-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, ErsDDJJFzli+ep7RPLX6Q14NQr6pA9uIcp/sF6w4M0fnoSezw7xljj3e4Gkc9Cur ZQZ18dB8MRwCWds5n1nTIQ== 0000950123-07-012212.txt : 20070831 0000950123-07-012212.hdr.sgml : 20070831 20070831152044 ACCESSION NUMBER: 0000950123-07-012212 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20070630 FILED AS OF DATE: 20070831 DATE AS OF CHANGE: 20070831 EFFECTIVENESS DATE: 20070831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS CENTRAL INDEX KEY: 0001018953 IRS NUMBER: 000000000 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07717 FILM NUMBER: 071094407 BUSINESS ADDRESS: STREET 1: 4 MANHATTANVILLE ROAD CITY: PURCHASE STATE: NY ZIP: 10577 BUSINESS PHONE: 9146973507 MAIL ADDRESS: STREET 1: 4 MANHATTANVILLE ROAD CITY: PURCHASE STATE: NY ZIP: 10577 0001018953 S000008660 Short Horizon Strategic Variable Fund C000023623 Short Horizon Strategic Variable Fund 0001018953 S000008661 Intermediate Horizon Strategic Variable Fund C000023624 Intermediate Horizon Strategic Variable Fund 0001018953 S000008662 Intermediate/Long Horizon Strategic Variable Fund C000023625 Intermediate/Long Horizon Strategic Variable Fund N-CSRS 1 y37250nvcsrs.txt FORM N-CSRS ================================================================================ 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 -- 07717 Diversified Investors Strategic Variable Funds -------------------------------------------------- (Exact name of Registrant as specified in charter) Address of Registrant: 4 Manhattanville Road --------------------------------------------- Purchase, NY 10577 --------------------------------------------- Name and address of agent for service: Joseph P. Carusone --------------------------------------------- 4 Manhattanville Road --------------------------------------------- Purchase, NY 10577 --------------------------------------------- Registrant's telephone number, including area code: (914) 697-8586 ------------------------------------- Date of fiscal year end: December 31, 2007 ----------------- Date of reporting period: June 30, 2007 -----------------
ITEM 1. REPORTS TO STOCKHOLDERS. DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS ================================================================================ DIVERSIFIED INVESTORS VARIABLE FUNDS DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS SEMI-ANNUAL REPORT June 30, 2007 - -------------------------------------------------------------------------------- International Equity Special Equity Aggressive Equity Equity Growth Intermediate/Long Growth & Income Horizon Value & Income Balanced Intermediate Horizon Calvert High Yield Bond Short Horizon Core Bond Inflation-Protected Securities High Quality Bond Money Market [DIVERSIFIED INVESTMENT ADVISORS LOGO] -------------------------------- This report is not to be construed as an offering for sale of any contracts participating in the Subaccounts (Series) of the Diversified Investors Variable Funds or the Diversified Investors Strategic Variable Funds, or as a solicitation of an offer to buy contracts unless preceded by or accompanied by a current prospectus which contains complete information about charges and expenses. This is a combined annual report for the subaccounts of the Diversified Investors Variable Funds and the Diversified Investors Strategic Variable Funds. THE DIVERSIFIED INVESTORS VARIABLE FUNDS AND STRATEGIC VARIABLE FUNDS TABLE OF CONTENTS
PAGE ---- DIVERSIFIED INVESTORS VARIABLE FUNDS: An Explanation of Fund Expenses......................................... 2 Statements of Assets and Liabilities.................................... 4 Statements of Operations................................................ 6 Statements of Changes in Net Assets -- June 30, 2007.................... 8 Statements of Changes in Net Assets -- December 31, 2006................ 10 CALVERT SUBACCOUNT: Statement of Assets and Liabilities................................... 12 Statement of Operations............................................... 13 Statements of Changes in Net Assets................................... 14 Notes to Financial Statements........................................... 15 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS: An Explanation of Fund Expenses......................................... 24 Statements of Assets and Liabilities.................................... 25 Statements of Operations................................................ 26 Statements of Changes in Net Assets -- June 30, 2007.................... 27 Statements of Changes in Net Assets -- December 31, 2006................ 28 PORTFOLIOS OF INVESTMENTS: Short Horizon Strategic Variable Fund................................. 29 Intermediate Horizon Strategic Variable Fund.......................... 30 Intermediate Long Horizon Strategic Variable Fund..................... 31 Portfolio Composition................................................... 32 Notes to Financial Statements........................................... 33 APPROVAL OF INVESTMENT ADVISORY CONTRACTS............................... 39 DIVERSIFIED INVESTORS PORTFOLIOS: Statements of Assets and Liabilities.................................... 42 Statements of Operations................................................ 46 Statements of Changes in Net Assets -- June 30, 2007.................... 50 Statements of Changes in Net Assets -- December 31, 2006................ 54 PORTFOLIOS OF INVESTMENTS: Money Market Portfolio................................................ 58 High Quality Bond Portfolio........................................... 60 Inflation-Protected Securities Portfolio (formerly, Intermediate Government Bond)................................................... 68 Core Bond Portfolio................................................... 69 Total Return Bond Portfolio........................................... 86 High Yield Bond Portfolio............................................. 98 Balanced Portfolio.................................................... 107 Value & Income Portfolio.............................................. 122 Value Portfolio....................................................... 125 Growth & Income Portfolio............................................. 127 Equity Growth Portfolio............................................... 133 Aggressive Equity Portfolio........................................... 138 Mid-Cap Value Portfolio............................................... 140 Mid-Cap Growth Portfolio.............................................. 145 Small-Cap Value Portfolio............................................. 147 Special Equity Portfolio.............................................. 151 Small-Cap Growth Portfolio............................................ 162 International Equity Portfolio........................................ 166 Summary of Footnotes and Abbreviations to Portfolios.................... 172 Portfolio Composition................................................... 173 Notes to Financial Statements........................................... 175 Approval of Investment Advisory Contracts............................... 199 CALVERT SOCIAL BALANCED PORTFOLIO SEMI-ANNUAL REPORT.................... I
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS AN EXPLANATION OF FUND EXPENSES (UNAUDITED) Diversified Investors Strategic Variable Funds (individually, a "Subaccount" and collectively, "DISVF") is a separate investment account established by Transamerica Financial Life Insurance Company, Inc. ("TFLIC"), and is used as an investment vehicle under certain tax-deferred annuity contracts issued by TFLIC. Each Subaccount invests in underlying subaccounts of the Diversified Investors Variable Funds ("DIVF"), a unit investment trust. As a contractholder in a Subaccount, you will bear the ongoing costs of managing the corresponding subaccounts in which your Subaccount invests. You will also bear the cost of operating the Subaccount. The first column in the table shown below assumes an investment of $1,000 on January 1, 2007. The second column will show your ending balance (per $1,000) on June 30, 2007. The third column will show how much of your investment (per $1,000) went to the ongoing costs of your Subaccount. The figures in both of these columns are based on the actual total return and the actual expenses incurred for the period January 1, 2007-June 30, 2007. In order to approximate how much you paid in expenses during the six months, divide your balance by 1,000, and multiply the result by the dollar amount shown under the heading "Expenses Paid During the Period January 1, 2007-June 30, 2007 (Based on actual returns and expenses)". The fourth and fifth columns will also show your ending balance (per $1,000) on June 30, 2007 and how much of your investment (per $1,000) went to the ongoing costs of both your Subaccount and its investments in DIVF, but assumes a total annual return rate of 5% before expenses. Since the 5% is hypothetical, the ending account values and the expenses paid for the period January 1, 2007-June 30, 2007 will not be the actual values per $1,000 of your investment. This information is presented so you may compare the cost of investing in a Diversified Investors Strategic Variable Fund against the cost of investing in other funds. Other funds should provide this information based on a hypothetical annual return of 5% before expenses in their most recent report in order for you to make a fair comparison.
EXPENSES PAID DURING THE PERIOD EXPENSES PAID ENDING JANUARY 1, 2007- DURING THE PERIOD ACCOUNT VALUE JUNE 30, 2007 ENDING JANUARY 1, 2007- JUNE 30, 2007 (BASED ON ACCOUNT VALUE JUNE 30, 2007 (BASED ON HYPOTHETICAL 5% JUNE 30, 2007 (BASED ON HYPOTHETICAL 5% ANNUAL RETURNS ANNUALIZED BEGINNING (BASED ON ACTUAL RETURNS ANNUAL RETURNS BEFORE ACTUAL EXPENSE ACCOUNT VALUE ACTUAL RETURNS AND EXPENSES) BEFORE ACTUAL EXPENSES) RATIO FUND NAME JANUARY 1, 2007 AND EXPENSES) (1)(2) EXPENSES) (1)(2) (1) - --------- --------------- -------------- ----------------- --------------- ----------------- ---------- Short Horizon.............. $1,000 $1,012.83 $1.00 $1,023.93 $1.01 0.20% Intermediate Horizon....... 1,000 1,036.12 1.02 1,023.93 1.01 0.20 Intermediate Long Horizon.. 1,000 1,047.95 1.02 1,023.93 1.01 0.20
- -------- (1) These figures exclude fees and expenses of the underlying investments in DIVF. (2) Expenses are equal to each Fund's annualized expense ratio multiplied by the average account value over the period, divided by 365, multiplied by 182 (to reflect the one-half year period). 24 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2007 (UNAUDITED)
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- ASSETS: Investments in affiliates, at value (Notes 1 and 2).............................................. $10,849,896 $31,418,845 $52,756,920 Receivable for units sold......................... 4,052 14,286 14,652 ----------- ----------- ----------- Total assets...................................... 10,853,948 31,433,131 52,771,572 ----------- ----------- ----------- LIABILITIES: Payable for securities purchased.................. 3,558 9,581 6,076 Payable for units redeemed........................ 494 4,705 8,576 Accrued investment advisory fees.................. 1,682 5,001 8,406 ----------- ----------- ----------- Total liabilities................................. 5,734 19,287 23,058 ----------- ----------- ----------- NET ASSETS........................................ $10,848,214 $31,413,844 $52,748,514 =========== =========== =========== ACCUMULATION UNITS................................ 687,142 1,738,208 2,712,397 =========== =========== =========== UNIT VALUE........................................ $ 15.79 $ 18.07 $ 19.45 =========== =========== =========== NET ASSETS CONSIST OF: Cost of accumulation units........................ $ 8,364,674 $22,056,777 $37,942,013 Undistributed (accumulated) net realized gains (losses)........................................ 1,507,045 2,771,154 3,291,383 Undistributed (accumulated) net investment income (loss).......................................... (132,215) (399,957) (551,466) Net unrealized appreciation (depreciation) on investments..................................... 1,108,710 6,985,870 12,066,584 ----------- ----------- ----------- NET ASSETS........................................ $10,848,214 $31,413,844 $52,748,514 =========== =========== =========== INVESTMENTS IN AFFILIATES, AT COST................ $ 9,741,186 $24,432,975 $40,690,336 =========== =========== ===========
See notes to financial statements. 25 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED)
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- INVESTMENT ADVISORY FEES (NOTE 3)................. $(10,256) $ (30,776) $ (49,461) -------- ---------- ---------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS IN AFFILIATES (NOTE 2): Net realized gains (losses) on investments in affiliates...................................... 110,346 10,931 21,704 Change in net unrealized appreciation (depreciation) on investments in affiliates..... 28,845 1,120,352 2,307,097 -------- ---------- ---------- Net realized and unrealized gains (losses) on investments in affiliates....................... 139,191 1,131,283 2,328,801 -------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................. $128,935 $1,100,507 $2,279,340 ======== ========== ==========
See notes to financial statements. 26 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED)
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- FROM OPERATIONS: Investment advisory fees.......................... $ (10,256) $ (30,776) $ (49,461) Net realized gains (losses) on investments in affiliates...................................... 110,346 10,931 21,704 Change in net unrealized appreciation (depreciation) on investments in affiliates..... 28,845 1,120,352 2,307,097 ----------- ----------- ----------- Net increase (decrease) in net assets resulting from operations................................. 128,935 1,100,507 2,279,340 ----------- ----------- ----------- FROM UNIT TRANSACTIONS: Units sold........................................ 2,010,306 3,430,116 6,732,897 Units redeemed.................................... (1,495,939) (3,072,986) (3,557,200) ----------- ----------- ----------- Net increase (decrease) in net assets resulting from unit transactions.......................... 514,367 357,130 3,175,697 ----------- ----------- ----------- Total increase (decrease) in net assets........... 643,302 1,457,637 5,455,037 NET ASSETS: Beginning of period............................... 10,204,912 29,956,207 47,293,477 ----------- ----------- ----------- End of period..................................... $10,848,214 $31,413,844 $52,748,514 =========== =========== =========== Units outstanding beginning of period............. 654,393 1,717,863 2,548,307 Units sold........................................ 127,736 192,606 352,044 Units redeemed.................................... (94,987) (172,261) (187,954) ----------- ----------- ----------- Units outstanding end of period................... 687,142 1,738,208 2,712,397 =========== =========== ===========
See notes to financial statements. 27 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2006
SHORT INTERMEDIATE HORIZON HORIZON INTERMEDIATE LONG STRATEGIC STRATEGIC HORIZON STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ----------------- FROM OPERATIONS: Investment advisory fees........................ $ (21,116) $ (58,249) $ (91,328) Net realized gains (losses) on investments in affiliates.................................... 577,976 778,609 1,483,061 Change in net unrealized appreciation (depreciation) on investments in affiliates..................... (89,554) 1,607,120 3,049,486 ----------- ----------- ------------ Net increase (decrease) in net assets resulting from operations............................... 467,306 2,327,480 4,441,219 ----------- ----------- ------------ FROM UNIT TRANSACTIONS: Units sold...................................... 3,665,902 7,153,984 9,813,099 Units redeemed.................................. (5,502,368) (8,806,580) (12,402,021) ----------- ----------- ------------ Net increase (decrease) in net assets resulting from unit transactions........................ (1,836,466) (1,652,596) (2,588,922) ----------- ----------- ------------ Total increase (decrease) in net assets......... (1,369,160) 674,884 1,852,297 NET ASSETS: Beginning of year............................... 11,574,072 29,281,323 45,441,180 ----------- ----------- ------------ End of year..................................... $10,204,912 $29,956,207 $ 47,293,477 =========== =========== ============ Units outstanding beginning of year............. 776,216 1,817,622 2,694,280 Units sold...................................... 242,449 432,083 564,861 Units redeemed.................................. (364,272) (531,842) (710,834) ----------- ----------- ------------ Units outstanding end of year................... 654,393 1,717,863 2,548,307 =========== =========== ============
See notes to financial statements. 28 SHORT HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ----------- INVESTMENTS 181,904 Diversified Investors Variable Funds -- Core Bond........... $ 5,766,146 6,354 Diversified Investors Variable Funds -- Equity Growth....... 339,732 4,999 Diversified Investors Variable Funds -- Growth & Income..... 149,788 188,972 Diversified Investors Variable Funds -- High Quality Bond... 2,869,485 48,961 Diversified Investors Variable Funds -- High Yield Bond..... 946,007 5,604 Diversified Investors Variable Funds -- International Equity................................................... 165,854 9,321 Diversified Investors Variable Funds -- Money Market........ 190,264 2,032 Diversified Investors Variable Funds -- Special Equity...... 84,315 4,999 Diversified Investors Variable Funds -- Value & Income...... 338,305 ----------- Total Investments -- 100.0% (Cost $9,741,186)........................................ 10,849,896 Liabilities less other assets -- (0.0)%..................... (1,682) ----------- NET ASSETS -- 100.0%........................................ $10,848,214 ===========
The aggregate cost of investments for federal income tax purposes at June 30, 2007 is $9,741,186. The following amount is based on cost for federal income tax purposes: Net unrealized appreciation...................................... $1,108,710 ==========
See notes to financial statements. 29 INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ----------- INVESTMENTS 269,728 Diversified Investors Variable Funds -- Core Bond........... $ 8,550,071 93,951 Diversified Investors Variable Funds -- Equity Growth....... 5,023,284 75,878 Diversified Investors Variable Funds -- Growth & Income..... 2,273,666 285,915 Diversified Investors Variable Funds -- High Quality Bond... 4,341,536 77,959 Diversified Investors Variable Funds -- High Yield Bond..... 1,506,308 90,878 Diversified Investors Variable Funds -- International Equity................................................... 2,689,479 22,907 Diversified Investors Variable Funds -- Money Market........ 467,597 31,288 Diversified Investors Variable Funds -- Special Equity...... 1,298,063 77,851 Diversified Investors Variable Funds -- Value & Income...... 5,268,841 ----------- Total Investments -- 100.0% (Cost $24,432,975)....................................... 31,418,845 Liabilities less other assets -- (0.0)%..................... (5,001) ----------- NET ASSETS -- 100.0%........................................ $31,413,844 ===========
The aggregate cost of investments for federal income tax purposes at June 30, 2007 is $24,432,975. The following amount is based on cost for federal income tax purposes: Net unrealized appreciation...................................... $6,985,870 ==========
See notes to financial statements. 30 INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ----------- INVESTMENTS 256,678 Diversified Investors Variable Funds -- Core Bond........... $ 8,136,411 216,142 Diversified Investors Variable Funds -- Equity Growth....... 11,556,548 173,640 Diversified Investors Variable Funds -- Growth & Income..... 5,203,085 271,919 Diversified Investors Variable Funds -- High Quality Bond... 4,129,001 74,023 Diversified Investors Variable Funds -- High Yield Bond..... 1,430,241 208,580 Diversified Investors Variable Funds -- International Equity................................................... 6,172,816 53,978 Diversified Investors Variable Funds -- Money Market........ 1,101,833 71,092 Diversified Investors Variable Funds -- Special Equity...... 2,949,391 178,456 Diversified Investors Variable Funds -- Value & Income...... 12,077,594 ----------- Total Investments -- 100.0% (Cost $40,690,336)....................................... 52,756,920 Liabilities less other assets -- (0.0)%..................... (8,406) ----------- NET ASSETS -- 100.0%........................................ $52,748,514 ===========
The aggregate cost of investments for federal income tax purposes at June 30, 2007 is $40,690,336. The following amount is based on cost for federal income tax purposes: Net unrealized appreciation..................................... $12,066,584 ===========
See notes to financial statements. 31 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS PORTFOLIO COMPOSITION JUNE 30, 2007 (UNAUDITED) The following charts summarize the portfolio composition of each Fund by asset type. SHORT HORIZON STRATEGIC VARIABLE FUND Money Market Fund...................................................... 1.8% Fixed Income Funds..................................................... 88.3 Domestic Equity Funds.................................................. 8.4 International Equity Fund.............................................. 1.5 Liabilities less other assets.......................................... (0.0)* ----- 100.0% ===== INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND Money Market Fund...................................................... 1.5% Fixed Income Funds..................................................... 45.8 Domestic Equity Funds.................................................. 44.1 International Equity Fund.............................................. 8.6 Liabilities less other assets.......................................... (0.0)* ----- 100.0% ===== INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND Money Market Fund...................................................... 2.1% Fixed Income Funds..................................................... 26.0 Domestic Equity Funds.................................................. 60.2 International Equity Fund.............................................. 11.7 Liabilities less other assets.......................................... (0.0)* ----- 100.0% =====
- -------- * Amount rounds to less than 0.05%. See notes to financial statements. 32 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. ORGANIZATION The Diversified Investors Strategic Variable Funds (the "Separate Account"), a separate account of Transamerica Financial Life Insurance Company ("TFLIC"), is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a management investment company. The Separate Account is composed of three different subaccounts that are, in effect, separate investment funds: Short Horizon Strategic Variable Fund ("Short Horizon"), Intermediate Horizon Strategic Variable Fund ("Intermediate Long Horizon"), and Intermediate Long Horizon Strategic Variable Fund ("Intermediate Long Horizon") (individually, a "Subaccount" and collectively, the "Subaccounts"). The Separate Account established and designated each of the Subaccounts as separate subaccounts on April 15, 1996 and commenced operations on January 2, 1997. Each Subaccount seeks to achieve its investment objective by investing all of its investable assets among the Diversified Investors Variable Funds ("DIVF"). DIVF is a separate investment account offering thirteen subaccounts, each with a different investment objective. DIVF seeks to achieve its investment objective by investing all of its investable assets in the Diversified Investors Portfolios ("Portfolios"). The financial statements of DIVF, which commenced operation on August 18, 1994, accompany this report. DIVF commenced operation August 18, 1994. DIVF operates as a unit investment trust under the 1940 Act. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Separate Account in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America. A. INVESTMENT VALUATION: The value of each Subaccount's investment in a corresponding subaccount of DIVF is valued at the unit value per share determined as of the close of the New York Stock Exchange (typically, 4:00 P.M. Eastern time) on the valuation date. B. OPERATING EXPENSES: The Separate Account accounts separately for the assets, liabilities and operations of each Subaccount. Each Subaccount will indirectly bear its share of fees and expenses incurred by DIVF. C. FEDERAL INCOME TAXES: The operations of the Separate Account form a part of, and are taxed with, the operations of TFLIC, a wholly-owned subsidiary of AEGON USA, Inc. ("AEGON USA"). AEGON USA is a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON USA is an indirect, wholly-owned subsidiary of AEGON NV ("AEGON"), a corporation based in the Netherlands which is a publicly traded international insurance group. TFLIC does not expect, based upon current tax law, to incur any income tax upon the earnings or realized capital gains attributable to the Separate Account. Based upon this expectation, no charges are currently being deducted from the Separate Account for federal income tax purposes. D. OTHER: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. 33 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES The Separate Account has entered into an Investment Advisory Agreement with Diversified Investment Advisors, Inc. (the "Advisor"), an indirect, wholly-owned subsidiary of AEGON under which the Advisor provides general investment advice to each Subaccount. For providing these services and facilities and for bearing the related expenses, the Advisor receives a monthly fee from each Subaccount at an annual rate equal to 0.20% of the average daily net assets of each Subaccount. The Advisor is also advisor to the Diversified Investors Portfolios, the underlying Funds in which DIVF invests. In addition, TFLIC deducts a mortality and expense risk charge at an annual rate equivalent to 1.10% of the average daily net assets from DIVF. TFLIC reserves the right to charge maximum fees of 1.25% upon notice. TFLIC bears sales distribution expenses and any other expenses in excess of the mortality and expense risk charge. TFLIC reserves the right to deduct an annual contract charge from a participant's account to reimburse TFLIC for administrative expenses relating to the maintenance of the group variable annuity contracts. TFLIC has no present intention to impose such a charge but may do so in the future. Any such annual charge will not exceed $50. Certain managing board members and officers of the Separate Account are also directors, officers or employees of the Advisor or its affiliates. None of the non-independent managing board members so affiliated receive compensation for services as managing board members of the Separate Account. Similarly, none of the Separate Account's officers receive compensation from the Subaccounts. The independent board members are also trustees of Diversified Investors Portfolios for which they receive fees. 4. PURCHASES AND SALES OF INVESTMENTS The aggregate cost of investments purchased and proceeds from sales for the period ended June 30, 2007, were as follows:
COST OF PROCEEDS PURCHASES FROM SALES ---------- ---------- Short Horizon............................................... $3,503,264 $2,999,138 Intermediate Horizon........................................ 2,441,193 2,114,607 Intermediate Long Horizon................................... 8,008,090 4,880,947
5. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Subaccounts may have a concentration of several unitholders holding a significant percentage of units outstanding. Investment activities of these unitholders could have a material impact on the Subaccounts. In the normal course of business, the Subaccounts enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Subaccounts' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Subaccounts that have not yet occurred. However, based on experience, the Subaccounts expect the risk of loss to be remote. 6. PROXY VOTING POLICIES AND PROCEDURES Since each Subaccount invests all its assets among DIVF Subaccounts, which, in turn, invest all their assets in corresponding Portfolios, the Subaccounts themselves do not vote on proxies. A description of the proxy voting policies and procedures is included in the Statement of Additional Information, which is available without charge, upon request: (i) by calling 1-800-755-5803; (ii) on the Advisor's website at www.divinvest.com (Click on the icon for Participants, then click on Fund Information, choose Investment Funds, click on a Fund, then 34 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. PROXY VOTING POLICIES AND PROCEDURES (CONTINUED) click on the Fund Information tab, or (iii) on the SEC's website at www.sec.gov. In addition, the Portfolios are required to file Form N-PX, with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. The Portfolios' filing for the twelve months ended June 30, 2007, is available without charge, upon request. 7. QUARTERLY PORTFOLIOS The Subaccounts will file their portfolios of investments for the first and third quarters (March 31 and September 30, respectively) with the SEC by May 30 and November 29, respectively, each year on Form N-Q. The Subaccounts' Form N-Q is available on the SEC's website at www.sec.gov. The Subaccounts' Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. For information on the operation of the SEC's Public Reference Room, call 1-800- SEC-0330. You may also obtain a copy of Form N-Q without charge, upon request, by calling 1-800-755-5803. Form N-Q for the corresponding Portfolios is also available without charge on the SEC website, at the SEC's Public Reference Room, or by calling 1-800-755-5803. 8. SUBSEQUENT EVENT At a meeting held on August 10, 2007, the Board of Trustees of the Separate Account approved a series of measures that are designed to benefit the Subaccounts by making them part of a larger family of investment companies that are managed by Transamerica Fund Advisors, Inc. ("TFA"), an investment adviser that, along with the Advisor, is an indirect, wholly-owned subsidiary of AEGON. The Board has authorized seeking shareholder approval for these measures where required. A proxy statement describing these initiatives is expected to be mailed later in 2007. 35 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS For an accumulation unit outstanding throughout the period/year:
INCOME (LOSS) FROM INVESTMENT OPERATIONS --------------------------- NET TOTAL UNIT NET REALIZED AND INCOME UNIT FOR THE VALUE, INVESTMENT UNREALIZED (LOSS) FROM VALUE, PERIOD/YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF TOTAL ENDED PERIOD/YEAR (LOSS)(A) ON INVESTMENTS OPERATIONS PERIOD/YEAR RETURN - ----------- ------------ ---------- -------------- ----------- ----------- ------ SHORT HORIZON STRATEGIC VARIABLE FUND 06/30/2007(1) $15.59 $(0.02) $ 0.22 $ 0.20 $15.79 1.28% 12/31/2006 14.91 (0.03) 0.71 0.68 15.59 4.56 12/31/2005 14.68 (0.03) 0.26 0.23 14.91 1.57 12/31/2004 14.14 (0.03) 0.57 0.54 14.68 3.82 12/31/2003 13.34 (0.03) 0.83 0.80 14.14 6.00 12/31/2002 12.95 (0.03) 0.42 0.39 13.34 3.01 INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND 06/30/2007(1) 17.44 (0.02) 0.65 0.63 18.07 3.61 12/31/2006 16.11 (0.03) 1.36 1.33 17.44 8.26 12/31/2005 15.50 (0.03) 0.64 0.61 16.11 3.94 12/31/2004 14.52 (0.03) 1.01 0.98 15.50 6.75 12/31/2003 12.58 (0.03) 1.97 1.94 14.52 15.42 12/31/2002 13.67 (0.03) (1.06) (1.09) 12.58 (7.97) INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND 06/30/2007(1) 18.56 (0.02) 0.91 0.89 19.45 4.80 12/31/2006 16.87 (0.03) 1.72 1.69 18.56 10.02 12/31/2005 16.06 (0.03) 0.84 0.81 16.87 5.04 12/31/2004 14.83 (0.03) 1.26 1.23 16.06 8.29 12/31/2003 12.39 (0.03) 2.47 2.44 14.83 19.69 12/31/2002 14.28 (0.03) (1.86) (1.89) 12.39 (13.24) RATIOS TO AVERAGE NET ASSETS --------------------- NET NET FOR THE ASSETS, INVESTMENT PERIOD/YEAR END OF INCOME PORTFOLIO ENDED PERIOD/YEAR EXPENSES (LOSS) TURNOVER - ----------- ----------- -------- ---------- --------- SHORT HORIZON STRATEGIC VARIABLE FUND 06/30/2007(1) $10,848,214 0.20%* (0.20)%* 29% 12/31/2006 10,204,912 0.20 (0.20) 86 12/31/2005 11,574,072 0.20 (0.20) 46 12/31/2004 10,191,299 0.20 (0.20) 50 12/31/2003 10,505,127 0.20 (0.20) 109 12/31/2002 9,085,611 0.20 (0.20) 55 INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND 06/30/2007(1) 31,413,844 0.20* (0.20)* 7 12/31/2006 29,956,207 0.20 (0.20) 55 12/31/2005 29,281,323 0.20 (0.20) 29 12/31/2004 28,720,023 0.20 (0.20) 28 12/31/2003 25,770,371 0.20 (0.20) 87 12/31/2002 20,134,380 0.20 (0.20) 53 INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND 06/30/2007(1) 52,748,514 0.20* (0.20)* 10 12/31/2006 47,293,477 0.20 (0.20) 63 12/31/2005 45,441,180 0.20 (0.20) 25 12/31/2004 40,122,473 0.20 (0.20) 34 12/31/2003 34,716,992 0.20 (0.20) 98 12/31/2002 23,622,845 0.20 (0.20) 49
- -------- (1) Unaudited. (a) Calculated based upon average units outstanding. * Annualized. 36 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 10. INVESTMENTS IN AFFILIATES The market value of investments in affiliates (as defined in the 1940 Act, "Affiliated Companies" are those in which the Trust is under common control with an affiliated entity) at June 30, 2007 totaled $10,849,896, $31,418,845 and $52,756,920 for Short Horizon, Intermediate Horizon, and Intermediate Long Horizon, respectively. Affiliates and the gain/(loss) from sales of affiliates are as follows:
BEGINNING UNITS UNITS ENDING PURCHASE SALE GAIN/(LOSS) UNITS PURCHASED SOLD UNITS COST COST ON SALES --------- --------- ------- ------- ---------- ---------- ----------- SHORT HORIZON - ------------- INVESTMENTS: Diversified Investors Variable Funds -- Core Bond......................... 175,694 11,244 5,034 181,904 $ 353,397 $ 132,662 $ 26,523 Diversified Investors Variable Funds -- Equity Growth..................... 6,857 233 736 6,354 12,550 29,156 9,139 Diversified Investors Variable Funds -- Growth & Income................... 5,508 39 548 4,999 1,143 10,840 4,773 Diversified Investors Variable Funds -- High Quality Bond................. 169,024 30,763 10,815 188,972 462,477 154,896 7,350 Diversified Investors Variable Funds -- High Yield Bond................... 50,848 1,430 3,317 48,961 27,775 39,914 23,004 Diversified Investors Variable Funds -- International Equity.............. 6,501 44 941 5,604 1,225 12,549 12,766 Diversified Investors Variable Funds -- Money Market...................... 1,275 130,469 122,423 9,321 2,641,345 2,476,854 2,426 Diversified Investors Variable Funds -- Special Equity.................... 2,249 19 236 2,032 772 5,389 3,830 Diversified Investors Variable Funds -- Value & Income.................... 5,694 39 734 4,999 2,580 26,532 20,535 ---------- ---------- -------- $3,503,264 $2,888,792 $110,346 ========== ========== ======== INTERMEDIATE HORIZON - ------------- INVESTMENTS: Diversified Investors Variable Funds -- Core Bond......................... 266,362 3,366 -- 269,728 $ 107,430 $ -- $ -- Diversified Investors Variable Funds -- Equity Growth..................... 92,831 1,120 -- 93,951 58,938 -- -- Diversified Investors Variable Funds -- Growth & Income................... 74,984 894 -- 75,878 26,110 -- -- Diversified Investors Variable Funds -- High Quality Bond................. 282,352 3,563 -- 285,915 53,715 -- -- Diversified Investors Variable Funds -- High Yield Bond................... 77,028 931 -- 77,959 17,906 -- -- Diversified Investors Variable Funds -- International Equity.............. 89,877 1,001 -- 90,878 27,976 -- -- Diversified Investors Variable Funds -- Money Market...................... 24,778 102,699 104,570 22,907 2,075,632 2,103,676 10,931 Diversified Investors Variable Funds -- Special Equity.................... 30,931 357 -- 31,288 14,548 -- -- Diversified Investors Variable Funds -- Value & Income.................... 76,954 897 -- 77,851 58,938 -- -- ---------- ---------- -------- $2,441,193 $2,103,676 $ 10,931 ========== ========== ========
37 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 10. INVESTMENTS IN AFFILIATES (CONTINUED) Affiliates and the gain/(loss) from sales of affiliates are as follows:
BEGINNING UNITS UNITS ENDING PURCHASE SALE GAIN/(LOSS) UNITS PURCHASED SOLD UNITS COST COST ON SALES --------- --------- ------- ------- ---------- ---------- ----------- INTERMEDIATE LONG HORIZON - ------------- INVESTMENTS: Diversified Investors Variable Funds -- Core Bond......................... 240,925 15,753 -- 256,678 $ 501,695 $ -- $ -- Diversified Investors Variable Funds -- Equity Growth..................... 203,842 12,300 -- 216,142 660,566 -- -- Diversified Investors Variable Funds -- Growth & Income................... 163,941 9,699 -- 173,640 292,654 -- -- Diversified Investors Variable Funds -- High Quality Bond................. 255,340 16,579 -- 271,919 250,847 -- -- Diversified Investors Variable Funds -- High Yield Bond................... 69,726 4,297 -- 74,023 83,614 -- -- Diversified Investors Variable Funds -- International Equity.............. 197,775 10,805 -- 208,580 313,560 -- -- Diversified Investors Variable Funds -- Money Market...................... 43,902 251,034 240,958 53,978 5,081,536 4,859,243 21,704 Diversified Investors Variable Funds -- Special Equity.................... 67,178 3,914 -- 71,092 163,052 -- -- Diversified Investors Variable Funds -- Value & Income.................... 168,736 9,720 -- 178,456 660,566 -- -- ---------- ---------- ------- $8,008,090 $4,859,243 $21,704 ========== ========== =======
38 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS APPROVAL OF INVESTMENT ADVISORY CONTRACTS JUNE 30, 2007 (UNAUDITED) Diversified Investment Advisors, Inc. ("Diversified") manages the assets of each Subaccount pursuant to an Investment Advisory Agreement with Transamerica Financial Life Insurance Company ("TFLIC") with respect to such Subaccount. In approving the continuation of each Investment Advisory Agreement relating to each Subaccount, the Managing Board of the Separate Account, including the independent Managing Board members, reviewed extensive information provided by Diversified regarding, among other things: the nature and quality of services provided; legal, regulatory and compliance matters; and other practices and developments. The Managing Board members considered the advisory fees and total expenses of the Subaccounts. In this regard, the Managing Board members reviewed, among other things, comparative fee information with respect to comparable funds, including additional information from Lipper Analytical Services provided at the Managing Board members' request. The Managing Board members discussed the advisory fees and expense ratios, before and after the advisory and other fee waivers, and compared them to investment advisory fees paid by and expense ratios of other investment companies with similar investment objectives. The Managing Board members noted Diversified's confirmation that it did not have any non-mutual fund clients to whom advisory services were provided. The Managing Board members also considered the costs of the services provided to the Subaccounts and the resulting profitability of the relationship with the Subaccounts. It was noted that Diversified's relationship with the Subaccounts also included the provision of administrative and distribution services; that the Trustees had received information concerning the advisory, administration and distribution fees paid to Diversified and Diversified Investors Securities Corp. ("DISC") as the Subaccount's adviser and distributor, respectively; and that the Board had reviewed materials relating to the cost to Diversified of the services provided to the Subaccounts and the resulting profitability to Diversified of its relationship with the Subaccounts. The Board also received information about how Diversified prices its services to its retirement plan clients and how those pricing arrangements in certain circumstances result in credits to plan participant accounts. The Managing Board members then reviewed the investment performance of each of the Subaccounts, which was considered in connection with each Subaccount's total expenses, contractual management fees, and Diversified's profitability. The Managing Board members noted that Diversified's profitability with respect to each Subaccount, on a pre-tax basis, was reasonable under the circumstances. In reviewing performance, the Managing Board members considered gross performance results relative to benchmark for the past one-, three- and (where available) five-year periods. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Managing Board members) and after meetings conducted by the independent Trustees without management being present, the Board concluded that the continuation of each Investment Advisory Agreement was in the best interests of the applicable Subaccount and its contractholders. The Board based its conclusions, in part, on its observations regarding the performance of and the management fees and total expenses paid by each Subaccount, some of which observations are summarized below. In reaching these conclusions, the Managing Board noted that this continuation reaffirmed the choice of each contractholder in each Subaccount, who had decided to invest in a Subaccount overseen by Diversified. In the case of each of Short Horizon Strategic Variable Fund, Intermediate Horizon Strategic Variable Fund and Intermediate-Long Horizon Strategic Variable Fund, the Managing Board members noted that performance (prior to deducting fees and expenses) was below the applicable benchmark for the one- and three-year periods, and that net performance was below the Lipper universe 50th percentile for the 1 and 3 year periods. The Board also noted that both contractual management fees and total expenses were below the median for the applicable peer group. In reviewing profitability for these Subaccounts, the Trustees concluded it was 39 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) appropriate to consider that profitability together with Diversified's profitability from the underlying funds, and that these profitability levels were reasonable under the circumstances. It was also noted that these conclusions were based upon the Managing Board's determination for each Subaccount that the Subaccount's performance compared sufficiently favorably with other funds in the individual Subaccount's peer group and/or benchmark over recent periods, with the exceptions discussed above; that management fees and total expenses after giving effect to waivers and reimbursements compared sufficiently favorably to the peer group, with the exceptions discussed above; and that, in reviewing Diversified's profitability with respect to its services for the Subaccount, that profitability (together with additional benefits received by Diversified and its affiliate, DISC) was reasonable under the circumstances and in view of the nature and quality of the services provided by Diversified. In addition to the foregoing, the Managing Board members were satisfied with the overall quality of the services provided by Diversified, including providing compliance services to the Subaccounts. 40 (This page intentionally left blank) 41 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2007 (UNAUDITED)
HIGH INFLATION- MONEY QUALITY PROTECTED MARKET BOND SECURITIES (1) ------------ ------------ -------------- ASSETS: Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4).......... $802,294,810 $861,108,119 $134,627,081 Repurchase agreements (cost equals market)........ 144,296,775 16,179,501 2,757,541 Cash.............................................. -- -- -- Restricted cash................................... -- -- -- Cash at broker.................................... -- -- -- Foreign currency holdings, at value (cost $4,670, $21,859,453, $3 and $3, respectively)........... -- -- 4,737 Receivable for securities sold.................... -- -- -- Unrealized appreciation on foreign currency forward contracts (Note 10)..................... -- -- 76,146 Unrealized appreciation on open swaps contracts... -- -- -- Variation margin.................................. -- -- -- Interest receivable............................... 4,364,828 5,248,003 1,179,051 Dividends receivable.............................. -- -- -- Foreign tax reclaim receivable.................... -- -- -- Receivable from Advisor........................... -- -- -- Receivable from securities lending (net).......... -- 18,598 9,123 ------------ ------------ ------------ Total assets...................................... 950,956,413 882,554,221 138,653,679 ------------ ------------ ------------ LIABILITIES: Due to Advisor.................................... -- -- 211 Due to Custodian.................................. -- -- -- Due to Broker for swap contracts.................. -- -- -- Collateral for securities out on loan............. -- 12,842,999 -- Payable for securities purchased.................. -- 13,629,091 3,058,128 Securities sold short, at value (proceeds $396,048,543)................................... -- -- -- Written options, at value (premium $601,920, $114,801 and $60,653, respectively)............. -- -- -- Unrealized depreciation on open swap contracts.... -- -- -- Unrealized depreciation on foreign currency forward contracts (Note 10)..................... -- -- 44,807 Variation margin.................................. -- -- 14,697 Investment advisory fees.......................... 192,456 238,127 37,861 Accrued expenses.................................. 39,867 48,493 36,349 Contingent liability (Note 6)..................... -- -- -- ------------ ------------ ------------ Total liabilities................................. 232,323 26,758,710 3,192,053 ------------ ------------ ------------ NET ASSETS........................................ $950,724,090 $855,795,511 $135,461,626 ============ ============ ============ SECURITIES, AT COST............................... $802,294,810 $869,147,836 $138,451,172 ============ ============ ============
- -------- (1) Formerly, Intermediate Government Bond. See notes to financial statements. 42
TOTAL CORE RETURN HIGH YIELD VALUE & BOND BOND BOND BALANCED INCOME VALUE - -------------- ------------ ------------ ------------ -------------- ------------ $2,447,222,741 $388,923,156 $522,928,687 $409,485,874 $3,887,418,009 $172,805,197 20,317,861 79,088,307 32,187,362 14,424,271 53,220,091 6,733,344 -- 202 -- -- -- 137 -- -- -- 82,700 -- -- -- 1,179,225 -- 1,087,086 -- -- 21,061,454 3 -- 3 -- -- 614,605,244 38,526,764 6,068,747 18,600,332 2,674,941 2,053,232 -- 2,196 -- 3,732 -- -- 1,279,724 -- -- -- -- -- 1,384,836 -- -- -- -- -- 15,793,437 2,199,499 9,665,101 1,231,888 42,650 3,466 -- -- -- 282,106 4,709,050 182,883 -- -- -- -- 74,008 -- -- 1,853 -- 3,710 -- 447 8,334 2,053 -- 1,160 35,655 8,269 - -------------- ------------ ------------ ------------ -------------- ------------ 3,121,673,631 509,923,258 570,849,897 445,202,862 3,948,174,404 181,786,975 - -------------- ------------ ------------ ------------ -------------- ------------ -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 5,441,625 32,645,613 -- 11,890,436 244,204,605 17,660,618 583,720,200 164,013,124 8,537,686 55,538,137 12,908,926 243,782 394,055,644 -- -- -- -- -- 976,410 124,344 -- 65,406 -- -- 1,616,425 -- -- -- -- -- 370,069 116,001 -- 92,963 -- -- -- 447,573 -- 634,441 -- -- 589,858 78,336 251,486 136,236 1,336,710 65,746 100,732 25,437 38,372 59,242 81,785 29,286 -- -- -- -- -- -- - -------------- ------------ ------------ ------------ -------------- ------------ 986,870,963 197,450,428 8,827,544 68,416,861 258,532,026 17,999,432 - -------------- ------------ ------------ ------------ -------------- ------------ $2,134,802,668 $312,472,830 $562,022,353 $376,786,001 $3,689,642,378 $163,787,543 ============== ============ ============ ============ ============== ============ $2,483,714,418 $391,094,332 $516,422,640 $376,789,920 $3,158,854,703 $165,017,398 ============== ============ ============ ============ ============== ============
43 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JUNE 30, 2007 (UNAUDITED)
GROWTH & EQUITY AGGRESSIVE INCOME GROWTH EQUITY -------------- -------------- ------------ ASSETS: Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)............................... $1,117,710,793 $2,446,530,650 $432,431,448 Repurchase agreements (cost equals market)...... 6,015,524 2,729,778 3,352,666 Cash............................................ 35,550 -- -- Cash at broker.................................. 91,100 -- -- Foreign currency holdings, at value (cost $15,934,019 and $2,392,512 respectively)...... -- 15,243,740 -- Receivable for securities sold.................. 7,457,534 35,532,369 16,428,870 Unrealized appreciation on foreign currency forward contracts (Note 10)................... -- -- -- Interest receivable............................. 7,746 6,172 10,573 Dividends receivable............................ 1,150,659 2,397,171 225,853 Foreign tax reclaim receivable.................. -- 231,438 15,831 Receivable from Advisor......................... -- -- 5,466 Receivable from securities lending (net)........ 10,457 27,647 25,170 -------------- -------------- ------------ Total assets.................................... 1,132,479,363 2,502,698,965 452,495,877 -------------- -------------- ------------ LIABILITIES: Due to Advisor.................................. -- -- -- Due to Custodian................................ -- 4,257,929 -- Collateral for securities out on loan........... 47,663,319 39,846,175 69,461,923 Payable for securities purchased................ 6,171,196 20,743,010 16,476,902 Unrealized depreciation on foreign currency forward contracts (Note 10)................... -- 4,891 -- Variation margin................................ 2,550 -- -- Investment advisory fees........................ 524,713 1,219,295 226,486 Accrued expenses................................ 72,778 90,377 26,732 Contingent liability (Note 6)................... -- -- -- -------------- -------------- ------------ Total liabilities............................... 54,434,556 66,161,677 86,192,043 -------------- -------------- ------------ NET ASSETS...................................... $1,078,044,807 $2,436,537,288 $366,303,834 ============== ============== ============ SECURITIES, AT COST............................. $1,006,290,476 $2,238,035,868 $365,056,340 ============== ============== ============
See notes to financial statements. 44
MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INTERNATIONAL VALUE GROWTH VALUE EQUITY GROWTH EQUITY - -------------- ------------ ------------ -------------- ------------ -------------- $1,281,665,974 $373,848,283 $272,750,826 $1,445,990,702 $220,686,054 $2,513,118,676 25,029,050 7,138,156 1,640,031 21,754,785 2,314,011 18,259,432 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 2,211,056 6,394,290 2,309,110 895,702 4,820,250 3,360,744 30,052,060 -- -- -- -- -- 68,490 30,915 11,176 6,390 44,600 6,050 31,033 1,641,519 97,777 599,256 1,420,470 43,218 3,317,512 54 562 -- -- -- 1,533,864 -- -- -- -- 45 -- 18,330 25,730 44,226 119,286 11,868 27,968 - -------------- ------------ ------------ -------------- ------------ -------------- 1,314,780,132 383,430,794 275,936,431 1,474,150,093 226,421,990 2,568,620,091 - -------------- ------------ ------------ -------------- ------------ -------------- 1,516 251 420 -- -- -- -- -- -- -- -- -- 181,765,144 70,162,239 42,332,931 286,107,422 39,388,316 196,242,413 3,359,400 4,600,009 -- 5,359,581 2,435,753 18,440,918 -- -- -- -- -- 54,040 -- -- -- 32,000 -- -- 606,202 180,398 158,769 763,215 128,958 1,393,961 72,866 40,110 33,155 84,082 70,236 142,829 -- -- -- -- -- -- - -------------- ------------ ------------ -------------- ------------ -------------- 185,805,128 74,983,007 42,525,275 292,346,300 42,023,263 216,274,161 - -------------- ------------ ------------ -------------- ------------ -------------- $1,128,975,004 $308,447,787 $233,411,156 $1,181,803,793 $184,398,727 $2,352,345,930 ============== ============ ============ ============== ============ ============== $1,142,811,203 $324,332,239 $266,120,341 $1,322,687,266 $198,897,933 $1,933,860,466 ============== ============ ============ ============== ============ ==============
45 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED)
HIGH INFLATION- MONEY QUALITY PROTECTED MARKET BOND SECURITIES(1) ----------- ----------- ------------- INVESTMENT INCOME (NOTE 2): Interest income..................................... $25,420,492 $20,013,872 $ 4,973,391 Securities lending income (net)..................... -- 10,472 11,800 Dividend income..................................... -- -- -- Less: foreign withholding taxes..................... -- -- -- ----------- ----------- ----------- Total income........................................ 25,420,492 20,024,344 4,985,191 ----------- ----------- ----------- EXPENSES (NOTE 2): Investment advisory fees............................ 1,185,761 1,473,801 255,477 Custody fees........................................ 78,700 90,492 29,052 Audit fees.......................................... 13,936 14,902 14,387 Legal fees.......................................... 3,738 3,153 45 Reports to shareholders............................. 2,147 1,905 325 Other fees.......................................... 11,178 9,471 1,587 ----------- ----------- ----------- Total expenses...................................... 1,295,460 1,593,724 300,873 Expenses reimbursed by the Advisor.................. -- -- (9,342) ----------- ----------- ----------- Net expenses........................................ 1,295,460 1,593,724 291,531 ----------- ----------- ----------- NET INVESTMENT INCOME (LOSS)........................ 24,125,032 18,430,620 4,693,660 ----------- ----------- ----------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (NOTE 2): Net realized gains (losses) on transactions from: Securities........................................ -- (231,695) (797,904) Swap contracts.................................... -- -- -- Futures........................................... -- -- 262,210 Written options................................... -- -- -- Foreign currency transactions..................... -- -- (25,473) Change in net unrealized appreciation (depreciation) on: Securities........................................ -- (1,233,897) (3,836,963) Futures........................................... -- -- (78,287) Written options................................... -- -- -- Short sales....................................... -- -- -- Swap contracts.................................... -- -- -- Foreign currency translations..................... -- -- 31,185 ----------- ----------- ----------- Net realized and unrealized gains (losses) on investments....................................... -- (1,465,592) (4,445,232) ----------- ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................ $24,125,032 $16,965,028 $ 248,428 =========== =========== ===========
- -------- (1) Formerly, Intermediate Government Bond. See notes to financial statements. 46
TOTAL CORE RETURN HIGH YIELD VALUE & BOND BOND BOND BALANCED INCOME VALUE - ------------ ----------- ----------- ----------- ------------ ---------- $ 55,073,309 $ 5,531,699 $22,323,509 $ 4,253,363 $ 1,827,920 $ 175,460 27,958 16,692 -- 18,212 197,108 63,157 -- 5,377 122,321 1,988,226 35,123,049 1,109,241 -- -- -- -- (184,409) (2,967) - ------------ ----------- ----------- ----------- ------------ ---------- 55,101,267 5,553,768 22,445,830 6,259,801 36,963,668 1,344,891 - ------------ ----------- ----------- ----------- ------------ ---------- 3,694,055 355,921 1,474,573 854,756 8,117,252 355,195 258,846 55,837 63,398 104,040 295,123 34,295 17,623 15,902 14,646 15,143 18,890 15,865 8,312 551 2,808 2,134 45,787 685 4,787 346 1,184 651 8,193 259 23,399 1,357 5,912 5,098 46,382 1,157 - ------------ ----------- ----------- ----------- ------------ ---------- 4,007,022 429,914 1,562,521 981,822 8,531,627 407,456 -- (23,147) -- (32,093) -- (16,746) - ------------ ----------- ----------- ----------- ------------ ---------- 4,007,022 406,767 1,562,521 949,729 8,531,627 390,710 - ------------ ----------- ----------- ----------- ------------ ---------- 51,094,245 5,147,001 20,883,309 5,310,072 28,432,041 954,181 - ------------ ----------- ----------- ----------- ------------ ---------- (6,323,371) (2,029,670) 4,001,022 11,241,692 157,781,864 4,899,508 (1,108,735) -- -- -- -- -- (6,978,289) (723,652) -- (429,177) -- -- -- 27,769 -- 35,260 -- -- (2,894,036) 1,637 -- 8,570 -- -- (19,228,182) (2,081,385) (7,235,827) (3,509,853) 64,155,099 1,441,473 (931,419) (5,573) -- (101,731) -- -- (354,756) (12,283) -- (9,759) -- -- 1,056,767 -- -- -- -- -- (3,642,605) -- -- -- -- -- 664,349 (123,930) -- (100,946) -- 32 - ------------ ----------- ----------- ----------- ------------ ---------- (39,740,277) (4,947,087) (3,234,805) 7,134,056 221,936,963 6,341,013 - ------------ ----------- ----------- ----------- ------------ ---------- $ 11,353,968 $ 199,914 $17,648,504 $12,444,128 $250,369,004 $7,295,194 ============ =========== =========== =========== ============ ==========
47 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED)
GROWTH & EQUITY AGGRESSIVE INCOME GROWTH EQUITY ------------ ------------- ----------- INVESTMENT INCOME (NOTE 2): Interest income................................... $ 298,397 $ 999,472 $ 42,806 Securities lending income (net)................... 76,449 63,830 161,120 Dividend income................................... 8,755,977 12,087,696 1,032,447 Less: foreign withholding taxes................... (5,049) (176,704) (19,704) ------------ ------------- ----------- Total income...................................... 9,125,774 12,974,294 1,216,669 ------------ ------------- ----------- EXPENSES (NOTE 2): Investment advisory fees.......................... 3,340,548 7,638,716 1,407,597 Custody fees...................................... 145,127 220,074 55,673 Audit fees........................................ 15,654 17,983 13,990 Legal fees........................................ 4,429 9,878 1,510 Reports to shareholders........................... 2,632 5,782 796 Other fees........................................ 14,742 32,194 5,029 ------------ ------------- ----------- Total expenses.................................... 3,523,132 7,924,627 1,484,595 Expenses reimbursed by the Advisor................ -- -- (22,157) ------------ ------------- ----------- Net expenses...................................... 3,523,132 7,924,627 1,462,438 ------------ ------------- ----------- NET INVESTMENT INCOME (LOSS)...................... 5,602,642 5,049,667 (245,769) ------------ ------------- ----------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (NOTE 2): Net realized gains (losses) on transactions from: Securities...................................... 98,477,600 241,774,094 25,497,016 Swap contracts.................................. -- -- -- Futures......................................... 243,412 -- -- Written options................................. -- -- -- Foreign currency transactions................... -- 14,200 -- Change in net unrealized appreciation (depreciation) on: Securities...................................... (34,363,743) (114,413,382) 12,599,587 Futures......................................... (17,737) -- -- Written options................................. -- -- -- Short sales..................................... -- -- -- Swap contracts.................................. -- -- -- Foreign currency translations................... 623 14,257 -- ------------ ------------- ----------- Net realized and unrealized gains (losses) on investments..................................... 64,340,155 127,389,169 38,096,603 ------------ ------------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................. $ 69,942,797 $ 132,438,836 $37,850,834 ============ ============= ===========
See notes to financial statements. 48
MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INTERNATIONAL VALUE GROWTH VALUE EQUITY GROWTH EQUITY - ------------ ----------- ----------- ------------ ----------- ------------- $ 723,314 $ 193,334 $ 206,273 $ 653,044 $ 38,436 $ 684,600 96,072 76,548 168,963 575,192 49,163 439,930 9,330,274 670,849 2,079,718 7,497,407 318,736 41,290,189 (60,770) (1,647) -- -- -- (4,355,743) - ------------ ----------- ----------- ------------ ----------- ------------ 10,088,890 939,084 2,454,954 8,725,643 406,335 38,058,976 - ------------ ----------- ----------- ------------ ----------- ------------ 3,482,089 1,083,982 938,461 4,748,912 708,146 8,241,664 133,063 39,498 21,443 188,192 43,991 1,069,747 12,728 12,155 12,093 16,917 10,933 18,882 7,321 1,858 2,223 2,046 1,025 10,206 2,464 621 522 2,067 274 4,885 12,713 4,000 3,020 15,514 2,073 27,713 - ------------ ----------- ----------- ------------ ----------- ------------ 3,650,378 1,142,114 977,762 4,973,648 766,442 9,373,097 (13,269) (13,357) (5,248) -- (34,600) -- - ------------ ----------- ----------- ------------ ----------- ------------ 3,637,109 1,128,757 972,514 4,973,648 731,842 9,373,097 - ------------ ----------- ----------- ------------ ----------- ------------ 6,451,781 (189,673) 1,482,440 3,751,995 (325,507) 28,685,879 - ------------ ----------- ----------- ------------ ----------- ------------ 60,561,949 26,388,029 13,459,781 102,587,390 13,324,879 141,095,632 -- -- -- -- -- -- -- -- -- 83,025 -- -- -- -- -- -- -- -- (402) -- -- -- -- (92,895) 39,666,957 12,400,679 (5,260,936) (32,116,734) 7,088,143 73,658,962 -- -- -- (55,698) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (211,823) - ------------ ----------- ----------- ------------ ----------- ------------ 100,228,504 38,788,708 8,198,845 70,497,983 20,413,022 214,449,876 - ------------ ----------- ----------- ------------ ----------- ------------ $106,680,285 $38,599,035 $ 9,681,285 $ 74,249,978 $20,087,515 $243,135,755 ============ =========== =========== ============ =========== ============
49 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED)
HIGH INFLATION- MONEY QUALITY PROTECTED MARKET BOND SECURITIES(1) --------------- ------------- ------------- FROM OPERATIONS: Net investment income (loss).................... $ 24,125,032 $ 18,430,620 $ 4,693,660 Net realized gains (losses) on transactions from: Securities.................................... -- (231,695) (797,904) Swap contracts................................ -- -- -- Futures....................................... -- -- 262,210 Written options............................... -- -- -- Foreign currency transactions................. -- -- (25,473) Change in net unrealized appreciation (depreciation) on: Securities.................................... -- (1,233,897) (3,836,963) Futures....................................... -- -- (78,287) Written options............................... -- -- -- Short sales................................... -- -- -- Swap contracts................................ -- -- -- Foreign currency translations................. -- -- 31,185 --------------- ------------- ------------ Net increase (decrease) in net assets resulting from operations............................... 24,125,032 16,965,028 248,428 --------------- ------------- ------------ FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions................................... 1,506,689,033 163,967,709 30,982,989 Withdrawals..................................... (1,506,030,584) (142,760,412) (46,450,959) --------------- ------------- ------------ Net increase (decrease) in net assets resulting from transactions in investors' beneficial interests..................................... 658,449 21,207,297 (15,467,970) --------------- ------------- ------------ Net increase (decrease) in net assets........... 24,783,481 38,172,325 (15,219,542) NET ASSETS: Beginning of period............................. 925,940,609 817,623,186 150,681,168 --------------- ------------- ------------ End of period................................... $ 950,724,090 $ 855,795,511 $135,461,626 =============== ============= ============
