolio. However, good stock picking made up the difference as the Series’ holdings increased 43% versus a 13% gain in the Index. Best performing securities included Power-One, Inc., up 266%, and McDermott International, Inc., which gained 127%. Gevity HR was another contributing holding in the sector.

Utilities and Consumer Staples Disappoint

The only sectors that didn’t keep pace with the Index, utilities and consumer staples, fell short by a small margin, mostly due to allocation in the sectors rather than the securities held in the portfolio.

Still, there were several holdings that didn’t help performance in the utilities sector, which included NorthWestern Corporation, Empire District Electric Company, Allete Inc., and Westar Energy Corporation, Inc.

The same was true in the consumer staples sector for the portfolio. Holdings in Winn-Dixie Stores, Inc., Prestige Brands Holdings, Inc., and Smart Balance Inc. were a drag on returns.

The final sector that hurt the portfolio on a relative basis was telecommunication services as the manager doesn’t typically participate in the sector due its extremely low weight in the Index.

Market Outlook

The value equity team still finds it difficult to find compelling investment opportunities in today’s markets. Demand continues to be soft which will make it difficult for companies to increase earnings. In addition, earnings expectations in 2010 may be too high as it is not yet evident that consumers have changed their restrictive behavior and companies are reluctant to hire.

In such an environment, the team continues to focus on well-capitalized, high-quality companies with strong balance sheets. In the mid-capitalization space, we are finding select opportunities in insurance, government-oriented service companies, and FERC-regulated utilities while avoiding credit sensitive financial companies. The significant underweight in financials leads the portfolio to have an even or overweight position in every other sector.

We remain committed to our investment process that targets companies across a wide range of industries and sectors. We believe this broad approach will continue to allow us to identify attractive investments for future years. We thank you for your investment and your confidence in our team.

Sincerely,

James Schier, Portfolio Manager

107

	Series Q
Performance Summary	(Small Cap Value series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Since Inception

The chart above assumes a hypothetical $10,000 investment in Series Q (Small Cap Value Series) on May 1, 2000 (date of inception), and reflects the fees and expenses of Series Q. The Russell 2000 Index is a capitalization-weighted index that measures the performance of the 2000 smallest companies in the Russell 3000 Index, which represents approximately 10% of the total market capitalization of the Russell 3000 Index.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		Since Inception (5-1-00)
Series Q	55.93	%	6.52	%	12.19	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	12.24	%
Consumer Staples	8.25
Energy	11.59
Financials	12.44
Health Care	4.49
Industrials	23.38
Information Technology	10.33
Materials	9.69
Utilities	6.58
Cash & Other Assets, Less Liabilities	1.01
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

108

Schedule of Investments	Series Q
December 31, 2009	(Small Cap Value Series)

	Shares	Value
COMMON STOCKS—99.0%
Aerospace & Defense—5.4%
Ceradyne, Inc.*	28,000	$	537,880
DynCorp International, Inc.*	77,003		1,104,993
GeoEye, Inc.*	112,500		3,136,501
Orbital Sciences Corporation*	123,821		1,889,508
			6,668,882
Apparel Retail—4.0%
Brown Shoe Company, Inc.	148,800		1,468,656
Chico’s FAS, Inc.*	209,700		2,946,285
Talbots, Inc.	53,669		478,191
			4,893,132
Apparel, Accessories & Luxury Goods—2.4%
Fossil, Inc.1,*	20,400		684,624
Maidenform Brands, Inc.*	139,000		2,319,910
			3,004,534
Asset Management & Custody Banks—1.5%
Fifth Street Finance Corporation	177,000		1,900,980
Building Products—1.4%
Griffon Corporation*	27,860		340,449
Trex Company, Inc.*	71,400		1,399,440
			1,739,889
Coal & Consumable Fuels—0.6%
Evergreen Energy, Inc.*	418,626		143,589
USEC, Inc.*	148,930		573,380
			716,969
Communications Equipment—0.9%
Symmetricom, Inc.2,*	212,189		1,103,383
Computer & Electronics Retail—0.6%
Conn’s, Inc.*	138,700		810,008
Computer Hardware—1.0%
Silicon Graphics International Corporation*	180,416		1,264,716
Computer Storage & Peripherals—1.5%
Adaptec, Inc.*	564,000		1,889,400
Construction & Engineering—2.7%
Insituform Technologies, Inc.*	148,400		3,371,648
Construction & Farm Machinery & Heavy Trucks—1.3%
Force Protection, Inc.*	320,000		1,667,200
Construction Materials—0.4%
Eagle Materials, Inc.	16,998		442,798
Diversified Chemicals—0.6%
LSB Industries, Inc.*	52,743		743,676
Diversified REIT’s—0.9%
Investors Real Estate Trust	123,889		1,115,001
Electric Utilities—3.4%
Allete, Inc.	52,500		1,715,700
Empire District Electric Company	68,300		1,279,259
Westar Energy, Inc.	60,400		1,312,492
			4,307,451
Electrical Components & Equipment—4.0%
General Cable Corporation*	21,000		617,820
LaBarge, Inc.*	109,700		1,321,885
Power-One, Inc.*	574,975		2,501,141
UQM Technologies. Inc.*	57,560		394,286
			4,835,132
Electronic Manufacturing Services—3.1%
Maxwell Technologies, Inc.*	159,274		2,841,448
Methode Electronics, Inc.	121,626		1,055,714
			3,897,162
Food Retail—1.3%
Winn-Dixie Stores, Inc.*	168,400		1,690,736
Forest Products—2.5%
Louisiana-Pacific Corporation*	453,700		3,166,826
Gas Utilities—1.4%
Atmos Energy Corporation	59,400		1,746,360
Health Care Equipment—0.6%
Delcath Systems, Inc.*	140,000		719,600
Health Care Services—3.9%
Amedisys, Inc.*	22,200		1,078,032
Mednax, Inc.*	40,100		2,410,812
RehabCare Group, Inc.*	46,700		1,421,081
			4,909,925
Highways & Railtracks—0.6%
Quixote Corporation	117,200		746,564
Human Resources & Employment Services—0.9%
Administaff, Inc.	48,601		1,146,498
Industrial Conglomerates—0.4%
McDermott International, Inc.*	23,200		557,032
Industrial Machinery—1.0%
Flow International Corporation*	414,278		1,275,976
Industrial REIT’s—0.5%
First Potomac Realty Trust	51,000		641,070
Insurance Brokers—0.4%
Arthur J Gallagher & Company	22,800		513,228
IT Consulting & Other Services—2.5%
CACI International, Inc.*	48,200		2,354,570
Satyam Computer Services, Ltd. ADR	180,052		830,040
			3,184,610

The accompanying notes are an integral part of the financial statements

109

Schedule of Investments	Series Q
December 31, 2009	(Small Cap Value Series)

	Shares	Value
COMMON STOCKS—99.0% (continued)
Leisure Products—1.0%
Smith & Wesson Holding Corporation*	310,500	$	1,269,945
Metal & Glass Containers—1.0%
Myers Industries, Inc.	139,900		1,273,090
Mortgage REIT’s—0.3%
Redwood Trust, Inc.	29,100		420,786
Multi-Line Insurance—1.3%
Horace Mann Educators Corporation	128,600		1,607,500
Multi-Sector Holdings—0.8%
Pico Holdings, Inc.1,*	30,100		985,173
Multi-Utilities—1.8%
Northwestern Corporation	84,500		2,198,690
Office Services & Supplies—0.4%
United Stationers, Inc.*	9,591		545,248
Oil & Gas Drilling—0.7%
Vantage Drilling Company*	560,000		901,600
Oil & Gas Equipment & Services—4.3%
Global Industries, Ltd.*	251,000		1,789,630
Superior Well Services, Inc.*	64,500		919,770
Tesco Corporation*	203,900		2,632,349
			5,341,749
Oil & Gas Exploration & Production—3.2%
GMX Resources, Inc.*	72,100		990,654
Goodrich Petroleum Corporation*	70,826		1,724,613
Gulfport Energy Corporation*	60,700		695,015
Petrohawk Energy Corporation1,*	27,700		664,523
			4,074,805
Oil & Gas Storage & Transportation—2.8%
Southern Union Company	154,400		3,504,880
Packaged Foods & Meats—4.8%
Del Monte Foods Company	227,200		2,576,448
Smart Balance, Inc.*	218,600		1,311,600
TreeHouse Foods, Inc.*	54,500		2,117,870
			6,005,918
Paper Packaging—0.8%
Bemis Company, Inc.	33,600		996,240
Paper Products—1.5%
Clearwater Paper Corporation1,*	33,700		1,852,489
Personal Products—2.1%
Elizabeth Arden, Inc.*	183,600		2,651,184
Property & Casualty Insurance—3.4%
Employers Holdings, Inc.	76,000		1,165,840
Hanover Insurance Group, Inc.	69,800		3,101,214
			4,267,054
Regional Banks—3.3%
Associated Banc-Corporation	100,022		1,101,242
Bancfirst Corporation	13,600		503,744
Commerce Bancshares, Inc.1	9,975		386,232
Heritage Financial Corporation	46,800		644,904
Old National Bancorp	122,697		1,525,124
			4,161,246
Research & Consulting Services—3.8%
ICF International, Inc.*	85,700		2,296,760
Navigant Consulting, Inc.*	123,900		1,841,154
School Specialty, Inc.*	24,800		580,072
			4,717,986
Restaurants—2.2%
Burger King Holdings, Inc.	101,900		1,917,758
Jack in the Box, Inc.*	45,400		893,018
			2,810,776
Semiconductors—1.3%
IXYS Corporation2	219,179		1,626,308
Specialty Chemicals—2.9%
HB Fuller Company	5,508		125,307
Landec Corporation2,*	292,900		1,827,696
Zoltek Companies, Inc.*	182,100		1,729,950
			3,682,953
Specialty Stores—2.0%
Cabela’s, Inc.*	179,847		2,564,618
Trucking—1.6%
Saia, Inc.*	111,200		1,647,984
Universal Truckload Services, Inc.	23,011		416,499
			2,064,483
TOTAL COMMON STOCKS (cost $96,755,541)		$	124,195,107
Total Investments—99.0%3 (cost $96,755,541)		$	124,195,107
Cash & Other Assets, Less Liabilities—1.0%			1,264,816
Total Net Assets—100.0%		$	125,459,923

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $96,808,755.

ADR American Depositary Receipt

* Non-income producing security

¹ Security is segregated as collateral for open written option contracts.

² Security is deemed illiquid. The total market value of illiquid securities is $4,557,387 (cost $4,201,846), or 3.6% of total net assets.

³ Unless otherwise indicated, the values securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

110

Series Q

(Small Cap Value Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	124,195,107
Cash		1,346,981
Receivables:
Fund shares sold		290,847
Securities sold		10,035
Dividends		98,512
Prepaid expenses		2,474
Total assets		125,943,956
Liabilities:
Payable for:
Fund shares redeemed		80,604
Securities purchased		10,324
Written options, at value (premiums received $243,492)		247,820
Management fees		99,570
Administration fees		10,257
Transfer agent/maintenance fees		2,083
Custodian fees		1,193
Directors’ fees		1,653
Professional fees		14,029
Other fees		16,500
Total liabilities		484,033
Net assets	$	125,459,923
Net assets consist of:
Paid in capital	$	119,726,781
Accumulated net realized loss on sale of investments		(21,702,096	)
Net unrealized appreciation in value of investments		27,435,238
Net assets	$	125,459,923
Capital shares authorized		unlimited
Capital shares outstanding		4,546,316
Net asset value per share (net assets divided by shares outstanding)	$	27.60
* Investments, at cost	$	96,755,541

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends (net of foreign withholding tax $536)	$	1,115,658
Interest		556
Total investment income		1,116,214
Expenses:
Management fees		954,269
Administration fees		95,267
Transfer agent/maintenance fees		25,205
Custodian fees		13,080
Directors’ fees		11,297
Professional fees		17,589
Reports to shareholders		16,754
Other		6,547
Total expenses		1,140,008
Net investment loss		(23,794	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(21,330,743	)
Options written		248,403
Foreign currency transactions		(2,247	)
Net realized loss		(21,084,587	)
Net unrealized appreciation (depreciation) during the year on:
Investments		65,223,792
Options written		(4,328	)
Translation of assets and liabilities in foreign currencies		(24	)
Net unrealized appreciation		65,219,440
Net realized and unrealized gain		44,134,853
Net increase in net assets resulting from operations	$	44,111,059

The accompanying notes are an integral part of the financial statements

111

Statement of Changes in Net Assets	Series Q
	(Small Cap Value Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income (loss)	$	(23,794	)	$	321,708
Net realized gain (loss) during the year on investments		(21,084,587	)		2,997,085
Net unrealized appreciation (depreciation) during the year on investments		65,219,440			(64,564,682	)
Net increase (decrease) in net assets resulting from operations		44,111,059			(61,245,889	)
Capital share transactions:
Proceeds from sale of shares		39,411,373			51,961,281
Cost of shares redeemed		(44,006,948	)		(71,641,951	)
Net decrease from capital share transactions		(4,595,575	)		(19,680,670	)
Net increase (decrease) in net assets		39,515,484			(80,926,559	)
Net assets:
Beginning of year		85,944,439			166,870,998
End of year	$	125,459,923		$	85,944,439
Undistributed net investment income at end of year	$	—		$	319,962
Capital share activity:
Shares sold		1,768,681			2,137,129
Shares redeemed		(2,079,337	)		(3,071,142	)
Total capital share activity		(310,656	)		(934,013	)

The accompanying notes are an integral part of the financial statements

112

Financial Highlights	Series Q
Selected data for each share of capital stock outstanding throughout each year	(Small Cap Value Series	)

	2009a			2008			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	17.70		$	28.82		$	26.14		$	23.05		$	20.13
Income (loss) from investment operations:
Net investment income (loss)b		(0.01	)		0.06			(0.12	)		(0.09	)		(0.11	)
Net gain (loss) on securities (realized and unrealized)		9.91			(11.18	)		2.80			3.18			3.03
Total from investment operations		9.90			(11.12	)		2.68			3.09			2.92
Net asset value, end of period	$	27.60		$	17.70		$	28.82		$	26.14		$	23.05
Total Returnc		55.93	%		(38.58	%)		10.25	%		13.41	%		14.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	125,460		$	85,944		$	166,871		$	159,852		$	144,166
Ratios to average net assets:
Net investment income (loss)		(0.02	)%		0.24	%		(0.42	)%		(0.36	)%		(0.58	)%
Total expensesd		1.14	%		1.19	%		1.18	%		1.25	%		1.22	%
Net expensese		1.14	%		1.18	%		1.18	%		1.24	%		1.22	%
Net expenses prior to custodian earnings credits and net of expense waivers		1.14	%		1.19	%		1.18	%		1.25	%		1.22	%
Portfolio turnover rate		126	%f		25	%		42	%		46	%		37	%

^a Security Global Investors, LLC (SGI) became the advisor of Series Q effective February 9, 2009. Prior to February 9, 2009, SGI paid Wells Capital Management, Inc. for sub-advisory services.

^b Net investment income (loss) was computed using average shares outstanding throughout the period.

^c Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^d Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and custodian earnings credits, as applicable.

^e Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

^f Significant variation in the portfolio turnover rate is due to Investment Manager’s appointment of new portfolio manager for the Series.

The accompanying notes are an integral part of the financial statements

113

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series V of the SBL Fund – Mid Cap Value Series posted a gain of 43.93%, more than 1,600 basis points ahead of its benchmark and 1,000 basis points better than peer competition. The Series’ benchmark, the Russell 2500 Value Index increased 27.68%, while the Series’ peer group median return was 33.42%.

Our approach with the Mid Cap Value Series is to seek companies that can increase shareholders’ return on capital. We hold such companies over three to five years to capture long-term improvements in profitability.

The investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and thus a valuation target for each idea. We construct the portfolios based on the level of conviction generated by this bottom-up analysis and the upside/downside profile associated with each company.

Industrials, Health Care, Information Technology, and Energy Top Performers

The Series benefited from four exceptionally strong sectors during the calendar year 2009. Superior security selection was the leading factor in all cases although information technology and energy were also able to add to returns through overweight positions.

As an even weight position, stock picking in the industrials sector allowed the portfolio to gain 40% compared to 19% for the Index. Leaders included Power-One, Inc., which soared 266% and Gevity HR and McDermott International, Inc. which gained 165% and 143%, respectively.

Health care was another even weight against the benchmark that outperformed by 123% to 43%. Aspect Medical Systems was up 260% while Community Health Systems, Inc. and RehabCare Group, Inc. both increased by more than 100%. Another sector contributor was Menax, Inc., up 90% during the period.

The Series benefited from an overweight position and good stock selection in the information technology sector. RF Micro Devices, Inc. was up over 500% for the portfolio. Other strong performers included Maxwell Technologies, Inc. and Satyam Computer Services, Ltd.

Energy benefited the portfolio through a double weight position, 10% to 5% for the benchmark, and investing in top performing securities. Global Industries, Ltd. increased over 100%. Other leading holdings in the sector were Newfield Exploration Company, Helmerich & Payne, Inc., and Gulfport Energy Corporation.

Financials Disappoint

As usual, the financials sector was positioned as a large underweight to the Index, 14% to 31%. However, poor stock selection led to a 6% loss for the portfolio while the benchmark was up a position 5%. The largest detractors in the portfolio were W.R. Berkley Corporation, United America Indemnity Corporation, Ltd., which was down 63%, and Wilmington Trust Corporation, which lost 46%.

Market Outlook

We continue to pursue opportunities with a focus on bottom-up research rather than a macro forecast.

Our focus is on identifying companies with the ability to be substantially stronger over the next three to five years or have the potential to maintain their return on capital at current levels in a difficult economic environment. We ultimately look for companies that trade significantly below their intrinsic value. The portfolio continues to be overweight energy and information technology while being underweight financials.

On behalf of Security Global Investors, I would like to thank you for placing your trust and money with us. As always, we will continue to do our best to seek the potential available in small and mid capitalization companies.