- -------- (1) Formerly, Intermediate Government Bond. See notes to financial statements. 50
TOTAL CORE RETURN HIGH YIELD VALUE & BOND BOND BOND BALANCED INCOME VALUE - -------------- ------------ ------------ ------------ -------------- ------------ $ 51,094,245 $ 5,147,001 $ 20,883,309 $ 5,310,072 $ 28,432,041 $ 954,181 (6,323,371) (2,029,670) 4,001,022 11,241,692 157,781,864 4,899,508 (1,108,735) -- -- -- -- -- (6,978,289) (723,652) -- (429,177) -- -- -- 27,769 -- 35,260 -- -- (2,894,036) 1,637 -- 8,570 -- -- (19,228,182) (2,081,385) (7,235,827) (3,509,853) 64,155,099 1,441,473 (931,419) (5,573) -- (101,731) -- -- (354,756) (12,283) -- (9,759) -- -- 1,056,767 -- -- -- -- -- (3,642,605) -- -- -- -- -- 664,349 (123,930) -- (100,946) -- 32 - -------------- ------------ ------------ ------------ -------------- ------------ 11,353,968 199,914 17,648,504 12,444,128 250,369,004 7,295,194 - -------------- ------------ ------------ ------------ -------------- ------------ 308,342,743 219,983,652 129,149,865 50,041,312 472,763,604 78,467,928 (262,715,492) (28,347,163) (87,106,072) (67,348,240) (572,433,956) (23,258,485) - -------------- ------------ ------------ ------------ -------------- ------------ 45,627,251 191,636,489 42,043,793 (17,306,928) (99,670,352) 55,209,443 - -------------- ------------ ------------ ------------ -------------- ------------ 56,981,219 191,836,403 59,692,297 (4,862,800) 150,698,652 62,504,637 2,077,821,449 120,636,427 502,330,056 381,648,801 3,538,943,726 101,282,906 - -------------- ------------ ------------ ------------ -------------- ------------ $2,134,802,668 $312,472,830 $562,022,353 $376,786,001 $3,689,642,378 $163,787,543 ============== ============ ============ ============ ============== ============
51 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE PERIOD ENDED JUNE 30, 2007 (UNAUDITED)
GROWTH & EQUITY AGGRESSIVE INCOME GROWTH EQUITY -------------- -------------- ------------- FROM OPERATIONS: Net investment income (loss).................... $ 5,602,642 $ 5,049,667 $ (245,769) Net realized gains (losses) on transactions from: Securities.................................... 98,477,600 241,774,094 25,497,016 Swap contracts................................ -- -- -- Futures....................................... 243,412 -- -- Written options............................... -- -- -- Foreign currency transactions................. -- 14,200 -- Change in net unrealized appreciation (depreciation) on: Securities.................................... (34,363,743) (114,413,382) 12,599,587 Futures....................................... (17,737) -- -- Written options............................... -- -- -- Short sales................................... -- -- -- Swap contracts................................ -- -- -- Foreign currency translations................. 623 14,257 -- -------------- -------------- ------------- Net increase (decrease) in net assets resulting from operations............................... 69,942,797 132,438,836 37,850,834 -------------- -------------- ------------- FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions................................... 98,057,506 234,749,930 52,384,871 Withdrawals..................................... (248,975,741) (457,568,934) (106,599,779) -------------- -------------- ------------- Net increase (decrease) in net assets resulting from transactions in investors' beneficial interests..................................... (150,918,235) (222,819,004) (54,214,908) -------------- -------------- ------------- Net increase (decrease) in net assets........... (80,975,438) (90,380,168) (16,364,074) NET ASSETS: Beginning of period............................. 1,159,020,245 2,526,917,456 382,667,908 -------------- -------------- ------------- End of period................................... $1,078,044,807 $2,436,537,288 $ 366,303,834 ============== ============== =============
See notes to financial statements. 52
MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INTERNATIONAL VALUE GROWTH VALUE EQUITY GROWTH EQUITY - -------------- ------------ ------------ -------------- ------------ -------------- $ 6,451,781 $ (189,673) $ 1,482,440 $ 3,751,995 $ (325,507) $ 28,685,879 60,561,949 26,388,029 13,459,781 102,587,390 13,324,879 141,095,632 -- -- -- -- -- -- -- -- -- 83,025 -- -- -- -- -- -- -- -- (402) -- -- -- -- (92,895) 39,666,957 12,400,679 (5,260,936) (32,116,734) 7,088,143 73,658,962 -- -- -- (55,698) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (211,823) - -------------- ------------ ------------ -------------- ------------ -------------- 106,680,285 38,599,035 9,681,285 74,249,978 20,087,515 243,135,755 - -------------- ------------ ------------ -------------- ------------ -------------- 216,966,983 38,644,918 38,806,409 148,803,460 36,781,799 387,074,482 (131,646,469) (78,705,227) (51,393,256) (252,806,104) (27,473,591) (379,016,780) - -------------- ------------ ------------ -------------- ------------ -------------- 85,320,514 (40,060,309) (12,586,847) (104,002,644) 9,308,208 8,057,702 - -------------- ------------ ------------ -------------- ------------ -------------- 192,000,799 (1,461,274) (2,905,562) (29,752,666) 29,395,723 251,193,457 936,974,205 309,909,061 236,316,718 1,211,556,459 155,003,004 2,101,152,473 - -------------- ------------ ------------ -------------- ------------ -------------- $1,128,975,004 $308,447,787 $233,411,156 $1,181,803,793 $184,398,727 $2,352,345,930 ============== ============ ============ ============== ============ ==============
53 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2006
HIGH INFLATION- MONEY QUALITY PROTECTED MARKET BOND SECURITIES* --------------- ------------- ------------- FROM OPERATIONS: Net investment income (loss)................ $ 42,013,106 $ 32,679,639 $ 8,427,753 Net realized gains (losses) on transactions from: Securities................................ 3,069 (3,537,144) (4,284,109) Swap contracts............................ -- -- -- Futures................................... -- -- -- Written options........................... -- -- -- Foreign currency transactions............. -- -- -- Change in net unrealized appreciation (depreciation) on: Securities................................ -- 5,974,556 1,003,748 Futures................................... -- -- -- Written options........................... -- -- -- Short sales............................... -- -- -- Swap contracts............................ -- -- -- Foreign currency translations............. -- -- -- --------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations................. 42,016,175 35,117,051 5,147,392 --------------- ------------- ------------- FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions............................... 3,826,219,117 473,191,503 61,946,831 Withdrawals................................. (3,708,071,941) (479,084,534) (177,519,578) --------------- ------------- ------------- Net increase (decrease) in net assets resulting from transactions in investors' beneficial interests...................... 118,147,176 (5,893,031) (115,572,747) --------------- ------------- ------------- Net increase (decrease) in net assets....... 160,163,351 29,224,020 (110,425,355) NET ASSETS: Beginning of year........................... 765,777,258 788,399,166 261,106,523 --------------- ------------- ------------- End of year................................. $ 925,940,609 $ 817,623,186 $ 150,681,168 =============== ============= =============
- -------- * Formerly, Intermediate Government Bond. See notes to financial statements. 54
TOTAL CORE RETURN HIGH YIELD VALUE & BOND BOND BOND BALANCED INCOME VALUE -------------- ------------ ------------- ------------- -------------- ------------ $ 92,310,620 $ 3,955,397 $ 35,746,824 $ 10,580,519 $ 47,215,411 $ 769,673 (15,300,239) 326,862 4,415,516 17,865,917 237,630,133 3,727,354 (2,724,944) -- -- -- -- -- 8,144,851 15,462 -- (45,252) -- -- 536,040 31,702 -- 60,625 -- -- 264,388 (31,694) (4,253) (117,991) -- -- 181,854 (63,335) 11,570,829 14,431,295 327,033,667 5,766,022 (2,947,122) (15,115) -- 21,196 -- -- (136,174) 2,740 -- 5,006 -- -- 1,503,739 -- -- -- -- -- 3,305,904 -- -- -- -- -- (1,473,081) 6,996 2,243 50,342 -- (33) -------------- ------------ ------------- ------------- -------------- ------------ 83,665,836 4,229,015 51,731,159 42,851,657 611,879,211 10,263,016 -------------- ------------ ------------- ------------- -------------- ------------ 642,373,668 97,088,124 179,319,765 89,543,901 898,961,139 71,879,254 (701,111,090) (50,753,571) (144,748,123) (161,494,412) (989,956,921) (15,997,876) -------------- ------------ ------------- ------------- -------------- ------------ (58,737,422) 46,334,553 34,571,642 (71,950,511) (90,995,782) 55,881,378 -------------- ------------ ------------- ------------- -------------- ------------ 24,928,414 50,563,568 86,302,801 (29,098,854) 520,883,429 66,144,394 2,052,893,035 70,072,859 416,027,255 410,747,655 3,018,060,297 35,138,512 -------------- ------------ ------------- ------------- -------------- ------------ $2,077,821,449 $120,636,427 $ 502,330,056 $ 381,648,801 $3,538,943,726 $101,282,906 ============== ============ ============= ============= ============== ============
55 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE YEAR ENDED DECEMBER 31, 2006
GROWTH & EQUITY AGGRESSIVE INCOME GROWTH EQUITY -------------- -------------- ------------- FROM OPERATIONS: Net investment income (loss)................. $ 12,883,130 $ 10,764,574 $ (650,069) Net realized gains (losses) on transactions from: Securities................................. 90,273,462 151,657,940 27,520,364 Swap contracts............................. -- -- -- Futures.................................... 126,420 -- -- Written options............................ -- -- -- Foreign currency transactions.............. -- 893 -- Change in net unrealized appreciation (depreciation) on: Securities................................. 26,080,459 (62,370,923) (3,115,975) Futures.................................... 27,131 -- -- Written options............................ -- -- -- Short sales................................ -- -- -- Swap contracts............................. -- -- -- Foreign currency translations.............. 87 15 -- -------------- -------------- ------------- Net increase (decrease) in net assets resulting from operations.................. 129,390,689 100,052,499 23,754,320 -------------- -------------- ------------- FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions................................ 289,738,820 619,135,082 140,452,458 In-Kind Transfer (Note 20)................... -- -- -- Withdrawals.................................. (438,868,133) (779,652,186) (163,667,930) -------------- -------------- ------------- Net increase (decrease) in net assets resulting from transactions in investors' beneficial interests.................................. (149,129,313) (160,517,104) (23,215,472) -------------- -------------- ------------- Net increase (decrease) in net assets........ (19,738,624) (60,464,605) 538,848 NET ASSETS: Beginning of year............................ 1,178,758,869 2,587,382,061 382,129,060 -------------- -------------- ------------- End of year.................................. $1,159,020,245 $2,526,917,456 $ 382,667,908 ============== ============== =============
See notes to financial statements. 56
MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INTERNATIONAL VALUE GROWTH VALUE EQUITY GROWTH EQUITY - ------------- ------------- ------------ -------------- ------------ -------------- $ 9,167,028 $ (937,487) $ 639,914 $ 3,607,626 $ (438,967) $ 33,424,401 62,499,240 15,761,237 20,567,140 138,381,086 (3,321,892) 212,988,414 -- -- -- -- -- -- -- -- -- 303,934 -- -- -- -- -- -- -- -- 234 -- -- -- -- 617,122 59,305,077 (10,452,049) (1,285,523) (3,739,450) 14,657,485 209,750,250 -- -- -- 103,313 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 6 -- 57,605 - ------------- ------------- ------------ -------------- ------------ -------------- 130,971,579 4,371,701 19,921,531 138,656,515 10,896,626 456,837,792 - ------------- ------------- ------------ -------------- ------------ -------------- 367,313,600 128,657,239 73,958,616 448,521,133 56,928,632 652,020,924 -- -- -- (80,105,926) -- -- (202,842,512) (106,070,321) (76,312,650) (592,187,172) (45,725,788) (729,492,392) - ------------- ------------- ------------ -------------- ------------ -------------- 164,471,088 22,586,918 (2,354,034) (223,771,965) 11,202,844 (77,471,468) - ------------- ------------- ------------ -------------- ------------ -------------- 295,442,667 26,958,619 17,567,497 (85,115,450) 22,099,470 379,366,324 641,531,538 282,950,442 218,749,221 1,296,671,909 132,903,534 1,721,786,149 - ------------- ------------- ------------ -------------- ------------ -------------- $ 936,974,205 $ 309,909,061 $236,316,718 $1,211,556,459 $155,003,004 $2,101,152,473 ============= ============= ============ ============== ============ ==============
57 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ COMMERCIAL PAPER -- 37.0% $ 44,000,000 Bank of America Corp., 5.24%, 08/31/07........ $ 43,602,924 43,420,000 Barclays US Funding LLC, 5.24%, 08/15/07........ 43,129,279 15,577,000 Chariot Funding LLC -- 144A, 5.26%, 07/27/07........ 15,515,549 25,438,000 Chariot Funding LLC -- 144A, 5.26%, 07/30/07........ 25,326,497 48,160,000 Citigroup Funding, Inc., 5.25%, 09/19/07........ 47,591,110 32,000,000 Falcon Asset Securitization Corp. -- 144A, 5.26%, 08/03/07........ 31,841,182 36,320,000 HBOS Treasury Service PLC, 5.23%, 07/26/07........ 36,182,880 31,500,000 Jupiter Securitization Corp. LLC -- 144A, 5.29%, 07/17/07........ 31,421,311 16,390,000 Sheffield Receivables -- 144A, 5.29%, 07/09/07........ 16,368,324 21,110,000 Sheffield Receivables -- 144A, 5.29%, 07/13/07........ 21,069,674 40,840,000 UBS Finance Delaware, Inc., 5.19%, 12/06/07........ 39,903,845 ------------ TOTAL COMMERCIAL PAPER (Cost $351,952,575).... 351,952,575 ------------ YANKEE CERTIFICATES OF DEPOSIT -- 23.4% 41,000,000 Abbey National Treasury, 5.30%, 10/31/07........ 41,000,000 37,580,000 BNP Paribas New York Branch, 5.31%, 10/09/07........ 37,580,000 37,730,000 Credit Suisse First Boston -- New York Branch, 5.29%, 04/14/08........ 37,730,000 30,000,000 Deutsche Bank AG -- New York Branch, 5.35%, 08/07/07........ 30,000,000 15,270,000 Dresdner Bank AG -- New York Branch, 5.30%, 10/09/07........ 15,270,000 15,370,000 Dresdner Bank AG -- New York Branch, 5.30%, 01/10/08........ 15,370,000 10,550,000 HBOS Treasury Service PLC, 5.28%, 09/04/07........ 10,548,839 35,000,000 Toronto Dominion Bank, 5.31%, 07/09/07........ 35,000,000 ------------ TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $222,498,839).... 222,498,839 ------------ SHORT TERM CORPORATE NOTES -- 23.2% 5,790,000 American Express Bank, Variable Rate, 5.40%, 11/21/07 (1).... 5,792,529 16,900,000 American Express Credit Corp., Series MTNB, Variable Rate, 5.42%, 03/05/08 (1)........... 16,900,000 44,000,000 Bank of Montreal -- Chicago, Variable Rate, 5.28%, 06/06/08 (1).... 44,000,000 10,440,000 Canadian Imperial Bank Community New York, Variable Rate, 5.30%, 05/22/08 (1).... 10,440,000 34,000,000 Goldman Sachs Group LP, Series MTN -- 144A, Variable Rate, 5.45%, 09/14/07 (1).... 34,010,867 36,170,000 Greenwich Capital Holdings, Variable Rate, 5.28%, 11/09/07 (1).... 36,170,000 14,000,000 Merrill Lynch & Company, Inc., Variable Rate, 5.57%, 07/11/07 (1).... 14,000,000 33,850,000 Morgan Stanley, Series EXLS, Variable Rate, 5.36%, 06/02/08 (1).... 33,850,000 25,000,000 Societe Generale New York, Variable Rate, 5.38%, 03/27/08 (1).... 25,000,000 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $220,163,396).... 220,163,396 ------------ TIME DEPOSIT -- 0.8% 7,680,000 Calyon New York, 5.38%, 07/02/07 (Cost $7,680,000)...... 7,680,000 ------------ TOTAL SECURITIES (Cost $802,294,810).... 802,294,810 ------------ REPURCHASE AGREEMENTS -- 15.2% 6,775 With Investors Bank & Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $6,778 (Collateralized by Small Business Administration, 8.38%, due 06/25/25, with a value of $7,114)....... 6,775 144,290,000 With Deutsche Bank, dated 06/29/07, 5.35% -- 5.40%, due 07/02/07, repurchase proceeds at maturity $144,354,627 (Collateralized by various Fannie Maes, 4.15% -- 7.41%, due 08/01/34 -- 03/01/37, with a total value of $104,181,237 and various Freddie Macs, 5.00% -- 6.50%, due 09/01/35 -- 06/01/37, with a total value of $42,994,564)........... 144,290,000 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $144,296,775).... 144,296,775 ------------
See notes to financial statements. 58 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
VALUE ------------ Total Investments -- 99.6% (Cost $946,591,585).......... $946,591,585 Other assets less liabilities -- 0.4%.......... 4,132,505 ------------ NET ASSETS -- 100.0%............ $950,724,090 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $946,591,585. - -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 59 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 2.6% US TREASURY NOTES $10,000,000 4.88%, 05/31/08 (8)....... $ 9,993,760 2,000,000 5.00%, 07/31/08 (8)....... 2,000,002 10,000,000 4.75%, 12/31/08........... 9,972,660 ------------ TOTAL US TREASURY SECURITIES (Cost $21,972,476)..... 21,966,422 ------------ US GOVERNMENT AGENCY SECURITIES -- 16.5% ASSET BACKED: MORTGAGE AND HOME EQUITY -- 11.6% 5,400,000 Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26........ 5,286,050 1,246,393 Fannie Mae, Series 2003-34, Class GT, 4.00%, 01/25/27........ 1,227,892 2,550,000 Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26........ 2,461,956 1,163,824 Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33........ 1,145,155 781,980 Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25........ 765,781 4,957,991 Fannie Mae, Series 2003-69, Class GJ, 3.50%, 12/25/31........ 4,640,208 2,841,888 Fannie Mae, Series 2003-92, Class KQ, 3.50%, 06/25/23........ 2,795,899 214,227 Fannie Mae, Series 2004-21, Class QA, 4.00%, 11/25/17........ 213,669 2,764,909 Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29........ 2,628,843 4,777,563 Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16........ 4,660,950 4,334,927 Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09........ 4,252,347 2,247,852 Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09........ 2,189,187 7,354,545 Freddie Mac, Series 2416, Class PE, 6.00%, 10/15/21........ 7,433,225 952,796 Freddie Mac, Series 2454, Class BG, 6.50%, 08/15/31........ 960,706 2,106,702 Freddie Mac, Series 2614, Class JA, 3.76%, 03/15/29........ 1,995,200 5,287,029 Freddie Mac, Series 2625, Class JD, 3.25%, 07/15/17........ 4,972,721 4,666,611 Freddie Mac, Series 2627, Class KP, 2.87%, 12/15/16........ 4,395,773 5,375,588 Freddie Mac, Series 2630, Class HC, 4.00%, 01/15/17........ 5,185,364 5,800,000 Freddie Mac, Series 2631, Class CD, 4.00%, 10/15/26........ 5,620,204 5,417,117 Freddie Mac, Series 2637, Class A, 3.38%, 03/15/18........ 5,053,185 4,168,590 Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16........ 4,023,263 1,782,733 Freddie Mac, Series 2760, Class EA, 4.50%, 04/15/13........ 1,772,220 1,849,490 Freddie Mac, Series 2782, Class HE, 4.00%, 09/15/17........ 1,771,157 3,927,512 Freddie Mac, Series 3056, Class AP, 5.50%, 01/15/27........ 3,925,274 5,591,377 Government National Mortgage Association, Series 2006-67, Class A, 3.95%, 11/16/30........ 5,411,895 6,720,955 Government National Mortgage Association, Series 2007-15, Class A, 4.51%, 10/16/28........ 6,578,253 3,000,000 Government National Mortgage Association, Series 2007-34, Class A, 4.27%, 11/16/26........ 2,932,515 4,960,965 Government National Mortgage Association, Series 2007-4, Class A, 4.21%, 06/16/29........ 4,823,507 ------------ 99,122,399 ------------ ASSET BACKED: US GOVERNMENT AGENCIES -- 0.6% 5,000,000 Student Loan Marketing Association Student Loan Trust -- 144A, Series 2003-4, Class A5B, 3.39%, 03/15/33........ 4,914,725 ------------ FANNIE MAE -- 2.7% 3,800,000 5.00%, 09/15/08........... 3,788,867 580,501 PL# 254062, 6.00%, 10/01/11........ 583,479 1,512,777 PL# 254754, 4.50%, 05/01/10........ 1,479,356 2,138,933 PL# 254758, 4.50%, 06/01/13........ 2,085,516
See notes to financial statements. 60 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 1,063,731 PL# 254805, 5.00%, 06/01/13........ $ 1,049,151 2,034,654 PL# 254807, 5.00%, 07/01/13........ 2,006,755 4,001,397 PL# 254914, 4.50%, 09/01/13........ 3,898,126 543,415 PL# 323743, 5.00%, 04/01/14........ 530,658 304,324 PL# 429168, 6.00%, 05/01/13........ 307,116 115,001 PL# 50903, 6.00%, 09/01/08........ 115,243 172,203 PL# 50973, 6.00%, 01/01/09........ 172,566 324,260 PL# 517699, 6.00%, 07/01/14........ 326,295 969,872 PL# 545038, 6.00%, 09/01/14........ 980,180 2,402,370 PL# 555154, 5.50%, 12/01/22........ 2,349,983 3,337,389 PL# 555487, 5.00%, 05/01/18........ 3,237,706 81,723 PL# 609771, 6.00%, 09/01/08........ 81,821 ------------ 22,992,818 ------------ FEDERAL HOME LOAN BANK -- 0.8% 2,500,000 3.75%, 08/18/09........... 2,431,148 4,545,354 Series 6T-9009, 3.84%, 11/25/09........ 4,411,275 ------------ 6,842,423 ------------ FREDDIE MAC GOLD -- 0.6% 115,327 PL# E00532, 6.50%, 02/01/13........ 118,000 203,681 PL# E00542, 6.50%, 04/01/13........ 208,407 534,830 PL# E00676, 5.50%, 06/01/14........ 531,097 879,496 PL# E89557, 5.50%, 04/01/17........ 869,526 2,968,480 PL# G40426, 5.50%, 03/01/11........ 2,982,163 690,860 PL# M90802, 4.00%, 03/01/08........ 683,392 ------------ 5,392,585 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.2% 1,658,367 PL# 436708, 5.75%, 12/15/22........ 1,644,792 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $143,378,834).... 140,909,742 ------------ CORPORATE BONDS AND NOTES -- 76.7% BANKS -- 9.3% 5,000,000 American Express Bank FSB, Series BKNT, Floating Rate, 5.38%, 06/22/09 (3).... 5,005,245 4,700,000 American Express Centurion Bank, Series BKNT, 4.38%, 07/30/09........ 4,623,056 4,330,000 Bank of America Corp., 7.13%, 03/01/09........ 4,453,977 1,375,000 Bank of America Corp., 7.80%, 02/15/10........ 1,454,239 4,600,000 Bank of Scotland -- 144A (United Kingdom), 3.50%, 11/30/07........ 4,570,385 13,100,000 Bank One Corp., 2.63%, 06/30/08........ 12,748,042 2,650,000 BankBoston NA, Series BKNT, 6.38%, 04/15/08........ 2,667,729 14,385,000 Capital One Financial Corp., Series MTN, 5.70%, 09/15/11........ 14,327,014 2,000,000 HBOS Treasury Services PLC -- 144A (United Kingdom), 3.75%, 09/30/08........ 1,959,826 3,025,000 National City Bank, Series BKNT, 4.25%, 01/29/10........ 2,944,217 3,630,000 US Bank NA, Series BKNT, 4.13%, 03/17/08........ 3,596,887 3,125,000 Wachovia Corp., 5.63%, 12/15/08........ 3,140,516 7,000,000 Wachovia Corp., Floating Rate, 5.41%, 07/20/07 (3).... 7,000,469 3,000,000 Wells Fargo & Company, 4.20%, 01/15/10........ 2,925,756 8,500,000 Wells Fargo & Company, Floating Rate, 5.42%, 03/23/10 (2).... 8,512,971 ------------ 79,930,329 ------------ CONSUMER GOODS AND SERVICES -- 0.8% 7,220,000 The Procter & Gamble Company -- 144A, Floating Rate, 5.37%, 07/06/09 (2).... 7,220,000 ------------ DIVERSIFIED OPERATIONS AND SERVICES -- 0.4% 3,825,000 Capmark Financial Group -- 144A, 5.88%, 05/10/12........ 3,778,802 ------------ EQUIPMENT RENTAL AND LEASING -- 1.0% 8,420,000 International Lease Finance Corp., Series MTNQ, 5.75%, 06/15/11........ 8,462,580 ------------
See notes to financial statements. 61 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES -- 9.2% $ 5,000,000 Citigroup, Inc., 3.50%, 02/01/08........ $ 4,950,125 8,472,000 Citigroup, Inc., 4.63%, 08/03/10........ 8,298,747 9,110,000 Countrywide Financial Corp., Series MTN, 5.80%, 06/07/12........ 9,055,385 8,155,000 Credit Suisse First Boston USA, Inc., 4.70%, 06/01/09........ 8,068,427 2,500,000 General Electric Capital Corp., Series MTNA, 4.00%, 06/15/09........ 2,441,438 2,800,000 Goldman Sachs Group, Inc., 4.50%, 06/15/10........ 2,731,826 4,000,000 Goldman Sachs Group, Inc., Series MTNB, Floating Rate, 5.75%, 10/07/11 (2)........... 4,028,132 6,250,000 Lehman Brothers Holdings, Inc., Series MTNG, 3.95%, 11/10/09........ 6,064,131 4,000,000 Lehman Brothers Holdings, Inc., Series MTNI, Floating Rate, 5.59%, 01/12/12 (2)........... 3,999,776 7,775,000 Merrill Lynch & Company, Inc., Series MTNC, 4.83%, 10/27/08........ 7,706,782 6,000,000 Merrill Lynch & Company, Inc., Series MTNC, 4.13%, 01/15/09........ 5,891,304 3,294,000 Morgan Stanley, 3.88%, 01/15/09........ 3,224,800 2,425,000 Morgan Stanley, Series MTN, 5.63%, 01/09/12........ 2,422,148 5,675,000 SLM Corp., Series MTNA, 4.50%, 07/26/10........ 5,250,833 2,750,000 The Bear Stearns Companies, Inc., 2.88%, 07/02/08........ 2,678,935 2,000,000 The Bear Stearns Companies, Inc., 5.35%, 02/01/12........ 1,964,492 ------------ 78,777,281 ------------ INSURANCE -- 1.9% 11,000,000 Met Life Global Funding I -- 144A, Series MTN, 5.75%, 07/25/11........ 11,098,054 2,500,000 New York Life Global Funding -- 144A, 3.88%, 01/15/09........ 2,446,768 2,785,000 Prudential Financial, Inc., Series MTN, 3.75%, 05/01/08........ 2,747,266 ------------ 16,292,088 ------------ MACHINERY -- 0.2% 2,000,000 Caterpillar, Inc., 7.25%, 09/15/09........ 2,076,248 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.3% 2,525,000 Abbott Laboratories, 3.50%, 02/17/09........ 2,455,108 ------------ PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 12.3% 4,500,000 Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12.... 4,412,570 2,500,000 BMW Vehicle Owner Trust, Series 2006-A, Class A4, 5.07%, 08/25/11........ 2,482,213 1,953,180 Capital Auto Receivables Asset Trust, Series 2005-1, Class A4, 4.05%, 07/15/09........ 1,944,965 791,520 Capital One Auto Finance Trust, Series 2005-A, Class A3, 4.28%, 07/15/09........ 791,362 951,696 Capital One Auto Finance Trust, Series 2005-BSS, Class A3, 4.08%, 11/15/09.... 949,501 1,274,224 Capital One Auto Finance Trust, Series 2005-C, Class A3, 4.61%, 07/15/10........ 1,271,651 3,500,000 Capital One Prime Auto Receivables Trust, Series 2004-3, Class A4, 3.69%, 06/15/10........ 3,448,622 625,232 Capital One Prime Auto Receivables Trust, Series 2006-1, Class A2, 5.04%, 11/15/08........ 625,738 3,000,000 Capital One Prime Auto Receivables Trust, Series 2007-1, Class B1, 5.76%, 12/15/13........ 3,015,000 4,124,444 Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11........ 4,065,635 3,100,000 Carmax Auto Owner Trust, Series 2005-2, Class A4, 4.34%, 09/15/10........ 3,054,750 482,217 Chase Manhattan Auto Owner Trust, Series 2004-A, Class CTFS, 2.58%, 09/15/10........ 475,107 2,890,532 Chase Manhattan Auto Owner Trust, Series 2005-A, Class CTFS, 4.04%, 04/15/11........ 2,867,072
See notes to financial statements. 62 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS (CONTINUED) $ 2,000,000 Chase Manhattan Auto Owner Trust, Series 2006-A, Class A4, 5.36%, 01/15/13........ $ 2,002,686 2,500,000 Chase Manhattan Auto Owner Trust, Series 2006-A, Class CTFS, 5.47%, 01/15/13........ 2,502,709 3,200,000 Chase Manhattan Auto Owner Trust, Series 2006-B, Class A4, 5.11%, 04/15/14........ 3,181,230 4,614,513 Fifth Third Auto Trust, Series 2004-A, Class A4, 3.70%, 10/20/11........ 4,603,472 2,250,000 Ford Credit Auto Owner Trust, Series 2005-B, Class B, 4.64%, 04/15/10........ 2,232,368 1,000,000 Ford Credit Auto Owner Trust, Series 2005-B, Class C, 4.83%, 08/15/10........ 995,144 1,745,698 Ford Credit Auto Owner Trust, Series 2005-C, Class A3, 4.30%, 08/15/09........ 1,738,328 3,800,000 Ford Credit Auto Owner Trust, Series 2005-C, Class B, 4.52%, 09/15/10........ 3,754,003 864,304 Ford Credit Auto Owner Trust, Series 2006-A, Class A2A, 5.04%, 09/15/08........ 864,947 1,000,000 Ford Credit Auto Owner Trust, Series 2007-A, Class B, 5.60%, 10/15/12........ 997,188 1,861,012 Harley-Davidson Motorcycle Trust, Series 2004-1, Class A2, 2.53%, 11/15/11........ 1,814,825 5,000,000 Hertz Vehicle Financing LLC -- 144A, Series 2005-2A, Class A2, 4.93%, 02/25/10........ 4,968,148 2,000,000 Hertz Vehicle Financing LLC -- 144A, Series 2005-2A, Class A4, 5.01%, 02/25/11........ 1,982,865 4,500,000 Honda Auto Receivables Owner Trust, Series 2006-1, Class A3, 5.07%, 02/18/10........ 4,494,325 3,000,000 Hyundai Auto Receivables Trust, Series 2006-B, Class B, 5.19%, 05/15/13........ 2,983,571 2,806,076 Long Beach Auto Receivables Trust, Series 2005-B, Class A3, 4.41%, 05/15/10........ 2,797,995 695,176 Long Beach Auto Receivables Trust, Series 2006-A, Class A2, 5.36%, 11/15/09........ 695,827 1,360,273 Nissan Auto Receivables Owner Trust, Series 2006-B, Class A2, 5.18%, 08/15/08........ 1,361,478 3,250,000 Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11........ 3,211,444 5,958,016 Susquehanna Auto Lease Trust -- 144A, Series 2005-1, Class A3, 4.43%, 06/16/08........ 5,944,508 2,000,000 Susquehanna Auto Lease Trust -- 144A, Series 2005-1, Class B, 4.71%, 07/14/08........ 1,991,201 4,000,000 Susquehanna Auto Lease Trust -- 144A, Series 2005-1, Class C, 5.09%, 11/14/08........ 3,982,722 2,500,000 Susquehanna Auto Lease Trust, Series 2007-1, Class A2, 5.32%, 04/14/09........ 2,499,672 1,250,000 Susquehanna Auto Lease Trust, Series 2007-1, Class B, 5.31%, 07/14/10........ 1,245,025 6,000,000 Triad Auto Receivables Owner Trust, Series 2007-A, Class A3, 5.28%, 02/13/12........ 5,992,849 2,465,935 WFS Financial Owner Trust, Series 2004-1, Class A4, 2.81%, 08/22/11........ 2,443,160 4,550,000 World Omni Auto Receivables Trust, Series 2006-B, Class A4, 5.12%, 06/15/12........ 4,527,132 ------------ 105,213,008 ------------ PRIVATE ASSET BACKED: CREDIT CARDS -- 5.9% 8,000,000 Cabela's Master Credit Card Trust -- 144A, Series 2006-3A, Class A1, 5.26%, 10/15/14........ 7,946,870 7,000,000 Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.30%, 02/18/14........ 6,986,092 8,000,000 Citibank Credit Card Issuance Trust, Series 2004-A4, Class A4, 3.20%, 08/24/09........ 7,982,903
See notes to financial statements. 63 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: CREDIT CARDS (CONTINUED) $ 8,000,000 Citibank Credit Card Issuance Trust, Series 2006-A4, Class A4, 5.45%, 05/10/13........ $ 8,007,211 1,925,000 Citibank Credit Card Issuance Trust, Series 2006-B2, Class B2, 5.15%, 03/07/11........ 1,916,882 6,325,000 GE Capital Credit Card Master Note Trust, Series 2004-2, Class A, 5.36%, 09/15/10........ 6,329,510 8,000,000 GE Capital Credit Card Master Note Trust, Series 2006-1, Class A, 5.08%, 09/15/12........ 7,972,094 3,000,000 GE Capital Credit Card Master Note Trust, Series 2007-3, Class B, 5.49%, 06/15/13........ 2,999,266 ------------ 50,140,828 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 4.3% 5,000,000 Caterpillar Financial Asset Trust, Series 2005-A, Class A4, 4.10%, 06/25/10........ 4,948,331 3,000,000 Caterpillar Financial Asset Trust, Series 2006-A, Class B, 5.71%, 06/25/12........ 3,023,579 2,257,060 Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18........ 2,223,089 5,781,290 Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A1, 4.79%, 04/10/37.... 5,725,984 4,901,256 Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A1, 5.74%, 07/10/38.... 4,929,731 533,881 Morgan Stanley Capital I, Series 2003-T11, Class A1, 3.26%, 06/13/41.... 526,449 4,138,458 Morgan Stanley Capital I, Series 2005-HQ5, Class A1, 4.52%, 01/14/42.... 4,090,565 2,199,019 Morgan Stanley Capital I, Series 2005-HQ6, Class A1, 4.65%, 08/13/42.... 2,167,888 4,651,384 Morgan Stanley Capital I, Series 2006-HQ10, Class A1, 5.13%, 11/12/41.... 4,612,258 3,418,163 Morgan Stanley Capital I, Series 2006-IQ11, Class A1, 5.55%, 10/15/42.... 3,420,511 1,527,228 Public Service New Hampshire Funding LLC, Series 2001-1, Class A2, 5.73%, 11/01/10........ 1,532,263 ------------ 37,200,648 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 14.2% 1,534,900 American General Mortgage Loan Trust, Series 2006-1, Class A1, 5.75%, 12/25/35........ 1,532,420 1,310,246 Banc of America Commercial Mortgage, Inc., Series 2003-2, Class A1, 3.41%, 03/11/41........ 1,288,375 5,000,000 Banc of America Commercial Mortgage, Inc., Series 2006-4, Class A2, 5.52%, 09/10/11........ 4,977,270 295,175 Bear Stearns Commercial Mortgage Securities, Inc., Series 1998-C1, Class A1, 6.34%, 06/16/30........ 294,994 127,642 Bear Stearns Commercial Mortgage Securities, Inc., Series 1999-C1, Class A1, 5.91%, 02/14/31........ 127,576 604,563 Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16.... 600,650 1,755,895 Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35.... 1,719,166 786,070 Bear Stearns Commercial Mortgage Securities, Inc., Series 2004-PWR5, Class A1, 3.76%, 07/11/42.... 772,571 1,410,818 Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR9, Class A1, 4.50%, 09/11/42.... 1,389,119 3,410,915 Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-T22, Class A1, 5.42%, 04/12/38.... 3,407,094 7,000,000 Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW15, Class A2, 5.21%, 02/11/44.... 6,867,573 3,222,176 Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A6, 4.43%, 10/25/14........ 3,051,203
See notes to financial statements. 64 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 3,360,520 Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A1, 5.05%, 07/15/44.... $ 3,337,598 789,908 Commercial Mortgage Pass- Through Certificates, Series 2004-LB2A, Class A1, 2.96%, 03/10/39.... 776,403 3,949,155 Credit Suisse First Boston Mortgage Securities Corp., Series 2001-CP4, Class A2, 5.87%, 12/15/35.... 3,948,523 1,338,680 Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A1, 2.08%, 05/15/38........ 1,318,841 383,643 GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38........ 384,235 4,812,458 GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A2, 5.99%, 12/10/35........ 4,857,531 2,899,025 GE Capital Commercial Mortgage Corp., Series 2002-3A, Class A1, 4.23%, 12/10/37........ 2,834,830 1,395,638 GE Capital Commercial Mortgage Corp., Series 2004-C3, Class A1, 3.75%, 07/10/39........ 1,371,883 1,243,411 GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A1, 4.01%, 06/10/48........ 1,224,517 1,534,746 GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25.... 1,523,355 6,400,000 GS Mortgage Securities Corp. II, Series 2007-GG10, Class A1, 5.69%, 08/10/45.... 6,399,987 640,039 Interstar Millennium Trust, Series 2003-3G, Class A2 (Australia), Floating Rate, 5.61%, 09/27/35 (2)........... 641,711 1,121,711 Interstar Millennium Trust, Series 2004-2G, Class A (Australia), Floating Rate, 5.56%, 03/14/36 (2)........... 1,124,142 681,970 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34........ 665,961 1,749,145 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A1, 4.61%, 10/15/42........ 1,735,881 5,558,212 JPMorgan Mortgage Trust, Series 2006-S2, Class 1A17, 6.00%, 07/25/36.. 5,564,615 851,400 LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A1, 2.72%, 03/15/27........ 840,638 1,850,000 LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27........ 1,824,473 1,824,510 LB-UBS Commercial Mortgage Trust, Series 2003-C3, Class A1, 2.60%, 05/15/27........ 1,795,019 3,000,000 LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27........ 2,942,781 3,350,000 LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27........ 3,251,822 894,577 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A1, 3.94%, 12/15/29........ 883,773 779,316 LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A1, 4.74%, 09/15/40........ 771,986 3,828,719 LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class A1, 4.99%, 11/15/30........ 3,803,743 5,758,376 Nomura Home Equity Loan, Inc., Series 2006-AF1, Class A1, 6.03%, 10/25/36.... 5,753,562 2,300,000 Permanent Financing PLC, Series 7, Class 2A (United Kingdom), Floating Rate, 5.40%, 09/10/14 (2).... 2,300,081 3,000,000 Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35........ 2,976,363 3,300,000 Residential Funding Mortgage Securities II, Series 2007-HSA3, Class 1A3, 6.03%, 05/25/37... 3,288,583 5,604,898 Structured Adjustable Rate Mortgage Loan, Series 2005-23, Class 1A3, 5.45%, 01/25/36... 5,574,846
See notes to financial statements. 65 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 5,934,314 Structured Adjustable Rate Mortgage Loan, Series 2006-1, Class 5A1, 5.25%, 02/25/36........ $ 5,890,915 2,496,920 Wachovia Bank Commercial Mortgage Trust, Series 2003-4, Class A1, 3.00%, 04/15/35........ 2,463,372 7,430,118 Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2005-8, Class 1A8, 5.50%, 10/25/35............... 7,393,399 1,261,964 Wells Fargo Mortgage Backed Securities Trust, Series 2003-11, Class 1A1, 3.50%, 10/25/18... 1,246,693 4,703,625 Wells Fargo Mortgage Backed Securities Trust, Series 2005-9, Class 1A1, 4.75%, 10/25/35........ 4,618,046 ------------ 121,358,119 ------------ PRIVATE ASSET BACKED: OTHER -- 10.1% 4,913,793 ALG Student Loan Trust -- 144A, Series 2006-1A, Class A1, Floating Rate, 5.36%, 10/28/18 (2).... 4,918,338 966,689 Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33.... 948,127 1,714,107 California Infrastructure PG&E Corp., Series 1997-1, Class A8, 6.48%, 12/26/09........ 1,722,523 7,170,000 CIT Equipment Collateral, Series 2006-VT1, Class A3, 5.13%, 12/21/09.... 7,161,739 6,500,000 CIT Equipment Collateral, Series 2006-VT1, Class A4, 5.16%, 02/20/13.... 6,487,046 429,459 CIT RV Trust, Series 1998-A, Class A5, 6.12%, 11/15/13........ 429,858 276,440 CNH Equipment Trust, Series 2004-A, Class A3B, 2.94%, 10/15/08... 276,370 3,000,000 CNH Equipment Trust, Series 2006-B, Class B, 5.36%, 06/17/13........ 2,984,515 2,000,000 CNH Equipment Trust, Series 2007-A, Class B, 5.09%, 06/16/14........ 1,973,324 1,355,883 Crusade Global Trust, Series 2004-2, Class A1 (Australia), Floating Rate, 5.49%, 11/19/37 (2)........... 1,357,268 10,000,000 CW Capital Cobalt, Series 2006-C1, Class A2, 5.17%, 08/15/48........ 9,818,343 5,500,000 GE Equipment Midticket LLC, Series 2006-1, Class A2, 5.10%, 05/15/09........ 5,495,013 2,454,074 Goal Capital Funding Trust, Series 2006-1, Class A1, Floating Rate, 5.36%, 08/25/20 (2).... 2,455,684 3,750,000 Great America Leasing Receivables -- 144A, Series 2006-1, Class A3, 5.34%, 01/15/10........ 3,747,111 7,400,000 John Deere Owner Trust, Series 2006-A, Class A3, 5.38%, 07/15/10........ 7,406,340 8,000,000 John Deere Owner Trust, Series 2007-A, Class A4, 5.07%, 04/15/14........ 7,912,426 3,501,000 Marlin Leasing Receivables LLC -- 144A, Series 2006-1A, Class A4, 5.33%, 09/15/13........ 3,499,359 9,250,000 Massachusetts RRB Special Purpose Trust, Series 1999-1, Class A5, 7.03%, 03/15/12........ 9,510,066 2,400,000 Providian Gateway Master Trust -- 144A, Series 2004-FA, Class A, 3.65%, 11/15/11........ 2,385,374 5,598,000 PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15........ 5,866,399 ------------ 86,355,223 ------------ PRIVATE ASSET BACKED: TRANSPORTATION -- 0.8% 2,150,000 E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18........ 2,082,375 4,443,137 Railcar Leasing LLC, Series 1, Class A2, 7.13%, 01/15/13........ 4,590,804 ------------ 6,673,179 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.1% 8,925,000 BellSouth Corp., 6.00%, 10/15/11........ 9,046,398 ------------ UTILITIES -- 4.9% 6,725,000 Alabama Power Company, Series G, 5.38%, 10/01/08........ 6,718,826 5,125,000 Consolidated Edison Company of New York, Inc., 4.70%, 06/15/09........ 5,062,701
See notes to financial statements. 66 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES (CONTINUED) $ 2,900,000 Dominion Resources, Inc., 4.13%, 02/15/08........ $ 2,876,812 11,420,000 Exelon Generation Company LLC, 6.95%, 06/15/11 (8).... 11,866,430 3,195,000 Northern States Power Company -- Minnesota, 6.88%, 08/01/09........ 3,278,814 5,200,000 Northern States Power Company -- Wisconsin, 7.64%, 10/01/08........ 5,328,040 6,664,000 Ohio Edison, 4.00%, 05/01/08........ 6,583,506 450,000 Xcel Energy, Inc., 3.40%, 07/01/08........ 440,622 ------------ 42,155,751 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $662,675,174).... 657,135,590 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 0.5% 4,000,000 Province of Ontario (Canada), 5.50%, 10/01/08 (Cost $4,080,379)...... 4,010,680 ------------ MUNICIPAL BONDS -- 0.7% TEXAS 6,350,000 Brazos Texas Higher Education Authority, Revenue Bond, Series A- 5, 4.91%, 12/01/40 (Cost $6,281,539)...... 6,326,251 ------------ SECURITIES LENDING COLLATERAL -- 1.5% 12,842,999 Securities Lending Collateral Investment (Note 4) (Cost $12,842,999)..... 12,842,999 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 2.1% FANNIE MAE -- 1.1% 5,000,000 5.11%, 07/03/07........... 4,997,871 4,000,000 5.14%, 09/12/07........... 3,957,762 ------------ 8,955,633 ------------ FEDERAL HOME LOAN BANK -- 0.8% 5,000,000 5.16%, 07/18/07........... 4,987,110 2,000,000 5.16%, 07/20/07........... 1,994,272 ------------ 6,981,382 ------------ FREDDIE MAC -- 0.2% 2,000,000 5.15%, 09/10/07........... 1,979,420 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $17,916,435)..... 17,916,435 ------------ TOTAL SECURITIES (Cost $869,147,836).... 861,108,119 ------------ REPURCHASE AGREEMENTS -- 1.9% 16,179,501 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $16,185,919 (Collateralized by various Small Business Administrations, 8.02% -- 8.08%, due 03/25/18 -- 06/25/30 with a total value of $16,988,476) (Cost $16,179,501)..... 16,179,501 ------------ Total Investments -- 102.5% (Cost $885,327,337).... 877,287,620 Liabilities less other assets -- (2.5)%....... (21,492,109) ------------ NET ASSETS -- 100.0%...... $855,795,511 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $885,327,337. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $ 470,720 Gross unrealized depreciation... (8,510,437) ----------- Net unrealized depreciation..... $(8,039,717) ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 67 INFLATION-PROTECTED SECURITIES PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 91.7% US TREASURY INFLATION INDEX -- 91.5% $ 2,380,909 3.88%, 01/15/09........... $ 2,419,601 7,422,958 4.25%, 01/15/10........... 7,706,544 10,752,724 0.88%, 04/15/10........... 10,215,099 1,566,880 3.50%, 01/15/11........... 1,612,540 7,879,310 2.38%, 04/15/11........... 7,795,600 2,873,845 3.38%, 01/15/12........... 2,967,248 287,260 3.00%, 07/15/12........... 292,916 5,691,792 1.88%, 07/15/13........... 5,461,456 18,297,870 2.00%, 01/15/14........... 17,590,274 9,853,220 2.00%, 07/15/14........... 9,461,407 8,644,940 1.63%, 01/15/15........... 8,038,446 5,131,686 2.00%, 01/15/15........... 4,873,901 5,427,535 1.88%, 07/15/15........... 5,130,720 808,170 2.50%, 07/15/16 (5)....... 799,394 1,562,302 2.38%, 01/15/17........... 1,525,808 10,839,638 2.38%, 01/15/25........... 10,426,388 10,731,782 2.00%, 01/15/26........... 9,724,003 4,251,509 2.38%, 01/15/27........... 4,084,110 2,567,453 3.63%, 04/15/28........... 2,975,239 8,237,800 3.88%, 04/15/29........... 9,948,436 867,128 3.38%, 04/15/32........... 998,282 ------------ 124,047,412 ------------ US TREASURY NOTES -- 0.2% 220,000 4.63%, 11/15/16........... 213,280 ------------ TOTAL US TREASURY SECURITIES (Cost $128,081,831).... 124,260,692 ------------ US GOVERNMENT AGENCY SECURITIES -- 2.3% FANNIE MAE 3,200,000 TBA, 5.50%, 07/01/37 (Cost $3,052,750)...... 3,086,499 ------------ CORPORATE BONDS AND NOTES -- 1.1% FINANCIAL SERVICES -- 0.5% 900,000 SLM Corp., Series CPI, Floating Rate, 4.90%, 01/31/14 (3).... 733,572 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 0.6% 750,000 Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4, Floating Rate, 5.76%, 05/15/43 (3).... 747,865 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $1,518,138)...... 1,481,437 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 4.3% FEDERAL HOME LOAN BANK 5,800,000 4.80%, 07/02/07 (Cost $5,798,453)...... 5,798,453 ------------ TOTAL SECURITIES (Cost $138,451,172).... 134,627,081 ------------ REPURCHASE AGREEMENTS -- 2.0% 2,757,541 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $2,758,635 (Collateralized by Small Business Administration, 8.63%, due 11/25/15, with a value of $2,895,419) (Cost $2,757,541)...... 2,757,541 ------------ Total Investments -- 101.4% (Cost $141,208,713).... 137,384,622 Liabilities less other assets -- (1.4)%....... (1,922,996) ------------ NET ASSETS -- 100.0%...... $135,461,626 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $141,208,713. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $ 60,019 Gross unrealized depreciation... (3,884,110) ----------- Net unrealized depreciation..... $(3,824,091) ===========
- -------- The principal amounts -- and thus the interest payments -- of inflation- protected securities are adjusted over time to reflect inflation. See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 68 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US TREASURY SECURITIES -- 3.9% US TREASURY BONDS -- 1.1% $ 4,500,000 6.25%, 08/15/23 (8)..... $ 4,998,168 2,840,000 4.50%, 02/15/36......... 2,572,421 15,950,000 4.75%, 02/15/37......... 15,044,104 -------------- 22,614,693 -------------- US TREASURY NOTES -- 1.9% 43,820,000 4.63%, 02/15/17......... 42,450,669 -------------- US TREASURY STRIPS -- 0.9% 12,125,000 Zero coupon, 11/15/21............. 5,717,920 38,580,000 Zero coupon, 11/15/27............. 13,478,578 -------------- 19,196,498 -------------- TOTAL US TREASURY SECURITIES (Cost $84,965,653)... 84,261,860 -------------- US GOVERNMENT AGENCY SECURITIES -- 57.1% ASSET BACKED: MORTGAGE AND HOME EQUITY -- 3.0% 23,679,478 Fannie Mae IO Strips, Series 360, Class 2, 5.00%, 08/01/35...... 6,198,199 23,383,885 Fannie Mae IO Strips, Series 378, Class 4, 5.00%, 07/01/36...... 5,720,332 2,174,205 Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29.. 2,153,334 8,956,387 Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18.. 8,709,846 4,813,719 Fannie Mae, Series 2004-101, Class AR, 5.50%, 01/25/35............. 4,787,558 5,759,136 Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34.. 5,596,890 6,837,161 Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34.. 6,770,743 6,418,824 Fannie Mae, Series 2005-51, Class TA, 5.50%, 12/25/33.. 6,360,151 235,307 Fannie Mae, Series 2005-70, Class NA, 5.50%, 08/25/35.. 233,512 5,760,229 Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15.. 5,744,533 3,982,409 Freddie Mac, Series 2877, Class PA, 5.50%, 07/15/33.. 3,963,334 8,006,391 Freddie Mac, Series 2927, Class BA, 5.50%, 10/15/33.. 7,966,163 -------------- 64,204,595 -------------- ASSET BACKED: US GOVERNMENT AGENCIES -- 0.2% 1,672,661 Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12............. 1,661,449 2,044,009 Small Business Administration, Series 2004-P10A, Class 1, 4.50%, 02/10/14............. 1,953,001 -------------- 3,614,450 -------------- FANNIE MAE -- 40.8% 25,000,000 4.38%, 12/17/07......... 24,888,100 14,550,000 7.25%, 01/15/10......... 15,258,570 14,850,000 4.63%, 06/01/10......... 14,603,549 4,100,000 5.25%, 08/01/12......... 4,069,279 10,200,000 4.63%, 05/01/13......... 9,790,154 280,849 PL# 252571, 7.00%, 07/01/29...... 291,312 4,433 PL# 252716, 7.00%, 09/01/29...... 4,598 1,119 PL# 253264, 7.00%, 05/01/30...... 1,161 922 PL# 253346, 7.50%, 06/01/30...... 963 13,878 PL# 253479, 7.00%, 10/01/30...... 14,397 30,835 PL# 253990, 7.00%, 09/01/16...... 31,774 24,377 PL# 254008, 7.00%, 10/01/31...... 25,273 344,518 PL# 254346, 6.50%, 06/01/32...... 350,673 294,575 PL# 254406, 6.50%, 08/01/32...... 299,838 14,322 PL# 255032, 5.50%, 12/01/18...... 14,167 192,857 PL# 255950, 6.00%, 09/01/15...... 194,009 546,722 PL# 256137, 6.00%, 02/01/16...... 549,987 609,500 PL# 256335, 6.00%, 07/01/16...... 613,140 100,000 PL# 256567, 7.00%, 01/01/37...... 102,713 3,098,753 PL# 256800, 6.00%, 07/01/37...... 3,066,056 819,696 PL# 323842, 5.50%, 07/01/14...... 814,305 46,449 PL# 323967, 7.00%, 10/01/29...... 48,179
See notes to financial statements. 69 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 2,324,620 PL# 357327, 5.00%, 01/01/18...... $ 2,255,187 4,750 PL# 492742, 7.00%, 05/01/29...... 4,927 4,954 PL# 503916, 7.50%, 06/01/29...... 5,184 2,183 PL# 508415, 7.00%, 08/01/29...... 2,265 10,772 PL# 515946, 7.00%, 10/01/29...... 11,173 401 PL# 524164, 7.00%, 11/01/29...... 416 112,917 PL# 524657, 7.00%, 01/01/30...... 117,144 22,006 PL# 526053, 7.00%, 12/01/29...... 22,826 482 PL# 527717, 7.50%, 01/01/30...... 504 4,545 PL# 528107, 7.00%, 02/01/30...... 4,715 1,301 PL# 531092, 7.50%, 10/01/29...... 1,362 8,210 PL# 531497, 7.00%, 02/01/30...... 8,517 6,437 PL# 531735, 7.00%, 02/01/30...... 6,678 942 PL# 533841, 7.50%, 12/01/30...... 984 22,905 PL# 535030, 7.00%, 12/01/29...... 23,758 32,487 PL# 535103, 7.00%, 01/01/15...... 33,484 8,748 PL# 535159, 7.00%, 02/01/30...... 9,073 40,857 PL# 535195, 7.00%, 03/01/30...... 42,379 12,121 PL# 535277, 7.00%, 04/01/30...... 12,573 394,711 PL# 535675, 7.00%, 01/01/16...... 406,524 908 PL# 535722, 7.00%, 02/01/31...... 942 6,046 PL# 535723, 7.00%, 02/01/31...... 6,272 1,422 PL# 535811, 6.50%, 04/01/31...... 1,450 91,915 PL# 535880, 7.00%, 02/01/31...... 95,346 1,512 PL# 540211, 7.50%, 06/01/30...... 1,579 4,837 PL# 542999, 7.50%, 08/01/30...... 5,053 114,210 PL# 545249, 5.50%, 10/01/16...... 112,983 581,277 PL# 545298, 5.50%, 11/01/16...... 575,034 6,362 PL# 545363, 5.50%, 11/01/16...... 6,294 2,287,232 PL# 545411, 5.50%, 01/01/17...... 2,262,666 29,581 PL# 545477, 7.00%, 03/01/32...... 30,650 231,792 PL# 545759, 6.50%, 07/01/32...... 235,933 916,118 PL# 545760, 6.50%, 07/01/32...... 932,486 170,146 PL# 545762, 6.50%, 07/01/32...... 173,186 65,504 PL# 548822, 7.00%, 08/01/30...... 67,956 40,263 PL# 549659, 7.00%, 02/01/16...... 41,489 14,703 PL# 549962, 7.00%, 10/01/30...... 15,254 45,710 PL# 549975, 7.00%, 10/01/30...... 47,421 5,526 PL# 550440, 7.00%, 02/01/16...... 5,694 52,430 PL# 554493, 7.00%, 10/01/30...... 54,392 259,861 PL# 555114, 5.50%, 12/01/17...... 257,005 30,453 PL# 555144, 7.00%, 10/01/32...... 31,593 404,332 PL# 555254, 6.50%, 01/01/33...... 412,258 232,966 PL# 555798, 6.50%, 05/01/33...... 237,533 1,602 PL# 558362, 7.50%, 11/01/30...... 1,674 539 PL# 558519, 7.50%, 11/01/30...... 563 4,671 PL# 559277, 7.00%, 10/01/30...... 4,846 40,580 PL# 559313, 7.00%, 12/01/30...... 42,099 1,272 PL# 559741, 7.50%, 01/01/31...... 1,328 25,429 PL# 560384, 7.00%, 11/01/30...... 26,381 1,441 PL# 560596, 7.50%, 01/01/31...... 1,505 2,797 PL# 561678, 7.50%, 12/01/30...... 2,922 1,485 PL# 564080, 7.50%, 12/01/30...... 1,551 10,925 PL# 564183, 7.00%, 12/01/30...... 11,334
See notes to financial statements. 70 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 1,448 PL# 564529, 7.50%, 12/01/30...... $ 1,512 11,312 PL# 566658, 7.00%, 02/01/31...... 11,728 83,711 PL# 572453, 5.50%, 04/01/16...... 82,812 6,384 PL# 575285, 7.50%, 03/01/31...... 6,665 6,116 PL# 579161, 6.50%, 04/01/31...... 6,236 451,145 PL# 580165, 5.50%, 09/01/16...... 446,300 13,301 PL# 580179, 7.00%, 10/01/16...... 13,706 699 PL# 580377, 7.50%, 04/01/31...... 730 50,803 PL# 580515, 5.50%, 04/01/16...... 50,257 9,607 PL# 584811, 7.00%, 05/01/31...... 9,960 108,617 PL# 585248, 7.00%, 06/01/31...... 112,683 205,020 PL# 589120, 5.50%, 11/01/16...... 202,818 1,123 PL# 589405, 7.50%, 06/01/31...... 1,172 10,222 PL# 589893, 7.00%, 06/01/31...... 10,598 4,665 PL# 592129, 7.50%, 06/01/31...... 4,870 8,276 PL# 596895, 6.50%, 07/01/31...... 8,439 11,250 PL# 598125, 7.00%, 09/01/16...... 11,593 10,212 PL# 602148, 5.50%, 09/01/16...... 10,102 69,114 PL# 604517, 5.50%, 11/01/16...... 68,372 7,704 PL# 606551, 6.50%, 10/01/31...... 7,855 3,052 PL# 606600, 7.00%, 10/01/31...... 3,164 48,493 PL# 607386, 5.50%, 11/01/16...... 47,972 64,510 PL# 607493, 5.50%, 11/01/16...... 63,818 22,338 PL# 610128, 7.00%, 10/01/31...... 23,159 200,782 PL# 610579, 5.50%, 12/01/16...... 198,625 8,758 PL# 611323, 7.00%, 10/01/16...... 9,025 29,725 PL# 612071, 5.50%, 11/01/16...... 29,406 180,476 PL# 614506, 5.50%, 11/01/16...... 178,537 1,824,140 PL# 619054, 5.50%, 02/01/17...... 1,804,095 6,060 PL# 622119, 6.50%, 01/01/32...... 6,179 238,461 PL# 624035, 6.50%, 01/01/32...... 244,382 11,484 PL# 629236, 6.50%, 02/01/32...... 11,689 682,254 PL# 631321, 5.50%, 02/01/17...... 674,757 55,775 PL# 631606, 5.50%, 03/01/17...... 55,162 51,552 PL# 632269, 7.00%, 05/01/32...... 53,447 8,008 PL# 634563, 6.50%, 03/01/32...... 8,152 60,291 PL# 634949, 7.00%, 05/01/32...... 62,470 251,547 PL# 635164, 6.50%, 08/01/32...... 256,041 2,480 PL# 644932, 6.50%, 07/01/32...... 2,524 5,535 PL# 647556, 7.00%, 01/01/30...... 5,742 491,075 PL# 648795, 6.50%, 08/01/32...... 499,849 173,610 PL# 650206, 5.50%, 01/01/18...... 171,702 70,652 PL# 650291, 6.50%, 07/01/32...... 71,914 246,521 PL# 651649, 6.50%, 08/01/32...... 250,925 1,024,255 PL# 652127, 6.50%, 06/01/32...... 1,042,557 3,464 PL# 663353, 6.50%, 09/01/32...... 3,526 36,436 PL# 664188, 5.50%, 09/01/17...... 36,036 65,734 PL# 664194, 5.50%, 09/01/17...... 65,012 422,058 PL# 670402, 6.50%, 06/01/32...... 429,599 198,107 PL# 675314, 5.50%, 12/01/17...... 195,930 313,108 PL# 676800, 5.50%, 01/01/18...... 309,668 442,033 PL# 679631, 5.50%, 02/01/18...... 437,101 8,355 PL# 681343, 5.50%, 02/01/18...... 8,261 372,716 PL# 683199, 5.50%, 02/01/18...... 368,557
See notes to financial statements. 71 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 3,201,803 PL# 684231, 5.00%, 01/01/18...... $ 3,106,170 5,357,050 PL# 687889, 5.50%, 03/01/33...... 5,191,241 842,352 PL# 688521, 5.00%, 03/01/18...... 817,306 858,932 PL# 691189, 6.50%, 09/01/36...... 867,420 854,244 PL# 694200, 4.50%, 05/01/18...... 814,381 5,589 PL# 694372, 6.50%, 11/01/32...... 5,689 295,223 PL# 694380, 5.00%, 03/01/18...... 286,445 78,893 PL# 695925, 5.50%, 05/01/18...... 78,013 1,379,078 PL# 701161, 4.50%, 04/01/18...... 1,314,464 10,622 PL# 701236, 5.50%, 05/01/18...... 10,503 4,537,701 PL# 703443, 5.00%, 05/01/18...... 4,402,778 8,394 PL# 708637, 5.50%, 06/01/18...... 8,300 554,194 PL# 711636, 4.50%, 05/01/18...... 528,228 4,710,660 PL# 711997, 4.50%, 09/01/18...... 4,489,952 2,240,148 PL# 720317, 5.00%, 07/01/18...... 2,173,540 14,106 PL# 725071, 5.50%, 12/01/18...... 13,948 8,677,234 PL# 725162, 6.00%, 02/01/34...... 8,627,713 17,822,454 PL# 725206, 5.50%, 02/01/34...... 17,270,822 12,287 PL# 725269, 5.50%, 03/01/19...... 12,152 226,162 PL# 725407, 6.50%, 01/01/34...... 230,595 317,648 PL# 725418, 6.50%, 05/01/34...... 323,874 4,926,938 PL# 725519, 5.50%, 05/01/19...... 4,872,798 5,077,826 PL# 725704, 6.00%, 08/01/34...... 5,048,847 12,396,800 PL# 725717, 4.00%, 08/01/19...... 11,507,296 11,419,263 PL# 725946, 5.50%, 11/01/34...... 11,057,748 12,832 PL# 732724, 5.50%, 08/01/18...... 12,688 4,420,350 PL# 735454, 5.50%, 11/01/18...... 4,371,777 26,908,689 PL# 735504, 6.00%, 04/01/35...... 26,788,166 1,195,359 PL# 735611, 5.50%, 03/01/20...... 1,182,224 106,187,193 PL# 735989, 5.50%, 02/01/35...... 102,923,001 167,608 PL# 738632, 5.00%, 11/01/18...... 162,625 10,253 PL# 741355, 5.50%, 10/01/18...... 10,138 5,433,180 PL# 743575, 5.00%, 11/01/18...... 5,271,631 10,341,307 PL# 745140, 5.00%, 11/01/35...... 9,717,738 12,334,616 PL# 745193, 5.50%, 06/01/20...... 12,199,075 41,992,183 PL# 745275, 5.00%, 02/01/36...... 39,460,101 23,771,269 PL# 745412, 5.50%, 12/01/35...... 23,018,709 17,454,814 PL# 745735, 5.00%, 03/01/21...... 16,883,377 13,666,224 PL# 745740, 5.00%, 07/01/36...... 12,818,316 61,113 PL# 745823, 6.00%, 08/01/36...... 60,502 555,234 PL# 748257, 4.50%, 10/01/18...... 529,219 5,055 PL# 748655, 6.50%, 09/01/33...... 5,137 2,718 PL# 749118, 5.50%, 11/01/18...... 2,688 14,539 PL# 749153, 5.50%, 11/01/18...... 14,377 9,375 PL# 753643, 5.50%, 11/01/18...... 9,270 18,522 PL# 755167, 5.50%, 11/01/18...... 18,315 142,536 PL# 757687, 5.50%, 07/01/34...... 138,024 12,481 PL# 759423, 5.50%, 01/01/19...... 12,327 11,213 PL# 761018, 5.50%, 12/01/18...... 11,088 34,982 PL# 761808, 5.50%, 05/01/18...... 34,598 465,289 PL# 766312, 5.50%, 03/01/19...... 459,542 224,822 PL# 768313, 5.50%, 01/01/19...... 222,313 211,752 PL# 781889, 5.50%, 03/01/17...... 209,477 6,336,028 PL# 806549, Variable Rate, 4.56%, 01/01/35 (1).. 6,298,086
See notes to financial statements. 72 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 56,774 PL# 817808, 6.00%, 09/01/36...... $ 56,207 1,433,110 PL# 826273, 6.00%, 07/01/20...... 1,439,722 1,680,932 PL# 831361, 5.50%, 03/01/21...... 1,656,671 74,660 PL# 831500, 6.00%, 05/01/16...... 75,106 4,877,257 PL# 831511, 6.00%, 06/01/16...... 4,906,386 924,466 PL# 845420, 6.00%, 02/01/36...... 916,308 828,007 PL# 849239, 5.50%, 01/01/21...... 816,488 9,053,717 PL# 850867, Variable Rate, 5.65%, 01/01/36 (1).. 8,957,665 902,509 PL# 870770, 6.50%, 07/01/36...... 911,428 1,999,999 PL# 870843, 6.00%, 10/01/36...... 1,980,027 166,175 PL# 871059, 6.00%, 01/01/37...... 164,516 654,935 PL# 871436, 6.00%, 06/01/36...... 648,395 59,704 PL# 878340, 6.00%, 04/01/37...... 59,074 853,329 PL# 880770, 5.50%, 05/01/21...... 841,013 105,531 PL# 881578, 5.50%, 05/01/21...... 104,008 888,645 PL# 885071, 5.50%, 05/01/21...... 875,819 885,006 PL# 887841, 6.50%, 09/01/36...... 893,752 47,297,090 PL# 888306, 5.00%, 12/01/36...... 44,445,128 900,527 PL# 891805, 6.00%, 06/01/36...... 891,534 6,995,608 PL# 891814, 6.50%, 07/01/36...... 7,064,740 2,719,783 PL# 892817, 6.50%, 08/01/36...... 2,746,661 881,724 PL# 892970, 6.50%, 09/01/36...... 890,438 814,081 PL# 892975, 6.50%, 09/01/36...... 822,126 807,088 PL# 893596, 6.50%, 09/01/36...... 815,064 811,416 PL# 893628, 6.50%, 09/01/36...... 819,435 845,001 PL# 893833, 6.50%, 10/01/36...... 853,352 25,268 PL# 893926, 6.00%, 10/01/36...... 25,015 991,899 PL# 894979, 6.50%, 09/01/36...... 1,001,702 1,984,041 PL# 894985, 6.50%, 09/01/36...... 2,003,648 808,302 PL# 895303, 6.50%, 09/01/36...... 816,290 967,691 PL# 896049, 6.00%, 06/01/36...... 958,027 53,663 PL# 897820, 6.00%, 09/01/36...... 53,127 832,527 PL# 898124, 6.00%, 09/01/36...... 824,213 668,663 PL# 898330, 6.00%, 12/01/36...... 661,986 812,435 PL# 900290, 6.50%, 09/01/36...... 820,464 905,422 PL# 900303, 6.00%, 09/01/36...... 896,381 769,803 PL# 900340, 6.50%, 09/01/36...... 777,410 858,493 PL# 900961, 6.50%, 09/01/36...... 866,977 810,784 PL# 901110, 6.50%, 09/01/36...... 818,796 899,980 PL# 901717, 6.00%, 10/01/36...... 890,993 152,155 PL# 904102, 6.00%, 11/01/36...... 150,636 1,000,000 PL# 904907, 6.00%, 11/01/36...... 990,015 905,782 PL# 905674, 6.00%, 12/01/36...... 896,737 12,001,194 PL# 906064, 6.00%, 01/01/37...... 11,881,351 100,059 PL# 907735, 6.00%, 12/01/36...... 99,060 14,194,476 PL# 909787, 6.00%, 02/01/37...... 14,044,699 649,250 PL# 911420, 6.00%, 05/01/37...... 642,399 795,038 PL# 911440, 6.00%, 02/01/37...... 786,649 807,012 PL# 911446, 6.00%, 03/01/37...... 798,496 772,712 PL# 912441, 6.00%, 03/01/37...... 764,559 692,471 PL# 913180, 6.00%, 03/01/37...... 685,164 794,136 PL# 913345, 6.00%, 05/01/37...... 785,756 97,037 PL# 916302, 6.00%, 04/01/37...... 96,013 37,903 PL# 916386, 6.00%, 05/01/37...... 37,503
See notes to financial statements. 73 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 850,085 PL# 916946, 6.00%, 06/01/37...... $ 841,115 124,715 PL# 918561, 6.00%, 05/01/37...... 123,399 697,349 PL# 919389, 6.00%, 05/01/37...... 689,991 58,794 PL# 919490, 6.00%, 05/01/37...... 58,174 164,040 PL# 922044, 6.00%, 02/01/37...... 162,402 876,121 PL# 923382, 6.00%, 06/01/37...... 866,876 836,059 PL# 928306, 6.00%, 05/01/37...... 827,237 802,903 PL# 938111, 6.00%, 07/01/37...... 794,431 4,000,000 PL# 938783, 6.00%, 06/01/37...... 3,957,793 75,900 PL# 940198, 6.00%, 06/01/37...... 75,099 243,207 PL# 940761, 6.00%, 06/01/37...... 240,641 3,000,000 TBA, 5.00%, 07/01/22...... 2,899,218 3,000,000 TBA, 5.50%, 07/01/22...... 2,955,468 52,000,000 TBA, 6.00%, 07/01/22...... 52,235,612 28,200,000 TBA, 5.00%, 07/01/37...... 26,424,274 167,200,000 TBA, 5.50%, 07/01/37...... 161,269,582 30,700,000 TBA, 6.00%, 07/01/37...... 30,369,023 9,000,000 TBA, 6.50%, 07/01/37...... 9,085,779 10,300,000 TBA, 5.00%, 08/01/37...... 9,648,206 -------------- 870,558,134 -------------- FEDERAL AGRICULTURAL MORTGAGE CORPORATION -- 2.1% 45,175,000 144A, 5.50%, 07/15/11... 45,471,800 -------------- FEDERAL HOME LOAN BANK -- 0.9% 18,840,000 4.00%, 02/01/08......... 18,694,461 -------------- FREDDIE MAC -- 2.2% 16,800,000 4.75%, 06/28/12......... 16,431,795 5,113,224 PL# 1B2853, Variable Rate, 4.29%, 04/01/35 (1).. 5,029,888 11,257,222 PL# 1G1119, Variable Rate, 4.76%, 09/01/35 (1).. 10,992,776 15,850,000 Series MTN, 5.00%, 12/14/18...... 14,926,278 -------------- 47,380,737 -------------- FREDDIE MAC GOLD -- 7.0% 243,964 PL# A32037, 5.00%, 03/01/35...... 229,319 25,806 PL# A38585, 5.50%, 10/01/35...... 24,951 396,084 PL# B10307, 4.50%, 10/01/18...... 377,656 486,179 PL# B11431, 4.50%, 12/01/18...... 463,559 3,437,541 PL# B11446, 5.00%, 12/01/18...... 3,335,347 47,697 PL# B13285, 4.50%, 04/01/19...... 45,404 677,629 PL# B14218, 4.50%, 05/01/19...... 645,050 974,087 PL# B14518, 4.50%, 01/01/20...... 927,256 1,491,286 PL# B17118, 4.50%, 11/01/19...... 1,419,588 22,951 PL# B17892, 4.50%, 10/01/19...... 21,883 738,729 PL# B19028, 4.50%, 03/01/20...... 701,686 4,391,677 PL# B19043, 4.50%, 03/01/20...... 4,171,459 22,890 PL# B19177, 4.50%, 05/01/20...... 21,742 950,406 PL# B19187, 4.50%, 04/01/20...... 902,748 182,255 PL# B19188, 4.50%, 05/01/20...... 173,116 196,379 PL# B19272, 4.50%, 05/01/20...... 186,532 505,817 PL# B19621, 5.00%, 07/01/20...... 489,288 959,813 PL# C01271, 6.50%, 12/01/31...... 979,428 3,028,455 PL# C57150, 6.00%, 05/01/31...... 3,021,767 3,546 PL# C67653, 7.00%, 06/01/32...... 3,656 56,073 PL# C67868, 7.00%, 06/01/32...... 57,814 13,015 PL# C67999, 7.00%, 06/01/32...... 13,419 89,781 PL# C68001, 7.00%, 06/01/32...... 92,567 126,823 PL# C90229, 7.00%, 08/01/18...... 131,635
See notes to financial statements. 74 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD (CONTINUED) $ 18,427 PL# E00570, 6.00%, 09/01/13...... $ 18,605 392,704 PL# E00592, 6.00%, 12/01/13...... 396,383 18,940 PL# E00720, 6.00%, 07/01/14...... 19,090 18,898 PL# E01007, 6.00%, 08/01/16...... 19,008 63,098 PL# E01095, 6.00%, 01/01/17...... 63,464 402,362 PL# E01490, 5.00%, 11/01/18...... 390,388 784,973 PL# E01538, 5.00%, 12/01/18...... 761,624 30,338 PL# E01638, 4.00%, 04/01/19...... 28,249 26,091 PL# E69171, 6.00%, 02/01/13...... 26,324 20,728 PL# E73319, 6.00%, 11/01/13...... 20,913 32,212 PL# E73769, 6.00%, 12/01/13...... 32,500 15,920 PL# E75990, 6.00%, 04/01/14...... 16,084 25,371 PL# E76341, 6.00%, 04/01/14...... 25,519 37,834 PL# E76730, 6.00%, 05/01/14...... 38,054 29,708 PL# E76731, 6.00%, 05/01/14...... 29,880 20,600 PL# E78995, 6.00%, 11/01/14...... 20,720 219,890 PL# E84191, 6.00%, 07/01/16...... 221,158 3,974 PL# E84758, 5.50%, 07/01/16...... 3,930 17,320 PL# E85885, 6.00%, 11/01/16...... 17,420 243,402 PL# E86502, 5.50%, 12/01/16...... 240,708 4,556 PL# E86565, 5.50%, 12/01/16...... 4,505 227,564 PL# E87961, 6.00%, 02/01/17...... 228,876 347,476 PL# E88001, 6.00%, 02/01/17...... 349,454 42,351 PL# E88452, 6.00%, 03/01/17...... 42,592 290,477 PL# E88749, 6.00%, 03/01/17...... 292,151 465,936 PL# E88789, 6.00%, 04/01/17...... 468,588 135,774 PL# E88979, 5.50%, 04/01/17...... 134,235 283,184 PL# E89282, 6.00%, 04/01/17...... 284,796 576,519 PL# E89336, 6.00%, 05/01/17...... 579,800 24,781 PL# E89653, 6.00%, 04/01/17...... 24,923 410,200 PL# E89913, 6.00%, 05/01/17...... 412,534 729,254 PL# E91644, 5.50%, 10/01/17...... 720,987 252,233 PL# E91754, 5.50%, 10/01/17...... 249,374 321,709 PL# E91774, 5.50%, 10/01/17...... 318,062 159,564 PL# E91968, 5.50%, 10/01/17...... 157,755 261,708 PL# E92113, 5.50%, 10/01/17...... 258,742 22,509 PL# E95352, 4.50%, 04/01/18...... 21,461 48,089 PL# E98821, 4.50%, 09/01/18...... 45,851 1,240,998 PL# G01391, 7.00%, 04/01/32...... 1,283,390 15,395 PL# G11111, 6.00%, 04/01/16...... 15,485 107,534 PL# G11394, 4.50%, 05/01/18...... 102,531 6,713,462 PL# G11618, 4.50%, 05/01/18...... 6,402,224 417,064 PL# G11639, 4.50%, 12/01/19...... 397,012 2,951,087 PL# G11681, 5.00%, 04/01/20...... 2,859,820 8,406,048 PL# G11720, 4.50%, 08/01/20...... 8,001,906 12,906,850 PL# G11769, 5.00%, 10/01/20...... 12,485,094 193,573 PL# G18052, 4.50%, 05/01/20...... 183,866 2,698,268 PL# J00156, 5.00%, 10/01/20...... 2,610,097 631,915 PL# J00726, 5.00%, 12/01/20...... 611,266 3,082,135 PL# M80813, 4.00%, 04/01/10...... 3,009,323 25,000,000 TBA, 6.00%, 07/01/37...... 24,769,525 64,000,000 TBA, 5.50%, 08/01/37...... 61,710,017 -------------- 149,863,133 --------------
See notes to financial statements. 75 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.8% $ 107,373 PL# 3173, 6.50%, 12/20/31...... $ 109,720 1,065 PL# 434615, 7.00%, 11/15/29...... 1,111 164,157 PL# 435071, 7.00%, 03/15/31...... 171,091 23,612 PL# 493966, 7.00%, 06/15/29...... 24,622 52,290 PL# 494742, 7.00%, 04/15/29...... 54,527 1,102 PL# 530260, 7.00%, 02/15/31...... 1,149 216,932 PL# 531025, 6.00%, 04/15/32...... 216,495 575 PL# 538271, 7.00%, 11/15/31...... 599 78,625 PL# 538312, 6.00%, 02/15/32...... 78,467 109,153 PL# 543989, 7.00%, 03/15/31...... 113,764 790 PL# 547545, 7.00%, 04/15/31...... 823 258,016 PL# 550985, 7.00%, 10/15/31...... 268,915 248 PL# 551549, 7.00%, 07/15/31...... 259 17,356 PL# 552413, 7.00%, 02/15/32...... 18,092 85,371 PL# 554808, 6.00%, 05/15/31...... 85,216 67,704 PL# 555360, 6.00%, 06/15/31...... 67,581 73,437 PL# 555733, 6.00%, 03/15/32...... 73,289 456 PL# 557664, 7.00%, 08/15/31...... 475 54,827 PL# 557678, 7.00%, 08/15/31...... 57,142 3,794 PL# 561050, 7.00%, 05/15/31...... 3,954 634 PL# 561996, 7.00%, 07/15/31...... 661 11,328 PL# 563346, 7.00%, 09/15/31...... 11,806 41,870 PL# 563599, 7.00%, 06/15/32...... 43,647 88,461 PL# 564086, 7.00%, 07/15/31...... 92,198 38,841 PL# 564300, 6.00%, 08/15/31...... 38,770 7,474 PL# 564706, 7.00%, 07/15/31...... 7,790 74,979 PL# 565808, 6.00%, 11/15/31...... 74,842 178,150 PL# 567622, 6.00%, 04/15/32...... 177,791 79,861 PL# 569567, 7.00%, 01/15/32...... 83,251 63,220 PL# 570517, 6.00%, 01/15/32...... 63,092 39,446 PL# 572821, 6.00%, 12/15/31...... 39,374 81,055 PL# 574873, 6.00%, 12/15/31...... 80,908 83,363 PL# 575906, 6.00%, 01/15/32...... 83,194 34,862 PL# 576323, 6.00%, 12/15/31...... 34,798 1,276 PL# 579377, 7.00%, 04/15/32...... 1,330 234,039 PL# 581015, 7.00%, 02/15/32...... 243,975 87,406 PL# 581070, 6.00%, 02/15/32...... 87,229 61,615 PL# 582956, 7.00%, 02/15/32...... 64,231 260,768 PL# 587122, 7.00%, 06/15/32...... 271,838 4,937 PL# 587494, 7.00%, 06/15/32...... 5,146 936 PL# 589696, 7.00%, 05/15/32...... 976 42,639 PL# 592030, 6.00%, 02/15/32...... 42,553 16,294 PL# 780802, 6.50%, 05/15/28...... 16,646 27,538 PL# 781113, 7.00%, 11/15/29...... 28,716 169,025 PL# 781148, 6.00%, 07/15/29...... 168,817 84,726 PL# 781276, 6.50%, 04/15/31...... 86,567 24,263 PL# 781287, 7.00%, 05/15/31...... 25,299 38,568 PL# 781324, 7.00%, 07/15/31...... 40,205 212,523 PL# 781328, 7.00%, 09/15/31...... 221,597 165,648 PL# 781330, 6.00%, 09/15/31...... 165,433 43,186 PL# 781496, 6.50%, 09/15/32...... 44,100 56,058 PL# 781548, 7.00%, 11/15/32...... 58,434
See notes to financial statements. 76 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 33,035 PL# 781584, 7.00%, 05/15/32...... $ 34,439 2,677,312 PL# 781804, 6.00%, 09/15/34...... 2,668,272 2,428,396 PL# 781847, 6.00%, 12/15/34...... 2,420,136 2,504,300 PL# 781902, 6.00%, 02/15/35...... 2,495,742 6,242,559 PL# 80916, 3.75%, 05/20/34...... 6,222,567 -------------- 17,593,661 -------------- RESOLUTION FUNDING STRIPS -- 0.1% 1,200,000 Zero coupon, 07/15/18... 668,201 1,200,000 Zero coupon, 10/15/18... 658,375 -------------- 1,326,576 -------------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $1,232,343,526)...... 1,218,707,547 -------------- CORPORATE BONDS AND NOTES -- 48.5% AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 0.0% 280,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08...... 276,133 -------------- BANKS -- 6.7% 85,000 BAC Capital Trust XI, 6.63%, 05/23/36...... 86,952 404,000 Bank of America Corp., 4.50%, 08/01/10...... 394,805 15,675,000 Bank of America Corp., Floating Rate, 5.37%, 03/24/09 (2).. 15,683,432 3,025,000 Bank of America NA, 5.30%, 03/15/17...... 2,893,900 2,550,000 Bank of America NA, Series BKNT, 6.10%, 06/15/17...... 2,583,673 1,250,000 Bank of Scotland -- 144A (United Kingdom), 3.50%, 11/30/07...... 1,241,953 2,000,000 BankBoston NA, Series BKNT, 6.38%, 03/25/08...... 2,012,544 26,675,000 Barclays Bank PLC New York, Series YCD, Floating Rate, 5.37%, 03/13/09 (2).. 26,709,543 6,250,000 Depfa ACS Bank -- 144A (Ireland), 4.25%, 08/16/10...... 6,064,619 2,850,000 HBOS Treasury Services PLC -- 144A (United Kingdom), 3.75%, 09/30/08...... 2,792,752 1,495,000 JPMorgan Chase & Company, 3.63%, 05/01/08...... 1,473,197 2,100,000 JPMorgan Chase & Company, 5.75%, 10/15/08...... 2,107,955 1,100,000 JPMorgan Chase & Company, 7.00%, 11/15/09...... 1,136,900 7,750,000 JPMorgan Chase Bank NA, Series BKNT, 6.00%, 07/05/17...... 7,750,232 746,000,000 Kreditanstalt fuer Wiederaufbau (Germany), Series EMTN, Floating Rate, 0.46%, 08/08/11 (2)(21)..... 6,062,179 3,175,000 Mellon Capital IV, Series 1, Variable Rate, 6.24%, perpetual (1).................. 3,207,017 21,975,000 Rabobank Nederland -- 144A (the Netherlands), Floating Rate, 5.35%, 04/06/09 (2).. 21,995,612 2,990,000 SunTrust Banks, Inc., 3.63%, 10/15/07...... 2,974,787 2,000,000 SunTrust Banks, Inc., 4.00%, 10/15/08...... 1,964,728 1,535,000 SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09...... 1,510,355 2,125,000 SunTrust Capital VIII, Variable Rate, 6.10%, 12/15/36 (1).. 1,952,291 2,150,000 The Bank of New York Company, Inc., Series BKNT, 3.80%, 02/01/08...... 2,130,949 980,000 UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual (1).................. 1,065,120 490,000 US Bancorp, Series MTNN, 3.95%, 08/23/07...... 489,054 4,315,000 US Bank NA, Series BKNT, 4.40%, 08/15/08...... 4,256,027 540,000 Wachovia Bank NA, Series BKNT, 4.38%, 08/15/08...... 532,533 9,125,000 Wachovia Bank NA, Series DPNT, Floating Rate, 5.40%, 03/23/09 (2).. 9,130,720 2,340,000 Wachovia Corp., 6.30%, 04/15/08 (6).. 2,355,325 2,760,000 Wells Fargo & Company, 4.20%, 01/15/10...... 2,691,696 4,090,000 Wells Fargo & Company, 4.63%, 08/09/10...... 4,002,323
See notes to financial statements. 77 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 4,525,000 Wells Fargo & Company, 4.88%, 01/12/11...... $ 4,444,871 -------------- 143,698,044 -------------- BROADCAST SERVICES/MEDIA -- 0.7% 5,374,000 Comcast Cable Communications Holdings, 8.38%, 03/15/13...... 6,005,917 1,800,000 Comcast Cable Communications, Inc., 6.75%, 01/30/11...... 1,864,568 965,000 Comcast Corp., 7.05%, 03/15/33...... 999,003 465,000 Cox Communications, Inc., 7.75%, 11/01/10...... 494,881 195,000 Echostar DBS Corp., 7.00%, 10/01/13...... 193,050 200,000 Echostar DBS Corp., 7.13%, 02/01/16...... 196,500 1,070,000 News America Holdings, 7.63%, 11/30/28...... 1,161,466 260,000 News America, Inc., 7.28%, 06/30/28...... 273,056 1,675,000 TCI Communications, Inc., 7.13%, 02/15/28...... 1,728,108 725,000 Time Warner Entertainment, 8.38%, 07/15/33...... 843,820 1,910,000 Time Warner, Inc., 7.57%, 02/01/24...... 2,045,247 -------------- 15,805,616 -------------- CHEMICALS -- 0.1% 590,000 Lyondell Chemical Company, 8.00%, 09/15/14...... 609,175 1,430,000 Lyondell Chemical Company, 6.88%, 06/15/17...... 1,387,100 -------------- 1,996,275 -------------- COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 0.0% 345,000 Seagate Technology HDD Holdings (Cayman Islands), 6.80%, 10/01/16...... 332,925 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.1% 2,875,000 Belvoir Land LLC -- 144A, 5.40%, 12/15/47...... 2,554,150 -------------- ELECTRONICS -- 0.0% 155,000 L-3 Communications Corp., Series B, 6.38%, 10/15/15............. 147,250 -------------- EQUIPMENT RENTAL AND LEASING -- 0.0% 225,000 United Rentals North America, Inc., 6.50%, 02/15/12...... 222,188 -------------- FINANCIAL SERVICES -- 6.8% 390,000 American Real Estate Partners, LP/American Real Estate Finance Corp., 8.13%, 06/01/12...... 393,413 225,000 American Real Estate Partners, LP/American Real Estate Finance Corp., 7.13%, 02/15/13...... 218,250 9,050,000 Citigroup, Inc., 3.50%, 02/01/08 (6).. 8,959,726 14,330,000 Citigroup, Inc., 3.63%, 02/09/09 (5).. 13,961,991 820,000 Citigroup, Inc., 6.20%, 03/15/09 (6).. 831,350 8,000,000 Citigroup, Inc., 4.13%, 02/22/10...... 7,765,376 4,620,000 Citigroup, Inc., 5.88%, 05/29/37...... 4,419,529 8,220,000 Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual (1).................. 7,934,215 8,225,000 Eksportfinans ASA, Series MTN (Norway), 3.38%, 01/15/08...... 8,148,039 2,675,000 Ford Motor Credit Company, 5.80%, 01/12/09...... 2,619,360 14,675,000 General Electric Capital Corp., 5.00%, 11/15/11...... 14,394,928 5,680,000 General Electric Capital Corp., Series MTN, 5.00%, 04/10/12...... 5,549,621 2,000,000 General Electric Capital Corp., Series MTNA, 6.50%, 12/10/07...... 2,010,048 3,230,000 Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual (1).................. 3,155,613 13,605,000 Goldman Sachs Group, Inc., 5.25%, 10/15/13...... 13,206,510 2,925,000 HSBC Finance Corp., 6.50%, 11/15/08...... 2,967,032 5,415,000 Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual (1)........ 5,309,868 7,310,000 Morgan Stanley, 5.05%, 01/21/11...... 7,164,597 425,000 Morgan Stanley, 6.75%, 04/15/11...... 441,016 17,410,000 Morgan Stanley, Floating Rate, 5.60%, 01/09/12 (2).. 17,395,410 1,950,000 Morgan Stanley, Series MTNF, 5.55%, 04/27/17...... 1,874,332
See notes to financial statements. 78 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 4,000,000 Nationwide Building Society -- 144A (United Kingdom), 3.50%, 07/31/07...... $ 3,995,512 355,000 Nationwide Building Society -- 144A (United Kingdom), 4.25%, 02/01/10...... 344,487 3,365,000 SLM Corp., Series MTN, 5.40%, 10/25/11...... 3,084,897 1,000,000 The Bear Stearns Companies, Inc., Series MTNB, 4.55%, 06/23/10...... 973,179 2,475,000 TIAA Global Markets -- 144A, 3.88%, 01/22/08...... 2,452,049 1,955,000 USAA Capital Corp., Series MTNB, 4.00%, 12/10/07...... 1,942,445 2,895,000 ZFS Finance USA Trust V -- 144A, Variable Rate, 6.50%, 05/09/37 (1).. 2,804,882 -------------- 144,317,675 -------------- INSURANCE -- 1.4% 1,775,000 ASIF Global Financial XXIII -- 144A, 3.90%, 10/22/08...... 1,742,273 2,000,000 Berkshire Hathaway Finance Corp., 3.40%, 07/02/07...... 2,000,000 2,850,000 Berkshire Hathaway Finance Corp., 3.38%, 10/15/08...... 2,781,894 2,815,000 Berkshire Hathaway Finance Corp., 4.13%, 01/15/10...... 2,738,457 3,800,000 Chubb Corp., Variable Rate, 6.38%, 03/29/37 (1) (4).................. 3,722,670 2,350,000 Lincoln National Corp., Variable Rate, 7.00%, 05/17/66 (1).. 2,415,252 4,455,000 MetLife, Inc., 6.40%, 12/15/36...... 4,139,938 1,600,000 New York Life Global Funding -- 144A, 3.88%, 01/15/09...... 1,565,931 3,595,000 Progressive Corp., Variable Rate, 6.70%, 06/15/37 (1).. 3,579,369 2,150,000 Reinsurance Group of America, Variable Rate, 6.75%, 12/15/65 (1).. 2,098,705 4,125,000 The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1).. 3,970,981 -------------- 30,755,470 -------------- LEISURE AND RECREATION -- 0.1% 730,000 Harrahs Operating Company, Inc., 5.75%, 10/01/17...... 585,059 325,000 Mohegan Tribal Gaming Authority, 6.13%, 02/15/13...... 316,875 200,000 Travelport LLC, 9.88%, 09/01/14...... 213,000 -------------- 1,114,934 -------------- MACHINERY -- 0.1% 2,150,000 Atlantic Marine, Inc. -- 144A, 5.34%, 12/01/50...... 1,951,340 -------------- MANUFACTURING -- 0.0% 395,000 Briggs & Stratton Corp., 8.88%, 03/15/11...... 422,204 -------------- MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 0.3% 1,536,000 Triad Hospitals, Inc., 7.00%, 11/15/13...... 1,618,482 3,600,000 WellPoint, Inc., 5.95%, 12/15/34...... 3,345,692 1,295,000 WellPoint, Inc., 5.85%, 01/15/36...... 1,185,570 -------------- 6,149,744 -------------- METALS AND MINING -- 0.3% 3,005,000 Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17...... 3,215,350 1,999,000 Ispat Inland ULC (Canada), 9.75%, 04/01/14...... 2,216,431 -------------- 5,431,781 -------------- OIL, COAL AND GAS -- 0.7% 3,670,000 Arch Western Finance, 6.75%, 07/01/13...... 3,541,549 210,000 Chesapeake Energy Corp., 6.38%, 06/15/15...... 201,338 90,000 Chesapeake Energy Corp., 6.25%, 01/15/18...... 84,488 275,000 Chesapeake Energy Corp., 6.88%, 11/15/20 (8).. 264,688 270,000 Colorado Interstate Gas, 6.80%, 11/15/15...... 279,022 120,000 Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13...... 119,100
See notes to financial statements. 79 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $ 1,425,000 Consolidated Natural Gas, Series A, 5.00%, 03/01/14...... $ 1,359,657 365,000 El Paso Natural Gas, 8.63%, 01/15/22...... 429,066 15,000 El Paso Natural Gas, 8.38%, 06/15/32...... 17,664 2,600,000 Enterprise Products Operating LP, 4.95%, 06/01/10...... 2,554,841 1,225,000 Enterprise Products Operating LP, Series B, 4.00%, 10/15/07...... 1,220,009 190,000 KCS Energy, Inc., 7.13%, 04/01/12...... 188,575 2,690,000 Sabine Pass LNG, LP -- 144A, 7.50%, 11/30/16...... 2,683,274 35,000 Targa Resources, Inc. -- 144A, 8.50%, 11/01/13...... 35,700 665,000 Tennessee Gas Pipeline Company, 7.00%, 10/15/28...... 688,157 935,000 Transcontinental Gas Pipe Line Corp., Series B, 8.88%, 07/15/12...... 1,051,875 750,000 Williams Companies, Inc., 7.63%, 07/15/19...... 795,000 -------------- 15,514,003 -------------- PAPER AND FOREST PRODUCTS -- 0.2% 365,000 Bowater Canada Finance (Canada), 7.95%, 11/15/11...... 345,381 400,000 Catalyst Paper Corp., Series D (Canada), 8.63%, 06/15/11...... 389,000 880,000 Domtar, Inc. (Canada), 7.13%, 08/15/15...... 856,900 3,530,000 Georgia-Pacific Corp. -- 144A, 7.13%, 01/15/17...... 3,406,450 -------------- 4,997,731 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.4% 170,000 Bio-Rad Laboratories, Inc., 7.50%, 08/15/13...... 172,125 530,000 Bio-Rad Laboratories, Inc., 6.13%, 12/15/14...... 500,850 600,000 Bristol-Myers Squibb, 6.88%, 08/01/97...... 620,668 766,000,000 Pfizer, Inc., Series INTL, 0.80%, 03/18/08 (21)........ 6,214,782 1,580,000 Wyeth, 6.00%, 02/15/36...... 1,528,558 -------------- 9,036,983 -------------- PRINTING AND PUBLISHING -- 0.1% 1,070,000 Idearc, Inc., 8.00%, 11/15/16...... 1,086,050 -------------- PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 2.3% 8,244,410 Daimler Chrysler Auto Trust, Series 2005-B, Class A3, 4.04%, 09/08/09...... 8,211,883 14,770,000 Daimler Chrysler Auto Trust, Series 2006-B, Class A3, 5.33%, 08/08/10...... 14,781,032 4,082,463 Ford Credit Auto Owner Trust, Series 2005-A, Class A3, 3.48%, 11/15/08...... 4,073,998 3,953,368 Ford Credit Auto Owner Trust, Series 2005-B, Class A3, 4.17%, 01/15/09...... 3,945,476 18,911,000 Nissan Auto Receivables Owner Trust, Series 2006-B, Class A4, 5.22%, 11/15/11...... 18,884,883 -------------- 49,897,272 -------------- PRIVATE ASSET BACKED: BANKS -- 0.2% 3,655,861 Bank of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19...... 3,516,481 -------------- PRIVATE ASSET BACKED: CREDIT CARDS -- 3.1% 14,000,000 American Express Credit Account Master Trust, Series 2005-3, Class A, Floating Rate, 5.32%, 01/18/11 (3).. 13,992,226 12,075,000 Chase Issuance Trust, Series 2004-A9, Class A9, 3.22%, 06/15/10...... 12,011,490 14,850,000 Citibank Credit Card Issuance Trust, Series 2004-A4, Class A4, 3.20%, 08/24/09...... 14,818,264 15,125,000 Citibank Credit Card Issuance Trust, Series 2006-A2, Class A2, 4.85%, 02/10/11...... 15,022,731 11,500,000 MBNA Credit Card Master Note Trust, Series 2003-A6, Class A6, 2.75%, 10/15/10...... 11,255,723 -------------- 67,100,434 --------------
See notes to financial statements. 80 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 2.3% $ 2,805,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36...... $ 2,760,301 11,200,000 Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42...... 10,746,706 2,828,183 Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31...... 2,858,485 4,430,612 SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate, 5.36%, 01/25/18 (2).. 4,434,404 14,200,000 SLM Student Loan Trust, Series 2005-6, Class A5B, Floating Rate, 5.36%, 07/27/26 (2).. 14,211,448 14,030,000 Washington Mutual Asset Securities Corp. -- 144A, Series 2005-C1A, Class A2, 5.15%, 05/25/36...... 13,918,996 -------------- 48,930,340 -------------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 18.8% 4,116,439 ACE Securities Corp., Series 2006-HE1, Class A2A, Floating Rate, 5.40%, 02/25/36 (3).. 4,119,679 11,960,000 Banc of America Commercial Mortgage, Inc., Series 2000-1, Class A2A, 7.33%, 11/15/31...... 12,346,019 8,714,767 Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36...... 8,943,187 16,715,000 Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3, 5.12%, 07/11/43...... 16,383,970 11,170,000 Banc of America Commercial Mortgage, Inc., Series 2002-PB2, Class A4, 6.19%, 06/11/35...... 11,411,130 13,250,000 Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.69%, 04/10/49...... 13,117,996 514,776 Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35...... 518,729 2,545,000 Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41...... 2,369,034 2,046,271 Carrington Mortgage Loan Trust, Series 2006-OPT1, Class A1, Floating Rate, 5.39%, 02/25/36 (3).. 2,047,753 3,475,000 Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32...... 3,627,730 3,913,302 Commercial Mortgage Acceptance Corp., Series 1998-C2, Class A2, 6.03%, 09/15/30...... 3,917,712 1,277,089 Countrywide Asset-Backed Certificates, Series 2004-13, Class AV4, Floating Rate, 5.61%, 06/25/35 (3).. 1,278,270 2,233,243 Countrywide Asset-Backed Certificates, Series 2005-IM3, Class A1, Floating Rate, 5.44%, 03/25/36 (3).. 2,234,796 1,598,793 Countrywide Asset-Backed Certificates, Series 2006-IM1, Class A1, Floating Rate, 5.41%, 04/25/36 (3).. 1,599,910 21,535,130 Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C2, Class A2, 6.30%, 11/15/30...... 21,717,762 14,955,000 Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2, 5.18%, 11/15/36...... 14,636,917 13,110,000 Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5, 3.94%, 05/15/38...... 11,992,484 4,561,798 Credit Suisse Mortgage Capital Certificates, Series 2006-3, Class 1A1A, Floating Rate, 5.41%, 04/25/36 (3).. 4,565,330 4,502,875 DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33...... 4,689,249 7,239,922 Fieldstone Mortgage Investment Corp., Series 2006-1, Class A1, Floating Rate, 5.40%, 05/25/36 (3).. 7,244,978
See notes to financial statements. 81 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 5,672,106 First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A1, Floating Rate, 5.39%, 03/25/36 (3).. $ 5,674,444 12,570,000 First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.66%, 01/12/43...... 12,995,408 10,380,000 GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35...... 10,642,639 11,875,000 GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3, 5.35%, 08/11/36...... 11,723,057 5,979,043 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33...... 6,106,916 6,035,505 GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36...... 6,198,361 3,175,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39...... 2,969,686 5,027,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class AJ, 4.78%, 07/10/39...... 4,688,566 9,912,945 Harborview Mortgage Loan Trust, Series 2006-11, Class A1A, Floating Rate, 5.49%, 12/19/36 (3).. 9,931,928 10,490,000 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35...... 10,573,763 6,650,000 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35...... 6,835,681 9,286,825 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33...... 9,469,640 9,350,000 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37...... 8,806,128 10,900,000 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4, 5.43%, 12/12/43...... 10,556,957 17,899,611 JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1, Floating Rate, 3.88%, 08/25/34 (3).. 17,635,675 7,005,679 LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35...... 7,047,475 12,853,579 LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25...... 13,516,215 6,391,573 LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26...... 6,676,980 7,395,000 LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27...... 7,178,275 9,100,000 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29...... 8,724,814 11,910,000 LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.35%, 11/15/38...... 11,472,347 9,658,000 LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.43%, 02/15/40...... 9,343,151 5,212,208 New Century Home Equity Loan Trust, Series 2006-1, Class A2A, Floating Rate, 5.38%, 05/25/36 (3).. 5,214,854 9,714,203 Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A1, Floating Rate, 5.38%, 11/25/46 (3).. 9,719,533 3,766,917 Residential Asset Mortgage Products, Inc., Series 2006-RS2, Class A1, Floating Rate, 5.40%, 03/25/36 (3).. 3,768,961 11,412,831 Residential Asset Securitization Trust, Series 2005-A14, Class A4, 5.50%, 12/25/35...... 11,373,533 8,748,061 Salomon Brothers Mortgage Securities VII, Series 1999-C1, Class A2, Floating Rate, 7.08%, 05/18/32 (3).. 8,885,452
See notes to financial statements. 82 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 9,099,504 Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11...... $ 9,374,938 2,477,219 Structured Asset Investment Loan Trust, Series 2006-2, Class A1, Floating Rate, 5.38%, 04/25/36 (3).. 2,478,341 -------------- 398,346,353 -------------- PRIVATE ASSET BACKED: OTHER -- 0.3% 4,288,274 Structured Asset Securities Corp. -- 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31...... 3,908,210 3,521,012 Terra LNR, Ltd. -- 144A, Series 2006-1A, Class A1(Cayman Islands), Floating Rate, 5.45%, 06/15/17 (3).. 3,520,977 -------------- 7,429,187 -------------- PRIVATE ASSET BACKED: UTILITIES -- 0.4% 8,000,000 Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10...... 8,367,650 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.2% 4,865,000 American Real Estate Partners LP -- 144A, 7.13%, 02/15/13...... 4,719,050 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% 910,000 AvalonBay Communities, Series MTN, 6.63%, 09/15/11...... 945,555 725,000 The Rouse Company, 3.63%, 03/15/09...... 698,501 4,135,000 The Rouse Company, 5.38%, 11/26/13...... 3,879,350 2,200,000 The Rouse Company/TRC Co-issuer, Inc. -- 144A, 6.75%, 05/01/13...... 2,209,046 -------------- 7,732,452 -------------- SEMICONDUCTORS -- 0.2% 2,285,000 Freescale Semiconductor -- 144A, 9.13%, 12/15/14 (12)........ 2,159,325 295,000 Freescale Semiconductor -- 144A, Floating Rate, 9.24%, 12/15/14 (2).. 286,150 1,195,000 Momentive Performance Materials -- 144A, 10.13%, 12/01/14..... 1,203,963 -------------- 3,649,438 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.7% 625,000 America Movil SA de CV (Mexico), 6.38%, 03/01/35...... 617,064 810,000 Cincinnati Bell, Inc., 7.25%, 07/15/13...... 834,300 800,000 Citizens Communications Company, 6.25%, 01/15/13...... 771,000 550,000 Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16...... 587,125 545,000 Intelsat Corp., 9.00%, 06/15/16...... 573,613 2,350,000 New England Telephone & Telegraph, 7.88%, 11/15/29...... 2,578,100 970,000 New Jersey Bell Telephone, 7.85%, 11/15/29...... 1,067,279 468,000,000 Nippon Telegraph and Telephone Corp. (Japan), 2.50%, 07/25/07 (21)........ 3,805,094 860,000 Qwest Corp., 7.88%, 09/01/11...... 900,850 675,000 Qwest Corp., Floating Rate, 8.61%, 06/15/13 (2).. 735,750 890,000 Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15...... 954,776 1,950,000 Sprint Nextel Corp., 6.00%, 12/01/16...... 1,853,128 1,725,000 Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15...... 1,606,637 555,000 Telecom Italia Capital (Luxembourg), 6.00%, 09/30/34...... 501,595 75,000 Telefonica Emisiones SAU (Spain), 6.42%, 06/20/16...... 76,175 2,950,000 Telefonica Emisiones SAU (Spain), 7.05%, 06/20/36...... 3,064,554 850,000 Telefonica Europe BV (the Netherlands), 7.75%, 09/15/10...... 901,706 215,000 Verizon Maryland, Inc., Series B, 5.13%, 06/15/33...... 174,538
See notes to financial statements. 83 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 1,470,000 Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13...... $ 1,397,579 500,000 Vodafone Group PLC (United Kingdom), 5.00%, 09/15/15...... 465,507 7,910,000 Vodafone Group PLC (United Kingdom), Floating Rate, 5.45%, 12/28/07 (2).. 7,914,271 890,000 Wind Acquisition Finance SA -- 144A (Luxembourg), 10.75%, 12/01/15..... 1,025,725 1,375,000 Windstream Corp., 8.13%, 08/01/13...... 1,443,750 2,925,000 Windstream Corp., 8.63%, 08/01/16...... 3,107,813 -------------- 36,957,929 -------------- TRANSPORTATION -- 0.0% 560,000 Overseas Shipholding Group, 7.50%, 02/15/24...... 557,200 -------------- UTILITIES -- 0.6% 340,783 AES Ironwood LLC, 8.86%, 11/30/25...... 379,973 235,000 AES Red Oak LLC, Series B, 9.20%, 11/30/29...... 278,475 2,735,000 Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10...... 2,858,133 287,127 Elwood Energy LLC, 8.16%, 07/05/26...... 302,994 1,000,000 Florida Power & Light, 5.63%, 04/01/34...... 940,397 122,500 Homer City Funding LLC, 8.14%, 10/01/19...... 130,463 82,769 Homer City Funding LLC, 8.73%, 10/01/26...... 91,459 438,270 Midwest Generation LLC, Series B, 8.56%, 01/02/16...... 467,579 560,000 NRG Energy, Inc., 7.38%, 02/01/16...... 562,800 445,000 Orion Power Holdings, Inc., 12.00%, 05/01/10..... 505,075 545,000 Reliant Energy, Inc., 6.75%, 12/15/14...... 558,625 200,000 Suncor Energy, Inc. (Canada), 6.50%, 06/15/38...... 201,645 5,325,000 TXU Corp., Series O, 4.80%, 11/15/09...... 5,207,611 -------------- 12,485,229 -------------- TOTAL CORPORATE BONDS AND NOTES (Cost $1,057,212,661)...... 1,035,499,511 -------------- FOREIGN GOVERNMENT OBLIGATIONS -- 1.6% 9,700,000 AID-Israel (Israel), 5.50%, 09/18/23...... 9,647,726 39,350,000 Mexican Fixed Rate Bonds, Series M20 (Mexico), 8.00%, 12/07/23 (22)........ 3,747,602 2,930,000 Province of Manitoba (Canada), 6.38%, 09/01/15 (23)........ 2,082,251 3,365,000 Province of Ontario, Series GMTN (Canada), 6.25%, 06/16/15 (23)........ 2,367,289 7,040,000 Republic of Argentina (Argentina), Floating Rate, 5.48%, 08/03/12 (11)........ 5,147,999 545,504 Republic of Argentina (Argentina), 8.28%, 12/31/33...... 527,775 622,900,000 Republic of Finland, Series EMTN (Finland), 0.30%, 10/18/07 (21)........ 5,050,653 890,000 Republic of Venezuela (Venezuela), 7.65%, 04/21/25...... 816,575 4,208,850 Russian Federation -- 144A (Russia), 7.50%, 03/31/30...... 4,642,808 -------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $34,469,433)... 34,030,678 -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 3.2% FEDERAL HOME LOAN BANK 69,300,000 4.80%, 07/02/07 (Cost $69,281,520)... 69,281,520 -------------- SECURITIES LENDING COLLATERAL -- 0.3% 5,441,625 Securities Lending Collateral Investment (Note 4) (Cost $5,441,625).... 5,441,625 -------------- TOTAL SECURITIES (Cost $2,483,714,418)...... 2,447,222,741 --------------
See notes to financial statements. 84 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS -- 1.0% $ 20,317,861 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $20,325,921 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.29%, due 06/01/34, with a value of $11,645,573 and Small Business Administration, 8.05%, due 03/25/30, with a value of $9,688,181) (Cost $20,317,861)... $ 20,317,861 -------------- Total Investments before Call and Put Options Written and Securities Sold Short -- 115.6% (Cost $2,504,032,279)...... 2,467,540,602 -------------- CONTRACTS --------- CALL OPTIONS WRITTEN -- (0.0)% (34,200,000) Expiring 12/13/07. If exercised the Series pays 4.40%, and receives floating 3 month LIBOR, expiring 12/17/17, European Style (Premium $229,140)... (3,078) -------------- PUT OPTIONS WRITTEN -- (0.0)% (34,200,000) Expiring 12/13/07. If exercised the Series pays floating 3 month LIBOR, and receives 5.40%, expiring 12/17/17, European Style (Premium $372,780)............ (973,332) -------------- PRINCIPAL --------- SECURITIES SOLD SHORT -- (18.5)% $ (28,200,000) Fannie Mae, TBA, 5.00%, 07/12/07...... (26,424,274) (140,000,000) Fannie Mae, TBA, 5.50%, 07/12/07...... (135,034,340) (115,500,000) Fannie Mae, TBA, 6.00%, 07/12/07...... (114,254,794) (9,000,000) Fannie Mae, TBA, 6.50%, 07/12/07...... (9,085,779) (500,000) Fannie Mae, TBA, 4.50%, 07/17/07...... (474,532) (27,000,000) Fannie Mae, TBA, 5.50%, 07/17/07...... (26,599,212) (53,100,000) Fannie Mae, TBA, 6.00%, 07/17/07...... (53,340,596) (21,100,000) Fannie Mae, TBA, 5.00%, 08/14/07...... (19,764,771) (9,000,000) Fannie Mae, TBA, 6.50%, 08/14/07...... (9,077,346) -------------- TOTAL SECURITIES SOLD SHORT (Proceeds $396,048,543)........ (394,055,644) -------------- Total Investments net of Call and Put Options Written and Securities Sold Short -- 97.1% (Cost $2,107,381,816)...... 2,072,508,548 Other assets less liabilities -- 2.9%.. 62,294,120 -------------- NET ASSETS -- 100.0%.... $2,134,802,668 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $2,107,381,816. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.. $ 7,562,230 Gross unrealized depreciation.. (42,435,498) ------------ Net unrealized depreciation.... $(34,873,268) ============
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 85 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- US TREASURY SECURITIES -- 16.4% US TREASURY BONDS -- 1.6% $ 740,000 8.88%, 08/15/17 (8)....... $ $958,879 550,000 6.13%, 11/15/27 (8)....... 613,164 425,000 4.50%, 02/15/36 (8)....... 384,957 3,150,000 4.75%, 02/15/37 (8)....... 2,971,093 ------------- 4,928,093 ------------- US TREASURY INFLATION INDEX -- 2.5% 98,149 0.88%, 04/15/10........... 93,241 249,806 2.38%, 04/15/11........... 247,152 465,247 1.63%, 01/15/15........... 432,608 106,214 1.88%, 07/15/15........... 100,405 218,591 2.00%, 01/15/16........... 207,610 1,483,350 2.50%, 07/15/16........... 1,467,243 256,115 2.38%, 01/15/17........... 250,132 197,284 2.38%, 01/15/25........... 189,762 83,273 2.00%, 01/15/26........... 75,453 5,081,322 2.38%, 01/15/27........... 4,881,251 ------------- 7,944,857 ------------- US TREASURY NOTES -- 11.9% 2,880,000 3.38%, 02/15/08........... 2,851,877 3,340,000 3.75%, 05/15/08 (8)....... 3,304,516 6,350,000 4.88%, 01/31/09 (8)....... 6,343,555 750,000 4.50%, 03/31/09........... 744,785 10,000,000 4.50%, 05/15/10 (8)....... 9,898,440 200,000 5.13%, 06/30/11........... 201,578 2,850,000 4.63%, 10/31/11 (8)....... 2,817,715 190,000 4.50%, 03/31/12 (8)....... 186,586 5,430,000 4.50%, 04/30/12 (8)....... 5,330,734 4,330,000 4.75%, 05/31/12 (8)....... 4,297,529 40,000 4.25%, 08/15/14........... 38,275 67,000 5.13%, 05/15/16........... 67,398 1,150,000 4.50%, 05/15/17 (8)....... 1,102,922 ------------- 37,185,910 ------------- US TREASURY STRIPS -- 0.4% 2,995,000 Zero coupon, 11/15/24..... 1,209,300 ------------- TOTAL US TREASURY SECURITIES (Cost $51,587,077)..... 51,268,160 ------------- US GOVERNMENT AGENCY SECURITIES -- 47.0% FANNIE MAE -- 37.0% 150,000 6.63%, 09/15/09........... 154,494 1,331,376 PL# 256219, 5.50%, 04/01/36............... 1,276,792 428,158 PL# 735809, Variable Rate, 4.48%, 08/01/35 (1).... 425,066 29,190 PL# 759626, 6.00%, 02/01/34............... 29,009 42,833 PL# 795774, 6.00%, 10/01/34............... 42,526 187,699 PL# 796050, 6.00%, 08/01/34............... 186,352 1,296,231 PL# 796278, 6.00%, 12/01/34............... 1,286,926 50,953 PL# 801516, Variable Rate, 4.72%, 08/01/34 (1).... 50,812 529,261 PL# 809169, 6.00%, 01/01/35............... 525,462 109,566 PL# 810896, Variable Rate, 4.84%, 01/01/35 (1).... 109,006 23,860 PL# 820426, 6.00%, 03/01/35............... 23,649 473,217 PL# 893681, 6.00%, 10/01/36............... 468,492 864,810 PL# 893923, 6.00%, 10/01/36............... 856,174 1,152,969 PL# 894005, 6.00%, 10/01/36............... 1,141,456 4,469,566 PL# 916397, 6.50%, 05/01/37............... 4,512,680 7,100,000 TBA, 5.50%, 07/01/22 (5).. 6,994,608 100,000 TBA, 6.00%, 07/01/22 (5).. 100,453 34,190,000 TBA, 5.00%, 07/01/37 (5).. 32,037,089 23,500,000 TBA, 5.50%, 07/01/37 (5).. 22,666,479 21,800,000 TBA, 6.00%, 07/01/37 (4) (5).................... 21,564,974 1,520,000 TBA, 6.50%, 07/01/37...... 1,534,487 7,200,000 TBA, 5.00%, 08/01/37 (5).. 6,744,377 9,000,000 TBA, 5.50%, 08/01/37 (5).. 8,675,154 3,900,000 TBA, 6.00%, 08/01/37...... 3,855,517 ------------- 115,262,034 ------------- FEDERAL AGRICULTURAL MORTGAGE CORP. -- 0.3% 80,000 4.25%, 07/29/08........... 79,148 900,000 144A, 5.13%, 04/19/17..... 870,282 ------------- 949,430 ------------- FEDERAL HOME LOAN BANK -- 0.8% 260,000 5.40%, 01/02/09........... 259,898 1,700,000 5.50%, 05/21/09........... 1,699,996 680,000 5.50%, 07/15/36 (5)....... 670,719 ------------- 2,630,613 ------------- FREDDIE MAC -- 1.8% 430,000 4.38%, 11/16/07........... 428,446 720,000 4.75%, 01/18/11........... 710,059 209,239 PL# 1A1145, Variable Rate, 6.67%, 02/01/37 (1).... 211,647 119,717 PL# 1B2694, Variable Rate, 4.34%, 12/01/34 (1).... 117,657 829,542 PL# 1N0344, Variable Rate, 6.61%, 01/01/37 (1).... 842,758 364,448 PL# 1N1447, Variable Rate, 5.85%, 02/01/37 (1).... 365,862 2,214,933 PL# 1N1454, Variable Rate, 5.92%, 04/01/37 (1).... 2,226,016 800,000 PL# 1N1463, Variable Rate, 6.04%, 05/01/37 (1).... 804,526 ------------- 5,706,971 -------------
See notes to financial statements. 86 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD -- 0.8% $ 875,948 PL# A39756, 5.00%, 11/01/35............... $ 823,364 300,000 TBA, 5.00%, 07/01/22...... 289,922 1,200,000 TBA, 5.00%, 08/01/22...... 1,157,062 400,000 TBA, 5.00%, 07/01/37...... 374,938 ------------- 2,645,286 ------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 6.2% 664,379 PL# 605617, 5.00%, 07/15/34............... 629,764 1,456,582 PL# 612902, 5.00%, 07/15/33............... 1,381,193 633,818 PL# 636084, 5.00%, 01/15/35............... 600,320 1,820,673 PL# 644631, 5.00%, 09/15/35............... 1,724,449 14,950,000 TBA, 6.00%, 07/01/37...... 14,872,917 20,000 TBA, 6.50%, 07/01/37...... 20,316 ------------- 19,228,959 ------------- TENNESSEE VALLEY AUTHORITY -- 0.1% 440,000 5.98%, 04/01/36........... 464,488 ------------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $147,691,149).... 146,887,781 ------------- CORPORATE BONDS AND NOTES -- 49.7% ADVERTISING -- 0.0% 90,000 Lamar Media Corp., Series B, 6.63%, 08/15/15........ 85,725 ------------- AEROSPACE AND DEFENSE -- 0.0% 45,000 DRS Technologies, Inc., 6.63%, 02/01/16........ 43,650 ------------- AIRLINES -- 0.1% 300,000 Continental Airlines, Inc., Series A, 5.98%, 04/19/22........ 291,750 ------------- AUTOMOBILE: RENTAL -- 0.0% 75,000 Hertz Corp., 8.88%, 01/01/14........ 78,563 ------------- AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 0.8% 60,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08........ 59,171 600,000 Daimler Chrysler NA Holding, 5.88%, 03/15/11........ 603,558 1,100,000 Ford Motor Company, 7.45%, 07/16/31 (8).... 884,125 840,000 General Motors Corp., 8.25%, 07/15/23 (8).... 769,650 150,000 General Motors Corp., 8.38%, 07/15/33 (8).... 137,625 60,000 Visteon Corp., 8.25%, 08/01/10........ 59,850 ------------- 2,513,979 ------------- BANKS -- 3.6% 900,000 Bank of America Corp., 5.38%, 08/15/11 (5).... 896,884 230,000 European Investment Bank, 4.63%, 03/21/12 (5).... 224,009 290,000 Glitnir Banki HF -- 144A (Iceland), 6.33%, 07/28/11........ 295,427 800,000 Glitnir Banki HF -- 144A (Iceland), Variable Rate, 6.69%, 06/15/16 (1)........... 824,690 100,000 HBOS Treasury Services PLC -- 144A, 5.25%, 02/21/17........ 98,289 490,000 ICICI Bank, Ltd. -- 144A (India), Variable Rate, 6.38%, 04/30/22 (1)........... 466,099 270,000 ICICI Bank, Ltd. -- 144A (India), Variable Rate, 6.38%, 04/30/22 (1)........... 257,023 200,000 Kaupthing Bank -- 144A (Iceland), 7.13%, 05/19/16........ 211,621 1,070,000 Kaupthing Bank -- 144A (Iceland), Floating Rate, 6.05%, 04/12/11 (2)........... 1,079,200 320,000 Landisbanki Islands HF -- 144A (Iceland), 6.10%, 08/25/11........ 324,339 10,000 Rabobank Capital Funding Trust II -- 144A, Variable Rate, 5.26%, perpetual(1)........... 9,603 20,000 Rabobank Capital Funding Trust III -- 144A, Variable Rate, 5.25%, perpetual(1)........... 18,760 490,000 Resona Preferred Global Securities -- 144A (Cayman Islands), Variable Rate, 7.19%, perpetual(1)........... 501,784 780,000 RSHB Capital -- 144A (Luxembourg), 6.30%, 05/15/17........ 765,414 220,000 Santander Issuances -- 144A (Spain), Variable Rate, 5.81%, 06/20/16 (1)........... 221,149 610,000 Shinsei Financial, Ltd. -- 144A (Cayman Islands), Variable Rate, 6.42%, perpetual (1)... 594,094 400,000 SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09........ 393,578
See notes to financial statements. 87 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 150,000 SunTrust Capital VIII, Variable Rate, 6.10%, 12/01/66 (1).... $ 137,809 200,000 Turanalem Finance BV -- 144A (the Netherlands), 8.25%, 01/22/37........ 192,500 520,000 Turanalem Finance BV -- 144A (the Netherlands), 8.25%, 01/22/37........ 501,800 500,000 Wachovia Bank NA, Series BKNT, 5.80%, 12/01/08........ 503,877 460,000 Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual(1).... 458,372 1,150,000 Wachovia Corp., 5.25%, 08/01/14........ 1,118,718 985,000 Wells Fargo & Company, 5.30%, 08/26/11........ 978,759 340,000 Wells Fargo Capital X, 5.95%, 12/15/36........ 318,194 ------------- 11,391,992 ------------- BROADCAST SERVICES/MEDIA -- 1.4% 130,000 CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15....... 136,338 10,000 Clear Channel Communications, Inc., 4.63%, 01/15/08........ 9,916 20,000 Clear Channel Communications, Inc., 6.25%, 03/15/11........ 19,262 90,000 Clear Channel Communications, Inc., 5.50%, 09/15/14........ 77,020 50,000 Clear Channel Communications, Inc., 4.90%, 05/15/15........ 40,421 320,000 Comcast Cable Communications, 8.88%, 05/01/17........ 379,106 730,000 Comcast Corp., 6.50%, 01/15/15........ 749,611 210,000 Comcast Corp., 5.88%, 02/15/18........ 203,783 80,000 Cox Communications, Inc., 3.88%, 10/01/08........ 78,374 115,000 Echostar DBS Corp., 7.00%, 10/01/13........ 113,850 40,000 Echostar DBS Corp., 7.13%, 02/01/16........ 39,300 1,030,000 Liberty Media Corp., 7.88%, 07/15/09........ 1,073,567 20,000 News America, Inc., 6.20%, 12/15/34........ 18,703 40,000 Quebecor Media, Inc., (Canada), 7.75%, 03/15/16........ 40,800 60,000 Rogers Cable, Inc. (Canada), 6.75%, 03/15/15........ 61,951 9,000 Sinclair Broadcast Group, 8.00%, 03/15/12........ 9,270 180,000 Time Warner Entertainment, 8.38%, 07/15/33........ 209,500 720,000 Time Warner, Inc., 6.88%, 05/01/12 (5).... 751,922 290,000 Time Warner, Inc., 7.70%, 05/01/32 (5).... 314,495 70,000 Univision Communications, Inc. -- 144A, 9.75%, 03/15/15 (12)... 69,475 ------------- 4,396,664 ------------- CHEMICALS -- 0.1% 280,000 FMC Finance III SA -- 144A (Luxembourg), 6.88%, 07/15/17........ 276,080 60,000 Georgia Gulf Corp., 9.50%, 10/15/14........ 60,000 30,000 Lyondell Chemical Company, 8.00%, 09/15/14........ 30,975 15,000 Lyondell Chemical Company, 8.25%, 09/15/16........ 15,750 44,000 Westlake Chemical Corp., 6.63%, 01/15/16........ 41,910 ------------- 424,715 ------------- COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 0.2% 530,000 Electronic Data Systems, 7.13%, 10/15/09........ 545,731 20,000 Sungard Data Systems, Inc., 9.13%, 08/15/13........ 20,575 60,000 Sungard Data Systems, Inc., 10.25%, 08/15/15 (8)... 63,750 ------------- 630,056 ------------- CONSUMER GOODS AND SERVICES -- 0.3% 820,000 Altria Group, Inc., 7.00%, 11/04/13........ 870,844 190,000 Reynolds American, Inc., 6.75%, 06/15/17........ 191,613 ------------- 1,062,457 ------------- CONTAINERS AND PACKAGING -- 0.1% 110,000 Graham Packaging Company, LP, 8.50%, 10/15/12........ 111,238 45,000 Graham Packaging Company, LP, 9.88%, 10/15/14 (8).... 45,731 ------------- 156,969 -------------
See notes to financial statements. 88 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) ELECTRONICS -- 0.0% $ 15,000 NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14........ $ 14,850 105,000 NXP BV/NXP Funding LLC (the Netherlands), 9.50%, 10/15/15 (8).... 103,950 ------------- 118,800 ------------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.2% 600,000 Waste Management, Inc., 6.38%, 11/15/12........ 614,336 ------------- EQUIPMENT RENTAL AND LEASING -- 0.1% 440,000 International Lease Finance Corp. E-Capital Trust II -- 144A, Variable Rate, 6.25%, 12/21/65 (1)........... 429,843 ------------- FINANCIAL SERVICES -- 9.7% 100,000 AGFC Capital Trust I -- 144A, Variable Rate, 6.00%, 01/15/67 (1) (5)....... 95,803 420,000 Aiful Corp. -- 144A (Japan), 5.00%, 08/10/10 (5).... 409,671 390,000 American Express Company, Variable Rate, 6.80%, 09/01/66 (1)........... 402,820 1,010,000 Citigroup, Inc., 5.10%, 09/29/11........ 995,382 2,896,653 Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A, Floating Rate, 5.63%, 08/25/35 (3).... 2,905,565 80,000 Countrywide Financial Corp., Series MTN, Floating Rate, 5.49%, 01/05/09 (2)........... 79,802 2,440,000 Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10........ 2,362,620 120,000 Countrywide Financial Corp., Series MTNB, Floating Rate, 5.52%, 02/27/08 (2)........... 120,039 100,000 Countrywide Financial Corp., Series MTNB, Floating Rate, 5.47%, 06/18/08 (2)........... 100,024 160,000 Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual(1).... 154,437 3,645,000 Ford Motor Credit Company, 5.80%, 01/12/09........ 3,569,185 720,000 Ford Motor Credit Company, 7.38%, 10/28/09........ 715,086 90,000 General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08........ 89,499 1,440,000 General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09........ 1,405,850 120,000 General Motors Acceptance Corp., 6.13%, 08/28/07........ 120,086 800,000 General Motors Acceptance Corp., 5.85%, 01/14/09........ 788,711 30,000 General Motors Acceptance Corp., Series GM, 6.31%, 11/30/07........ 29,931 60,000 General Motors Acceptance Corp., Series MTN, 4.38%, 12/10/07........ 59,574 40,000 GMAC LLC, 5.13%, 05/09/08........ 39,508 2,040,000 GMAC LLC, 5.63%, 05/15/09........ 1,995,440 1,870,000 GMAC LLC, 6.63%, 05/15/12........ 1,807,664 590,000 GMAC LLC, 8.00%, 11/01/31........ 604,954 1,020,000 HSBC Finance Corp., 4.63%, 01/15/08........ 1,016,181 960,000 HSBC Finance Corp., 4.63%, 09/15/10........ 934,940 920,000 JPMorgan Chase & Company, 5.13%, 09/15/14........ 884,746 1,100,000 JPMorgan Chase & Company, 5.15%, 10/01/15........ 1,047,707 80,000 Lehman Brothers Holdings, Inc., 4.50%, 07/26/10........ 77,825 1,370,000 Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12........ 1,347,966 350,000 Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual(1)........... 344,485 30,000 Morgan Stanley, 3.63%, 04/01/08........ 29,595 610,000 Morgan Stanley, Series MTN, 5.63%, 01/09/12........ 609,283 200,000 Morgan Stanley, Series MTN, Floating Rate, 5.81%, 10/18/16 (2).... 200,136 1,810,000 Residential Capital LLC, 6.00%, 02/22/11........ 1,752,824 220,000 Residential Capital LLC, 6.50%, 06/01/12........ 214,896 120,000 SLM Corp., Series MTN, 5.05%, 11/14/14........ 99,935 560,000 SLM Corp., Series MTNA, 5.00%, 10/01/13........ 478,415 985,000 SLM Corp., Series MTNA, 5.38%, 05/15/14........ 845,240
See notes to financial statements. 89 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 40,000 SLM Corp., Series MTNA, 5.00%, 04/15/15........ $ 32,921 80,000 SLM Corp., Series MTNA, 5.63%, 08/01/33........ 62,567 460,000 The Bear Stearns Companies, Inc., 5.55%, 01/22/17 (8).... 435,489 380,000 The Goldman Sachs Group, Inc., 4.50%, 06/15/10........ 370,748 240,000 The Goldman Sachs Group, Inc., 5.00%, 01/15/11........ 235,752 ------------- 29,873,302 ------------- FUNERAL SERVICES -- 0.0% 50,000 Service Corp. International, 7.63%, 10/01/18........ 50,875 55,000 Service Corp. International -- 144A, 7.50%, 04/01/27........ 52,113 ------------- 102,988 ------------- INSURANCE -- 0.7% 20,000 ASIF Global Financing XIX -- 144A, 4.90%, 01/17/13........ 19,409 600,000 MERNA Reinsurance, Ltd. (Bermuda), Floating Rate, 7.11%, 07/01/12 (2).... 599,982 930,000 MetLife, Inc., 6.40%, 12/15/36........ 864,229 640,000 The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1).... 616,104 ------------- 2,099,724 ------------- LEISURE AND RECREATION -- 0.2% 35,000 AMC Entertainment, Inc., 11.00%, 02/01/16 (8)... 38,850 15,000 Boyd Gaming Corp., 6.75%, 04/15/14........ 14,775 40,000 Boyd Gaming Corp., 7.13%, 02/01/16........ 39,000 60,000 Inn of The Mountain Gods, 12.00%, 11/15/10....... 64,650 60,000 Mandalay Resort Group, 9.50%, 08/01/08........ 62,100 155,000 MGM MIRAGE, 7.63%, 01/15/17........ 148,219 30,000 River Rock Entertainment Authority, 9.75%, 11/01/11........ 31,650 140,000 Station Casinos, Inc., 7.75%, 08/15/16........ 139,300 ------------- 538,544 ------------- MANUFACTURING -- 0.2% 120,000 Tyco International Group SA (Luxembourg), 6.38%, 10/15/11........ 123,734 440,000 Tyco International Group SA (Luxembourg), 6.00%, 11/15/13........ 452,402 ------------- 576,136 ------------- MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 0.3% 190,000 Community Health Systems, Inc. -- 144A, 8.88%, 07/15/15........ 193,562 230,000 DaVita, Inc. -- 144A, 6.63%, 03/15/13........ 225,687 56,000 HCA, Inc., 6.25%, 02/15/13........ 50,680 110,000 HCA, Inc., 6.75%, 07/15/13........ 100,375 3,000 HCA, Inc., 6.50%, 02/15/16........ 2,554 10,000 HCA, Inc. -- 144A, 9.13%, 11/15/14........ 10,538 100,000 HCA, Inc. -- 144A, 9.25%, 11/15/16........ 106,750 27,000 HCA, Inc. -- 144A, 9.63%, 11/15/16........ 29,093 65,000 Tenet Healthcare Corp., 9.88%, 07/01/14........ 64,675 ------------- 783,914 ------------- METALS AND MINING -- 0.4% 320,000 Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17........ 342,400 105,000 Steel Dynamics, Inc. -- 144A, 6.75%, 04/01/15........ 103,425 859,000 Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36........ 865,602 ------------- 1,311,427 ------------- OFFICE EQUIPMENT, SUPPLIES, AND SERVICES -- 0.0% 30,000 Xerox Corp., 6.75%, 02/01/17........ 30,827 ------------- OIL, COAL AND GAS -- 3.7% 15,000 AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.13%, 05/20/16........ 14,813 740,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31............... 797,370 1,360,000 Anadarko Petroleum Corp., 6.45%, 09/15/36........ 1,312,277 60,000 Chesapeake Energy Corp., 6.38%, 06/15/15........ 57,525
See notes to financial statements. 90 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $ 150,000 ChevronTexaco Capital Company (Canada), 3.50%, 09/17/07........ $ 149,496 195,000 Complete Production Service -- 144A, 8.00%, 12/15/16........ 197,925 290,000 Conoco, Inc., 6.95%, 04/15/29........ 317,415 245,000 Dynegy Holdings, Inc. -- 144A, 7.75%, 06/01/19........ 229,075 1,660,000 El Paso Corp., 7.00%, 06/15/17........ 1,635,099 19,000 El Paso Corp., Series MTN, 7.80%, 08/01/31........ 19,335 92,000 El Paso Corp., Series MTN, 7.75%, 01/15/32........ 93,133 110,000 El Paso Natural Gas, 8.38%, 06/15/32........ 129,536 770,000 Gaz Capital (Gazprom) -- 144A (Luxembourg), 6.51%, 03/07/22........ 761,915 30,000 Hess Corp., 7.88%, 10/01/29........ 33,909 490,000 Hess Corp., 7.30%, 08/15/31........ 527,025 200,000 Kerr-McGee Corp., 6.95%, 07/01/24........ 208,021 295,000 Kerr-McGee Corp., 7.88%, 09/15/31........ 341,884 30,000 Kinder Morgan Energy Partners, LP, 6.30%, 02/01/09........ 30,333 600,000 Kinder Morgan Energy Partners, LP, 6.75%, 03/15/11........ 621,427 440,000 Kinder Morgan Energy Partners, LP, 6.00%, 02/01/17........ 431,365 210,000 OPTI Canada, Inc. -- 144A (Canada), 7.88%, 12/15/14........ 210,869 70,000 OPTI Canada, Inc. -- 144A (Canada), 8.25%, 12/15/14........ 71,400 45,000 Peabody Energy Corp., Series B, 6.88%, 03/15/13........ 45,000 120,000 Pemex Project Funding Master Trust, 7.38%, 12/15/14........ 131,021 770,000 Pemex Project Funding Master Trust, 6.63%, 06/15/35........ 782,513 180,000 Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16........ 177,300 100,000 Pogo Producing Company, 6.88%, 10/01/17 (8).... 99,750 25,000 Semgroup LP, 8.75%, 11/15/15........ 25,250 5,000 Southern Natural Gas, 8.00%, 03/01/32........ 5,696 60,000 Southern Natural Gas -- 144A, 5.90%, 04/01/17........ 58,333 65,000 Suburban Propane Partners, 6.88%, 12/15/13........ 63,050 20,000 Tennessee Gas Pipeline, 7.63%, 04/01/37........ 22,046 108,000 TNK-BP Finance SA -- 144A (Luxembourg), 7.50%, 07/18/16........ 111,643 270,000 TNK-BP Finance SA -- 144A (Luxembourg), 7.50%, 07/18/16........ 279,045 100,000 TNK-BP Finance SA -- 144A (Luxembourg), 6.63%, 03/20/17........ 97,130 50,000 Western Oil Sands, Inc. (Canada), 8.38%, 05/01/12........ 54,938 80,000 Williams Companies, Inc., 8.75%, 03/15/32........ 93,000 630,000 Williams Companies, Inc., Series A, 7.50%, 01/15/31 (8)........... 655,200 550,000 XTO Energy, Inc., 7.50%, 04/15/12........ 591,900 ------------- 11,483,962 ------------- PAPER AND FOREST PRODUCTS -- 0.3% 820,000 Weyerhaeuser Company, 6.75%, 03/15/12........ 849,266 ------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.1% 470,000 Wyeth, 5.95%, 04/01/37........ 450,694 ------------- PRINTING AND PUBLISHING -- 0.1% 180,000 Idearc, Inc., 8.00%, 11/15/16........ 182,700 80,000 TL Acquisitions, Inc. -- 144A, 10.50%, 01/15/15....... 79,517 ------------- 262,217 ------------- PRIVATE ASSET BACKED: BANKS -- 1.5% 279,981 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 5.61%, 10/25/45 (3).... 280,639
See notes to financial statements. 91 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: BANKS (CONTINUED) $ 330,691 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 5.60%, 11/25/45 (3).... $ 332,074 221,622 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A, Floating Rate, 5.61%, 07/25/45 (3).... 222,110 758,489 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.53%, 09/25/36........ 755,787 3,000,000 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A1B, Floating Rate, 5.84%, 07/25/47 (3).... 2,996,251 ------------- 4,586,861 ------------- PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 0.7% 271,416 Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 5.62%, 11/25/35 (3)........... 272,149 206,681 Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 5.62%, 12/25/35 (3)........... 207,083 140,000 Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42... 132,881 630,000 Morgan Stanley Capital I, Series 2006-IQ12, Class A4, 5.33%, 12/15/43.... 605,645 900,000 Morgan Stanley Capital I, Series 2007-IQI4, Class A4, 5.69%, 04/15/49.... 886,935 ------------- 2,104,693 ------------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 21.5% 1,010,421 AAMES Mortgage Investment Trust -- 144A, Series 2005-3, Class A1, Floating Rate, 5.47%, 08/25/35 (3).... 1,010,578 299,534 Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 5.56%, 09/25/35 (3).... 299,863 121,047 Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 5.74%, 02/25/35 (3).... 121,551 92,313 Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 5.70%, 04/25/35 (3).... 92,523 348,501 American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, Floating Rate, 5.61%, 11/25/45 (3).... 349,451 400,000 Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43........ 372,173 623,298 Banc of America Mortgage Securities, Series 2005-A, Class 2A1, 4.46%, 02/25/35........ 610,815 557,306 Bear Stearns ALT-A Trust, Series 2004-11, Class 2A2, Floating Rate, 4.93%, 11/25/34 (3).... 571,821 1,182,096 Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A1, Floating Rate, 5.48%, 12/25/36 (3).... 1,183,802 1,773,211 Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 5.53%, 12/25/36 (3).... 1,778,705 2,547,322 Bear Stearns Second Lien Trust -- 144A, Series 2007-SV1A, Class A3, Floating Rate, 5.57%, 12/25/36 (3).... 2,549,312 34,894 Chevy Chase Mortgage Funding Corp. -- 144A, Series 2003-2A, Class A1, Floating Rate, 5.70%, 05/25/34 (3).... 34,903 364,142 Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.94%, 08/25/35 (3).... 361,523 864,004 Countrywide Alternative Loan Trust, Series 2005-38, Class A3, Floating Rate, 5.67%, 09/25/35 (3).... 866,098 194,041 Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1, Floating Rate, 5.65%, 10/25/35 (3).... 194,309 2,375,141 Countrywide Alternative Loan Trust, Series 2005-51, Class 3A3A, Floating Rate, 5.64%, 11/20/35 (3).... 2,384,287 383,140 Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 5.65%, 11/20/35 (3).... 384,731 909,768 Countrywide Alternative Loan Trust, Series 2005-72, Class A1, Floating Rate, 5.59%, 01/25/36 (3).... 910,280
See notes to financial statements. 92 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 2,001,614 Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1, Floating Rate, 5.59%, 08/25/35 (3).... $ 2,008,787 1,111,196 Countrywide Alternative Loan Trust, Series 2006-OA2, Class A5, Floating Rate, 5.55%, 05/20/46 (3).... 1,111,881 523,766 Countrywide Alternative Loan Trust, Series 2006-OA6, Class 1A1A, Floating Rate, 5.53%, 07/25/46 (3).... 523,912 107,359 Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 5.50%, 02/25/36 (3).... 107,445 117,445 Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35........ 116,128 668,861 Countrywide Home Equity Loan Trust -- 144A, Series 2006-RES, Class 4Q1B, Floating Rate, 5.62%, 12/15/33 (3).... 669,690 219,830 Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 5.55%, 12/15/35 (3).... 220,143 396,319 Countrywide Home Loans -- 144A, Series 2005-R3, Class AF, Floating Rate, 5.72%, 09/25/35 (3).... 399,085 243,084 Countrywide Home Loans, Series 2004-23, Class A, Floating Rate, 7.44%, 11/25/34 (3).... 250,214 637,762 Countrywide Home Loans, Series 2005-3, Class 1A2, Floating Rate, 5.61%, 04/25/35 (3).... 639,708 481,049 Credit Suisse Mortgage Capital Certificates -- 144A, Series 2006-CF2, Class A1, Floating Rate, 5.58%, 05/25/36 (3).... 480,341 54,291 First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 5.72%, 12/25/32 (3).... 54,369 210,000 GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4, Floating Rate, 5.33%, 11/10/45 (3).... 204,386 600,000 GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 12/10/49........ 584,691 1,000,000 GMAC Commercial Mortgage Securities, Inc. Series 2006-C1, Class A4, 5.24%, 11/10/45........ 960,893 258,322 GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 5.59%, 12/19/33 (3).... 263,551 333,183 GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.66%, 03/18/35 (3).... 328,277 662,309 Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A, Floating Rate, 5.42%, 09/25/46 (3).... 662,500 1,610,377 Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A, Floating Rate, 5.40%, 02/25/47 (3).... 1,611,938 200,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39........ 191,288 179,047 Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 5.72%, 10/25/34 (3).... 179,266 2,914,288 IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, Floating Rate, 5.62%, 08/25/35 (3).... 2,922,695 115,447 IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35........ 112,496 98,610 IXIS Real Estate Capital Trust, Series 2006-HE1, Class A1, Floating Rate, 5.41%, 03/25/36 (3).... 98,676 630,000 JPMorgan Chase Commercial Mortgage Securities, Series 2007-LDPX, Class A3, 5.42%, 01/15/49........ 608,587 324,200 JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.31%, 07/25/34 (3).... 319,164 100,000 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30........ 93,479 100,000 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30........ 95,538 200,000 LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 09/15/40........ 189,380
See notes to financial statements. 93 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 1,550,053 Lehman XS Trust, Series 2005-5N, Class 3A1A, Floating Rate, 5.62%, 11/25/35 (3).... $ 1,554,086 618,436 Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 5.39%, 08/25/46 (3).... 618,448 1,345,569 Lehman XS Trust, Series 2007-2N, Class 3A1, Floating Rate, 5.41%, 02/25/37 (3).... 1,346,310 1,634,182 Master Adjustable Rate Mortgages Trust, Series 2006-OA2, Class 1A1, Floating Rate, 5.83%, 12/25/46 (3).... 1,634,721 600,000 Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.38%, 08/12/48........ 577,036 500,000 Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51........ 484,732 2,573,193 Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1, Floating Rate, 5.77%, 02/25/47 (3).... 2,574,790 500,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35........ 486,275 400,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35........ 387,946 330,000 Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39 (3).... 327,854 217,809 MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 5.64%, 10/25/28 (3).... 217,838 659,109 Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A2, Floating Rate, 5.35%, 10/25/34 (3).... 659,656 542,572 Prime Mortgage Trust -- 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35........ 530,420 261,107 Prime Mortgage Trust -- 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35........ 260,669 1,217,106 Prime Mortgage Trust -- 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35........ 1,194,590 1,033,762 Prime Mortgage Trust -- 144A, Series 2006-DR1, Class 2A2, 6.00%, 05/25/35........ 1,015,510 2,683,141 RAAC -- 144A, Series 2007-RP4, Class A, Floating Rate, 5.67%, 11/25/46 (3).... 2,682,953 1,500,000 Renaissance Home Equity Loan Trust, Series 2007-2, Class AF6, 5.88%, 06/25/37........ 1,492,260 1,168,912 Residential Accredited Loans, Inc., Series 2006-Q010, Class A1, Floating Rate, 5.48%, 01/25/37 (3).... 1,167,108 1,360,669 Residential Accredited Loans, Inc., Series 2007-Q01, Class A1, Floating Rate, 5.47%, 02/25/37 (3).... 1,360,166 2,585,185 Residential Accredited Loans, Inc., Series 2007-Q04, Class A1A, Floating Rate, 5.51%, 05/25/47 (3).... 2,584,900 103,260 Residential Asset Mortgage Products, Inc., Series 2004-RS9, Class AII2, Floating Rate, 5.66%, 05/25/34 (3).... 103,360 2,700,000 Securitized Asset Backed Receivables LLC, Series 2007-BR3, Class A2B, Floating Rate, 5.54%, 04/25/37 (3).... 2,701,669 316,587 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35........ 312,707 841,653 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-16XS, Class A1, Floating Rate, 5.66%, 08/25/35 (3).... 844,205 1,023,019 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, Floating Rate, 5.64%, 10/25/35 (3).... 1,027,825 175,919 Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 5.67%, 01/19/34 (3).... 176,280
See notes to financial statements. 94 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 595,673 Structured Asset Mortgage Investments, Inc., Series 2006-AR6, Class 1A3, Floating Rate, 5.51%, 07/25/36 (3).... $ 597,166 3,000,000 Structured Asset Securities Corp. -- 144A, Series 2007-TC1, Class A, Floating Rate, 5.62%, 04/25/31 (3).... 2,999,671 1,472,709 Thornburg Mortgage Securities Trust, Series 2004-2, Class A4, Floating Rate, 5.66%, 06/25/44 (3).... 1,474,616 716,579 Thornburg Mortgage Securities Trust, Series 2005-4, Class A4, Floating Rate, 5.52%, 12/25/35 (3).... 716,841 900,573 Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 5.49%, 01/25/36 (3).... 900,356 1,860,674 Zuni Mortgage Loan Trust, Series 2006-0A1, Class A1, Floating Rate, 5.45%, 08/25/36 (3).... 1,860,892 ------------- 66,959,089 ------------- PRIVATE ASSET BACKED: OTHER -- 0.2% 700,000 SLM Student Loan Trust, Series 2006-5, Class A2, Floating Rate, 5.34%, 07/25/17 (2).... 700,562 ------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.0% 35,000 Forest City Enterprises, Inc., 7.63%, 06/01/15........ 35,438 30,000 Forest City Enterprises, Inc., 6.50%, 02/01/17........ 28,575 ------------- 64,013 ------------- REAL ESTATE INVESTMENT TRUSTS -- 0.0% 40,000 Host Marriott LP, Series Q, 6.75%, 06/01/16........ 39,400 10,000 Ventas Realty LP/Ventas Capital Corp., 9.00%, 05/01/12........ 10,975 30,000 Ventas Realty LP/Ventas Capital Corp., 6.50%, 06/01/16........ 29,400 ------------- 79,775 ------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.1% 100,000 Cie Generale de Geophysique (France), 7.50%, 05/15/15........ 100,500 105,000 Cie Generale de Geophysique (France), 7.75%, 05/15/17........ 106,838 ------------- 207,338 ------------- SEMICONDUCTORS -- 0.0% 35,000 Freescale Semiconductor, Inc. -- 144A, 8.88%, 12/15/14........ 33,600 ------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.5% 410,000 AT&T, Inc., 5.10%, 09/15/14........ 391,653 10,000 Bellsouth Corp., 4.75%, 11/15/12........ 9,568 55,000 Cincinnati Bell, Inc., 7.00%, 02/15/15........ 54,175 95,000 Citizens Communications Company, 7.13%, 03/15/19........ 90,250 20,000 Citizens Communications Company, 7.88%, 01/15/27........ 19,550 375,000 Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16........ 366,435 40,000 Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16........ 42,700 50,000 Intelsat Corp., 9.00%, 06/15/16........ 52,625 320,000 Koninklijke KPN NV (the Netherlands), 8.00%, 10/01/10........ 342,732 445,000 Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30........ 500,339 90,000 Level 3 Financing, Inc., 9.25%, 11/01/14 (8).... 91,350 80,000 Level 3 Financing, Inc. -- 144A, 8.75%, 02/15/17........ 79,500 300,000 Nextel Communications, Inc., Series E, 6.88%, 10/31/13............... 298,033 127,000 Qwest Communications International, Inc., Floating Rate, 8.86%, 02/15/09 (2)........... 128,905 150,000 Sprint Capital Corp., 8.38%, 03/15/12........ 163,568 180,000 Sprint Capital Corp., 8.75%, 03/15/32........ 202,710 580,000 Sprint Nextel Corp., 6.00%, 12/01/16........ 551,186
See notes to financial statements. 95 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 390,000 Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15........ $ 363,240 160,000 Verizon Global Funding Corp., 7.38%, 09/01/12........ 172,512 560,000 Verizon New York, Inc., Series A, 6.88%, 04/01/12............... 584,447 165,000 Windstream Corp., 8.63%, 08/01/16........ 175,313 ------------- 4,680,791 ------------- TRANSPORTATION -- 0.1% 40,000 Gulfmark Offshore, Inc., 7.75%, 07/15/14........ 40,600 70,000 Horizon Lines LLC, 9.00%, 11/01/12........ 74,375 130,000 Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11........ 138,450 180,000 Union Pacific Corp., 5.38%, 05/01/14........ 174,064 ------------- 427,489 ------------- UTILITIES -- 1.5% 67,000 AES Corp., 7.75%, 03/01/14........ 67,503 30,000 Dominion Resources, Inc., 4.75%, 12/15/10........ 29,322 580,000 Dominion Resources, Inc., 5.70%, 09/17/12 (8).... 581,107 720,000 Duke Energy Carolinas, 5.63%, 11/30/12........ 720,619 110,000 Edison Mission Energy -- 144A, 7.00%, 05/15/17........ 104,225 140,000 Edison Mission Energy -- 144A, 7.20%, 05/15/19........ 132,300 50,000 Edison Mission Energy -- 144A, 7.63%, 05/15/27........ 47,500 475,000 Exelon Corp., 5.63%, 06/15/35............... 425,769 650,000 FirstEnergy Corp., Series B, 6.45%, 11/15/11............... 667,147 425,000 FirstEnergy Corp., Series C, 7.38%, 11/15/31............... 461,435 30,000 NRG Energy, Inc., 7.25%, 02/01/14........ 30,150 150,000 NRG Energy, Inc., 7.38%, 02/01/16........ 150,750 45,000 NRG Energy, Inc., 7.38%, 01/15/17........ 45,281 210,000 Pacific Gas & Electric Company, 6.05%, 03/01/34........ 204,085 140,000 Pacific Gas & Electric Company, 5.80%, 03/01/37........ 131,032 440,000 TXU Corp., Series P, 5.55%, 11/15/14........ 375,728 40,000 TXU Corp., Series Q, 6.50%, 11/15/24........ 33,274 645,000 TXU Corp., Series R, 6.55%, 11/15/34........ 524,913 ------------- 4,732,140 ------------- TOTAL CORPORATE BONDS AND NOTES (Cost $156,254,271).... 155,178,851 ------------- CONVERTIBLE BONDS -- 0.0% AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS 30,000 Ford Motor Company, 4.25%, 12/15/36 (Cost $30,000)......... 37,725 ------------- MUNICIPAL BONDS -- 0.2% VIRGINIA 660,357 Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $649,580).............. 650,795 ------------- FOREIGN GOVERNMENT OBLIGATIONS -- 0.7% 10,000 Federal Republic of Brazil (Brazil), 8.88%, 04/15/24........ 12,475 35,000 Federal Republic of Brazil (Brazil), 10.13%, 05/15/27....... 49,438 244,000 Federal Republic of Brazil (Brazil), 11.00%, 08/17/40 (8)... 320,311 100,000 Republic of Colombia, Series MTN, (Colombia), 7.38%, 09/18/37........ 111,250 94,000 Republic of Panama (Panama), 7.13%, 01/29/26........ 100,580 1,054,700 Russian Federation -- 144A (Russia), 7.50%, 03/31/30........ 1,163,445 8,000 United Mexican States (Mexico), 5.63%, 01/15/17........ 7,852 439,000 United Mexican States, Series MTNA, (Mexico), 6.75%, 09/27/34........ 469,291 ------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $2,184,262)...... 2,234,642 -------------