Sincerely,

James P. Schier, Portfolio Manager

114

	Series V
Performance Summary	(Mid Cap Value Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series V (Mid Cap Value Series) on December 31, 1999 and reflects the fees and expenses of Series V. The Russell 2500 Value Index is an unmanaged index that measures the performance of securities of small-to-mid cap U.S. companies with greater-than-average value orientation.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series V	43.93	%	6.92	%	13.34	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	10.63	%
Consumer Staples	12.93
Financials	13.26
Health Care	4.59
Industrials	21.59
Information Technology	12.16
Materials	6.12
Utilities	13.19
Convertible Bonds	0.75
Cash & Other Assets, Less Liabilities	4.78
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

115

Schedule of Investments	Series V
December 31, 2009	(Mid Cap Value Series)

	Shares	Value
COMMON STOCKS—94.5%
Aerospace & Defense—3.5%
GeoEye, Inc.*	234,190	$	6,529,217
Orbital Sciences Corporation*	275,012		4,196,683
			10,725,900
Apparel Retail—3.7%
Brown Shoe Company, Inc.	294,226		2,904,011
Chico’s FAS, Inc.*	503,500		7,074,175
Talbots, Inc.	136,210		1,213,631
			11,191,817
Apparel, Accessories & Luxury Goods—1.5%
Fossil, Inc.	46,700		1,567,252
Maidenform Brands, Inc.*	180,000		3,004,200
			4,571,452
Application Software—0.4%
PLATO Learning, Inc.2,*	257,750		1,123,790
Asset Management & Custody Banks—0.5%
Fifth Street Finance Corporation	144,000		1,546,560
Auto Parts & Equipment—0.0%
HydroGen Corporation2,3,*	672,346		12,102
Biotechnology—0.1%
Combinatorx, Inc.*	207,744		172,428
Building Products—0.8%
Trex Company, Inc.*	118,900		2,330,440
Coal & Consumable Fuels—0.6%
Evergreen Energy, Inc.*	1,018,609		349,383
USEC, Inc.*	404,470		1,557,209
			1,906,592
Communications Equipment—1.0%
EF Johnson Technologies. Inc.*	284,000		315,240
Symmetricom, Inc.2,*	546,680		2,842,736
			3,157,976
Construction & Engineering—4.9%
Insituform Technologies, Inc.*	286,800		6,516,097
Quanta Services, Inc.*	219,300		4,570,212
URS Corporation*	84,820		3,776,186
			14,862,495
Construction & Farm Machinery & Heavy Trucks—0.7%
Force Protection, Inc.*	426,300		2,221,023
Construction Materials—0.3%
Eagle Materials, Inc.	37,259		970,597
Consumer Finance—0.1%
First Marblehead Corporation*	211,633		450,778
Data Processing & Outsourced Services—5.6%
Affiliated Computer Services, Inc.*	94,500		5,640,705
Computer Sciences Corporation*	195,000		11,218,350
			16,859,055
Diversified REIT’s—0.9%
Investors Real Estate Trust	309,000		2,781,000
Electric Utilities—6.4%
Allete, Inc.	115,751		3,782,743
Great Plains Energy, Inc.	264,305		5,124,874
Northeast Utilities	152,481		3,932,485
Pepco Holdings, Inc.	137,500		2,316,875
Westar Energy, Inc.	192,100		4,174,333
			19,331,310
Electrical Components & Equipment—2.8%
General Cable Corporation*	51,000		1,500,420
Power-One, Inc.*	1,411,200		6,138,720
UQM Technologies. Inc.*	147,266		1,008,772
			8,647,912
Electronic Manufacturing Services—2.4%
Maxwell Technologies, Inc.*	408,700		7,291,208
Environmental & Facilities Services—1.0%
Covanta Holding Corporation*	168,500		3,048,165
Forest Products—1.3%
Louisiana-Pacific Corporation*	573,100		4,000,238
Gas Utilities—1.8%
Atmos Energy Corporation	140,000		4,116,000
UGI Corporation	61,700		1,492,523
			5,608,523
Health Care Equipment—1.0%
Hologic, Inc.*	203,344		2,948,488
Health Care Services—3.5%
Amedisys, Inc.*	55,000		2,670,800
Mednax, Inc.*	95,000		5,711,399
RehabCare Group, Inc.*	80,930		2,462,700
			10,844,899
Highways & Railtracks—0.3%
Quixote Corporation	149,800		954,226
Home Furnishings—1.2%
Leggett & Platt, Inc.	185,500		3,784,200
Human Resources & Employment Services—0.9%
Administaff, Inc.	113,305		2,672,865
Industrial Conglomerates—2.1%
McDermott International, Inc.*	266,900		6,408,269
Industrial Machinery—1.0%
Harsco Corporation	89,700		2,891,031
Thermoenergy Corporation2,*	905,961		253,669
			3,144,700
Insurance Brokers—0.5%
Arthur J Gallagher & Company	64,100		1,442,891
IT Consulting & Other Services—0.7%
Satyam Computer Services, Ltd. ADR	449,994		2,074,472

The accompanying notes are an integral part of the financial statements

116

Schedule of Investments	Series V
December 31, 2009	(Mid Cap Value Series)

	Shares		Value
COMMON STOCKS—94.5% (continued)
Mortgage REIT’s—0.5%
Bimini Capital Management, Inc.2		699,155	$	167,797
Redwood Trust, Inc.1		94,571		1,367,497
				1,535,294
Multi-Line Insurance—1.5%
American Financial Group, Inc.1		177,900		4,438,605
Multi-Utilities—5.0%
Alliant Energy Corporation		167,100		5,056,446
Black Hills Corporation		120,000		3,195,600
Northwestern Corporation		167,000		4,345,340
SCANA Corporation		70,800		2,667,744
				15,265,130
Office Services & Supplies—0.5%
United Stationers, Inc.*		24,940		1,417,839
Oil & Gas Drilling—0.5%
Helmerich & Payne, Inc.		41,050		1,637,074
Oil & Gas Equipment & Services—2.9%
Complete Production Services, Inc.*		73,860		960,180
Global Industries, Ltd.*		1,094,249		7,801,996
				8,762,176
Oil & Gas Exploration & Production—2.2%
Goodrich Petroleum Corporation*		55,787		1,358,413
Gulfport Energy Corporation*		195,300		2,236,185
Petrohawk Energy Corporation1,*		130,400		3,128,296
				6,722,894
Oil & Gas Storage & Transportation—1.7%
Southern Union Company		222,400		5,048,480
Packaged Foods & Meats—5.0%
Del Monte Foods Company		206,300		2,339,442
Hormel Foods Corporation1		106,200		4,083,390
JM Smucker Company		111,200		6,866,600
Ralcorp Holdings, Inc.*		34,000		2,030,140
				15,319,572
Paper Packaging—3.4%
Bemis Company, Inc.		199,000		5,900,350
Sonoco Products Company		146,950		4,298,288
				10,198,638
Property & Casualty Insurance—6.3%
Alleghany Corporation*		16,235		4,480,860
Employers Holdings, Inc.		127,800		1,960,452
Hanover Insurance Group, Inc.		164,300		7,299,849
W.R. Berkley Corporation		213,800		5,268,032
				19,009,193
Regional Banks—3.0%
Associated Banc-Corporation		241,668		2,660,765
Commerce Bancshares, Inc.1		60,354		2,336,907
First Horizon National Corporation*		52,409		702,279
Old National Bancorp		280,114		3,481,816
				9,181,767
Research & Consulting Services—2.4%
ICF International, Inc.*		114,400		3,065,920
Navigant Consulting. Inc.*		291,200		4,327,232
				7,393,152
Restaurants—2.3%
Burger King Holdings, Inc.		254,635		4,792,231
Jack in the Box, Inc.*		112,700		2,216,809
				7,009,040
Semiconductor Equipment—0.5%
Ultratech, Inc.*		105,800		1,572,188
Semiconductors—1.6%
IXYS Corporation2		670,000		4,971,400
Specialty Chemicals—1.1%
HB Fuller Company		13,351		303,735
Landec Corporation2,*		251,145		1,567,145
Zoltek Companies. Inc.*		170,000		1,615,000
				3,485,880
Specialty Stores—1.9%
Cabela’s, Inc.*		410,431		5,852,746
Trucking—0.7%
Saia, Inc.*		133,690		1,981,286
TOTAL COMMON STOCKS (cost $275,789,225)			$	287,888,725
	Shares		Value
WARRANTS—0.0%
Nova Biosource Fuels, Inc.
$2.40, 7/5/20114		369,350		820
TOTAL WARRANTS (cost $381,520)			$	820
	Principal Amount		Value
CONVERTIBLE BONDS—0.7%
Metals & Minerals—0.7%
USEC, Inc.
3.00%, 20144	$	3,500,000	$	2,275,000
TOTAL CONVERTIBLE BONDS (cost $3,500,000)			$	2,275,000
Total Investments—95.2%5 (cost $279,670,745)			$	290,164,545
Cash & Other Assets, Less Liabilities—4.8%				14,565,697
Total Net Assets- 100.0%			$	304,730,242

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $280,333,711.

ADR American Depositary Receipt

* Non-income producing security

¹ Security is segregated as collateral for open written option contracts.

² Security is deemed illiquid. The total market value of illiquid securities is $10,938,639 (cost $22,470,303), or 3.6% of total net assets.

The accompanying notes are an integral part of the financial statements

117

Schedule of Investments	Series V
December 31, 2009	(Mid Cap Value Series)

³ Investment in an affiliated issuer. See Note 6 in the Notes to Financial Statements.

⁴ Value determined based on Level 2 inputs.

⁵ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

118

Series V

(Mid Cap Value Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments in unaffiliated issues, at value*	$	290,152,443
Investments in affiliated issues, at value**		12,102
Total investments		290,164,545
Cash		5,527,277
Receivables:
Fund shares sold		331,024
Securities sold		8,864,668
Interest		26,538
Dividends		800,448
Prepaid expenses		6,224
Total assets		305,720,724
Liabilities:
Payable for:
Fund shares redeemed		88,197
Securities purchased		28,410
Written options, at value (premiums received $440,888)		369,790
Management fees		189,768
Administration fees		24,247
Transfer agent/maintenance fees		2,084
Custodian fees		1,691
Directors’ fees		5,786
Professional fees		40,000
Other fees		240,509
Total liabilities		990,482
Net assets	$	304,730,242
Net assets consist of:
Paid in capital	$	320,081,834
Undistributed net investment income		2,528,388
Accumulated net realized loss on sale of investments		(28,444,878	)
Net unrealized appreciation in value of investments		10,564,898
Net assets	$	304,730,242
Capital shares authorized		unlimited
Capital shares outstanding		6,213,008
Net asset value per share (net assets divided by shares outstanding)	$	49.05
* Investments in unaffiliated issues, at cost	$	277,099,170
** Investments in affiliated issues, at cost		2,571,575
Total cost	$	279,670,745

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	4,735,571
Interest		170,296
Total investment income		4,905,867
Expenses:
Management fees		1,955,255
Administration fees		248,238
Transfer agent/maintenance fees		25,234
Custodian fees		13,187
Directors’ fees		26,604
Professional fees		54,878
Reports to shareholders		37,324
Other		16,759
Total expenses		2,377,479
Net investment income		2,528,388
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(30,680,620	)
Options written		2,648,685
Net realized loss		(28,031,935	)
Net unrealized appreciation (depreciation) during the year on:
Investments		122,114,206
Options written		(699,260	)
Net unrealized appreciation		121,414,946
Net realized and unrealized gain		93,383,011
Net increase in net assets resulting from operations	$	95,911,399

The accompanying notes are an integral part of the financial statements

119

	Series V
Statement of Changes in Net Assets	(Mid Cap Value Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	2,528,388		$	3,755,588
Net realized gain (loss) during the year on investments		(28,031,935	)		18,444,979
Net unrealized appreciation (depreciation) during the year on investments		121,414,946			(126,882,464	)
Net increase (decrease) in net assets resulting from operations		95,911,399			(104,681,897	)
Capital share transactions:
Proceeds from sale of shares		45,841,863			69,838,112
Cost of shares redeemed		(81,907,191	)		(129,483,458	)
Net decrease from capital share transactions		(36,065,328	)		(59,645,346	)
Net increase (decrease) in net assets		59,846,071			(164,327,243	)
Net assets:
Beginning of year		244,884,171			409,211,414
End of year	$	304,730,242		$	244,884,171
Undistributed net investment income at end of year	$	2,528,388		$	3,755,588
Capital share activity:
Shares sold		1,210,944			1,669,587
Shares redeemed		(2,183,072	)		(3,074,205	)
Total capital share activity		(972,128	)		(1,404,618	)

The accompanying notes are an integral part of the financial statements

120

Financial Highlights	Series V
Selected data for each share of capital stock outstanding throughout each year	(Mid Cap Value Series)

	2009			2008			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	34.08		$	47.64		$	46.78		$	40.79		$	35.10
Income (loss) from investment operations:
Net investment incomea		0.38			0.49			0.36			0.44			0.14
Net gain (loss) on securities (realized and unrealized)		14.59			(14.05	)		0.50			5.55			5.55
Total from investment operations		14.97			(13.56	)		0.86			5.99			5.69
Net asset value, end of period	$	49.05		$	34.08		$	47.64		$	46.78		$	40.79
Total Returnb		43.93	%		(28.46	)%		1.84	%		14.66	%		16.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	304,730		$	244,884		$	409,211		$	447,271		$	384,494
Ratios to average net assets:
Net investment income		0.97	%		1.15	%		0.73	%		1.01	%		0.44	%
Total expensesc		0.91	%		0.91	%		0.89	%		0.89	%		0.90	%
Net expensesd		0.91	%		0.91	%		0.89	%		0.89	%		0.90	%
Net expenses prior to custodian earnings credits and net of expense waivers		0.91	%		0.91	%		0.89	%		0.89	%		0.90	%
Portfolio turnover rate		29	%		56	%		45	%		42	%		29	%

^a Net investment income (loss) was computed using average shares outstanding throughout the period.

^b Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^c Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and earnings credits, as applicable.

^d Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

The accompanying notes are an integral part of the financial statements

121

This page left blank intentionally.

122

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series X of the SBL Fund – Small Cap Growth Series gained 35.20% for the year, compared with a 34.47% increase in the Russell 2000 Growth Index and the Series’ peer group median return of 34.75%.

Information Technology and Industrials Top Performers

The information technology and industrials sectors led the Series performance. Information technology was an even weight position with the Index, but due to superior stock selection was able to outperform with gains of 91% versus 59%. Leading holdings were Skyworks Solutions, Inc. and Alliance Data Systems Corporation with returns of 183% and 171%, respectively. Fairchild Semiconductor International, Inc. also gained more than 100%. Alliance Data Systems and Fairchild Semiconductor were active positions not part of the Russell 2000 Growth benchmark.

The industrials sector added to performance through proper allocation and good stock picking. While it was a slight underweight against the benchmark, it outperformed 33% to 13%. Bucyrus International, Inc. soared 188% while BE Aerospace, Inc. was up 140%. Both were active bets as neither were part of the Index. Other securities in the sector contributing to returns included Constant Contact, Inc. and Regal-Beloit Corporation.

Health Care and Energy Disappoint

Health care was a large underweight relative to the Index, 12% to 25%. In addition, the holdings in the portfolio lost 8% against a 22% gain for the benchmark – a 30% difference – due to poor stock selection. The largest detractor was CardioNet, Inc., which dropped 76% over the period. Other holdings hurting performance included Martek Biosciences Corporation, down 37%, Psychiatric Solutions, Inc., losing 28%, and Wright Medical Group, Inc.

Holdings in the portfolios energy sector were also hurt by poor stock picks. Even though holdings in the Series gained 35% it could not keep pace with the 42% increase of the Index. Goodrich Petroleum Corporation and PetroQuest Energy, Inc. each declined approximately 20% while Comstock Resources, Inc. lost 14%.

Market Outlook

The main factors behind the strong equity markets of 2009 were the tremendous growth in risk appetite and the better than expected earnings results. We expect that earnings will continue to exceed expectations as cost cutting has led to significant margin expansion for most companies, which will now be combined with improving revenue growth. We are positive in our outlook for the equity markets but believe much of the gains, if there are gains, may be achieved during the 1st half of 2010.

Due to stronger than expected earnings in 2009, we watched earnings expectations for 2010 be revised upward. If the U.S. economy improves and the federal government continues the need to bring large levels of debt, we expect interest rates will climb limiting P/E expansion in the equity markets. We believe equity markets can achieve positive gains but that much of the gains may be achieved during the first half of 2010.

As always, we remain committed to our principles of investing in fast growing, high-margin companies with unique proprietary advantages and strong management teams. We have not changed our investment process. We continue to focus on our core expertise and investment process. As fellow investors in the strategy, we thank you for your long-term investment.