See notes to financial statements. 96 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
CONTRACTS VALUE --------- ------------- PURCHASED CALL OPTIONS -- 0.0% 46 Euribor, receives 3 month floating LIBOR, Expiring September 2007 @ 95.88................ $ 389 13 Euro-Bund, Expiring August 2007 @ 113............. 2,287 123 IMM Euro September Future, Expiring September 2007 @ 94.63................ 16,913 ------------- TOTAL PURCHASED CALL OPTIONS (Cost $52,380)......... 19,589 ------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 10.4% $32,645,613 Securities Lending Collateral Investment (Note 4) (Cost $32,645,613)..... 32,645,613 ------------- TOTAL SECURITIES (Cost $391,094,332).... 388,923,156 ------------- REPURCHASE AGREEMENTS -- 25.3% 79,088,307 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $79,119,679 (Collateralized by various Freddie Macs, 5.51%- 5.67%, due 04/01/36 -- 07/15/36, with a total value of $83,042,722) (Cost $79,088,307)........... 79,088,307 ------------- Total Investments before Call and Put Options Written -- 149.7% (Cost $470,182,639)..... 468,011,463 ------------- Contracts Value - --------- ------------- CALL OPTIONS WRITTEN -- (0.0)% (173) US Treasury Note (10 year) September Future, Expiring August 2007 @ 106 (Premium $55,635)....... $ (105,422) ------------- PUT OPTIONS WRITTEN--(0.0)% (173) US Treasury Note (10 year) September Future, Expiring August 2007 @ 103 (Premium $59,166)....... (18,922) ------------- Total Investments net of Call and Put Options Written -- 149.7% (Cost $470,067,838)..... 467,887,119 Liabilities less other assets -- (49.7)%...... (155,414,289) ------------- NET ASSETS -- 100.0%...... $ 312,472,830 =============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $470,067,838. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $ 607,979 Gross unrealized depreciation... (2,788,698) ----------- Net unrealized depreciation..... $(2,180,719) ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 97 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 80.9% ADVERTISING -- 0.5% $ 470,000 Affinion Group, Inc., 10.13%, 10/15/13........... $ 504,075 945,000 Affinion Group, Inc., 11.50%, 10/15/15........... 1,025,325 1,305,000 RH Donnelley Corp., 6.88%, 01/15/13............ 1,243,013 ------------ 2,772,413 ------------ AEROSPACE AND DEFENSE -- 0.8% 980,000 DRS Technologies, Inc., 7.63%, 02/01/18............ 994,700 480,000 Hawker Beechcraft Acquisition Company -- 144A, 8.50%, 04/01/15............ 496,800 765,000 Hawker Beechcraft Acquisition Company -- 144A, 8.88%, 04/01/15............ 789,863 480,000 Hawker Beechcraft Acquisition Company -- 144A, 9.75%, 04/01/17............ 502,800 1,725,000 Transdigm, Inc. -- 144A, 7.75%, 07/15/14............ 1,750,875 ------------ 4,535,038 ------------ AGRICULTURAL EQUIPMENT -- 0.6% 3,035,000 Case New Holland, Inc., 9.25%, 08/01/11............ 3,196,462 ------------ AGRICULTURE -- 0.2% 675,000 The Mosaic Company -- 144A, 7.38%, 12/01/14............ 685,125 675,000 The Mosaic Company -- 144A, 7.63%, 12/01/16............ 693,563 ------------ 1,378,688 ------------ AIRLINES -- 0.1% 554,137 Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11............ 549,288 ------------ APPAREL: MANUFACTURING AND RETAIL -- 2.7% 4,035,000 Levi Strauss & Company, 12.25%, 12/15/12........... 4,388,062 690,000 Levi Strauss & Company, 9.75%, 01/15/15............ 741,750 2,110,000 Levi Strauss & Company, 8.88%, 04/01/16............ 2,173,300 2,695,000 Oxford Industries, Inc., 8.88%, 06/01/11............ 2,796,063 3,340,000 Perry Ellis International, Inc., Series B, 8.88%, 09/15/13.. 3,406,799 655,000 Phillips Van-Heusen Corp., 7.25%, 02/15/11............ 668,100 685,000 Phillips Van-Heusen Corp., 8.13%, 05/01/13............ 716,681 335,000 Quiksilver, Inc., 6.88%, 04/15/15............ 316,575 ------------ 15,207,330 ------------ AUTOMOBILE: RENTAL -- 0.7% 2,545,000 Hertz Corp., 8.88%, 01/01/14............ 2,665,887 535,000 Neff Corp. -- 144A, 10.00%, 06/01/15........... 536,338 475,000 Rental Service Corp. -- 144A, 9.50%, 12/01/14............ 486,875 ------------ 3,689,100 ------------ AUTOMOBILE: RETAIL -- 0.1% 660,000 AutoNation, Inc., Floating Rate, 7.36%, 04/15/13 (2)............... 661,650 ------------ AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 2.2% 760,000 American Axle and Manufacturing, Inc., 7.88%, 03/01/17............ 750,500 395,000 Commercial Vehicle Group, 8.00%, 07/01/13............ 395,988 7,700,000 General Motors Corp., 6.38%, 05/01/08............ 7,671,125 1,000,000 Tenneco Automotive, Inc., 8.63%, 11/15/14............ 1,035,000 2,195,000 Tenneco Automotive, Inc., Series B, 10.25%, 07/15/13................... 2,370,600 ------------ 12,223,213 ------------ BROADCAST SERVICES/MEDIA -- 5.5% 620,000 Adelphia Communications, 10.25%, 11/01/06 (9) (13).. 190,650 840,000 Adelphia Communications, 10.25%, 06/15/11 (9)....... 275,100 1,305,000 Adelphia Communications, Series B, 9.25%, 10/01/02 (9) (13).......... 407,813 190,000 Cablevision Systems Corp., Series B, Floating Rate, 9.82%, 04/01/09 (11)....... 199,500 1,610,000 Cablevision Systems Corp., Series B, 8.00%, 04/15/12.. 1,597,925 1,780,000 CCH I Holdings LLC, 11.75%, 05/15/14........... 1,757,750 1,530,000 CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15........... 1,604,588 1,450,000 CCH II LLC/CCH II Capital Corp., Series B, 10.25%, 09/15/10................... 1,520,688 5,970,000 CCO Holdings LLC/Capital Corp., 8.75%, 11/15/13............ 6,104,324 980,000 CSC Holdings, Inc., 7.25%, 07/15/08............ 989,800 105,000 CSC Holdings, Inc., Series B, 8.13%, 07/15/09............ 107,363 635,000 CSC Holdings, Inc., Series B, 8.13%, 08/15/09............ 649,288 825,000 CSC Holdings, Inc., Series B, 7.63%, 04/01/11............ 822,938
See notes to financial statements. 98 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) $ 4,700,000 Insight Communications Company, Inc., 12.25%, 02/15/11........... $ 4,923,249 1,235,000 Kabel Deutschland GMBH (Germany), 10.63%, 07/01/14........... 1,358,500 715,000 LBI Media, Inc., 10.13%, 07/15/12........... 753,431 570,000 LBI Media, Inc., zero coupon, 10/15/13 (7).. 524,400 1,215,000 Mediacom Broadband LLC/Mediacom Broadband Corp. -- 144A, 8.50%, 10/15/15............ 1,227,150 1,880,000 Rainbow National Services LLC -- 144A, 8.75%, 09/01/12............ 1,964,599 2,670,000 Rainbow National Services LLC -- 144A, 10.38%, 09/01/14........... 2,943,674 965,000 Sirius Satellite Radio, Inc., 9.63%, 08/01/13............ 950,525 ------------ 30,873,255 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.1% 620,000 Deluxe Corp. -- 144A, 7.38%, 06/01/15............ 620,000 ------------ CHEMICALS -- 2.1% 691,000 Equistar Chemical/Funding, 10.63%, 05/01/11........... 730,733 1,086,000 Huntsman LLC, 11.63%, 10/15/10........... 1,170,165 2,230,000 Ineos Group Holdings PLC -- 144A (United Kingdom), 8.50%, 02/15/16............ 2,190,974 1,301,000 Lyondell Chemical Company, 10.50%, 06/01/13........... 1,411,585 1,865,000 Lyondell Chemical Company, 8.00%, 09/15/14............ 1,925,613 930,000 Lyondell Chemical Company, 8.25%, 09/15/16............ 976,500 680,000 MacDermid, Inc. -- 144A, 9.50%, 04/15/17............ 686,800 830,000 Nova Chemicals Corp. (Canada), Floating Rate, 8.48%, 11/15/13 (11)....... 834,150 2,055,000 Reichhold Industries, Inc. -- 144A, 9.00%, 08/15/14............ 2,126,925 ------------ 12,053,445 ------------ COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 0.6% 1,800,000 Interface, Inc., 10.38%, 02/01/10........... 1,944,000 170,000 Interface, Inc., 9.50%, 02/01/14............ 184,025 295,000 Open Solutions, Inc. -- 144A, 9.75%, 02/01/15............ 299,425 1,125,000 Sungard Data Systems, Inc., 9.13%, 08/15/13............ 1,157,344 ------------ 3,584,794 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.7% 1,775,000 Dayton Superior Corp., 10.75%, 09/15/08........... 1,823,813 775,000 ESCO Corp. -- 144A, 8.63%, 12/15/13............ 817,625 775,000 ESCO Corp. -- 144A, Floating Rate, 9.24%, 12/15/13 (2)............... 794,375 2,416,000 Goodman Global Holdings, Series B, Floating Rate, 8.36%, 06/15/12 (11)....... 2,440,160 650,000 Interline Brands, Inc., 8.13%, 06/15/14............ 658,125 3,755,000 Nortek, Inc., 8.50%, 09/01/14............ 3,595,412 1,985,000 NTK Holdings, Inc., zero coupon, 03/01/14 (7).. 1,449,050 2,715,000 Panolam Industries International -- 144A, 10.75%, 10/01/13........... 2,850,749 325,000 Ply Gem Industries, Inc., 9.00%, 02/15/12............ 293,719 330,000 Stanley-Martin Communities LLC, 9.75%, 08/15/15............ 292,050 ------------ 15,015,078 ------------ CONSUMER GOODS AND SERVICES -- 0.5% 1,310,000 Amscan Holdings, Inc., 8.75%, 05/01/14............ 1,300,175 1,580,000 Revlon Consumer Products Corp., 8.63%, 02/01/08............ 1,556,300 ------------ 2,856,475 ------------ CONTAINERS AND PACKAGING -- 1.5% 2,120,000 Berry Plastics Holding Company, 8.88%, 09/15/14............ 2,157,099 555,000 Berry Plastics Holding Company, Floating Rate, 9.24%, 09/15/14 (2)........ 563,325 1,055,000 Intertape Polymer US, Inc., 8.50%, 08/01/14............ 1,049,725 400,000 Jefferson Smurfit Corp., 7.50%, 06/01/13............ 390,000 1,048,875 Pliant Corp., 11.85%, 06/15/09 (14)...... 1,127,607 850,000 Smurfit-Stone Container Corp., 8.38%, 07/01/12............ 855,313 2,195,000 Stone Container, 8.00%, 03/15/17............ 2,140,125 ------------ 8,283,194 ------------ DISTRIBUTION -- 0.2% 1,085,000 Varietal Distribution Holdings LLC -- 144A, 10.25%, 07/15/15 (12)...... 1,087,713 ------------
See notes to financial statements. 99 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) DIVERSIFIED OPERATIONS AND SERVICES -- 0.2% $ 455,000 ARAMARK Corp. -- 144A, 8.50%, 02/01/15............ $ 465,238 770,000 ARAMARK Corp. -- 144A, Floating Rate, 8.86%, 02/01/15 (2)............... 785,400 ------------ 1,250,638 ------------ EDUCATION -- 0.9% 1,700,000 Education Management LLC, 8.75%, 06/01/14............ 1,751,000 3,125,000 Education Management LLC, 10.25%, 06/01/16........... 3,304,688 ------------ 5,055,688 ------------ ELECTRONICS -- 0.2% 450,000 CPI Holdco, Inc., Floating Rate, 11.15%, 02/01/15 (11)...... 465,750 550,000 Muzak LLC, 10.00%, 02/15/09........... 549,313 ------------ 1,015,063 ------------ ENERGY SERVICES -- 0.1% 475,000 Verasun Energy Corp., 9.88%, 12/15/12............ 501,125 ------------ ENGINEERING -- 0.3% 1,470,000 Alion Science & Technology Corp., 10.25%, 02/01/15........... 1,525,125 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 1.4% 1,160,000 Aleris International, Inc. -- 144A, 9.00%, 12/15/14............ 1,175,950 3,430,000 Aleris International, Inc. -- 144A, 10.00%, 12/15/16........... 3,421,425 1,150,000 Allied Waste North America, Inc., 7.25%, 03/15/15............ 1,144,250 1,800,000 Waste Services, Inc., 9.50%, 04/15/14............ 1,901,250 ------------ 7,642,875 ------------ EQUIPMENT RENTAL AND LEASING -- 0.1% 365,000 United Rentals North America, Inc., 7.75%, 11/15/13............ 367,281 ------------ FINANCIAL SERVICES -- 4.7% 5,220,000 Ford Motor Credit Company, Floating Rate 8.36%, 11/02/07 (2)........ 5,253,731 1,765,000 Ford Motor Credit Company, 6.63%, 06/16/08............ 1,764,208 3,090,000 Ford Motor Credit Company, 7.38%, 10/28/09............ 3,068,911 1,465,000 Ford Motor Credit Company, 7.88%, 06/15/10............ 1,465,665 100,000 Ford Motor Credit Company, 9.88%, 08/10/11............ 105,051 335,000 Ford Motor Credit Company LLC, 7.38%, 02/01/11............ 327,532 470,000 General Motors Acceptance Corp., 5.85%, 01/14/09............ 463,368 6,990,000 General Motors Acceptance Corp., 7.00%, 02/01/12............ 6,862,068 935,000 GMAC LLC, 5.13%, 05/09/08............ 923,510 1,485,000 GMAC LLC, 8.00%, 11/01/31............ 1,522,637 745,000 Kar Holdings, Inc. -- 144A, Floating Rate, 9.36%, 05/01/14 (2)............... 746,863 4,175,000 Residential Capital Corp. -- 144A, Floating Rate, 7.19%, 04/17/09 (2)............... 4,158,070 ------------ 26,661,614 ------------ FOOD AND BEVERAGE -- 1.6% 3,725,000 ASG Consolidated LLC/ASG Finance, Inc., zero coupon, 11/01/11 (7).. 3,482,875 2,810,000 Dole Foods Company, Inc., 8.63%, 05/01/09............ 2,817,025 2,070,000 Dole Foods Company, Inc., 7.25%, 06/15/10............ 2,007,900 545,000 Pierre Foods, Inc., 9.88%, 07/15/12............ 555,900 ------------ 8,863,700 ------------ FUNERAL SERVICES -- 0.1% 655,000 Service Corp. International, 7.00%, 06/15/17............ 627,163 ------------ INSURANCE -- 0.5% 2,815,000 Multiplan, Inc. -- 144A, 10.38%, 04/15/16........... 3,012,050 ------------ LEISURE AND RECREATION -- 11.5% 2,465,000 AMC Entertainment, Inc., 8.00%, 03/01/14............ 2,428,025 820,000 AMC Entertainment, Inc., 11.00%, 02/01/16........... 910,200 2,000,000 Buffalo Thunder Development Authority -- 144A, 9.38%, 12/15/14............ 2,010,000 1,105,000 CCM Merger, Inc. -- 144A, 8.00%, 08/01/13............ 1,105,000 1,200,000 Chukchansi Economic Development Authority -- 144A, Floating Rate, 8.86%, 11/15/12 (11).............. 1,227,000 181,058 Eldorado Casino Shreveport, 10.00%, 08/01/12........... 184,227 4,395,000 Fontainebleau Las Vegas -- 144A, 10.25%, 06/15/15........... 4,351,049 2,240,000 Galaxy Entertainment Finance -- 144A (Hong Kong), 9.88%, 12/15/12............ 2,419,200 2,020,000 Galaxy Entertainment Finance -- 144A (Hong Kong), Floating Rate, 10.41%, 12/15/10 (11).............. 2,115,950 3,025,000 GreekTown Holdings -- 144A, 10.75%, 12/01/13........... 3,221,624 1,118,917 HRP Myrtle Beach Holdings/CA -- 144A, 14.50%, 04/01/14 (12)...... 1,135,701
See notes to financial statements. 100 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) LEISURE AND RECREATION (CONTINUED) $ 945,000 HRP Myrtle Beach Operations/CA -- 144A, 12.50%, 04/01/13........... $ 959,175 1,730,000 HRP Myrtle Beach Operations/CA -- 144A, Floating Rate, 10.07%, 04/01/12 (11)...... 1,738,650 2,420,000 Inn of The Mountain Gods, 12.00%, 11/15/10........... 2,607,550 165,000 Las Vegas Sands Corp., 6.38%, 02/15/15............ 157,781 890,000 Majestic Holdco LLC -- 144A, zero coupon, 10/15/11 (7).. 671,950 3,365,000 Marquee Holdings, Inc., zero coupon, 08/15/14 (7).. 2,944,375 1,500,000 MGM MIRAGE, 6.63%, 07/15/15................... 1,370,625 1,735,000 MGM MIRAGE, 7.50%, 06/01/16............ 1,654,756 460,000 Mohegan Tribal Gaming Authority, 8.00%, 04/01/12............ 477,250 2,275,000 OED Corp./Diamond JO, 8.75%, 04/15/12............ 2,286,375 1,605,000 Pinnacle Entertainment, Inc. -- 144A, 7.50%, 06/15/15............ 1,556,850 595,000 Pokagon Gaming Authority -- 144A, 10.38%, 06/15/14........... 658,963 1,330,000 San Pasqual Casino -- 144A, 8.00%, 09/15/13............ 1,349,950 995,000 Seminole Hard Rock Entertainment -- 144A, Floating Rate, 7.86%, 03/15/14 (2)............... 1,007,438 455,000 Station Casinos, Inc., 6.00%, 04/01/12............ 429,975 250,000 Station Casinos, Inc., 7.75%, 08/15/16............ 248,750 1,340,000 The Majestic Star Casino LLC, 9.50%, 10/15/10............ 1,400,300 2,720,000 Travelport LLC, 9.88%, 09/01/14............ 2,896,800 7,865,000 Trump Entertainment Resorts, Inc., 8.50%, 06/01/15............ 7,845,337 2,435,000 Tunica-Biloxi Gaming Authority -- 144A, 9.00%, 11/15/15............ 2,556,750 375,000 Turning Stone Resort Casino -- 144A, 9.13%, 09/15/14............ 383,438 2,915,000 Universal City Development Partners, Ltd., 11.75%, 04/01/10........... 3,097,188 3,340,000 Universal City Florida, Floating Rate, 10.11%, 05/01/10 (2)....... 3,423,499 1,760,000 Waterford Gaming LLC -- 144A, 8.63%, 09/15/12............ 1,843,600 ------------ 64,675,301 ------------ MACHINERY -- 0.8% 1,050,000 Altra Industrial Motion, Inc., 9.00%, 12/01/11............ 1,092,000 630,000 Altra Industrial Motion, Inc. -- 144A, 9.00%, 12/01/11............ 655,200 830,000 Chart Industries, Inc., 9.13%, 10/15/15............ 875,650 1,535,000 Stewart & Stevenson LLC -- 144A, 10.00%, 07/15/14........... 1,611,750 305,000 The Manitowoc Company, Inc., 10.50%, 08/01/12........... 321,775 ------------ 4,556,375 ------------ MANUFACTURING -- 1.0% 1,000,000 American Railcar Industries, Inc., 7.50%, 03/01/14............ 1,000,000 1,535,000 Bombardier, Inc. -- 144A (Canada), 8.00%, 11/15/14............ 1,596,400 595,000 Harland Clarke Holdings -- 144A, 9.50%, 05/15/15............ 572,688 380,000 Nutro Products, Inc. -- 144A, Floating Rate, 9.37%, 10/15/13 (11)....... 403,028 965,000 RBS Global & Rexnord Corp., 9.50%, 08/01/14............ 993,950 870,000 RBS Global & Rexnord Corp., 11.75%, 08/01/16........... 939,600 720,000 Venture Holdings Trust, Series B, 9.50%, 07/01/05 (9)(13)........... 3,600 ------------ 5,509,266 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 5.9% 1,485,000 Accellent, Inc., 10.50%, 12/01/13........... 1,481,288 2,900,000 Advanced Medical Optics -- 144A, 7.50%, 05/01/17............ 2,755,000 2,235,000 AMR Holding Company/Emcare Holding Company, 10.00%, 02/15/15........... 2,424,975 4,260,000 Community Health Systems, Inc. -- 144A, 8.88%, 07/15/15............ 4,339,874 2,160,000 HCA, Inc., 8.75%, 09/01/10............ 2,259,900 840,000 HCA, Inc., 7.88%, 02/01/11............ 854,717 3,165,000 HCA, Inc. -- 144A, 9.25%, 11/15/16............ 3,378,637 1,105,000 National Mentor Holdings, Inc., 11.25%, 07/01/14........... 1,198,925 1,170,000 Norcross Safety Products LLC - Series B, 9.88%, 08/15/11............ 1,234,350 1,000,000 Omnicare, Inc., 6.88%, 12/15/15............ 955,000 985,000 Res-Care, Inc., 7.75%, 10/15/13............ 1,014,550
See notes to financial statements. 101 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES (CONTINUED) $ 2,321,175 Safety Products Holdings, Series B, 11.75%, 01/01/12 (12)(14).......... $ 2,429,286 2,060,000 Triad Hospitals, Inc., 7.00%, 05/15/12............ 2,157,844 425,000 Universal Hospital Services, Inc. -- 144A, 8.50%, 06/01/15 (12)....... 422,875 425,000 Universal Hospital Services, Inc. -- 144A, Floating Rate, 8.76%, 06/01/15 (2)............... 427,125 3,095,000 US Oncology, Inc., 9.00%, 08/15/12............ 3,203,325 1,775,000 US Oncology, Inc., 10.75%, 08/15/14........... 1,908,125 580,000 Vanguard Health Holding Company I LLC, 11.25%, 10/01/15........... 475,600 289,000 Viant Holdings, Inc. -- 144A, 10.13%, 07/15/17........... 291,890 ------------ 33,213,286 ------------ METALS AND MINING -- 1.8% 215,000 AK Steel Corp., 7.88%, 02/15/09............ 215,538 2,585,000 FMG Finance Property, Ltd. -- 144A (Australia), 10.63%, 09/01/16........... 3,089,074 1,065,000 FMG Finance Property, Ltd. -- 144A (Australia), Floating Rate, 9.36%, 09/01/11 (2)........ 1,134,225 1,349,000 Ispat Inland ULC (Canada), 9.75%, 04/01/14............ 1,495,731 1,770,000 Novelis, Inc. (Canada), 7.25%, 02/15/15............ 1,825,313 2,145,000 RathGibson, Inc., 11.25%, 02/15/14........... 2,262,975 ------------ 10,022,856 ------------ OIL, COAL AND GAS -- 6.3% 2,075,000 Allis-Chalmers Energy, Inc., 9.00%, 01/15/14............ 2,121,687 480,000 Allis-Chalmers Energy, Inc. -- 144A, 8.50%, 03/01/17............ 481,800 415,000 Alpha Natural Resources, 10.00%, 06/01/12........... 439,900 695,000 Cimarex Energy Company, 7.13%, 05/01/17............ 681,100 1,025,000 Clayton William Energy, 7.75%, 08/01/13............ 948,125 2,020,000 Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13............ 2,004,850 320,000 Copano Energy LLC, 8.13%, 03/01/16............ 326,400 290,000 Denbury Resources, Inc., 7.50%, 12/15/15............ 290,725 1,895,000 Dynegy Holdings, Inc., 8.38%, 05/01/16............ 1,861,838 1,550,000 Dynegy Holdings, Inc., 7.63%, 10/15/26............ 1,379,500 2,320,000 Dynegy Holdings, Inc. -- 144A, 7.75%, 06/01/19............ 2,169,199 740,000 El Paso Corp., 9.63%, 05/15/12............ 827,734 685,000 Encore Acquisition Corp., 7.25%, 12/01/17............ 633,625 695,000 Giant Industries, Inc., 8.00%, 05/15/14............ 752,199 1,305,000 Inergy LP/Inergy Finance Corp., 6.88%, 12/15/14............ 1,243,013 135,000 Inergy LP/Inergy Finance Corp., 8.25%, 03/01/16............ 139,388 1,055,000 Ocean Rig Norway AS -- 144A (Norway), 8.38%, 07/01/13............ 1,091,925 1,075,000 OPTI Canada, Inc. -- 144A (Canada), 7.88%, 12/15/14............ 1,080,375 970,000 OPTI Canada, Inc. -- 144A (Canada), 8.25%, 12/15/14............ 989,400 525,000 Parker Drilling Company, 9.63%, 10/01/13............ 563,063 4,215,000 Petrohawk Energy Corp., 9.13%, 07/15/13............ 4,478,437 1,435,000 Plains Exploration & Production Company, 7.00%, 03/15/17............ 1,366,838 1,015,000 Quicksilver Resources, Inc., 7.13%, 04/01/16............ 984,550 440,000 Ram Energy, Inc., 11.50%, 02/15/08........... 452,100 2,985,000 Semgroup LP, 8.75%, 11/15/15............ 3,014,849 290,000 SESI LLC, 6.88%, 06/01/14............ 283,475 2,840,000 United Refining Company, 10.50%, 08/15/12........... 2,953,599 2,035,000 United Refining Company -- 144A, 10.50%, 08/15/12........... 2,116,400 ------------ 35,676,094 ------------ PAPER AND FOREST PRODUCTS -- 1.8% 1,060,000 Abitibi-Consolidated Finance, 7.88%, 08/01/09............ 1,028,200 995,000 Abitibi-Consolidated, Inc. (Canada), 8.55%, 08/01/10............ 955,200 115,000 Georgia-Pacific Corp., 9.50%, 12/01/11............ 122,475 333,000 MDP Acquisitions PLC (Ireland), 9.63%, 10/01/12............ 350,483 3,910,000 NewPage Corp., 10.00%, 05/01/12........... 4,242,349 665,000 NewPage Corp., Floating Rate, 11.61%, 05/01/12 (2)............... 728,175
See notes to financial statements. 102 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PAPER AND FOREST PRODUCTS (CONTINUED) $ 2,655,000 Verso Paper Holdings, LLC/ Verso Paper, Inc. -- 144A, 11.38%, 08/01/16........... $ 2,847,488 ------------ 10,274,370 ------------ PRINTING AND PUBLISHING -- 2.3% 2,281,634 CanWest Media, Inc. (Canada), 8.00%, 09/15/12............ 2,275,930 410,000 CBD Media LLC/CBD Finance, Inc., 8.63%, 06/01/11............ 416,150 1,041,000 Dex Media West Finance Company, Series B, 9.88%, 08/15/13............ 1,119,075 1,145,000 Idearc, Inc., 8.00%, 11/15/16............ 1,162,175 475,000 MediaNews Group, Inc., 6.88%, 10/01/13............ 410,875 1,150,000 Medimedia USA, Inc. -- 144A, 11.38%, 11/15/14........... 1,239,125 1,000,000 Primedia, Inc., Floating Rate, 10.74%, 05/15/10 (2)....... 1,033,750 5,390,000 Reader's Digest Association -- 144A, 9.00%, 02/15/17............ 5,066,600 ------------ 12,723,680 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.7% 630,000 Ashton Woods USA, LLC/Ashton Woods Finance Company, 9.50%, 10/01/15............ 585,900 915,000 HydroChem Industrial Services, Inc. -- 144A, 9.25%, 02/15/13............ 947,025 2,430,000 Realogy Corp. -- 144A, 10.50%, 04/15/14........... 2,320,650 ------------ 3,853,575 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.2% 950,000 Host Hotels & Resorts LP, 6.88%, 11/01/14............ 944,063 ------------ RETAIL -- 6.8% 4,020,000 Bon-Ton Department Stores, Inc., 10.25%, 03/15/14........... 4,090,350 1,925,000 General Nutrition Centers -- 144A, 9.80%, 03/15/14 (12)....... 1,867,250 1,925,000 General Nutrition Centers -- 144A, 10.75%, 03/15/15 (12)...... 1,934,625 4,890,000 GSC Holdings Corp., 8.00%, 10/01/12............ 5,134,500 1,615,000 Michaels Stores, Inc. -- 144A, 10.00%, 11/01/14........... 1,663,450 660,000 Michaels Stores, Inc. -- 144A, 11.38%, 11/01/16........... 693,000 2,020,000 Neiman Marcus Group, Inc., 9.00%, 10/15/15............ 2,171,500 5,720,000 Neiman Marcus Group, Inc., 10.38%, 10/15/15........... 6,320,599 2,910,000 Rite Aid Corp., 7.50%, 01/15/15............ 2,888,175 4,885,000 Rite Aid Corp. -- 144A, 6.13%, 12/15/08............ 4,811,725 5,355,000 Rite Aid Corp. -- 144A, 9.50%, 06/15/17............ 5,167,575 465,000 Toys "R" Us, Inc., 7.63%, 08/01/11............ 434,775 1,135,000 Toys "R" Us, Inc., 7.38%, 10/15/18............ 961,913 ------------ 38,139,437 ------------ RETAIL: RESTAURANTS -- 0.6% 1,720,000 El Pollo Loco, Inc., 11.75%, 11/15/13........... 1,823,200 1,665,000 NPC International, Inc., Series WI, 9.50%, 05/01/14................... 1,623,375 ------------ 3,446,575 ------------ RUBBER PRODUCTS -- 0.3% 960,000 The Goodyear Tire & Rubber Company -- 144A, Floating Rate, 9.13%, 12/01/09 (11).............. 967,200 675,000 The Goodyear Tire & Rubber Company -- 144A, 8.63%, 12/01/11............ 713,813 ------------ 1,681,013 ------------ SEMICONDUCTORS -- 0.6% 535,000 Advanced Micro Devices, Inc., 7.75%, 11/01/12............ 505,575 825,000 Avago Technologies Finance Pte., Ltd. (Singapore), 10.13%, 12/01/13........... 882,750 605,000 Avago Technologies Finance Pte., Ltd . (Singapore), 11.88%, 12/01/15........... 679,113 1,600,000 Freescale Semiconductor, Inc. -- 144A, 8.88%, 12/15/14............ 1,536,000 ------------ 3,603,438 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 6.5% 1,460,000 Centennial Cellular/ Communications, 10.13%, 06/15/13........... 1,573,150 1,170,000 Citizens Communications Company, 7.13%, 03/15/19............ 1,111,500 2,235,000 Digicel Group, Ltd. -- 144A (Bermuda), 8.88%, 01/15/15............ 2,195,888 2,685,000 Digicel Group, Ltd. -- 144A (Bermuda), 9.13%, 01/15/15 (12)....... 2,654,794 2,060,000 Digicel, Ltd. -- 144A (Bermuda), 9.25%, 09/01/12............ 2,181,025 2,130,000 Intelsat Bermuda, Ltd. (Bermuda), 5.25%, 11/01/08............ 2,108,700 3,600,000 Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16............ 3,842,999
See notes to financial statements. 103 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 695,000 iPCS, Inc. -- 144A, Floating Rate, 7.48%, 05/01/13 (2)............... $ 699,344 1,210,000 Level 3 Financing, Inc., 9.25%, 11/01/14............ 1,228,150 1,690,000 Level 3 Financing, Inc. -- 144A, 8.75%, 02/15/17............ 1,679,438 2,960,000 NTL Cable PLC (United Kingdom), 8.75%, 04/15/14............ 3,063,599 460,000 Qwest Capital Funding, Inc., 7.00%, 08/03/09............ 462,300 530,000 Qwest Capital Funding, Inc., 7.90%, 08/15/10............ 541,925 290,000 Qwest Communications International, Series B, 7.50%, 11/01/08.. 292,900 1,745,000 Qwest Communications International, Series B, 7.50%, 02/15/14.. 1,775,538 515,000 Qwest Corp., 8.88%, 03/15/12............ 557,488 470,000 Qwest Corp., 7.63%, 06/15/15............ 487,625 110,000 Qwest Corp., 7.20%, 11/10/26............ 108,625 2,430,000 Qwest Corp., Floating Rate, 8.61%, 06/15/13 (2)............... 2,648,700 3,610,000 West Corp., 9.50%, 10/15/14............ 3,718,299 495,000 West Corp., 11.00%, 10/15/16........... 519,750 905,000 Windstream Corp., 8.13%, 08/01/13............ 950,250 1,870,000 Windstream Corp., 8.63%, 08/01/16............ 1,986,875 ------------ 36,388,862 ------------ TRANSPORTATION -- 1.4% 497,000 H-Lines Finance Holding, zero coupon, 04/01/13 (7).. 489,545 1,277,000 Horizon Lines LLC, 9.00%, 11/01/12............ 1,356,813 705,000 Kansas City Southern, 9.50%, 10/01/08............ 733,200 625,000 Kansas City Southern de Mexico -- 144A (Mexico), 7.38%, 06/01/14............ 621,875 1,295,000 Kansas City Southern de Mexico, S de RL de CV -- 144A (Mexico), 7.63%, 12/01/13............ 1,295,000 675,000 Sabre Holdings Corp., 8.35%, 03/15/16............ 610,875 2,325,000 TFM, SA de CV (Mexico), 9.38%, 05/01/12............ 2,499,375 ------------ 7,606,683 ------------ Utili- tie- s -- 1.2% 400,000 AES Corp. -- 144A, 8.75%, 05/15/13............ 424,000 310,000 AES Corp. -- 144A, 9.00%, 05/15/15............ 329,763 459,385 AES Eastern Energy, Series 99-A, 9.00%, 01/02/17............ 512,502 660,000 NRG Energy, Inc., 7.25%, 02/01/14............ 663,300 655,000 NRG Energy, Inc., 7.38%, 02/01/16............ 658,275 2,005,000 NRG Energy, Inc., 7.38%, 01/15/17............ 2,017,531 2,015,000 Orion Power Holdings, Inc., 12.00%, 05/01/10........... 2,287,025 ------------ 6,892,396 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $448,748,269)........ 454,316,728 ------------ LOAN PARTICIPATIONS -- 9.7% 2,800,000 ADESA, Inc., Term Loan B, Floating Rate, 7.61%, 10/18/13 (2)........ 2,805,603 1,000,000 Advanced Medical Optics, Inc., Term Loan B, Floating Rate, 7.09%, 04/02/14 (2)........ 996,875 880,000 AMSCAN Holdings, Inc., Floating Rate, 7.63%, 05/25/13 (2)........ 882,017 2,010,000 BLB Worldwide Holdings, Floating Rate, 9.63%, 06/30/12 (2)........ 2,021,306 860,000 Cannery Casino Resorts, LLC, Floating Rate, 9.61%, 05/18/14 (2)........ 866,450 3,680,000 Claire's Stores, Inc., Term Loan B, Floating Rate, 8.11%, 05/24/14 (2)............... 3,622,500 1,120,000 Dresser, Inc., Floating Rate, 7.86%, 05/04/14 (2)........ 1,126,184 560,000 Dresser, Inc., Floating Rate, 11.11%, 05/04/15 (2)....... 568,190 1,723,733 Freeport McMoRan Copper & Gold, Inc., Term Loan B, Floating Rate, 9.00%, 03/19/14 (2)........ 1,726,717 2,400,000 Great Lakes Entertainment, LLC, 9.00%, 08/15/12............ 2,370,000 96,738 Hawker Beechcraft Acquisition Company, LLC, Floating Rate, 5.26%, 03/26/14 (2)........ 96,932 1,143,262 Hawker Beechcraft Acquisition Company, LLC, Term Loan B, Floating Rate, 7.26%, 03/26/14 (2)........ 1,145,559 4,169,550 HCA, Inc., Term Loan B, Floating Rate, 7.61%, 11/18/13 (2)........ 4,192,758
See notes to financial statements. 104 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ LOAN PARTICIPATIONS (CONTINUED) $ 3,260,000 Hit Entertainment, Inc., Tranche LN227528, Floating Rate, 10.86%, 02/05/13 (2)....... $ 3,295,658 1,321,439 Houghton Mifflin, Inc., Floating Rate, 12.06%, 12/21/07 (2)....... 1,324,743 1,100,000 Intelsat, Ltd. (Bermuda), Floating Rate, 7.86%, 02/01/14 (2)........ 1,102,505 2,050,000 Level 3 Financing, Inc., Floating Rate, 7.61%, 03/13/14 (2)........ 2,053,985 1,420,000 Michaels Stores, Inc., Term Loan B, Floating Rate, 7.63%, 10/31/13 (2)........ 1,408,365 750,000 Neff Rental, Inc., Floating Rate, 8.90%, 05/31/13 (2)........ 755,469 6,965,000 Nielsen Finance, LLC, Floating Rate, 7.61%, 08/09/13 (2)........ 7,015,063 126,080 Ply Gem Industries, Inc., Floating Rate, 8.11%, 08/15/11 (2)........ 125,765 3,373,920 Ply Gem Industries, Inc., Term Loan B-3, Floating Rate, 8.11%, 08/15/11 (2)........ 3,365,485 738,182 Realogy Corp., Floating Rate, 8.32%, 09/01/14 (2)........ 731,928 2,741,818 Realogy Corp., Floating Rate, 8.35%, 09/01/14 (2)........ 2,718,590 827,674 Rental Services Corp., Floating Rate, 8.86%, 11/30/13 (2)........ 841,952 3,605,406 Sabre, Inc., Term Loan B, Floating Rate, 7.61%, 09/30/14 (2)........ 3,578,928 3,040,000 Sandridge Energy, Inc., 8.63%, 04/01/15............ 3,116,000 700,000 USI Holdings Corp., Floating Rate, 8.11%, 05/04/14 (2)........ 705,833 ------------ TOTAL LOAN PARTICIPATIONS (Cost $54,385,899)......... 54,561,360 ------------ SHARES ------ COMMON STOCKS -- 0.7% AIRLINES -- 0.0% 11,466 Delta Air Lines, Inc.*........ 225,880 500,000 Delta Air Lines, Inc. (Escrow Certificates)*..... 33,438 ------------ 259,318 ------------ BROADCAST SERVICES/MEDIA -- 0.5% 50,250 Time Warner Cable Inc. -- Class A*........... 1,968,292 ------------ FINANCIAL SERVICES -- 0.0% 2,697,805 Adelphia Contingent Value Vehicle CVV, Series Acc -- 1*.................. $ 256,291 ------------ LEISURE AND RECREATION -- 0.2% 970 HRP -- Class B*(14)........... 10 1,100 Shreveport Gaming Holdings, Inc.* (14)....... 19,635 104,876 Trump Entertainment Resorts, Inc.*............. 1,316,194 ------------ 1,335,839 ------------ UTILITIES -- 0.0% 550,000 Mirant Corp. (Escrow Certificates)*..... 38,335 1,220,000 Mirant Corp. (Escrow Certificates)*..... 72,102 ------------ 110,437 ------------ TOTAL COMMON STOCKS (Cost $4,484,141).......... 3,930,177 ------------ PREFERRED STOCKS -- 0.5% LEISURE AND RECREATION 2,905 Fontainebleau Equity Holdings, LLC, 12.50%, perpetual(12) (Cost $2,905,000).......... 2,905,000 ------------ CONVERTIBLE PREFERRED STOCKS -- 0.9% OIL, COAL AND GAS -- 0.5% 5,273 Chesapeake Energy Corp. -- 144A, 5.00%...................... 588,599 21,865 Chesapeake Energy Corp., 4.50%...................... 2,197,432 ------------ 2,786,031 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.4% 38,375 Crown Castle International Corp., 6.25%...................... 2,216,156 ------------ TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $4,427,021).......... 5,002,187 ------------ WARRANTS -- 0.1% 1,125 American Tower Corp., Expires 08/01/08* (Cost $75,400)............. 666,422 ------------ PRINCIPAL --------- CONVERTIBLE BONDS -- 0.3% AEROSPACE AND DEFENSE -- 0.3% $ 1,305,000 L-3 Communications Corp. -- 144A, 3.00%, 08/01/35................... 1,477,913 ------------ BROADCAST SERVICES/MEDIA -- 0.0% 80,000 XM Satellite Radio Holdings, Inc., 1.75%, 12/01/09...... 68,900 ------------ TOTAL CONVERTIBLE BONDS (Cost $1,396,910).......... 1,546,813 ------------ TOTAL SECURITIES (Cost $516,422,640)........ 522,928,687 ------------
See notes to financial statements. 105 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 5.7% $32,187,362 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $32,200,130 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.58%-5.67%, due 11/01/33- 05/25/34, with a total value of $24,461,137 and Small Business Administration, 8.09%, due 05/25/29, with a value of $9,335,593) (Cost $32,187,362)............... $ 32,187,362 ------------ Total Investments -- 98.8% (Cost $548,610,002)........ 555,116,049 Other assets less liabilities -- 1.2%........ 6,906,304 ------------ NET ASSETS -- 100.0%.......... $562,022,353 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $548,610,002. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $13,284,478 Gross unrealized depreciation... (6,778,431) ----------- Net unrealized appreciation..... $ 6,506,047 ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 106 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 61.3% AEROSPACE AND DEFENSE -- 1.8% 14,350 Lockheed Martin Corp. .... $ 1,350,766 24,171 Northrop Grumman Corp. ... 1,882,196 32,250 Raytheon Company.......... 1,737,953 20,000 The Boeing Company........ 1,923,199 ------------ 6,894,114 ------------ AGRICULTURE -- 0.6% 31,100 Monsanto Company.......... 2,100,494 ------------ APPAREL: MANUFACTURING AND RETAIL -- 0.1% 1,300 NIKE, Inc. -- Class B..... 75,777 8,000 Payless ShoeSource, Inc.*.................. 252,400 ------------ 328,177 ------------ AUTOMOBILE: RENTAL -- 0.0% 2,200 Avis Budget Group, Inc.*.. 62,546 ------------ AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 0.7% 64,000 AutoNation, Inc.*......... 1,436,160 11,700 PACCAR, Inc. ............. 1,018,368 5,200 TRW Automotive Holdings Corp.*........ 191,516 ------------ 2,646,044 ------------ BANKS -- 3.4% 79,712 Bank of America Corp. .... 3,897,120 19,500 Regions Financial Corp. .. 645,450 10,900 SunTrust Banks, Inc. ..... 934,566 4,200 The Bank of New York Company, Inc. ......... 174,048 21,182 US Bancorp................ 697,947 57,645 Wachovia Corp. ........... 2,954,306 97,500 Wells Fargo & Company..... 3,429,075 ------------ 12,732,512 ------------ BROADCAST SERVICES/MEDIA -- 3.2% 55,650 CBS Corp. -- Class B...... 1,854,258 20,650 Comcast Corp. -- Class A*..................... 580,678 9,200 Liberty Media Corp. -- Capital -- S- eries A*............... 1,082,656 62,000 The DIRECTV Group, Inc.* (8).............. 1,432,820 25,600 The McGraw-Hill Companies, Inc. .................. 1,742,848 75,200 The Walt Disney Company... 2,567,328 134,990 Time Warner, Inc. ........ 2,840,190 ------------ 12,100,778 ------------ BUSINESS SERVICES AND SUPPLIES -- 1.2% 34,400 Accenture, Ltd. -- Class A (Bermuda).............. 1,475,416 2,600 First Data Corp. ......... 84,942 5,400 Gartner, Inc.*............ 132,786 15,200 Manpower, Inc. ........... 1,402,048 23,300 Moody's Corp. ............ 1,449,260 ------------ 4,544,452 ------------ CHEMICALS -- 0.5% 17,200 Ashland, Inc. ............ 1,099,940 10,000 Celanese Corp. -- Series A...................... 387,800 300 EI du Pont de Nemours and Company................ 15,252 4,800 Lyondell Chemical Company................ 178,176 3,500 The Dow Chemical Company.. 154,770 ------------ 1,835,938 ------------ COLLECTIBLES -- 0.0% 1,100 Sotheby's................. 50,622 ------------ COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 4.9% 1,900 Adobe Systems, Inc.*...... 76,285 16,900 Apple, Inc.*.............. 2,062,476 3,900 Automatic Data Processing, Inc. .................. 189,033 2,600 Computer Sciences Corp.*.. 153,790 37,300 Dell, Inc.*............... 1,064,915 1,700 Electronic Data Systems Corp. ................. 47,141 77,300 EMC Corp.*................ 1,399,130 71,887 Hewlett-Packard Company... 3,207,597 21,150 International Business Machines Corp. ........ 2,226,038 21,100 Lexmark International, Inc. -- Class A*....... 1,040,441 197,050 Microsoft Corp. .......... 5,807,063 58,100 Oracle Corp.*............. 1,145,151 14,100 Sun Microsystems, Inc.*... 74,166 ------------ 18,493,226 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.0% 700 Vulcan Materials Company.. 80,178 ------------ CONSUMER GOODS AND SERVICES -- 2.5% 51,050 Altria Group, Inc. ....... 3,580,647 17,600 American Greetings Corp. -- Class A(8).... 498,608 5,200 Avon Products, Inc. ...... 191,100 3,500 Energizer Holdings, Inc.*.................. 348,600 1,300 NBTY, Inc.*............... 56,160 42,798 Procter & Gamble Company.. 2,618,810 19,000 The Estee Lauder Companies, Inc. -- Class A........ 864,690 25,400 UST, Inc. ................ 1,364,234 ------------ 9,522,849 ------------
See notes to financial statements. 107 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) DISTRIBUTION -- 0.1% 7,400 Tech Data Corp.*.......... $ 284,604 ------------ DIVERSIFIED OPERATIONS AND SERVICES -- 2.0% 192,700 General Electric Company.. 7,376,556 ------------ EDUCATION -- 0.3% 8,800 ITT Educational Services, Inc.*.................. 1,032,944 ------------ ELECTRONICS -- 0.7% 6,200 Avnet, Inc.*.............. 245,768 36,500 Emerson Electric Company.. 1,708,200 23,300 Synopsys, Inc.*........... 615,819 ------------ 2,569,787 ------------ FINANCIAL SERVICES -- 5.1% 6,700 American Express Company.. 409,906 6,920 Ameriprise Financial, Inc. .................. 439,904 79,699 Citigroup, Inc. .......... 4,087,762 42,400 Countrywide Financial Corp.(8)............... 1,541,240 800 Franklin Resources, Inc. .................. 105,976 16,200 Janus Capital Group, Inc.(8)................ 451,008 86,700 JPMorgan Chase & Company.. 4,200,614 8,200 MasterCard, Inc. -- Class A(8)................... 1,360,134 31,300 Merrill Lynch & Company, Inc. .................. 2,616,054 34,600 Morgan Stanley............ 2,902,248 3,200 SLM Corp. ................ 184,256 1,500 T Rowe Price Group, Inc. .................. 77,835 23,550 Washington Mutual, Inc. .. 1,004,172 ------------ 19,381,109 ------------ FOOD AND BEVERAGE -- 1.6% 6,100 General Mills, Inc. ...... 356,362 56,754 Kraft Foods, Inc. -- Class A...................... 2,000,578 3,500 Molson Coors Brewing Company -- Class B..... 323,610 12,400 PepsiCo, Inc. ............ 804,140 22,450 The Coca-Cola Company..... 1,174,360 66,300 Tyson Foods, Inc. -- Class A...................... 1,527,552 ------------ 6,186,602 ------------ INSURANCE -- 3.6% 16,100 Ambac Financial Group, Inc. .................. 1,403,759 25,603 American International Group, Inc. ........... 1,792,978 31,300 CIGNA Corp. .............. 1,634,486 400 CNA Financial Corp.(8).... 19,076 46,000 Genworth Financial, Inc. -- Class A........ 1,582,400 29,100 Loews Corp. .............. 1,483,518 21,302 MBIA, Inc.(8)............. 1,325,410 33,200 MetLife, Inc. ............ 2,140,737 34,800 The Travelers Companies, Inc. .................. 1,861,800 3,100 XL Capital, Ltd. -- Class A (Cayman Islands)..... 261,299 ------------ 13,505,463 ------------ INTERNET SERVICES -- 2.4% 8,900 Amazon.com, Inc.*(8)...... 608,849 157,450 Cisco Systems, Inc.*...... 4,384,983 8,400 eBay, Inc.*............... 270,312 2,900 Expedia, Inc.*............ 84,941 2,190 Google, Inc. -- Class A*.. 1,146,202 22,300 IAC/InterActive Corp.*(8).............. 771,803 3,500 Juniper Networks, Inc.*... 88,095 87,000 Symantec Corp.*........... 1,757,400 ------------ 9,112,585 ------------ LEISURE AND RECREATION -- 0.4% 2,900 Carnival Corp. (Panama)... 141,433 32,900 Marriott International, Inc. -- Class A........ 1,422,596 ------------ 1,564,029 ------------ MACHINERY -- 0.7% 2,700 Cummins, Inc. ............ 273,267 9,400 Deere & Company........... 1,134,956 16,500 Terex Corp.*.............. 1,341,450 ------------ 2,749,673 ------------ MANUFACTURING -- 0.7% 15,300 SPX Corp. ................ 1,343,493 40,900 Tyco International, Ltd. (Bermuda)*............. 1,382,011 ------------ 2,725,504 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 1.7% 1,800 Baxter International, Inc. .................. 101,412 22,900 Humana, Inc.*............. 1,394,839 44,750 Johnson & Johnson......... 2,757,495 18,150 Medtronic, Inc. .......... 941,259 900 St Jude Medical, Inc.*.... 37,341 12,800 Zimmer Holdings, Inc.*.... 1,086,592 ------------ 6,318,938 ------------ METALS AND MINING -- 0.6% 1,900 Newmont Mining Corp. ..... 74,214 28,100 Nucor Corp. .............. 1,648,065 1,000 Southern Copper Corp.(8).. 94,260 5,200 United States Steel Corp. ................. 565,500 ------------ 2,382,039 ------------
See notes to financial statements. 108 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) OIL, COAL AND GAS -- 6.6% 13,614 Apache Corp. ............. $ 1,110,766 41,900 Chevron Corp. ............ 3,529,656 10,962 ConocoPhillips............ 860,517 24,850 Devon Energy Corp. ....... 1,945,507 1,600 Dresser-Rand Group, Inc.*.................. 63,200 114,950 Exxon Mobil Corp. ........ 9,642,005 13,700 GlobalSantaFe Corp. (Cayman Islands)....... 989,825 12,300 Halliburton Company....... 424,350 33,800 Marathon Oil Corp. ....... 2,026,648 1,500 National-Oilwell Varco, Inc.*.................. 156,360 4,100 Noble Energy, Inc. ....... 255,799 3,400 ONEOK, Inc. .............. 171,394 2,400 Plains Exploration & Production Company*.... 114,744 17,100 Schlumberger, Ltd. (Netherlands Antilles).............. 1,452,474 22,500 Tesoro Corp. ............. 1,285,875 400 Valero Energy Corp. ...... 29,544 10,800 XTO Energy, Inc. ......... 649,080 ------------ 24,707,744 ------------ PAPER AND FOREST PRODUCTS -- 0.2% 67,700 Domtar Corp.*............. 755,532 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 5.3% 24,300 Abbott Laboratories....... 1,301,265 28,400 AmerisourceBergen Corp. .. 1,404,948 23,334 Amgen, Inc.*.............. 1,290,137 16,600 Biogen Idec, Inc.*........ 888,100 1,800 Celgene Corp.*............ 103,194 14,300 Eli Lilly and Company..... 799,084 34,700 Forest Laboratories, Inc.*.................. 1,584,055 42,800 Gilead Sciences, Inc.*.... 1,659,356 12,500 Medco Health Solutions, Inc.*.................. 974,875 61,000 Merck & Company, Inc. .... 3,037,800 21,300 Millennium Pharmaceuticals, Inc.*.................. 225,141 177,960 Pfizer, Inc. ............. 4,550,436 70,600 Schering-Plough Corp. .... 2,149,064 ------------ 19,967,455 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.2% 14,700 CB Richard Ellis Group, Inc. -- Class A*....... 536,550 1,100 Jones Lang LaSalle, Inc. .................. 124,850 ------------ 661,400 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.6% 1,000 Boston Properties, Inc. .. 102,130 3,700 Health Care Property Investors, Inc. ....... 107,041 9,800 HRPT Properties Trust..... 101,920 24,300 ProLogis.................. 1,382,670 6,600 Simon Property Group, Inc. .................. 614,064 ------------ 2,307,825 ------------ RETAIL -- 1.0% 11,800 CVS Caremark Corp. ....... 430,110 8,800 Dollar Tree Stores, Inc.*.................. 383,240 5,700 JC Penney Company, Inc. .. 412,566 200 Kohl's Corp.*............. 14,206 31,200 RadioShack Corp.(8)....... 1,033,968 32,900 Rite Aid Corp.*........... 209,902 1,972 The Home Depot, Inc. ..... 77,598 27,970 Wal-Mart Stores, Inc. .... 1,345,637 ------------ 3,907,227 ------------ RETAIL: RESTAURANTS -- 0.8% 47,900 McDonald's Corp. ......... 2,431,404 18,000 YUM! Brands, Inc. ........ 588,960 ------------ 3,020,364 ------------ RETAIL: SUPERMARKETS -- 0.8% 44,400 Safeway, Inc. ............ 1,510,932 58,900 The Kroger Company........ 1,656,857 ------------ 3,167,789 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.1% 4,300 Applera Corp.-Applied Biosystems Group....... 131,322 4,500 Waters Corp.*............. 267,120 ------------ 398,442 ------------ SEMICONDUCTORS -- 1.7% 91,700 Atmel Corp.*.............. 509,852 79,850 Intel Corp. .............. 1,897,236 5,000 MEMC Electronic Materials, Inc.*....... 305,600 23,200 Novellus Systems, Inc.*(8)............... 658,184 12,200 NVIDIA Corp.*............. 503,982 63,250 Texas Instruments, Inc. .. 2,380,098 ------------ 6,254,952 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.7% 5,900 ALLTEL Corp. ............. 398,545 3,800 Andrew Corp.*(8).......... 54,872 100,145 AT&T, Inc. ............... 4,156,017 30,750 CenturyTel, Inc. ......... 1,508,288
See notes to financial statements. 109 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) 1,200 Polycom, Inc.*............ $ 40,320 35,400 Qwest Communications International, Inc.*... 343,380 112,150 Sprint Nextel Corp. ...... 2,322,627 29,100 UTStarcom, Inc.*(8)....... 163,251 32,900 Verizon Communications, Inc. .................. 1,354,493 ------------ 10,341,793 ------------ TOYS -- 0.1% 6,300 Hasbro, Inc. ............. 197,883 3,100 Mattel, Inc. ............. 78,399 ------------ 276,282 ------------ TRANSPORTATION -- 0.6% 36,100 CSX Corp. ................ 1,627,388 5,100 Union Pacific Corp. ...... 587,265 ------------ 2,214,653 ------------ UTILITIES -- 1.8% 4,700 Constellation Energy Group.................. 409,699 37,600 Duke Energy Corp. ........ 688,080 1,090 Dynegy, Inc. -- Class A*.. 10,290 200 Edison International...... 11,224 15,050 Entergy Corp. ............ 1,615,617 6,200 FirstEnergy Corp. ........ 401,326 3,600 NRG Energy, Inc.*......... 149,652 33,150 PG&E Corp. ............... 1,501,695 44,200 Reliant Energy, Inc.*..... 1,191,190 10,400 TXU Corp. ................ 699,920 ------------ 6,678,693 ------------ TOTAL COMMON STOCKS (Cost $196,826,299).... 231,241,914 ------------ PRINCIPAL --------- US TREASURY SECURITIES -- 2.1% US TREASURY BONDS -- 0.1% $ 50,000 8.88%, 08/15/17 (8)....... 64,789 380,000 4.50%, 02/15/36 (8)....... 344,197 150,000 4.75%, 02/15/37........... 141,481 ------------ 550,467 ------------ US TREASURY INFLATION INDEX -- 1.4% 130,865 0.88%, 04/15/10........... 124,322 83,269 2.38%, 04/15/11........... 82,384 941,314 1.63%, 01/15/15........... 875,275 191,185 1.88%, 07/15/15........... 180,730 447,591 2.00%, 01/15/16........... 425,107 531,960 2.50%, 07/15/16........... 526,183 163,914 2.38%, 01/15/17........... 160,085 317,846 2.38%, 01/15/25........... 305,728 187,364 2.00%, 01/15/26........... 169,769 2,294,790 2.38%, 01/15/27........... 2,204,435 ------------ 5,054,018 ------------ US TREASURY NOTES -- 0.2% 350,000 5.13%, 06/30/11........... 352,762 40,000 4.63%, 10/31/11 (8)....... 39,547 100,000 4.50%, 03/31/12 (8)....... 98,203 420,000 4.50%, 04/30/12........... 412,322 6,000 5.13%, 05/15/16........... 6,036 ------------ 908,870 ------------ US TREASURY STRIPS -- 0.4% 3,270,000 Zero coupon, 11/15/24..... 1,320,338 ------------ TOTAL US TREASURY SECURITIES (Cost $8,021,881)...... 7,833,693 ------------ US GOVERNMENT AGENCY SECURITIES -- 19.4% ASSET BACKED: MORTGAGE AND HOME EQUITY -- 0.7% 600,000 Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10 (5)........... 611,614 209,562 Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29 (5)........... 207,550 760,000 Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18 (5)........... 739,080 440,823 Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34 (5)........... 428,404 563,333 Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34 (5)........... 557,860 ------------ 2,544,508 ------------ FANNIE MAE -- 14.1% 1,952,685 PL# 256219, 5.50%, 04/01/36 (5)........... 1,872,629 118,689 PL# 535675, 7.00%, 01/01/16 (5)........... 122,241 948 PL# 549906, 7.50%, 09/01/30 (5)........... 991 2,294 PL# 552549, 7.50%, 09/01/30 (5)........... 2,397 585 PL# 558384, 7.50%, 01/01/31 (5)........... 612 2,465 PL# 568677, 7.50%, 01/01/31 (5)........... 2,575 887 PL# 572762, 7.50%, 03/01/31 (5)........... 926
See notes to financial statements. 110 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 15,843 PL# 582178, 7.50%, 06/01/31 (5)........... $ 16,540 13,132 PL# 594316, 6.50%, 07/01/31 (5)........... 13,389 2,504 PL# 602859, 6.50%, 10/01/31 (5)........... 2,553 14,081 PL# 614924, 7.00%, 12/01/16 (5)........... 14,510 1,039,812 PL# 735809, Variable Rate, 4.48%, 08/01/35 (1) (5).................... 1,032,303 78,618 PL# 745000, 6.00%, 10/01/35 (5)........... 77,924 52,364 PL# 779545, 6.00%, 06/01/34 (5)........... 51,988 44,505 PL# 785183, 6.00%, 07/01/34 (5)........... 44,185 202,518 PL# 787311, 6.00%, 06/01/34 (5)........... 201,065 2,346,028 PL# 790915, 6.00%, 09/01/34 (5)........... 2,329,187 1,764,573 PL# 792113, 6.00%, 09/01/34 (4) (5)....... 1,751,906 54,227 PL# 793193, 5.50%, 07/01/19 (4)........... 53,557 341,708 PL# 793693, 6.00%, 08/01/34 (4)........... 339,255 101,906 PL# 801516, Variable Rate, 4.72%, 08/01/34 (1) (4).................... 101,624 438,265 PL# 810896, Variable Rate, 4.84%, 01/01/35 (1) (4).................... 436,024 1,062,877 PL# 835136, 6.00%, 09/01/35 (4)........... 1,053,498 1,339,486 PL# 844183, 6.00%, 11/01/35 (4)........... 1,327,667 757,148 PL# 893681, 6.00%, 10/01/36 (4)........... 749,587 1,537,439 PL# 893923, 6.00%, 10/01/36 (4)........... 1,522,086 1,825,534 PL# 894005, 6.00%, 10/01/36 (4)........... 1,807,305 5,649,874 PL# 911205, 6.50%, 05/01/37 (4)........... 5,704,373 2,200,000 TBA, 5.50%, 07/01/22 (5).. 2,167,343 200,000 TBA, 6.00%, 07/01/22 (5).. 200,906 8,800,000 TBA, 5.00%, 07/01/37 (5).. 8,245,872 5,100,000 TBA, 5.50%, 07/01/37 (5).. 4,919,108 100,000 TBA, 6.00%, 07/01/37 (5).. 98,922 6,500,000 TBA, 5.00%, 08/01/37 (5).. 6,064,299 7,500,000 TBA, 5.50%, 08/01/37 (5).. 7,205,858 3,900,000 TBA, 6.00%, 08/01/37 (5).. 3,845,767 ------------ 53,380,972 ------------ FEDERAL AGRICULTURAL MORTGAGE CORP. -- 0.2% 220,000 4.25%, 07/29/08 (5)....... 217,658 600,000 144A, 5.13%, 04/19/17 (5)........... 580,188 ------------ 797,846 ------------ FEDERAL HOME LOAN BANK -- 0.8% 300,000 5.40%, 01/02/09........... 299,882 1,110,000 5.50%, 05/21/09........... 1,109,998 1,790,000 5.50%, 07/15/36 (5)....... 1,765,568 ------------ 3,175,448 ------------ FREDDIE MAC -- 0.8% 1,060,000 4.38%, 11/16/07........... 1,056,169 430,000 5.63%, 11/23/35 (5)....... 403,582 133,152 PL# 1A1145, Variable Rate, 6.67%, 02/01/37 (1) (5)....... 134,684 529,495 PL# 1N0344, Variable Rate, 6.61%, 01/01/37 (1) (5)....... 537,931 239,768 PL# 1N1447, Variable Rate, 5.85%, 02/01/37 (1) (5)....... 240,699 500,000 PL# 1N1463, Variable Rate, 6.04%, 05/01/37 (1) (5)....... 502,829 ------------ 2,875,894 ------------ FREDDIE MAC GOLD -- 0.5% 900,000 TBA, 5.00%, 07/01/22 (5).. 869,765 1,000,000 TBA, 5.00%, 07/01/37 (5).. 937,344 ------------ 1,807,109 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 2.0% 3,303 PL# 461836, 7.00%, 01/15/28............... 3,445 1,508 PL# 596647, 7.00%, 09/15/32............... 1,572 216,986 PL# 604404, 5.00%, 06/15/33............... 205,756 646,912 PL# 604845, 5.00%, 12/15/33............... 613,429 797,584 PL# 608280, 5.00%, 09/15/33............... 756,302 772,905 PL# 615892, 5.00%, 08/15/33............... 732,901 820,842 PL# 616832, 5.00%, 01/15/35............... 777,460 728,811 PL# 620521, 5.00%, 08/15/33............... 691,089 651,189 PL# 637934, 5.00%, 01/15/35............... 616,774 808,701 PL# 639093, 5.00%, 01/15/35............... 765,961 452,252 PL# 639865, 5.00%, 06/15/35............... 428,351 104,341 PL# 781881, 5.00%, 03/15/35............... 98,852 2,000,000 TBA, 6.00%, 07/01/37...... 1,989,687 ------------ 7,681,579 ------------
See notes to financial statements. 111 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) RESOLUTION FUNDING STRIPS -- 0.1% $ 250,000 Zero coupon, 07/15/18..... $ 139,208 250,000 Zero coupon, 10/15/18..... 137,162 ------------ 276,370 ------------ TENNESSEE VALLEY AUTHORITY -- 0.2% 630,000 5.98%, 04/01/36........... 665,063 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $74,142,857)..... 73,204,789 ------------ CORPORATE BONDS AND NOTES -- 21.8% ADVERTISING -- 0.0% 40,000 Lamar Media Corp., 7.25%, 01/01/13........ 40,100 60,000 Lamar Media Corp., Series B, 6.63%, 08/15/15............... 57,150 ------------ 97,250 ------------ AEROSPACE AND DEFENSE -- 0.0% 25,000 DRS Technologies, Inc., 6.63%, 02/01/16........ 24,250 ------------ AIRLINES -- 0.1% 300,000 Delta Air Lines, Inc., Series 2000-1, Class A- 2, 7.57%, 11/18/10 (5)........... 311,501 ------------ AUTOMOBILE: RENTAL -- 0.0% 35,000 Hertz Corp., 8.88%, 01/01/14............... 36,663 ------------ AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 0.5% 45,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08........ 44,378 300,000 Daimler Chrysler NA Holding, 5.88%, 03/15/11 (5).... 301,779 580,000 Ford Motor Company, 7.45%, 07/16/31 (8).... 466,175 970,000 General Motors Corp., 8.25%, 07/15/23 (8).... 888,763 50,000 Visteon Corp., 8.25%, 08/01/10........ 49,875 ------------ 1,750,970 ------------ BANKS -- 1.6% 450,000 Bank of America Corp., 5.38%, 08/15/11 (5).... 448,442 170,000 European Investment Bank, 4.63%, 03/21/12 (5).... 165,572 160,000 Glitnir Banki HF -- 144A (Iceland), 6.33%, 07/28/11........ 162,994 380,000 Glitnir Banki HF -- 144A (Iceland), Variable Rate, 6.69%, 06/15/16 (1)........... 391,728 200,000 ICICI Bank, Ltd. -- 144A (India), Variable Rate, 6.38%, 04/30/22 (1)........... 190,245 162,000 ICICI Bank, Ltd. -- 144A (India), Variable Rate, 6.38%, 04/30/22 (1) (8)....... 154,214 130,000 Kaupthing Bank -- 144A (Iceland), 7.13%, 05/19/16........ 137,554 600,000 Kaupthing Bank -- 144A (Iceland), Floating Rate, 6.05%, 04/12/11 (2).... 605,158 510,000 Landisbanki Islands HF -- 144A (Iceland), 6.10%, 08/25/11........ 516,916 20,000 Rabobank Capital Funding Trust II -- 144A, Variable Rate, 5.26%, perpetual (1).......... 19,206 40,000 Rabobank Capital Funding Trust III -- 144A, Variable Rate, 5.25%, perpetual (1).......... 37,520 235,000 Resona Preferred Global Securities -- 144A (Cayman Islands), Variable Rate, 7.19%, perpetual (1).......... 240,651 270,000 RSHB Capital Bank -- 144A (Luxembourg), 6.30%, 05/15/17........ 264,951 260,000 Santander Issuances -- 144A (Spain), Variable Rate, 5.81%, 06/20/16 (1)........... 261,358 300,000 Shinsei Financial, Ltd. -- 144A (Cayman Islands), Variable Rate, 6.42%, perpetual (1).......... 292,178 215,000 SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09............... 211,548 390,000 Turanalem Finance BV -- 144A (the Netherlands), 8.25%, 01/22/37........ 376,350 270,000 Wachovia Bank NA, Series BKNT, 5.80%, 12/01/08........ 272,093 220,000 Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual (1)... 219,221 540,000 Wachovia Corp., 5.25%, 08/01/14........ 525,311 175,000 Wells Fargo & Company, 5.30%, 08/26/11........ 173,891 200,000 Wells Fargo Capital X, 5.95%, 12/15/36........ 187,173 ------------ 5,854,274 ------------
See notes to financial statements. 112 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA -- 0.6% $ 60,000 CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15....... $ 62,925 20,000 Clear Channel Communications, Inc., 4.63%, 01/15/08........ 19,833 100,000 Clear Channel Communications, Inc., 4.25%, 05/15/09 (5).... 96,691 170,000 Clear Channel Communications, Inc., 5.50%, 09/15/14 (5).... 145,483 60,000 Clear Channel Communications, Inc., 4.90%, 05/15/15 (5).... 48,505 150,000 Comcast Cable Communications, 8.88%, 05/01/17 (5).... 177,706 240,000 Comcast Corp., 6.50%, 01/15/15 (5).... 246,448 20,000 Comcast Corp., 5.88%, 02/15/18 (5).... 19,408 180,000 Cox Communications, Inc., 3.88%, 10/01/08 (5).... 176,341 40,000 CSC Holdings, Inc., 7.88%, 02/15/18........ 38,800 15,000 CSC Holdings, Inc., 7.63%, 07/15/18........ 14,325 10,000 CSC Holdings, Inc., Series B, 7.63%, 04/01/11............... 9,975 70,000 DIRECTV Holdings LLC/DIRECTV Financing Company, Inc., 8.38%, 03/15/13........ 73,588 30,000 Echostar DBS Corp., 7.00%, 10/01/13........ 29,700 90,000 Echostar DBS Corp., 7.13%, 02/01/16........ 88,425 280,000 Liberty Media Corp., 7.88%, 07/15/09........ 291,843 10,000 Liberty Media Corp., 5.70%, 05/15/13........ 9,449 30,000 Quebecor Media, Inc., (Canada), 7.75%, 03/15/16........ 30,600 35,000 Rogers Cable, Inc. (Canada), 6.75%, 03/15/15........ 36,138 4,000 Sinclair Broadcast Group, 8.00%, 03/15/12........ 4,120 80,000 Time Warner Entertainment, 8.38%, 07/15/33........ 93,111 350,000 Time Warner, Inc., 6.88%, 05/01/12........ 365,517 75,000 Time Warner, Inc., 7.70%, 05/01/32........ 81,335 30,000 Univision Communications, Inc. -- 144A, 9.75%, 03/15/15 (12)... 29,775 ------------ 2,190,041 ------------ CHEMICALS -- 0.1% 120,000 FMC Finance III SA -- 144A (Luxembourg), 6.88%, 07/15/17........ 118,320 30,000 Georgia Gulf Corp., 9.50%, 10/15/14 (8).... 30,000 30,000 Lyondell Chemical Company, 8.00%, 09/15/14........ 30,975 15,000 Lyondell Chemical Company, 8.25%, 09/15/16........ 15,750 27,000 Westlake Chemical Corp., 6.63%, 01/15/16........ 25,718 ------------ 220,763 ------------ COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 0.0% 20,000 Electronic Data Systems, 7.13%, 10/15/09 (5).... 20,594 40,000 Sungard Data Systems, Inc., 9.13%, 08/15/13........ 41,150 ------------ 61,744 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.0% 65,000 K Hovnanian Enterprises, Inc., 6.25%, 01/15/15.. 55,575 ------------ CONSUMER GOODS AND SERVICES -- 0.1% 390,000 Altria Group, Inc., 7.00%, 11/04/13 (5).... 414,182 100,000 Reynolds American, Inc., 6.75%, 06/15/17........ 100,849 ------------ 515,031 ------------ CONTAINERS AND PACKAGING -- 0.0% 50,000 Graham Packaging Company, LP, 8.50%, 10/15/12.... 50,563 25,000 Graham Packaging Company, LP, 9.88%, 10/15/14 (8).... 25,406 ------------ 75,969 ------------ ELECTRONICS -- 0.0% 15,000 NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14........ 14,850 ------------
See notes to financial statements. 113 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- CORPORATE BONDS AND NOTES (CONTINUED) ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.1% $ 160,000 Waste Management, Inc., 6.50%, 11/15/08........ $ 161,859 270,000 Waste Management, Inc., 6.38%, 11/15/12........ 276,451 ------------ 438,310 ------------ EQUIPMENT RENTAL AND LEASING -- 0.1% 250,000 International Lease Finance Corp. E-Capital Trust II -- 144A, Variable Rate, 6.25%, 12/21/65 (1)........... 244,229 ------------ FINANCIAL SERVICES -- 3.8% 100,000 AGFC Capital Trust I -- 144A, Variable Rate, 6.00%, 01/15/67 (1)........... 95,803 200,000 Aiful Corp. -- 144A (Japan), 5.00%, 08/10/10........ 195,082 180,000 American Express Company, Variable Rate, 6.80%, 09/01/66 (1) (5)....... 185,917 560,000 Citigroup, Inc., 5.10%, 09/29/11 (5).... 551,895 100,000 Countrywide Financial Corp., Series MTN, Floating Rate, 5.49%, 01/05/09 (2)........... 99,752 760,000 Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10 (5)........... 735,898 280,000 Countrywide Financial Corp., Series MTNB, Floating Rate, 5.52%, 02/27/08 (2)........... 280,091 120,000 Countrywide Financial Corp., Series MTNB, Floating Rate, 5.47%, 06/18/08 (2)........... 120,029 90,000 Credit Suisse (Guernsey), Variable Rate, 5.86%, 11/15/49 (1) (5)....... 86,871 10,000 E*TRADE Financial Corp., 7.38%, 09/15/13........ 10,200 2,645,000 Ford Motor Credit Company, 5.80%, 01/12/09........ 2,589,985 220,000 Ford Motor Credit Company, 7.38%, 10/28/09........ 218,499 129,000 Ford Motor Credit Company LLC, Floating Rate, 10.61%, 06/15/11 (2)........... 139,464 210,000 General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08............... 208,831 300,000 General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09............... 292,886 800,000 General Motors Acceptance Corp., 6.13%, 08/28/07........ 800,574 1,130,000 General Motors Acceptance Corp., 5.85%, 01/14/09........ 1,114,056 110,000 General Motors Acceptance Corp., Series GM, 6.31%, 11/30/07............... 109,746 120,000 General Motors Acceptance Corp., Series MTN, 4.38%, 12/10/07............... 119,147 80,000 GMAC LLC, 5.13%, 05/09/08........ 79,017 1,020,000 GMAC LLC, 6.63%, 05/15/12........ 985,998 270,000 GMAC LLC, 8.00%, 11/01/31........ 276,843 160,000 GMAC LLC, Series MTN, Floating Rate, 6.51%, 09/23/08 (2)........... 160,048 560,000 HSBC Finance Corp., 4.63%, 01/15/08........ 557,903 330,000 JPMorgan Chase & Company, 5.13%, 09/15/14........ 317,354 450,000 JPMorgan Chase & Company, 5.15%, 10/01/15........ 428,607 180,000 Lehman Brothers Holdings, Inc., 4.50%, 07/26/10........ 175,106 290,000 Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12............... 285,336 170,000 Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual (1).......... 167,321 70,000 Morgan Stanley, 3.63%, 04/01/08........ 69,055 260,000 Morgan Stanley, Series MTN, 5.63%, 01/09/12............... 259,694 100,000 Morgan Stanley, Series MTN, Floating Rate, 5.81%, 10/18/16 (2)........... 100,068 640,000 Residential Capital LLC, 6.00%, 02/22/11........ 619,783 40,000 Residential Capital LLC, 6.50%, 06/01/12........ 39,072 520,000 Sigma Finance, Inc. -- 144A, Series MTN1, Variable Rate, 8.50%, 08/11/16 (1)........... 519,038 60,000 SLM Corp., Series MTN, 5.05%, 11/14/14............... 49,968 220,000 SLM Corp., Series MTNA, 5.00%, 10/01/13............... 187,949 500,000 SLM Corp., Series MTNA, 5.38%, 05/15/14............... 429,056 10,000 SLM Corp., Series MTNA, 5.00%, 04/15/15............... 8,230
See notes to financial statements. 114 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 40,000 SLM Corp., Series MTNA, 5.63%, 08/01/33............... $ 31,283 220,000 The Bear Stearns Companies, Inc., 5.55%, 01/22/17 (5) (8).................... 208,277 170,000 The Goldman Sachs Group, Inc., 4.50%, 06/15/10........ 165,861 120,000 The Goldman Sachs Group, Inc., 5.00%, 01/15/11........ 117,876 ------------ 14,193,469 ------------ FUNERAL SERVICES -- 0.0% 10,000 Service Corp. International, 6.75%, 04/01/16........ 9,525 40,000 Service Corp. International, 7.63%, 10/01/18........ 40,700 35,000 Service Corp. International -- 144A, 7.50%, 04/01/27........ 33,163 ------------ 83,388 ------------ INSURANCE -- 0.3% 40,000 ASIF Global Financing XIX -- 144A, 4.90%, 01/17/13 (5).... 38,817 300,000 MERNA Reinsurance, Ltd. (Bermuda), Floating Rate, 7.11%, 07/01/12 (2)........... 299,991 430,000 MetLife, Inc., 6.40%, 12/15/36........ 399,590 350,000 The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1)........... 336,932 ------------ 1,075,330 ------------ LEISURE AND RECREATION -- 0.1% 20,000 AMC Entertainment, Inc., 11.00%, 02/01/16 (8)... 22,200 25,000 Boyd Gaming Corp., 6.75%, 04/15/14........ 24,625 80,000 Boyd Gaming Corp., 7.13%, 02/01/16........ 78,000 30,000 Inn of The Mountain Gods, 12.00%, 11/15/10....... 32,325 25,000 MGM MIRAGE, 6.00%, 10/01/09........ 24,906 50,000 MGM MIRAGE, 8.50%, 09/15/10........ 52,563 5,000 MGM MIRAGE, 6.63%, 07/15/15........ 4,569 85,000 MGM MIRAGE, 7.63%, 01/15/17........ 81,281 15,000 Mohegan Tribal Gaming Authority, 6.13%, 02/15/13........ 14,625 90,000 Station Casinos, Inc., 7.75%, 08/15/16........ 89,550 10,000 Station Casinos, Inc. -- 144A, 6.88%, 03/01/16........ 8,875 ------------ 433,519 ------------ MANUFACTURING -- 0.2% 270,000 Tyco International Group SA (Luxembourg), 6.38%, 10/15/11........ 278,402 530,000 Tyco International Group SA (Luxembourg), 6.00%, 11/15/13........ 544,938 ------------ 823,340 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 0.2% 90,000 Community Health Systems, Inc. -- 144A, 8.88%, 07/15/15........ 91,688 125,000 DaVita, Inc. -- 144A, 6.63%, 03/15/13........ 122,656 10,000 Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08........ 10,050 141,000 HCA, Inc., 6.25%, 02/15/13........ 127,605 160,000 HCA, Inc., 6.75%, 07/15/13........ 146,000 11,000 HCA, Inc., 5.75%, 03/15/14........ 9,336 6,000 HCA, Inc., 6.50%, 02/15/16........ 5,108 20,000 HCA, Inc. -- 144A, 9.13%, 11/15/14........ 21,075 160,000 HCA, Inc. -- 144A, 9.25%, 11/15/16........ 170,800 26,000 HCA, Inc. -- 144A, 9.63%, 11/15/16........ 28,015 60,000 Tenet Healthcare Corp., 6.38%, 12/01/11........ 55,125 30,000 Tenet Healthcare Corp., 6.50%, 06/01/12........ 27,000 ------------ 814,458 ------------ METALS AND MINING -- 0.2% 190,000 Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17........ 203,300 65,000 Steel Dynamics, Inc. -- 144A, 6.75%, 04/01/15........ 64,025 356,000 Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36........ 358,736 ------------ 626,061 ------------
See notes to financial statements. 115 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- CORPORATE BONDS AND NOTES (CONTINUED) OFFICE EQUIPMENT, SUPPLIES, AND SERVICES -- 0.0% $ 40,000 Xerox Corp., 6.75%, 02/01/17........ $ 41,103 ------------ OIL, COAL AND GAS -- 2.0% 30,000 AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.13%, 05/20/16........ 29,625 235,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31 (5).... 253,219 35,000 Anadarko Petroleum Corp., 6.45%, 09/15/36 (5).... 33,772 45,000 Chesapeake Energy Corp., 7.75%, 01/15/15........ 46,013 5,000 Chesapeake Energy Corp., 6.38%, 06/15/15........ 4,794 20,000 Chesapeake Energy Corp., 6.25%, 01/15/18........ 18,775 340,000 ChevronTexaco Capital Company (Canada), 3.50%, 09/17/07........ 338,857 105,000 Complete Production Service -- 144A, 8.00%, 12/15/16........ 106,575 150,000 Conoco, Inc., 6.95%, 04/15/29 (5).... 164,180 125,000 Dynegy Holdings, Inc. -- 144A, 7.75%, 06/01/19........ 116,875 320,000 El Paso Corp., 7.00%, 06/15/17........ 318,094 86,000 El Paso Corp., Series MTN, 7.80%, 08/01/31............... 87,519 25,000 El Paso Corp., Series MTN, 7.75%, 01/15/32............... 25,308 330,000 El Paso Natural Gas, 8.38%, 06/15/32 (5).... 388,607 500,000 El Paso Performance- Link -- 144A, 7.75%, 07/15/11........ 517,500 190,000 Gaz Capital (Gazprom) -- 144A (Luxembourg), 6.51%, 03/07/22........ 188,005 720,000 Gaz Capital (Gazprom) -- 144A (Luxembourg), 6.21%, 11/22/16 (8).... 703,080 30,000 Hess Corp., 7.88%, 10/01/29 (5).... 33,909 220,000 Hess Corp., 7.30%, 08/15/31 (5).... 236,623 260,000 Intergas Finance BV -- 144A (the Netherlands), 6.38%, 05/14/17........ 249,600 180,000 Kerr-McGee Corp., 6.95%, 07/01/24........ 187,219 830,000 Kerr-McGee Corp., 7.88%, 09/15/31........ 961,910 50,000 Kinder Morgan Energy Partners, LP, 6.30%, 02/01/09........ 50,555 240,000 Kinder Morgan Energy Partners, LP, 6.75%, 03/15/11........ 248,571 40,000 Kinder Morgan Energy Partners, LP, 6.00%, 02/01/17........ 39,215 70,000 OPTI Canada, Inc. -- 144A (Canada), 7.88%, 12/15/14........ 70,290 55,000 OPTI Canada, Inc. -- 144A (Canada), 8.25%, 12/15/14........ 56,100 40,000 Peabody Energy Corp., Series B, 6.88%, 03/15/13............... 40,000 310,000 Pemex Project Funding Master Trust, 7.38%, 12/15/14........ 338,472 290,000 Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16........ 285,650 5,000 Pogo Producing Company, 6.63%, 03/15/15........ 4,975 50,000 Pogo Producing Company, 6.88%, 10/01/17 (8).... 49,875 30,000 Pride International, Inc., 7.38%, 07/15/14........ 30,225 25,000 Semgroup LP, 8.75%, 11/15/15........ 25,250 15,000 Southern Natural Gas, 8.00%, 03/01/32........ 17,087 95,000 Suburban Propane Partners, 6.88%, 12/15/13........ 92,150 40,000 Tennessee Gas Pipeline, 7.63%, 04/01/37........ 44,092 310,000 TNK-BP Finance SA -- 144A (Luxembourg), 7.50%, 07/18/16........ 320,385 80,000 Western Oil Sands, Inc. (Canada), 8.38%, 05/01/12........ 87,900 20,000 Williams Companies, Inc., 7.75%, 06/15/31........ 21,275 390,000 Williams Companies, Inc., Series A, 7.50%, 01/15/31............... 405,600 190,000 XTO Energy, Inc., 7.50%, 04/15/12........ 204,474 ------------ 7,442,200 ------------ PAPER AND FOREST PRODUCTS -- 0.0% 110,000 Weyerhaeuser Company, 6.75%, 03/15/12........ 113,926 ------------
See notes to financial statements. 116 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- CORPORATE BONDS AND NOTES (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.1% $ 40,000 AmerisourceBergen Corp., 5.88%, 09/15/15 (5).... $ 38,663 230,000 Wyeth, 5.95%, 04/01/37........ 220,553 ------------ 259,216 ------------ PRINTING AND PUBLISHING -- 0.0% 105,000 Idearc, Inc., 8.00%, 11/15/16........ 106,575 40,000 TL Acquisitions, Inc. -- 144A, 10.50%, 01/15/15....... 39,758 ------------ 146,333 ------------ PRIVATE ASSET BACKED: BANKS -- 0.8% 699,952 Washington Mutual Bank, Series 2005-AR13, Class A1B3, Floating Rate, 5.68%, 10/25/45 (3).... 702,127 402,457 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A, Floating Rate, 5.64%, 01/25/45 (3).... 403,374 653,288 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 5.61%, 10/25/45 (3).... 654,825 771,613 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 5.60%, 11/25/45 (3).... 774,840 568,867 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.53%, 09/25/36... 566,840 ------------ 3,102,006 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 0.4% 633,305 Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 5.62%, 11/25/35 (3).... 635,015 450,941 Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 5.62%, 12/25/35 (3).... 451,817 300,000 Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42... 284,746 ------------ 1,371,578 ------------ Private Asset Backed: Mortgage and Home Equit- y -- 8.9% 748,835 Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 5.56%, 09/25/35 (3).... 749,657 302,618 Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 5.74%, 02/25/35 (3).... 303,877 230,782 Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 5.70%, 04/25/35 (3).... 231,308 280,000 Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.12%, 09/10/15 (5)........... 267,430 3,673,115 Bear Stearns Asset Backed Securities, Inc., Series 07-SD1, Class 1A3A, 6.50%, 10/25/36 (5)........... 3,624,445 1,576,187 Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 5.53%, 12/25/36 (3).... 1,581,071 126,444 Chevy Chase Mortgage Funding Corp. -- 144A, Series 2003-3A, Class A1, Floating Rate, 5.67%, 07/25/34 (3).... 126,463 364,142 Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.95%, 08/25/35 (3) (5).................... 361,523 882,647 Countrywide Alternative Loan Trust, Series 2005-56, Class 4A1, Floating Rate, 5.63%, 11/25/35 (3).... 886,226 957,849 Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 5.65%, 11/20/35 (3).... 961,827 279,134 Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 5.50%, 02/25/36 (3).... 279,357 352,335 Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35... 348,385 512,936 Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 5.55%, 12/15/35 (3).... 513,668
See notes to financial statements. 117 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 924,745 Countrywide Home Loans -- 144A, Series 2005-R3, Class AF, Floating Rate, 5.72%, 09/25/35 (3).... $ 931,199 126,678 First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 5.72%, 12/25/32 (3).... 126,861 874,982 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33.... 893,695 999,550 GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.66%, 03/18/35 (3).... 984,831 1,500,000 GMAC Mortgage Corp. Loan Trust, Series 2006-HE1, Class A, Floating Rate, 5.53%, 11/25/36 (3).... 1,500,643 1,561,537 GSAMP Trust -- 144A, Series 2006-SD2, Class A1, Floating Rate, 5.43%, 05/25/46 (3).... 1,555,541 417,777 Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 5.72%, 10/25/34 (3).... 418,288 223,679 IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35.... 217,962 1,080,000 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37.... 1,017,178 810,501 JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.30%, 07/25/34 (3).... 797,911 870,000 LB-UBS Commercial Mortgage Trust, Series 2005-C1, Class A3, 4.55%, 02/15/30.... 833,207 932,292 Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 5.39%, 08/25/46 (3).... 932,311 1,098,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35... 1,067,861 1,300,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35.... 1,260,824 500,000 Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.84%, 05/12/39 (3).... 496,749 297,012 MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 5.64%, 10/25/28 (3)........... 297,051 238,574 Opteum Mortgage Acceptance Corp., Series 2005-4, Class 1A1A, Floating Rate, 5.49%, 11/25/35 (3).... 238,687 904,287 Prime Mortgage Trust -- 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35... 884,034 435,178 Prime Mortgage Trust -- 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35... 434,448 1,872,471 Prime Mortgage Trust -- 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35... 1,837,829 1,757,704 Residential Accredit Loans, Inc., Series 2005-Q03, Class A1, Floating Rate, 5.72%, 10/25/45 (3).... 1,763,450 949,761 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35... 938,122 415,809 Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 5.67%, 01/19/34 (3).... 416,661 2,161,375 Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 5.49%, 01/25/36 (3).... 2,160,853 930,337 Zuni Mortgage Loan Trust, Series 2006-0A1, Class A1, Floating Rate, 5.45%, 08/25/36 (3).... 930,446 ------------ 33,171,879 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.0% 50,000 Host Marriott LP, Series Q, 6.75%, 06/01/16............... 49,250 50,000 Ventas Realty LP/Ventas Capital Corp., 6.75%, 06/01/10........ 50,750 40,000 Ventas Realty LP/Ventas Capital Corp., 6.75%, 04/01/17........ 39,700 ------------ 139,700 ------------
See notes to financial statements. 118 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- CORPORATE BONDS AND NOTES (CONTINUED) RETAIL -- 0.0% $ 20,000 JC Penney Company, Inc., 7.40%, 04/01/37........ $ 21,109 ------------ RETAIL: SUPERMARKETS -- 0.0% 93,000 Delhaize America, Inc., 9.00%, 04/15/31 (5).... 112,823 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.0% 80,000 Cie Generale de Geophysique (France), 7.50%, 05/15/15........ 80,400 40,000 Cie Generale de Geophysique (France), 7.75%, 05/15/17........ 40,700 ------------ 121,100 ------------ SEMICONDUCTORS -- 0.0% 25,000 Freescale Semiconductor, Inc. -- 144A, 8.88%, 12/15/14........ 24,000 40,000 MagnaChip Semiconductor, Ltd., Floating Rate, 8.61%, 12/15/11 (2) (8).................... 36,000 ------------ 60,000 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.9% 190,000 AT&T, Inc., 5.10%, 09/15/14........ 181,498 55,000 Cincinnati Bell, Inc., 7.00%, 02/15/15........ 54,175 15,000 Citizens Communications Company, 9.25%, 05/15/11........ 16,275 30,000 Citizens Communications Company, 7.13%, 03/15/19........ 28,500 30,000 Citizens Communications Company, 7.88%, 01/15/27........ 29,325 180,000 Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16 (5).... 175,889 45,000 Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16........ 48,038 25,000 Intelsat Corp., 9.00%, 06/15/16........ 26,313 220,000 Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30........ 247,359 50,000 Level 3 Financing, Inc., 9.25%, 11/01/14........ 50,750 40,000 Level 3 Financing, Inc. -- 144A, 8.75%, 02/15/17........ 39,750 10,000 Nextel Communications, Inc., Series D, 7.38%, 08/01/15............... 10,004 580,000 Nextel Communications, Inc., Series E, 6.88%, 10/31/13............... 576,196 60,000 Nextel Communications, Inc., Series F, 5.95%, 03/15/14............... 57,224 520,000 Qwest Communications International, Inc., Floating Rate, 8.86%, 02/15/09 (2)........... 527,799 105,000 Qwest Corp., 7.88%, 09/01/11........ 109,988 40,000 Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14........ 40,481 270,000 Sprint Capital Corp., 8.38%, 03/15/12........ 294,423 120,000 Sprint Capital Corp., 8.75%, 03/15/32........ 135,140 10,000 Sprint Nextel Corp., 6.00%, 12/01/16........ 9,503 200,000 Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15........ 186,277 50,000 Verizon Global Funding Corp., 7.38%, 09/01/12........ 53,910 300,000 Verizon New York, Inc., Series A, 6.88%, 04/01/12............... 313,096 85,000 Windstream Corp., 8.63%, 08/01/16........ 90,313 ------------ 3,302,226 ------------ TRANSPORTATION -- 0.0% 20,000 Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11........ 21,300 110,000 Union Pacific Corp., 5.38%, 05/01/14........ 106,372 ------------ 127,672 ------------ UTILITIES -- 0.7% 604,000 AES Corp., 7.75%, 03/01/14........ 608,529 70,000 Dominion Resources, Inc., 4.75%, 12/15/10 (5).... 68,418 220,000 Dominion Resources, Inc., 5.70%, 09/17/12 (5).... 220,420 70,000 Edison Mission Energy -- 144A, 7.00%, 05/15/17........ 66,325 90,000 Edison Mission Energy -- 144A, 7.20%, 05/15/19........ 85,050 40,000 Edison Mission Energy -- 144A, 7.63%, 05/15/27........ 38,000 40,000 Exelon Corp., 5.63%, 06/15/35 (5).... 35,854 160,000 FirstEnergy Corp., Series B, 6.45%, 11/15/11............... 164,221
See notes to financial statements. 119 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL --------- CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES (CONTINUED) $ 385,000 FirstEnergy Corp., Series C, 7.38%, 11/15/31............... $ 418,006 37,566 Midwest Generation LLC, Series B, 8.56%, 01/02/16............... 40,078 80,000 NRG Energy, Inc., 7.25%, 02/01/14........ 80,400 10,000 NRG Energy, Inc., 7.38%, 02/01/16........ 10,050 10,000 NRG Energy, Inc., 7.38%, 01/15/17........ 10,063 110,000 Pacific Gas & Electric Company, 6.05%, 03/01/34........ 106,902 110,000 Pacific Gas & Electric Company, 5.80%, 03/01/37........ 102,953 210,000 TXU Corp., Series P, 5.55%, 11/15/14........ 179,325 35,000 TXU Corp., Series Q, 6.50%, 11/15/24........ 29,115 320,000 TXU Corp., Series R, 6.55%, 11/15/34........ 260,422 ------------ 2,524,131 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $82,688,169)..... 81,997,987 ------------ CONVERTIBLE BONDS -- 0.0% AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS 40,000 Ford Motor Company, 4.25%, 12/15/36 (Cost $40,000)............... 50,300 ------------ MUNICIPAL BONDS -- 0.4% VIRGINIA 1,416,187 Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $1,393,076)...... 1,395,681 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 0.5% 450,000 AID-Israel (Israel), 5.50%, 04/26/24........ 447,035 97,000 Federal Republic of Brazil (Brazil), 10.13%, 05/15/27....... 137,013 292,000 Federal Republic of Brazil (Brazil), 11.00%, 08/17/40 (8)... 383,323 230,000 Republic of Colombia, Series MTN, (Colombia), 7.38%, 09/18/37 (5).... 255,875 206,000 Republic of Panama (Panama), 7.13%, 01/29/26........ 220,420 14,925 Russian Federation -- 144A (Russia), 7.50%, 03/31/30........ 16,464 16,000 United Mexican States (Mexico), 5.63%, 01/15/17........ 15,704 357,000 United Mexican States, Series MTNA, (Mexico), 6.75%, 09/27/34........ 381,633 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $1,743,295)...... 1,857,467 ------------ CONTRACTS --------- PURCHASED CALL OPTIONS -- 0.0% 45 Euribor, receives 3 month floating LIBOR, Expiring September 2007 @ 95.88................ 381 15 Euro-Bund, Expiring August 2007 @ 113............. 2,639 77 IMM Euro September Future, Expiring September 2007 @ 94.63................ 10,587 ------------ TOTAL PURCHASED CALL OPTIONS (Cost $43,907)......... 13,607 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 3.2% $11,890,436 Securities Lending Collateral Investment (Note 4) (Cost $11,890,436)..... 11,890,436 ------------ TOTAL SECURITIES (Cost $376,789,920).... 409,485,874 ------------ REPURCHASE AGREEMENTS -- 3.8% 14,424,271 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $14,429,992 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.27%, due 07/01/33, with a value of $9,158,049 and various Small Business Administrations, 8.09% -- 8.13%, due 02/25/26 -- 08/25/29, with a total value of $5,987,436) (Cost $14,424,271)........... 14,424,271 ------------ Total Investments before Call and Put Options Written -- 112.5% (Cost $391,214,191).... 423,910,145 ------------ CONTRACTS --------- CALL OPTIONS WRITTEN -- (0.0)% (91) US Treasury Note (10 year) September Future, Expiring August 2007 @ 106 (Premium $29,061)...... (55,453) ------------
See notes to financial statements. 120 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
CONTRACTS VALUE --------- ------------ PUT OPTIONS WRITTEN -- (0.0)% (91) US Treasury Note (10 year) September Future, Expiring August 2007 @ 103 (Premium $31,592)...... $ (9,953) ------------ Total Investments net of Call and Put Options Written -- 112.5% (Cost $391,153,538).... 423,844,739 Liabilities less other assets -- (12.5)%...... (47,058,738) ------------ NET ASSETS -- 100.0%...... $376,786,001 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $391,153,538. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $37,428,275 Gross unrealized depreciation... (4,737,074) ----------- Net unrealized appreciation..... $32,691,201 ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 121 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 98.8% ADVERTISING -- 0.5% 1,553,900 The Interpublic Group of Companies, Inc.*(8)...... $ 17,714,460 ------------ AEROSPACE AND DEFENSE--0.6% 300,000 Northrop Grumman Corp. ..... 23,361,000 ------------ APPAREL: MANUFACTURING AND RETAIL -- 1.7% 320,000 Limited Brands, Inc. ....... 8,784,000 837,762 Macy's, Inc. ............... 33,326,172 569,800 The Gap, Inc. .............. 10,883,180 110,000 VF Corp. ................... 10,073,800 ------------ 63,067,152 ------------ AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 1.3% 154,727 Autoliv, Inc. .............. 8,799,324 104,000 BorgWarner, Inc.(8)......... 8,948,160 825,700 General Motors Corp.(8)..... 31,211,460 ------------ 48,958,944 ------------ BANKS -- 3.3% 1,426,082 Bank of America Corp. ...... 69,721,149 587,200 National City Corp.(8)...... 19,565,504 215,800 SunTrust Banks, Inc. ....... 18,502,692 115,000 Wachovia Corp. ............. 5,893,750 265,600 Wells Fargo & Company....... 9,341,152 ------------ 123,024,247 ------------ BROADCAST SERVICES/MEDIA -- 6.0% 813,500 CBS Corp. -- Class B........ 27,105,820 12,671 Citadel Broadcasting Corp.(8)................. 81,728 1,052,300 Clear Channel Communications, Inc. .... 39,797,986 1,403,700 Comcast Corp. -- Class A*... 39,472,044 717,500 Comcast Corp. -- Special Class A*(8).............. 20,061,300 165,000 The Walt Disney Company..... 5,633,100 4,258,300 Time Warner, Inc. .......... 89,594,632 ------------ 221,746,610 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.1% 125,000 Accenture, Ltd. -- Class A (Bermuda)................ 5,361,250 ------------ CHEMICALS -- 0.5% 200,000 EI du Pont de Nemours and Company.................. 10,168,000 200,000 The Dow Chemical Company.... 8,844,000 ------------ 19,012,000 ------------ COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 3.9% 490,000 Electronic Data Systems Corp. ................... 13,587,700 768,100 Hewlett-Packard Company..... 34,272,622 718,200 International Business Machines Corp. .......... 75,590,550 680,000 Microsoft Corp. ............ 20,039,600 ------------ 143,490,472 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.1% 110,000 KB HOME..................... 4,330,700 ------------ CONSUMER GOODS AND SERVICES -- 4.6% 525,000 Altria Group, Inc. ......... 36,823,500 1,174,900 Avon Products, Inc. ........ 43,177,575 587,800 Kimberly-Clark Corp. ....... 39,317,942 428,000 Procter & Gamble Company.... 26,189,320 115,000 The Black & Decker Corp.(8)................. 10,155,650 215,000 The Clorox Company.......... 13,351,500 ------------ 169,015,487 ------------ CONTAINERS AND PACKAGING -- 0.4% 440,000 Owens-Illinois, Inc.*....... 15,400,000 ------------ DIVERSIFIED OPERATIONS AND SERVICES -- 2.4% 2,330,000 General Electric Company.... 89,192,400 ------------ ELECTRONICS -- 2.7% 125,116 Arrow Electronics, Inc.*.... 4,808,208 1,121,400 Flextronics International, Ltd. (Singapore)*........ 12,111,120 1,939,177 Sanmina-SCI Corp.*.......... 6,069,624 9,744,905 Solectron Corp.*............ 35,861,250 758,900 Sony Corp. (ADR) (Japan).... 38,984,693 ------------ 97,834,895 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.5% 504,200 Waste Management, Inc. ..... 19,689,010 ------------ FINANCIAL SERVICES -- 15.4% 465,900 American Express Company.... 28,503,762 281,000 Capital One Financial Corp. ................... 22,041,640 2,026,600 Citigroup, Inc. ............ 103,944,314 616,385 Countrywide Financial Corp.(8)................. 22,405,595 1,459,500 Fannie Mae.................. 95,349,135 399,900 Freddie Mac................. 24,273,930 2,684,640 JPMorgan Chase & Company.... 130,070,809 261,000 Legg Mason, Inc. ........... 25,677,180 1,130,500 Merrill Lynch & Company, Inc. .................... 94,487,190 84,000 The Goldman Sachs Group, Inc. .................... 18,207,000 ------------ 564,960,555 ------------ FOOD AND BEVERAGE -- 3.3% 265,000 Kellogg Company............. 13,724,350
See notes to financial statements. 122 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE (CONTINUED) 1,994,212 Kraft Foods, Inc. -- Class A........................ $ 70,295,973 35,000 Molson Coors Brewing Company -- Class B....... 3,236,100 255,000 PepsiCo, Inc. .............. 16,536,750 1,093,305 Sara Lee Corp. ............. 19,023,507 ------------ 122,816,680 ------------ INSURANCE -- 8.5% 661,300 Aetna, Inc. ................ 32,668,220 1,194,800 American International Group, Inc. ............. 83,671,844 72,000 Fidelity National Financial, Inc. -- Class A.......... 1,706,400 550,000 Genworth Financial, Inc. -- Class A.......... 18,920,000 109,400 MBIA, Inc.(8)............... 6,806,868 450,200 MetLife, Inc. .............. 29,028,896 61,566 PartnerRe, Ltd. (Bermuda)(8)............. 4,771,365 170,000 RenaissanceRe Holdings, Ltd. (Bermuda)................ 10,538,300 393,800 The Chubb Corp. ............ 21,320,332 145,000 The Hartford Financial Services Group, Inc. .... 14,283,950 1,274,438 The Travelers Companies, Inc. .................... 68,182,433 238,000 XL Capital, Ltd. -- Class A (Cayman Islands)(8)...... 20,061,020 ------------ 311,959,628 ------------ MANUFACTURING -- 4.0% 140,000 Eaton Corp. ................ 13,020,000 795,800 Honeywell International, Inc. .................... 44,787,624 300,000 Ingersoll-Rand Company, Ltd. -- Class A (Bermuda)................ 16,446,000 592,950 Smurfit-Stone Container Corp.*................... 7,892,165 147,700 SPX Corp. .................. 12,969,537 1,541,600 Tyco International, Ltd. (Bermuda)*............... 52,090,664 ------------ 147,205,990 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 1.4% 1,476,600 Boston Scientific Corp.*.... 22,651,044 4,706,420 Tenet Healthcare Corp.*(8).. 30,638,794 ------------ 53,289,838 ------------ METALS AND MINING -- 0.7% 390,000 Arcelor Mittal -- Class A (the Netherlands)(8)..... 24,336,000 ------------ OIL, COAL AND GAS -- 9.9% 275,000 BP PLC (ADR) (United Kingdom)......... 19,838,500 1,276,300 Chevron Corp. .............. 107,515,512 1,242,602 ConocoPhillips.............. 97,544,257 1,354,800 Exxon Mobil Corp. .......... 113,640,624 78,000 Occidental Petroleum Corp. ................... 4,514,640 234,600 Total SA (ADR) (France)..... 18,997,908 ------------ 362,051,441 ------------ PAPER AND FOREST PRODUCTS -- 1.6% 926,100 Louisiana-Pacific Corp.(8).. 17,521,812 1,191,500 MeadWestvaco Corp. ......... 42,083,780 ------------ 59,605,592 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 6.0% 385,800 AmerisourceBergen Corp. .... 19,085,526 613,800 Merck & Company, Inc. ...... 30,567,240 2,587,400 Millennium Pharmaceuticals, Inc.*.................... 27,348,818 4,322,200 Pfizer, Inc. ............... 110,518,654 1,018,300 Watson Pharmaceuticals, Inc.*.................... 33,125,299 ------------ 220,645,537 ------------ RETAIL -- 1.3% 1,313,400 Circuit City Stores, Inc. .. 19,806,072 911,900 Office Depot, Inc.*......... 27,630,570 ------------ 47,436,642 ------------ RETAIL: RESTAURANTS -- 1.0% 705,000 McDonald's Corp. ........... 35,785,800 ------------ RETAIL: SUPERMARKETS -- 1.4% 819,925 Safeway, Inc. .............. 27,902,047 779,350 The Kroger Company.......... 21,923,116 ------------ 49,825,163 ------------ SEMICONDUCTORS -- 1.9% 2,312,100 Intel Corp. ................ 54,935,496 2,171,100 LSI Corp.*.................. 16,304,961 ------------ 71,240,457 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 8.2% 3,152,746 Alcatel-Lucent (ADR) (France)(8).............. 44,138,444 2,619,855 AT&T, Inc. ................. 108,723,982
See notes to financial statements. 123 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) 390,000 Nokia Oyj (ADR) (Finland) -- 144A....... $ 10,962,900 6,555,900 Qwest Communications International, Inc.*(8)................ 63,592,230 1,178,800 Sprint Nextel Corp.(8)..... 24,412,948 887,652 Verizon Communications, Inc. ................... 36,544,633 451,400 Vodafone Group PLC (ADR) (United Kingdom)........ 15,180,582 -------------- 303,555,719 -------------- TOYS -- 0.8% 1,101,600 Mattel, Inc. .............. 27,859,464 -------------- TRANSPORTATION -- 1.6% 120,400 Con-way, Inc. ............. 6,048,896 1,204,900 CSX Corp. ................. 54,316,892 -------------- 60,365,788 -------------- UTILITIES -- 3.2% 185,000 Allegheny Energy, Inc.*.... 9,571,900 1,159,580 American Electric Power Company, Inc. .......... 52,227,483 224,800 Constellation Energy Group................... 19,595,816 225,000 Entergy Corp. ............. 24,153,750 305,800 Wisconsin Energy Corp. .... 13,525,534 -------------- 119,074,483 -------------- TOTAL COMMON STOCKS (Cost $2,914,650,098)... 3,643,213,404 --------------
PRINCIPAL VALUE --------- -------------- SECURITIES LENDING COLLATERAL -- 6.6% $244,204,605 Securities Lending Collateral Investment (Note 4) (Cost $244,204,605)... $ $244,204,605 -------------- TOTAL SECURITIES (Cost $3,158,854,703)....... 3,887,418,009 -------------- REPURCHASE AGREEMENTS -- 1.4% 53,220,091 With Investors Bank & Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $53,241,202 (Collateralized by Fannie Mae, 5.67%, due 05/15/36, with a value of $45,971,062, and various Small Business Administrations, 8.38% -- 8.63%, due 09/25/16-05/25/28, with a total value of $9,910,033) (Cost $53,220,091).......... 53,220,091 -------------- Total Investments -- 106.8% (Cost $3,212,074,794)....... 3,940,638,100 Liabilities less other assets -- (6.8)%...... (250,995,722) -------------- NET ASSETS -- 100.0%..... $3,689,642,378 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $3,212,074,794. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.. $792,484,822 Gross unrealized depreciation.. (63,921,516) ------------ Net unrealized appreciation.... $728,563,306 ============
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements 124 VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 94.7% ADVERTISING--3.2% 37,100 RH Donnelley Corp.*(8)..... $ $2,811,438 216,100 The Interpublic Group of Companies, Inc.*(8)..... 2,463,540 ------------ 5,274,978 ------------ AEROSPACE AND DEFENSE -- 4.0% 28,300 Empresa Brasileira de Aeronautica SA (ADR) (Brazil)(8)............. 1,364,343 66,700 Northrop Grumman Corp. .... 5,193,929 ------------ 6,558,272 ------------ APPAREL: MANUFACTURING AND RETAIL -- 1.7% 141,900 The Gap, Inc. ............. 2,710,290 ------------ AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 1.0% 17,600 Magna International, Inc. -- Class A (Canada)(8)............. 1,601,424 ------------ BANKS -- 3.6% 58,555 Bank of America Corp. ..... 2,862,754 26,900 Comerica, Inc. ............ 1,599,743 21,200 KeyCorp(8)................. 727,796 13,000 UnionBanCal Corp. ......... 776,100 ------------ 5,966,393 ------------ BUSINESS SERVICES AND SUPPLIES -- 1.7% 86,300 First Data Corp. .......... 2,819,421 ------------ COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 14.8% 319,466 CA, Inc. .................. 8,251,807 236,100 Electronic Data Systems Corp. .................. 6,547,053 227,200 Microsoft Corp. ........... 6,695,584 129,000 Oracle Corp.*.............. 2,542,590 ------------ 24,037,034 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 7.1% 135,300 Centex Corp.(8)............ 5,425,530 79,100 Lennar Corp. -- Class A(8).................... 2,891,896 150,300 Pulte Homes, Inc. ......... 3,374,235 ------------ 11,691,661 ------------ CONSUMER GOODS AND SERVICES -- 1.5% 34,800 Altria Group, Inc. ........ 2,440,872 ------------ FINANCIAL SERVICES -- 8.2% 79,100 Freddie Mac................ 4,801,370 115,600 JPMorgan Chase & Company... 5,600,820 8,700 Prudential Financial, Inc. ................... 845,901 50,700 Washington Mutual, Inc. ... 2,161,848 ------------ 13,409,939 ------------ FOOD AND BEVERAGE -- 0.2% 10,657 Kraft Foods, Inc. -- Class A....................... 375,659 ------------ INSURANCE -- 14.3% 13,700 Assurant, Inc. ............ 807,204 70,200 Conseco, Inc.*............. 1,466,478 139,800 Genworth Financial, Inc. -- Class A......... 4,809,120 62,500 MetLife, Inc. ............. 4,030,000 8,200 The Hartford Financial Services Group, Inc. ... 807,782 108,700 The Travelers Companies, Inc. ................... 5,815,450 125,700 UnumProvident Corp. ....... 3,282,027 28,000 XL Capital, Ltd. -- Class A (Cayman Islands)........ 2,360,120 ------------ 23,378,181 ------------ LEISURE AND RECREATION -- 0.9% 42,620 Wyndham Worldwide Corp.*... 1,545,401 ------------ MANUFACTURING -- 6.0% 38,000 Flowserve Corp. ........... 2,720,800 211,800 Tyco International, Ltd. (Bermuda)*.............. 7,156,722 ------------ 9,877,522 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 0.9% 231,200 Tenet Healthcare Corp.*(8)............... 1,505,112 ------------ METALS AND MINING -- 1.6% 63,300 Alcoa, Inc. ............... 2,565,549 ------------ OIL, COAL AND GAS -- 3.1% 41,200 Royal Dutch Shell PLC -- Class B (ADR) (United Kingdom)........ 3,434,020 21,100 Sunoco, Inc. .............. 1,681,248 ------------ 5,115,268 ------------ PAPER AND FOREST PRODUCTS -- 0.6% 12,500 Weyerhaeuser Company....... 986,625 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 2.9% 84,900 Eli Lilly and Company...... 4,744,212 ------------ PRINTING AND PUBLISHING -- 1.0% 45,100 Idearc, Inc. .............. 1,593,383 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 1.6% 56,200 The St. Joe Company(8)..... 2,604,308 ------------ RETAIL -- 6.2% 128,700 The Home Depot, Inc. ...... 5,064,345 105,700 Wal-Mart Stores, Inc. ..... 5,085,227 ------------ 10,149,572 ------------
See notes to financial statements. 125 VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL: RESTAURANTS -- 1.0% 51,000 YUM! Brands, Inc. ......... $ 1,668,720 ------------ RETAIL: SUPERMARKETS -- 1.0% 49,300 Safeway, Inc. ............. 1,677,679 ------------ UTILITIES -- 6.6% 108,300 Exelon Corp. .............. 7,862,580 52,600 FPL Group, Inc. ........... 2,984,524 ------------ 10,847,104 ------------ TOTAL COMMON STOCKS (Cost $147,356,780)..... 155,144,579 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 10.8% $17,660,618 Securities Lending Collateral Investment (Note 4) (Cost $17,660,618)...... 17,660,618 ------------ TOTAL SECURITIES (Cost $165,017,398)..... 172,805,197 ------------ Principal Value - --------- ------------ REPURCHASE AGREEMENTS -- 4.1% 6,733,344 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $6,736,014 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.43%, due 07/01/33, with a value of $5,937,083, and Small Business Administration, 8.00%, due 01/25/23, with a value of $1,131,928) (Cost $6,733,344)....... 6,733,344 ------------ Total Investments -- 109.6% (Cost $171,750,742)..... 179,538,541 Liabilities less other assets -- (9.6)%........ (15,750,998) ------------ NET ASSETS -- 100.0%....... $163,787,543 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $171,750,742. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $12,508,343 Gross unrealized depreciation... (4,720,544) ----------- Net unrealized appreciation..... $ 7,787,799 ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 126 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 99.2% AEROSPACE AND DEFENSE--3.1% 96,020 Lockheed Martin Corp. .... $ 9,038,363 96,400 Northrop Grumman Corp. ... 7,506,668 107,668 Raytheon Company.......... 5,802,229 114,996 The Boeing Company........ 11,058,014 -------------- 33,405,274 -------------- AGRICULTURE -- 0.3% 51,900 Monsanto Company.......... 3,505,326 -------------- AIRLINES -- 0.1% 60,888 AMR Corp.*................ 1,604,399 -------------- APPAREL: MANUFACTURING AND RETAIL -- 0.7% 68,925 American Eagle Outfitters, Inc. ...... 1,768,616 59,000 Coach, Inc.*.............. 2,796,009 21,500 Jones Apparel Group, Inc. .................. 607,375 1,300 Payless ShoeSource, Inc.*.................. 41,015 43,768 Phillips-Van Heusen Corp. ................. 2,651,028 -------------- 7,864,043 -------------- AUTOMOBILE: RENTAL -- 0.3% 105,236 Avis Budget Group, Inc.*.. 2,991,859 -------------- AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 1.0% 103,900 AutoNation, Inc.*......... 2,331,516 19,573 AutoZone, Inc.*........... 2,674,063 1,600 Harley-Davidson, Inc. .... 95,376 31,700 PACCAR, Inc. ............. 2,759,168 76,500 TRW Automotive Holdings Corp.*................. 2,817,495 -------------- 10,677,618 -------------- BANKS -- 4.4% 206,200 Bank of America Corp. .... 10,081,118 65,200 Comerica, Inc. ........... 3,877,444 12,400 Credicorp, Ltd. (Bermuda).............. 758,508 37,400 Regions Financial Corp. .. 1,237,940 22,200 SunTrust Banks, Inc. ..... 1,903,428 12,500 The Bank of New York Company, Inc. ......... 518,000 136,000 US Bancorp................ 4,481,200 184,385 Wachovia Corp. ........... 9,449,731 443,940 Wells Fargo & Company..... 15,613,370 -------------- 47,920,739 -------------- BROADCAST SERVICES/MEDIA -- 4.6% 92,882 CBS Corp. -- Class B...... 3,094,828 43,200 Comcast Corp. -- Class A*..................... 1,214,784 6,500 EchoStar Communications Corp. -- Class A*...... 281,905 6,300 Liberty Media Corp. -- Capital -- Series A*............... 741,384 4,400 News Corp. -- Class B..... 100,936 25,200 Rogers Communications, Inc. -- Class B (Canada)(8)............ 1,070,748 80,300 Shaw Communications, Inc. -- Class B (Canada)(8)............ 3,375,812 432,019 The DIRECTV Group, Inc.*(8)............... 9,983,959 89,889 The McGraw-Hill Companies, Inc. .................. 6,119,643 264,682 The Walt Disney Company... 9,036,243 672,098 Time Warner, Inc. ........ 14,140,943 -------------- 49,161,185 -------------- BUSINESS SERVICES AND SUPPLIES -- 1.0% 130,006 Accenture, Ltd. -- Class A (Bermuda).............. 5,575,957 24,400 Dun & Bradstreet Corp. ... 2,512,712 20,700 First Data Corp. ......... 676,269 4,900 Gartner, Inc.*............ 120,491 33,000 Moody's Corp.(8).......... 2,052,600 5,000 Total System Services, Inc. .................. 147,550 -------------- 11,085,579 -------------- CHEMICALS -- 1.0% 26,800 Ashland, Inc. ............ 1,713,860 100,746 Celanese Corp. -- Series A...................... 3,906,930 102,400 Methanex Corp. (Canada)... 2,574,336 3,600 NOVA Chemicals Corp. (Canada)............... 128,052 38,063 The Lubrizol Corp. ....... 2,456,967 -------------- 10,780,145 -------------- COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 8.5% 73,258 Apple, Inc.*.............. 8,940,406 29,600 Computer Sciences Corp.*.. 1,750,840 199,500 Compuware Corp.*.......... 2,366,070 283,208 Dell, Inc.*............... 8,085,588 102,956 Electronic Data Systems Corp. ................. 2,854,970 126,200 EMC Corp.*................ 2,284,220 312,586 Hewlett-Packard Company... 13,947,587 91,700 Ingram Micro, Inc. -- Class A*....... 1,990,807 122,819 International Business Machines Corp. ........ 12,926,700 31,200 Lexmark International, Inc. -- Class A*....... 1,538,472 872,718 Microsoft Corp. .......... 25,718,999 155,709 Nuance Communications, Inc.*.................. 2,605,012
See notes to financial statements. 127 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER EQUIPMENT, SOFTWARE AND SERVICES (CONTINUED) 360,253 Oracle Corp.*............. $ 7,100,587 3,400 Sun Microsystems, Inc.*... 17,884 -------------- 92,128,142 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.4% 1,200 American Standard Companies, Inc. ....... 70,776 6,602 NVR, Inc.*(8)............. 4,487,710 1,400 Vulcan Materials Company.. 160,356 -------------- 4,718,842 -------------- CONSUMER GOODS AND SERVICES -- 3.5% 130,943 Altria Group, Inc. ....... 9,184,341 41,900 American Greetings Corp. -- Class A(8).... 1,187,027 3,900 Avon Products, Inc. ...... 143,325 30,676 Energizer Holdings, Inc.*.................. 3,055,330 41,361 Jarden Corp.*............. 1,778,937 18,239 Loews Corp.- Carolina Group.................. 1,409,328 34,200 NBTY, Inc.*............... 1,477,440 58,397 Newell Rubbermaid, Inc. .. 1,718,624 150,387 Procter & Gamble Company.. 9,202,180 35,000 Reynolds American, Inc.(8)................ 2,282,000 20,268 The Black & Decker Corp. ................. 1,789,867 3,800 The Estee Lauder Companies, Inc. -- Class A........ 172,938 43,100 UST, Inc. ................ 2,314,901 15,730 Whirlpool Corp. .......... 1,749,176 -------------- 37,465,414 -------------- CONTAINERS AND PACKAGING -- 0.1% 26,500 Ball Corp. ............... 1,409,005 -------------- DISTRIBUTION -- 0.2% 5,500 Universal Corp. .......... 335,060 21,000 WW Grainger, Inc. ........ 1,954,050 -------------- 2,289,110 -------------- DIVERSIFIED OPERATIONS AND SERVICES -- 1.1% 322,500 General Electric Company.. 12,345,300 -------------- EDUCATION -- 0.2% 14,000 ITT Educational Services, Inc.*.................. 1,643,320 -------------- ELECTRONICS -- 1.2% 122,258 Avnet, Inc.*.............. 4,846,307 46,900 Emerson Electric Company.. 2,194,920 99,191 Synopsys, Inc.*........... 2,621,618 202,128 Vishay Intertechnology, Inc.*.................. 3,197,665 -------------- 12,860,510 -------------- ENERGY SERVICES -- 0.1% 61,100 Energy East Corp. ........ 1,594,099 -------------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.2% 195,899 Allied Waste Industries, Inc.*.................. 2,636,801 -------------- EQUIPMENT RENTAL AND LEASING -- 0.2% 80,163 Rent-A-Center, Inc.*...... 2,102,675 -------------- FINANCIAL SERVICES -- 10.1% 14,305 Affiliated Managers Group, Inc.*........... 1,841,912 71,608 American Express Company.. 4,380,977 77,300 AmeriCredit Corp.*(8)..... 2,052,315 43,000 Ameriprise Financial, Inc. .................. 2,733,510 27,900 CIT Group, Inc. .......... 1,529,757 389,300 Citigroup, Inc. .......... 19,967,196 177,100 Countrywide Financial Corp.(8)............... 6,437,585 32,129 Franklin Resources, Inc. .................. 4,256,129 5,600 Janus Capital Group, Inc. .................. 155,904 373,200 JPMorgan Chase & Company.. 18,081,539 21,600 Lehman Brothers Holdings, Inc. ........ 1,609,632 21,425 MasterCard, Inc. -- Class A(8)................... 3,553,765 121,300 Merrill Lynch & Company, Inc. ....... 10,138,254 149,961 Morgan Stanley............ 12,578,729 4,700 SLM Corp. ................ 270,626 10,831 T Rowe Price Group, Inc. .................. 562,021 44,054 The Goldman Sachs Group, Inc. ........... 9,548,705 207,800 Washington Mutual, Inc.(8)................ 8,860,592 -------------- 108,559,148 -------------- FOOD AND BEVERAGE -- 2.9% 60,600 ConAgra Foods, Inc. ...... 1,627,716 55,743 Corn Products International, Inc. ... 2,533,519 93,095 General Mills, Inc. ...... 5,438,611 90,212 Kraft Foods, Inc. -- Class A...................... 3,179,973 33,381 Molson Coors Brewing Company -- Class B..... 3,086,407 52,700 PepsiCo, Inc. ............ 3,417,595 69,708 The Coca-Cola Company..... 3,646,425 21,300 The JM Smucker Company.... 1,355,958 107,803 The Pepsi Bottling Group, Inc. .................. 3,630,805 147,900 Tyson Foods, Inc. -- Class A...................... 3,407,616 -------------- 31,324,625 --------------
See notes to financial statements. 128 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE -- 5.7% 70,100 Aetna, Inc. .............. $ 3,462,940 25,000 Ambac Financial Group, Inc. .................. 2,179,750 67,471 American International Group, Inc. ........... 4,724,994 39,800 Assurant, Inc. ........... 2,345,016 87,100 Axis Capital Holdings, Ltd. (Bermuda)......... 3,540,615 117,200 CIGNA Corp. .............. 6,120,184 9,000 Everest Re Group, Ltd. (Bermuda).............. 977,760 75,900 Genworth Financial, Inc. -- Class A........ 2,610,960 126,000 Loews Corp. .............. 6,423,480 35,552 MBIA, Inc.(8)............. 2,212,045 14,700 Nationwide Financial Services, Inc. -- Class A...................... 929,334 6,900 PartnerRe, Ltd. (Bermuda)(8)........... 534,750 18,100 Principal Financial Group, Inc. .................. 1,055,049 17,629 Prudential Financial, Inc. .................. 1,714,068 50,000 SAFECO Corp. ............. 3,113,000 88,200 The Allstate Corp. ....... 5,425,182 26,300 The Chubb Corp. .......... 1,423,882 62,400 The PMI Group, Inc. ...... 2,787,408 130,000 The Travelers Companies, Inc. .................. 6,955,000 33,090 XL Capital, Ltd. -- Class A (Cayman Islands)..... 2,789,156 -------------- 61,324,573 -------------- INTERNET SERVICES -- 3.0% 19,700 Amazon.com, Inc.*(8)...... 1,347,677 519,772 Cisco Systems, Inc.*...... 14,475,650 15,000 eBay, Inc.*............... 482,700 36,600 Expedia, Inc.*............ 1,072,014 14,160 Google, Inc. -- Class A*.. 7,411,061 111,941 IAC/InterActive Corp.*(8).............. 3,874,278 11,400 Juniper Networks, Inc.*... 286,938 145,100 Symantec Corp.*........... 2,931,020 -------------- 31,881,338 -------------- LEISURE AND RECREATION -- 0.3% 9,200 Carnival Corp. (Panama)... 448,684 55,000 Marriott International, Inc. -- Class A........ 2,378,200 -------------- 2,826,884 -------------- MACHINERY -- 1.8% 40,795 AGCO Corp.*............... 1,770,911 103,719 Caterpillar, Inc. ........ 8,121,197 38,189 Cummins, Inc. ............ 3,865,109 20,400 Deere & Company........... 2,463,096 55,996 Gardner Denver, Inc.*..... 2,382,630 5,100 Terex Corp.*.............. 414,630 -------------- 19,017,573 -------------- MANUFACTURING -- 2.0% 21,600 3M Company................ 1,874,664 37,080 Cooper Industries, Ltd. -- Class A (Bermuda).............. 2,116,897 25,523 Eaton Corp. .............. 2,373,639 55,500 Honeywell International, Inc. .................. 3,123,540 67,900 Ingersoll-Rand Company, Ltd. -- Class A (Bermuda).............. 3,722,278 35,400 Parker Hannifin Corp. .... 3,466,014 11,300 SPX Corp. ................ 992,253 14,400 The Timken Company........ 519,984 92,000 Tyco International, Ltd. (Bermuda)*............. 3,108,680 -------------- 21,297,949 -------------- MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 3.8% 65,885 Baxter International, Inc. .................. 3,711,961 38,183 Beckman Coulter, Inc. .... 2,469,676 28,217 Becton, Dickinson and Company................ 2,102,167 82,498 Humana, Inc.*............. 5,024,953 24,060 Invitrogen Corp.*......... 1,774,425 78,200 Johnson & Johnson......... 4,818,684 50,206 Kinetic Concepts, Inc.*... 2,609,206 64,042 LifePoint Hospitals, Inc.*.................. 2,477,145 35,500 McKesson Corp. ........... 2,117,220 17,900 Medtronic, Inc. .......... 928,294 91,567 UnitedHealth Group, Inc. .................. 4,682,736 40,081 WellCare Health Plans, Inc.*.................. 3,627,731 17,800 WellPoint, Inc.*.......... 1,420,974 33,500 Zimmer Holdings, Inc.*.... 2,843,815 -------------- 40,608,987 -------------- METALS AND MINING -- 1.8% 42,500 Alcan, Inc. (Canada)...... 3,455,250 34,827 Freeport-McMoRan Copper & Gold, Inc. ............ 2,884,372 55,300 Gerdau Ameristeel Corp. (Panama)............... 809,039 3,200 Newmont Mining Corp. ..... 124,992 72,000 Nucor Corp. .............. 4,222,800 61,855 Southern Copper Corp.(8).. 5,830,452 15,800 United States Steel Corp. ................. 1,718,250 -------------- 19,045,155 --------------
See notes to financial statements. 129 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) OIL, COAL AND GAS -- 10.5% 27,000 Apache Corp. ............. $ 2,202,930 73,016 Chesapeake Energy Corp. .. 2,526,354 199,400 Chevron Corp. ............ 16,797,456 128,586 ConocoPhillips............ 10,094,001 41,500 Devon Energy Corp. ....... 3,249,035 1,200 Dresser-Rand Group, Inc.*.................. 47,400 36,569 ENSCO International, Inc. .................. 2,231,075 443,964 Exxon Mobil Corp. ........ 37,239,700 7,700 GlobalSantaFe Corp. (Cayman Islands)....... 556,325 33,300 Halliburton Company....... 1,148,850 41,600 Holly Corp. .............. 3,086,304 139,600 Marathon Oil Corp. ....... 8,370,416 84,520 Nabors Industries, Ltd. (Bermuda)*............. 2,821,278 9,500 National-Oilwell Varco, Inc.*.................. 990,280 30,063 Noble Corp. (Cayman Island)................ 2,931,744 11,300 Noble Energy, Inc. ....... 705,007 28,100 ONEOK, Inc. .............. 1,416,521 53,962 Schlumberger, Ltd. (Netherlands Antilles).............. 4,583,532 40,600 Sunoco, Inc. ............. 3,235,008 58,089 Superior Energy Services, Inc.*.................. 2,318,913 51,478 Tesoro Corp. ............. 2,941,968 300 Transocean, Inc. (Cayman Islands)*.............. 31,794 36,800 Valero Energy Corp. ...... 2,718,048 -------------- 112,243,939 -------------- PAPER AND FOREST PRODUCTS -- 0.1% 87,000 Domtar Corp.*............. 970,920 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 7.0% 67,267 Abbott Laboratories....... 3,602,148 112,100 AmerisourceBergen Corp. .. 5,545,587 47,300 Amgen, Inc.*.............. 2,615,217 25,000 Biogen Idec, Inc.*........ 1,337,500 173,678 Bristol-Myers Squibb Company................ 5,481,278 3,500 Celgene Corp.*............ 200,655 21,378 Cephalon, Inc.*........... 1,718,577 28,500 Eli Lilly and Company..... 1,592,580 29,600 Express Scripts, Inc.*.... 1,480,296 50,900 Forest Laboratories, Inc.*.................. 2,323,585 170,788 Gilead Sciences, Inc.*.... 6,621,451 101,619 King Pharmaceuticals, Inc.*.................. 2,079,125 16,300 Medco Health Solutions, Inc.*.................. 1,271,237 206,609 Merck & Company, Inc. .... 10,289,128 799,354 Pfizer, Inc. ............. 20,439,481 207,958 Schering-Plough Corp. .... 6,330,242 70,375 Watson Pharmaceuticals, Inc.*.................. 2,289,299 10,800 Wyeth..................... 619,272 -------------- 75,836,658 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.6% 59,399 Brookfield Asset Management, Inc. -- Class A (Canada)(8)............ 2,370,020 16,200 CB Richard Ellis Group, Inc. -- Class A*....... 591,300 33,307 Jones Lang LaSalle, Inc. .................. 3,780,345 -------------- 6,741,665 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.6% 6,800 Boston Properties, Inc. .. 694,484 2,100 Health Care Property Investors, Inc. ....... 60,753 11,800 Kimco Realty Corp. ....... 449,226 6,600 ProLogis.................. 375,540 800 Regency Centers Corp. .... 56,400 46,654 Simon Property Group, Inc.(8)................ 4,340,688 1,600 SL Green Realty Corp. .... 198,224 -------------- 6,175,315 -------------- RETAIL -- 2.6% 67,084 Barnes & Noble, Inc. ..... 2,580,721 152,938 Big Lots, Inc.*(8)........ 4,499,436 21,400 CVS Caremark Corp. ....... 780,030 91,707 Dollar Tree Stores, Inc.*.................. 3,993,840 54,865 GameStop Corp. -- Class A*..................... 2,145,222 2,100 JC Penney Company, Inc. .. 151,998 12,300 Kohl's Corp.*............. 873,669 145,430 RadioShack Corp.(8)....... 4,819,550 80,376 Target Corp. ............. 5,111,914 17,700 The Home Depot, Inc. ..... 696,495 55,300 Wal-Mart Stores, Inc. .... 2,660,483 -------------- 28,313,358 -------------- RETAIL: RESTAURANTS -- 0.9% 8,500 Jack in the Box, Inc.*.... 602,990 149,914 McDonald's Corp. ......... 7,609,635 41,400 YUM! Brands, Inc. ........ 1,354,608 -------------- 9,567,233 -------------- RETAIL: SUPERMARKETS -- 1.3% 185,113 Safeway, Inc. ............ 6,299,395 281,988 The Kroger Company........ 7,932,323 -------------- 14,231,718 --------------
See notes to financial statements. 130 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RUBBER PRODUCTS -- 0.2% 50,757 The Goodyear Tire & Rubber Company*............... $ 1,764,313 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.0% 200 Mettler-Toledo International, Inc.*... 19,102 3,100 Waters Corp.*............. 184,016 -------------- 203,118 -------------- SEMICONDUCTORS -- 2.5% 133,500 Atmel Corp.*.............. 742,260 491,988 Intel Corp. .............. 11,689,635 4,100 Intersil Corp. -- Class A(8)................... 128,986 58,892 MEMC Electronic Materials, Inc.*.................. 3,599,479 15,900 Novellus Systems, Inc.*(8)............... 451,083 97,359 NVIDIA Corp.*............. 4,021,900 154,902 Teradyne, Inc.*........... 2,723,177 105,500 Texas Instruments, Inc. .. 3,969,965 -------------- 27,326,485 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 3.8% 2,600 ALLTEL Corp. ............. 175,630 58,000 Andrew Corp.*(8).......... 837,520 389,022 AT&T, Inc. ............... 16,144,413 44,600 CenturyTel, Inc. ......... 2,187,630 33,980 Embarq Corp. ............. 2,153,313 335,100 Sprint Nextel Corp. ...... 6,939,921 25,900 Telephone and Data Systems, Inc. ......... 1,620,563 9,000 Telephone and Data Systems, Inc. -- Special Common Shares................. 517,950 62,700 UTStarcom, Inc.*(8)....... 351,747 255,900 Verizon Communications, Inc. .................. 10,535,403 -------------- 41,464,090 -------------- TOYS -- 0.6% 122,500 Hasbro, Inc. ............. 3,847,725 102,640 Mattel, Inc. ............. 2,595,766 -------------- 6,443,491 -------------- TRANSPORTATION -- 1.8% 28,809 CH Robinson Worldwide, Inc. .................. 1,513,049 134,736 CSX Corp. ................ 6,073,898 65,543 JB Hunt Transport Services, Inc. ........ 1,921,721 33,700 Norfolk Southern Corp. ... 1,771,609 7,200 Overseas Shipholding Group, Inc. ........... 586,080 47,989 Ryder System, Inc. ....... 2,581,808 48,876 Tidewater, Inc.(8)........ 3,464,331 11,900 Union Pacific Corp. ...... 1,370,285 -------------- 19,282,781 -------------- UTILITIES -- 3.1% 59,500 Alliant Energy Corp. ..... 2,311,575 46,300 American Electric Power Company, Inc. ......... 2,085,352 172,721 CenterPoint Energy, Inc. .................. 3,005,345 23,300 DTE Energy Company........ 1,123,526 78,700 Duke Energy Corp. ........ 1,440,210 129,075 Edison International...... 7,243,689 38,700 Energen Corp. ............ 2,126,178 16,300 Entergy Corp. ............ 1,749,805 82,600 FirstEnergy Corp. ........ 5,346,698 9,000 NRG Energy, Inc.*......... 374,130 55,900 PG&E Corp. ............... 2,532,270 10,500 Public Service Enterprise Group, Inc. ........... 921,690 68,300 Reliant Energy, Inc.*..... 1,840,685 19,400 TXU Corp. ................ 1,305,620 -------------- 33,406,773 -------------- TOTAL COMMON STOCKS (Cost $958,627,157).... 1,070,047,474 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 4.4% $47,663,319 Securities Lending Collateral Investment (Note 4) (Cost $47,663,319)..... 47,663,319 -------------- TOTAL SECURITIES (Cost $1,006,290,476).. 1,117,710,793 --------------
See notes to financial statements. 131 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS -- 0.6% $ 6,015,524 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $6,227,717 (Collateralized by Freddie Mac Adjustable Rate Mortgage, 6.07%, due 06/01/32, with a value of $1,877,231 and Small Business Administration, 8.88%, due 05/25/16, with a value of $4,439,069) (Cost $6,015,524)...... $ 6,015,524 -------------- Total Investments -- 104.2% (Cost $1,012,306,000).. 1,123,726,317 Liabilities less other assets -- (4.2)%....... (45,681,510) -------------- NET ASSETS -- 100.0%...... $1,078,044,807 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $1,012,306,000. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.. $122,293,810 Gross unrealized depreciation.. (10,873,493) ------------ Net unrealized appreciation.... $111,420,317 ============
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 132 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 98.8% ADVERTISING -- 0.3% 128,364 Omnicom Group, Inc. (China)................ $ 6,793,023 -------------- AEROSPACE AND DEFENSE -- 4.9% 87,958 Gamesa Corporacion Tecnologica, SA (Spain)................ 3,214,262 385,262 General Dynamics Corp. ... 30,135,194 424,130 Lockheed Martin Corp. .... 39,923,357 160,988 Raytheon Company.......... 8,675,643 381,905 The Boeing Company........ 36,723,985 -------------- 118,672,441 -------------- AGRICULTURE -- 1.5% 123,981 Agrium, Inc. (Canada)..... 5,424,169 464,792 Monsanto Company.......... 31,392,051 -------------- 36,816,220 -------------- AIRLINES -- 0.2% 96,942 AMR Corp.*................ 2,554,421 34,233 Continental Airlines, Inc. -- Class B*....... 1,159,472 -------------- 3,713,893 -------------- APPAREL: MANUFACTURING AND RETAIL -- 1.0% 437,906 American Eagle Outfitters, Inc. ...... 11,236,668 94,557 Coach, Inc.*.............. 4,481,056 54,603 NIKE, Inc. -- Class B..... 3,182,809 57,625 Nordstrom, Inc. .......... 2,945,790 31,017 Polo Ralph Lauren Corp. .. 3,043,078 -------------- 24,889,401 -------------- AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 2.0% 21,006 DaimlerChrysler AG (Germany).............. 1,931,502 65,968 Honda Motor Company, Ltd. (Japan)................ 2,411,013 312,948 Tata Motors Ltd. (ADR) (India).......... 5,138,606 311,403 Toyota Motor Corp. (ADR) (Japan)................ 39,199,410 -------------- 48,680,531 -------------- BANKS -- 4.4% 63,247,000 Industrial and Commercial Bank of China Ltd. -- Class H (China)................ 35,104,867 20,827 Julius Baer Holding, Ltd. (Switzerland).......... 1,498,726 44,891 State Street Corp. ....... 3,070,544 803,736 UBS AG (Switzerland)...... 48,232,197 547,923 Wells Fargo & Company..... 19,270,452 -------------- 107,176,786 -------------- BROADCAST SERVICES/MEDIA -- 3.7% 1,566,072 Comcast Corp. -- Class A*..................... 44,037,945 192,751 DreamWorks Animation SKG, Inc. -- Class A*....... 5,558,939 62,269 EchoStar Communications Corp. -- Class A*...... 2,700,607 51,612 Liberty Global, Inc. -- Class A*....... 2,118,156 388,895 News Corp. -- Class A..... 8,248,463 259,813 The DIRECTV Group, Inc.*.. 6,004,278 424,030 The Walt Disney Company... 14,476,384 158,151 Time Warner, Inc. ........ 3,327,497 64,744 Viacom, Inc. -- Class B*.. 2,695,293 -------------- 89,167,562 -------------- BUSINESS SERVICES AND SUPPLIES -- 1.0% 464,055 Accenture, Ltd. -- Class A (Bermuda).............. 19,903,319 48,984 Manpower, Inc. ........... 4,518,284 -------------- 24,421,603 -------------- CHEMICALS -- 0.2% 77,849 Albemarle Corp. .......... 2,999,521 51,514 Rohm and Haas Company..... 2,816,786 -------------- 5,816,307 -------------- COMMERCIAL SERVICES -- 0.3% 69,991 Alliance Data Systems Corp.*................. 5,408,904 110,420 Iron Mountain, Inc.*...... 2,885,275 -------------- 8,294,179 -------------- COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 9.4% 111,033 Adobe Systems, Inc.*...... 4,457,975 439,086 Apple, Inc.*.............. 53,586,056 117,992 Automatic Data Processing, Inc. .................. 5,719,072 118,582 BMC Software, Inc.*....... 3,593,035 402,962 Cadence Design Systems, Inc.*.................. 8,849,046 69,991 Citrix Systems, Inc.*..... 2,356,597 110,539 Electronic Data Systems Corp. ................. 3,065,246 160,386 EMC Corp.*................ 2,902,987 569,513 Hewlett-Packard Company... 25,411,670 372,136 International Business Machines Corp. ........ 39,167,314 36,785 Lexmark International, Inc. -- Class A*....... 1,813,868 989,693 Microsoft Corp. .......... 29,166,253 200,037 Network Appliance, Inc.*.. 5,841,080 2,055,428 Oracle Corp.*............. 40,512,486 58,996 Riverbed Technology, Inc.*.................. 2,585,205 -------------- 229,027,890 --------------
See notes to financial statements. 133 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES -- 0.4% 80,467 American Standard Companies, Inc. ....... $ 4,745,943 2,506 NVR, Inc.*................ 1,703,454 107,498 RPM International, Inc. .. 2,484,279 -------------- 8,933,676 -------------- CONSUMER GOODS AND SERVICES -- 2.1% 242,255 Altria Group, Inc. ....... 16,991,765 76,618 Avon Products, Inc. ...... 2,815,712 48,165 NBTY, Inc.*............... 2,080,728 173,550 Newell Rubbermaid, Inc. .. 5,107,577 68,072 Procter & Gamble Company.. 4,165,326 144,004 Tempur-Pedic International, Inc. ... 3,729,704 89,512 The Clorox Company........ 5,558,694 69,638 United Parcel Service, Inc. -- Class B........ 5,083,574 85,030 UST, Inc. ................ 4,566,961 -------------- 50,100,041 -------------- CONTAINERS AND PACKAGING -- 0.4% 60,620 Ball Corp. ............... 3,223,166 106,078 Packaging Corp. of America................ 2,684,834 101,369 Sealed Air Corp. ......... 3,144,466 -------------- 9,052,466 -------------- DIVERSIFIED OPERATIONS AND SERVICES -- 0.4% 128,200 General Electric Company.. 4,907,496 40,706 Textron, Inc. ............ 4,482,138 -------------- 9,389,634 -------------- EDUCATION -- 0.2% 83,041 Apollo Group, Inc. -- Class A*....... 4,852,086 -------------- ELECTRONICS -- 1.3% 112,566 AVX Corp. ................ 1,884,355 295,964 Emerson Electric Company.. 13,851,115 185,793 Rockwell Collins, Inc. ... 13,124,418 145,256 Synopsys, Inc.*........... 3,839,116 -------------- 32,699,004 -------------- ENERGY SERVICES -- 0.0% 14,327 McDermott International, Inc. (Panama)*......... 1,190,860 -------------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.1% 54,973 Waste Management, Inc. ... 2,146,696 -------------- FINANCIAL SERVICES -- 3.4% 30,919 American Express Company.. 1,891,624 101,992 Ameriprise Financial, Inc. .................. 6,483,631 49,543 Franklin Resources, Inc. .................. 6,562,961 39,211 Merrill Lynch & Company, Inc. ....... 3,277,255 38,179 Morgan Stanley............ 3,202,455 333,133 The Blackstone Group LP*(8)................. 9,750,803 106,822 The Charles Schwab Corp. ................. 2,191,987 27,072 The First Marblehead Corp. ................. 1,046,062 218,345 The Goldman Sachs Group, Inc. ........... 47,326,280 -------------- 81,733,058 -------------- FOOD AND BEVERAGE -- 2.4% 124,987 General Mills, Inc. ...... 7,301,741 629,124 PepsiCo, Inc. ............ 40,798,691 128,088 Sysco Corp. .............. 4,225,623 120,404 The Coca-Cola Company..... 6,298,333 -------------- 58,624,388 -------------- INSURANCE -- 0.6% 73,030 Ace, Ltd. (Cayman Islands)............... 4,565,835 39,866 CIGNA Corp. .............. 2,081,803 91,013 Philadelphia Consolidated Holding Corp.*......... 3,804,343 44,099 Prudential Financial, Inc. .................. 4,287,746 -------------- 14,739,727 -------------- INTERNET SERVICES -- 5.4% 25,087 Amazon.com, Inc.*......... 1,716,202 2,427,224 Cisco Systems, Inc.*...... 67,598,189 22,972 Ctrip.com International, Ltd. (ADR) (Cayman Islands)............... 1,806,288 275,954 eBay, Inc.*............... 8,880,200 36,023 F5 Networks, Inc.*........ 2,903,454 76,772 Google, Inc. -- Class A*.. 40,180,929 58,968 IAC/InterActive Corp.*.... 2,040,882 39,956 McAfee, Inc.*............. 1,406,451 114,953 Symantec Corp.*........... 2,322,051 109,478 Yahoo!, Inc.*............. 2,970,138 -------------- 131,824,784 -------------- LEISURE AND RECREATION -- 3.9% 361,218 Las Vegas Sands Corp.*.... 27,593,443 328,497 MGM MIRAGE*............... 27,094,433 166,255 Regal Entertainment Group -- Class A....... 3,645,972 398,301 Wynn Resorts, Ltd.(8)..... 35,723,616 -------------- 94,057,464 -------------- MACHINERY -- 1.2% 69,894 AGCO Corp.*............... 3,034,099 36,694 Caterpillar, Inc. ........ 2,873,140 25,671 Cummins, Inc. ............ 2,598,162
See notes to financial statements. 134 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 30,152 Deere & Company........... $ 3,640,552 118,975 Joy Global, Inc. ......... 6,939,812 110,037 Terex Corp.*.............. 8,946,008 16,332 The Manitowoc Company, Inc. .................. 1,312,766 -------------- 29,344,539 -------------- MANUFACTURING -- 2.2% 61,700 3M Company................ 5,354,943 53,633 Eaton Corp. .............. 4,987,869 102,257 Harsco Corp. ............. 5,317,364 87,022 Honeywell International, Inc. .................. 4,897,598 73,452 ITT Industries, Inc. ..... 5,015,303 229,012 Parker Hannifin Corp. .... 22,422,565 92,963 Roper Industries, Inc. ... 5,308,187 -------------- 53,303,829 -------------- MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 5.5% 64,953 Baxter International, Inc. .................. 3,659,452 26,034 Becton, Dickinson and Company................ 1,939,533 55,996 Coventry Health Care, Inc.*.................. 3,228,169 61,158 Health Net, Inc.*......... 3,229,142 54,654 Henry Schein, Inc.*....... 2,920,163 63,622 Humana, Inc.*............. 3,875,216 86,735 Johnson & Johnson......... 5,344,611 267,297 McKesson Corp. ........... 15,941,593 110,399 Medtronic, Inc. .......... 5,725,292 31,629 Stryker Corp. ............ 1,995,474 1,630,495 UnitedHealth Group, Inc. .................. 83,383,514 40,182 Varian Medical Systems, Inc.*.................. 1,708,137 21,303 WellCare Health Plans, Inc.*.................. 1,928,135 -------------- 134,878,431 -------------- METALS AND MINING -- 2.6% 36,428 AK Steel Holding Corp.*... 1,361,314 1,109,577 Antofagasta PLC (United Kingdom)....... 13,680,789 204,967 Aur Resources, Inc. (Canada)............... 6,099,464 363,624 Freeport-McMoRan Copper & Gold, Inc.(8).......... 30,115,341 26,793 Reliance Steel & Aluminum Company................ 1,507,374 18,317 Southern Copper Corp. .... 1,726,560 36,635 Steel Dynamics, Inc. ..... 1,535,373 35,659 Titanium Metals Corp.*.... 1,137,522 22,528 Vallourec SA (France)..... 7,263,147 -------------- 64,426,884 -------------- OFFICE EQUIPMENT, SUPPLIES, AND SERVICES -- 0.6% 101,185 Pitney Bowes, Inc. ....... 4,737,482 100,065 Steelcase, Inc. -- Class A...................... 1,851,203 415,030 Xerox Corp.*.............. 7,669,754 -------------- 14,258,439 -------------- OIL, COAL AND GAS -- 10.3% 201,034 Chevron Corp. ............ 16,935,104 276,031 ConocoPhillips............ 21,668,434 146,954 Diamond Offshore Drilling, Inc. .................. 14,924,648 71,108 ENSCO International, Inc. .................. 4,338,299 153,893 Exxon Mobil Corp. ........ 12,908,545 404,018 GlobalSantaFe Corp. (Cayman Islands)....... 29,190,301 32,843 Grant Prideco, Inc.*...... 1,767,939 130,074 Holly Corp. .............. 9,650,190 28,860 National-Oilwell Varco, Inc.*.................. 3,008,366 36,734 Noble Corp. (Cayman Islands)............... 3,582,300 26,012 Petroleo Brasileiro SA (ADR) (Brazil)......... 2,774,960 249,154 Petroleo Brasileiro SA (ADR) (Brazil)......... 30,214,906 738,034 Schlumberger, Ltd. (Netherlands Antilles).............. 62,688,608 27,175 Tesoro Corp. ............. 1,553,051 169,033 Transocean, Inc. (Cayman Islands)*.............. 17,914,117 78,680 Valero Energy Corp. ...... 5,811,305 175,022 XTO Energy, Inc. ......... 10,518,822 -------------- 249,449,895 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 8.7% 311,691 Abbott Laboratories....... 16,691,053 98,288 AmerisourceBergen Corp. .. 4,862,307 51,244 Amgen, Inc.*.............. 2,833,281 35,040 Amylin Pharmaceuticals, Inc.*.................. 1,442,246 439,732 Bristol-Myers Squibb Company................ 13,877,942 105,105 Cardinal Health, Inc. .... 7,424,617 26,821 Celgene Corp.*............ 1,537,648 95,019 Eisai Company, Ltd. (Japan)................ 4,151,896 326,272 Eli Lilly and Company..... 18,232,079 65,420 Express Scripts, Inc.*.... 3,271,654 318,125 Forest Laboratories, Inc.*.................. 14,522,406 537,921 Genentech, Inc.*.......... 40,699,104 59,688 Gilead Sciences, Inc.*.... 2,314,104 32,801 Medco Health Solutions, Inc.*.................. 2,558,150 459,573 Merck & Company, Inc. .... 22,886,735 163,076 Millennium Pharmaceuticals, Inc.*.................. 1,723,713