Sincerely,

Joe O’Connor, Portfolio Manager

123

	Series X
Performance Summary	(Small Cap Growth Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series X (Small Cap Growth Series) on December 31, 1999 and reflects the fees and expenses of Series X. The Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series X	35.20	%	(3.16	)%	(2.77	)%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	14.31	%
Consumer Staples	3.55
Energy	5.57
Financials	5.94
Health Care	12.35
Industrials	16.56
Information Technology	25.88
Materials	5.15
Utilities	2.04
Exchange Traded Funds	5.83
Cash & Other Assets, Less Liabilities	2.82
Total Net Assets	100.00	%

The accompanying notes are an integral part of the financial statements

124

Schedule of Investments	Series X
December 31, 2009	(Small Cap Growth Series)

	Shares	Value
COMMON STOCKS—97.2%
Aerospace & Defense—2.0%
BE Aerospace, Inc.*	21,730	$	510,655
DigitalGlobe, Inc.*	8,180		197,956
			708,611
Apparel, Accessories & Luxury Goods—2.2%
Hanesbrands, Inc.*	19,000		458,090
Lululemon Athletica, Inc.*	10,800		325,080
			783,170
Application Software—7.9%
Informatica Corporation*	21,630		559,352
JDA Software Group, Inc.*	9,776		248,995
Longtop Financial Technologies, Ltd. ADR*	10,050		372,051
Nuance Communications, Inc.*	29,350		456,099
Solera Holdings, Inc.	22,350		804,823
VancelnfoTechnologies, Inc. ADR*	17,550		337,136
			2,778,456
Auto Parts & Equipment—0.6%
Gentex Corporation	11,870		211,880
Biotechnology—1.0%
Halozyme Therapeutics, Inc.*	29,310		172,050
Martek Biosciences Corporation*	8,700		164,778
			336,828
Casinos & Gaming—1.4%
WMS Industries, Inc.*	12,630		505,200
Coal & Consumable Fuels—1.5%
Massey Energy Company	12,700		533,527
Communications Equipment—1.5%
InterDigital, Inc.*	19,930		528,942
Computer Storage & Peripherals—1.9%
QLogic Corporation*	35,145		663,186
Construction & Engineering—2.1%
Aecom Technology Corporation*	27,240		749,100
Construction & Farm Machinery & Heavy Trucks—2.3%
Bucyrus International, Inc.	7,920		446,450
Wabtec Corporation	8,650		353,266
			799,716
Data Processing & Outsourced Services—1.8%
Alliance Data Systems Corporation*	9,960		643,316
Diversified Metals & Mining—0.9%
Thompson Creek Metals Company, Inc.*	26,800		314,096
Education Services—1.0%
DeVry, Inc.	6,000		340,380
Electric Utilities—1.0%
ITC Holdings Corporation	6,950		362,026
Electrical Components & Equipment—3.9%
Baldor Electric Company	15,970		448,597
Regal-Beloit Corporation	7,550		392,147
Roper Industries, Inc.	9,580		501,705
			1,342,449
Electronic Equipment & Instruments—2.2%
FLIR Systems, Inc.*	15,050		492,436
Rofin-SinarTechnologies.lnc.*	11,900		280,959
			773,395
Exchange Traded Funds—5.8%
iShares Russell 2000 Growth Index Fund	30,340		2,065,244
Fertilizers & Agricultural Chemicals—1.1%
Terra Industries, Inc.	12,440		400,444
Health Care Equipment—2.2%
Integra LifeSciences Holdings Corporation*	10,580		389,132
Wright Medical Group, Inc.*	20,350		385,633
			774,765
Health Care Services—3.3%
CardioNet, Inc.*	30,915		183,635
Clarient, Inc.*	41,000		108,650
LHC Group, lnc.*	12,560		422,142
Mednax, Inc.*	7,450		447,894
			1,162,321
Health Care Supplies—1.4%
Haemonetics Corporation*	9,035		498,280
Homebuilding—1.0%
Lennar Corporation	28,400		362,668
Homefurnishing Retail—1.1%
Select Comfort Corporation*	61,200		399,024
Household Products—1.7%
Church & Dwight Company, Inc.	10,325		624,146
Housewares & Specialties—2.6%
Jarden Corporation	29,680		917,408
Human Resources & Employment Services—0.9%
Watson Wyatt Worldwide, Inc.	6,550		311,256
Hypermarkets & Super Centers—1.1%
BJ’s Wholesale Club, Inc.*	12,100		395,791
Industrial Machinery—4.3%
IDEX Corporation	17,930		558,520
Pall Corporation	16,130		583,906
Pentair, Inc.*	10,900		352,070
			1,494,496

The accompanying notes are an integral part of the financial statements

125

Schedule of Investments	Series X
December 31, 2009	(Small Cap Growth Series)

	Shares	Value
COMMON STOCKS—97.2% (continued)
Internet Software & Services—0.6%
Constant Contact, Inc.*	13,770	$	220,320
Investment Banking & Brokerage—3.1%
Knight Capital Group, Inc.*	30,350		467,390
Stifel Financial Corporation*	9,150		542,045
TradeStation Group, Inc.*	14,440		113,932
			1,123,367
Leisure Facilities—1.8%
Life Time Fitness, Inc.*	16,355		407,730
Vail Resorts, Inc.*	6,135		231,903
			639,633
Life Sciences Tools & Services—1.0%
Charles River Laboratories International, Inc.*	11,000		370,590
Metal & Glass Containers—1.6%
Silgan Holdings, Inc.	9,800		567,224
Movies & Entertainment—0.7%
Imax Corporation*	18,635		247,846
Multi-Line Insurance—1.9%
HCC Insurance Holdings, Inc.	23,450		655,897
Multi-Utilities—1.0%
Northwestern Corporation	13,920		362,198
Oil & Gas Equipment & Services—2.5%
Oil States International, Inc.*	11,600		455,764
Superior Energy Services, Inc.*	17,090		415,116
			870,880
Oil & Gas Exploration & Production—1.6%
Bill Barrett Corporation*	10,900		339,099
Comstock Resources, Inc.*	5,640		228,815
			567,914
Packaged Foods & Meats—0.7%
Flowers Foods, Inc.	9,930		235,937
Pharmaceuticals—3.4%
Endo Pharmaceuticals Holdings, Inc.*	16,950		347,645
Perrigo Company	22,100		880,463
			1,228,108
Railroads—0.9%
Kansas City Southern*	10,005		333,066
Regional Banks—0.9%
TCF Financial Corporation	23,580		321,160
Research & Consulting Services—0.3%
ICF International, Inc.*	4,500		120,600
Restaurants—1.9%
Einstein Noah Restaurant Group, Inc.*	14,200		139,586
McCormick & Schmick’s Seafood Restaurants, Inc.*	15,850		110,316
Panera Bread Company*	6,100		408,517
			658,419
Semiconductor Equipment—2.2%
Formfactor, Inc.*	18,180		395,596
Tessera Technologies, Inc.*	16,480		383,490
			779,086
Semiconductors—5.0%
ON Semiconductor Corporation*	88,565		780,258
Skyworks Solutions, Inc.*	69,265		982,870
			1,763,128
Steel—1.5%
AK Steel Holding Corporation	25,235		538,767
Systems Software—1.3%
Rovi Corporation*	14,600		465,302
Technology Distributors—1.6%
SYNNEX Corporation*	17,900		548,814
TOTAL COMMON STOCKS (cost $27,364,506)		$	34,398,377
Total Investments—97.2%1 (cost $27,364,506)		$	34,398,377
Cash & Other Assets, Less Liabilities—2.8%			997,545
Total Net Assets—100.0%		$	35,395,922

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $27,454,701.

ADR American Depositary Receipt

* Non-income producing security

¹ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

126

Series X

(Small Cap Growth Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	34,398,377
Cash		838,195
Receivables:
Fund shares sold		100,136
Securities sold		412,610
Dividends		10,406
Prepaid expenses		611
Total assets		35,760,335
Liabilities:
Payable for:
Fund shares redeemed		17,998
Securities purchased		297,367
Management fees		24,937
Administration fees		3,087
Transfer agent/maintenance fees		2,083
Custodian fees		460
Directors’ fees		502
Professional fees		9,979
Other fees		8,000
Total liabilities		364,413
Net assets	$	35,395,922
Net assets consist of:
Paid in capital	$	58,623,489
Accumulated net realized loss on sale of investments		(30,261,438	)
Net unrealized appreciation in value of investments		7,033,871
Net assets	$	35,395,922
Capital shares authorized		unlimited
Capital shares outstanding		2,438,219
Net asset value per share (net assets divided by shares outstanding)	$	14.52
* Investments, at cost	$	27,364,506

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	245,909
Interest		943
Total investment income		246,852
Expenses:
Management fees		262,642
Administration fees		30,259
Transfer agent/maintenance fees		25,216
Custodian fees		1,744
Directors’ fees		3,407
Professional fees		10,090
Reports to shareholders		5,147
Other		2,726
Total expenses		341,231
Earnings credits applied		(287	)
Net expenses		340,944
Net investment loss		(94,092	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		3,898,637
Net realized gain		3,898,637
Net unrealized appreciation (depreciation) during the year on:
Investments		5,705,272
Net unrealized appreciation		5,705,272
Net realized and unrealized gain		9,603,909
Net increase in net assets resulting from operations	$	9,509,817

The accompanying notes are an integral part of the financial statements

127

	Series X
Statement of Changes in Net Assets	(Small Cap Growth Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment loss	$	(94,092	)	$	(389,974	)
Net realized gain (loss) during the year on investments		3,898,637			(26,722,317	)
Net unrealized appreciation (depreciation) during the year on investments		5,705,272			(3,538,566	)
Net increase (decrease) in net assets resulting from operations		9,509,817			(30,650,857	)
Capital share transactions:
Proceeds from sale of shares		6,072,551			14,256,113
Cost of shares redeemed		(10,470,581	)		(35,153,979	)
Net decrease from capital share transactions		(4,398,030	)		(20,897,866	)
Net increase (decrease) in net assets		5,111,787			(51,548,723	)
Net assets:
Beginning of year		30,284,135			81,832,858
End of year	$	35,395,922		$	30,284,135
Undistributed net investment income at end of year	$	—		$	—
Capital share activity:
Shares sold		541,403			931,001
Shares redeemed		(924,076	)		(2,130,808	)
Total capital share activity		(382,673	)		(1,199,807	)

The accompanying notes are an integral part of the financial statements

128

Financial Highlights	Series X
Selected data for each share of capital stock outstanding throughout each year	(Small Cap Growth Series)

	2009			2008a			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	10.74		$	20.35		$	19.27		$	18.33		$	17.05
Income (loss) from investment operations:
Net investment lossb		(0.04	)		(0.12	)		(0.17	)		(0.13	)		(0.15	)
Net gain (loss) on securities (realized and unrealized)		3.82			(9.49	)		1.25			1.07			1.43
Total from investment operations		3.78			(9.61	)		1.08			0.94			1.28
Net asset value, end of period	$	14.52		$	10.74		$	20.35		$	19.27		$	18.33
Total Returnc		35.20	%		(47.22	)%		5.60	%		5.13	%		7.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,396		$	30,284		$	81,833		$	92,789		$	90,671
Ratios to average net assets:
Net investment loss		(0.30	)%		(0.80	)%		(0.82	)%		(0.66	)%		(0.85	)%
Total expensesd		1.10	%		1.24	%		1.20	%		1.20	%		1.19	%
Net expensese		1.10	%		1.24	%		1.20	%		1.19	%		1.18	%
Net expenses prior to custodian earnings credits and net of expense waivers		1.10	%		1.24	%		1.20	%		1.20	%		1.19	%
Portfolio turnover rate		100	%		209	%f		137	%		149	%		116	%

^a Security Global Investors, LLC (SGI) became the advisor of Series X effective December 1, 2008. Prior to December 1, 2008, SGI paid RS Investments, Inc. for sub-advisory services.

^b Net investment income (loss) was computed using average shares outstanding throughout the period.

^c Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^d Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and earnings credits, as applicable.

^e Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

^f Significant variation in the portfolio turnover rate is due to Investment Manager’s appointment of new portfolio manager for the Series.

The accompanying notes are an integral part of the financial statements

129

This page left blank intentionally.

130

Manager’s Commentary

February 15, 2010

Advised by:

To Our Shareholders:

Series Y of the SBL Fund – Select 25 Series returned 33.28% in the year, lagging the benchmark Russell 1000 Growth Index's return of 37.21% and the Series' peer group median return of 36.99%.

Our strategy is to buy companies that are trading at a significant discount to their intrinsic value. Our investment approach is a defined and disciplined process of three clear philosophical tenets that drive our investment decisions: a valuation focus, a long-term perspective and an opportunistic approach.

Our investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and thus a valuation target for each idea. We construct the portfolios based on the level of conviction generated by this bottom-up analysis and the upside/downside profile associated with each company. We ultimately structure the portfolio with 25-30 names.

Materials and Consumer Staples Top Performers

The Series’ materials holdings benefited the portfolio from an overweight position that gained 74% due to superior stock selection against a 42% increase in the Index. Both Mosaic Company and Air Products & Chemicals, Inc. rose more than 60% during the period. Other holdings in the sector that boosted returns were Freeport-McMoRan Copper & Gold, Inc. and Monsanto Company.

The consumer staples sector benefited from an underweight allocation in one of the lower performing sectors in the marketplace. Nevertheless, several securities in the sector added to returns, including PepsiCo, Inc., CVS Caremark Corporation, and Colgate-Palmolive Company.

Consumer Discretionary and Consumer Staples Disappoint

The Series’ consumer discretionary sector was an overweight position in a market segment that did well. However, stock selection hurt relative performance as the portfolio gained only 18% compared to 43% for the benchmark. Dragging down returns was Coach, Inc., which declined 31% while the security actually gained 77% if held for the entire period. Similarly, Best Buy Company, Inc. was down 15% in the strategy while the security gained 43% for the year. Other detractors in the sector were Comcast Corporation (Cl A) and Lowe’s Companies, Inc.

The consumer staples sector was an underweight position that also underperformed the benchmark. While strategy holdings gained 14%, it was still below the 17% increase for the Russell 1000 Growth Index. The two main culprits were General Mills, Inc., down 16% for the portfolio while up 20% during the holding period, and Wal-Mart Stores, Inc.

Market Outlook

Our bottom-up approach looks at market uncertainty in the context of the potential long-term impact on individual companies. Often times, volatility provides opportunity, and the past year has been one of the most volatile markets in history. We are maintaining flexibility in the portfolios to take advantage of these opportunities as they arise. Our focus is on identifying companies with the ability to be substantially better over the next three to five years or have the potential to maintain their return on capital at current levels in a difficult economic environment. We are confident in our ability to find these companies.

We believe that investing is a long-term pursuit that requires patience and a consistent approach. We recognize there are many investment fund alternatives available today and thank you for your business and the confidence you place in us.

Sincerely,

Mark P. Bronzo, Portfolio Manager

131

Performance Summary	Series Y (Select 25 Series)
December 31, 2009	(unaudited)

PERFORMANCE

$10,000 Over 10 Years

The chart above assumes a hypothetical $10,000 investment in Series Y (Select 25 Series) on December 31, 1999 and reflects the fees and expenses of Series Y. The Russell 1000 Growth Index is an unmanaged capitalization-weighted index which includes stocks incorporated in the United States and its territories and measures the performance of the Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		10 Years
Series Y	33.28	%	(1.11	)%	(3.65	)%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector

Consumer Discretionary	11.65	%
Consumer Staples	6.72
Energy	9.14
Financials	6.22
Health Care	12.48
Industrials	15.40
Information Technology	28.86
Materials	5.73
Cash & Other Assets, Less Liabilities	3.80
Total Net Assets	100.00	°%

The accompanying notes are an integral part of the financial statements

132

Schedule of Investments	Series Y
December 31, 2009	(Select 25 Series)

	Shares	Value
COMMON STOCKS—96.2%
Advertising—3.2%
Omnicom Group, Inc.	33,660	$	1,317,789
Aerospace & Defense—6.1%
Boeing Company	21,570		1,167,584
Goodrich Corporation	21,540		1,383,944
			2,551,528
Apparel Retail—3.0%
TJX Companies, Inc.	33,600		1,228,080
Biotechnology—2.9%
Amgen, Inc.*	21,240		1,201,547
Coal & Consumable Fuels—2.9%
Peabody Energy Corporation	26,670		1,205,751
Communications Equipment—6.2%
Cisco Systems, Inc.*	53,800		1,287,971
Qualcomm, Inc.	27,220		1,259,197
			2,547,168
Computer Hardware—4.3%
Apple, Inc.*	8,455		1,782,821
Computer Storage & Peripherals—3.9%
EMC Corporation*	93,130		1,626,981
Department Stores—2.7%
Kohl’s Corporation*	20,540		1,107,722
Diversified Metals & Mining—2.8%
Freeport-McMoRan Copper & Gold, Inc. (Cl.B)	14,580		1,170,628
Electrical Components & Equipment—6.1%
Cooper Industries plc	29,640		1,263,850
Emerson Electric Company	29,060		1,237,956
			2,501,806
Fertilizers & Agricultural Chemicals—2.9%
Potash Corporation of Saskatchewan, Inc.	11,025		1,196,213
Health Care Equipment—3.0%
Covidien plc	25,740		1,232,689
Hotels, Resorts & Cruise Lines—2.8%
Carnival Corporation*	36,700		1,163,023
Household Products—2.8%
Colgate-Palmolive Company	14,130		1,160,780
Industrial Conglomerates—3.2%
3M Company	15,850		1,310,320
Integrated Oil & Gas—2.9%
Occidental Petroleum Corporation	14,920		1,213,742
Internet Software & Services—4.4%
Google, Inc.*	2,950		1,828,941
Investment Banking & Brokerage—2.9%
Morgan Stanley	40,500		1,198,800
IT Consulting & Other Services—3.0%
Cognizant Technology Solutions Corporation*	27,490		1,245,297
Oil & Gas Drilling—3.3%
Transocean, Ltd.*	16,420		1,359,576
Other Diversified Financial Services—3.3%
JPMorgan Chase & Company	32,965		1,373,652
Pharmaceuticals—6.6%
Pfizer, Inc.	70,710		1,286,215
Teva Pharmaceutical Industries, Ltd. ADR	25,620		1,439,331
			2,725,546
Semiconductor Equipment—3.0%
Lam Research Corporation*	31,160		1,221,784
Semiconductors—4.1%
Intel Corporation	82,210		1,677,084
Soft Drinks—3.9%
PepsiCo, Inc.	26,600		1,617,280
TOTAL COMMON STOCKS (cost $34,706,007)		$	39,766,548
Total Investments—96.2%1 (cost $34,706,007)		$	39,766,548
Cash & Other Assets, Less Liabilities—3.8%			1,571,788
Total Net Assets—100.0%		$	41,338,336

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $35,217,164.

ADR American Depositary Receipt

plc Public Limited Company

* Non-income producing security

¹ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

The accompanying notes are an integral part of the financial statements

133

Series Y

(Select 25 Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	39,766,548
Cash		1,291,324
Receivables:
Fund shares sold		303,044
Dividends		39,628
Prepaid expenses		701
Total assets		41,401,245
Liabilities:
Payable for:
Fund shares redeemed		12,892
Management fees		25,806
Administration fees		3,314
Transfer agent/maintenance fees		2.083
Custodian fees		58
Directors’ fees		1,674
Professional fees		11,341
Other fees		5,741
Total liabilities		62,909
Net assets	$	41,338,336
Net assets consist of:
Paid in capital	$	68,585,546
Undistributed net investment income		126,624
Accumulated net realized loss on sale of investments		(32,434,375	)
Net unrealized appreciation in value of investments		5,060,541
Net assets	$	41,338,336
Capital shares authorized		unlimited
Capital shares outstanding		4,848,032
Net asset value per share (net assets divided by shares outstanding)	$	8.53
* investments, at cost	$	34,706,007

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends	$	464,540
Interest		685
Total investment income		465,225
Expenses:
Management fees		254,806
Administration fees		32,440
Transfer agent/maintenance fees		25,215
Custodian fees		2,349
Directors’ fees		3,874
Professional fees		11,710
Reports to shareholders		5,357
Other		2,850
Total expenses		338,601
Net expenses		338,601
Net investment income		126,624
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(6,912,143	)
Net realized loss		(6,912,143	)
Net unrealized appreciation (depreciation) during the year on:
Investments		16,699,320
Net unrealized appreciation		16,699,320
Net realized and unrealized gain		9,787,177
Net increase in net assets resulting from operations	$	9,913,801

The accompanying notes are an integral part of the financial statements

134

Statement of Changes in Net Assets Series Y (Select 25 Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment income	$	126,624		$	71,213
Net realized loss during the year on investments		(6,912,143	)		(7,958,784	)
Net unrealized appreciation (depreciation) during the year on investments		16,699,320			(13,376,234	)
Net increase (decrease) in net assets resulting from operations		9,913,801			(21,263,805	)
Capital share transactions:
Proceeds from sale of shares		12,453,173			13,661,292
Cost of shares redeemed		(14,612,634	)		(25,136,549	)
Net decrease from capital share transactions		(2,159,461	)		(11,475,257	)
Net increase (decrease) in net assets		7,754,340			(32,739,062	)
Net assets:
Beginning of year		33,583,996			66,323,058
End of year	$	41,338,336		$	33,583,996
Undistributed net investment income at end of year	$	126,624		$	71,213
Capital share activity:
Shares sold		1,729,313			1,592,936
Shares redeemed		(2,125,671	)		(2,867,153	)
Total capital share activity		(396,358	)		(1,274,217	)

The accompanying notes are an integral part of the financial statements

135

Financial Highlights	Series Y
Selected data for each share of capital stock outstanding throughout each year	(Select 25 Series	)

	2009			2008			2007			2006a			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	6.40		$	10.17		$	10.84		$	10.08		$	9.02
Income (loss) from investment operations:
Net investment incomeb		0.03			0.01			0.06			0.02			—
Net gain (loss) on securities (realized and unrealized)		2.10			(3.78	)		(0.73	)		0.74			1.06
Total from investment operations		2.13			(3.77	)		(0.67	)		0.76			1.06
Net asset value, end of period	$	8.53		$	6.40		$	10.17		$	10.84		$	10.08
Total Returnc		33.28	%		(37.07	)%		(6.18	)%		7.54	%		11.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	41,338		$	33,584		$	66,323		$	85,695		$	37,018
Ratios to average net assets:
Net investment income (loss)		0.37	%		0.14	%		0.51	%		0.21	%		(0.04	)%
Total expensesd		1.00	%		0.97	%		0.93	%		0.95	%		0.99	%
Net expensese		1.00	%		0.97	%		0.93	%		0.95	%		0.99	%
Net expenses prior to custodian earnings credits and net of expense waivers		1.00	%		0.97	%		0.93	%		0.95	%		0.99	%
Portfolio turnover rate		151	%		214	%f		16	%		40	%		28	%

^a The financial highlights for Series Y exclude the historical financial highlights of Series G. The assets of Series G were acquired by Series Y on June 16, 2006. A total of $40,543,215 was excluded from purchases in the portfolio turnover calculation, which represents the cost of the securities Series Y received as a result of the merger.