See notes to financial statements. 135 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT (CONTINUED) 1,096,466 Schering-Plough Corp. .... $ 33,376,426 260,030 Shionogi & Company, Ltd. (Japan)................ 4,244,957 96,986 Teva Pharmaceutical Industries, Ltd. (ADR) (Israel)............... 4,000,673 65,841 Vertex Pharmaceuticals, Inc.*.................. 1,880,419 149,152 Wyeth..................... 8,552,376 -------------- 211,083,786 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.3% 31,040 CB Richard Ellis Group, Inc. -- Class A*....... 1,132,960 30,983 Jones Lang LaSalle, Inc. .................. 3,516,570 43,134 The St. Joe Company....... 1,998,830 -------------- 6,648,360 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.7% 107,584 Duke Realty Corp. ........ 3,837,521 74,193 General Growth Properties, Inc. ...... 3,928,519 82,835 Health Care REIT, Inc. ... 3,343,221 62,099 Simon Property Group, Inc. .................. 5,777,691 -------------- 16,886,952 -------------- RETAIL -- 4.5% 54,738 Best Buy Company, Inc. ... 2,554,622 45,187 Big Lots, Inc.*........... 1,329,402 778,871 CVS Caremark Corp. ....... 28,389,848 76,006 JC Penney Company, Inc. .. 5,501,314 117,784 Kohl's Corp.*............. 8,366,198 1,214,373 Lowe's Companies, Inc. ... 37,269,106 60,310 PetSmart, Inc. ........... 1,957,060 51,679 RadioShack Corp. ......... 1,712,642 51,637 Target Corp. ............. 3,284,113 102,857 The Home Depot, Inc. ..... 4,047,423 111,199 The TJX Companies, Inc. .. 3,057,973 137,383 Walgreen Company.......... 5,981,656 149,836 Wal-Mart Stores, Inc. .... 7,208,610 -------------- 110,659,967 -------------- RETAIL: RESTAURANTS -- 1.9% 142,506 Brinker International, Inc. .................. 4,171,151 743,567 McDonald's Corp. ......... 37,743,460 92,296 Starbucks Corp.*.......... 2,421,847 82,426 Wendy's International, Inc. .................. 3,029,156 -------------- 47,365,614 -------------- RETAIL: SUPERMARKETS -- 0.1% 47,510 Whole Foods Market, Inc. .................. 1,819,633 -------------- SECURITY SERVICES -- 0.1% 26,988 The Brink's Company....... 1,670,287 -------------- SEMICONDUCTORS -- 3.8% 100,040 Advanced Micro Devices, Inc.*.................. 1,430,572 783,935 Altera Corp. ............. 17,348,482 227,189 Applied Materials, Inc. .. 4,514,245 165,994 Emulex Corp.*............. 3,625,309 1,831,129 Intel Corp. .............. 43,507,625 43,932 MEMC Electronic Materials, Inc.*.................. 2,685,124 81,816 National Semiconductor Corp. ................. 2,312,938 168,178 NVIDIA Corp.*............. 6,947,433 209,046 Teradyne, Inc.*........... 3,675,029 200,229 Texas Instruments, Inc. .. 7,534,617 -------------- 93,581,374 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 3.0% 45,581 American Tower Corp. -- Class A*...... 1,914,402 1,115,644 AT&T, Inc. ............... 46,299,226 148,912 Corning, Inc.*............ 3,804,702 19,855 General Cable Corp.*...... 1,504,016 30,210 NII Holdings, Inc.*....... 2,439,155 117,992 Nokia Oyj (ADR) (Finland).............. 3,316,755 287,927 QUALCOMM, Inc. ........... 12,493,153 151,960 Sonus Networks, Inc.*..... 1,294,699 25,000 Starent Networks Corp.*... 367,500 -------------- 73,433,608 -------------- TOYS -- 0.4% 84,802 Hasbro, Inc. ............. 2,663,631 153,591 Mattel, Inc. ............. 3,884,316 11,003 Nintendo Company, Ltd. (Japan)................ 4,030,338 -------------- 10,578,285 -------------- TRANSPORTATION -- 3.0% 326,526 Burlington Northern Santa Fe Corp. .............. 27,800,424 71,805 CH Robinson Worldwide, Inc. .................. 3,771,199 53,716 CSX Corp. ................ 2,421,517 81,556 Norfolk Southern Corp. ... 4,287,399 72,650 Tidewater, Inc. .......... 5,149,432 262,587 Union Pacific Corp. ...... 30,236,892 -------------- 73,666,863 -------------- UTILITIES -- 0.4% 58,186 Constellation Energy Group.................. 5,072,074 49,437 Covanta Holding Corp.*.... 1,218,622 37,634 Exelon Corp. ............. 2,732,228
See notes to financial statements. 136 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) UTILITIES (CONTINUED) 43,086 NRG Energy, Inc.*......... $ 1,791,085 -------------- 10,814,009 -------------- TOTAL COMMON STOCKS (Cost $2,198,189,693).. 2,406,684,475 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 1.6% $39,846,175 Securities Lending Collateral Investment (Note 4) (Cost $39,846,175)..... 39,846,175 -------------- TOTAL SECURITIES (Cost $2,238,035,868).. 2,446,530,650 -------------- REPURCHASE AGREEMENTS -- 0.1% 2,729,778 With Investors Bank and Trust, dated 06/29/2007, 4.76%, due 07/02/07, repurchase proceeds at maturity $2,730,861 (Collateralized by Small Business Administration, 8.13%, due 11/25/28, with a value of $2,866,267) (Cost $2,729,778)...... 2,729,778 -------------- Total Investments -- 100.5% (Cost $2,240,765,646).. 2,449,260,428 Liabilities less other assets -- (0.5)%....... (12,723,140) -------------- NET ASSETS -- 100.0%...... $2,436,537,288 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $2,240,765,646. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.. $230,598,630 Gross unrealized depreciation.. (22,103,848) ------------ Net unrealized appreciation.... $208,494,782 ============
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 137 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 99.1% ADVERTISING -- 1.3% 92,200 Focus Media Holding, Ltd. (ADR) (China)*(8)...... $ 4,656,100 ------------ AGRICULTURE -- 1.4% 77,940 Monsanto Company.......... 5,264,068 ------------ APPAREL: MANUFACTURING AND RETAIL -- 5.5% 117,800 Coach, Inc.*.............. 5,582,542 106,720 Guess?, Inc. ............. 5,126,829 46,470 Polo Ralph Lauren Corp. .. 4,559,172 104,570 Under Armour, Inc. -- Class A*(8).... 4,773,621 ------------ 20,042,164 ------------ BROADCAST SERVICES/MEDIA -- 1.3% 66,920 News Corp. -- Class A..... 1,419,373 81,000 Rogers Communications, Inc. -- Class B (Canada)(8)............ 3,441,690 ------------ 4,861,063 ------------ COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 7.8% 64,360 Apple, Inc.*.............. 7,854,495 275,000 Dell, Inc.*............... 7,851,250 73,000 Riverbed Technology, Inc.*.................. 3,198,860 106,570 Salesforce.com, Inc.*..... 4,567,590 100,530 SanDisk Corp.*............ 4,919,938 ------------ 28,392,133 ------------ CORRECTIONAL FACILITIES -- 0.9% 51,100 Corrections Corp. of America*............... 3,224,921 ------------ DIVERSIFIED OPERATIONS AND SERVICES -- 4.1% 391,900 General Electric Company.. 15,001,932 ------------ ENERGY SERVICES -- 1.6% 91,300 SunPower Corp. -- Class A*(8).................. 5,756,465 ------------ ENGINEERING -- 2.0% 328,800 ABB, Ltd. (ADR) (Switzerland).......... 7,430,880 ------------ FINANCIAL SERVICES -- 8.3% 14,670 Chicago Mercantile Exchange Holdings, Inc.(8)................ 7,839,061 32,700 Franklin Resources, Inc. .................. 4,331,769 38,500 IntercontinentalExchange, Inc.*.................. 5,692,225 31,930 Nymex Holdings Inc.(8).... 4,011,366 38,890 The Goldman Sachs Group, Inc. .................. 8,429,408 ------------ 30,303,829 ------------ FOOD AND BEVERAGE -- 2.5% 124,700 Hansen Natural Corp.*..... 5,359,606 71,000 The Coca-Cola Company..... 3,714,010 ------------ 9,073,616 ------------ INTERNET SERVICES -- 14.9% 114,140 Akamai Technologies, Inc.*(8)............... 5,551,770 64,000 Amazon.com, Inc.*(8)...... 4,378,240 567,990 Cisco Systems, Inc.*...... 15,818,521 98,350 Expedia, Inc.*............ 2,880,672 61,180 F5 Networks, Inc.*........ 4,931,108 30,640 Google, Inc. -- Class A*.. 16,036,362 163,000 VeriSign, Inc.*........... 5,171,990 ------------ 54,768,663 ------------ LEISURE AND RECREATION -- 2.5% 101,100 International Game Technology............. 4,013,670 68,220 Las Vegas Sands Corp.*.... 5,211,326 ------------ 9,224,996 ------------ MACHINERY -- 2.0% 60,440 Deere & Company........... 7,297,526 ------------ MANUFACTURING -- 2.6% 33,400 Precision Castparts Corp. ................. 4,053,424 98,600 Roper Industries, Inc.(8)................ 5,630,060 ------------ 9,683,484 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 3.9% 94,660 Baxter International, Inc. .................. 5,333,145 34,600 Intuitive Surgical, Inc.*(8)............... 4,801,442 102,460 St Jude Medical, Inc.*(8)............... 4,251,065 ------------ 14,385,652 ------------ METALS AND MINING -- 1.3% 93,370 Cameco Corp. (Canada)(8).. 4,737,594 ------------ OIL, COAL AND GAS -- 3.5% 104,000 CONSOL Energy, Inc. ...... 4,795,440 39,000 Diamond Offshore Drilling, Inc. .................. 3,960,840 66,700 XTO Energy, Inc. ......... 4,008,670 ------------ 12,764,950 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 10.2% 72,660 Allergan, Inc. ........... 4,188,122 102,672 Celgene Corp.*(8)......... 5,886,186 78,000 Express Scripts, Inc.*.... 3,900,780 210,340 Gilead Sciences, Inc.*.... 8,154,881 51,300 Medco Health Solutions, Inc.*.................. 4,000,887 100,000 Schering-Plough Corp. .... 3,044,000 108,670 Shire PLC (ADR) (United Kingdom)....... 8,055,707 ------------ 37,230,563 ------------ RETAIL -- 1.1% 106,830 GameStop Corp. -- Class A*..................... 4,177,053 ------------
See notes to financial statements. 138 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 1.7% 122,750 Thermo Fisher Scientific, Inc.*.................. $ 6,348,630 ------------ SEMICONDUCTORS -- 9.4% 216,330 Broadcom Corp. -- Class A*..................... 6,327,653 399,320 Intel Corp. .............. 9,487,842 109,480 KLA-Tencor Corp.(8)....... 6,015,926 122,000 NVIDIA Corp.*............. 5,039,820 198,800 Texas Instruments, Inc. .. 7,480,844 ------------ 34,352,085 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 7.9% 306,000 Corning, Inc.*............ 7,818,300 129,170 Crown Castle International Corp.*(8).............. 4,684,996 39,000 Millicom International Cellular SA (Luxembourg)*(8)....... 3,573,960 49,670 NII Holdings, Inc.*....... 4,010,356 151,000 Nortel Networks Corp. (Canada)*.............. 3,631,550 121,880 QUALCOMM, Inc. ........... 5,288,373 ------------ 29,007,535 ------------ TRANSPORTATION -- 1.4% 94,890 CH Robinson Worldwide, Inc. .................. 4,983,623 ------------ TOTAL COMMON STOCKS (Cost $295,594,417).... 362,969,525 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 19.0% $69,461,923 Securities Lending Collateral Investment (Note 4) (Cost $69,461,923)..... 69,461,923 ------------ TOTAL SECURITIES (Cost $365,056,340).... 432,431,448 ------------ REPURCHASE AGREEMENTS -- 0.9% 3,352,666 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $3,353,996 (Collateralized by Small Business Administration, 8.38%, due 02/25/24, with a value of $3,520,299) (Cost $3,352,666)...... 3,352,666 ------------ Total Investments -- 119.0% (Cost $368,409,006).... 435,784,114 Liabilities less other assets -- (19.0)%...... (69,480,280) ------------ NET ASSETS -- 100.0%...... $366,303,834 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $368,409,006. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $69,117,044 Gross unrealized depreciation... (1,741,936) ----------- Net unrealized appreciation..... $67,375,108 ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 139 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 97.1% ADVERTISING -- 0.3% 30,248 RH Donnelley Corp.*(8)... $ 2,292,193 94,099 The Interpublic Group of Companies, Inc.*(8)... 1,072,729 -------------- 3,364,922 -------------- AEROSPACE AND DEFENSE -- 2.1% 334,892 Goodrich Corp. .......... 19,946,168 43,900 L-3 Communications Holdings, Inc. ....... 4,275,421 -------------- 24,221,589 -------------- AGRICULTURE -- 0.2% 64,290 The Mosaic Company*...... 2,508,596 -------------- AIRLINES -- 0.3% 35,700 Alaska Air Group, Inc.*.. 994,602 19,571 AMR Corp.*............... 515,696 18,192 Continental Airlines, Inc. -- Class B*(8)... 616,163 121,900 ExpressJet Holdings, Inc.*................. 728,962 7,845 UAL Corp.*(8)............ 318,429 12,123 US Airways Group, Inc.*.. 366,963 -------------- 3,540,815 -------------- APPAREL: MANUFACTURING AND RETAIL -- 1.2% 74,500 Foot Locker, Inc. ....... 1,624,100 114,000 Jones Apparel Group, Inc. ................. 3,220,500 46,400 Kellwood Company(8)...... 1,304,768 28,787 Liz Claiborne, Inc.(8)... 1,073,755 19,817 Macy's, Inc. ............ 788,320 60,100 The Cato Corp. -- Class A..................... 1,318,594 51,783 VF Corp. ................ 4,742,288 -------------- 14,072,325 -------------- AUTOMOBILE: RETAIL -- 0.9% 241,400 Advance Auto Parts, Inc. ................. 9,783,942 -------------- AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 3.9% 62,800 American Axle & Manufacturing Holdings, Inc.(8)..... 1,860,136 97,600 ArvinMeritor, Inc.(8).... 2,166,720 52,900 Autoliv, Inc. ........... 3,008,423 501,801 Ford Motor Company(8).... 4,726,965 16,967 General Motors Corp. .... 641,353 228,612 Genuine Parts Company.... 11,339,155 8,195 Johnson Controls, Inc. .. 948,735 5,210 Magna International, Inc. -- Class A (Canada)(8)........... 474,058 298,800 Oshkosh Truck Corp.(8)... 18,800,496 8,470 TravelCenters of America LLC*.................. 342,612 -------------- 44,308,653 -------------- BANKS -- 8.3% 129,882 Comerica, Inc. .......... 7,724,083 21,300 Downey Financial Corp.(8).............. 1,405,374 462,900 Hudson City Bancorp, Inc. ................. 5,656,638 210,244 Huntington Bancshares, Inc. ................. 4,780,949 125,100 KeyCorp(8)............... 4,294,683 401,800 Mellon Financial Corp. .. 17,679,199 761,899 People's United Financial, Inc. ...... 13,508,469 140,700 PNC Financial Services Group, Inc. .......... 10,071,306 99,960 Regions Financial Corp. ................ 3,308,676 186,900 State Street Corp.(8).... 12,783,960 175,000 UnionBanCal Corp. ....... 10,447,500 35,800 United Bankshares, Inc.(8)............... 1,138,440 -------------- 92,799,277 -------------- BROADCAST SERVICES/MEDIA -- 0.3% 79,800 Belo Corp. .............. 1,643,082 36,706 Tribune Company.......... 1,079,156 166,400 Westwood One, Inc. ...... 1,196,416 -------------- 3,918,654 -------------- BUSINESS SERVICES AND SUPPLIES -- 2.6% 24,781 Deluxe Corp. ............ 1,006,356 101,392 Dun & Bradstreet Corp. .. 10,441,348 87,600 First Data Corp. ........ 2,861,892 13,817 Fluor Corp. ............. 1,538,799 56,500 Kelly Services, Inc. -- Class A....... 1,551,490 114,100 Manpower, Inc. .......... 10,524,585 17,750 Ritchie Brothers Auctioneers, Inc. (Canada)(8)........... 1,111,505 -------------- 29,035,975 -------------- CHEMICALS -- 3.6% 63,412 Eastman Chemical Company............... 4,079,294 29,600 FMC Corp. ............... 2,645,944 19,449 Imperial Chemical Industries PLC (ADR) (United Kingdom)...... 949,111 30,295 Lyondell Chemical Company............... 1,124,550 146,500 PolyOne Corp.*........... 1,053,335 102,596 PPG Industries, Inc. .... 7,808,582 223,400 Rohm and Haas Company(8)............ 12,215,513 92,600 Sensient Technologies Corp. ................ 2,351,114 57,100 Spartech Corp. .......... 1,516,005 78,679 The Lubrizol Corp. ...... 5,078,729 63,400 The Valspar Corp. ....... 1,801,194 -------------- 40,623,371 -------------- COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 6.7% 49,207 BMC Software, Inc.*...... 1,490,972 286,200 Citrix Systems, Inc.*.... 9,636,354 229,054 Computer Sciences Corp.*................ 13,548,544 160,900 Electronic Arts, Inc.*... 7,613,788 71,606 Electronic Data Systems Corp. ................ 1,985,634 81,600 Lexmark International, Inc. -- Class A*...... 4,023,696 557,800 NCR Corp.*............... 29,306,813
See notes to financial statements. 140 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER EQUIPMENT, SOFTWARE AND SERVICES (CONTINUED) 326,500 Parametric Technology Corp.*................ $ 7,055,665 76,600 Western Digital Corp.*(8)............. 1,482,210 -------------- 76,143,676 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 1.8% 160,597 American Standard Companies, Inc. ...... 9,472,012 34,700 Beazer Homes USA, Inc.(8)............... 856,049 29,579 Chicago Bridge & Iron Company NV (the Netherlands).......... 1,116,311 26,400 Eagle Materials, Inc. ... 1,294,920 8,062 Insituform Technologies, Inc. -- Class A*(8)... 175,832 28,500 KB HOME(8)............... 1,122,045 45,400 Lennox International, Inc. ................. 1,554,042 118,600 Masco Corp.(8)........... 3,376,542 18,283 USG Corp.*(8)............ 896,598 -------------- 19,864,351 -------------- CONSUMER GOODS AND SERVICES -- 2.5% 55,900 Blyth, Inc. ............. 1,485,822 108,596 Eastman Kodak Company(8)............ 3,022,227 69,800 Ethan Allen Interiors, Inc.(8)............... 2,390,650 79,200 Fortune Brands, Inc.(8).. 6,523,703 52,369 Loews Corp.- Carolina Group................. 4,046,553 6,392 Mohawk Industries, Inc.*(8).............. 644,250 18,069 Reynolds American, Inc.(8)............... 1,178,099 45,000 The Black & Decker Corp. ................ 3,973,950 63,800 Tupperware Corp. ........ 1,833,612 30,125 Whirlpool Corp.(8)....... 3,349,900 -------------- 28,448,766 -------------- CONTAINERS AND PACKAGING -- 0.6% 65,900 Ball Corp. .............. 3,503,903 77,700 Sonoco Products Company.. 3,326,337 -------------- 6,830,240 -------------- DIVERSIFIED OPERATIONS AND SERVICES -- 1.8% 182,622 Textron, Inc. ........... 20,108,508 -------------- ELECTRONICS -- 1.6% 326,400 Amphenol Corp. -- Class A..................... 11,636,160 102,689 Celestica, Inc. (Canada)*............. 641,806 335,200 Sanmina-SCI Corp.*....... 1,049,176 563,003 Solectron Corp.*......... 2,071,851 55,600 Technitrol, Inc. ........ 1,594,052 99,500 Vishay Intertechnology, Inc.*................. 1,574,090 -------------- 18,567,135 -------------- ENERGY SERVICES -- 0.4% 44,831 Energy East Corp. ....... 1,169,641 46,129 McDermott International, Inc. (Panama)*........ 3,834,242 -------------- 5,003,883 -------------- EQUIPMENT RENTAL AND LEASING -- 0.2% 60,300 United Rentals North America, Inc.*........ 1,962,162 -------------- FINANCIAL SERVICES -- 2.3% 54,600 Advanta Corp. -- Class B..................... 1,700,244 25,200 AG Edwards, Inc. ........ 2,130,660 80,700 AmeriCredit Corp.*(8).... 2,142,585 96,000 CIT Group, Inc. ......... 5,263,680 80,500 Friedman, Billings, Ramsey Group, Inc. -- Class A(8).... 439,530 36,399 Invesco PLC (United Kingdom).............. 472,545 515,300 Invesco PLC (ADR) (United Kingdom)(8)........... 13,320,505 -------------- 25,469,749 -------------- FOOD AND BEVERAGE -- 2.8% 131,000 Brown-Forman Corp. -- Class B(8)... 9,573,480 209,075 Del Monte Foods Company.. 2,542,352 205,600 McCormick & Company, Inc. ................. 7,849,808 19,000 Molson Coors Brewing Company -- Class B.... 1,756,740 28,869 Reddy Ice Holdings, Inc.(8)............... 823,344 800 Seaboard Corp.(8)........ 1,876,000 95,600 The Pepsi Bottling Group, Inc. ................. 3,219,808 158,035 Tyson Foods, Inc. -- Class A....... 3,641,126 -------------- 31,282,658 -------------- INSURANCE -- 9.2% 60,059 Ace, Ltd. (Cayman Islands).............. 3,754,889 8,839 Ambac Financial Group, Inc. ................. 770,672 103,524 Aon Corp. ............... 4,411,158 51,146 Axis Capital Holdings, Ltd. (Bermuda)........ 2,079,085 44,400 CIGNA Corp. ............. 2,318,568 64,680 Cincinnati Financial Corp. ................ 2,807,112 58,196 Everest Re Group, Ltd. (Bermuda)............. 6,322,413 70,100 Horace Mann Educators Corp. ................ 1,488,924 36,600 LandAmerica Financial Group, Inc. .......... 3,531,534 216,207 Lincoln National Corp. .. 15,339,887 50,677 Loews Corp. ............. 2,583,513 296,598 MBIA, Inc.(8)............ 18,454,327 56,300 MGIC Investment Corp.(8).............. 3,201,218 92,000 Nationwide Financial Services, Inc. -- Class A....... 5,816,240 43,792 PartnerRe, Ltd. (Bermuda)(8).......... 3,393,880
See notes to financial statements. 141 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 25,100 Principal Financial Group, Inc. .......... $ 1,463,079 71,500 Radian Group, Inc. ...... 3,861,000 106,200 SAFECO Corp. ............ 6,612,012 94,900 The Commerce Group, Inc. ................. 3,294,928 19,621 Torchmark Corp. ......... 1,314,607 41,700 Unitrin, Inc. ........... 2,050,806 29,498 Willis Group Holdings, Ltd. (Bermuda)........ 1,299,682 72,848 XL Capital, Ltd. -- Class A (Cayman Islands).... 6,140,358 -------------- 102,309,892 -------------- INTERNET SERVICES -- 0.1% 34,386 McAfee, Inc.*............ 1,210,387 -------------- LEISURE AND RECREATION -- 0.5% 37,605 Hilton Hotels Corp. ..... 1,258,639 30,085 National CineMedia, Inc.*(8).............. 842,681 79,130 Regal Entertainment Group -- Class A(8)... 1,735,321 52,411 Royal Caribbean Cruises, Ltd. (Liberia)(8)..... 2,252,625 -------------- 6,089,266 -------------- MACHINERY -- 0.6% 67,909 AGCO Corp.*.............. 2,947,929 19,506 Rockwell Automation, Inc. ................. 1,354,497 9,343 Terex Corp.*............. 759,586 19,426 The Manitowoc Company, Inc. ................. 1,561,462 -------------- 6,623,474 -------------- MANUFACTURING -- 3.6% 46,800 American Woodmark Corp.(8).............. 1,619,280 266,900 Carlisle Companies, Inc. ................. 12,413,519 34,052 Cooper Industries, Ltd. -- Class A (Bermuda)............. 1,944,029 32,900 Crane Company............ 1,495,305 41,980 Eaton Corp. ............. 3,904,140 42,200 EnPro Industries, Inc.*.. 1,805,738 70,600 Furniture Brands International, Inc.(8)............... 1,002,520 62,082 Ingersoll-Rand Company, Ltd. -- Class A (Bermuda)............. 3,403,335 86,300 Leggett & Platt, Inc.(8)............... 1,902,915 53,400 Parker Hannifin Corp. ... 5,228,394 37,600 Precision Castparts Corp. ................ 4,563,136 83,400 Tredegar Corp. .......... 1,776,420 -------------- 41,058,731 -------------- MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 5.3% 210,700 CR Bard, Inc.(8)......... 17,410,141 58,100 Dade Behring Holdings, Inc. ................. 3,086,272 83,981 Health Management Associates, Inc. -- Class A....... 954,024 34,062 Health Net, Inc.*........ 1,798,474 16,443 Humana, Inc.*............ 1,001,543 557,500 IMS Health, Inc. ........ 17,912,475 60,700 Invacare Corp. .......... 1,112,631 31,400 Kindred Healthcare, Inc.*................. 964,608 10,096 McKesson Corp. .......... 602,125 377,345 Omnicare, Inc.(8)........ 13,607,061 23,000 Universal Health Services, Inc. -- Class B....... 1,414,500 -------------- 59,863,854 -------------- METALS AND MINING -- 0.9% 23,827 Freeport-McMoRan Copper & Gold, Inc. ........... 1,973,352 80,216 Nucor Corp. ............. 4,704,669 33,200 United States Steel Corp. ................ 3,610,500 -------------- 10,288,521 -------------- OFFICE EQUIPMENT, SUPPLIES, AND SERVICES -- 0.4% 99,900 IKON Office Solutions, Inc. ................. 1,559,439 10,623 Pitney Bowes, Inc. ...... 497,369 138,400 Steelcase, Inc. -- Class A(8).................. 2,560,400 -------------- 4,617,208 -------------- OIL, COAL AND GAS -- 8.8% 31,175 BJ Services Company...... 886,617 24,341 Cameron International Corp.*................ 1,739,651 104,028 El Paso Corp. ........... 1,792,402 57,674 Enbridge, Inc. (Canada)(8)........... 1,948,228 183,608 ENSCO International, Inc.(8)............... 11,201,924 196,400 Equitable Resources, Inc. ................. 9,733,584 47,181 GlobalSantaFe Corp. (Cayman Islands)...... 3,408,827 55,954 Hess Corp. .............. 3,299,048 109,198 Marathon Oil Corp. ...... 6,547,512 13,144 Nabors Industries, Ltd. (Bermuda)*............ 438,747 9,487 National-Oilwell Varco, Inc.*................. 988,925 30,048 Newfield Exploration Company*.............. 1,368,686 146,500 ONEOK, Inc. ............. 7,385,065 188,500 Patterson-UTI Energy, Inc.(8)............... 4,940,585 38,445 Pioneer Natural Resources Company............... 1,872,656 542,408 Questar Corp. ........... 28,666,262 11,421 Smith International, Inc. ................. 669,727 36,805 Southwestern Energy Company*.............. 1,637,823 79,312 Sunoco, Inc. ............ 6,319,580 33,000 Swift Energy Company*(8)........... 1,411,080 33,116 Weatherford International, Ltd. (Bermuda)*............ 1,829,328 -------------- 98,086,257 --------------
See notes to financial statements. 142 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PAPER AND FOREST PRODUCTS -- 0.4% 82,757 MeadWestvaco Corp. ...... $ 2,922,977 44,000 Plum Creek Timber Company, Inc. ........ 1,833,040 -------------- 4,756,017 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 2.3% 16,693 Hospira, Inc.*........... 651,695 243,874 King Pharmaceuticals, Inc.*................. 4,989,662 165,100 Millipore Corp.*(8)...... 12,397,358 81,072 Mylan Laboratories, Inc. ................. 1,474,700 58,800 Novo Nordisk A/S (ADR) (Denmark)............. 6,389,208 18,741 Watson Pharmaceuticals, Inc.*................. 609,645 -------------- 26,512,268 -------------- PRINTING AND PUBLISHING -- 0.4% 80,000 Gannett Company, Inc. ... 4,396,000 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.8% 196,974 Brookfield Asset Management, Inc. -- Class A (Canada)(8)........... 7,859,263 17,647 The St. Joe Company(8)... 817,762 -------------- 8,677,025 -------------- REAL ESTATE INVESTMENT TRUSTS -- 2.5% 56,100 American Home Mortgage Investment Corp.(8)... 1,031,118 210,000 Anthracite Capital, Inc.(8)............... 2,457,000 4,635 Boston Properties, Inc. ................. 473,373 36,100 Capital Trust, Inc. -- Class A....... 1,232,454 60,000 Entertainment Properties Trust................. 3,226,800 32,886 Equity Residential....... 1,500,588 84,700 Hospitality Properties Trust................. 3,514,203 114,600 HRPT Properties Trust.... 1,191,840 113,900 Innkeepers USA Trust..... 2,019,447 191,000 iStar Financial, Inc. ... 8,467,030 38,998 RAIT Investment Trust(8).............. 1,014,728 31,349 Rayonier, Inc. .......... 1,415,094 9,255 Simon Property Group, Inc. ................. 861,085 -------------- 28,404,760 -------------- RETAIL -- 2.3% 61,000 Borders Group, Inc.(8)... 1,162,660 269,900 Dollar Tree Stores, Inc.*................. 11,754,145 55,738 Family Dollar Stores, Inc.(8)............... 1,912,928 20,000 JC Penney Company, Inc.(8)............... 1,447,600 364,600 Staples, Inc. ........... 8,651,958 31,805 The Bon-Ton Stores, Inc. ................. 1,274,108 -------------- 26,203,399 -------------- RETAIL: RESTAURANTS -- 1.1% 26,500 Darden Restaurants, Inc. ................. 1,165,735 110,900 Ruby Tuesday, Inc. ...... 2,919,997 264,800 YUM! Brands, Inc. ....... 8,664,256 -------------- 12,749,988 -------------- RETAIL: SUPERMARKETS -- 0.3% 83,500 SUPERVALU, Inc. ......... 3,867,720 -------------- RUBBER PRODUCTS -- 0.1% 47,300 The Goodyear Tire & Rubber Company*....... 1,644,148 -------------- SEMICONDUCTORS -- 2.5% 44,500 Analog Devices, Inc. .... 1,674,980 48,276 Intersil Corp. -- Class A..................... 1,518,763 1,447,290 LSI Corp.*(8)............ 10,869,148 15,692 Maxim Integrated Products, Inc. ....... 524,270 28,633 Microchip Technology, Inc. ................. 1,060,566 56,224 Micron Technology, Inc.*................. 704,487 74,700 MKS Instruments, Inc.*... 2,069,190 69,185 National Semiconductor Corp. ................ 1,955,860 68,800 Novellus Systems, Inc.*(8).............. 1,951,856 280,700 STMicroelectronics NV (the Netherlands)(8).. 5,386,633 -------------- 27,715,753 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.1% 129,332 CenturyTel, Inc. ........ 6,343,734 6,414 Embarq Corp. ............ 406,455 145,564 Qwest Communications International, Inc.*(8).............. 1,411,971 160,300 RF Micro Devices, Inc.*(8).............. 1,000,272 130,047 Tellabs, Inc.*........... 1,399,306 105,718 Windstream Corp. ........ 1,560,398 -------------- 12,122,136 -------------- TOOLS -- 0.2% 27,919 The Stanley Works........ 1,694,683 -------------- TOYS -- 0.7% 80,144 Hasbro, Inc. ............ 2,517,323 222,600 Mattel, Inc. ............ 5,629,554 -------------- 8,146,877 -------------- TRANSPORTATION -- 1.2% 31,300 Arkansas Best Corp.(8)... 1,219,761 101,839 CSX Corp. ............... 4,590,902 19,334 Kansas City Southern*(8).......... 725,798 66,800 Laidlaw International, Inc. ................. 2,307,940 25,700 Overseas Shipholding Group, Inc. .......... 2,091,980 57,500 YRC Worldwide, Inc.*(8).. 2,116,000 -------------- 13,052,381 --------------
See notes to financial statements. 143 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) UTILITIES -- 7.4% 54,700 AGL Resources, Inc. ..... $ 2,214,256 237,200 Allegheny Energy, Inc.*.. 12,272,728 73,100 Alliant Energy Corp. .... 2,839,935 159,939 American Electric Power Company, Inc. ........ 7,203,653 463,900 CMS Energy Corp. ........ 7,979,080 22,423 Consolidated Edison, Inc.(8)............... 1,011,726 11,555 DPL, Inc.(8)............. 327,469 76,556 DTE Energy Company....... 3,691,530 30,824 Edison International..... 1,729,843 23,518 Mirant Corp.*............ 1,003,043 178,885 NiSource, Inc. .......... 3,704,708 27,900 OGE Energy Corp.(8)...... 1,022,535 121,972 Pinnacle West Capital Corp. ................ 4,860,584 387,526 PPL Corp. ............... 18,132,341 24,800 Progress Energy, Inc. ... 1,130,632 135,900 Puget Energy, Inc. ...... 3,286,062 35,655 Sempra Energy............ 2,111,846 210,300 TECO Energy, Inc.(8)..... 3,612,954 86,300 Westar Energy, Inc. ..... 2,095,364 179,800 Xcel Energy, Inc.(8)..... 3,680,506 -------------- 83,910,795 -------------- TOTAL COMMON STOCKS (Cost $957,049,813).... 1,095,860,787 -------------- PRINCIPAL --------- CONVERTIBLE BONDS -- 0.0% TELECOMMUNICATIONS EQUIPMENT AND SERVICES $ 251,000 Qwest Communications International, Inc., 3.50%, 11/15/25 (Cost $397,336)....... 441,133 -------------- SHORT TERM COMMERCIAL PAPER -- 0.3% 3,600,000 Ebury Finance, Ltd. (Cayman Islands), 5.45%, 07/02/07 (Cost $3,598,910)..... 3,598,910 -------------- SECURITIES LENDING COLLATERAL -- 16.1% 181,765,144 Securities Lending Collateral Investment (Note 4) (Cost $181,765,144)... 181,765,144 -------------- TOTAL SECURITIES (Cost $1,142,811,203).. 1,281,665,974 -------------- Principal Value - --------- -------------- REPURCHASE AGREEMENTS -- 2.2% $ 25,029,050 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $25,038,978 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.16%, due 04/01/34, with a value of $11,646,078, and various Small Business Administrations, 8.63%-8.88%, due 01/25/16-03/25/17, with a total value of $14,634,424) (Cost $25,029,050).......... 25,029,050 -------------- Total Investments -- 115.7% (Cost $1,167,840,253).. 1,306,695,024 Liabilities less other assets -- (15.7)%..... (177,720,020) -------------- NET ASSETS -- 100.0%..... $1,128,975,004 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $1,167,840,253. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.. $164,336,324 Gross unrealized depreciation.. (25,481,553) ------------ Net unrealized appreciation.... $138,854,771 ============
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 144 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 98.5% ADVERTISING -- 3.5% 82,560 Focus Media Holding, Ltd. (ADR) (China)*(8)...... $ 4,169,280 103,780 Lamar Advertising Company -- Class A..... 6,513,233 ------------ 10,682,513 ------------ AEROSPACE AND DEFENSE -- 1.9% 139,760 BE Aerospace, Inc.*(8).... 5,772,088 ------------ APPAREL: MANUFACTURING AND RETAIL -- 8.1% 62,900 Coach, Inc.*.............. 2,980,831 135,000 Crocs, Inc.*(8)........... 5,809,050 130,605 J Crew Group, Inc.*....... 7,064,425 60,450 Nordstrom, Inc. .......... 3,090,204 106,720 Phillips-Van Heusen Corp. ................. 6,464,030 ------------ 25,408,540 ------------ CHEMICALS -- 2.8% 104,435 Albemarle Corp. .......... 4,023,881 89,160 International Flavors & Fragrances, Inc. ...... 4,648,802 ------------ 8,672,683 ------------ COMMERCIAL SERVICES -- 2.7% 267,840 Quanta Services, Inc.*(8)............... 8,214,653 ------------ COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 5.5% 321,910 Activision, Inc.*(8)...... 6,010,060 73,675 DST Systems, Inc.*(8)..... 5,835,797 74,801 FactSet Research Systems, Inc. .................. 5,112,648 ------------ 16,958,505 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.0% 166,930 Chicago Bridge & Iron Company NV (the Netherlands)........... 6,299,938 ------------ CONSUMER GOODS AND SERVICES -- 3.6% 155,465 Avon Products, Inc. ...... 5,713,338 178,538 Fossil, Inc.*............. 5,265,086 ------------ 10,978,424 ------------ CONTAINERS AND PACKAGING -- 2.5% 216,515 Owens-Illinois, Inc.*..... 7,578,025 ------------ CORRECTIONAL FACILITIES -- 2.4% 118,185 Corrections Corp. of America*............... 7,458,655 ------------ DIVERSIFIED OPERATIONS AND SERVICES -- 2.4% 68,000 Textron, Inc. ............ 7,487,480 ------------ EDUCATION -- 1.7% 30,000 Apollo Group, Inc. -- Class A*....... 1,752,900 29,200 ITT Educational Services, Inc.*.................. 3,427,496 ------------ 5,180,396 ------------ ELECTRONICS -- 2.1% 333,531 Gentex Corp.(8)........... 6,567,225 ------------ ENERGY SERVICES -- 3.7% 79,385 McDermott International, Inc. (Panama)*......... 6,598,481 75,500 SunPower Corp. -- Class A*(8).................. 4,760,275 ------------ 11,358,756 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 1.3% 88,670 Stericycle, Inc.*(8)...... 3,942,268 ------------ FINANCIAL SERVICES -- 1.0% 60,175 T Rowe Price Group, Inc. .................. 3,122,481 ------------ INTERNET SERVICES -- 5.1% 74,985 F5 Networks, Inc.*........ 6,043,791 302,510 VeriSign, Inc.*........... 9,598,642 ------------ 15,642,433 ------------ MANUFACTURING -- 5.5% 46,720 Precision Castparts Corp. ................. 5,669,939 78,378 SPX Corp. ................ 6,882,372 111,505 Zebra Technologies Corp. -- Class A*...... 4,319,704 ------------ 16,872,015 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 5.8% 32,180 Intuitive Surgical, Inc.*(8)............... 4,465,619 144,095 St Jude Medical, Inc.*(8)............... 5,978,502 195,975 VCA Antech, Inc.*(8)...... 7,386,297 ------------ 17,830,418 ------------ METALS AND MINING -- 1.9% 44,454 Carpenter Technology Corp.(8)............... 5,792,801 ------------ OIL, COAL AND GAS -- 6.7% 126,505 Cameron International Corp.*(8).............. 9,041,312 86,500 Grant Prideco, Inc.*...... 4,656,295 102,100 Range Resources Corp. .... 3,819,561 49,000 W-H Energy Services, Inc.*.................. 3,033,590 ------------ 20,550,758 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 4.6% 100,125 Celgene Corp.*............ 5,740,166 112,390 Shire PLC (ADR) (United Kingdom)............... 8,331,471 ------------ 14,071,637 ------------ RETAIL: RESTAURANTS -- 1.5% 55,000 Chipotle Mexican Grill, Inc. -- Class A*(8).... 4,690,400 ------------
See notes to financial statements. 145 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 7.0% 41,655 Mettler-Toledo International, Inc.*... $ 3,978,469 68,900 Pall Corp. ............... 3,168,711 136,725 Thermo Fisher Scientific, Inc.*.................. 7,071,417 230,950 Trimble Navigation, Ltd.*.................. 7,436,590 ------------ 21,655,187 ------------ SEMICONDUCTORS -- 3.2% 79,000 NVIDIA Corp.*............. 3,263,490 615,075 ON Semiconductor Corp.*... 6,593,604 ------------ 9,857,094 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 10.0% 218,916 American Tower Corp. -- Class A*...... 9,194,472 194,300 Ciena Corp.*(8)........... 7,020,059 114,620 NII Holdings, Inc.*....... 9,254,420 165,825 Polycom, Inc.*............ 5,571,720 ------------ 31,040,671 ------------ TOTAL COMMON STOCKS (Cost $254,170,000)..... 303,686,044 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 22.7% $70,162,239 Securities Lending Collateral Investment (Note 4) (Cost $70,162,239)..... 70,162,239 ------------ TOTAL SECURITIES (Cost $324,332,239).... 373,848,283 ------------ Principal Value - --------- ------------ REPURCHASE AGREEMENTS -- 2.3% $ 7,138,156 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $7,140,987 (Collateralized by Fannie Mae Adjustable Rate, 4.68%, due 11/01/34, with a value of $6,275,578 and Small Business Administration, 7.63%, due 10/25/24 with a value of $1,219,486) (Cost $7,138,156)...... $ 7,138,156 ------------ Total Investments -- 123.5% (Cost $331,470,395).... 380,986,439 Liabilities less other assets -- (23.5)%...... (72,538,652) ------------ NET ASSETS -- 100.0%...... $308,447,787 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $331,470,395. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $50,416,416 Gross unrealized depreciation... (900,372) ----------- Net unrealized appreciation..... $49,516,044 ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 146 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 98.8% AEROSPACE AND DEFENSE -- 2.3% 12,403 AAR Corp.*................ $ 409,423 18,114 Curtiss-Wright Corp. ..... 844,294 67,133 United Industrial Corp.(8)............... 4,026,637 ------------ 5,280,354 ------------ AIRLINES -- 0.6% 32,287 Alaska Air Group, Inc.*... 899,516 71,943 ExpressJet Holdings, Inc.*.................. 430,219 ------------ 1,329,735 ------------ APPAREL: MANUFACTURING AND RETAIL -- 2.1% 30,775 Brown Shoe Company, Inc. .................. 748,448 95,395 K-Swiss, Inc. -- Class A(8)................... 2,702,541 3,097 Oxford Industries, Inc. .. 137,321 17,606 Perry Ellis International, Inc.*.................. 566,385 3,939 Shoe Carnival, Inc.*...... 108,283 5,247 Stage Stores, Inc. ....... 109,977 16,328 Steven Madden, Ltd. ...... 534,905 ------------ 4,907,860 ------------ AUTOMOBILE: RENTAL -- 0.3% 17,881 Dollar Thrifty Automotive Group, Inc.*........... 730,260 ------------ AUTOMOBILE: RETAIL -- 1.7% 25,163 Asbury Automotive Group, Inc. .................. 627,817 94,431 Sonic Automotive, Inc. ... 2,735,666 32,681 The Pep Boys -- Manny, Moe & Jack................. 658,849 ------------ 4,022,332 ------------ AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 4.3% 5,483 ArvinMeritor, Inc. ....... 121,723 40,924 BorgWarner, Inc. ......... 3,521,101 37,489 Monaco Coach Corp. ....... 537,967 62,436 Oshkosh Truck Corp. ...... 3,928,473 104,427 Spartan Motors, Inc.(8)... 1,777,348 2,857 Tenneco Automotive, Inc.*.................. 100,109 5,096 Winnebago Industries, Inc. .................. 150,434 ------------ 10,137,155 ------------ BANKS -- 10.7% 187,509 Brookline Bancorp, Inc.(8)................ 2,158,229 136,480 Citizens Banking Corp. -- Michigan(8)... 2,497,584 18,840 City Bank................. 593,648 3,239 Community Bank System, Inc. .................. 64,845 129,926 Corus Bankshares, Inc.(8)................ 2,242,523 239,314 First Commonwealth Financial Corp.(8)..... 2,613,309 20,712 First Community Bancshares, Inc. ...... 646,007 44,616 First Financial Bancorp... 668,794 35,653 Franklin Bank Corp. -- Houston, Texas*................. 531,230 33,811 Frontier Financial Corp. ................. 761,762 14,256 IBERIABANK Corp. ......... 704,959 27,198 Integra Bank Corp. ....... 583,941 37,936 Midwest Banc Holdings, Inc. .................. 550,072 40,237 National Penn Bancshares, Inc. .................. 671,153 34,505 Pacific Capital Bancorp... 930,945 2,898 Prosperity Bancshares, Inc. .................. 94,938 11,985 Simmons First National Corp. -- Class A....... 330,666 59,566 Sterling Bancshares, Inc. -- Texas.......... 673,691 4,823 Suffolk Bancorp........... 153,950 20,382 UMB Financial Corp. ...... 751,484 4,396 United Bankshares, Inc. .. 139,793 109,531 Washington Federal, Inc. .................. 2,662,698 24,209 Washington Trust Bancorp, Inc. .................. 610,309 2,207 WesBanco, Inc. ........... 65,107 19,912 West Coast Bancorp........ 605,126 81,607 Whitney Holding Corp. .... 2,456,371 ------------ 24,763,134 ------------ BROADCAST SERVICES/MEDIA -- 1.3% 8,790 Gray Television, Inc. .... 81,483 189,985 Journal Communications, Inc. -- Class A........ 2,471,705 32,184 Knology, Inc.*............ 559,036 ------------ 3,112,224 ------------ BUSINESS SERVICES -- 0.1% 3,379 CRA International, Inc.*.. 162,868 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.7% 34,385 Gevity HR, Inc. .......... 664,662 10,386 Heidrick & Struggles International, Inc.*... 532,179 7,433 Kelly Services, Inc. -- Class A........ 204,110 29,019 Spherion Corp.*........... 272,488 ------------ 1,673,439 ------------ CHEMICALS -- 0.9% 22,957 Arch Chemicals, Inc. ..... 806,709 4,240 Georgia Gulf Corp. ....... 76,786 28,653 HB Fuller Company......... 856,439 15,662 Spartech Corp. ........... 415,826 ------------ 2,155,760 ------------
See notes to financial statements. 147 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 4.2% 17,774 CACI International, Inc. -- Class A*....... $ 868,260 210,980 Digi International, Inc.*.................. 3,109,845 25,209 Manhattan Associates, Inc.*.................. 703,583 79,509 MTS Systems Corp. ........ 3,551,668 38,106 PC Connection, Inc.*...... 504,523 3,828 SRA International, Inc. -- Class A*....... 96,695 40,593 Sybase, Inc.*............. 969,767 ------------ 9,804,341 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.9% 30,565 ABM Industries, Inc. ..... 788,883 56,759 Granite Construction, Inc. .................. 3,642,792 56,702 Universal Forest Products, Inc.(8)................ 2,396,227 ------------ 6,827,902 ------------ CONSUMER GOODS AND SERVICES -- 0.4% 22,025 Regis Corp. .............. 842,456 ------------ CONTAINERS AND PACKAGING -- 0.3% 13,711 Silgan Holdings, Inc. .... 757,944 ------------ DIVERSIFIED OPERATIONS AND SERVICES -- 1.2% 10,917 Chemed Corp. ............. 723,688 58,299 ESCO Technologies, Inc.*(8)............... 2,113,922 ------------ 2,837,610 ------------ EDUCATION -- 0.2% 42,969 INVESTools, Inc.*......... 427,971 ------------ ELECTRONICS -- 1.2% 17,069 CTS Corp. ................ 216,094 15,933 Littelfuse, Inc.*......... 538,057 47,172 Methode Electronics, Inc. .................. 738,242 25,851 Plexus Corp.*............. 594,314 23,316 Technitrol, Inc. ......... 668,470 ------------ 2,755,177 ------------ EQUIPMENT RENTAL AND LEASING -- 0.3% 28,156 Rent-A-Center, Inc.*...... 738,532 ------------ FINANCIAL SERVICES -- 3.1% 13,205 ASTA Funding, Inc. ....... 507,468 4,471 Boston Private Financial Holdings, Inc. ........ 120,136 97,167 Calamos Asset Management, Inc. -- Class A........ 2,482,616 17,161 Cash America International, Inc. ... 680,434 3,033 CompuCredit Corp.*........ 106,216 12,825 National Financial Partners Corp. ........ 593,926 2,949 Piper Jaffray Companies, Inc.*.................. 164,348 120,269 SWS Group, Inc. .......... 2,600,215 ------------ 7,255,359 ------------ FOOD AND BEVERAGE -- 0.7% 17,609 Pilgrim's Pride Corp. .... 672,136 13,489 Ralcorp Holdings, Inc.*... 720,986 7,392 Sanderson Farms, Inc. .... 332,788 ------------ 1,725,910 ------------ FUNERAL SERVICES -- 1.5% 270,464 Service Corp. International.......... 3,456,530 ------------ INSURANCE -- 5.3% 4,611 Argonaut Group, Inc. ..... 143,909 30,237 Aspen Insurance Holdings, Ltd. (Bermuda)......... 848,753 38,331 CNA Surety Corp.*......... 724,839 22,631 Delphi Financial Group, Inc. -- Class A........ 946,427 16,959 FBL Financial Group, Inc. -- Class A........ 666,828 26,109 Max Capital Group, Ltd. (Bermuda).............. 738,885 50,779 Meadowbrook Insurance Group, Inc.*........... 556,538 42,411 Montpelier Re Holdings, Ltd. (Bermuda)......... 786,300 22,637 Platinum Underwriters Holdings, Ltd. (Bermuda).............. 786,636 50,196 Primus Guaranty, Ltd. (Bermuda)*............. 538,101 3,490 RLI Corp. ................ 195,266 83,498 The Commerce Group, Inc. .................. 2,899,050 48,166 The Phoenix Companies, Inc. .................. 722,972 9,047 United America Indemnity, Ltd. -- Class A (Cayman Islands)*.............. 224,999 23,147 United Fire & Casualty Company................ 818,941 16,939 Zenith National Insurance Corp. ................. 797,658 ------------ 12,396,102 ------------ INTERNET SERVICES -- 0.7% 50,820 3Com Corp*................ 209,887 85,494 CMGI, Inc.*............... 166,713 57,555 RealNetworks, Inc.*....... 470,224 96,979 S1 Corp.*................. 774,862 ------------ 1,621,686 ------------ LEISURE AND RECREATION -- 1.7% 140,347 Blockbuster, Inc. -- Class A*..................... 604,896 41,979 Bluegreen Corp.*.......... 490,735 122,512 The Marcus Corp. ......... 2,910,884 ------------ 4,006,515 ------------
See notes to financial statements. 148 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) MACHINERY -- 2.0% 132,566 Applied Industrial Technologies, Inc. .... $ 3,910,697 22,692 Sauer-Danfoss, Inc. ...... 675,314 ------------ 4,586,011 ------------ MANUFACTURING -- 3.8% 12,980 Acuity Brands, Inc. ...... 782,434 2,723 Ameron International Corp. ................. 245,587 20,168 AO Smith Corp. ........... 804,502 27,011 AptarGroup, Inc. ......... 960,511 85,955 CIRCOR International, Inc. .................. 3,475,160 5,227 EnPro Industries, Inc.*... 223,663 27,871 Gibraltar Industries, Inc. .................. 617,343 35,621 GrafTech International, Ltd.*.................. 599,858 10,890 Quanex Corp. ............. 530,343 33,615 Tredegar Corp. ........... 716,000 ------------ 8,955,401 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 6.2% 24,423 AMERIGROUP Corp.*......... 581,267 5,414 Centene Corp.*............ 115,968 11,858 Landauer, Inc. ........... 584,007 67,696 Magellan Health Services, Inc.*.................. 3,145,833 13,108 MedCath Corp.*............ 416,834 69,950 Owens & Minor, Inc. ...... 2,444,053 111,547 Syneron Medical, Ltd. (Israel)*(8)........... 2,783,098 16,392 Vital Images, Inc.*....... 445,207 72,247 West Pharmaceutical Services, Inc.(8)...... 3,406,446 22,037 Zoll Medical Corp.*....... 491,645 ------------ 14,414,358 ------------ METALS AND MINING -- 0.0% 2,811 Olympic Steel, Inc. ...... 80,563 ------------ OIL, COAL AND GAS -- 8.8% 8,725 Dawson Geophysical Company*............... 536,239 73,592 Frontier Oil Corp. ....... 3,221,122 20,535 Gulf Island Fabrication, Inc. .................. 712,565 15,411 Headwaters, Inc.*......... 266,148 49,322 Holly Corp. .............. 3,659,198 72,688 National Fuel Gas Company................ 3,148,117 17,790 Oil States International, Inc.*.................. 735,439 36,480 Parker Drilling Company*.. 384,499 75,768 Penn Virginia Corp. ...... 3,045,874 4,341 Petroleum Development Corp.*................. 206,111 3,229 Stone Energy Corp.*....... 110,626 100,639 World Fuel Services Corp. ................. 4,232,875 ------------ 20,258,813 ------------ PAPER AND FOREST PRODUCTS -- 0.4% 34,163 Buckeye Technologies, Inc.*.................. 528,502 14,282 Rock-Tenn Company -- Class A...................... 453,025 ------------ 981,527 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 4.8% 158,985 Exponent, Inc.*........... 3,556,495 88,399 Immunomedics, Inc.*....... 366,856 43,682 Incyte Corp.*............. 262,092 40,013 Indevus Pharmaceuticals, Inc.*.................. 269,287 173,260 Mannatech, Inc.(8)........ 2,753,101 82,771 Maxygen, Inc.*............ 709,347 145,015 Perrigo Company........... 2,839,395 30,743 ViroPharma, Inc.*......... 424,253 ------------ 11,180,826 ------------ PRINTING AND PUBLISHING -- 0.5% 7,521 Consolidated Graphics, Inc.*.................. 521,055 36,423 Lee Enterprises, Inc. .... 759,784 ------------ 1,280,839 ------------ REAL ESTATE INVESTMENT TRUSTS -- 7.8% 58,298 Ashford Hospitality Trust.................. 685,584 16,831 BRT Realty Trust.......... 437,774 14,223 Capital Trust, Inc. -- Class A........ 485,573 13,824 Entertainment Properties Trust.................. 743,455 6,310 Extra Space Storage, Inc. .................. 104,115 16,922 First Industrial Realty Trust, Inc. ........... 655,897 82,110 Getty Realty Corp. ....... 2,157,851 53,183 Healthcare Realty Trust, Inc.(8)................ 1,477,424 17,903 Hersha Hospitality Trust.. 211,613 14,947 LaSalle Hotel Properties.. 648,999 42,771 Lexington Realty Trust.... 889,637 63,940 MFA Mortgage Investments, Inc. .................. 465,483 106,448 National Retail Properties, Inc.(8).... 2,326,954 14,462 Nationwide Health Properties, Inc. ...... 393,366 22,835 Newcastle Investment Corp. ................. 572,473 58,135 Rayonier, Inc. ........... 2,624,215 4,344 Realty Income Corp. ...... 109,425 47,366 Sovran Self Storage, Inc. .................. 2,281,147 25,773 Sunstone Hotel Investors, Inc. .................. 731,695 ------------ 18,002,680 ------------ RETAIL -- 3.1% 29,839 Casey's General Stores, Inc. .................. 813,411 200,443 EZCORP, Inc. -- Class A*.. 2,653,865
See notes to financial statements. 149 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 20,938 Jo-Ann Stores, Inc.*...... $ 595,267 70,754 The Pantry, Inc.*......... 3,261,760 ------------ 7,324,303 ------------ RETAIL: RESTAURANTS -- 1.0% 31,830 AFC Enterprises, Inc.*.... 550,341 28,650 Applebee's International, Inc. .................. 690,465 20,627 CEC Entertainment, Inc.*.. 726,070 7,991 Domino's Pizza, Inc. ..... 145,996 4,343 Jack in the Box, Inc.*.... 308,092 ------------ 2,420,964 ------------ RETAIL: SUPERMARKETS -- 1.0% 55,136 Weis Markets, Inc. ....... 2,233,559 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.2% 7,162 Varian, Inc.*............. 392,692 ------------ SEMICONDUCTORS -- 2.3% 335,055 Conexant Systems, Inc.*... 462,376 16,657 Genesis Microchip, Inc.*.. 155,910 228,258 OmniVision Technologies, Inc.*(8)............... 4,133,752 77,696 PMC-Sierra, Inc.*......... 600,590 ------------ 5,352,628 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.1% 38,223 Alaska Communications Systems Group, Inc. ... 605,452 2,010 Anixter International, Inc.*.................. 151,172 11,150 Golden Telecom, Inc. ..... 613,362 10,852 Powerwave Technologies, Inc.*.................. 72,708 57,260 Premiere Global Services, Inc.*.................. 745,525 13,131 Superior Essex, Inc.*..... 490,443 ------------ 2,678,662 ------------ TOYS -- 0.2% 22,474 Marvel Entertainment, Inc.*.................. 572,638 ------------ TRANSPORTATION -- 3.4% 84,058 Arkansas Best Corp.(8).... 3,275,740 4,355 Pacer International, Inc. .................. 102,430 27,229 Saia, Inc.*............... 742,263 52,680 Tidewater, Inc.(8)........ 3,733,958 ------------ 7,854,391 ------------ UTILITIES -- 3.5% 70,857 American States Water Company(8)............. 2,520,383 33,571 El Paso Electric Company*............... 824,504 8,959 Nicor, Inc. .............. 384,520 80,860 UIL Holdings Corp. ....... 2,676,466 22,986 Unisource Energy Corp. ... 756,010 39,374 Westar Energy, Inc. ...... 956,001 ------------ 8,117,884 ------------ TOTAL COMMON STOCKS (Cost $223,787,410).... 230,417,895 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 18.1% $42,332,931 Securities Lending Collateral Investment (Note 4) (Cost $42,332,931)..... 42,332,931 ------------ TOTAL SECURITIES (Cost $266,120,341).... 272,750,826 ------------ REPURCHASE AGREEMENTS -- 0.7% 1,640,031 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $1,640,682 (Collateralized by various Small Business Administrations, 8.13%- 8.88%, due 08/25/14 -- 04/25/27, with a total value of $1,722,033) (Cost $1,640,031)............ 1,640,031 ------------ Total Investments -- 117.6% (Cost $267,760,372).... 274,390,857 Liabilities less other assets -- (17.6)%...... (40,979,701) ------------ NET ASSETS -- 100.0%...... $233,411,156 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $267,760,372. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $16,335,003 Gross unrealized depreciation... (9,704,518) ----------- Net unrealized appreciation..... $ 6,630,485 ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 150 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 98.1% AEROSPACE AND DEFENSE -- 0.7% 69,370 BE Aerospace, Inc.*...... $ 2,864,981 92,240 HEICO Corp.(8)........... 3,881,460 82,323 Orbital Sciences Corp.*.. 1,729,606 5,827 United Industrial Corp.(8).............. 349,503 -------------- 8,825,550 -------------- AGRICULTURE -- 0.4% 87,429 CF Industries Holdings, Inc. ................. 5,236,123 -------------- AIRLINES -- 0.9% 326,020 AirTran Holdings, Inc.*(8).............. 3,560,139 14,500 Alaska Air Group, Inc.*.. 403,970 100,060 Allegiant Travel Company*.............. 3,075,844 8,760 Continental Airlines, Inc. -- Class B*(8)... 296,701 113,900 ExpressJet Holdings, Inc.*................. 681,122 146,317 Pinnacle Airlines Corp.*(8)............. 2,743,444 -------------- 10,761,220 -------------- APPAREL: MANUFACTURING AND RETAIL -- 4.9% 82,511 Aeropostale, Inc.*(8).... 3,439,058 44,700 AnnTaylor Stores Corp.*.. 1,583,274 13,650 Columbia Sportswear Company............... 937,482 192,090 Crocs, Inc.*(8).......... 8,265,632 60,047 Deckers Outdoor Corp.*(8)............. 6,058,742 129,190 Iconix Brand Group, Inc.*................. 2,870,602 32,813 Jos A Bank Clothiers, Inc.*(8).............. 1,360,755 127,155 Kellwood Company(8)...... 3,575,599 26,865 Mothers Work, Inc.*...... 840,069 3,400 Phillips-Van Heusen Corp. ................ 205,938 536,350 Quiksilver, Inc.*........ 7,578,626 327,258 Stage Stores, Inc. ...... 6,859,328 170,075 The Cato Corp. -- Class A..................... 3,731,446 98,146 The Talbots, Inc.(8)..... 2,456,594 174,100 The Wet Seal, Inc. -- Class A*(8)... 1,046,341 42,150 Tween Brands, Inc.*...... 1,879,890 32,000 Urban Outfitters, Inc.*.. 768,960 40,330 Volcom, Inc.*............ 2,021,743 77,000 Wolverine World Wide, Inc. ................. 2,133,670 -------------- 57,613,749 -------------- AUTOMOBILE: RENTAL -- 0.2% 71,800 Hertz Global Holdings, Inc.*................. 1,907,726 -------------- AUTOMOBILE: RETAIL -- 0.1% 29,500 The Pep Boys -- Manny, Moe & Jack............ 594,720 -------------- AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 0.8% 90,629 Aftermarket Technology Corp.*................ 2,689,869 63,900 Amerigon, Inc.*.......... 1,149,561 50,947 Hayes Lemmerz International, Inc.*.. 272,566 77,674 Modine Manufacturing Company............... 1,755,432 159,673 Monaco Coach Corp. ...... 2,291,308 81,606 Standard Motor Products, Inc. ................. 1,226,538 11,776 Winnebago Industries, Inc. ................. 347,628 -------------- 9,732,902 -------------- BANKS -- 5.2% 25,997 1st Source Corp. ........ 647,845 22,416 AMCORE Financial, Inc. .. 649,840 21,292 Ameris Bancorp........... 478,431 22,378 BancFirst Corp. ......... 958,226 15,700 BancorpSouth, Inc. ...... 384,022 18,485 Bank of Granite Corp. ... 308,515 6,341 BankFinancial Corp. ..... 97,968 10,043 Camden National Corp. ... 393,083 3,421 Capital Corp of the West.................. 81,967 4,300 Centennial Bank Holdings, Inc.*................. 36,421 10,167 Center Financial Corp. .. 172,026 10,600 Central Pacific Financial Corp. ...... 349,906 6,341 Chittenden Corp. ........ 221,618 5,800 Citizens Banking Corp. -- Michigan(8).. 106,140 33,916 City Bank................ 1,068,693 24,905 City Holding Company..... 954,609 10,197 City National Corp. ..... 775,890 22,378 Columbia Banking System, Inc. ......... 654,557 2,616 Community Bancorp*....... 73,196 76,546 Community Bank System, Inc. ......... 1,532,451 23,197 Community Trust Bancorp, Inc. ........ 749,263 102,390 Corus Bankshares, Inc.(8)............... 1,767,251 59,929 Dime Community Bancshares............ 790,464 38,800 East West Bancorp, Inc. ................. 1,508,544 6,542 Financial Institutions, Inc. ................. 132,083 19,503 First Charter Corp. ..... 379,723 6,524 First Citizens Bancshares, Inc. -- Class A....... 1,268,266 33,229 First Commonwealth Financial Corp.(8).... 362,861
See notes to financial statements. 151 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 4,127 First Community Bancshares, Inc. ..... $ 128,721 85,000 First Financial Bancorp(8)............ 1,274,150 28,408 First Financial Bankshares, Inc.(8)... 1,102,514 7,954 First Financial Corp. ... 233,529 16,667 First Financial Holdings, Inc. ................. 545,178 35,125 First Indiana Corp. ..... 776,965 4,132 First Merchants Corp. ... 99,292 84,318 First Midwest Bancorp, Inc. ................. 2,994,132 58,492 First Niagara Financial Group, Inc. .......... 766,245 8,354 First Place Financial Corp. ................ 176,436 2,213 First Regional Bancorp*.. 56,299 37,436 Flagstar Bancorp, Inc.(8)............... 451,104 92,402 Frontier Financial Corp.(8).............. 2,081,817 15,700 Glacier Bancorp, Inc.(8)............... 319,495 5,216 Great Southern Bancorp, Inc. ................. 141,093 54,502 Hancock Holding Company(8)............ 2,046,550 3,727 Heritage Commerce Corp. ................ 88,255 14,660 Home Bancshares, Inc.(8)............... 330,583 20,175 Horizon Financial Corp. ................ 439,613 19,597 Independent Bank Corp. -- Massachusetts 578,895 13,914 Independent Bank Corp. -- Michigan..... 239,460 24,037 Integra Bank Corp. ...... 516,074 121,506 International Bancshares Corp.(8).............. 3,112,985 17,461 ITLA Capital Corp. ...... 910,067 29,515 KNBT Bancorp, Inc. ...... 433,871 17,492 Lakeland Bancorp, Inc.(8)............... 232,644 13,863 Lakeland Financial Corp. ................ 294,866 78,331 MB Financial, Inc.(8).... 2,721,219 4,630 Nara Bancorp, Inc. ...... 73,756 6,541 National Penn Bancshares, Inc. ................. 109,104 5,838 NBT Bancorp, Inc. ....... 131,705 198,519 NewAlliance Bancshares, Inc.(8)... 2,922,200 14,670 OceanFirst Financial Corp. ................ 258,192 12,783 Old National Bancorp(8).. 212,326 15,046 Old Second Bancorp, Inc.(8)............... 438,741 4,127 Omega Financial Corp. ... 110,975 3,243 Oriental Financial Group, Inc. -- Puerto Rico... 35,381 28,119 Oritani Financial Corp.*................ 401,821 2,616 Park National Corp.(8)... 221,811 6,542 Partners Trust Financial Group, Inc. .......... 68,691 6,542 People's Bancorp, Inc. .. 177,092 38,352 PFF Bancorp, Inc. ....... 1,071,171 13,167 Preferred Bank -- Los Angeles, California... 526,680 7,750 Provident Bankshares Corp. ................ 254,045 1,700 Royal Bancshares of Pennsylvania, Inc. -- Class A....... 33,507 29,547 S&T Bancorp, Inc. ....... 972,096 6,723 Sandy Spring Bancorp, Inc. ................. 211,371 16,378 Santander BanCorp -- Puerto Rico.................. 243,377 6,633 SCBT Financial Corp. .... 241,441 6,000 Signature Bank*.......... 204,600 13,567 Simmons First National Corp. -- Class A...... 374,314 12,532 Sterling Bancshares, Inc. -- Texas......... 141,737 7,549 Sterling Financial Corp. -- Pennsylvania.......... 79,415 16,115 Sterling Financial Corp. -- Spokane(8)... 466,368 16,254 Suffolk Bancorp.......... 518,828 15,267 SY Bancorp, Inc.(8)...... 362,744 8,732 Taylor Capital Group, Inc. ................. 240,392 13,441 TrustCo Bank Corp. NY(8)................. 132,797 56,847 Trustmark Corp. ......... 1,470,063 15,765 Union Bankshares Corp. .. 365,748 51,425 United Bankshares, Inc.(8)............... 1,635,315 5,032 United Community Banks, Inc. -- Georgia(8).... 130,278 29,808 United Community Financial Corp. ...... 297,484 4,020 Univest Corp. of Pennsylvania(8)....... 90,530 15,256 USB Holding Company, Inc. ................. 290,779 16,911 Washington Federal, Inc. ................. 411,106 16,061 Washington Trust Bancorp, Inc. ........ 404,898 3,623 Wauwatosa Holdings, Inc.*................. 59,924 15,075 WesBanco, Inc. .......... 444,713 5,838 West Bancorp(8).......... 93,233 15,776 West Coast Bancorp....... 479,433 56,826 Westamerica Bancorp(8)... 2,513,982 11,978 Western Alliance Bancorp*.............. 357,543 4,400 Wintrust Financial Corp. ................ 192,940 19,470 WSFS Financial Corp. .... 1,273,922 -------------- 61,744,480 --------------
See notes to financial statements. 152 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BROADCAST SERVICES/MEDIA -- 0.8% 107,805 Citadel Broadcasting Corp.(8).............. $ 695,342 148,320 Cumulus Media, Inc. -- Class A*(8)... 1,386,792 85,400 DG Fastchannel, Inc.*.... 1,740,452 20,434 Emmis Communications Corp. -- Class A...... 188,197 80,246 Entercom Communications Corp.(8).............. 1,997,323 4,000 Gray Television, Inc. ... 37,080 145,600 Martha Stewart Living Omnimedia, Inc. -- Class A(8).... 2,504,320 96,808 Sinclair Broadcast Group, Inc. -- Class A....... 1,376,610 -------------- 9,926,116 -------------- BUSINESS SERVICES AND SUPPLIES -- 3.4% 16,821 Ambassadors Group, Inc. ................. 597,650 65,264 Arbitron, Inc. .......... 3,363,054 21,187 Authorize.Net Holdings, Inc.*................. 379,035 125,088 Barrett Business Services, Inc. ....... 3,231,023 7,600 CBIZ, Inc.*.............. 55,860 3,000 Clayton Holdings, Inc.*.. 34,170 201,754 CSG Systems International, Inc.*.. 5,348,499 150,817 Deluxe Corp. ............ 6,124,679 26,841 Diamond Management & Technology Consultants, Inc. .... 354,301 22,315 Fair Isaac Corp. ........ 895,278 47,264 First Consulting Group, Inc.*.......... 449,008 56,710 FirstService Corp. (Canada)*............. 2,042,694 24,748 Forrester Research, Inc.*................. 696,161 14,900 Global Payments, Inc. ... 590,785 32,103 Heidrick & Struggles International, Inc.*.. 1,644,958 6,900 Huron Consulting Group, Inc.*................. 503,769 101,268 MAXIMUS, Inc. ........... 4,393,006 52,950 Portfolio Recovery Associates, Inc.(8)... 3,178,059 90,924 Spherion Corp.*.......... 853,776 127,025 UniFirst Corp. .......... 5,595,451 -------------- 40,331,216 -------------- CHEMICALS -- 1.8% 66,967 Compass Minerals International, Inc.(8)............... 2,321,076 2,027 HB Fuller Company........ 60,587 43,642 Innospec, Inc. .......... 2,584,043 15,300 Metabolix, Inc. ......... 382,959 90,062 OM Group, Inc.*.......... 4,766,081 70,358 Spartech Corp. .......... 1,868,005 227,131 Terra Industries, Inc.*(8).............. 5,773,670 147,733 Tetra Tech, Inc.*........ 3,183,646 58,400 US BioEnergy Corp.*(8)... 663,424 -------------- 21,603,491 -------------- COMMERCIAL SERVICES -- 0.5% 7,700 DynCorp International, Inc. -- Class A*...... 169,323 70,570 HMS Holdings Corp.*...... 1,350,709 11,027 Standard Parking Corp.*.. 387,379 54,140 Steiner Leisure, Ltd. (Bahama Islands)*..... 2,659,356 25,139 Viad Corp. .............. 1,060,112 35,674 Volt Information Sciences, Inc.*(8).... 657,829 -------------- 6,284,708 -------------- COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 6.4% 31,800 Activision, Inc.*........ 593,706 34,690 Actuate Corp.*........... 235,545 167,200 Advent Software, Inc.*(8).............. 5,442,360 16,700 Ansoft Corp.*............ 492,483 146,363 AsiaInfo Holdings, Inc.*(8).............. 1,419,721 36,232 Aspen Technology, Inc.*.. 507,248 115,900 Avocent Corp.*........... 3,362,259 10,871 Black Box Corp. ......... 449,842 46,500 CommVault Systems, Inc.*................. 803,055 90,180 COMSYS IT Partners, Inc.*................. 2,057,006 132,860 Concur Technologies, Inc.*................. 3,035,851 7,100 Digi International, Inc.*................. 104,654 129,962 Electronics For Imaging, Inc.*................. 3,667,528 5,250 FactSet Research Systems, Inc. ................. 358,838 5,516 FARO Technologies, Inc.*................. 175,740 14,562 Imation Corp. ........... 536,755 133,600 Immersion Corp.*......... 2,001,328 10,670 Interactive Intelligence, Inc.*................. 219,802 58,400 Interwoven, Inc.*........ 819,936 17,500 Jack Henry & Associates, Inc. ................. 450,625 6,800 JDA Software Group, Inc.*................. 133,484 20,977 L-1 Identity Solutions, Inc.*(8).............. 428,980 43,230 Magma Design Automation, Inc.*................. 606,949 29,556 Manhattan Associates, Inc.*................. 824,908 111,485 Mentor Graphics Corp.*... 1,468,257