^b Net investment income (loss) was computed using average shares outstanding throughout the period.

^c Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^d Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and earnings credits, as applicable.

^e Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

^f Significant variation in the portfolio turnover rate is due to Investment Manager’s appointment of new portfolio manager for the Series.

The accompanying notes are an integral part of the financial statements

136

Managers’ Commentary

February 15, 2010

Advised by: and Subadvised by: Mainstream Investment Advisers

To Our Shareholders:

For the year ended December 31, 2009, Series Z of the SBL Fund – Alpha Opportunity Series total return was 30.39%¹, besting its benchmark, the S&P 500 Index, by nearly 350 basis points, which returned 26.46%.

Investment Philosophy

The Series’ strategy is to invest approximately 50% of its total assets according to a long/short strategy and 50% of its total assets in a portfolio of equity securities, equity derivatives, and fixed income securities with the intention of tracking the performance of the S&P 500 Index.

The fundamental investment philosophy of the active value strategy rests first upon the belief that it is critical to identify the long-term investment theme governing the equity markets. These themes may persist for 15 to 20 years.

Second, while we also believe that valuation adds important perspective to investment decisions, it is not an efficient means of timing purchase and sale decisions. We believe those decisions are best made using technical analysis. We believe technical analysis, the study of price trends, allows us to efficiently capture gains and avoid material losses.

The third tenet of our philosophy is that changes in stock prices lead changes in fundamental corporate developments. A proactive asset management approach helps to keep our investment themes fresh and our risk levels moderate.

Financials, Consumer Discretionary, and Energy Top Performers

Stock selection in the financials sector accounted for all the excess gain above the Index. While a slight overweight position, a position in one security made the difference. General Growth Properties, Inc. soared from around $2 per share to $10 per share, an increase during the year of over 1,600%. The issue was a solid 3% average weight in the portfolio. Other top performing securities included Fortis B N.V. and Genworth Financial, Inc. (Cl A), which returned over 160% and 300%, respectively.

In the consumer discretionary sector, the shorting of Volkswagen AG, which dropped more than 60%, was responsible for the largest gain. Holdings in Marvel Entertainment and Shanda Interactive Entertainment, Ltd. were the sectors’ best performing long positions.

In the energy sector, Exxon Mobil Corporation was the best relative performer against the benchmark as a short position. Walter Energy, Inc. was the leading long position gaining over 90% during the period.

Industrials and Information Technology Disappoint

The industrials sector was hurt by a relative overweight position and poor stock selection. While the S&P 500 Index gained 20%, the Series’ industrials sector increased just 2%. Largest detractors included Lockheed Martin Corporation, a 3% position that was down 8%, Watson Wyatt Worldwide, Inc., a break-even holding, and Delta Airlines, which dropped 40% over the period.

The Series’ information technology sector’s performance kept pace with the benchmark, returning approximately 60%. However, at 11%, the portfolio weight was well below the 18% for the Index. Not holding Apple, Inc. throughout the year caused the performance of the holding to significantly lag the potential return of the security. A short position in Cree, Inc., a security that soared more than 250%, hurt performance in the sector and portfolio.

Due to a previous brokerage relationship with Lehman Brothers International Europe (“LBIE”) (which was placed into administration on September 15, 2008), the Series has certain short sale positions that it is currently unable to settle and certain long positions held by its custodian that are pledged to LBIE which the Series currently cannot access. As a result, the Series is currently unable to actively pursue the global long/short portion of its investment strategy. The Series is unable to determine when it will resume its full investment program.

Market Outlook

While global banking systems and economies appear to have stabilized, significant challenges remain. Foremost among these will be removal of the extraordinary measures taken by central banks and governments around the world to stimulate and re-liquefy economies. While growth has re-emerged in many areas of the world, the recovery remains fragile and measurement somewhat suspect.

We know that the U.S. yield curve is close to the historical peak in terms of steepness and that in the past the peak spread has been a good indicator of Fed rate hikes. As a result, we have confidence in our (not unique) view that the extraordinary measures will be removed and that policy will normalize, if not in 2010 probably by early 2011. Based on historical experience we can also be reasonably sure that when markets start to discount this development the likely symptom will be stock weakness.

Our approach remains to identify the best possible investments in all phases of the market and economic cycle.

We thank you for your investment and appreciate the trust and confidence you have placed in us.

Sincerely,

Bill Jenkins, Portfolio Manager,

Mainstream Investment Advisers

David Whittall, Portfolio Manager,

Security Global Investors

Scott Klimo, Portfolio Manager,

Security Global Investors

¹ Fee waivers and/or reimbursements reduce Series expenses and in the absence of such waivers, the performance quoted would be reduced.

137

Performance Summary December 31, 2009 Series Z (Alpha Opportunity Series) (unaudited)

PERFORMANCE

$10,000 Since Inception

The chart above assumes a hypothetical $10,000 investment in Series Z (Alpha Opportunity Series) on July 7, 2003 (date of inception), and reflects the fees and expenses of Series Z. The S&P 500 Index is a capitalization weighted index composed of 500 selected common stocks that represent the broad domestic economy and is a widely recognized unmanaged index of market performance.

Average Annual Returns

Periods Ended 12-31-091	1 Year		5 Years		Since Inception (7-7-03)
Series Z	30.39	%	3.93	%	7.67	%

¹ Performance figures do not reflect fees and expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a Series of SBL Fund are available only through the purchase of such products.

The performance data quoted above represents past performance. Past performance is not predictive of future performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

Portfolio Composition by Sector*

Consumer Discretionary	(4.01	)%
Consumer Staples	7.30
Energy	2.21
Financials	2.12
Health Care	1.88
Industrials	6.33
Information Technology	8.22
Materials	10.07
Telecommunications	0.47
Utilities	(0.32	)
Exchange Traded Funds	4.88
U.S. Government Sponsored Agencies	17.23
Short Term Investments	10.07
Repurchase Agreement	10.20
Cash & Other Assets, Less Liabilities	23.35
Total Net Assets	100.00	%

* Securities sold short are netted with long positions in common stocks in the appropriate sectors.

The accompanying notes are an integral part of the financial statements

138

Schedule of Investments	Series Z
December 31, 2009	(Alpha Opportunity Series)

	Shares	Value
COMMON STOCKS—75.7%
Aerospace & Defense—1.6%
Lockheed Martin Corporation1,2	3,993	$	300,873
Northrop Grumman Corporation1,2	1,100		61,435
			362,308
Agricultural Products—1.7%
Archer-Daniels-Midland Company	4,641		145,310
Bunge, Ltd.3	3,822		243,958
			389,268
Air Freight & Logistics—0.8%
FedEx Corporation	2,304		192,269
Aluminum—0.9%
Aluminum Corporation of China, Ltd. ADR	7,820		213,095
Apparel Retail—2.7%
Gap, Inc.1,2	6,300		131,985
Gymboree Corporation1,2,*	3,200		139,168
Ltd. Brands, Inc.1,2	5,400		103,896
Ross Stores, Inc.1,2	2,300		98,233
TJX Companies, Inc.1,2	3,800		138,890
			612,172
Apparel, Accessories & Luxury Goods—0.2%
Phillips-Van Heusen Corporation1,2	900		36,612
Auto Parts & Equipment—0.0%
Exide Technologies*	1,365		9,705
Biotechnology—0.5%
Amgen, Inc.1,2,*	1,900		107,483
Communications Equipment—1.7%
ADC Telecommunications, Inc.*	6,730		41,793
Cisco Systems, Inc.*	7,357		176,126
Finisar Corporation*	1,642		14,647
Harmonic, Inc.1,2,*	11,700		74,061
Motorola, Inc.	2,653		20,587
Oplink Communications, Inc.*	1,748		28,650
Opnext, Inc.*	2,174		4,131
Plantronics, Inc.	636		16,523
			376,518
Computer & Electronics Retail—0.5%
RadioShack Corporation1,2	5,500		107,250
Computer Storage & Peripherals—0.0%
EMC Corporation*	546		9,539
Construction & Engineering—0.6%
Michael Baker Corporation*	2,102		87,023
Shaw Group, Inc.*	1,911		54,941
			141,964
Construction & Farm Machinery & Heavy Trucks—4.6%
Joy Global, Inc.1,2	13,322		687,282
Trinity Industries, Inc.1,2	10,800		188,352
Wabtec Corporation	3,483		142,246
			1,017,880
Construction Materials—0.3%
Eagle Materials, Inc.	2,805		73,070
Diversified Banks—0.2%
Barclays plc ADR	2,925		51,480
Diversified Capital Markets—0.1%
UBS AG	975		15,122
Diversified Chemicals—0.9%
FMC Corporation	3,822		213,115
Diversified Metals & Mining—4.0%
Compass Minerals International, Inc.	2,063		138,613
Freeport-McMoRan Copper & Gold, Inc. (Cl.B)	2,747		220,556
General Moly, Inc.*	14,013		29,147
Horsehead Holding Corporation*	11,617		148,117
Rio Tinto plc ADR	390		84,002
Sterlite Industries India, Ltd. ADR	1,365		24,870
Teck Resources, Ltd. (Cl. B)*	5,506		192,544
Thompson Creek Metals Company, Inc.*	7,293		85,474
			923,323
Electrical Components & Equipment—0.9%
AO Smith Corporation1,2	3,000		130,169
GrafTech International, Ltd.*	3,974		61,796
Harbin Electric, Inc.*	1,092		22,430
			214,395
Electronic Components—0.1%
AVX Corporation	2,385		30,218
Electronic Manufacturing Services—0.3%
Flextronics International, Ltd.*	8,978		65,629
Environmental & Facilities Services—0.3%
Metalico, Inc.*	15,834		77,903
Exchange Traded Funds—5.2%
Claymore/Beacon Global Timber Index ETF	8,183		146,967
iPath DowJones-UBS Coffee Subindex Total Return ETN	281		10,880
iPath MSCI India Index ETN*	780		49,967
iShares S&P Global Materials Sector Index Fund3	6,997		435,353
Market Vectors - Russia ETF	7,296		227,489
PowerShares DB Agriculture Fund3,*	11,095		293,352
			1,164,008
Fertilizers & Agricultural Chemicals—1.5%
China Green Agriculture, Inc.*	523		7,688
Intrepid Potash, Inc.*	1,092		31,854
Monsanto Company3	3,549		290,130
			329,672

The accompanying notes are an integral part of the financial statements

139

Schedule of Investments	Series Z
December 31, 2009	(Alpha Opportunity Series)

	Shares	Value
COMMON STOCKS—75.7% (continued)
Food Distributors—0.2%
Andersons, Inc.	1,936	$	49,988
Food Retail—0.5%
QKL Stores.lnc.*	4,737		31,738
Safeway, Inc.1,2	4,200		89,418
			121,156
General Merchandise Stores—0.5%
Family Dollar Stores, Inc.1,2	3,900		108,537
Gold—1.7%
Iamgold Corporation	2,925		45,747
Randgold Resources, Ltd. ADR3	4,207		332,858
			378,605
Health Care Distributors—1.0%
McKesson Corporation	1,638		102,375
Owens & Minor, Inc.1,2	2,800		120,204
			222,579
Health Care Equipment—0.5%
Baxter International, Inc.1,2	1,900		111,492
Health Care Facilities—0.3%
Kindred Healthcare, Inc.1,2,*	4,100		75,686
Health Care Services—0.7%
Lincare Holdings, Inc.1,2,*	4,100		152,192
Home Entertainment Software—3.7%
Shanda Interactive Entertainment, Ltd. ADR1,2,*	16,000		841,760
Human Resources & Employment Services—0.6%
Monster Worldwide, Inc.*	839		14,599
Watson Wyatt Worldwide, Inc.1,2	2,400		114,048
			128,647
Hypermarkets & Super Centers—0.5%
Wal-Mart Stores. Inc.1,2	2,300		122,935
Independent Power Producers & Energy Traders—0.8%
Constellation Energy Group, Inc.1,2	5,400		189,918
Industrial Conglomerates—0.3%
General Electric Company1,2	4,500		68,085
Industrial Machinery—0.9%
Pentair, Inc.*	870		28,101
SPX Corporation	273		14,933
Timken Company	3,276		77,674
Watts Water Technologies, Inc.1,2	3,000		92,760
			213,468
Integrated Oil & Gas—1.5%
ConocoPhillips1,2	1,500		76,605
Occidental Petroleum Corporation	1,786		145,291
Suncor Energy, Inc.	2,925		103,282
			325,178
Integrated Telecommunication Services—1.4%
AT&T, Inc.1,2	11,300		316,739
Life Sciences Tools & Services—1.6%
Charles River Laboratories International, Inc.1,2,*	2,100		70,749
Life Technologies Corporation1,2,*	3,000		156,690
Millipore Corporation1,2,*	1,900		137,465
			364,904
Managed Health Care—0.4%
WellCare Health Plans, Inc.1,2,*	2,400		88,224
Marine Ports & Services—0.4%
DryShips, Inc.	17,280		100,570
Movies & Entertainment—1.4%
Marvel Entertainment, Inc.1,2,*	5,800		313,664
Multi-Line Insurance—0.2%
Genworth Financial, Inc.1,2,*	4,200		47,670
Oil & Gas Drilling—0.1%
Precision Drilling Trust	1,950		14,138
Oil & Gas Equipment & Services—1.2%
Halliburton Company	1,365		41,073
National Oilwell Varco, Inc.	3,376		148,847
Willbros Group, Inc.*	4,403		74,279
			264,199
Oil & Gas Exploration & Production—1.0%
Anadarko Petroleum Corporation1,2	2,930		182,891
Kodiak Oil & Gas Corporation*	9,282		20,606
Range Resources Corporation	273		13,609
			217,106
Oil & Gas Refining & Marketing—0.6%
World Fuel Services Corporation	4,800		128,592
Oil & Gas Storage & Transportation—0.1%
El Paso Corporation	1,911		18,785
Packaged Foods & Meats—0.5%
Cal-Maine Foods, Inc.	3,100		105,648
Paper Packaging—0.0%
Smurfit-Stone Container Corporation*	2,123		584
Personal Products—0.5%
Herbalife, Ltd.1,2	2,600		105,482
Pharmaceuticals—2.4%
Forest Laboratories, Inc.1,2,*	3,600		115,596
Johnson & Johnson1,2	5,300		341,373

The accompanying notes are an integral part of the financial statements

140

Schedule of Investments	Series Z
December 31, 2009	(Alpha Opportunity Series)

	Shares		Value
COMMON STOCKS—75.7% (continued)
Pharmaceuticals—2.4% (continued)
Viropharma, Inc.1,2,*		10,500	$	88,095
				545,064
Precious Metals & Minerals—1.0%
Coeur d’Alene Mines Corporation*		4,830		87,230
E-TRACS UBS Long Platinum ETN*		3,003		55,255
Stillwater Mining Company*		9,282		87,993
				230,478
Property & Casualty Insurance—0.3%
Amtrust Financial Services, Inc.1,2		6,300		74,466
Railroads—0.2%
Genesee & Wyoming, Inc.*		1,688		55,096
Reinsurance—0.5%
Endurance Specialty Holdings, Ltd.1,2		3,200		119,136
Restaurants—0.4%
Jack in the Box, Inc.1,2,*		4,200		82,614
Retail REIT’s—5.8%
General Growth Properties, Inc.3		111,800		1,292,409
Semiconductor Equipment—0.6%
Amkor Technology, Inc.1,2,*		9,800		70,169
Brooks Automation, Inc.*		819		7,027
KLA-Tencor Corporation		546		19,743
Lam Research Corporation*		1,092		42,817
				139,756
Semiconductors—2.1%
Intel Corporation		8,549		174,401
LSI Corporation*		9,789		58,832
ON Semiconductor Corporation*		6,629		58,401
Skyworks Solutions, Inc.*		1,092		15,495
Texas Instruments, Inc.		6,006		156,516
TriQuint Semiconductor, Inc.*		2,143		12,858
				476,503
Specialized REIT’s—0.3%
Rayonier, Inc.		1,833		77,279
Specialty Chemicals—1.1%
Minerals Technologies, Inc.		2,067		112,589
OM Group, Inc.*		2,730		85,695
Rockwood Holdings, Inc.*		2,457		57,887
				256,171
Steel—0.6%
Commercial Metals Company		3,499		54,760
Gerdau Ameristeel Corporation		5,187		42,793
Schnitzer Steel Industries, Inc.		546		26,044
				123,597
Systems Software—2.5%
CA, Inc.1,2		20,235		454,478
Symantec Corporation1,2,*		6,300		112,707
				567,185
Technology Distributors—0.8%
Arrow Electronics, Inc.1,2,*		2,800		82,908
Avnet, Inc.1,2,*		3,200		96,512
				179,420
Tobacco—3.9%
Altria Group, Inc.1,2		17,800		349,414
Philip Morris International, Inc.1,2		10,500		505,995
				855,409
Trucking—0.3%
Con-Way, Inc.1,2		1,800		62,838
Quality Distribution, Inc.*		2,180		8,611
				71,449
Wireless Telecommunication Services—0.2%
America Movil SAB de CV ADR		1,092		51,302
TOTAL COMMON STOCKS (cost $16,394,752)			$	17,127,863
	Shares		Value
FOREIGN STOCKS—1.8%
Diversified Banks—0.0%
Anglo Irish Bank Corporation, Ltd.4,5,6,*		16,638	$	—
Multi-Line Insurance—0.7%
Fortis4,6		45,503		168,224
Pharmaceuticals—1.1%
AstraZeneca plc1,2,4,6		2,800		131,580
GlaxoSmithKline plc1,2,4,6		5,500		116,702
				248,282
TOTAL FOREIGN STOCKS (cost $435,290)			$	416,506
	Principal Amount		Value
U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES—17.2%
Federal Home Loan Bank
0.04%, 1/27/20103,4	$	700,000	$	699,980
Federal National Mortgage Association
0.04%, 2/1/20101,4		2,200,000		2,199,924
Federal Home Loan Mortgage Corporation
0.03%, 2/23/20103,4		1,000,000		999,956
TOTAL U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES (cost $3,899,860)			$	3,899,860
	Principal Amount		Value
SHORT TERM INVESTMENTS—10.1%
State Street General Account U.S. Government Fund4	$	2,278,515	$	2,278,515
TOTAL SHORT TERM INVESTMENTS (cost $2,278,515)			$	2,278,515

The accompanying notes are an integral part of the financial statements

141

Schedule of Investments	Series Z
December 31, 2009	(Alpha Opportunity Series)

	Principal Amount		Value
REPURCHASE AGREEMENT—10.2%
State Street, 0.005%, dated 12/31/09, matures 1/4/10; repurchase amount $1,099,312 (Collateralized by FHLB, 9/17/10 with a value of $1,123,524)4	$	1,099,311	$	1,099,311
State Street, 0.005%, dated 12/31/09, matures 1/4/10; repurchase amount $1,208,686 (Collateralized by FHLB, 9/17/10 with a value of $1,237,957)4		1,208,685		1,208,685
TOTAL REPURCHASE AGREEMENT (cost $2,307,996)			$	2,307,996
Total Investments—115.0%7 (cost $25,316,413)			$	26,030,740
Liabilities, Less Cash & Other Assets—(15.0)%				(3,397,425	)
Total Net Assets—100.0%			$	22,633,315

Schedule of Securities Sold Short

	Shares		Value
COMMON STOCKS—(21.3)%
Advertising—(0.4)%
Focus Media Holding, Ltd. ADR8,9,*	(2,500	)	$	(75,000	)
Airlines—(0.1)%
Continental Airlines, Inc.*	(613	)		(10,985	)
UAL Corporation*	(44	)		(568	)
				(11,553	)
Alternative Carriers—(0.3)%
Clearwire Corporation8,9,*	(2,660	)		(30,138	)
Global Crossing, Ltd.8,9,*	(2,520	)		(40,244	)
				(70,382	)
Auto Parts & Equipment—(0.1)%
BorgWarner, Inc.	(176	)		(5,847	)
Tenneco, Inc.*	(404	)		(7,163	)
TRW Automotive Holdings Corporation *	(404	)		(9,647	)
				(22,657	)
Biotechnology—(2.9)%
Acorda Therapeutics, Inc.8,9,*	(2,900	)		(77,575	)
Alnylam Pharmaceuticals, Inc.8,9,*	(3,000	)		(88,230	)
AMAG Pharmaceuticals, Inc.8,9,*	(1,900	)		(82,954	)
Cepheid, Inc.8,9,*	(5,500	)		(84,700	)
Exelixis, Inc.8,9,*	(4,700	)		(30,127	)
Regeneron Pharmaceuticals, Inc.8,9,*	(3,810	)		(82,715	)
Rigel Pharmaceuticals, Inc.8,9,*	(3,070	)		(78,838	)
Savient Pharmaceuticals, Inc.8,9,*	(3,240	)		(64,282	)
Vertex Pharmaceuticals, Inc.8,9,*	(2,700	)		(74,709	)
				(664,130	)
Building Products—(0.7)%
USG Corporation8,9,*	(5,580	)		(160,258	)
Casinos & Gaming—(0.1)%
Churchill Downs, Inc.	(404	)		(15,089	)
International Game Technology	(204	)		(3,829	)
				(18,918	)
Communications Equipment—(0.3)%
Research In Motion, Ltd.*	(409	)		(27,624	)
Riverbed Technology, Inc.8,9,*	(4,100	)		(54,530	)
				(82,154	)
Computer Storage & Peripherals—(0.2)%
Intermec, Inc.8,9,*	(2,570	)		(50,937	)
Consumer Electronics—(0.1)%
Garmin, Ltd.	(818	)		(25,113	)
Department Stores—(0.3)%
Sears Holdings Corporation*	(825	)		(68,846	)
Diversified Banks—(2.5)%
Wells Fargo & Company8,9	(12,937	)		(565,622	)
Diversified Metals & Mining—(0.2)%
Ivanhoe Mines, Ltd.8,9,*	(4,780	)		(39,865	)
Diversified Real Estate Activities—0.0%
Consolidated-Tomoka Land Company	(20	)		(699	)
Electric Utilities—(1.2)%
Korea Electric Power Corporation ADR8,9	(19,460	)		(263,294	)
Electrical Components & Equipment—(0.1)%
First Solar, Inc.*	(175	)		(23,695	)
Environmental & Facilities Services—(0.2)%
Stericycle, Inc.*	(818	)		(45,129	)
Exchange Traded Funds—(0.3)%
PowerShares DB US Dollar Index Bullish Fund*	(1,840	)		(42,467	)
United States Natural Gas Fund, LP*	(1,635	)		(16,481	)
				(58,948	)
Footwear—(0.1)%
K-Swiss, Inc.	(1,295	)		(12,872	)
Health Care Equipment—(0.3)%
IDEXX Laboratories, Inc.*	(202	)		(10,795	)
Intuitive Surgical, Inc.8,9,*	(200	)		(56,100	)
				(66,895	)
Health Care Facilities—0.0%
Kindred Healthcare, Inc.*	(613	)		(11,316	)
Health Care Supplies—(0.3)%
Align Technology, Inc.8,9,*	(6,300	)		(76,860	)
Health Care Technology—(0.4)%
athenahealth, Inc.8,9,*	(2,700	)		(96,795	)

The accompanying notes are an integral part of the financial statements

142

Schedule of Investments	Series Z
December 31, 2009	(Alpha Opportunity Series)

	Shares		Value
COMMON STOCKS—(21.3)% (continued)
Home Entertainment Software—(0.2)%
Electronic Arts, Inc.8,9,*	(900	)	$	(36,720	)
Home Furnishings—(0.1)%
Mohawk Industries, Inc.*	(404	)		(19,230	)
Industrial Machinery—(0.1)%
Donaldson Company, Inc.	(404	)		(17,186	)
Industrial REIT’s—0.0%
EastGroup Properties, Inc.	(220	)		(8,422	)
Integrated Telecommunication Services—(0.1)%
Qwest Communications International, Inc.	(1,008	)		(4,244	)
Verizon Communications, Inc.	(404	)		(13,384	)
				(17,628	)
Internet Retail—0.0%
PetMed Express, Inc.	(438	)		(7,722	)
Internet Software & Services—(1.1)%
Baidu, Inc. ADR8,9,*	(200	)		(53,726	)
Equinix, Inc.8,9,*	(1,000	)		(79,940	)
SAVVIS, Inc.8,9,*	(5,900	)		(86,966	)
VeriSign, Inc.8,9,*	(1,300	)		(33,319	)
				(253,951	)
Leisure Products—(1.4)%
Callaway Golf Company	(404	)		(3,046	)
Pool Corporation8,9	(12,350	)		(305,663	)
				(308,709	)
Life Sciences Tools & Services—(0.7)%
Luminex Corporation8,9,*	(2,700	)		(68,823	)
Pharmaceutical Product Development, Inc.	(1,011	)		(23,698	)
Sequenom, Inc.8,9,*	(3,140	)		(64,716	)
				(157,237	)
Managed Health Care—(0.1)%
Centene Corporation*	(864	)		(18,291	)
Office REIT’s—(0.1)%
Kilroy Realty Corporation	(809	)		(24,812	)
Oil & Gas Exploration & Production—(0.5)%
BPZ Resources, Inc.8,9,*	(6,000	)		(112,800	)
Oil & Gas Refining & Marketing—(0.1)%
Tesoro Corporation	(818	)		(11,084	)
Valero Energy Corporation	(613	)		(10,268	)
				(21,352	)
Pharmaceuticals—(0.8)%
Auxilium Pharmaceuticals, Inc.8,9,*	(1,960	)		(72,167	)
Sepracor, Inc.8,9,*	(1,350	)		(23,625	)
XenoPort, Inc.8,9,*	(1,790	)		(82,036	)
				(177,828	)
Photographic Products—0.0%
Eastman Kodak Company	(1,107	)		(4,672	)
Publishing—(0.5)%
Gannett Company, Inc.	(818	)		(12,147	)
Interactive Data Corporation	(362	)		(9,159	)
McGraw-Hill Companies, Inc.	(809	)		(27,110	)
New York Times Company	(818	)		(10,110	)
Washington Post Company (Cl.B)	(117	)		(51,433	)
				(109,959	)
Regional Banks—(0.5)%
PrivateBancorp, Inc.8,9	(2,400	)		(103,200	)
SY Bancorp, Inc.	(180	)		(3,843	)
				(107,043	)
Residential REIT’s—(0.1)%
Mid-America Apartment Communities, Inc.	(607	)		(29,306	)
Restaurants—(0.2)%
Burger King Holdings, Inc.	(664	)		(12,496	)
Cheesecake Factory, Inc.*	(1,011	)		(21,827	)
PF Chang’s China Bistro, Inc.*	(408	)		(15,467	)
				(49,790	)
Security & Alarm Services—(0.1)%
Brink’s Company	(838	)		(20,397	)
Semiconductor Equipment—(0.1)%
Varian Semiconductor Equipment Associates, Inc.8,9,*	(1,270	)		(33,299	)
Semiconductors—(0.9)%
Cree, Inc.8,9,*	(4,200	)		(115,332	)
Micron Technology, Inc.*	(2,023	)		(21,363	)
NVIDIA Corporation*	(604	)		(11,283	)
Rambus, Inc.8,9,*	(3,680	)		(56,451	)
				(204,429	)
Soft Drinks—(0.4)%
Hansen Natural Corporation8,9,*	(3,270	)		(96,825	)
Specialized Finance—(0.2)%
Moody’s Corporation	(1,416	)		(37,949	)
NASDAQ OMX Group, Inc.*	(818	)		(16,213	)
				(54,162	)
Specialized REIT’s—(0.1)%
Healthcare Realty Trust, Inc.	(809	)		(17,361	)
Specialty Chemicals—(0.2)%
Zoltek Companies, Inc.8,9,*	(2,900	)		(52,867	)
Steel—(0.1)%
Allegheny Technologies, Inc.	(409	)		(18,311	)
Systems Software—(0.6)%
Red Hat, Inc.8,9,*	(3,300	)		(58,905	)
VMware, Inc.8,9,*	(2,500	)		(71,450	)
				(130,355	)
Thrifts & Mortgage Finance—0.0%
First Niagara Financial Group, Inc.	(202	)		(2,810	)
Hudson City Bancorp, Inc.	(202	)		(2,773	)
				(5,583	)

The accompanying notes are an integral part of the financial statements

143

Schedule of Investments	Series Z
December 31, 2009	(Alpha Opportunity Series)

	Shares		Value
COMMON STOCKS—(21.3)% (continued)
Trading Companies & Distributors—(0.1)%
Beacon Roofing Supply, Inc.*	(202	)	$	(3,232	)
Fastenal Company	(411	)		(17,114	)
				(20,346	)
Wireless Telecommunication Services—(0.8)%
Leap Wireless International, Inc.8,9,*	(1,600	)		(69,440	)
SBA Communications Corporation8,9,*	(2,600	)		(74,854	)
Telephone & Data Systems, Inc.	(886	)		(30,053	)
				(174,347	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $4,736,628)			$	(4,822,878	)
	Shares		Value
FOREIGN STOCKS—(17.1)%
Airlines—(0.2)%
Ryanair Holdings plc8,9,*	(10,200	)	$	(38,219	)
Airport Services—(0.9)%
Beijing Capital International Airport Company, Ltd.8,9	(232,000	)		(200,659	)
Apparel, Accessories & Luxury Goods—(0.1)%
C C Land Holdings, Ltd.8,9	(53,000	)		(14,782	)
Automobile Manufacturers—(2.3)%
Volkswagen AG8,9	(1,300	)		(539,375	)
Biotechnology—(1.0)%
Basilea Pharmaceutica8,9,*	(500	)		(83,364	)
Intercell AG8,9,*	(2,000	)		(78,778	)
Zeltia S.A.8,9	(8,500	)		(57,969	)
				(220,111	)
Broadcasting—(0.1)%
Tokyo Broadcasting System Holdings, Inc.8,9	(1,300	)		(21,836	)
Cable & Satellite—(0.3)%
Sky Deutschland AG8,9,*	(4,200	)		(68,951	)
Casinos & Gaming—(0.7)%
bwin Interactive Entertainment AG8,9,*	(1,700	)		(48,431	)
Genting Singapore plc8,9,*	(132,800	)		(43,724	)
PartyGaming plc8,9	(16,200	)		(60,974	)
				(153,129	)
Coal & Consumable Fuels—(0.3)%
Aquila Resources, Ltd.8,9,*	(2,860	)		(22,783	)
Riversdale Mining, Ltd.8,9,*	(7,100	)		(54,029	)
				(76,812	)
Construction & Engineering—(0.2)%
Ausenco, Ltd.8,9	(2,300	)		(24,817	)
China Communications Construction Company, Ltd.8,9	(16,000	)		(16,571	)
				(41,388	)
Construction & Farm Machinery & Heavy Trucks—(0.1)%
China National Materials Company, Ltd.8,9	(37,600	)		(19,168	)
Construction Materials—(0.2)%
Anhui Conch Cement Company, Ltd.8,9	(5,500	)		(24,761	)
China National Building Material Company, Ltd.8,9	(17,300	)		(23,432	)
				(48,193	)
Department Stores—(0.9)%
Marui Group Company, Ltd.8,9	(31,000	)		(233,862	)
Diversified Banks—(2.1)%
Aozora Bank, Ltd.8,9	(17,300	)		(27,861	)
Erste Group Bank AG8,9	(5,500	)		(337,971	)
Mizuho Financial Group, Inc.8,9	(12,000	)		(49,593	)
Mizuho Trust & Banking Company, Ltd.8,9	(18,800	)		(26,216	)
				(441,641	)
Diversified Metals & Mining—(0.3)%
Fushan International Energy Group, Ltd.8,9	(70,000	)		(25,165	)
Western Areas NL8,9,*	(6,600	)		(47,324	)
				(72,489	)
Diversified Real Estate Activities—(0.1)%
Franshion Properties China, Ltd.8,9	(84,600	)		(23,552	)
Electrical Components & Equipment—(0.1)%
Toyo Tanso Company, Ltd.8,9	(600	)		(32,408	)
Gold—(0.7)%
Agnico-Eagle Mines, Ltd.8,9,10	(1,900	)		(125,612	)
Sino Gold Mining, Ltd.8,9,*	(9,100	)		(37,425	)
				(163,037	)
Highways & Railtracks—(2.1)%
Brisa Auto-Estradas de Portugal S.A.8,9	(47,200	)		(490,927	)
Household Appliances—(1.9)%
Electrolux AB8,9	(32,100	)		(422,058	)
Industrial Machinery—(0.3)%
Japan Steel Works, Ltd.8,9	(1,600	)		(22,196	)
Meyer Burger Technology AG8,9,*	(200	)		(49,879	)
				(72,075	)
Internet Software & Services—(0.2)%
Access Company, Ltd.8,9,*	(18	)		(34,682	)
Investment Banking & Brokerage—(0.1)%
Monex Group, Inc.8,9	(83	)		(29,140	)

The accompanying notes are an integral part of the financial statements

144

Schedule of Investments	Series Z
December 31, 2009	(Alpha Opportunity Series)

	Shares		Value
FOREIGN STOCKS—(17.1)% (continued)
Marine Ports & Services—(0.1)%
China Merchants Holdings International Company, Ltd.8,9	(4,900	)	$	(17,461	)
Oil & Gas Equipment & Services—(0.4)%
Modec, Inc.8,9	(1,000	)		(25,772	)
Sevan Marine ASA8,9,*	(6,300	)		(33,049	)
Trican Well Service, Ltd.8,9	(2,200	)		(37,447	)
				(96,268	)
Oil & Gas Exploration & Production—(0.8)%
Arrow Energy, Ltd.8,9,*	(9,500	)		(24,514	)
Imperial Energy Corporation plc8,9,*	(4,200	)		(83,657	)
Queensland Gas Company, Ltd.8,9,*	(13,600	)		(52,897	)
				(161,068	)
Precious Metals & Minerals—(0.3)%
Silver Wheaton Corporation8,9,*	(6,500	)		(68,246	)
Real Estate Operating Companies—(0.3)%
Aeon Mall Company, Ltd.8,9	(1,900	)		(58,221	)
TOTAL FOREIGN STOCKS SOLD SHORT (proceeds $3,703,004)			$	(3,859,758	)
TOTAL SECURITIES SOLD SHORT—(38.4%) (proceeds $8,439,632)			$	(8,682,636	)

INVESTMENT CONCENTRATION

At December 31, 2009, the investment diversification of the Series was as follows:

Country	% of Net Assets		Value
United States	82.2	%	$	18,562,374
Cayman Islands	3.5			793,403
Jersey	1.5			332,858
Bermuda	1.3			308,068
United Kingdom	1.3			300,107
Canada	0.9			205,790
Belgium	0.7			168,224
Marshall Islands	0.4			100,570
Singapore	0.3			65,629
Mexico	0.2			51,302
India	0.1			24,870
Norway	(0.1	)		(33,049	)
Ireland	(0.2	)		(38,219	)
Isle Of Man	(0.2	)		(43,724	)
Spain	(0.3	)		(57,969	)
Gibraltar	(0.3	)		(60,974	)
Hong Kong	(0.3	)		(66,178	)
China	(0.4	)		(71,496	)
Switzerland	(0.5	)		(118,121	)
Republic of Korea	(1.2	)		(263,294	)
Australia	(1.2	)		(263,789	)
Sweden	(1.9	)		(422,058	)
Austria	(2.1	)		(465,180	)
Portugal	(2.1	)		(490,927	)
Japan	(2.4	)%		(561,787	)
Germany	(2.6	)		(608,326	)
Total Investments	76.6		$	17,348,104

For federal income tax purposes the identified cost of investments owned at December 31, 2009 was $25,376,453.