See notes to financial statements. 153 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER EQUIPMENT, SOFTWARE AND SERVICES (CONTINUED) 27,260 MicroStrategy, Inc. -- Class A*(8)... $ 2,575,797 47,440 MTS Systems Corp. ....... 2,119,145 125,380 Nuance Communications, Inc.*(8).............. 2,097,607 53,020 PROS Holdings, Inc.*..... 694,562 35,200 Quest Software, Inc.*.... 569,888 392,600 Red Hat, Inc.*(8)........ 8,747,129 15,500 Riverbed Technology, Inc.*(8).............. 679,210 31,300 Sigma Designs, Inc.*(8).. 816,617 29,997 Silicon Storage Technology, Inc.*..... 111,889 183,721 Sybase, Inc.*............ 4,389,095 124,909 Sykes Enterprises, Inc.*................. 2,372,022 71,814 Synaptics, Inc.*......... 2,570,223 69,590 Systems Xcellence, Inc. (Canada)*............. 2,002,104 209,700 THQ, Inc.*............... 6,400,044 8,600 Tyler Technologies, Inc.*................. 106,726 9,100 Western Digital Corp.*... 176,085 381,400 Wind River Systems, Inc.*................. 4,195,400 142,357 Xyratex, Ltd. (Bermuda)*............ 3,164,596 -------------- 73,984,999 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 1.4% 4,500 ABM Industries, Inc. .... 116,145 11,420 AMREP Corp.(8)........... 543,021 5,600 Beazer Homes USA, Inc. .. 138,152 13,846 BlueLinx Holdings, Inc. ................. 145,245 12,874 Dycom Industries, Inc.*.. 385,963 31,560 Granite Construction, Inc. ................. 2,025,521 111,586 Matrix Service Company*.. 2,772,912 8,600 Perini Corp.*............ 529,158 122,699 Simpson Manufacturing Company, Inc.(8)...... 4,139,863 4,551 Sterling Construction Company, Inc.*........ 96,254 56,040 Team, Inc.*.............. 2,520,119 11,900 The Ryland Group, Inc.(8)............... 444,703 141,699 Trex Company, Inc.*(8)... 2,781,551 -------------- 16,638,607 -------------- CONSUMER GOODS AND SERVICES -- 3.0% 57,822 Alberto-Culver Company... 1,371,538 32,111 Alliance One International, Inc.*.. 322,716 97,470 American Greetings Corp. -- Class A(8)... 2,761,325 47,700 Bare Escentuals, Inc.*... 1,628,955 112,106 Blyth, Inc. ............. 2,979,777 10,100 Chattem, Inc.*(8)........ 640,138 4,200 Church & Dwight Company, Inc. ................. 203,532 162,328 Helen Of Troy, Ltd. (Bermuda)*............ 4,382,856 79,302 Herbalife, Ltd. (Cayman Islands).............. 3,144,324 109,967 NBTY, Inc.*.............. 4,750,575 55,850 Nutri/System, Inc.*(8)... 3,900,564 209,681 Playtex Products, Inc.*.. 3,105,376 13,000 Prestige Brands Holdings, Inc.*................. 168,740 115,260 Rollins, Inc. ........... 2,624,470 135,160 Tempur-Pedic International, Inc.(8)............... 3,500,644 2,199 Vector Group, Ltd.(8).... 49,543 6,643 WD-40 Company............ 218,355 -------------- 35,753,428 -------------- DISTRIBUTION -- 1.3% 85,530 Houston Wire & Cable Company*(8)........... 2,429,907 70,760 LKQ Corp.*............... 1,744,942 79,236 United Stationers, Inc.*................. 5,280,287 101,093 Universal Corp. ......... 6,158,586 -------------- 15,613,722 -------------- DIVERSIFIED OPERATIONS AND SERVICES -- 0.2% 38,437 Compass Diversified Trust................. 685,332 29,400 ESCO Technologies, Inc.*................. 1,066,044 2,432 PICO Holdings, Inc.*..... 105,208 8,182 Standex International Corp. ................ 232,696 -------------- 2,089,280 -------------- EDUCATION -- 0.6% 84,910 DeVry, Inc. ............. 2,888,638 21,700 New Oriental Education & Technology Group, Inc. (ADR) (Cayman Islands)*............. 1,165,724 23,843 Strayer Education, Inc.(8)............... 3,140,362 -------------- 7,194,724 -------------- ELECTRICAL EQUIPMENT -- 0.3% 74,025 Greatbatch, Inc.*........ 2,398,410 86,100 Universal Display Corp.*(8)............. 1,352,631 -------------- 3,751,041 -------------- ELECTRONICS -- 2.4% 187,270 Belden CDT, Inc. ........ 10,365,394 11,650 Cubic Corp. ............. 351,597 710,850 Flextronics International, Ltd. (Singapore)*.......... 7,677,180
See notes to financial statements. 154 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) ELECTRONICS (CONTINUED) 2,900 Littelfuse, Inc.*........ $ 97,933 88,609 Methode Electronics, Inc. ................. 1,386,731 189,979 Micrel, Inc. ............ 2,416,533 277,358 Nam Tai Electronics, Inc. (British Virgin Islands).............. 3,306,107 35,400 Park Electrochemical Corp. ................ 997,572 5,838 Stoneridge, Inc.*........ 72,041 29,350 Synopsys, Inc.*.......... 775,721 20,200 Technitrol, Inc. ........ 579,134 -------------- 28,025,943 -------------- ENERGY SERVICES -- 0.1% 12,600 SunPower Corp. -- Class A*(8)................. 794,430 -------------- ENGINEERING -- 0.4% 54,209 EMCOR Group, Inc.*....... 3,951,836 7,000 Jacobs Engineering Group, Inc.*................. 402,570 -------------- 4,354,406 -------------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.3% 67,486 Metal Management, Inc. .. 2,974,108 22,571 Waste Industries USA, Inc. ................. 770,574 -------------- 3,744,682 -------------- EQUIPMENT RENTAL AND LEASING -- 0.2% 89,158 Rent-A-Center, Inc.*(8).. 2,338,614 -------------- FINANCIAL SERVICES -- 4.9% 20,850 Affiliated Managers Group, Inc.*(8)....... 2,684,646 194,710 Asset Acceptance Capital Corp.*................ 3,446,367 86,647 ASTA Funding, Inc.(8).... 3,329,844 1,906 Capital Southwest Corp. ................ 296,936 84,725 Credit Acceptance Corp.*(8)............. 2,273,172 305,550 E*TRADE Financial Corp.*................ 6,749,600 4,600 Eaton Vance Corp. ....... 203,228 13,700 Equifax, Inc. ........... 608,554 41,000 FBR Capital Markets Corp.*(8)............. 692,900 24,425 Federal Agricultural Mortgage Corp. -- Class C...... 835,824 44,900 Federated Investors, Inc. -- Class B....... 1,721,017 113,182 Financial Federal Corp.(8).............. 3,375,087 116,500 Fortress Investment Group LLC -- Class A(8)..... 2,775,030 24,681 GAMCO Investors, Inc. -- Class A....... 1,383,370 29,400 Greenhill & Company, Inc.(8)............... 2,020,074 5,432 Hercules Technology Growth Capital, Inc. ................. 73,386 68,070 Investment Technology Group, Inc.*.......... 2,949,473 7,400 Janus Capital Group, Inc. ................. 206,016 59,400 Jefferies Group, Inc. ... 1,602,612 203,077 Knight Capital Group, Inc. -- Class A*...... 3,371,078 4,700 Marathon Acquisition Corp.*................ 37,036 6,800 Morningstar, Inc.*....... 319,770 114,700 Nasdaq Stock Market, Inc.*(8).............. 3,407,737 71,200 Ocwen Financial Corp.*(8)............. 949,096 66,520 optionsXpress Holdings, Inc. ................. 1,706,903 13,532 Patriot Capital Funding Inc. ................. 200,950 83,150 Penson Worldwide, Inc.*.. 2,039,670 33,692 Piper Jaffray Companies, Inc.*................. 1,877,655 17,682 Renasant Corp. .......... 402,089 16,576 SWS Group, Inc. ......... 358,373 155,700 The Blackstone Group LP*(8)................ 4,557,339 62,400 Thomas Weisel Partners Group, Inc.*(8)....... 1,038,960 65,698 W Holding Company, Inc. -- Puerto Rico(8)............... 173,443 6,945 Waddell & Reed Financial, Inc. -- Class A....... 180,639 -------------- 57,847,874 -------------- FOOD AND BEVERAGE -- 1.0% 47,564 Boston Beer Company, Inc. -- Class A*...... 1,871,643 2,415 Coca-Cola Bottling Company............... 121,475 3,623 Farmer Brothers Company.. 81,988 35,182 Imperial Sugar Company(8)............ 1,083,254 166,600 Lance, Inc. ............. 3,925,096 10,900 McCormick & Company, Inc. ................. 416,162 41,681 Nash Finch Company(8).... 2,063,210 5,712 Ralcorp Holdings, Inc.*.. 305,306 151,870 SunOpta, Inc. (Canada)*(8).......... 1,693,351 -------------- 11,561,485 -------------- FUNERAL SERVICES -- 0.1% 149,800 Stewart Enterprises, Inc. -- Class A(8).... 1,166,942 -------------- INSURANCE -- 5.0% 17,742 ACA Capital Holdings, Inc.*(8).............. 211,130 24,760 Allied World Assurance Holdings, Ltd. (Bermuda)............. 1,268,950 34,929 American Equity Investment Life Holding Company....... 421,942
See notes to financial statements. 155 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 35,042 American Physicians Capital, Inc.*........ $ 1,419,201 9,082 Amerisafe, Inc.*......... 178,280 100,250 AmTrust Financial Services, Inc.(8)..... 1,883,698 89,741 Aspen Insurance Holdings, Ltd. (Bermuda)(8)..... 2,519,030 317,266 Assured Guaranty, Ltd. (Bermuda)(8).......... 9,378,382 109,832 Delphi Financial Group, Inc. -- Class A....... 4,593,174 9,160 EMC Insurance Group, Inc. ................. 227,351 37,354 Endurance Specialty Holdings, Ltd. (Bermuda)............. 1,495,654 11,274 FBL Financial Group, Inc. -- Class A....... 443,294 8,757 FPIC Insurance Group, Inc.*................. 357,023 5,115 Harleysville Group, Inc. ................. 170,636 23,856 Horace Mann Educators Corp. ................ 506,701 38,731 Infinity Property & Casualty Corp. ....... 1,964,824 56,614 IPC Holdings, Ltd. (Bermuda)............. 1,828,066 82,479 Montpelier Re Holdings, Ltd. (Bermuda)(8)..... 1,529,161 855 National Western Life Insurance Company -- Class A.... 216,247 88,558 Odyssey Re Holdings Corp.(8).............. 3,798,253 40,600 OneBeacon Insurance Group, Ltd. (Bermuda)............. 1,028,398 17,415 PartnerRE, Ltd. (Bermuda)............. 1,349,663 147,725 Platinum Underwriters Holdings, Ltd. (Bermuda)(8).......... 5,133,443 38,481 Presidential Life Corp. ................ 756,536 22,843 RAM Holdings, Ltd. (Bermuda)*............ 359,777 2,415 RLI Corp. ............... 135,119 63,652 Safety Insurance Group, Inc. ................. 2,635,193 123,780 Security Capital Assurance, Ltd. (Bermuda)............. 3,821,089 16,105 The Commerce Group, Inc. ................. 559,166 79,068 The Phoenix Companies, Inc. ................. 1,186,811 183,651 Universal American Financial Corp.*...... 3,908,093 73,392 Zenith National Insurance Corp. ................ 3,456,029 -------------- 58,740,314 -------------- INTERNET SERVICES -- 4.7% 17,543 Blue Coat Systems, Inc.*(8).............. 868,729 16,950 CheckFree Corp.*(8)...... 681,390 360,430 CNET Networks, Inc.*(8).. 2,951,922 64,400 Cogent Communications Group, Inc.*.......... 1,923,628 306,390 CyberSource Corp.*(8).... 3,695,063 59,650 DealerTrack Holdings, Inc.*................. 2,197,506 37,250 Digital River, Inc.*..... 1,685,563 32,794 Equinix, Inc.*(8)........ 2,999,667 206,700 eResearch Technology, Inc.*(8).............. 1,965,717 9,300 Greenfield Online, Inc.*................. 147,963 46,608 i2 Technologies, Inc.*(8).............. 868,773 31,700 Imergent, Inc.(8)........ 775,382 124,370 j2 Global Communications, Inc.*................. 4,340,513 41,319 Keynote Systems, Inc.*... 677,632 146,700 Lionbridge Technologies, Inc.*................. 864,063 53,120 LoopNet, Inc.*........... 1,239,290 147,069 Marchex, Inc. -- Class B..................... 2,400,166 367,300 Move, Inc.*.............. 1,645,504 392,410 NaviSite, Inc.*.......... 2,982,316 206,060 Online Resources Corp.*.. 2,262,539 133,190 Perficient, Inc.*(8)..... 2,757,033 25,200 Priceline.com, Inc.*(8).. 1,732,248 121,440 RADVision, Ltd. (Israel)*............. 2,553,883 44,537 S1 Corp.*................ 355,851 223,605 SonicWALL, Inc.*......... 1,920,767 12,000 Syntel, Inc. ............ 364,680 122,130 The TriZetto Group, Inc.*................. 2,364,437 21,200 TIBCO Software, Inc.*.... 191,860 298,475 United Online, Inc. ..... 4,921,852 66,895 Vignette Corp.*.......... 1,281,708 -------------- 55,617,645 -------------- LEISURE AND RECREATION -- 1.6% 298,460 Century Casinos, Inc.*(8).............. 2,683,155 149,667 Dover Downs Gaming & Entertainment, Inc. .. 2,246,502 58,780 Home Inns & Hotels Management, Inc. (ADR) (Cayman Islands)*(8).. 1,893,304 51,430 Life Time Fitness, Inc.*(8).............. 2,737,619 82,585 Monarch Casino & Resort, Inc.*................. 2,217,407 130,260 Scientific Games Corp. -- Class A*(8).. 4,552,587 65,620 The9, Ltd. (ADR) (Cayman Islands)*(8).......... 3,035,581 -------------- 19,366,155 --------------
See notes to financial statements. 156 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MACHINERY -- 0.6% 1,115 AAON, Inc. .............. $ 35,513 3,500 Applied Industrial Technologies, Inc. ... 103,250 19,200 Cascade Corp. ........... 1,506,048 7,348 Chart Industries, Inc.*.. 208,977 10,500 Columbus McKinnon Corp.*................ 338,100 231,904 Flow International Corp.*(8)............. 2,921,989 23,252 Intevac, Inc.*........... 494,338 20,200 Middleby Corp.*(8)....... 1,208,364 1,500 Regal-Beloit Corp. ...... 69,810 9,220 Robbins & Myers, Inc. ... 489,859 1,115 The Groman-Rupp Company.. 35,524 -------------- 7,411,772 -------------- MANUFACTURING -- 4.1% 77,329 Acuity Brands, Inc. ..... 4,661,392 24,170 Advanced Energy Industries, Inc.*..... 547,692 96,319 Albany International Corp. -- Class A(8)... 3,895,140 17,374 American Woodmark Corp. ................ 601,140 11,097 AO Smith Corp. .......... 442,659 64,504 AptarGroup, Inc.(8)...... 2,293,762 230,439 Carlisle Companies, Inc.(8)............... 10,717,719 64,307 Ceradyne, Inc.*(8)....... 4,756,146 1,710 CIRCOR International, Inc. ................. 69,135 188,730 Deswell Industries, Inc. (British Virgin Islands).............. 2,060,932 48,392 EnPro Industries, Inc.*.. 2,070,694 21,297 Freightcar America, Inc. ................. 1,018,848 25,364 Goodman Global, Inc.*.... 563,588 222,937 GrafTech International, Ltd.*................. 3,754,259 2,027 Hurco Companies, Inc.*... 101,309 13,100 Infinera Corp.*(8)....... 326,452 22,500 Kaydon Corp.(8).......... 1,172,700 147,526 Matthews International Corp. -- Class A...... 6,433,610 6,923 RBC Bearings, Inc.*...... 285,574 2,800 Rofin-Sinar Technologies, Inc.*................. 193,200 159,027 Sturm, Ruger & Company, Inc.*................. 2,468,099 -------------- 48,434,050 -------------- MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 5.4% 10,000 Alliance Imaging, Inc.*.. 93,900 8,200 American Dental Partners, Inc.*....... 212,954 135,210 American Medical Systems Holdings, Inc.*(8).... 2,439,188 200,836 AmSurg Corp.*(8)......... 4,848,180 176,109 Apria Healthcare Group, Inc.*(8)....... 5,066,655 97,385 Bruker BioSciences Corp.*................ 877,439 162,990 Centene Corp.*........... 3,491,246 7,700 CONMED Corp.*............ 225,456 54,878 Haemonetics Corp.*....... 2,887,132 47,160 Healthways, Inc.*(8)..... 2,233,969 32,563 ICON PLC (ADR) (Ireland)*............ 1,424,306 13,417 ICU Medical, Inc.*....... 576,126 36,340 Kyphon, Inc.*(8)......... 1,749,771 358,010 LeMaitre Vascular, Inc.*................. 2,148,060 20,200 Lincare Holdings, Inc.*.. 804,970 30,000 Luminex Corp.*(8)........ 369,300 43,793 Magellan Health Services, Inc.*................. 2,035,061 4,900 MedCath Corp.*(8)........ 155,820 10,800 Meridian Bioscience, Inc. ................. 233,928 146,990 Micrus Endovascular Corp.*................ 3,615,954 7,400 Mindray Medical International, Ltd. (ADR) (Cayman Islands)(8)........... 225,922 27,300 Nighthawk Radiology Holdings, Inc.*(8).... 492,765 383,550 NovaMed, Inc.*........... 2,320,478 99,780 NuVasive, Inc.*.......... 2,695,058 4,800 Orthofix International NV (Netherland Antilles)*............ 215,856 5,800 Patterson Companies, Inc.*................. 216,166 39,020 Pediatrix Medical Group, Inc.*................. 2,151,953 57,270 Phase Forward, Inc.*..... 963,854 58,531 PolyMedica Corp. ........ 2,390,991 26,500 PSS World Medical, Inc.*................. 482,830 60,410 ResMed, Inc.*............ 2,492,517 111,452 STERIS Corp. ............ 3,410,431 33,100 Techne Corp.*............ 1,893,651 304,590 The Spectranetics Corp.*(8)............. 3,508,877 68,600 Varian Medical Systems, Inc.*................. 2,916,186 3,700 Vital Signs, Inc. ....... 205,535 71,560 Volcano Corp.*........... 1,446,228 36,101 Zoll Medical Corp.*...... 805,413 -------------- 64,324,126 -------------- METALS AND MINING -- 2.0% 60,800 AK Steel Holding Corp.*.. 2,272,096 55,100 AM Castle & Company...... 1,978,641 58,086 Chaparral Steel Company.. 4,174,641 38,320 Dynamic Materials Corp. ................ 1,437,000
See notes to financial statements. 157 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) METALS AND MINING (CONTINUED) 3,000 Haynes International, Inc.*................. $ 253,290 20,071 Hecla Mining Company*.... 171,406 65,050 Ladish Company, Inc.*.... 2,797,150 174,372 Mueller Industries, Inc. ................. 6,005,372 94,929 Steel Dynamics, Inc. .... 3,978,474 -------------- 23,068,070 -------------- OFFICE EQUIPMENT, SUPPLIES, AND SERVICES -- 0.7% 205,843 Acco Brands Corp.*(8).... 4,744,681 26,150 Herman Miller, Inc. ..... 826,340 35,400 IKON Office Solutions, Inc.(8)............... 552,594 99,450 Knoll, Inc. ............. 2,227,680 -------------- 8,351,295 -------------- OIL, COAL AND GAS -- 4.0% 101,153 Alon USA Energy, Inc. ... 4,451,744 8,900 Cabot Oil & Gas Corp. ... 328,232 137,300 Cal Dive International, Inc.*(8).............. 2,283,299 52,700 Continental Resources, Inc.*................. 843,200 30,480 Core Laboratories NV (the Netherlands)*......... 3,099,511 42,480 Dril-Quip, Inc.*......... 1,909,476 2,031 Enbridge Energy Management, LLC*...... 113,005 24,400 FMC Technologies, Inc.*.. 1,932,968 45,900 Grant Prideco, Inc.*..... 2,470,797 170,800 Grey Wolf, Inc.*(8)...... 1,407,392 8,900 MarkWest Hydrocarbon, Inc. ................. 511,127 11,400 NATCO Group, Inc.*....... 524,856 76,500 Oil States International, Inc.*................. 3,162,510 15,450 Patterson-UTI Energy, Inc.(8)............... 404,945 183,886 Penn Virginia Corp. ..... 7,392,216 183,426 PetroQuest Energy, Inc.*................. 2,667,014 18,700 Range Resources Corp. ... 699,567 20,265 Southwest Gas Corp. ..... 685,160 11,654 St Mary Land & Exploration Company... 426,769 17,319 Stone Energy Corp.*...... 593,349 73,940 Superior Energy Services, Inc.*................. 2,951,685 66,800 TETRA Technologies, Inc.*................. 1,883,760 4,460 Trico Marine Services, Inc.*................. 182,325 144,722 Whiting Petroleum Corp.*................ 5,864,135 13,500 World Fuel Services Corp. ................ 567,810 -------------- 47,356,852 -------------- PAPER AND FOREST PRODUCTS -- 0.2% 42,622 Buckeye Technologies, Inc.*................. 659,362 27,301 Deltic Timber Corp. ..... 1,496,641 -------------- 2,156,003 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 4.7% 153,200 Affymetrix, Inc.*(8)..... 3,813,148 139,061 Albany Molecular Research, Inc.*....... 2,065,056 218,600 Alkermes, Inc.*.......... 3,191,560 140,520 American Oriental Bioengineering, Inc.*(8).............. 1,250,628 107,250 Cephalon, Inc.*(8)....... 8,621,827 211,500 Cubist Pharmaceuticals, Inc.*(8).............. 4,168,665 153,950 DepoMed, Inc.*(8)........ 734,342 331,541 Enzon Pharmaceuticals, Inc.*(8).............. 2,602,597 69,200 Geron Corp.*(8).......... 487,168 37,000 Human Genome Sciences, Inc.*(8).............. 330,040 40,640 Integra LifeSciences Holdings*(8).......... 2,008,429 122,220 K-V Pharmaceutical Company -- Class A*... 3,329,273 19,600 Martek Biosciences Corp.*................ 509,012 401,100 Medarex, Inc.*(8)........ 5,731,718 111,850 Medicis Pharmaceuticals Corp. -- Class A(8)... 3,415,899 96,376 Noven Pharmaceuticals, Inc.*................. 2,260,017 28,100 Pain Therapeutics, Inc.*(8).............. 244,751 16,700 Pharmaceutical Product Development, Inc. .... 639,109 31,400 Pharmanet Development Group, Inc.*.......... 1,001,032 56,400 Regeneron Pharmaceuticals, Inc.*................. 1,010,688 63,537 Savient Pharmaceuticals, Inc.*................. 789,130 115,706 Sciele Pharma, Inc.*(8).. 2,726,033 61,200 Sepracor, Inc.*.......... 2,510,424 39,100 USANA Health Services, Inc.*....... 1,749,334 -------------- 55,189,880 -------------- PRINTING AND PUBLISHING -- 0.6% 213,553 Bowne & Company, Inc. ... 4,166,419 172,090 Valassis Communications, Inc.*(8).............. 2,958,227 -------------- 7,124,646 --------------
See notes to financial statements. 158 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) REAL ESTATE DEVELOPMENT AND SERVICES -- 0.2% 4,815 Avatar Holdings, Inc.*(8).............. $ 370,466 180,300 Meruelo Maddux Properties, Inc.*..... 1,471,248 2,100 Thomas Properties Group, Inc. .......... 33,558 -------------- 1,875,272 -------------- REAL ESTATE INVESTMENT TRUSTS -- 6.1% 138,465 Acadia Realty Trust...... 3,593,167 9,361 Agree Realty Corp. ...... 292,531 55,741 American Campus Communities, Inc. .... 1,576,913 39,136 Associated Estates Realty Corp. ......... 610,130 21,374 BRT Realty Trust......... 555,938 40,700 CapitalSource, Inc.(8)... 1,000,813 71,755 Cousins Properties, Inc. ................. 2,081,613 92,962 Entertainment Properties Trust................. 4,999,495 142,948 Equity Inns, Inc. ....... 3,202,035 18,146 Franklin Street Properties Corp.(8)... 300,135 25,090 Getty Realty Corp. ...... 659,365 78,669 Gramercy Capital Corp. .. 2,166,544 132,338 Highwoods Properties, Inc. ................. 4,962,675 118,552 Inland Real Estate Corp.(8).............. 2,013,013 50,132 Investors Real Estate Trust(8).............. 517,864 71,458 LTC Properties, Inc. .... 1,625,670 97,650 Maguire Properties, Inc. ................. 3,352,325 133,063 MFA Mortgage Investments, Inc. ................. 968,699 29,293 Mission West Properties, Inc. ................. 408,344 28,715 National Retail Properties, Inc. ..... 627,710 71,000 Nationwide Health Properties, Inc.(8)... 1,931,200 161,400 Newcastle Investment Corp. ................ 4,046,298 32,758 NorthStar Realty Finance Corp. ................ 409,803 229,937 OMEGA Healthcare Investors, Inc. ...... 3,639,903 50,491 Pennsylvania Real Estate Investment Trust...... 2,238,266 97,307 PS Business Parks, Inc. ................. 6,166,344 205,175 RAIT Investment Trust(8).............. 5,338,653 13,445 Ramco-Gershenson Properties Trust...... 483,079 172,746 Realty Income Corp.(8)... 4,351,472 12,179 Resource Capital Corp. .. 170,262 61,386 Saul Centers, Inc. ...... 2,783,855 21,797 Taubman Centers, Inc. ... 1,081,349 10,939 Urstadt Biddle Properties -- Class A..................... 186,072 255,940 U-Store-It Trust......... 4,194,857 -------------- 72,536,392 -------------- REGISTERED INVESTMENT COMPANIES -- 0.8% 246,657 Ares Capital Corp.(8).... 4,156,171 46,660 iShares Russell 2000 Growth Index Fund(8).. 4,002,495 95,968 MCG Capital Corp. ....... 1,537,407 -------------- 9,696,073 -------------- RETAIL -- 1.9% 181,504 Big Lots, Inc.*(8)....... 5,339,847 19,775 Books-A-Million, Inc. ... 334,989 236,625 Casey's General Stores, Inc. ................. 6,450,397 153,194 EZCORP, Inc. -- Class A*.................... 2,028,289 132,914 Hibbett Sports Inc.*..... 3,639,185 134,957 Jo-Ann Stores, Inc.*..... 3,836,828 4,900 West Marine, Inc.*....... 67,424 10,300 Williams-Sonoma, Inc.(8)............... 325,274 -------------- 22,022,233 -------------- RETAIL: RESTAURANTS -- 1.4% 21,943 AFC Enterprises, Inc.*... 379,394 15,000 Bob Evans Farms, Inc.(8)............... 552,750 51,142 CBRL Group, Inc.(8)...... 2,172,512 47,388 CEC Entertainment, Inc.*................. 1,668,058 79,764 Domino's Pizza, Inc. .... 1,457,288 9,100 IHOP Corp.(8)............ 495,313 5,100 Jack in the Box, Inc.*... 361,794 3,650 Panera Bread Company -- Class A*(8)................. 168,119 115,357 Papa John's International, Inc.*.. 3,317,667 10,700 PF Chang's China Bistro, Inc.*(8).............. 376,640 164,294 RARE Hospitality International, Inc.*(8).............. 4,398,151 58,826 Sonic Corp.*............. 1,301,231 4,900 The Cheesecake Factory, Inc.*(8)..... 120,148 -------------- 16,769,065 -------------- RETAIL: SUPERMARKETS -- 0.1% 2,415 Spartan Stores, Inc. .... 79,478 27,000 Whole Foods Market, Inc.(8)............... 1,034,100 -------------- 1,113,578 --------------
See notes to financial statements. 159 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RUBBER PRODUCTS -- 0.0% 20,900 Cooper Tire & Rubber Company............... $ 577,258 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.9% 48,700 Cymer, Inc.*............. 1,957,740 15,100 FEI Company*............. 490,146 100,544 Varian, Inc.*............ 5,512,828 38,944 Woodward Governor Company............... 2,090,124 -------------- 10,050,838 -------------- SEMICONDUCTORS -- 2.6% 245,459 Amkor Technology, Inc.*.. 3,865,979 78,050 Brooks Automation, Inc.*................. 1,416,608 257,026 Emulex Corp.*............ 5,613,447 35,820 FormFactor, Inc.*........ 1,371,906 34,800 Intersil Corp. -- Class A..................... 1,094,808 25,600 Kulicke and Soffa Industries, Inc.*..... 268,032 555,700 Lattice Semiconductor Corp.*................ 3,178,604 177,100 ON Semiconductor Corp.*.. 1,898,512 43,500 QLogic Corp.*............ 724,275 430,450 Skyworks Solutions, Inc.*................. 3,163,808 38,410 Tessera Technologies, Inc.*................. 1,557,526 172,127 Varian Semiconductor Equipment Associates, Inc.*................. 6,895,407 -------------- 31,048,912 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 4.0% 26,782 Anaren, Inc.*............ 471,631 61,260 Atheros Communications*.. 1,889,258 107,315 Atlantic Tele-Network, Inc. ................. 3,073,502 15,649 Audiovox Corp. -- Class A*.................... 202,968 119,778 Cbeyond, Inc.*(8)........ 4,612,651 60,111 C-COR, Inc.*(8).......... 845,161 114,500 Clearwire Corp. -- Class A*(8)................. 2,797,235 31,600 CommScope, Inc.*......... 1,843,860 29,737 Consolidated Communications Holdings, Inc. ....... 672,056 128,805 Ditech Networks, Inc.*... 1,054,913 70,300 Dobson Communications Corp. -- Class A*..... 781,033 66,800 Harmonic, Inc.*.......... 592,516 35,438 InterDigital Communications Corp.*(8)............. 1,140,040 35,525 Iowa Telecommunications Services, Inc.(8)..... 807,483 19,100 MetroPCS Communications, Inc.*................. 631,064 21,667 North Pittsburgh Systems, Inc. ........ 460,424 111,463 Novatel Wireless, Inc.*.. 2,900,267 314,734 Polycom, Inc.*........... 10,575,062 712,800 RF Micro Devices, Inc.*(8).............. 4,447,872 7,500 Rural Cellular Corp. -- Class A*..... 328,575 42,900 SBA Communications Corp. -- Class A*..... 1,441,011 6,020 Shenandoah Telecommunications Company............... 305,997 148,798 Syniverse Holdings, Inc.*................. 1,913,542 147,418 USA Mobility, Inc.*...... 3,944,906 -------------- 47,733,027 -------------- TOYS -- 0.5% 211,794 Marvel Entertainment, Inc.*(8).............. 5,396,511 -------------- TRANSPORTATION -- 1.4% 4,500 Atlas Air Worldwide Holdings, Inc.*....... 265,230 75,524 General Maritime Corp. (Marshall Islands)(8)........... 2,022,533 136,862 Genesee & Wyoming, Inc. -- Class A*...... 4,083,962 81,792 GulfMark Offshore, Inc.*................. 4,189,386 10,500 Kirby Corp.*............. 403,095 25,800 Landstar System, Inc. ... 1,244,850 64,220 Old Dominion Freight Line, Inc.*........... 1,936,233 7,200 UTI Worldwide, Inc. (British Virgin Islands)(8)........... 192,888 124,952 Vitran Corp., Inc. -- Class A (Canada)*............. 2,666,476 -------------- 17,004,653 -------------- UTILITIES -- 2.3% 62,361 Atmos Energy Corp. ...... 1,874,572 27,237 Avista Corp. ............ 586,957 103,852 Black Hills Corp.(8)..... 4,128,117 810 Central Vermont Public Service Corp. ........ 30,521 28,049 El Paso Electric Company*.............. 688,883 4,630 Middlesex Water Company.. 88,942 44,584 New Jersey Resources Corp. ................ 2,274,676 125,849 Nicor, Inc.(8)........... 5,401,439 167,314 PNM Resources, Inc.(8)... 4,649,656 86,146 Unisource Energy Corp. .. 2,833,342
See notes to financial statements. 160 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) UTILITIES (CONTINUED) 89,197 Westar Energy, Inc. ..... $ 2,165,703 62,239 WGL Holdings, Inc.(8).... 2,031,481 -------------- 26,754,289 -------------- TOTAL COMMON STOCKS (Cost $1,035,837,651)....... 1,159,141,087 -------------- PRINCIPAL --------- SHORT TERM US TREASURY SECURITIES -- 0.1% US TREASURY BILL $ 750,000 4.57%, 09/20/07 (5) (Cost $742,193)....... 742,193 -------------- SECURITIES LENDING COLLATERAL -- 24.2% 286,107,422 Securities Lending Collateral Investment (Note 4) (Cost $286,107,422)... 286,107,422 -------------- TOTAL SECURITIES (Cost $1,322,687,266)....... 1,445,990,702 -------------- Principal Value - --------- -------------- REPURCHASE AGREEMENTS -- 1.8% 21,754,785 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $21,763,414 (Collateralized by Freddie Mac Adjustable Mortgage Rate, 4.22% due 03/01/34, with a value of $3,726,835 and various Small Business Administrations, 7.38% -- 8.63%, due 09/25/26 -- 04/25/30, with a total value of $19,115,689) (Cost $21,754,785).......... $ 21,754,785 -------------- Total Investments -- 124.2% (Cost $1,344,442,051)....... 1,467,745,487 Liabilities less other assets -- (24.2)%..... (285,941,694) -------------- NET ASSETS -- 100.0%..... $1,181,803,793 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $1,344,442,051. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.. $152,056,037 Gross unrealized depreciation.. (28,752,601) ------------ Net unrealized appreciation.... $123,303,436 ============
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 161 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 98.2% AEROSPACE AND DEFENSE -- 2.7% 9,900 Curtiss-Wright Corp. ..... $ 461,439 22,300 Esterline Technologies Corp.*................. 1,077,313 27,220 Moog, Inc. -- Class A*.... 1,200,674 25,700 Teledyne Technologies, Inc.*.................. 1,180,915 25,270 TransDigm Group, Inc.*.... 1,022,424 ------------ 4,942,765 ------------ AIRLINES -- 0.5% 36,800 SkyWest, Inc. ............ 876,944 ------------ APPAREL: MANUFACTURING AND RETAIL -- 4.3% 23,800 Crocs, Inc.*(8)........... 1,024,114 17,700 Genesco, Inc.*(8)......... 925,887 43,100 Maidenform Brands, Inc.*.. 855,966 7,900 Phillips-Van Heusen Corp. ................. 478,503 30,000 Skechers USA, Inc. -- Class A*....... 876,000 37,200 Stage Stores, Inc.(8)..... 779,712 43,793 The Dress Barn, Inc.*..... 898,632 34,700 The Warnaco Group, Inc.*.. 1,365,098 116,800 The Wet Seal, Inc. -- Class A*(8).... 701,968 ------------ 7,905,880 ------------ AUTOMOBILE: RETAIL -- 1.1% 45,800 Asbury Automotive Group, Inc. .................. 1,142,710 27,965 Sonic Automotive, Inc. ... 810,146 ------------ 1,952,856 ------------ AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 0.7% 24,300 Aftermarket Technology Corp.*................. 721,224 28,463 Noble International, Ltd. .................. 581,784 ------------ 1,303,008 ------------ BANKS -- 2.3% 16,400 City Bank................. 516,764 3,271 First Citizens Bancshares, Inc. -- Class A........ 635,882 18,400 Greene County Bancshares, Inc. .................. 575,184 20,405 Prosperity Bancshares, Inc.(8)................ 668,468 25,700 Sterling Financial Corp. -- Spokane(8)... 743,758 20,400 United Community Banks, Inc. -- Georgia(8)..... 528,156 20,400 Western Alliance Bancorp*............... 608,940 ------------ 4,277,152 ------------ BUSINESS SERVICES AND SUPPLIES -- 1.7% 136,500 CBIZ, Inc.*............... 1,003,275 32,200 FTI Consulting, Inc.*..... 1,224,566 52,400 Navigant Consulting, Inc.*.................. 972,544 ------------ 3,200,385 ------------ CHEMICALS -- 2.0% 29,300 HB Fuller Company......... 875,777 22,100 ICO, Inc.*................ 233,597 61,600 Landec Corp.*............. 825,440 40,400 Sensient Technologies Corp. ................. 1,025,756 30,400 Spartech Corp. ........... 807,120 ------------ 3,767,690 ------------ COLLECTIBLES -- 0.4% 14,900 Sotheby's................. 685,698 ------------ COMMERCIAL SERVICES -- 1.0% 24,700 Euronet Worldwide, Inc.*.. 720,252 24,500 Steiner Leisure, Ltd. (Bahama Islands)*...... 1,203,440 ------------ 1,923,692 ------------ COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 11.3% 127,176 Actuate Corp.*............ 863,525 49,965 ANSYS, Inc.*.............. 1,324,073 84,832 Aspen Technology, Inc.*... 1,187,648 82,300 Bottomline Technologies, Inc.*.................. 1,016,405 60,900 Brocade Communications Systems, Inc.*......... 476,238 60,436 Captaris, Inc.*........... 309,432 10,900 Checkpoint Systems, Inc.*.................. 275,225 32,700 COMSYS IT Partners, Inc.*.................. 745,887 65,900 Epicor Software Corp.*.... 979,933 75,300 Interwoven, Inc.*......... 1,057,212 41,800 Jack Henry & Associates, Inc. .................. 1,076,350 34,400 Manhattan Associates, Inc.*.................. 960,104 52,900 Nuance Communications, Inc.*(8)............... 885,017 71,600 Omnicell, Inc.*........... 1,487,849 22,500 Progress Software Corp.*.. 715,275 66,600 Quest Software, Inc.*..... 1,078,254 83,500 Radiant Systems, Inc.*.... 1,105,540 62,473 SkillSoft PLC (ADR) (Ireland)*............. 580,374 39,498 Smith Micro Software, Inc.*.................. 594,840 87,600 SumTotal Systems, Inc.*... 687,660 24,266 Synaptics, Inc.*.......... 868,480 35,486 The Ultimate Software Group, Inc.*........... 1,026,610 27,600 THQ, Inc.*(8)............. 842,352 37,100 Xyratex, Ltd. (Bermuda)*.. 824,733 ------------ 20,969,016 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 1.8% 26,644 Apogee Enterprises, Inc. .................. 741,236 34,932 Interline Brands, Inc.*... 911,027
See notes to financial statements. 162 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES (CONTINUED) 14,200 The Genlyte Group, Inc.*.. $ 1,115,268 71,800 US Concrete, Inc.*(8)..... 623,942 ------------ 3,391,473 ------------ CONSUMER GOODS AND SERVICES -- 1.6% 47,300 Elizabeth Arden, Inc.*.... 1,147,498 31,800 Fossil, Inc.*............. 937,782 20,400 Jarden Corp.*(8).......... 877,404 ------------ 2,962,684 ------------ DISTRIBUTION -- 0.8% 76,000 Bell Microproducts, Inc.*.................. 495,520 14,400 United Stationers, Inc.*.. 959,616 ------------ 1,455,136 ------------ ELECTRONICS -- 1.4% 78,600 Methode Electronics, Inc. .................. 1,230,090 61,270 Nam Tai Electronics, Inc. (British Virgin Islands)............... 730,338 27,300 Plexus Corp.*............. 627,627 ------------ 2,588,055 ------------ ENERGY SERVICES -- 0.5% 55,182 EnerSys*.................. 1,009,831 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 1.1% 100,100 Basin Water, Inc.*(8)..... 870,870 22,000 Waste Connections, Inc.*.. 665,280 15,751 Waste Industries USA, Inc. .................. 537,739 ------------ 2,073,889 ------------ EQUIPMENT RENTAL AND LEASING -- 0.6% 38,100 Aaron Rents, Inc. ........ 1,112,520 ------------ FINANCIAL SERVICES -- 0.6% 41,200 Interactive Data Corp. ... 1,103,336 ------------ FOOD AND BEVERAGE -- 0.6% 25,100 Sanderson Farms, Inc.(8).. 1,130,002 ------------ INSURANCE -- 4.6% 28,000 Delphi Financial Group, Inc. -- Class A........ 1,170,960 18,500 FBL Financial Group, Inc. -- Class A........ 727,420 22,400 FPIC Insurance Group, Inc.*.................. 913,248 31,900 Harleysville Group, Inc. .................. 1,064,184 15,700 Infinity Property & Casualty Corp. ........ 796,461 28,500 IPC Holdings, Ltd. (Bermuda).............. 920,265 16,800 ProAssurance Corp.*....... 935,256 18,500 RLI Corp. ................ 1,035,075 18,100 Zenith National Insurance Corp. ................. 852,329 ------------ 8,415,198 ------------ INTERNET SERVICES -- 8.4% 179,200 3Com Corp*................ 740,096 21,800 aQuantive, Inc.*.......... 1,390,840 20,200 Digital River, Inc.*(8)... 914,050 67,000 GigaMedia, Ltd. (Singapore)*(8)........ 903,160 49,900 Greenfield Online, Inc.*.. 793,909 53,647 LivePerson, Inc.*......... 287,011 31,100 NETGEAR, Inc.*............ 1,127,375 15,800 Priceline.com, Inc.*(8)... 1,086,092 58,500 RADVision, Ltd. (Israel)*.............. 1,230,255 35,022 Shanda Interactive Entertainment, Ltd. (ADR)(Cayman Islands)*.............. 1,085,682 43,900 Shutterfly, Inc.*(8)...... 946,045 118,800 SonicWALL, Inc.*.......... 1,020,492 75,800 SupportSoft, Inc.*........ 413,868 137,245 Think Partnership, Inc.*.. 410,363 98,200 TIBCO Software, Inc.*..... 888,710 54,500 VASCO Data Security International, Inc.*... 1,240,420 54,500 Vignette Corp.*........... 1,044,220 ------------ 15,522,588 ------------ LEISURE AND RECREATION -- 0.3% 39,200 Dover Downs Gaming & Entertainment, Inc. ... 588,392 ------------ MACHINERY -- 1.7% 39,600 Columbus McKinnon Corp.*.. 1,275,120 72,600 Flow International Corp.*(8).............. 914,760 25,618 Tennant Company........... 935,057 ------------ 3,124,937 ------------ MANUFACTURING -- 3.6% 11,700 Ameron International Corp. ................. 1,055,223 31,800 AptarGroup, Inc. ......... 1,130,808 38,460 Barnes Group, Inc. ....... 1,218,413 27,508 Encore Wire Corp.(8)...... 809,836 21,720 EnPro Industries, Inc.*... 929,399 30,500 FLIR Systems, Inc.*(8).... 1,410,624 ------------ 6,554,303 ------------ MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 9.0% 42,900 Allscripts Healthcare Solutions, Inc.*(8).... 1,093,092 27,266 Amedisys, Inc.*(8)........ 990,574 68,393 Bruker BioSciences Corp.*................. 616,221
See notes to financial statements. 163 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES (CONTINUED) 22,791 CONMED Corp.*............. $ 667,320 20,763 Emergency Medical Services LP -- Class A*......... 812,456 24,800 Hologic, Inc.*(8)......... 1,371,689 57,203 Home Diagnostics Inc.*.... 673,279 24,269 Illumina, Inc.*(8)........ 985,079 28,000 inVentiv Health, Inc.*.... 1,025,080 31,537 LHC Group, Inc.*(8)....... 826,269 23,800 LifePoint Hospitals, Inc.*.................. 920,584 24,300 MedCath Corp.*(8)......... 772,740 67,500 Merit Medical Systems, Inc.*.................. 807,300 78,300 Natus Medical, Inc.*...... 1,246,536 31,100 Palomar Medical Technologies, Inc.*(8)............... 1,079,481 54,995 Phase Forward, Inc.*...... 925,566 6,818 SurModics, Inc.*.......... 340,900 68,443 Third Wave Technologies*.. 400,392 47,700 Zoll Medical Corp.*....... 1,064,187 ------------ 16,618,745 ------------ METALS AND MINING -- 1.4% 9,100 Brush Engineered Materials, Inc.*(8).... 382,109 6,400 Carpenter Technology Corp. ................. 833,984 7,300 Chaparral Steel Company... 524,651 141,000 Northgate Minerals Corp. (Canada)*.............. 408,900 12,000 Universal Stainless & Alloy Products, Inc.*.. 422,760 ------------ 2,572,404 ------------ OIL, COAL AND GAS -- 5.8% 25,100 Alon USA Energy, Inc.(8).. 1,104,651 25,900 Bill Barrett Corp.*(8).... 953,897 20,800 CARBO Ceramics, Inc.(8)... 911,248 30,500 Comstock Resources, Inc.*.................. 914,085 8,900 Core Laboratories NV (the Netherlands)*.......... 905,041 96,400 Grey Wolf, Inc.*.......... 794,336 22,453 Hercules Offshore, Inc.*(8)............... 727,028 46,550 Natural Gas Services Group*................. 832,314 17,600 Oil States International, Inc.*(8)............... 727,584 96,400 Parker Drilling Company*.. 1,016,056 17,500 Petroleum Development Corp.*................. 830,900 65,200 PetroQuest Energy, Inc.*.. 948,008 ------------ 10,665,148 ------------ PAPER AND FOREST PRODUCTS -- 0.4% 49,279 Buckeye Technologies, Inc.*.................. 762,346 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 6.8% 84,300 Albany Molecular Research, Inc.*.................. 1,251,855 92,800 American Oriental Bioengineering, Inc.*(8)............... 825,920 39,300 Arena Pharmaceuticals, Inc.*(8)............... 431,907 55,741 Bradley Pharmaceuticals, Inc.*(8)............... 1,210,137 24,804 Kendle International, Inc.*.................. 912,043 98,500 Oculus Innovative Sciences, Inc.*(8)..... 806,715 24,700 PAREXEL International Corp.*................. 1,038,882 37,300 PDL BioPharma, Inc.*...... 869,090 39,200 Pharmanet Development Group, Inc.*........... 1,249,696 36,400 Pharmion Corp.*........... 1,053,780 53,000 Sciele Pharma, Inc.*(8)... 1,248,680 17,900 United Therapeutics Corp.*(8).............. 1,141,304 39,600 ViroPharma, Inc.*......... 546,480 ------------ 12,586,489 ------------ PRINTING AND PUBLISHING -- 0.6% 14,700 Consolidated Graphics, Inc.*.................. 1,018,416 ------------ RECREATIONAL VEHICLE -- 0.4% 14,200 Polaris Industries, Inc.(8)................ 769,072 ------------ RETAIL -- 1.3% 47,120 First Cash Financial Services, Inc.*........ 1,104,493 72,600 LJ International, Inc. (British Virgin Islands)*(8)........... 788,436 8,500 Longs Drug Stores Corp. .. 446,420 ------------ 2,339,349 ------------ RETAIL: RESTAURANTS -- 1.7% 18,800 Bob Evans Farms, Inc. .... 692,780 12,500 Jack in the Box, Inc.*.... 886,750 41,800 O'Charley's, Inc. ........ 842,688 62,500 Texas Roadhouse, Inc., Class A*............... 799,375 ------------ 3,221,593 ------------ RETAIL: SUPERMARKETS -- 0.8% 22,700 Ingles Markets, Inc. -- Class A........ 782,015 18,500 Spartan Stores, Inc. ..... 608,835 ------------ 1,390,850 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.7% 44,200 Newport Corp.*............ 684,216 41,200 Zygo Corp.*............... 588,748 ------------ 1,272,964 ------------
See notes to financial statements. 164 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SECURITY SERVICE AND DEVICES -- 1.0% 34,900 LoJack Corp.*............. $ 777,921 34,600 Macrovision Corp.*........ 1,040,076 ------------ 1,817,997 ------------ SEMICONDUCTORS -- 4.1% 64,300 AMIS Holdings, Inc.*...... 805,036 56,400 Brooks Automation, Inc.*.. 1,023,660 109,400 Cirrus Logic, Inc.*....... 908,020 37,600 Emulex Corp.*............. 821,184 88,500 LTX Corp.*................ 492,060 28,000 Silicon Motion Technology Corp. (ADR) (Cayman Islands)*.............. 695,240 26,300 Standard Microsystems Corp.*................. 903,142 162,000 TriQuint Semiconductor, Inc.*.................. 819,720 53,800 Zoran Corp.*.............. 1,078,152 ------------ 7,546,214 ------------ STORAGE FACILITIES -- 0.4% 26,200 Mobile Mini, Inc.*........ 765,040 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 6.2% 57,000 ADC Telecommunications, Inc.*.................. 1,044,810 27,800 ADTRAN, Inc. ............. 721,966 29,200 Atheros Communications*(8)..... 900,528 29,700 Cbeyond, Inc.*............ 1,143,747 63,028 Ceragon Networks Ltd. (Israel)*.............. 722,931 16,418 General Cable Corp.*...... 1,243,663 40,600 General Communication, Inc. -- Class A*....... 520,086 96,500 Intervoice, Inc.*......... 803,845 27,900 NICE Systems, Ltd. (ADR) (Israel)*.............. 969,246 18,029 Novatel Wireless, Inc.*... 469,115 60,300 Oplink Communications, Inc.*.................. 904,500 73,178 RF Micro Devices, Inc.*... 456,631 101,700 Sirenza Microdevices, Inc.*(8)............... 1,207,179 29,877 Tollgrade Communications, Inc*................... 315,202 ------------ 11,423,449 ------------ TOYS -- 0.4% 30,000 Marvel Entertainment, Inc.*.................. 764,400 ------------ TRANSPORTATION -- 1.6% 43,400 Celadon Group, Inc.*...... 690,060 25,134 Excel Maritime Carriers, Ltd. (Liberia)......... 632,874 31,900 Heartland Express, Inc. .. 519,970 30,800 Hub Group, Inc. -- Class A*..................... 1,082,928 ------------ 2,925,832 ------------ TOTAL COMMON STOCKS (Cost $159,509,617).... 181,297,738 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 21.4% $39,388,316 Securities Lending Collateral Investment (Note 4) (Cost $39,388,316)..... 39,388,316 ------------ TOTAL SECURITIES (Cost $198,897,933).... 220,686,054 ------------ REPURCHASE AGREEMENTS -- 1.3% 2,314,011 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $2,314,929 (Collateralized by Small Business Administration, 9.13%, due 04/25/16, with a value of $2,429,712) (Cost $2,314,011)...... 2,314,011 ------------ Total Investments -- 120.9% (Cost $201,211,944).... 223,000,065 Liabilities less other assets -- (20.9)%...... (38,601,338) ------------ NET ASSETS -- 100.0%...... $184,398,727 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $201,211,944. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation... $25,395,941 Gross unrealized depreciation... (3,607,820) ----------- Net unrealized appreciation..... $21,788,121 ===========
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 165 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2007 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS -- 98.5% ADVERTISING -- 0.3% 154,900 Focus Media Holding, Ltd. (ADR)*(8).... $ 7,822,450 CHN -------------- AEROSPACE AND DEFENSE -- 0.4% 272,480 Gamesa Corporacion Tecnologica, SA... 9,957,278 SPA -------------- AGRICULTURE -- 0.9% 11,951,000 Chaoda Modern Agriculture (Holdings), Ltd. ............. 9,231,640 CAY 83,800 Potash Corp. of Saskatchewan, Inc. ............. 6,533,886 CDA 26,800 Syngenta AG.......... 5,248,105 SWI -------------- 21,013,631 -------------- AIRLINES -- 1.1% 3,537,400 Qantas Airways, Ltd. ............. 16,794,443 AUS 125,100 Ryanair Holdings PLC (ADR)(8).......... 4,722,525 IRE 372,500 Singapore Airlines, Ltd. ............. 4,574,882 SIN -------------- 26,091,850 -------------- APPAREL: MANUFACTURING AND RETAIL -- 0.4% 84,537 Benetton Group SpA*.. 1,480,551 ITA 645,881 Burberry Group PLC... 8,910,346 BRI -------------- 10,390,897 -------------- AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS -- 8.3% 127,500 Alpine Electronics, Inc. ............. 1,956,122 JPN 648,000 Calsonic Kansei Corp. ............ 2,668,313 JPN 135,146 Continental AG....... 19,103,471 GER 381,881 DaimlerChrysler AG... 35,451,211 GER 2,059,000 Fuji Heavy Industries, Ltd.(8)........... 9,866,477 JPN 10,200 Georg Fischer AG..... 7,724,110 SWI 1,726,700 GKN PLC.............. 13,808,866 BRI 848,000 Hino Motors, Ltd. ... 5,075,947 JPN 351,600 Honda Motor Company, Ltd. ............. 12,850,355 JPN 107,616 Hyundai Motor Company........... 8,503,510 KOR 1,442,800 Nissan Motor Company, Ltd. ............. 15,479,706 JPN 88,800 PSA Peugeot Citroen SA................ 7,184,741 FRA 159,100 Toyota Auto Body Company, Ltd. .... 2,642,514 JPN 608,200 Toyota Motor Corp. .. 38,529,623 JPN 104,788 Valeo SA............. 5,646,066 FRA 51,600 Volkswagen AG........ 8,247,870 GER -------------- 194,738,902 -------------- BANKS -- 18.6% 369,060 ABN AMRO Holding NV.. 17,008,120 NET 232,400 Allied Irish Banks PLC............... 6,356,889 IRE 192,100 Alpha Bank AE........ 6,057,947 GRC 279,900 Banco Bilbao Vizcaya Argentaria SA..... 6,894,718 SPA 927,600 Banco Comercial Portugues SA -- Class R..... 5,197,605 POR 1,451,800 Banco Santander Central Hispano SA................ 26,900,011 SPA 2,469,900 Barclays PLC......... 34,520,250 BRI 312,600 BNP Paribas SA....... 37,384,096 FRA 266,800 Canadian Imperial Bank of Commerce(8)....... 24,041,429 CDA 3,178,500 China Merchants Bank Company, Ltd. -- Class H... 9,674,685 CHN 427,900 Commonwealth Bank of Australia......... 20,043,243 AUS 357,700 Credit Suisse Group.. 25,579,284 SWI 183,400 Danske Bank A/S...... 7,538,266 DEN 65,500 Deutsche Bank AG..... 9,557,462 GER 83,901 Dexia................ 2,635,630 BEL 582,100 DNB NOR ASA.......... 7,521,858 NOR 89,200 ForeningsSparbanken AB................ 3,247,573 SWE 367,000 Fortis............... 15,651,526 BEL 1,107,700 HBOS PLC............. 21,921,190 BRI 1,440,064 Intesa Sanpaolo...... 10,778,272 ITA 239,672 Julius Baer Holding, Ltd. ............. 17,246,966 SWI 93,084 Kookmin Bank......... 8,171,362 KOR 253,800 Laurentian Bank of Canada(8)......... 8,527,108 CDA 2,574,600 Lloyds TSB Group PLC............... 28,745,501 BRI 231,600 National Bank of Canada(8)......... 13,342,682 CDA 109,293 National Bank of Greece SA......... 6,271,919 GRC 1,472,300 Nordea Bank AB....... 23,141,925 SWE 102,600 Societe Generale..... 19,097,962 FRA 396,719 Suncorp-Metway, Ltd. ............. 6,783,945 AUS 138,300 UBS AG............... 8,333,099 SWI -------------- 438,172,523 -------------- BROADCAST SERVICES/MEDIA -- 0.7% 242,400 Rogers Communications, Inc. -- Class B... 10,335,422 CDA 143,800 Vivendi Universal SA................ 6,210,519 FRA -------------- 16,545,941 --------------
See notes to financial statements. 166 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) BUSINESS SERVICES AND SUPPLIES -- 0.5% 1,404,000 Marubeni Corp. ...... $ 11,574,091 JPN -------------- CHEMICALS -- 2.8% 45,100 Akzo Nobel NV........ 3,904,156 NET 6,140 Arkema*.............. 402,961 FRA 214,142 Bayer AG............. 16,259,491 GER 56,300 Ciba Specialty Chemicals AG...... 3,675,747 SWI 264,800 Methanex Corp.(8).... 6,572,459 CDA 1,102,800 Mitsubishi Chemical Holdings Corp. ... 10,139,042 JPN 171,800 Nova Chemicals Corp.(8).......... 6,141,417 CDA 597,500 Sumitomo Bakelite Company, Ltd.(8).. 4,187,959 JPN 58,336 Wacker Chemie AG..... 13,817,101 GER -------------- 65,100,333 -------------- COMPUTER EQUIPMENT, SOFTWARE AND SERVICES -- 0.6% 1,137,600 CGI Group, Inc. -- Class A*.. 12,761,624 CDA 66,900 Open Text Corp.*..... 1,465,802 CDA -------------- 14,227,426 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 2.3% 353,700 Barratt Developments PLC............... 7,052,931 BRI 8,800 Cementos Portland Valderrivas SA.... 1,100,517 SPA 3,206,000 China Communications Construction Company, Ltd. -- Class H... 5,740,229 CHN 15,600 Ciments Francais SA.. 3,600,540 FRA 139,900 Compagnie de Saint- Gobain............ 15,785,915 FRA 644,700 George Wimpey PLC.... 6,511,949 BRI 43,500 Lafarge SA........... 7,971,685 FRA 91,000 Maeda Road Construction Company, Ltd. .... 807,821 JPN 910,000 Sanwa Shutter Corp. ............ 5,277,076 JPN -------------- 53,848,663 -------------- CONSUMER GOODS AND SERVICES -- 3.2% 148,400 Canon, Inc. ......... 8,714,169 JPN 302,100 Electrolux AB -- Series B(8)....... 7,200,009 SWE 101,788 Henkel KGaA-Vorzug... 5,385,233 GER 37,770 Husqvarna AB -- Class A................. 538,451 SWE 25,400 Husqvarna AB -- Class B................. 362,104 SWE 3,537 Japan Tobacco, Inc. ............. 17,465,957 JPN 188,983 Luxottica Group SPA.. 7,361,321 ITA 364,728 Reckitt Benckiser PLC............... 20,031,421 BRI 161,234 Swatch Group AG...... 9,173,772 SWI -------------- 76,232,437 -------------- DIVERSIFIED OPERATIONS AND SERVICES -- 2.6% 189,300 BASF AG.............. 24,913,675 GER 366,113 Brambles, Ltd.*...... 3,780,558 AUS 1,538,000 China Resources Enterprise, Ltd. ............. 5,782,842 HNG 751,300 Mitsubishi Corp. .... 19,709,230 JPN 334,000 Sumitomo Corp. ...... 6,103,553 JPN -------------- 60,289,858 -------------- ELECTRONICS -- 2.3% 38,600 Fanuc, Ltd. ......... 3,987,752 JPN 1,512,800 Hon Hai Precision Industry Company, Ltd. ............. 13,072,330 TWN 130,200 Hosiden Corp. ....... 1,725,778 JPN 201,326 LG Electronics, Inc. ............. 16,649,138 KOR 167,700 Sony Corp. .......... 8,621,653 JPN 810,100 Toshiba Tec Corp. ... 4,816,188 JPN 55,010 Yamada Denki Company, Ltd. ............. 5,754,549 JPN -------------- 54,627,388 -------------- ENERGY SERVICES -- 1.7% 471,409 ABB, Ltd. ........... 10,728,752 SWI 306,000 Renewable Energy Corp. AS*(8)...... 11,934,983 NOR 262,600 Vestas Wind Systems A/S*.............. 17,384,403 DEN -------------- 40,048,138 -------------- FILTRATION SYSTEMS -- 0.2% 83,200 Alfa Laval AB........ 5,048,544 SWE -------------- FINANCIAL SERVICES -- 5.0% 535,600 Alliance & Leicester PLC............... 11,895,454 BRI 983,100 Bradford & Bingley PLC*.............. 7,802,880 BRI 495,000 Daiwa Securities Group, Inc. ...... 5,278,660 JPN 101,026 Deutsche Boerse AG... 11,451,442 GER 226,900 Hitachi Capital Corp. ............ 3,460,858 JPN 1,638,706 Invesco PLC.......... 21,274,282 BRI 319,800 Irish Life & Permanent PLC..... 8,089,655 IRE 1,546,189 Man Group PLC........ 18,908,854 BRI
See notes to financial statements. 167 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES (CONTINUED) 51,800 Muenchener Rueckversicher- ungs-Gesellschaft AG................ $ 9,548,105 GER 255,700 Nomura Holdings, Inc. ............. 4,984,203 JPN 132,700 Promise Company, Ltd.(8)........... 4,095,513 JPN 38,300 Sanyo Shinpan Finance Company, Ltd. .... 1,088,731 JPN 119,100 Sun Life Financial, Inc.(8)........... 5,675,209 CDA 98,300 Takefuji Corp. ...... 3,305,275 JPN -------------- 116,859,121 -------------- FOOD AND BEVERAGE -- 1.6% 326,400 Asahi Breweries, Ltd. ............. 5,065,993 JPN 262,188 Cadbury Schweppes PLC............... 3,580,198 BRI 47,861 East Asiatic Company, Ltd A/S DET Ostasiatiske Kompagni.......... 2,641,826 DEN 265,300 Katokichi Company, Ltd. ............. 1,581,565 JPN 24,060 Nestle SA............ 9,178,845 SWI 1,537,300 Northern Foods PLC... 3,673,592 BRI 389,900 Tate & Lyle PLC...... 4,443,288 BRI 241,344 Unilever NV -- CVA... 7,532,481 NET -------------- 37,697,788 -------------- INSURANCE -- 4.1% 441,800 Aviva PLC............ 6,596,173 BRI 79,100 CNP Assurances....... 10,165,147 FRA 1,939,300 Friends Provident PLC............... 6,978,601 BRI 516,000 ING Groep NV......... 22,899,886 NET 1,003,300 Milano Assicurazioni SpA............... 8,378,344 ITA 1,472,000 Old Mutual PLC....... 4,992,554 BRI 5,458,900 Royal & Sun Alliance Insurance Group PLC............... 15,949,735 BRI 94,700 Swiss Re............. 8,675,342 SWI 36,300 Zurich Financial Services AG....... 11,270,385 SWI -------------- 95,906,167 -------------- INTERNET SERVICES -- 0.3% 96,900 Ctrip.com International, Ltd. (ADR)........ 7,619,247 CAY -------------- LEISURE AND RECREATION -- 0.7% 198,900 SANKYO, CO., LTD .... 8,384,090 JPN 255,300 TUI AG(8)............ 7,090,394 GER -------------- 15,474,484 -------------- MACHINERY -- 0.7% 318,200 Komatsu, Ltd. ....... 9,252,029 JPN 15,900 Rieter Holding AG.... 8,337,249 SWI -------------- 17,589,278 -------------- MANUFACTURING -- 2.3% 121,979 Alstom(8)............ 20,507,788 FRA 704,000 Kurabo Industries, Ltd. ............. 1,989,783 JPN 185,235 Siemens AG........... 26,717,771 GER 1,155,936 Tomkins PLC.......... 6,035,211 BRI -------------- 55,250,553 -------------- MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES -- 1.5% 55,675 Essilor International SA CIE Generale D'Optique......... 6,658,974 FRA 207,265 Fresenius Medical Care AG & Company........... 9,574,244 GER 46,253 Phonak Holding AG- REG............... 4,165,231 SWI 1,141,528 Smith & Nephew PLC... 14,189,351 BRI -------------- 34,587,800 -------------- METALS AND MINING -- 6.2% 93,400 Alcan, Inc.(8)....... 7,619,301 CDA 1,257,100 BlueScope Steel, Ltd. ............. 11,020,055 AUS 191,300 Cameco Corp. (Canada)(8)....... 9,706,562 CDA 279,200 Companhia Vale do Rio Doce (ADR)........ 12,438,360 BRA 37,300 Norddeutsche Affinerie AG...... 1,651,826 GER 331,500 Rautaruukki Oyj...... 21,343,168 FIN 72,828 Salzgitter AG........ 14,143,674 GER 308,300 Sims Group, Ltd. .... 6,926,484 AUS 341,100 ThyssenKrupp AG...... 20,373,135 GER 39,355 Vallourec SA (France)(8)....... 12,688,262 FRA 165,600 voestalpine AG....... 14,008,208 AST 232,420 Xstrata PLC.......... 13,941,004 BRI -------------- 145,860,039 -------------- OFFICE EQUIPMENT, SUPPLIES, AND SERVICES -- 0.5% 95,000 Brother Industries, Ltd. ............. 1,397,320 JPN 315,000 Ricoh Company, Ltd. ............. 7,291,371 JPN 3,314,500 TPV Technology, Ltd. ............. 2,293,258 HNG -------------- 10,981,949 -------------- OIL, COAL AND GAS -- 7.8% 1,176,600 BP PLC............... 14,247,265 BRI 988,200 Cosmo Oil Company, Ltd. ............. 5,457,673 JPN
See notes to financial statements. 168 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) OIL, COAL AND GAS (CONTINUED) 134,000 EnCana Corp. ........ $ 8,241,896 CDA 635,400 Eni SpA.............. 23,133,519 ITA 2,063,000 Nippon Oil Corp. .... 19,201,608 JPN 227,500 Norsk Hydro ASA...... 8,796,073 NOR 287,000 Repsol YPF SA........ 11,361,874 SPA 1,290,100 Royal Dutch Shell PLC -- Class B.... 53,963,236 BRI 474,400 Showa Shell Sekiyu KK(8)............. 5,891,229 JPN 147,200 Suncor Energy, Inc. ............. 13,260,091 CDA 245,600 Total SA............. 20,030,865 FRA -------------- 183,585,329 -------------- PAPER AND FOREST PRODUCTS -- 0.3% 1,263,000 Oji Paper Company, Ltd. ............. 6,144,463 JPN -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 2.5% 310,500 AstraZeneca PLC...... 16,728,909 BRI 338,900 Biovail Corp.(8)..... 8,637,536 CDA 953,600 Elan Corp. PLC (ADR)*(8)......... 20,912,447 IRE 285,300 GlaxoSmithKline PLC.. 7,476,488 BRI 476,000 Tanabe Seiyaku Company, Ltd. .... 5,675,273 JPN -------------- 59,430,653 -------------- PRINTING AND PUBLISHING -- 0.5% 505,300 Quebecor World, Inc. ............. 6,180,764 CDA 439,000 Toppan Printing Company, Ltd. .... 4,724,264 JPN -------------- 10,905,028 -------------- RETAIL -- 2.1% 389,193 Bulgari SPA.......... 6,273,631 ITA 1,010,434 Carphone Warehouse PLC............... 6,700,946 BRI 1,912,500 Dixons Group PLC..... 6,094,860 BRI 590,900 JJB Sports PLC....... 3,037,661 BRI 500,392 KarstadtQuelle AG*... 16,944,933 GER 38,230 PPR.................. 6,703,745 FRA 10,300 Valora Holding AG.... 2,698,322 SWI -------------- 48,454,098 -------------- RETAIL: RESTAURANTS -- 0.1% 112,200 Plenus Company, Ltd.(8)........... 2,045,799 JPN -------------- RETAIL: SUPERMARKETS -- 0.6% 1,577,532 Tesco PLC............ 13,257,419 BRI -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.2% 99,500 Advantest Corp. ..... 4,339,614 JPN -------------- SEMICONDUCTORS -- 2.3% 3,275,555 ARM Holdings PLC..... 9,636,246 BRI 613,458 ASML Holding NV*..... 17,020,837 NET 153,700 Elpida Memory, Inc.*(8).......... 6,778,404 JPN 781,026 Infineon Technologies AG*............... 13,012,650 GER 14,070 Samsung Electronics Company, Ltd. .... 8,620,036 KOR -------------- 55,068,173 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 7.3% 133,100 America Movil SA de CV -- Series L (ADR)............. 8,242,883 MEX 3,618,235 BT Group PLC......... 24,158,711 BRI 2,945,230 Cable & Wireless PLC............... 11,503,345 BRI 277,800 Deutsche Telekom AG.. 5,147,281 GER 159,600 Elcoteq Network Corp. -- Class A(8).............. 1,350,066 FIN 97,600 Millicom International Cellular SA (Luxembourg)*(8).. 8,944,064 LUX 1,588,500 MobileOne, Ltd. ..... 2,282,999 SIN 3,200 Nippon Telegraph and Telephone Corp.(8).......... 14,216,447 JPN 1,061,619 Nokia Oyj............ 29,900,811 FIN 9,500 NTT DoCoMo, Inc. .... 15,045,685 JPN 88,600 Research In Motion, Ltd.*............. 17,719,114 CDA 26,200 Swisscom AG.......... 8,981,785 SWI 2,376,000 Telefonaktiebolaget LM Ericsson -- Class B................. 9,539,853 SWE 244,400 Telefonica SA........ 5,471,154 SPA 1,646,500 Vodafone Group PLC... 5,548,033 BRI 395,600 VTech Holdings, Ltd. ............. 3,339,165 BER -------------- 171,391,396 -------------- TOYS -- 0.3% 17,900 Nintendo Company, Ltd. ............. 6,556,670 JPN -------------- TRANSPORTATION -- 1.4% 636,000 Mitsui OSK Lines, Ltd. ............. 8,647,017 JPN 2,535,000 Neptune Orient Lines, Ltd. ............. 8,777,070 SIN 1,367,100 Orient Overseas International, Ltd. ............. 13,357,689 BER 442,684 Transurban Group..... 3,006,213 AUS -------------- 33,787,989 --------------
See notes to financial statements. 169 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) UTILITIES -- 3.3% 95,900 ATCO, Ltd. -- Class I................. $ 5,029,742 CDA 1,130,300 Energias de Portugal SA................ 6,256,901 POR 314,200 Hokkaido Electric Power Company, Inc. ............. 6,826,274 JPN 151,503 Iberdrola SA......... 8,515,799 SPA 248,000 Kyushu Electric Power Company, Inc. .... 6,505,909 JPN 604,300 The Kansai Electric Power Company, Inc. ............. 14,306,879 JPN 393,571 Veolia Environment... 30,911,352 FRA -------------- 78,352,856 -------------- TOTAL COMMON STOCKS (Cost $1,737,618,053)... 2,316,876,263 -------------- RIGHTS -- 0.0% AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE EQUIPMENT AND REPAIRS 390,900 TI Automotive, Ltd. -- Class A*(14)(27) (Cost $0)......... -- BRI -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 8.3% $196,242,413 Securities Lending Collateral Investment (Note 4) (Cost $196,242,413)..... 196,242,413 USA -------------- TOTAL SECURITIES (Cost $1,933,860,466)... 2,513,118,676 -------------- Principal Value Country - --------- -------------- ------- REPURCHASE AGREEMENTS -- 0.8% 18,259,432 With Investors Bank and Trust, dated 06/29/07, 4.76%, due 07/02/07, repurchase proceeds at maturity $18,266,675 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.40%, due 12/01/33, with a value of $6,758,504, Freddie Mac, 5.82%, due 01/15/33, with a value of $9,667,831, and Small Business Administration, 8.63%, due 03/25/23, with a value of $2,746,068) (Cost $18,259,432)...... 18,259,432 USA -------------- Total Investments -- 107.6% (Cost $1,952,119,898)... 2,531,378,108 Liabilities less other assets -- (7.6)%.. (179,032,178) -------------- NET ASSETS -- 100.0%.. $2,352,345,930 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2007 is $1,952,119,898. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.. $605,172,638 Gross unrealized depreciation.. (25,914,428) ------------ Net unrealized appreciation.... $579,258,210 ============
- -------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 170 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2007 (UNAUDITED)
PERCENT OF TOTAL COUNTRY COMPOSITION INVESTMENTS AT VALUE - ------------------- -------------------- Australia (AUS)................................................. 2.70% Austria (AST)................................................... 0.55% Belgium (BEL)................................................... 0.72% Bermuda (BER)................................................... 0.75% Brazil (BRA).................................................... 0.49% Canada (CDA).................................................... 6.79% Cayman Islands (CAY)............................................ 0.97% Denmark (DEN)................................................... 1.09% Finland (FIN)................................................... 2.08% France (FRA).................................................... 8.33% Germany (GER)................................................... 10.60% Greece(GRC)..................................................... 0.49% Hong Kong (HNG)................................................. 0.23% Ireland (IRE)................................................... 1.58% Italy (ITA)..................................................... 2.27% Japan (JPN)..................................................... 15.31% Luxembourg (LUX)................................................ 0.35% Mexico (MEX).................................................... 0.33% Norway (NOR).................................................... 1.12% Portugal (POR).................................................. 0.45% China (CHN)..................................................... 0.61% Singapore (SIN)................................................. 0.62% South Korea (KOR)............................................... 1.66% Spain (SPA)..................................................... 2.77% Sweden (SWE).................................................... 1.94% Switzerland (SWI)............................................... 6.12% Taiwan (TWN).................................................... 0.52% The Netherlands (NET)........................................... 2.70% United Kingdom (BRI)............................................ 17.39% United States (USA)............................................. 8.47% ------ TOTAL PERCENTAGE................................................ 100.00% ======
See notes to financial statements. 171 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIO OF INVESTMENTS SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS JUNE 30, 2007 (UNAUDITED)
Footnotes: - ---------- * Non-income producing security. 144A All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
1) Variable rate security. The rate shown was in effect at June 30, 2007. 2) Quarterly reset provision. The rate shown was in effect at June 30, 2007. 3) Monthly reset provision. The rate shown was in effect at June 30, 2007. 4) Security is segregated as collateral for written options. 5) Security is segregated as initial margin for futures contracts. 6) Security is segregated as collateral for swap contracts. 7) Represents a zero coupon bond which will convert to an interest bearing security at a later date. 8) All or part of this security is on loan. 9) Bond is in default. 10) Variable rate security. Interest rate is based on the credit rating of the issuer. The rate shown was in effect at June 30, 2007. 11) Floating rate security. The interest rate is subject to change semi- annually based on the London Interbank Offered Rate ("LIBOR"). The rate shown was in effect at June 30, 2007. 12) PIK ("Payment-In-Kind") bond. These bonds pay interest in the form of additional bonds. 13) Security was in bankruptcy reorganization at the time of maturity. Recovery will be determined at the conclusion of the bankruptcy. 14) Fair valued at June 30, 2007. Following are the market values (as determined by fair valuation) and the corresponding percentage of Portfolio net assets of all fair valued securities at June 30, 2007.
SERIES MARKET VALUE PERCENTAGE - ------ ------------ ---------- High Yield Bond $3,576,538 0.64%
15) Principal amount for this security is denominated in Australian Dollars. 16) Principal amount for this security is denominated in British Pounds. 17) Principal amount for this security is denominated in Canadian Dollars. 18) Principal amount for this security is denominated in Danish Krone. 19) Principal amount for this security is denominated in Euros. 20) Principal amount for this security is denominated in Hong Kong Dollars. 21) Principal amount for this security is denominated in Japanese Yen. 22) Principal amount for this security is denominated in Mexican Pesos. 23) Principal amount for this security is denominated in New Zealand Dollars. 24) Principal amount for this security is denominated in Swedish Krona. 25) Principal amount for this security is denominated in Swiss Francs. 26) Principal amount for this security is denominated in Taiwan Dollars. 27) Illiquid security. Refer to Note 2M.