ADR	American Depositary Receipt
plc	Public Limited Company

* Non-income producing security

¹ Security is segregated as collateral for open short positions.

² All or portion of security is deemed illiquid. The total market value of illiquid securities is $8,134,012 (cost $9,036,264), or 35.9% of total net assets. The securities were liquid at time of purchase. This security is deemed illiquid due to the Series exposure to Lehman Brothers International Europe (“LBIE”) prime brokerage services. See Note 11 in the Notes to Financial Statements for additional information.

³ Security is segregated as collateral for open futures contracts.

⁴ Value determined based on Level 2 inputs.

⁵ Security is deemed illiquid. The total market value of illiquid securities is $0 (cost $101,261), or 0.0% of total net assets.

⁶ Security was subject to the fair value trigger at December 31, 2009. The total market value of fair valued securities amounts to $416,506 (cost $435,290), or 1.8% of total net assets.

⁷ Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs.

⁸ Value determined based on Level 3 inputs.

⁹ Security is fair valued by the Valuation Committee at December 31, 2009. The total market value of fair valued securities amounts to $(7,786,655) (cost $(7,622,318)), or (34.4%) of total net assets.

¹⁰ Security was acquired through a private placement.

The accompanying notes are an integral part of the financial statements

145

Series Z

(Alpha Opportunity Series)

Statement of Assets and Liabilities

December 31, 2009

Assets:
Investments, at value*	$	26,030,740
Cash		670,395
Restricted cash		709,418
Restricted cash denominated in a foreign currency, at value****		3,725,377
Receivables:
Securities sold		834,098
Dividends		41,795
Security Investors		20,084
Foreign taxes recoverable		606
Prepaid expenses		282
Total assets		32,032,795
Liabilities:
Cash overdraft denominated in a foreign currency, at value***		474
Securities sold short, at value**		8,682,636
Payable for:
Fund shares redeemed		1,290
Securities purchased		580,135
Variation margin on futures		45,600
Dividends on short sales		732
Management fees		23,967
Administration fees		7,076
Transfer agent/maintenance fees		2,083
Custodian fees		12,936
Directors’ fees		741
Professional fees		35,936
Other fees		5,874
Total liabilities		9,399,480
Net assets	$	22,633,315
Net assets consist of:
Paid in capital	$	35,027,220
Accumulated net realized loss on sale of investments and foreign currency transactions		(12,983,939	)
Net unrealized appreciation in value of investments and translation of assets and liabilities in foreign currencies		590,034
Net assets	$	22,633,315
Capital shares authorized		unlimited
Capital shares outstanding		1,613,542
Net asset value per share (net assets divided by shares outstanding)	$	14.03
*Investments, at cost	$	25,316,413
**Securities sold short, proceeds		8,439,632
***Cash denominated in a foreign currency, at cost		(471	)
****Restricted cash denominated in a foreign currency, at cost		3,626,604

Statement of Operations

For Year Ended December 31, 2009

Investment Income:
Dividends (net of foreign withholding tax $4,453)	$	275,668
Interest		(7,475	)
Total investment income		268,193
Expenses:
Management fees		276,548
Administration fees		49,334
Transfer agent/maintenance fees		25,131
Custodian fees		73,465
Directors’ fees		2,262
Professional fees		170,218
Reports to shareholders		14,109
Other		7,325
Dividends on short sales		11,608
Total expenses		630,000
Reimbursement of expenses		(244,101	)
Earnings credits applied		(3,374	)
Net expenses		382,525
Net investment loss		(114,332	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) during the year on:
Investments		(538,814	)
Securities sold short		(118,674	)
Futures		1,187,273
Foreign currency transactions		11,952
Net realized gain		541,737
Net unrealized appreciation (depreciation) during the year on:
Investments		4,863,976
Securities sold short		(69,686	)
Futures		(52,752	)
Translation of assets and liabilities in foreign currencies		142,205
Net unrealized appreciation		4,883,743
Net realized and unrealized gain		5,425,480
Net increase in net assets resulting from operations	$	5,311,148

The accompanying notes are an integral part of the financial statements

146

	Series Z
Statement of Changes in Net Assets	(Alpha Opportunity Series)

	Year Ended December 31, 2009			Year Ended December 31, 2008
Increase (decrease) in net assets from operations:
Net investment loss	$	(114,332	)	$	(458,753	)
Net realized gain (loss) during the year on investments and foreign currency transactions		541,737			(12,871,877	)
Net unrealized appreciation (depreciation) during the year on investments and translation of assets and liabilities in foreign currencies		4,883,743			(4,160,796	)
Net increase (decrease) in net assets resulting from operations		5,311,148			(17,491,426	)
Capital share transactions:
Proceeds from sale of shares		441,669			25,172,030
Cost of shares redeemed		(10,096,392	)		(29,572,908	)
Net decrease from capital share transactions		(9,654,723	)		(4,400,878	)
Net decrease in net assets		(4,343,575	)		(21,892,304	)
Net assets:
Beginning of year		26,976,890			48,869,194
End of year	$	22,633,315		$	26,976,890
Accumulated net investment loss at end of year	$	—		$	(1,386	)
Capital share activity:
Shares sold		44,054			1,673,286
Shares redeemed		(936,532	)		(2,129,771	)
Total capital share activity		(892,478	)		(456,485	)

The accompanying notes are an integral part of the financial statements

147

Financial Highlights	Series Z
Selected data for each share of capital stock outstanding through out the year	(Alpha Opportunity Series)

	2009			2008a			2007			2006			Year Ended December 31, 2005
Per Share Data
Net asset value, beginning of period	$	10.76		$	16.50		$	13.96		$	12.34		$	11.57
Income (loss) from investment operations:
Net investment income (loss)b		(0.06	)		(0.16	)		0.01			—			(0.02	)
Net gain (loss) on securities (realized and unrealized)		3.33			(5.58	)		2.53			1.62			0.79
Total from investment operations		3.27			(5.74	)		2.54			1.62			0.77
Net asset value, end of period	$	14.03		$	10.76		$	16.50		$	13.96		$	12.34
Total Returnc		30.39	%		(34.79	)%		18.19	%		13.13	%		6.66	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	22,633		$	26,977		$	48,869		$	36,442		$	25,660
Ratios to average net assets:
Net investment income (loss)		(0.52	)%		(1.09	)%		0.10	%		(0.03	)%		(0.21	)%
Total expensesd		2.85	%		2.79	%		2.50	%		2.78	%		2.50	%
Net expensese		1.68	%		2.64	%		2.39	%		2.62	%		2.50	%
Net expenses prior to custodian earnings credits and net of expense waivers		1.69	%		2.79	%		2.50	%		2.78	%		2.50	%
Portfolio turnover rate		555	%		990	%		1,770	%		1,285	%		1,509	%

^a Security Global Investors, LLC (SGI) became the sub-advisor of 37.5% of the assets of Series Z effective August 18, 2008. Also effective August 18, 2008, Mainstream Investment Advisers, LLC (Mainstream) sub-advises 37.5% of the assets and Security Investors, LLC (SI) manages 25% of the assets. Prior to August 18, 2008, SI paid Mainstream sub-advisory fees for 60% of the assets. SI managed the remaining 40% of the assets.

^b Net investment income (loss) was computed using average shares outstanding through out the period.

^c Total return does not take into account any of the expenses associated with an investment in variable insurance products offered by Security Benefit Life Insurance Company. If total return had taken into account these expenses, performance would have been lower. Shares of a series of SBL Fund are available only through the purchase of such products.

^d Total expense information reflects the expense ratios absent expense reductions by the Investment Manager and earnings credits, as applicable.

^e Net expense information reflects the expense ratios after voluntary expense waivers, reimbursements and custodian earnings credits, as applicable.

The accompanying notes are an integral part of the financial statements

148

Notes to Financial Statements

December 31, 2009

1. Significant Accounting Policies

SBL Fund (The Fund) is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company of the series type. Each series, in effect, represents a separate fund. The Fund is required to account for the assets of each series separately and to allocate general liabilities of the Fund to each Series based on the net asset value of each series. Security Benefit Life Insurance Company (“SBL”) and SBL’s affiliated life insurance company as well as unaffiliated life insurance companies purchase shares of the Series for their variable annuity and variable life insurance separate accounts. The following is a summary of the significant accounting policies followed by the Fund in the preparation of its financial statements.

In June 2009, the Financial Accounting Standards Board (FASB) established the FASB Accounting Standards Codification™ (ASC) as the single source of authoritative accounting principles recognized by the FASB in the preparation of financial statements in conformity with GAAP. The ASC supersedes existing non-grandfathered, non-SEC accounting and reporting standards. The ASC did not change GAAP but rather organized it into a hierarchy where all guidance within the ASC carries an equal level of authority. The ASC became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The ASC had no material effect on the Funds’ financial statements.

A. Security Valuation – Valuations of the Fund’s securities are supplied by pricing services approved by the Board of Directors. The Fund’s officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Series that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Series will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Securities listed on the Nasdaq Stock Market, Inc. (“Nasdaq”) will be valued at the Nasdaq Official Closing Price, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the closing bid price on such day. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund’s investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur after the close of a foreign exchange that will affect the value of a series portfolio securities before the time as of which the NAV is calculated (a “significant event”), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the Series net asset value per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS^®. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

The senior floating rate interests (loans) in which Series P invests are not listed on any securities exchange or board of trade. Accordingly, determinations of the value of loans may be based on infrequent and dated trades. Typically loans are valued using information provided by an independent third party pricing service. If the pricing service cannot or does not provide a valuation for a particular loan or such valuation is deemed unreliable, such loan is fair valued. In determining fair value, consideration is given to several factors, which may include, among others, one or more of the following: the fundamental business data relating to the issuer or borrower; an evaluation of the forces which influence the market in which these loans are purchased and sold; type of holding; financial statements of the borrower; cost at date of purchase; size of holding; credit worthiness and cash flow of issuer; information as to any transactions in, or offers for, the holding; price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; coupon payments; quality, value and saleability of collateral securing the loan; business prospects of the issuer/borrower, including any ability to obtain money or resources from a parent or affiliate; the portfolio manager’s and/or the market’s assessment of the borrower’s management; prospects for the borrower’s industry, and multiples (of earnings and/or cash flow) being paid for similar businesses in that industry; borrower’s competitive position within the industry; borrower’s ability to access additional liquidity through public and/or private markets; and other relevant factors.

149

Notes to Financial Statements

December 31, 2009

B. Repurchase Agreements – In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral and that the fair value of the collateral exceed the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Series may be delayed or limited.

C. Foreign Currency Transactions – The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Series. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains and losses arise from sales of portfolio securities, sales of foreign currencies, and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of portfolio securities other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates.

D. Forward Foreign Currency Exchange Contracts – The Fund may enter into forward foreign exchange contracts in order to manage foreign currency risk from purchase or sale of securities denominated in foreign currency. A series may also enter into such contracts to manage the effect of changes in foreign currency exchange rates on portfolio positions. These contracts are marked to market daily, by recognizing the difference between the contract exchange rate and the current market rate as unrealized gains or losses. Realized gains or losses are recognized when contracts are settled and are reflected in the Statement of Operations. These contracts involve market risk in excess of the amount reflected in the Statement of Assets and Liabilities. The face or contract amount in U.S. dollars reflects the total exposure these funds have in that particular currency contract. Losses may arise due to changes in the value of the foreign currency or if the counterparty does not perform under the contract.

E. Futures – The Fund may utilize futures contracts to a limited extent, with the objectives of maintaining full exposure to the underlying stock market, enhancing returns, maintaining liquidity, minimizing transaction costs and economically hedging possible variations in foreign exchange values. The Fund may purchase or sell financial and foreign currency futures contracts to immediately position incoming cash in the market, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. In the event of redemptions, the series may pay from its cash balances and reduce its future positions accordingly. Returns may be enhanced by purchasing futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks contained in the indexes and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the series are required to deposit and maintain as collateral either cash or securities, representing the initial margin, equal to a certain percentage of the contract value. Cash deposits are shown as restricted cash on the Statement of Assets and Liabilities; securities held as collateral are noted in the Schedule of Investments. Subsequent changes in the value of the contract are recorded as unrealized gains or losses. The variation margin is paid or received in cash daily by the series. The series realizes a gain or loss when the contract is closed or expires.

F. Options Purchased and Written – The Fund may purchase put and call options and write such options on a covered basis on securities that are traded on recognized securities exchanges and over-the-counter markets. Call and put options on securities give the holder the right to purchase or sell (and the writer the obligation to sell or purchase), respectively, a security at a specified price, until a certain date. Options may be used to economically hedge the series portfolio, to increase returns or to maintain exposure to the equity markets. The primary risks associated with the use of options are an imperfect correlation between the change in market value of the securities held by the series and the price of the option, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract.

The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option’s quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized.

G. Securities Sold Short – Certain of the Series may make short sales “against the box,” in which the Series enters into a short sale of a security it owns. At no time will more than 15% of the value of the Series’ net assets be in deposits on short sales against the box. If a Series makes a short sale, the Series does not immediately deliver from its own account the securities sold and does not receive the proceeds from the sale. To complete the sale, the Series must borrow the security (generally from the broker through which the short sale is made) in order to make delivery to the buyer. The Series must replace the security borrowed by purchasing it at the market price at the time of replacement or delivering the security from its own portfolio. The Series is said to have a “short position” in securities sold until it delivers them to

150

Notes to Financial Statements

December 31, 2009

the broker, at which time it receives the proceeds of the sale. Certain Series may make short sales that are not “against the box,” which create opportunities to increase the Series’ return but, at the same time, involve specific risk considerations and may be considered a speculative technique. Such short sales theoretically involve unlimited loss potential, as the market price of securities sold short may continually increase, although a Series may mitigate such losses by replacing the securities sold short before the market price has increased significantly. For financial statement purposes, an amount equal to the settlement amount is included in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the short position. Subsequent fluctuations in the market prices of securities sold, but not yet purchased, may require purchasing the securities at prices which differ from the market value reflected on the Statement of Assets and Liabilities. The Series are liable for any dividends or interest payable on securities while those securities are in a short position. As collateral for its short positions, the Series is required under the Investment Company Act of 1940 to maintain segregated assets consisting of cash, cash equivalents or liquid securities. These segregated assets are valued consistent with Note 1a above. These segregated assets are required to be adjusted daily to reflect changes in the market value of the securities sold short.

H. Senior Loans – Senior loans in which certain of the Series invests generally pay interest rates which are periodically adjusted by reference to short-term, floating rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at December 31, 2009.

I. Security Transactions and Investment Income – Security transactions are accounted for on the date the securities are purchased or sold (trade date). Realized gains and losses are reported on an identified cost basis. Dividend income is accrued as of ex-dividend date, except that certain dividends for foreign securities where the ex-dividend date may have passed are recorded as soon as the Series is informed of the dividend in the exercise of reasonable diligence. Interest income is recognized on the accrual basis including the amortization of premiums and accretion of discounts on debt securities.

J. Expenses – Expenses that are directly related to one of the Series are charged directly to that Series. Other operating expenses are allocated to the Series on the basis of relative net assets within the Fund.

K. Distributions to Shareholders – The Fund is required by the Internal Revenue Code to distribute substantially all of its income and capital gains to its shareholders. Each year the Fund determines whether to declare and pay actual dividends or whether to secure consent of its shareholders to report and deduct a consent dividend. A consent dividend is treated for tax purposes as a distribution to shareholders occurring on the last day of the Fund’s taxable year and a shareholder contribution to capital occurring on the same day. It is the Fund’s current practice to utilize the consent dividend procedures. The character of any distributions made from net investment income and net realized gains may differ from their ultimate characterization for income tax purposes.

L. Taxes – The Series intend to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and distribute all of their taxable net income and net realized gains sufficient to relieve them from all, or substantially all, federal income, excise and state income taxes. Distributions may be made via consent dividends, as described in the paragraph above. Therefore, no provision for federal or state income tax is required.

The evaluation of tax positions taken or expected to be taken in the course of preparing the Series’ tax returns is required to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. For all open tax years (December 31, 2006 - December 31, 2009) and all major taxing jurisdictions through the end of the reporting period, the Series’ management has completed a review and evaluation and has determined that no tax liability is required and no additional disclosures are needed as of December 31, 2009.

M. Earnings Credits – Under the fee agreement with the custodian, the Series’ may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits.

N. Use of Estimates – The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

O. Indemnifications – Under the Fund’s organizational documents, its Officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnification to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred, and may not occur. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

P. Recent Accounting Pronouncement – On January 21, 2010, the FASB issued an ASU, Fair Value Measurements and Disclosures (Topic 820): Improving Disclosures about Fair Value Measurements which provides guidance on how

151

Notes to Financial Statements

December 31, 2009

investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose: i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, ii) transfers between all levels (including Level 1 and Level 2) will be required to be disclosed on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfer, and iii) purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3 rollforward rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2009, however, the requirement to provide the Level 3 activity for purchases, sales, issuances and settlements on a gross basis will be effective for interim and annual periods beginning after December 15, 2010. At this time the Fund is evaluating the implications of the amendment to ASC 820 and the impact to the financial statements.

2. Management fees and other transactions with affiliates

Management fees are paid monthly to Security Investors (SI), based on the following annual rates:

	Management Fees (as a % of net assets)		Fee Waivers (as a % of net assets)
Series A (Equity Series)	0.75	%	N/A
Series B (Large Cap Value Series)	0.65		N/A
Series C (Money Market Series)	0.50		N/A
Series D (Global Series)	1.00		N/A
Series E (U.S. Intermediate Bond Series)	0.75		0.15
Series H (Enhanced Index Series)	0.75		0.25
Series J (Mid Cap Growth Series)	0.75		N/A
Series N (Managed Asset Allocation Series)	1.00		N/A
Series O (All Cap Value Series)	0.70		N/A
Series P (High Yield Series)	0.75		N/A
Series Q (Small Cap Value Series)	0.95	1	N/A
Series V (Mid Cap Value Series)	0.75		N/A
Series X (Small Cap Growth Series)	0.85		N/A
Series Y (Select 25 Series)	0.75		N/A
Series Z (Alpha Opportunity Series)	1.25		N/A

¹ Effective February 9, 2009 SI receives a management fee from Series Q at an annual rate of 0.95% of the average daily net assets. Prior to February 9, 2009, SI received a management fee from Series Q of 1.00% of the average daily net assets.

SI also acts as the administrative agent and transfer agent for the Fund, and as such performs administrative functions, transfer agency and dividend disbursing services, and the bookkeeping, accounting and pricing functions for each series. For these services, the Investment Manager receives the following:

	Administrative Fees (as a % of net assets)*
Series A (Equity Series)	0.095	%
Series B (Large Cap Value Series)	0.095
Series C (Money Market Series)	0.095
Series D (Global Series)	0.150
Series E (U.S. Intermediate Bond Series)	0.095
Series H (Enhanced Index Series)	0.095
Series J (Mid Cap Growth Series)	0.095
Series N (Managed Asset Allocation Series)	0.150
Series O (All Cap Value Series)	0.095
Series P (High Yield Series)	0.095
Series Q (Small Cap Value Series)	0.095
Series V (Mid Cap Value Series)	0.095
Series X (Small Cap Growth Series)	0.095
Series Y (Select 25 Series)	0.095
Series Z (Alpha Opportunity Series)	0.150

* The minimum annual charge for administrative fees is $25,000 for Series A, B, C, E, H, J, O, P, Q, V, X, Y and Z and $60,000 for Series D and N.

SI is paid the following for providing transfer agent services to the Fund:

Annual charge per account	$	5.00 - $8.00
Transaction fee	$	0.60 - $1.10
Minimum annual charge per series	$	25,000
Certain out-of-pocket charges		Varies

Effective August 18, 2008, the investment advisory contract for Series O and Series Z provides that the total expenses be limited to 0.85% and 1.70%, respectively, of average daily net assets, exclusive of brokerage costs, dividends on securities sold short, expenses of other investment companies in which a fund invests, interest, taxes, litigation, indemnification, and extraordinary expenses (as determined under generally accepted accounting principles). These contracts are in effect through April 30, 2010.

At December 31, 2009, Security Benefit Life Insurance Company, through their insurance company separate accounts, owned 100% of the outstanding shares of each Series of the Fund, except for Series B, Series J and Series N, in which it owns 99% of each Series, Series O, Series P, Series Q, Series V, in which it owns 98% of each Series, Series E in which it owns 96% and Series Y in which it owns 94%.

152

Notes to Financial Statements

December 31, 2009

3. Unrealized Appreciation/Depreciation

For federal income tax purposes, the amounts of unrealized appreciation (depreciation) on investments at December 31, 2009, were as follows:

	Gross unrealized appreciation		Gross unrealized depreciation			Net unrealized appreciation (depreciation)
Series A
(Equity)	$	24,742,423	$	(14,495,512	)	$	10,246,911
Series B
(Large Cap Value)		39,293,781		(29,408,292	)		9,885,489
Series C
(Money Market)		9,441		(35,950	)		(26,509	)
Series D
(Global)		31,111,324		(3,525,286	)		27,586,038
Series E
(U.S. Intermediate Bond)		2,058,096		(4,109,913	)		(2,051,817	)
Series H
(Enhanced Index)		2,568,410		(1,385,892	)		1,182,518
Series J
(Mid Cap Growth)		23,094,299		(1,575,319	)		21,518,980
Series N
(Managed Asset Allocation)		5,483,629		(3,458,189	)		2,025,440
Series O
(All Cap Value)		12,094,179		(20,566,892	)		(8,472,713	)
Series P
(High Yield)		19,439,136		(13,750,170	)		5,688,966
Series Q
(Small Cap Value)		29,775,393		(2,389,041	)		27,386,352
Series V
(Mid Cap Value)		42,384,018		(32,553,184	)		9,830,834
Series X
(Small Cap Growth)		7,777,932		(834,256	)		6,943,676
Series Y
(Select 25)		5,144,478		(595,094	)		4,549,384
Series Z
(Alpha Opportunity)		2,372,076		(1,717,789	)		654,287

4. Investment Transactions

Investment transactions for the year ended December 31, 2009, (excluding overnight investments, short-term commercial paper and U.S. government securities) were as follows:

	Purchases		Proceeds from Sales
Series A
(Equity)	$	125,422,753	$	145,634,623
Series B
(Large Cap Value)		39,004,827		64,395,143
Series C
(Money Market)		—		—
Series D
(Global)		783,386,527		826,885,607
Series E
(U.S. Intermediate Bond)		102,449,200		78,057,916
Series H
(Enhanced Index)		35,199,645		40,225,084
Series J
(Mid Cap Growth)		174,966,705		187,659,251
Series N
(Managed Asset Allocation)		32,779,443		48,753,719
Series O
(All Cap Value)		27,972,830		55,744,971
Series P
(High Yield)		72,718,332		48,849,081
Series Q
(Small Cap Value)		124,971,989		121,351,651
Series V
(Mid Cap Value)		74,738,241		119,455,000
Series X
(Small Cap Growth)		29,408,803		33,091,922
Series Y
(Select 25)		49,828,845		52,662,502
Series Z
(Alpha Opportunity)		94,412,408		99,651,513

153

Notes to Financial Statements

December 31, 2009

5. Open Futures Contracts

Open futures contracts for Series H and Series Z as of December 31, 2009, were as follows:

	Position	Number of Contracts	Expiration Date	Contract Amount		Market Value		Unrealized Gain/ (Loss)
Series H
S&P 500 E-Mini Future	Long	15	03/19/2010	$	826,075	$	833,025	$	6,950
Series Z
S&P 500 Index Future	Long	16	03/19/2010	$	4,422,877	$	4,442,800	$	19,923

6. Affiliated Issuers

Investments representing 5% or more of the outstanding voting securities of a portfolio company of a fund result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act. The aggregate market value of all securities of affiliated companies held in Series V as of December 31, 2009 amounted to $12,102, which represents 0.0% of net assets. There were no affiliated companies held in any other Series. Transactions in Series V during the year ended December 31, 2009 in which the portfolio company is an “affiliated person” are as follows:

	Balance 12/31/08		Gross Additions		Gross Reductions		Balance 12/31/09		Realized Gain/ (Loss)		Investment Income
Hydrogen Corporation (Shares)		672,346		—		—		672,346		—		—
Hydrogen Corporation (Cost)	$	2,571,575	$	—	$	—	$	2,571,575	$	—	$	—

* As a result of Series V’s beneficial ownership of the common stock of these portfolio companies, applicable regulations require that the Series state that it may be deemed an affiliate of the respective portfolio company. The Series disclaims that the “affiliated persons” are affiliates of the Distributor, Advisor, Series or any other client of the Advisor.

154

Notes to Financial Statements

December 31, 2009

7. Options Written

Information as to options written by the Series during the period ended December 31, 2009 and options outstanding at period end is provided below.

Series O Written Call Options Outstanding

Common Stock	Expiration Date	Exercise Price		Number of Contracts	Market Value
Fossil, Inc.	03-19-10	$	35.00	25	$	4,000
Petrohawk Energy Corporation	03-19-10	$	23.00	478		121,890
Total call options outstanding (premiums received, $90,964)				503	$	125,890

Series O Written Call Options

	Number of Contracts		Premium Amount
Balance at December 31, 2008	155		$	45,995
Opened	3,987			332,508
Bought Back	(56	)		(10,248	)
Exercised	(240	)		(44,775	)
Expired	(3,343	)		(232,516	)
Balance at December 31, 2009	503		$	90,964

Series O Written Put Options Outstanding

Common Stock	Expiration Date	Exercise Price	Number of Contracts	Market Value
Quanta Services	01-15-10	22.50	331	$	51,305
Total put options outstanding (premiums received, $53,951)			331	$	51,305

Series O Written Put Options

	Number of Contracts		Premium Amount
Balance at December 31, 2008	—		$	—
Opened	918			117,720
Exercised	(112	)		(13,216	)
Expired	(475	)		(50,553	)
Balance at December 31, 2009	331		$	53,951

Series Q Written Call Options Outstanding

Common Stock	Expiration Date	Exercise Price		Number of Contracts	Market Value
Clearwater Paper Corp.	01-15-10	$	50.00	135	$	68,850
Commerce Bancshares, Inc.	03-19-10		40.00	99		10,395
Fossil, Inc.	03-19-10		35.00	123		19,680
Petrohawk Energy Corporation	03-19-10		23.00	277		70,635
Pico Holdings, Inc.	01-15-10		30.00	301		78,260
Total call options outstanding (premiums received, $243,492)				935	$	247,820

Series Q Written Call Options

	Number of Contracts		Premium Amount
Balance at December 31, 2008	—		$	—
Opened	4,961			691,745
Bought Back	(66	)		(12,078	)
Expired	(2,822	)		(241,692	)
Exercised	(1,138	)		(194,483	)
Balance at December 31, 2009	935		$	243,492

Series V Written Call Options Outstanding

Common Stock	Expiration Date	Exercise Price		Number of Contracts	Market Value
Commerce Bancshares, Inc.	03-19-10	$	40.00	360	$	37,800
Fossil, Inc.	03-19-10		35.00	281		44,960
Petrohawk Energy Corporation	03-19-10		23.00	750		191,250
Redwood Trust, Inc.	01-15-10		17.50	405		2,025
Total put options outstanding (premiums received, $309,842)				1,796	$	276,035

Series V Written Call Options

	Number of Contracts		Premium Amount
Balance at December 31, 2008	4,228		$	803,927
Opened	14,760			2,077,583
Bought Back	(130	)		(23,789	)
Exercised	(4,912	)		(1,056,036	)
Expired	(12,150	)		(1,491,843	)
Balance at December 31, 2009	1,796		$	309,842

Series V Written Put Options Outstanding

Common Stock	Expiration Date	Exercise Price		Number of Contracts	Market Value
Bemis Company, Inc.	01-15-10	$	25.00	244	$	1,220
Quanta Services, Inc.	01-15-10		22.50	597		92,535
Total put options outstanding (premiums received, $131,046)				841	$	93,755

Series V Written Put Options

	Number of Contracts		Premium Amount
Balance at December 31, 2008	3,805		$	549,517
Opened	5,054			749,105
Exercised	(203	)		(23,953	)
Expired	(7,815	)		(1,143,623	)
Balance at December 31, 2009	841		$	131,046

155

Notes to Financial Statements

December 31, 2009

8. Derivative Investment Holdings Categorized by Risk Exposure

The Fund adopted FASB ASC 815, Derivatives and Hedging (ASC 815), effective December 31, 2009. ASC 815 is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how and why the Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Fund are being used as hedging instruments.

The Fund seeks to gain exposure to its respective benchmark by investing in financial-linked derivative instruments, including futures and options on equity securities. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Fund’s net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives:

Fund	Approximate percentage of Fund’s net assets on a daily basis
Series H	1.75	%
Series O	0.11	%
Series Q	0.20	%
Series V	0.12	%
Series Z	19.63	%

The following is a summary of the location of derivative investments on the Fund’s Statements of Assets and Liabilities as of December 31, 2009:

Location on the Statements of Assets and Liabilities

Derivative Investments Type	Asset Derivatives	Liability Derivatives
Futures - equity contracts	Receivable: Variation margin	Payable: Variation margin
Options - equity contracts	Investments, at value	Outstanding options written, at value

The following table sets forth the fair value of the Fund’s derivatives contracts by primary risk exposure as of December 31, 2009:

Asset Derivative Investments Value

Fund	Futures Equity Contracts*		Options Equity Contracts		Total Value at December 31, 2009
Series H (Enhanced Index Series)	$	6,950	$	—	$	6,950
Series Z (Alpha Opportunity Series)		19,923		—		19,923

Liability Derivative Investments Value

Fund	Futures Equity Contracts*		Options Equity Contracts		Total Value at December 31, 2009
Series O (All Cap Value Series)	$	—	$	177,195	$	177,195
Series Q (Small Cap Value Series)		—		247,820		247,820
Series V (Mid Cap Value Series)		—		369,790		369,790

* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Notes to Financial Statements. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Fund’s Statements of Operations as of December 31, 2009:

Location on the Statements of Operations

Derivative Investments Type	Location of Gain (Loss) on Derivatives
Futures - equity contracts	Net realized gain (loss) on futures contracts and change in net unrealized appreciation (depreciation) on futures contracts
Options - equity contracts	Net realized gain (loss) on options written and change in net unrealized appreciation (depreciation) on options written

156

Notes to Financial Statements

December 31, 2009

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure as of December 31, 2009:

Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations

Fund	Futures Equity Contracts		Options Equity Contracts		Total Value at December 31, 2009
Series A (Equity Series)	$	—	$	7,098	$	7,098
Series B (Large Cap Value Series)		—		22,775		22,775
Series H (Enhanced Index Series)		205,203		—		205,203
Series O (All Cap Value Series)		—		288,764		288,764
Series Q (Small Cap Value Series)		—		248,403		248,403
Series V (Mid Cap Value Series)		—		2,648,685		2,648,685
Series Z (Alpha Opportunity Series)		1,187,273		—		1,187,273

Change in Unrealized Appreciation (Depreciation) on Derivative Investments

Recognized in the Statement of Operations

Fund	Futures Equity Contracts			Options Equity Contracts			Total Value at December 31, 2009
Series H (Enhanced Index Series)	$	(11,247	)	$	—		$	(11,247	)
Series O (All Cap Value Series)		—			(77,500	)		(77,500	)
Series Q (Small Cap Value Series)		—			(4,328	)		(4,238	)
Series V (Mid Cap Value Series)		—			(699,260	)		(699,260	)
Series Z (Alpha Opportunity Series)		(52,752	)		—			(52,752	)

157

Notes to Financial Statements

December 31, 2009

9. Fair Value of Financial Instruments

The Fund adopted FASB ASC 820, Fair Value Measurements and Disclosure (ASC 820) effective October 1, 2008. In accordance with ASC 820, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three broad levels listed below:

Level 1	-	quoted prices in active markets for identical securities. The types of assets and liabilities carried at Level 1 fair value generally are government and agency securities, equities listed in active markets, certain futures and certain options.
Level 2	-	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). The types of assets and liabilities carried at Level 2 fair value generally are municipal bonds, certain mortgage and asset-backed securities, certain corporate debt, commercial paper and repurchase agreements.
Level 3	-	significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). The types of assets and liabilities carried at Level 3 fair value generally are certain mortgage and asset-backed securities, certain corporate debt and certain derivatives.

Observable inputs are those based on market data obtained from sources independent of the Fund, and unobservable inputs reflect the Fund’s own assumptions based on the best information available.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk association with investing in those securities.

158

Notes to Financial Statements

December 31, 2009

Description	Total		LEVEL 1 Quoted prices in active markets for identical assets		LEVEL 2 Significant other observable inputs		LEVEL 3 Significant observable inputs
SBL Fund:
Series A (Equity Series)
Common Stocks	$	183,412,664	$	183,412,664	$	—	$	—
Series B (Large Cap Value Series)
Common Stocks		272,244,568		272,244,568		—		—
Commercial Paper		3,499,991		—		3,499,991		—
Total		275,744,559		272,244,568		3,499,991		—
Series C (Money Market Series)
Asset Backed Securities		480,570		—		480,570		—
U.S. Government Sponsored Agency Bonds & Notes		78,839,665		—		78,839,665		—
Commercial Paper		73,075,520		—		73,075,520		—
Total		152,395,755		—		152,395,755		—
Series D (Global Series)
Common Stocks		146,573,253		146,573,253		—		—
Foreign Stocks		120,778,605		2,753,127		118,025,478		—
Short Term Investments		2,109,842		—		2,109,842		—
Total		269,461,700		149,326,380		120,135,320		—
Series E (U.S. Intermediate Bond Series)
Corporate Bond		63,274,761		—		63,274,761		—
Preferred Stock		224,706		—		—		224,706
Mortgage Backed Securities		3,706,127		—		3,706,127		—
Asset Backed Securities		396,870		—		396,870		—
U.S. Government Sponsored Agency Bonds & Notes		20,459,073		—		20,459,073		—
U.S. Government Securities		38,510,540		38,510,540		—		—
Total		126,572,077		38,510,540		87,836,831		224,706
Series H (Enhanced Index Series)
Common Stocks		46,072,676		46,072,676		—		—
Preferred Stock		346,010		346,010		—		—
U.S. Government Securities		109,958		109,958		—		—
Futures Contracts		6,950		6,950		—		—
Total		46,535,594		46,535,594		—		—
Series J (Mid Cap Growth Series)
Common Stocks		149,361,581		149,361,581		—		—
Warrants		795		—		795		—
Total		149,362,376		149,361,581		795		—

159

Notes to Financial Statements

December 31, 2009

Description	Total			LEVEL 1 Quoted prices in active markets for identical assets			LEVEL 2 Significant other observable inputs		LEVEL 3 Significant observable inputs
Series N (Managed Asset Allocation)
Common Stocks	$	40,625,113		$	40,625,090		$	23	$	—
Foreign Stocks		9,794,021			212,066			9,581,955		—
Preferred Stock		136,927			136,927			—		—
Warrants		21			—			21
Corporate Bond		10,987,753			—			10,987,753		—
Foreign Bond		121,442			—			121,442		—
Foreign Government Bond		120,900			—			120,900		—
Municipal Bond		371,316			—			371,316		—
Mortgage Backed Securities		8,597,458			—			8,597,458		—
Asset Backed Securities		1,122,455			—			1,122,455		—
U.S. Government Sponsored Agency Bonds & Notes		10,661			—			10,661		—
U.S. Government Securities		4,513,126			4,513,126			—		—
Short Term Investments		2,363,212			—			2,363,212		—
Total		78,764,405			45,487,209			33,277,196		—
Series O (All Cap Value Series)
ASSETS:
Common Stocks		162,372,757			162,372,757			—		—
LIABILITIES:
Written Options (net of premiums received)		(32,280	)		(32,280	)		—		—
Series P (High Yield Series)
Common Stocks		349,767			249,126			264		100,377
Preferred Stock		380,623			380,623			—		—
Warrant		23,150			—			—		23,150
Convertible Bonds		6,423,187			—			6,423,187		—
Corporate Bond		124,883,708			—			124,225,718		657,990
Senior Floating Rate Interests		2,794,936			—			2,794,936		—
Foreign Bond		86,600			—			86,600		—
Foreign Government Bond		370,456			—			370,456		—
Total		135,312,427			629,749			133,901,161		781,517
Series Q (Small Cap Value Series)
ASSETS:
Common Stocks		124,195,107			124,195,107			—		—
LIABILITIES:
Written Options (net of premiums received)		(4,328	)		(4,328	)		—		—
Series V (Mid Cap Value Series)
ASSETS:
Common Stocks		287,888,725			287,888,725			—		—
Warrants		820			—			820		—
Convertible Bonds		2,275,000			—			2,275,000		—
Total		290,164,545			287,888,725			2,275,820		—
LIABILITIES:
Options (net of premiums received)		71,098			71,098			—		—
Series X (Small Cap Growth Series)
Common Stocks		34,398,377			34,398,377			—		—
Series Y (Select 25 Series)
Common Stocks		39,766,548			39,766,548			—		—

160

Notes to Financial Statements

December 31, 2009

Description	Total			LEVEL 1 Quoted prices in active markets for identical assets			LEVEL 2 Significant other observable inputs		LEVEL 3 Significant observable inputs
Series Z (Alpha Opportunity Series)
ASSETS:
Common Stocks	$	17,127,863		$	17,127,863		$	—	$	—
Foreign Stocks		416,506			—			416,506		—
U.S. Government Sponsored Agency Bonds & Notes		3,899,860			—			3,899,860		—
Short Term Investments		2,278,515			—			2,278,515		—
Repurchase Agreement		2,307,996			—			2,307,996		—
Futures Contracts		19,923			19,923			—		—
Total		26,050,663			17,147,786			8,902,877		—
LIABILITIES:
Common Stocks (sold short)		(4,822,878	)		(895,981	)		—		(3,926,897	)
Foreign Stocks (sold short)		(3,859,758	)		—			—		(3,859,758	)
Total		(8,682,636	)		(895,981	)		—		(7,786,655	)

161

Notes to Financial Statements

December 31, 2009

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended December 31, 2009:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Securities			Total
Series E (U.S. Intermediate Bond Series)
ASSETS:
Beginning Balance	$	90,205		$	90,205
Total realized gains or losses included in earnings		—			—
Total unrealized gains or losses included in earnings		134,501			134,501
Purchases, sales, issuances, and settlements (net)		—			—
Transfers in and/or out of Level 3		—			—
Ending Balance	$	224,706		$	224,706
Series N (Managed Asset Allocation Series)
ASSETS:
Beginning Balance	$	30,793		$	30,793
Total realized gains or losses included in earnings		—			—
Total unrealized gains or losses included in earnings		14,207			14,207
Purchases, sales, issuances, and settlements (net)		—			—
Transfers in and/or out of Level 3		(45,000	)		(45,000	)
Ending Balance	$	—		$	—
Series P (High Yield Series)
ASSETS:
Beginning Balance	$	450,303		$	450,303
Total realized gains or losses included in earnings		—			—
Total unrealized gains or losses included in earnings		(1,056,176	)		(1,056,176	)
Purchases, sales, issuances, and settlements (net)		(35,928	)		(35,928	)
Transfers in and/or out of Level 3		1,423,318			1,423,318
Ending Balance	$	781,517		$	781,517
Series Z (Alpha Opportunity Series)
LIABILITIES:
Beginning Balance	$	7,786,655		$	7,786,655
Total realized gains or losses included in earnings		—			—
Total unrealized gains or losses included in earnings		—			—
Purchases, sales, issuances, and settlements (net)		—			—
Transfers in and/or out of Level 3		—			—
Ending Balance	$	7,786,655		$	7,786,655

162

Notes to Financial Statements

December 31, 2009

10. Federal Tax Matters

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to differing book and tax amortization methods for premium and market discount, consent dividends, ordinary net operating losses, realized gain/loss on foreign currency and the expiration of capital loss carryovers. To the extent these differences are permanent differences, adjustments are made to the appropriate equity accounts in the period that the differences arise. The following adjustments were made to the Statement of Assets and Liabilities at December 31, 2009 to reflect permanent differences:

	Accumulated Net Realized Gain/(Loss)			Undistributed Net Investment Income			Paid-In-Capital
Series A	$	—		$	(1,665,710	)	$	1,665,710
Series B		5,057,813			(4,509,471	)		(548,342	)
Series C		—			(3,769,489	)		3,769,489
Series D		961,906			(8,417,121	)		7,455,215
Series E		(108,274	)		(5,462,088	)		5,570,362
Series H		—			(994,450	)		994,450
Series J		—			184,141			(184,141	)
Series N		4,662			(1,990,898	)		1,986,236
Series O		—			(4,037,889	)		4,037,889
Series P		125,946			(8,369,500	)		8,243,554
Series Q		(3,109,534	)		(296,168	)		3,405,702
Series V		(18,875,628	)		(3,755,588	)		22,631,216
Series X		—			94,092			(94,092	)
Series Y		9,340,921			(71,213	)		(9,269,708	)
Series Z		(11,952	)		115,718			(103,766	)

163

Notes to Financial Statements

December 31, 2009

10. Federal Tax Matters (continued)

At December 31, 2009, the following Series had capital loss carryovers and deferred post-October losses to offset future realized capital gains as follows:

	Capital Loss Carryover Utilized in 2009		Capital Loss Carryovers Expired in 2009		Capital Loss Carryovers		Expires In	Deferred Post-October Losses
Series A	$	—	$	—	$	23,906,984	2016	$	3,148,561
		—		—		29,087,804	2017
	$	—	$	—	$	52,994,788
Series B	$	—	$	5,057,813	$	—	2009		2,174,233
		—		—		87,172,720	2010
		—		—		26,620,854	2011
		—		—		29,474,335	2016
		—		—		27,901,075	2017
	$	—	$	5,057,813	$	171,168,984
Series D	$	—	$	—	$	57,035,385	2016		6,160
		—		—		52,931,604	2017
	$	—	$	—	$	109,966,989
Series E	$	—	$	—	$	719,015	2010		—
		—		—		350,320	2012
		—		—		2,731,334	2014
		—		—		838,194	2015
		—		—		937,378	2016
		—		—		12,363,518	2017
	$	—	$	—	$	17,939,759
Series H	$	—	$	—	$	7,974,428	2016		444,580
		—		—		9,977,861	2017
	$	—	$	—	$	17,952,289
Series J	$	—	$	—	$	48,891,509	2016		781,987
		—		—		29,862,503	2017
	$	—	$	—	$	78,754,012
Series N	$	—	$	—	$	2,648,702	2016		110,779
		—		—		9,066,990	2017
	$	—	$	—	$	11,715,692
Series O	$	—	$	—	$	17,818,296	2016		—
		—		—		12,798,147	2017
	$	—	$	—	$	30,616,443
Series P	$	52,155	$	—	$	1,117,474	2016		1,155,379
Series Q	$	—	$	—	$	21,648,883	2017		—
Series V	$	—	$	—	$	27,781,912	2017		—
Series X	$	—	$	—	$	7,184,628	2010		—
		—		—		11,654,235	2016
		—		—		11,332,381	2017
	$	—	$	—	$	30,171,244
Series Y	$	—	$	9,340,921	$	—	2009		825,101
		—		—		9,284,391	2010
		—		—		6,092,310	2011
		—		—		338,147	2012
		—		—		9,012,784	2016
		—		—		6,370,486	2017
	$	—	$	9,340,921	$	31,098,118
Series Z	$	—	$	—	$	10,774,584	2016		—
		—		—		2,129,392	2017
	$	—	$	—	$	12,903,976

164

Notes to Financial Statements

December 31, 2009

10. Federal Tax Matters (continued)

The Fund declared ordinary and long-term capital gain consent dividends for the year ended December 31, 2008, as shown below.

	Ordinary Consent Dividends		Long-term Capital Gain Consent Dividends
Series A	$	1,665,710	$	—
Series B		4,509,471		—
Series C		4,249,459		—
Series D		7,455,215		—
Series E		5,570,363		—
Series H		994,450		—
Series N		1,986,236		—
Series O		4,037,889		—
Series P		8,243,554		—
Series Q		684,695		2,747,162
Series V		3,755,588		18,875,628
Series Y		71,213		—

Short term distributions are treated as ordinary distributions for federal income tax purposes.

As of December 31, 2009, the components of distributable earnings/(deficit) on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-term Gain		Accumulated Capital and Other Losses			Unrealized Appreciation (Depreciation)*			Distributable Earnings (Deficit)**
Series A	$	1,140,095	$	—	$	(56,143,349	)	$	10,246,911		$	(44,756,343	)
Series B		2,616,829		—		(173,343,216	)		9,885,489			(160,840,898	)
Series C		—		—		—			(26,509	)		(26,509	)
Series D		1,919,749		—		(109,973,149	)		27,574,243			(80,479,157	)
Series E		3,803,661		—		(17,939,759	)		(2,051,817	)		(16,187,915	)
Series H		681,706		—		(18,396,869	)		1,182,518			(16,532,645	)
Series J		—		—		(79,535,999	)		21,518,980			(58,017,019	)
Series N		1,350,482		—		(11,826,471	)		2,024,359			(8,451,630	)
Series O		1,474,436		—		(30,616,443	)		(8,504,993	)		(37,647,000	)
Series P		9,769,938		—		(2,272,853	)		5,688,966			13,186,051
Series Q		—		—		(21,648,883	)		27,382,025			5,733,142
Series V		2,528,388		—		(27,781,912	)		9,901,932			(15,351,592	)
Series X		—		—		(30,171,244	)		6,943,676			(23,227,568	)
Series Y		126,624		—		(31,923,219	)		4,549,384			(27,247,211	)
Series Z		—		—		(12,903,976	)		510,071			(12,393,905	)

* The difference between book basis and tax basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the realization of unrealized gains for tax purposes on futures contracts, differing book and tax methods for bond discount/premium amortization, and passive foreign investment companies.

** The difference between total distributable earnings/(deficit) for book and tax purposes is related to the interest accrued on defaulted bonds for tax purposes.

165

Notes to Financial Statements

December 31, 2009

11. Series Z

Series Z - Alpha Opportunity Series (“Series Z”) contracted with Lehman Brothers International Europe (“LBIE”) to provide prime brokerage services related to Series Z’s short selling. On September 15, 2008, LBIE was placed into administration and a third party administrator has been named (the “Administrator”). Series Z’s exposure to LBIE consists of short sale proceeds held by LBIE, and restricted long positions held at Series Z’s custodian, as collateral for said short sales. Series Z has delivered a Notice of Termination of Loans to LBIE and the Administrator. Series Z is working to resolve these issues with LBIE and the Administrator. As of December 31, 2009, included in the statement of net assets are the value of restricted long positions of $8,134,012, restricted cash representing the value of short sale proceeds of $4,434,795 and liabilities for short sales of $7,786,655 representing the value of securities sold short at the date of termination. Until such time as the liability for short sales is settled and all restrictions are removed, Series Z cannot sell such restricted long positions and/or utilize the restricted cash balances to achieve Series Z’s investment objectives and/or meet Series Z’s redemption or other obligations. The liability for short sales recorded at December 31, 2009 may differ from the amounts ultimately due at settlement due to the inherent uncertainties in any such estimation process, including various challenges which could be made in the bankruptcy proceedings. Such differences, if any, will be reported in future periods when additional information is provided by the Administrator and the differences may be material.

12. Other Liabilities

Series A - Equity Series (“Series A”) and Series V - Mid Cap Value Series (“Series V”) each wrote put option contracts through Lehman Brothers, Inc., (“Lehman”) that were exercised prior to the option contracts expiration and prior to the bankruptcy filing by Lehman, during September 2008. However, these transactions have not settled and the securities have not been delivered to Series A or Series V as of December 31, 2009.

Although the ultimate resolution of these transactions is uncertain, Series A and Series V have recorded a liability on their respective books equal to the difference between the strike price on the put options and the market prices of the underlying security on the exercise date. The amount of liability recorded by Series A and Series V as of December 31, 2009 was $18,615 for Series A and $205,716 for Series V. Any differences will be reported in future periods when transactions have settled.

13. Subsequent Events

Management has evaluated events or transactions that may have occurred since December 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through February 25, 2010, the date the financial statements were issued.

Effective close of business April 30, 2010, SBL Fund Series H will merge into SBL Fund Series A under a plan of reorganization. This exchange will qualify as a tax free reorganization under Section (a)(i)(c) of the Internal Revenue Code.

On February 15, 2010, Security Benefit Mutual Holding Company (“SBMHC”), the parent company of Security Benefit Corporation (“SBC”) and the ultimate parent company of Security Investors entered into a Purchase and Sale Agreement whereby Guggenheim SBC Holdings LLC (“Guggenheim Holdings”) will, subject to regulatory approval, policyholder approval and approval by the shareholders of the mutual funds sponsored by affiliates of SBMHC, purchase all of the issued and outstanding stock of SBC (the “SBC Purchase Transaction”). The SBC Purchase Transaction would result in a change of control of Security Investors whereby SBC and its subsidiaries would be wholly-owned by Guggenheim Holdings. If the SBC Purchase Transaction does not close, other than as a result of a breach by Guggenheim Holdings or for certain other reasons, then SBC will sell its asset management business to Guggenheim Holdings, which would include Security Investors and would result in a change of control of the Security Investors. The sale of SBC’s asset management business, like the SBC Purchase Transaction, would be subject to regulatory approval and approval by the shareholders of the mutual funds sponsored by affiliates of SBMHC.

166

Report of Independent Registered Public Accounting Firm

To the Contractholders and Board of Directors

SBL Fund

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SBL Fund (comprised of Series A, B, C, D, E, H, J, N, O, P, V, X, Y and Z portfolios) (the Fund) as of December 31, 2009, and the related statements of operations for the year then ended, and the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of investments owned as of December 31, 2009, by correspondence with the custodian, agent banks and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

As more fully discussed in Note 11 to the financial statements, Series Z of the SBL Fund (“Series Z”) previously utilized the services of Lehman Brothers International (Europe) (“Lehman”) to provide prime, broker services related to Series Z’s securities sold short. On September 15, 2008, Lehman was placed into administration. The financial records of Lehman are now being handled by the administrator. Management has recorded in the financial statements its best estimate of the liability for securities sold short due to Lehman, based upon management’s assessment of all available evidence, including information supplied by the administrators. Significant uncertainly exists regarding the ultimate timing of settlement, as well as the ultimate liability for securities sold short due to Lehman, and the difference between amounts currently recorded and that which may ultimately be due may be material.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Series constituting the Fund at December 31, 2009, and the results of their operations for each of the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Chicago, Illinois

February 25, 2010

167

Directors’ Disclosure

(unaudited)

Director Approval of Investment Advisory Agreement

At an in-person meeting of the Fund’s Boards of Directors held on November 9-10, 2009, called for the purpose of, among other things, voting on the renewal of the investment advisory and sub-advisory agreements applicable to the Funds, the Fund’s Board of Directors, including the Independent Directors, unanimously approved the continuation for a one year period of the investment advisory agreement between the Funds and Security Investors, LLC (“SI”), as well as each investment sub-advisory agreement applicable to the Fund. In reaching this conclusion, the Directors requested and obtained from SI and each investment sub-adviser such information as the Directors deemed reasonably necessary to evaluate the proposed renewal of the agreements. The Fund’s Board of Directors carefully evaluated this information and was advised by legal counsel with respect to its deliberations.

In considering the proposed continuation of the investment advisory and sub-advisory agreements, the Independent Directors evaluated a number of considerations, including, among others, (1) the nature, extent, and quality of the advisory services to be provided by SI and the investment sub-advisers; (2) the investment performance of the Fund, SI and the various investment sub-advisers; (3) the costs of services provided by SI and the profits derived by SI from its relationship with the Funds; (4) a comparison of each Series’ expense ratios and those of similarly situated funds; (5) benefits (such as soft dollars) to SI and its affiliates from their relationship with the funds (and any corresponding benefits to the Funds); (6) the expense limitation/fee waiver agreements between SI and certain of the funds; and (7) other factors of the Board deemed to be relevant. Each Board of Directors also took into account other considerations that it believed, in light of the legal advice furnished to the Independent Directors by their independent legal counsel and the Directors” own business judgment, to be relevant. Following its review, each Fund’s Board of Directors determined that the investment advisory agreement and each investment sub-advisory agreement applicable to the Fund (if any) will enable Fund or Series shareholders to obtain high quality services at a cost that is appropriate, reasonable and in the best interests of shareholders. Accordingly, the Directors, including the Independent Directors, unanimously approved the renewal of the investment advisory and investment sub-advisory agreements based upon the following considerations, among others:

• The nature, extent and quality of the advisory services to be provided. Each Board of Directors concluded that SI and the investment sub-advisers retained to provide portfolio management services with respect to the Fund are capable of providing high quality services to the Fund, as indicated by the nature and quality of services provided in the past, SI’s management capabilities demonstrated with respect to the Funds and other mutual funds managed by SI, the professional qualifications and experience of SI’s and the various sub-advisers’ portfolio managers, and SI’s investment ad management oversight processes. The Directors also determined that SI and the sub-advisers proposed to provide investment and related services that were of the same quality and quantity as services provided to the Funds in the past and that these services are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape of the investment company business and investor needs.

• The investment performance of the Fund or Series. With respect to the Funds, the Directors concluded on the basis of information compiled by Morningstar that SI and the investment sub-advisers had achieved investment performance that was acceptable, and competitive or superior relative to comparable funds over trailing periods.

• The cost of advisory services provided ant he level of profitability. On the basis of each Board’s review of the fees to be charged by SI for investment advisory and other services, and the estimated profitability of SI’s relationship with each Fund or Series, each Board concluded that the level of investment advisory fees and SI’s profitability are appropriate in light of the management fees and overall expense ratios of comparable investment companies and the anticipated profitability of the relationship between each Fund or Series and SI and its affiliates. On the basis of comparative information compiled by Morningstar, the Directors determined that the advisory fees and estimated overall expense ratio of each Fund or Series are consistent with, and often below, industry medians, particularly with respect to mutual funds of comparable size.

• Whether the advisory fees reflect economies of scale. The directors concluded that the Funds’ investment advisory fees appropriately reflect the current economic environment for SI and the competitive nature of the mutual fund market.

• The extent to which economies of scale will be realized as the Fund grows. While the Funds’ investment advisory fees do not reduce should Fund assets grow meaningfully, the Directors determined that the investment advisory fees payable by the Funds already reflect potential future economies of

168

Directors’ Disclosure

(unaudited)

scale to some extent by virtue of their competitive levels (determined with reference to industry standards as reported by Lipper and SI’s estimated profitability at current or foreseeable asset levels. The Directors also considered that they will have the opportunity to periodically reexamine whether each Fund or Series has achieved economies of scale, and the appropriateness of investment advisory fees payable to SI and fees payable by SI to the investment sub-advisers, in the future.

•