Abbreviations: - -------------- ADR American Depository Receipt. FDR Foreign Depository Receipt. GDR Global Depository Receipt. IO Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities generally exceed yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. TBA To be announced. Securities are purchased on a forward commitment basis with approximate principal amount and general stated maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. ______________
- Securities issued by companies registered outside the United States are denoted with their domestic country in parenthesis. - Fixed income securities designated as "perpetual" are securities that make (or are scheduled to make) a steady payment of interest. They do not have a maturity date, and the interest payments are indefinite. - Footnotes and abbreviations may or may not appear in each portfolio of investments. See notes to financial statements. 172 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIO COMPOSITION JUNE 30, 2007 (UNAUDITED) The following charts summarize the portfolio composition of each Series by asset type. MONEY MARKET SERIES Commercial Paper.................... 37.0% Yankee Certificates of Deposit...... 23.4 Short Term Corporate Notes.......... 23.2 Repurchase Agreements/Cash Equivalents....................... 15.2 Time Deposit........................ 0.8 Other assets less liabilities....... 0.4 ----- 100.0% ===== HIGH QUALITY BOND SERIES Corporate Bonds and Notes........... 76.7% US Government Agency Securities..... 16.5 US Treasury Securities.............. 2.6 Short Term US Government Agency Securities........................ 2.1 Repurchase Agreements/Cash Equivalents....................... 1.9 Securities Lending Collateral....... 1.5 Municipal Bonds..................... 0.7 Foreign Government Obligations...... 0.5 Liabilities less other assets....... (2.5) ----- 100.0% ===== INFLATION-PROTECTED SECURITIES SERIES(1) US Treasury Securities.............. 91.7% Short Term US Government Agency Securities........................ 4.3 US Government Agency Securities..... 2.3 Repurchase Agreements/Cash Equivalents....................... 2.0 Corporate Bonds and Notes........... 1.1 Liabilities less other assets....... (1.4) ----- 100.0% ===== CORE BOND SERIES US Government Agency Securities..... 57.1% Corporate Bonds and Notes........... 48.5 US Treasury Securities.............. 3.9 Short Term US Government Agency Securities........................ 3.2 Foreign Government Obligations...... 1.6 Repurchase Agreements/Cash Equivalents....................... 1.0 Securities Lending Collateral....... 0.3 Call Options Written................ (0.0)* Put Options Written................. (0.0)* Securities Sold Short............... (18.5) Other assets less liabilities....... 2.9 ----- 100.0% ===== TOTAL RETURN BOND SERIES Corporate Bonds and Notes........... 49.7% US Government Agency Securities..... 47.0 Repurchase Agreement/Cash Equivalents....................... 25.3 US Treasury Securities.............. 16.4 Securities Lending Collateral....... 10.4 Foreign Government Obligations...... 0.7 Municipal Bonds..................... 0.2 Convertible Bonds................... 0.0* Purchased Call Options.............. 0.0* Call Options Written................ (0.0)* Put Options Written................. (0.0)* Liabilities less other assets....... (49.7) ----- 100.0% ===== HIGH YIELD BOND SERIES Corporate Bonds and Notes........... 80.9% Loan Participations................. 9.7 Repurchase Agreements/Cash Equivalents....................... 5.7 Convertible Preferred Stocks........ 0.9 Common Stocks....................... 0.7 Preferred Stocks.................... 0.5 Convertible Bonds................... 0.3 Warrants............................ 0.1 Other assets less liabilities....... 1.2 ----- 100.0% ===== BALANCED SERIES Common Stocks....................... 61.3% Corporate Bonds and Notes........... 21.8 US Government Agency Securities..... 19.4 Repurchase Agreements/Cash Equivalents....................... 3.8 Securities Lending Collateral....... 3.2 US Treasury Securities.............. 2.1 Foreign Government Obligations...... 0.5 Municipal Bonds..................... 0.4 Convertible Bonds................... 0.0* Purchased Call Options.............. 0.0* Call Options Written................ (0.0)* Put Options Written................. (0.0)* Liabilities less other assets....... (12.5) ----- 100.0% =====
See notes to financial statements. 173 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIO COMPOSITION (CONTINUED) JUNE 30, 2007 (UNAUDITED) VALUE & INCOME SERIES Common Stocks....................... 98.8% Securities Lending Collateral....... 6.6 Repurchase Agreements/Cash Equivalents....................... 1.4 Liabilities less other assets....... (6.8) ----- 100.0% ===== VALUE SERIES Common Stocks....................... 94.7% Securities Lending Collateral....... 10.8 Repurchase Agreements/Cash Equivalents....................... 4.1 Liabilities less other assets....... (9.6) ----- 100.0% ===== GROWTH & INCOME SERIES Common Stocks....................... 99.2% Securities Lending Collateral....... 4.4 Repurchase Agreements/Cash Equivalents....................... 0.6 Liabilities less other assets....... (4.2) ----- 100.0% ===== EQUITY GROWTH SERIES Common Stocks....................... 98.8% Securities Lending Collateral....... 1.6 Repurchase Agreements/Cash Equivalents....................... 0.1 Liabilities less other assets....... (0.5) ----- 100.0% ===== AGGRESSIVE EQUITY SERIES Common Stocks....................... 99.1% Securities Lending Collateral....... 19.0 Repurchase Agreements/Cash Equivalents....................... 0.9 Liabilities less other assets....... (19.0) ----- 100.0% ===== MID-CAP VALUE SERIES Common Stocks....................... 97.1% Securities Lending Collateral....... 16.1 Repurchase Agreements/Cash Equivalents....................... 2.2 Short Term Commercial Paper......... 0.3 Convertible Bonds................... 0.0* Liabilities less other assets....... (15.7) ----- 100.0% ===== MID-CAP GROWTH SERIES Common Stocks....................... 98.5% Securities Lending Collateral....... 22.7 Repurchase Agreements/Cash Equivalents....................... 2.3 Liabilities less other assets....... (23.5) ----- 100.0% ===== SMALL-CAP VALUE SERIES Common Stocks....................... 98.8% Securities Lending Collateral....... 18.1 Repurchase Agreements/Cash Equivalents....................... 0.7 Liabilities less other assets....... (17.6) ----- 100.0% ===== SPECIAL EQUITY SERIES Common Stocks....................... 98.1% Securities Lending Collateral....... 24.2 Repurchase Agreements/Cash Equivalents....................... 1.8 Short Term US Treasury Securities... 0.1 Liabilities less other assets....... (24.2) ----- 100.0% ===== SMALL-CAP GROWTH SERIES Common Stocks....................... 98.2% Securities Lending Collateral....... 21.4 Repurchase Agreements/Cash Equivalents....................... 1.3 Liabilities less other assets....... (20.9) ----- 100.0% ===== INTERNATIONAL EQUITY SERIES Common Stocks....................... 98.5% Securities Lending Collateral....... 8.3 Repurchase Agreements/Cash Equivalents....................... 0.8 Rights.............................. 0.0* Liabilities less other assets....... (7.6) ----- 100.0% =====
- -------- (1) Formerly, Intermediate Government Bond Series. * Amount rounds to less than 0.05%. See notes to financial statements. 174 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. ORGANIZATION AND BUSINESS Diversified Investors Portfolios (the "Series Portfolio"), a series trust organized on September 1, 1993 under the laws of the State of New York, is composed of eighteen different series that are, in effect, separate investment funds: the Money Market Portfolio, the High Quality Bond Portfolio, the Inflation-Protected Securities Portfolio (formerly, the Intermediate Government Bond Portfolio), the Core Bond Portfolio, the Total Return Bond Portfolio, the High Yield Bond Portfolio, the Balanced Portfolio, the Value & Income Portfolio, the Value Portfolio, the Growth & Income Portfolio, the Equity Growth Portfolio, the Aggressive Equity Portfolio, the Mid-Cap Value Portfolio, the Mid-Cap Growth Portfolio, the Small-Cap Value Portfolio, the Special Equity Portfolio, the Small-Cap Growth Portfolio, and the International Equity Portfolio (each a "Series"). The Inflation-Protected Securities Portfolio changed its name from the Intermediate Government Bond Portfolio on May 1, 2007. The Declaration of Trust permits the Board of Trustees to issue an unlimited number of beneficial interests in each Series. Investors in a Series (e.g., investment companies, insurance company separate accounts and common and commingled trust funds) will each be liable for all obligations of that Series (and of no other Series). The investment objectives of each Series are as follows: Money Market -- The Series' goal is to provide liquidity and as high a level of income as is consistent with the preservation of capital. High Quality Bond -- The Series' goal is to provide a high risk-adjusted return while focusing on the preservation of capital. Inflation-Protected Securities -- The Series' goal is to seek maximum real return consistent with the preservation of capital. Prior to May 1, 2007, the investment objective of the Intermediate Government Bond Portfolio was to provide as high a level of current income as is consistent with the preservation of capital. Core Bond -- The Series' goal is to achieve maximum total return. Total Return Bond -- The Series' goal is to maximize long-term total return. High Yield Bond -- The Series' goal is to provide a high level of current income. Balanced -- The Series' goal is to provide a high total investment return through investment in a broadly diversified portfolio of stocks, bonds and money market instruments. Value & Income -- The Series' goal is to provide a high level of current income through investment in a broadly diversified portfolio of common stocks with relatively high current yield. Capital appreciation is a secondary goal. Value -- The Series' goal is to provide capital appreciation. Dividend income is a secondary goal. Growth & Income -- The Series' goal is to provide capital appreciation and current income. Equity Growth -- The Series' goal is to provide a high level of capital appreciation through investment in a diversified portfolio of common stocks with a potential for above-average growth in earnings. Current income is a secondary goal. Aggressive Equity -- The Series' goal is to provide a high level of capital appreciation primarily through investing in a diversified portfolio of common stocks. Mid-Cap Value -- The Series' goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks. Mid-Cap Growth -- The Series' goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks. 175 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 1. ORGANIZATION AND BUSINESS (CONTINUED) Small-Cap Value -- The Series' goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks. Special Equity -- The Series' goal is to provide a high level of capital appreciation through investment in a diversified portfolio of common stocks of small to medium size companies. Small-Cap Growth -- The Series' goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks. International Equity -- The Series' goal is to provide a high level of long-term capital appreciation through investment in a diversified portfolio of securities of foreign issuers. 2. SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION: Short-term securities having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value. The amortized cost of a security is determined by valuing it at original cost and thereafter amortizing any discount or premium at a constant rate until maturity. Equity securities are valued at the last sale price on the exchange on which they are primarily traded or at the last quoted bid price for securities in which there were no sales during the day or for unlisted securities. Portfolio securities listed on the NASDAQ National Market and NASDAQ Small Cap Market for which reliable market quotations are available are valued at the official closing price or, if there is no official closing price on that day, at the last sale price. Bonds are valued at the mean of the last available bid and asked prices by an independent pricing service. Futures and option contracts that are traded on commodities or securities exchanges are normally valued at the last settlement price on the exchange on which they are traded. When valuations are not readily available, securities will be valued at their fair value as determined by the Board of Trustees. Unlisted securities are valued at the last sales price provided by an independent pricing agent or the principal market maker. Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. Events or circumstances affecting the values of portfolio securities that occur between the closing of their principal markets and the time the net asset value is determined may be reflected in the calculation of net asset value when the investment advisor deems that the particular event or circumstance would materially affect its asset value. In accordance with procedures adopted by the Board of Trustees, the International Equity Series applies fair value pricing on a daily basis for all non-US and non-Canadian equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Series' investment advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value each day. B. REPURCHASE AGREEMENTS: Each Series, along with other affiliated entities of the investment advisor, may enter into repurchase agreements with financial institutions deemed to be creditworthy by the Series' investment advisor, subject to the seller's agreement to repurchase and the Series agreement to resell such securities at a mutually agreed upon price. Securities purchased subject to repurchase agreements are segregated at the custodian and, pursuant to the terms of the repurchase agreements, must have an aggregate market value greater than or equal to 102% for domestic securities and 105% for international securities of the repurchase price at all times. If the value of the underlying securities falls below the value of the repurchase price, the Series will require the seller to deposit additional collateral by the next business day. If the request for additional collateral is not met or the seller 176 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) defaults on its repurchase obligation, the Series maintains the right to sell the underlying securities at market value and may claim any resulting loss against the seller. However, in the event of default or bankruptcy by the seller, realization and/or retention of the collateral may be subject to legal proceedings. C. FOREIGN CURRENCY TRANSLATION: The accounting records of each Series are maintained in US dollars. The market values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated to US dollars based on the prevailing exchange rates each business day. Income, expenses, purchases, and sales of investment securities denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. Each Series does not isolate realized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gains or losses on securities. Net realized gains and losses on foreign currency transactions represent net foreign exchange gains and losses on disposition of foreign currencies and foreign currency forward and spot contracts, and the difference between the amount of investment income receivable and foreign withholding taxes payable recorded on each Series' books and the US dollar equivalent of amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities (other than investments in securities) and foreign currency forward and spot contracts, resulting from changes in the prevailing exchange rates. D. FOREIGN CURRENCY FORWARD, SPOT, AND CROSS CURRENCY CONTRACTS: Each Series, with the exception of the Money Market Series, may enter into foreign currency forward contracts, spot, and cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with those series that participate in such contracts. A foreign currency forward contract is an agreement between two parties to buy and sell a currency at a set price on a future date. A spot contract is also an agreement to buy and sell a currency, but will settle within a week or less from the date it is entered into. The market value of a foreign currency forward, spot, or cross currency contract fluctuates with changes in forward currency exchange rates. Foreign currency forward, spot, and cross currency contracts are marked to market daily and the change in value is recorded by the Series as an unrealized foreign exchange gain or loss. When a foreign currency forward, spot, or cross currency contract is extinguished, through delivery or by entering into another offsetting foreign currency forward, spot, or cross currency contract, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Series' Statement of Assets and Liabilities and Statement of Operations. In addition, the Series could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar. As of June 30, 2007, the Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced Series, Equity Growth Series, and International Equity Series each had outstanding foreign currency forward contracts as listed in Note 10. E. WRITTEN OPTIONS: Each Series, with the exception of the Money Market Series, may write or purchase options for the purpose of either hedging its exposure to the market fluctuations of the portfolio, or an individual security position. When a Series writes an option, an amount equal to the premium received by the Series is recorded as an asset and corresponding liability. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. These options are 177 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) settled for cash and subject the Series to unknown risk of loss. The Series, however, are not subject to credit risk on written options, as the counterparty has already performed its obligation by paying the premium at the inception of the contract. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Series realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written. Transactions in options written for the period ended June 30, 2007 were as follows:
CORE BOND TOTAL RETURN BOND BALANCED --------------------- -------------------- -------------------- NUMBER OF NUMBER OF NUMBER OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS CONTRACTS PREMIUMS ---------- -------- --------- -------- --------- -------- Written call options outstanding at December 31, 2006........... 34,200,000 $229,140 26 $ 6,964 42 $ 11,337 Call options written............. -- -- 233 69,116 142 40,571 Call options terminated in closing purchase transactions.. -- -- (86) (20,445) (93) (22,847) Call options expire.............. -- -- -- -- -- -- ---------- -------- ---- -------- ---- -------- Written call options outstanding at June 30, 2007............... 34,200,000 $229,140 173 $ 55,635 91 $ 29,061 ========== ======== ==== ======== ==== ======== Written put options outstanding at December 31, 2006........... 34,200,000 $372,780 51 $ 15,432 82 $ 24,809 Put options written.............. -- -- 233 69,554 142 40,462 Put options terminated in closing purchase transactions.......... -- -- (111) (25,820) (133) (33,679) Put options expired.............. -- -- -- -- -- -- ---------- -------- ---- -------- ---- -------- Written put options outstanding at June 30, 2007............... 34,200,000 $372,780 173 $ 59,166 91 $ 31,592 ========== ======== ==== ======== ==== ========
F. FUTURES CONTRACTS: Each Series, with the exception of the Money Market Series, may enter into futures contracts for the purpose of hedging its existing portfolio securities, or securities that the Series intends to purchase, against fluctuations in market value caused by changes in prevailing market or interest rates. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the daily market value of the contract. Variation margin payments are received or made by each Series each day, depending upon the daily fluctuations in the market value of the underlying instrument. Each Series recognizes an unrealized gain or loss equal to the daily variation margin. When the contract is closed, the Series records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the basis in the contract. Should market conditions move unexpectedly, the Series may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets. These contracts may involve market risk in excess of the unrealized gains or losses reflected in the Series' Statement of Assets and Liabilities. 178 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Use of long futures contracts subjects the Series to risk of loss in excess of amounts shown on the Statement of Assets and Liabilities up to the notional value of the futures contracts. Use of short futures contracts subjects the Series to unlimited risk of loss. The Series may enter into futures contracts on exchanges or boards of trade. In that case, the exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Series' credit risk is limited to failure of the exchange or board of trade. Open futures contracts as of June 30, 2007:
VALUE AS OF NET UNREALIZED NUMBER OF JUNE 30, APPRECIATION/ SERIES CONTRACTS DESCRIPTION EXPIRATION DATE 2007 (DEPRECIATION) - ------ ----------- ------------------------------- --------------- ------------ -------------- Inflation-Protected Securities........... 20 Long Euro Bund Future September 2007 $ 2,997,892 $ (4,158) 26 Long US Long Bond Future September 2007 2,801,500 41,571 51 Long US Treasury Note 5 Year Future September 2007 5,307,984 (28,764) 23 Long US Treasury Note 10 Year Future September 2007 2,431,172 31,939 191 Short 90 Day Euro Future June 2008 45,278,938 (88,351) 72 Short US Treasury Note 2 Year Future September 2007 14,672,250 (30,524) ----------- $ (78,287) =========== Core Bond.............. 272 Long Euro Bund Future September 2007 $ 40,476,113 $ (464,648) 1,498 Long US Long Bond Future September 2007 161,409,500 (594,522) 1,443 Long US Treasury Note 10 Year Future September 2007 152,529,609 (855,418) 416 Short US Treasury Note 2 Year Future September 2007 84,773,000 (190,595) 1,900 Short US Treasury Note 5 Year Future September 2007 197,748,438 (1,227,861) ----------- $(3,333,044) =========== Total Return Bond...... 6 Long 90 Day Euro Future September 2007 $ 1,420,050 $ (3,755) 10 Long 90 Day Euro Future December 2007 2,367,875 (6,050) 32 Long 90 Day Euro Future June 2008 7,586,000 8,640 110 Long 90 Day Sterling Future June 2008 25,863,575 (90,496) 45 Long US Long Bond Future September 2007 4,848,750 (67,381) 204 Long US Treasury Note 5 Year Future September 2007 20,919,703 (21,129) 170 Long US Treasury Note 10 Year Future September 2007 17,969,531 180,806 20 Short US Treasury Note 2 Year Future September 2007 4,075,625 (7,913) ----------- $ (7,278) ===========
179 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
VALUE AS OF NET UNREALIZED NUMBER OF JUNE 30, APPRECIATION/ SERIES CONTRACTS DESCRIPTION EXPIRATION DATE 2007 (DEPRECIATION) - ------ ----------- ------------------------------- --------------- ------------ -------------- Balanced............... 5 Long 90 Day Euro Future September 2007 $ 1,183,375 $ (2,738) 7 Long 90 Day Euro Future December 2007 1,657,513 (4,235) 18 Long 90 Day Euro Future June 2008 4,267,125 4,860 128 Long 90 Day Sterling Future June 2008 30,095,796 (105,309) 21 Long S&P 500 Future September 2007 1,591,275 5,915 12 Long US Long Bond Future September 2007 1,293,000 (17,880) 46 Long US Treasury Note 2 Year Future September 2007 9,373,938 (20,168) 70 Long US Treasury Note 10 Year Future September 2007 7,399,219 70,997 62 Short US Treasury Note 5 Year Future September 2007 6,452,844 (12,402) ----------- $ (80,960) =========== Growth & Income........ 30 Long S&P 500 Future September 2007 $ 2,273,250 $ (9,541) =========== Special Equity......... 20 Long Russell 2000 Future September 2007 $ 8,421,000 $ (49,675) ===========
The Inflation-Protected Securities Series, Core Bond Series and Special Equity Series have segregated securities as collateral for their respective open futures contracts. The segregated securities are identified within each Series' portfolio of investments. The Total Return Bond Series has segregated $1,179,225 of cash, the Balanced Series has segregated $1,087,086 of cash and has restricted cash of $82,700 as collateral for their respective open futures contracts. The Growth & Income Series has restricted cash of $91,100 as collateral for open futures contracts. G. SWAPS: The Series, with the exception of the Money Market Series, may engage in various swap transactions, including interest rate, currency exchange rate, equity index and total return swaps, for hedging purposes, or as alternatives to direct investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of the swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. 180 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Outstanding swap agreements as of June 30, 2007: CORE BOND SERIES INTEREST RATE SWAPS:
PAYMENTS MADE BY PAYMENTS RECEIVED NOTIONAL AMOUNT VALUE SWAP COUNTERPARTY THE SERIES BY THE SERIES TERMINATION DATE (USD) (USD) - ----------------- ----------------- ----------------- ---------------- --------------- --------- Citibank, NA............... 3 month LIBOR 5.26% semi-annual 06/05/17 $ 17,800,000 $(184,052) Citigroup Global Markets... 3 month LIBOR 5.18% semi-annual 09/18/10 100,000,000 570,000 Citigroup Global Markets... 3 month LIBOR 5.16% semi-annual 11/07/10 66,900,000 (564,636) Citigroup Global Markets... 3 month LIBOR 4.95% semi-annual 12/12/11 23,600,000 (485,688) Goldman Sachs Global Markets.................. 5.07% semi-annual 3 month LIBOR 04/30/09 63,300,000 334,224 Goldman Sachs Global Markets.................. 3 month LIBOR 5.41% semi-annual 04/30/27 8,300,000 (382,049) Wachovia Securities........ 3 month LIBOR 5.20% semi-annual 09/07/11 100,000,000 353,000 --------- $(359,201) =========
TOTAL RETURN SWAPS:
PAYMENTS PAYMENTS SWAP REFERENCED MADE BY THE RECEIVED BY TERMINATION NOTIONAL AMOUNT VALUE COUNTERPARTY OBLIGATION SERIES THE SERIES DATE (USD) (USD) - ------------ -------------------- ------------- -------------------- ----------- --------------- ------- Wachovia Lehman 5.82% monthly Lehman 10/01/07 $50,000,000 $22,500 Securities.. Collateralized Collateralized Mortgage-Backed Mortgage-Backed ------- Securities US Securities US ------- Investment-Grade Investment-Grade 8.5+ Index 8.5+ Index + 20bps.
H. SHORT SALES: Each Series, with the exception of the Money Market Series, may sell securities short. A short sale is a transaction in which a Series sells securities it does not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Series is obligated to replace the borrowed securities at the market price at the time of replacement. The Series' obligation to replace the securities borrowed in connection with a short sale will be fully secured by collateral deposited with the custodian. In addition, the Series will consider the short sale to be a borrowing by the Series that is subject to the asset coverage requirements of the Investment Company Act of 1940, as amended. Short sales by the Series involve certain risks and special considerations. Possible losses from short sales differ from losses that could be incurred from a purchase of a security because losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. I. DOLLAR ROLLS: Each Series, with the exception of the Money Market Series, may enter into dollar rolls (principally using TBA's) in which the Series sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Series account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Series maintains liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Series is required to purchase may decline below the agreed upon repurchase price of those securities. 181 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) J. FEDERAL INCOME TAXES: It is the Series' policy to comply with the applicable provisions of the Internal Revenue Code. Therefore, no federal income tax provision is required. Each Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. K. SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted for on a trade date basis (the date the order to buy or sell is executed). Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts on investments. Realized gains and losses from securities transactions are recorded on the identified cost basis. Purchases of TBA, when-issued or delayed delivery securities may be settled a month or more after the trade date. Interest income is not accrued until settlement date. All of the net investment income and realized and unrealized gains and losses from security transactions are determined on each valuation day and allocated pro rata among the investors in a Series at the time of such determination. L. OPERATING EXPENSES: The Series Portfolio accounts separately for the assets, liabilities and operations of each Series. Expenses directly attributable to a Series are charged to that Series, while expenses attributable to all Series are allocated among all Series based on their relative net assets, or another methodology that is appropriate based on the circumstances. M. RESTRICTED AND ILLIQUID SECURITIES: Each Series is permitted to invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. N. OTHER: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. O. IN-KIND REDEMPTION: During the fiscal year ended December 31, 2006, the Special Equity Series delivered securities (redemption in-kind) in exchange for the redemption of units. The source of the redemption in-kind was three contractholders who were invested in an insurance company separate account established by MONY Life Insurance Company ("Separate Account"). The Separate Account invested all its assets in the Special Equity Series. Collectively, the value of the contractholders' accounts represented 5.91% of the Special Equity Series at the time of the 182 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) redemption. The financial statements of the Separate Account are not included in these financial statements. Cash and securities were transferred as detailed below:
TOTAL VALUE OF CASH DATE AND SECURITIES TRANSFERRED GAIN ON TRANSFER - ---- -------------------------- ---------------- March 7, 2006................................ $80,105,926 $14,871,899
P. RECENT ACCOUNTING PRONOUNCEMENTS: In July 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes ("FIN 48"), an interpretation of FASB Statement No. 109. FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the accounting and disclosure of tax positions taken or expected to be taken in the course of preparing each Series' tax return to determine whether the tax positions are "more likely than not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more likely than not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is effective during the first required financial reporting period for fiscal years beginning after December 15, 2006. Management adopted FIN 48 on June 29, 2007. There was no material impact to the financial statements or disclosures thereto as a result of the adoption of this pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157 "Fair Value Measurements" (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Series' financial statement disclosures. 3. FEES AND TRANSACTIONS WITH AFFILIATES Transamerica Financial Life Insurance Company, Inc. ("TFLIC"), a wholly-owned subsidiary of AEGON USA, Inc. ("AEGON"), is an affiliate of Diversified Investment Advisors, Inc. (the "Advisor"). The Advisor is an indirect, wholly- owned subsidiary of AEGON, a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON is an indirect, wholly-owned 183 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) subsidiary of AEGON NV, a corporation based in the Netherlands which is a publicly traded international insurance group. TFLIC has sub-accounts which invest in the corresponding Series as follows:
INVESTMENT TFLIC SUB-ACCOUNT IN SERIES - ----------------- ---------- Money Market.................................................... 6.79% High Quality Bond............................................... 9.41 Inflation-Protected Securities.................................. 29.06 Core Bond....................................................... 8.01 High Yield Bond................................................. 6.19 Balanced........................................................ 30.36 Value & Income.................................................. 19.66 Growth & Income................................................. 23.98 Equity Growth................................................... 15.90 Aggressive Equity............................................... 24.35 Mid-Cap Value................................................... 4.08 Mid-Cap Growth.................................................. 0.37 Small-Cap Value................................................. 0.13 Special Equity.................................................. 25.13 Small-Cap Growth................................................ 0.02 International Equity............................................ 12.18
The Advisor manages the assets of each Series of the Series Portfolio pursuant to an Investment Advisory Agreement with the Series Portfolio. Subject to such further policies as the Board of Trustees may determine, the Advisor provides general investment advice to each Series. For its services, the Advisor receives from each Series fees, accrued daily and payable monthly, at an annual rate equal to the percentages specified in the table below of the corresponding Series' average daily net assets. The Advisor is currently waiving a portion of its investment advisory fees for certain Series. For each Series, the Advisor has entered into Investment Subadvisory Agreements with the subadvisors listed in the table below (each a "Subadvisor", collectively the "Subadvisors"). It is the responsibility of each Subadvisor to make the day-to-day investment decisions of the Series and to place the purchase and sales orders for securities transactions of such Series, subject in all cases to the general supervision of the Advisor. Payment of fees to the Subadvisors is the responsibility of the Advisor, and is not an additional expense of a Series. 184 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
ADVISOR SERIES SERIES SUBADVISOR FEE (%) - ------ -------------------------------------------- ------- Money Market.................... GE Asset Management, Inc. 0.25 High Quality Bond............... Merganser Capital Management, LP 0.35 Inflation-Protected Securities.. Blackrock Financial Management, Inc. 0.35(1) Core Bond....................... BlackRock Financial Management, Inc. 0.35 Total Return Bond............... Western Asset Management Company 0.35(1) Western Asset Management Company, Ltd. High Yield Bond................. Eaton Vance Management 0.55 Balanced........................ Goldman Sachs Asset Management, LP 0.45(1) Western Asset Management Company Western Asset Management Company, Ltd. Value & Income.................. TCW Investment Management Company 0.45 AllianceBernstein, LP Value........................... Hotchkis and Wiley Capital Management, LLC 0.50(1) Growth & Income................. Blackrock Financial Management, Inc. 0.60 Goldman Sachs Asset Management, LP Aronson+Johnson+Ortiz, LP Equity Growth................... OFI Institutional Asset Management, Inc. 0.62 Wellington Management Company, LLP Marsico Capital Management, LLC Aggressive Equity............... Turner Investment Partners, Inc. 0.77(1) Mid-Cap Value................... Cramer Rosenthal McGlynn, LLC 0.67(1) LSV Asset Management RiverSource Investments, LLC Mid-Cap Growth.................. Columbus Circle Investors 0.72(1) Small-Cap Value................. OFI Institutional Asset Management, Inc. 0.82(1) Mesirow Financial Investment Management, Inc. Special Equity.................. Mazama Capital Management, LLC 0.80 INVESCO Institutional (NA), Inc. Wellington Management Company, LLP RS Investment Management Co., LLC Small-Cap Growth................ Perimeter Capital Management 0.87(1) International Equity............ LSV Asset Management 0.75 Wellington Management Company, LLP
- -------- (1) Advisor is currently voluntarily waiving a portion of its fee. 185 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) For the period ended June 30, 2007, the Advisor has voluntarily undertaken to waive fees to the extent the expenses of a Series exceed the following expense caps (as a proportion of average daily net assets):
SERIES EXPENSE CAP - ------ ---------------------- Money Market............................................ 30 basis points (b.p.) High Quality Bond....................................... 40 b.p. Inflation-Protected Securities.......................... 40 b.p. Core Bond............................................... 40 b.p. Total Return Bond....................................... 40 b.p. High Yield Bond......................................... 60 b.p. Balanced................................................ 50 b.p. Value & Income.......................................... 50 b.p. Value................................................... 55 b.p. Growth & Income......................................... 65 b.p. Equity Growth........................................... 65 b.p. Aggressive Equity....................................... 80 b.p. Mid-Cap Value........................................... 70 b.p. Mid-Cap Growth.......................................... 75 b.p. Small-Cap Value......................................... 85 b.p. Special Equity.......................................... 85 b.p. Small-Cap Growth........................................ 90 b.p. International Equity.................................... 90 b.p.
Certain trustees and officers of the Series Portfolio and of the funds that invest in the Series Portfolio are also directors, officers or employees of the Advisor or its affiliates. None of the non-independent trustees so affiliated receive compensation for services as trustees of the Series Portfolio or the funds that invest in the Series Portfolio. Similarly, none of the Series Portfolio officers receive compensation from the Series Portfolio. Aggregate remuneration earned by non-affiliated trustees of the Series Portfolio from the Series Portfolio for the period ended June 30, 2007 amounted to $122,721. 4. SECURITIES LENDING Each Series may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least 102% for domestic securities and 105% for international securities of the market value of the securities on loan. Any deficiencies or excess of collateral must be delivered or transferred by the member firms no later than the close of business on the next business day. As with other extensions of credit, the Series may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. During the term of the loan, a Series receives payments from borrowers equivalent to the dividends, interest, and any other distributions that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral in accordance with investment guidelines contained in the Securities Lending Agreement. For loans secured by cash, each Series retains the interest on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. For loans secured by collateral other than cash, the borrower pays a securities loan fee to the lending agent. Any compensation (net of related expenses) received by a Series for lending its securities, as described above, is reported on its respective Statement of Operations. This includes interest income on short term investments purchased with cash collateral received. 186 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 4. SECURITIES LENDING (CONTINUED) At June 30, 2007, the Series loaned securities having market values as follows:
MARKET CASH COLLATERAL SERIES VALUE RECEIVED - ------ ------------ --------------- High Quality Bond........................................ $ 12,574,613 $ 12,842,999 Core Bond................................................ 5,321,824 5,441,625 Total Return Bond........................................ 31,837,574 32,645,613 Balanced................................................. 11,514,597 11,890,436 Value & Income........................................... 235,374,083 244,204,605 Value.................................................... 17,008,954 17,660,618 Growth & Income.......................................... 46,027,464 47,663,319 Equity Growth............................................ 38,918,225 39,846,175 Aggressive Equity........................................ 67,470,786 69,461,923 Mid-Cap Value............................................ 175,758,460 181,765,144 Mid-Cap Growth........................................... 67,783,681 70,162,239 Small-Cap Value.......................................... 40,606,674 42,332,931 Special Equity........................................... 274,362,493 286,107,422 Small-Cap Growth......................................... 37,658,162 39,388,316 International Equity..................................... 186,916,312 196,242,413
187 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 4. SECURITIES LENDING (CONTINUED) Each Series has invested the cash collateral received from securities loaned in the following short term securities:
HIGH QUALITY CORE TOTAL RETURN VALUE & BOND BOND BOND BALANCED INCOME VALUE ----------- ---------- ------------ ----------- ------------ ----------- Abbey National PLC, Time Deposit, 5.28%, 07/05/07...................... $ 193,185 $ 81,853 $ 491,058 $ 178,857 $ 3,673,344 $ 265,653 American Beacon, Money Market Fund..... 222,083 94,097 564,512 205,611 4,222,813 305,389 Banco Bilbao Vizcaya Argentaria SA, Time Deposit, 5.30%, 08/10/07........ 241,482 102,317 613,822 223,571 4,591,681 332,066 Bank of America, Floating Rate Note, 5.31%(1), 07/10/07................... 579,556 245,560 1,473,174 536,571 11,020,033 796,957 Bank of America, Floating Rate Note, 5.27%(1), 07/16/07................... 289,778 122,780 736,587 268,285 5,510,016 398,479 Bank of Montreal, Time Deposit, 5.29%, 07/02/07............................. 193,185 81,853 491,058 178,857 3,673,344 265,653 Bank of Montreal, Time Deposit, 5.28%, 07/03/07............................. 144,889 61,390 368,293 134,143 2,755,008 199,239 Bank of Montreal, Time Deposit, 5.31%, 08/14/07............................. 241,482 102,317 613,822 223,571 4,591,681 332,066 Bank of Nova Scotia, Time Deposit, 5.28%, 07/09/07...................... 241,482 102,317 613,822 223,571 4,591,681 332,066 Bank of Nova Scotia, Time Deposit, 5.29%, 07/11/07...................... 241,482 102,317 613,822 223,571 4,591,681 332,066 Barclays, Time Deposit, 5.30%, 07/16/07............................. 289,778 122,780 736,587 268,285 5,510,016 398,479 Barclays, Time Deposit, 5.32%, 09/04/07............................. 482,963 204,633 1,227,645 447,142 9,183,361 664,131 Barclays Global Investors Institutional Money Market Fund.................... 387,435 164,158 984,821 358,699 7,366,926 532,768 BNP Paribas, Time Deposit, 5.35%, 07/02/07............................. 772,742 327,413 1,964,231 715,427 14,693,377 1,062,609 Calyon, Time Deposit, 5.38%, 07/02/07.. 772,742 327,413 1,964,231 715,427 14,693,377 1,062,609 Calyon, Time Deposit, 5.29%, 07/17/07.. 482,963 204,633 1,227,645 447,142 9,183,361 664,131 Credit Suisse First Boston Corp, Time Deposit, 5.29%, 07/13/07............. 144,889 61,390 368,293 134,143 2,755,008 199,239 First Tennessee National Corp, Time Deposit, 5.30%, 07/18/07............. 144,889 61,390 368,293 134,143 2,755,008 199,239 Fortis Bank, Time Deposit, 5.35%, 07/05/07............................. 482,963 204,633 1,227,645 447,142 9,183,361 664,131 Fortis Bank, Time Deposit, 5.29%, 07/06/07............................. 241,482 102,317 613,822 223,571 4,591,680 332,065 Fortis Bank, Time Deposit, 5.30%, 07/20/07............................. 241,482 102,317 613,822 223,571 4,591,680 332,065 Fortis Bank, Time Deposit, 5.30%, 07/26/07............................. 193,185 81,853 491,058 178,857 3,673,344 265,652 HBOS Halifax Bank of Scotland, Time Deposit, 5.30%, 08/08/07............. 965,927 409,267 2,455,289 894,284 18,366,722 1,328,262 Marshall & Ilsley Bank, Time Deposit, 5.29%, 07/06/07...................... 482,963 204,633 1,227,645 447,142 9,183,361 664,131 Morgan Stanley, Commercial Paper, 5.45%(1), 08/01/07................... 96,593 40,927 245,529 89,428 1,836,672 132,826 National Australia Bank, Time Deposit, 5.32%, 07/02/07...................... 772,742 327,413 1,964,231 715,427 14,693,377 1,062,609 Rabobank Nederland, Time Deposit, 5.33%, 07/02/07...................... 772,742 327,413 1,964,231 715,427 14,693,377 1,062,609 Rabobank Nederland, Time Deposit, 5.28%, 07/05/07...................... 482,963 204,634 1,227,645 447,142 9,183,361 664,131 Reserve Primary Money Market Fund...... 16,622 7,043 42,252 15,390 316,069 22,858 Svenska Handlesbanken, Time Deposit, 5.30%, 07/02/07...................... 769,660 326,108 1,956,398 712,574 14,634,781 1,058,372 The Bear Stearns Companies, Inc., Commercial Paper, 5.44%(1), 07/10/07............................. 144,889 61,390 368,293 134,143 2,755,008 199,239 UBS AG, Time Deposit, 5.28%, 07/05/07.. 144,889 61,390 368,293 134,143 2,755,008 199,239 Vanguard Prime Money Market Fund....... 290,744 123,189 739,042 269,180 5,528,383 399,807 Wells Fargo & Co., Time Deposit, 5.26%, 07/02/07............................. 193,185 81,853 491,058 178,857 3,673,344 265,652 Wells Fargo & Co., Time Deposit, 5.28%, 07/12/07............................. 482,963 204,634 1,227,644 447,142 9,183,361 664,131 ----------- ---------- ----------- ----------- ------------ ----------- $12,842,999 $5,441,625 $32,645,613 $11,890,436 $244,204,605 $17,660,618 =========== ========== =========== =========== ============ =========== Information pertaining to the investment of the cash collateral is shown on each Series' Portfolio of Investments. - -------- (1) Variable Rate Security. The rate shown was in effect at June 30, 2007.
188
GROWTH & EQUITY AGGRESSIVE MID-CAP MID-CAP SMALL-CAP INCOME GROWTH EQUITY VALUE GROWTH VALUE ----------- ----------- ----------- ------------ ----------- ----------- $ 716,956 $ 599,369 $ 1,044,852 $ 2,734,125 $ 1,055,386 $ 636,775 824,199 689,024 1,201,143 5,483,313 1,213,253 732,025 896,194 749,211 1,306,064 235,255 1,319,232 795,969 2,150,866 1,798,108 3,134,555 2,734,125 3,166,157 1,910,326 1,075,433 899,054 1,567,277 10,936,501 1,583,079 955,163 716,956 599,369 1,044,852 10,936,501 1,055,386 636,775 537,717 449,527 783,639 3,143,103 791,539 477,581 896,194 749,211 1,306,064 10,936,501 1,319,232 795,969 896,194 749,211 1,306,064 10,936,501 1,319,232 795,969 896,194 749,211 1,306,064 10,892,886 1,319,232 795,969 1,075,433 899,054 1,567,277 4,114,858 1,583,079 955,163 1,792,388 1,498,423 2,612,129 2,050,594 2,638,464 1,591,938 537,717 449,527 783,639 2,734,125 791,539 477,581 1,437,860 1,202,040 2,095,459 6,835,313 2,116,586 1,277,058 2,867,821 2,397,477 4,179,406 6,835,313 4,221,543 2,547,101 2,867,821 2,397,477 4,179,406 3,417,656 4,221,543 2,547,101 1,792,388 1,498,423 2,612,129 2,050,594 2,638,464 1,591,938 537,716 449,527 783,639 6,835,313 791,539 477,581 537,716 449,527 783,639 3,417,656 791,539 477,581 1,792,388 1,498,423 2,612,129 6,835,313 2,638,464 1,591,938 896,194 749,212 1,306,064 8,202,376 1,319,232 795,969 896,194 749,212 1,306,064 2,050,594 1,319,232 795,969 716,956 599,369 1,044,852 3,417,656 1,055,386 636,775 3,584,776 2,996,846 5,224,258 2,050,594 5,276,929 3,183,876 1,792,388 1,498,423 2,612,129 4,101,188 2,638,465 1,591,938 358,478 299,685 522,426 4,101,188 527,693 318,388 2,867,821 2,397,477 4,179,406 6,835,313 4,221,543 2,547,101 2,867,821 2,397,477 4,179,406 3,417,656 4,221,543 2,547,101 1,792,388 1,498,423 2,612,129 2,050,594 2,638,465 1,591,938 61,690 51,572 89,903 2,734,125 90,809 54,791 2,856,384 2,387,916 4,162,739 1,367,063 4,204,708 2,536,943 537,716 449,527 783,639 13,670,626 791,539 477,581 1,079,018 902,051 1,572,501 3,417,656 1,588,356 958,347 716,956 599,369 1,044,852 3,417,656 1,055,386 636,775 1,792,388 1,498,423 2,612,129 6,835,313 2,638,465 1,591,938 ----------- ----------- ----------- ------------ ----------- ----------- $47,663,319 $39,846,175 $69,461,923 $181,765,144 $70,162,239 $42,332,931 =========== =========== =========== ============ =========== =========== SPECIAL SMALL-CAP INTERNATIONAL EQUITY GROWTH EQUITY ------------ ----------- ------------- $ 4,303,650 $ 592,482 $ 2,951,893 4,947,401 681,107 5,920,049 5,379,562 740,603 253,992 12,910,949 1,777,446 2,951,893 6,455,475 888,723 11,807,573 4,303,650 592,482 11,807,573 3,227,737 444,362 3,393,445 5,379,562 740,603 11,807,573 5,379,562 740,603 11,807,573 5,379,562 740,603 11,760,485 6,455,475 888,723 4,442,599 10,759,124 1,481,205 2,213,920 3,227,737 444,362 2,951,893 8,631,009 1,188,228 7,379,734 17,214,599 2,369,928 7,379,734 17,214,599 2,369,928 3,689,867 10,759,124 1,481,205 2,213,920 3,227,737 444,362 7,379,734 3,227,737 444,362 3,689,867 10,759,124 1,481,205 7,379,734 5,379,562 740,603 8,855,680 5,379,562 740,603 2,213,920 4,303,650 592,482 3,689,867 21,518,248 2,962,410 2,213,920 10,759,124 1,481,205 4,427,840 2,151,825 296,241 4,427,840 17,214,599 2,369,928 7,379,734 17,214,599 2,369,928 3,689,867 10,759,124 1,481,205 2,213,920 370,302 50,979 2,951,893 17,145,948 2,360,477 1,475,947 3,227,737 444,361 14,759,467 6,476,993 891,685 3,689,867 4,303,650 592,482 3,689,867 10,759,124 1,481,205 7,379,733 ------------ ----------- ------------ $286,107,422 $39,388,316 $196,242,413 ============ =========== ============
189 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. PURCHASES AND SALES OF INVESTMENTS The aggregate cost of investments purchased and proceeds from sales or maturities (excluding short-term securities) for the period ended June 30, 2007 were as follows:
COST OF PROCEEDS SERIES PURCHASES FROM SALES - ------ -------------- -------------- High Quality Bond................... US Government Obligations $ 33,991,821 $ 48,429,630 Other 201,684,302 166,729,319 Inflation-Protected Securities...... US Government Obligations 317,876,175 314,961,288 Other 10,811,618 24,873,337 Core Bond........................... US Government Obligations 6,868,658,079 6,824,480,023 Other 220,055,702 244,315,673 Total Return Bond................... US Government Obligations 726,858,493 609,063,053 Other 112,756,678 15,399,114 High Yield Bond..................... Other 277,202,250 252,872,787 Balanced............................ US Government Obligations 418,339,560 428,990,265 Other 88,726,903 99,813,185 Value & Income...................... Other 482,311,510 520,635,992 Value............................... Other 80,449,784 28,341,802 Growth & Income..................... Other 668,075,205 799,950,755 Equity Growth....................... Other 1,954,275,087 2,150,018,022 Aggressive Equity................... Other 189,916,464 245,419,109 Mid-Cap Value....................... Other 395,882,892 316,754,283 Mid-Cap Growth...................... Other 231,356,239 270,324,259 Small-Cap Value..................... Other 133,939,109 147,133,577 Special Equity...................... Other 642,449,417 738,698,644 Small-Cap Growth.................... Other 133,059,547 125,143,832 International Equity................ Other 1,210,269,566 1,172,150,261
6. LEGAL AND REGULATORY MATTERS On December 12, 2003, the Series Portfolio received a copy of a complaint (the "Complaint") filed in the United States Bankruptcy Court for the Southern District of New York styled Enron Corp. v. J. P. Morgan Securities, Inc. et al. The Complaint names as defendants the Inflation-Protected Securities Portfolio (formerly, the Intermediate Government Bond Portfolio) and the Value & Income Portfolio (the "Subject Portfolios") and alleges that Enron Corp. ("Enron") transferred to the defendants, including the Subject Portfolios, over $1 billion in the aggregate for the purpose of prepaying certain commercial paper issued by Enron (the "Notes") and held by the defendants prior to the filing by Enron for bankruptcy protection under Chapter 11 of Title 11 of the Bankruptcy Code (the "Bankruptcy Code"). The Complaint seeks to hold the defendants, including the Subject Portfolios, liable for these transfers as preferential transfers or as fraudulent transfers under the Bankruptcy Code. Although the Complaint does not specify the amount of each transfer in dispute, it appears that the sale by the Inflation-Protected Securities Portfolio of approximately $2.4 million of the Notes on or about October 30, 2001 and the sale by the Value & Income Portfolio of approximately $10.3 million of the Notes on or about October 30, 2001 are in dispute. The Complaint seeks to require the Subject Portfolios to repay to Enron the full amounts of these transfers, in which event the Subject Portfolios would be granted unsecured claims against the Enron bankruptcy estate in the amounts of the repayments. The Subject Portfolios moved to dismiss all counts of the Complaint, contending, among other things, that section 546 (e) of the Bankruptcy Code provides a complete defense. The Bankruptcy Court denied the motion on July 1, 2005. Accordingly, the Subject Portfolios filed an answer to the Complaint on July 29, 2005. Discovery is underway. 190 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. LEGAL AND REGULATORY MATTERS (CONTINUED) Depositions began in September 2006 and are scheduled to conclude in October 2007. The Subject Portfolios and their counsel have reviewed the Subject Portfolios' records concerning the factual background of the allegations in the Complaint, and have considered remaining potential defenses to the allegations in the Complaint. Because discovery is still ongoing, the Subject Portfolios are unable to predict whether Enron will prevail, in whole or in part, in its claims against the Subject Portfolios, and therefore have not recorded a liability in the financial statements for any potential loss. 7. PROXY VOTING POLICIES AND PROCEDURES A description of the Series Portfolio's proxy voting policies and procedures is included in the Statement of Additional Information ("SAI"), which is available without charge, upon request: (i) by calling 1-800-755-5803; (ii) on the Series Portfolio's website at www.divinvest.com (Click on the icon for Participants, then click on Fund Information, choose Investment Funds, click on a Fund, then click on the Fund Information tab) or (iii) on the SEC's website at www.sec.gov. In addition, the Series Portfolio is required to file Form N-PX, with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. The Series Portfolio's filing for the twelve months ended June 30, 2007 is available without charge, upon request. 8. QUARTERLY PORTFOLIOS The Series Portfolio will file its portfolios of investments for the first and third quarters (March 31 and September 30, respectively) with the SEC by May 30 and November 29, respectively, each year on Form N-Q. The Series Portfolio's Form N-Q is available on the SEC's website at www.sec.gov. The Series Portfolio's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. For information on the operation of the SEC's Public Reference Room, call 1-800-SEC-0330. You may also obtain a copy of Form N-Q without charge, upon request, by calling 1-800-755-5803. 9. CONCENTRATIONS AND INDEMNIFICATIONS Some Series may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Series to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices more volatile than those of comparable US securities. As of June 30, 2007, the Equity Growth Series invested approximately 14.86% of its portfolio in issuers outside the United States. As of June 30, 2007, substantially all of the International Equity Series' net assets consist of securities of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities. As of June 30, 2007, the International Equity Series invested approximately 10.60%, 15.31%, and 17.39%, respectively, of its portfolio in issuers in Germany, Japan, and United Kingdom, respectively. The ability of the issuers of debt, asset-backed and mortgage-backed securities to meet their obligations may be affected by the economic and political developments in a specific industry or region. The value of asset-backed and mortgage-backed securities can be significantly affected by changes in interest rates or rapid principal payments including prepayments. Credit risk is measured by the loss a Series would record if its counter-parties failed to perform pursuant to the terms of their obligations to the Series. Since certain Series enters into various types of debt obligations including 191 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 9. CONCENTRATIONS AND INDEMNIFICATIONS (CONTINUED) private placements, swaps, forward currency contracts, spot contracts, forward commitments and over-the-counter options, credit exposure exists with counterparties. In the normal course of business, the Series Portfolio enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Series Portfolio's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series Portfolio that have not yet occurred. However, based on experience, the Series Portfolio expects the risk of loss to be remote. 10. FOREIGN CURRENCY FORWARD, SPOT AND CROSS CURRENCY CONTRACTS At June 30, 2007, the Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced Series, Equity Growth Series, and International Equity Series had entered into foreign currency forward, spot and cross currency contracts which contractually obligate each portfolio to deliver/receive currency at specified future dates. The open contracts were as follows:
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE APPRECIATION/ CURRENCY FOR DATE AT 06/30/07 (DEPRECIATION) ---------- ----------- ---------- ----------- -------------- INFLATION-PROTECTED SECURITIES - ------------- PURCHASE CONTRACTS: British Pound Sterling............... 2,427,800 $4,849,795 07/18/07 $4,874,349 $ 24,554 Canadian Dollar...................... 18,803 17,699 07/02/07 17,651 (48) Canadian Dollar...................... 610,000 568,211 07/18/07 572,844 4,633 Euro................................. 29,724 40,021 07/02/07 40,229 208 Euro................................. 5,000 6,705 07/18/07 6,771 66 Euro................................. 2,410,000 3,239,144 07/18/07 3,263,471 24,327 Euro................................. 2,436,100 3,293,914 07/18/07 3,298,813 4,899 Mexican Peso......................... 5,317,500 495,245 07/18/07 491,795 (3,450) -------- TOTAL................................ $ 55,189 ======== SALE CONTRACTS: British Pound Sterling............... 2,438,000 $4,857,308 07/18/07 $4,894,828 $(37,520) Canadian Dollar...................... 626,500 586,971 07/18/07 588,339 (1,368) Euro................................. 2,436,000 3,308,984 07/18/07 3,298,678 10,306 Euro................................. 2,435,500 3,305,154 07/18/07 3,298,001 7,153 Mexican Peso......................... 1,714,000 157,443 07/18/07 158,521 (1,078) Mexican Peso......................... 3,495,000 321,896 07/18/07 323,239 (1,343) -------- TOTAL................................ $(23,850) ======== CORE BOND - -------------------------- PURCHASE CONTRACTS: Mexican Peso......................... 78,454,109 $7,306,825 07/18/07 $7,255,920 $(50,905) ========
192 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 10. FOREIGN CURRENCY FORWARD, SPOT AND CROSS CURRENCY CONTRACTS (CONTINUED)
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE APPRECIATION/ CORE BOND (CONTINUED) CURRENCY FOR DATE AT 06/30/07 (DEPRECIATION) - --------------------- ----------- ----------- ---------- ----------- -------------- SALE CONTRACTS: Euro................................. 844,472 $1,137,039 07/02/07 $1,142,951 $ (5,912) Mexican Peso......................... 40,359,000 3,717,638 07/18/07 3,732,649 (15,011) Mexican Peso......................... 26,426,500 2,426,899 07/18/07 2,444,086 (17,187) Mexican Peso......................... 50,419,500 4,631,620 07/18/07 4,663,106 (31,486) New Zealand Dollar................... 5,545,961 4,020,822 07/18/07 4,270,390 (249,568) --------- TOTAL................................ $(319,164) ========= TOTAL RETURN BOND - -------------------------- PURCHASE CONTRACTS: Japanese Yen......................... 110,028,000 $ 938,005 08/08/07 $ 897,806 $ (40,199) Japanese Yen......................... 312,000,000 2,600,477 08/08/07 2,545,856 (54,621) --------- TOTAL................................ $ (94,820) ========= SALE CONTRACTS: British Pound Sterling............... 999,000 $1,983,984 08/08/07 $2,005,165 $ (21,181) Euro................................. 302,635 412,294 08/08/07 410,098 2,196 --------- TOTAL................................ $ (18,985) ========= BALANCED - -------------------------- PURCHASE CONTRACTS: Japanese Yen......................... 179,574,000 $1,530,895 08/08/07 $1,465,287 $ (65,608) Japanese Yen......................... 89,040,000 742,136 08/08/07 726,548 (15,588) --------- TOTAL................................ $ (81,196) ========= SALE CONTRACTS: British Pound Sterling............... 555,000 $1,102,213 08/08/07 $1,113,980 $ (11,767) Euro................................. 514,478 700,899 08/08/07 697,167 3,732 --------- TOTAL................................ $ (8,035) ========= EQUITY GROWTH - -------------------------- PURCHASE CONTRACTS: Euro................................. 585,735 $ 787,872 07/02/07 $ 792,763 $ (4,891) ========= INTERNATIONAL EQUITY - -------------------------- PURCHASE CONTRACTS: Danish Krone......................... 1,082,372 $ 195,653 07/02/07 $ 196,852 $ 1,199 Euro................................. 399,333 537,142 07/02/07 540,476 3,334 Great British Pounds................. 2,516,077 5,027,096 07/02/07 5,052,534 25,438 Swedish Krona........................ 16,673,091 2,431,486 07/03/07 2,437,871 6,385 --------- TOTAL................................ $ 36,356 =========
193 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 10. FOREIGN CURRENCY FORWARD, SPOT AND CROSS CURRENCY CONTRACTS (CONTINUED)
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE APPRECIATION/ INTERNATIONAL EQUITY (CONTINUED) CURRENCY FOR DATE AT 06/30/07 (DEPRECIATION) - -------------------------------- ----------- ----------- ---------- ----------- -------------- SALE CONTRACTS: Canadian Dollar...................... 2,886,817 $2,724,080 07/05/07 $2,710,121 $ 13,959 Canadian Dollar...................... 3,632,966 3,409,442 07/05/07 3,410,600 (1,158) Euro................................. 43,652 59,035 07/02/07 59,080 (45) Euro................................. 1,441,500 1,935,430 07/03/07 1,950,998 (15,568) Euro................................. 828,036 1,120,863 07/05/07 1,120,782 81 Euro................................. 112,829 124,056 11/01/07 153,278 (29,222) Great British Pounds................. 947,448 1,896,146 07/03/07 1,902,570 (6,424) Great British Pounds................. 1,545,211 3,101,749 07/05/07 3,102,861 (1,112) Japanese Yen......................... 429,846,649 3,508,809 07/02/07 3,491,140 17,669 Japanese Yen......................... 19,179,288 155,260 07/02/07 155,771 (511) -------- TOTAL................................ $(22,331) ========
NET UNREALIZED SETTLEMENT PURCHASE SALE CURRENT APPRECIATION/ DATE CURRENT VALUE VALUE (DEPRECIATION) ---------- ------------- ------------ -------------- FOREIGN CROSS CURRENCY CONTRACTS: PURCHASE/SALE - -------------------------- Japanese Yen/Danish Krone.................. 07/03/07 $68,911 $68,486 $ 425 ==========
11. SUBSEQUENT EVENT At a meeting held on August 10, 2007, the Board of Trustees of the Series Portfolio approved a series of measures that are designed to benefit the Funds by making them part of a larger family of investment companies that are managed by Transamerica Fund Advisors, Inc., ("TFA"), an investment adviser that, along with the Advisor, is an indirect, wholly-owned subsidiary of AEGON. The Board has authorized seeking shareholder approval for these measures where required. A proxy statement describing these initiatives is expected to be mailed later in 2007. 194 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS 12. FINANCIAL HIGHLIGHTS
RATIOS TO AVERAGE NET ASSETS --------------------------------------------------------- NET NET INVESTMENT FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN - ----------- -------- --------------- ---------- --------------- --------- -------------- ------ MONEY MARKET 06/30/2007(1) 0.27%* 0.27%* 5.09%* 5.09%* N/A $ 950,724,090 2.56% 12/31/2006 0.28 0.28 4.77 4.77 N/A 925,940,609 4.86 12/31/2005 0.28 0.28 2.97 2.97 N/A 765,777,258 3.00 12/31/2004 0.28 0.28 1.17 1.17 N/A 809,352,385 1.17 12/31/2003 0.28 0.28 1.11 1.11 N/A 799,572,598 1.11 12/31/2002 0.28 0.28 1.70 1.70 N/A 864,772,946 1.72 HIGH QUALITY BOND 06/30/2007(1) 0.38* 0.38* 4.38* 4.38* 26% 855,795,511 2.03 12/31/2006 0.38 0.38 4.03 4.03 55 817,623,186 4.38 12/31/2005 0.39 0.39 3.25 3.25 58 788,399,166 1.95 12/31/2004 0.38 0.38 2.96 2.96 48 690,594,378 1.48 12/31/2003 0.38 0.38 3.19 3.19 50 622,748,334 2.34 12/31/2002 0.38 0.38 4.36 4.36 54 439,015,018 6.21 INFLATION-PROTECTED SECURITIES 06/30/2007(1) 0.41* 0.40* 6.42* 6.43* 235 135,461,626 (1.45) 12/31/2006 0.41 0.40 4.49 4.50 525 150,681,168 3.48 12/31/2005 0.40 0.40 3.45 3.45 756 261,106,523 1.34 12/31/2004 0.42 0.40 2.46 2.48 554 256,502,651 1.59 12/31/2003 0.38 0.38 2.91 2.91 392 265,519,988 1.60 12/31/2002 0.39 0.39 3.93 3.93 134 358,005,390 8.31 CORE BOND 06/30/2007(1) 0.38* 0.38* 4.84* 4.84* 298(a) 2,134,802,668 0.56 12/31/2006 0.38 0.38 4.50 4.50 487(a) 2,077,821,449 4.17 12/31/2005 0.39 0.39 3.99 3.99 1,003(a) 2,052,893,035 2.38 12/31/2004 0.39 0.39 3.62 3.62 885(a) 1,655,367,885 4.65 12/31/2003 0.39 0.39 3.52 3.52 922(a) 1,468,787,007 4.64 12/31/2002 0.39 0.39 4.85 4.85 462 999,624,604 9.24 TOTAL RETURN BOND 06/30/2007(1) 0.42* 0.40* 5.04* 5.06* 264(a) 312,472,830 0.58 12/31/2006 0.50 0.40 4.64 4.74 470(a) 120,636,427 4.96 12/31/2005(2) 0.55* 0.40* 3.93* 4.08* 327(a) 70,072,859 2.35
195 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS 12. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIOS TO AVERAGE NET ASSETS --------------------------------------------------------- NET NET INVESTMENT FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN - ----------- -------- --------------- ---------- --------------- --------- -------------- ------ HIGH YIELD BOND 06/30/2007(1) 0.58%* 0.58%* 7.79%* 7.79%* 51% $ 562,022,353 3.49% 12/31/2006 0.59 0.59 7.86 7.86 93 502,330,056 11.99 12/31/2005 0.60 0.60 7.74 7.74 68 416,027,255 3.34 12/31/2004 0.60 0.60 8.06 8.06 80 351,772,536 10.32 12/31/2003 0.61 0.60 9.07 9.08 136 282,700,774 27.91 12/31/2002 0.61 0.60 9.15 9.16 95 208,085,535 2.19 BALANCED 06/30/2007(1) 0.52* 0.50* 2.79* 2.81* 126(a) 376,786,001 3.37 12/31/2006 0.53 0.50 2.69 2.72 224(a) 381,648,801 11.74 12/31/2005 0.54 0.50 2.21 2.25 367(a) 410,747,655 5.59 12/31/2004 0.52 0.50 2.19 2.21 338(a) 419,726,689 8.31 12/31/2003 0.51 0.50 2.15 2.16 377(a) 434,085,832 17.69 12/31/2002 0.52 0.50 2.63 2.65 289 375,745,612 (10.01) VALUE & INCOME 06/30/2007(1) 0.47* 0.47* 1.58* 1.58* 14 3,689,642,378 7.15 12/31/2006 0.48 0.48 1.47 1.47 31 3,538,943,726 20.68 12/31/2005 0.48 0.48 1.38 1.38 89 3,018,060,297 6.88 12/31/2004 0.48 0.48 1.79 1.79 44 2,705,463,322 12.91 12/31/2003 0.47 0.47 1.91 1.91 70 2,198,085,735 26.52 12/31/2002 0.48 0.48 1.97 1.97 31 1,553,159,805 (15.25) VALUE 06/30/2007(1) 0.57* 0.55* 1.32* 1.34* 21 163,787,543 5.55 12/31/2006 0.71 0.55 1.26 1.42 74 101,282,906 15.44 12/31/2005(2) 1.18* 0.55* 1.15* 1.78* 21 35,138,512 9.47 GROWTH & INCOME 06/30/2007(1) 0.63* 0.63* 1.01* 1.01* 61 1,078,044,807 6.39 12/31/2006 0.63 0.63 1.11 1.11 73 1,159,020,245 11.77 12/31/2005 0.64 0.64 0.96 0.96 79 1,178,758,869 7.12 12/31/2004 0.64 0.64 1.22 1.22 184 1,135,948,434 10.79 12/31/2003 0.63 0.63 1.02 1.02 100 1,063,389,332 24.16 12/31/2002 0.66 0.65 0.77 0.78 115 799,621,503 (22.57)
196 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS 12. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIOS TO AVERAGE NET ASSETS --------------------------------------------------------- NET NET INVESTMENT FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN - ----------- -------- --------------- ---------- --------------- --------- -------------- ------ EQUITY GROWTH 06/30/2007(1) 0.64%* 0.64%* 0.41%* 0.41%* 81% $2,436,537,288 5.43% 12/31/2006 0.64 0.64 0.43 0.43 84 2,526,917,456 4.12 12/31/2005 0.65 0.65 0.34 0.34 76 2,587,382,061 7.18 12/31/2004 0.65 0.65 0.68 0.68 129 2,290,559,947 7.75 12/31/2003 0.65 0.65 0.34 0.34 61 1,975,636,700 26.48 12/31/2002 0.65 0.65 0.22 0.22 75 1,146,889,083 (23.60) AGGRESSIVE EQUITY 06/30/2007(1) 0.81 0.80* (0.15)* (0.14)* 52 366,303,834 10.76 12/31/2006 0.81 0.80 (0.18) (0.17) 147 382,667,908 6.46 12/31/2005 0.81 0.80 (0.15) (0.14) 187 382,129,060 8.20 12/31/2004 0.95 0.94 (0.49) (0.48) 252 397,726,867 12.14 12/31/2003 1.01 1.00 (0.61) (0.60) 165 371,333,010 28.12 12/31/2002 1.01 1.00 (0.60) (0.59) 87 312,299,599 (26.56) MID-CAP VALUE 06/30/2007(1) 0.70* 0.70* 1.24* 1.24* 31 1,128,975,004 11.00 12/31/2006 0.71 0.70 1.16 1.17 80 936,974,205 18.33 12/31/2005 0.72 0.70 1.26 1.28 112 641,531,538 9.77 12/31/2004 0.71 0.70 0.78 0.79 147 414,710,679 25.47 12/31/2003 0.75 0.70 0.51 0.56 156 216,193,119 41.63 12/31/2002 1.02 0.70 0.20 0.52 156 47,629,380 (15.09) MID-CAP GROWTH 06/30/2007(1) 0.76* 0.75* (0.14)* (0.13)* 79 308,447,787 13.46 12/31/2006 0.75 0.75 (0.31) (0.31) 151 309,909,061 2.17 12/31/2005 0.76 0.75 (0.39) (0.38) 142 282,950,442 13.42 12/31/2004 0.79 0.75 (0.33) (0.29) 223 210,100,872 15.38 12/31/2003 0.81 0.75 (0.37) (0.31) 100 165,747,874 26.91 12/31/2002 0.96 0.75 (0.62) (0.41) 138 44,270,757 (25.29)
197 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS 12. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIOS TO AVERAGE NET ASSETS --------------------------------------------------------- NET NET INVESTMENT FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN - ----------- -------- --------------- ---------- --------------- --------- -------------- ------ SMALL-CAP VALUE 06/30/2007(1) 0.85%* 0.85%* 1.29%* 1.29%* 60% $ 233,411,156 4.31% 12/31/2006 0.87 0.85 0.25 0.27 105 236,316,718 9.64 12/31/2005 0.88 0.85 0.07 0.10 143 218,749,221 (4.70) 12/31/2004 0.89 0.85 0.27 0.31 42 172,735,949 21.75 12/31/2003 0.94 0.85 1.19 1.28 40 100,887,458 41.10 12/31/2002(3) 1.39* 0.85* (0.17)* 0.37* 26 17,920,226 (21.90) SPECIAL EQUITY 06/30/2007(1) 0.84* 0.84* 0.63* 0.63* 55 1,181,803,793 6.41 12/31/2006 0.85 0.85 0.29 0.29 86 1,211,556,459 11.77 12/31/2005 0.85 0.85 0.09 0.09 92 1,296,671,909 10.53 12/31/2004 0.84 0.84 0.15 0.15 103 1,227,530,742 12.63 12/31/2003 0.85 0.85 (0.02) (0.02) 103 1,270,601,125 43.96 12/31/2002 0.84 0.84 0.05 0.05 109 1,005,958,858 (24.33) SMALL-CAP GROWTH 06/30/2007(1) 0.94* 0.90* (0.44)* (0.40)* 77 184,398,727 13.21 12/30/2006 1.04 0.90 (0.43) (0.29) 173 155,003,004 8.71 12/31/2005 0.98 0.90 (0.49) (0.41) 183 132,903,534 0.55 12/31/2004 0.97 0.90 (0.58) (0.51) 84 108,429,152 11.94 12/31/2003 1.02 0.90 (0.29) (0.17) 81 83,589,643 39.31 12/31/2002(3) 1.48* 0.90* (1.03)* (0.45)* 68 16,521,455 (15.98) INTERNATIONAL EQUITY 06/30/2007(1) 0.85* 0.85* 2.61* 2.61* 54 2,352,345,930 11.68 12/31/2006 0.87 0.87 1.78 1.78 81 2,101,152,473 27.31 12/31/2005 0.88 0.88 2.03 2.03 94 1,721,786,149 11.20 12/31/2004 0.87 0.87 1.85 1.85 171 1,401,617,944 19.66 12/31/2003 0.86 0.86 1.11 1.11 23 1,049,033,896 33.52 12/31/2002 0.87 0.87 0.83 0.83 25 656,888,348 (16.90)
- -------- (a) Portfolio turnover calculation includes effect of buying and selling TBA securities used in dollar roll transactions. Refer to Note 2I. * Annualized. (1) Unaudited. (2) Commencement of Operations, May 6, 2005. (3) Commencement of Operations, April 15, 2002. 198 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS JUNE 30, 2007 (UNAUDITED) Diversified Investment Advisors, Inc. ("Diversified") manages the assets of each series of Diversified Investors Portfolios (each, a "Portfolio") pursuant to an Investment Advisory Agreement (the "Diversified Advisory Agreement") with Diversified Investors Portfolios. For each Portfolio, Diversified has entered into one or more Investment Subadvisory Agreements (each, a "Subadvisory Agreement") with a subadviser. CONTINUATION OF ADVISORY AGREEMENTS AND SUBADVISORY AGREEMENTS In approving the continuation of each Diversified Advisory Agreement and each Subadvisory Agreement, the Board, including the independent Trustees, reviewed extensive information provided by Diversified and the subadvisers. The Trustees considered the advisory fees and total expenses of each underlying fund investing in a Portfolio (each, a "Fund"). In this regard, the Trustees reviewed, among other things, comparative fee information with respect to comparable funds, including additional information from Lipper Analytical Services provided at the Trustees' request. The Trustees discussed the advisory fees and expense ratios, before and after the advisory and other fee waivers, and compared them to investment advisory fees paid by and expense ratios of other investment companies with similar investment objectives. The Trustees noted Diversified's confirmation that it did not have any non-mutual fund clients to whom advisory services were provided. The Trustees also considered that Diversified had extended for an additional year its agreement to waive a portion of certain Portfolios' advisory fees, as necessary, to maintain certain "caps" on total expenses. It also was noted that each subadviser had provided information on how the fee that subadviser received with respect to the applicable Portfolio compared to fees charged by the subadviser to other clients. In some cases the information compared the Portfolio fees to those charged to other funds; in other cases, to all other clients in a similar strategy; in other cases, to clients receiving similar services; and in others, to the subadviser's standard fee schedule. It was noted that, in most cases, the subadviser fees were at least as favorable as those charged to the clients against which the fees were compared. It was acknowledged that Diversified, and not the Portfolios, pays the subadvisory fees. The Trustees also considered the costs of the services provided to the Funds and the resulting profitability of the relationship with the Funds. It was noted that Diversified's relationship with the Funds also included the provision of administrative and distribution services; that the Trustees had received information concerning the advisory, administration and distribution fees paid to Diversified and Diversified Investors Securities Corp. ("DISC") as the Funds' adviser, administrator and distributor, respectively; and that the Board had reviewed materials relating to the cost to Diversified of the services provided to the Funds and the resulting profitability to Diversified of its relationship with the Funds. The Board also received information about how Diversified prices its services to its retirement plan clients and how those pricing arrangements in certain circumstances result in credits to plan participant accounts. The Trustees then reviewed the investment performance of each of the Funds, which was considered in connection with each Fund's total expenses, contractual management fees, and Diversified's (and where provided, the applicable subadviser's) profitability. The Trustees noted that Diversified's profitability with respect to each Fund, on a pre-tax basis, was reasonable under the circumstances. With respect to the investment advisory agreements with the Portfolios, the Board concluded that the relevant analyses of fees, expenses and profitability were better made at the level of the Funds that invest in the Portfolios, since investors could not invest directly in the Portfolios. In reviewing Fund performance, the Trustees considered gross performance results relative to benchmark for the past one-, three- and (where available) five-year periods (except where there was a new subadviser), and Morningstar and Lipper information regarding net performance in comparison to funds with similar strategies over the same time periods. Performance was also considered in light of the performance of comparable products managed by the subadviser. For Portfolios managed by multiple subadvisers, the Board considered both individual subadviser performance and the combined performance of each such Portfolio in recognition of the fact that managers had been selected on the basis of their 199 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) complementary investment strategies, which would be expected to perform differently under different market conditions. The Trustees also reviewed information provided by Diversified and the subadvisers, primarily elicited through questionnaires, regarding, among other things: the nature and quality of services provided; legal, regulatory and compliance matters; actual fees paid by Diversified to each subadviser, comparable fees paid to each subadviser and subadviser profitability data; and other practices and developments. The Trustees noted instances where information was not provided by certain subadvisers, considered the reasons such information was not provided and weighed the relative importance of such information among the other data available to the Trustees. The Trustees placed considerable value on Diversified's views about the subadvisers, particularly given the extensive monitoring undertaken by Diversified as well as the arms'-length nature of the relationship between Diversified and the subadvisers. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Trustees) and after meetings conducted by the independent Trustees without management being present, the Board concluded that the continuation of each Diversified Advisory Agreement and each Subadvisory Agreement was in the best interests of the applicable Portfolio and its investors. The Board based its conclusions, in part, on its observations regarding the performance of and the management fees and total expenses paid by each fund, some of which observations are summarized below. In reaching these conclusions, the Board noted that this continuation reaffirmed the choice of each investor in each fund, who had decided to invest in a fund overseen by Diversified and managed by the applicable subadviser or subadvisers. MONEY MARKET PORTFOLIO. For Money Market Portfolio (GE Asset Management, Incorporated as subadviser), it was noted that the Diversified Investors Money Market Fund performance was below the Lipper universe 50th percentile for the 1, 3 and 5 year periods, and the Diversified Institutional Money Market Fund performance was above the 50th percentile for the 1, 3 and 5 year periods. The Trustees noted that the subadviser had outperformed the benchmark for the one- year period and since inception, gross of fees. The Trustees also noted that the Portfolio invests only in Tier One investments, unlike some funds in the Lipper peer groups. It was noted that contractual management fees were at or below the median for the peer group for both the Institutional and Investors funds. It also was noted that total expenses were above the median for the peer group in the case of the Investors fund, but at or below the median in the case of the Institutional fund. BOND PORTFOLIOS. For High Quality Bond Portfolio (Merganser Capital Management as subadviser), it was noted that the Diversified Investors High Quality Bond Fund performance was below the Lipper universe 50th percentile for the 1, 3 and 5 year periods, and the Diversified Institutional High Quality Bond Fund performance was above the 50th percentile for the 5 year period and slightly below for the 1 and 3 year periods. It also was noted that the performance of the Investors fund was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe. The Trustees noted that the subadviser had outperformed the benchmark for the one-year period and since inception, gross of fees. The Trustees also noted that the Investors fund was rated two stars overall, and the Institutional fund three stars overall, by Morningstar. It was noted that for this Portfolio, the Morningstar universe contains a variety of types of funds, and that this variety makes comparisons more difficult. The Trustees noted that contractual management fees were at or below the median for the peer group for the Institutional fund, but above median for the Investors fund. It was also noted that total expenses were above the median for the peer group in the case of the Investors fund, but below the median in the case of the Institutional fund. For Intermediate Government Bond Portfolio (which became the Inflation-Protected Securities Portfolio effective May 1, 2007) (Allegiance Investment Management as subadviser), it was noted that the Diversified Investors Intermediate Government Bond Fund performance and Diversified Institutional Intermediate 200 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) Government Bond Fund performance were below the Lipper universe 50th percentile for the 1, 3 and 5 year periods. It also was noted that the performance of both funds was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe. The Trustees noted that one subadviser had been removed from the Portfolio in January, 2006 to address performance, and that a new subadviser and a new investment strategy would be implemented for the Portfolio commencing in May, 2007. The Trustees agreed that they would monitor the performance of the new subadviser and the new strategy especially closely. The Trustees noted that contractual management fees were at or below the median for the peer group for both funds, and that total expenses were above the median for the peer group in the case of the Investors fund, but below the median in the case of the Institutional fund. For Core Bond Portfolio (BlackRock Financial Management, Inc. as subadviser), it was noted that the Diversified Investors Core Bond Fund performance was below the Lipper universe 50th percentile for the 1, 3 and 5 year periods, and the Diversified Institutional Core Bond Fund performance was at or above the 50th percentile for the 1, 3 and 5 year periods. It also was noted that the performance of the Investors fund was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe. The Trustees noted that the subadviser had outperformed the benchmark for the 1, 3 and 5 year periods, gross of fees. It was also noted that contractual management fees were at or below the median for the peer group for the Institutional fund, but slightly above the median for the Investors fund. The Trustees also noted that total expenses were above the median for the peer group in the case of the Investors fund, but below the median in the case of the Institutional fund. For Total Return Bond Portfolio (Western Asset Management Company and Western Asset Management Company Limited as subadvisers), it was noted that the Diversified Investors Total Return Bond Fund performance and the Diversified Institutional Total Return Bond Fund performance were above the Lipper universe 50th percentile for the 1-year period (and in the first quartile for the Institutional fund). The Trustees noted that the Portfolio had commenced operations in mid-2005 and was relatively small in size, and that the subadviser had outperformed the benchmark for the one-year period and since inception, gross of fees. It was also noted that contractual management fees were at or below the median for the peer group for the Institutional fund, but slightly above the median for the Investors fund. The Trustees also noted that total expenses were above the median for the peer group in the case of the Investors fund, but below the median in the case of the Institutional fund. The Trustees noted that the performance of the subadvisers continued to be good. For High Yield Bond Portfolio (Eaton Vance Management as subadviser), it was noted that the Diversified Investors High Yield Bond Fund performance and Diversified Institutional High Yield Bond Fund performance were above the Lipper universe 50th percentile for the 1, 3 and 5 year periods (and in the first quartile for both funds for the 1 and 5 year periods). The Trustees noted that the subadviser had outperformed the benchmark for the 1, 3 and 5 year periods, gross of fees. The Trustees also noted that both funds were rated four stars overall by Morningstar. It was noted that both contractual management fees and total expenses were at or below the median for the peer group for the Institutional fund, but above the median for the Investors fund. The Trustees noted that the performance of the subadviser continued to be strong. BALANCED PORTFOLIO. For Balanced Portfolio (Goldman Sachs Asset Management, Western Asset Management Company, and Western Asset Management Company Limited as subadvisers), it was noted that the Diversified Investors Balanced Fund performance was below the Lipper universe 50th percentile for the 1, 3 and 5 year periods, and the Diversified Institutional Balanced Fund performance was slightly below the 50th percentile for the 1, 3 and 5 year periods. It also was noted that the performance of the Investors fund was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe. The Trustees noted that the subadvisers had been added in May, 2005 to address performance, and had outperformed their respective benchmarks for the one-year period and since inception, gross of fees. The Trustees determined it was 201 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) appropriate to continue to monitor the impact of the subadviser changes especially closely. The Trustees also noted that both funds were rated three stars overall by Morningstar. It was noted that both contractual management fees and total expenses were at or below the median for the peer group for both funds. STOCK PORTFOLIOS. For Value & Income Portfolio (AllianceBernstein and TCW Investment Management Company as subadvisers), it was noted that the Diversified Investors Value & Income Fund performance and Diversified Institutional Value & Income Fund performance were above the Lipper universe 50th percentile for the 1, 3 and 5 year periods. The Trustees noted that the two subadvisers had underperformed their respective benchmarks for the one-year period, and that both funds had underperformed the benchmark for the 1 and 3 year periods. The Trustees also noted that both funds were rated three stars overall by Morningstar. The Trustees noted that TCW had been added as a subadviser in March, 2005 to address performance, and that they would continue to monitor closely the impact of the subadviser change. The Trustees also noted that both contractual management fees and total expenses were at or below the median for the peer group for both funds. For Value Portfolio (Hotchkis and Wiley as subadviser), it was noted that the Diversified Investors Value Fund performance and Diversified Institutional Value Fund performance were below the Lipper universe 50th percentile for the 1 year period. It also was noted that the performance of both funds was below the 50th percentile for the 1 year period for the Morningstar universe. The Trustees noted that the Portfolio had commenced operations in mid-2005 and was relatively small in size. The Trustees also noted management's views that the subadviser's investment style could result in periods of underperformance. They noted, however, that the subadviser had underperformed the benchmark since inception, and was under increased scrutiny. The Trustees determined that they would continue to monitor the performance of the Portfolio especially closely. The Trustees also noted that both contractual management fees and total expenses were at or below the median for the peer group for both funds. For Growth & Income Portfolio (Aronson+Johnson+Ortiz, Ark Asset Management and Goldman Sachs Asset Management as subadvisers), it was noted that the Diversified Investors Growth & Income Fund performance and Diversified Institutional Growth & Income Fund performance were below the Lipper universe 50th percentile for the 1 and 5 year periods, and slightly above the 50th percentile for the 3 year period. It also was noted that the performance of both funds was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe. The Trustees noted that the current subadvisers had come on board in May, 2004 to address performance; that overall performance had improved since the change; that all three subadvisers had underperformed their respective benchmarks for the one year period but that Goldman Sachs and AJO have outperformed their respective benchmarks since inception; that Ark would be replaced as a subadviser because of investment performance; and that the funds were rated two stars overall by Morningstar. It was agreed that the Trustees would continue to monitor especially closely the performance of the Portfolio. The Trustees noted that both contractual management fees and total expenses were at or below the median for the peer group for the Institutional fund, but above the median for the Investors fund. The Trustees also noted that AJO's profitability appeared higher than that of other subadvisers but was acceptable under the circumstances and in light of AJO's longer term performance. For Equity Growth Portfolio (Ark Asset Management and Marsico Capital Management as subadvisers), it was noted that the Diversified Investors Equity Growth Fund performance and Diversified Institutional Equity Growth Fund performance were below the Lipper universe 50th percentile for the 1 and 3 year periods, and above the 50th percentile for the 5 year period. It also was noted that the performance of both funds was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe. The Trustees noted that one subadviser (Ark) had underperformed its benchmark for the one year period but had outperformed the benchmark (gross of fees) since inception, that Ark would be replaced as a subadviser because of investment performance, that the other subadviser (Marsico) had outperformed its benchmark for the one year period and since inception, gross of 202 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) fees, and that the funds were rated three stars overall by Morningstar. It was noted that a subadviser had been removed in September, 2004 to address performance. It was agreed that the Trustees would continue to monitor especially closely the performance of the Portfolio. The Trustees noted that both contractual management fees and total expenses were at or below the median for the peer group for the Institutional fund, but above median for the Investors fund. The Trustees noted that Marsico had provided profitability information on a firm-wide basis, but that the profitability had not been unreasonable under the circumstances. For Aggressive Equity Portfolio (Turner Investment Partners as subadviser), it was noted that the Diversified Investors Aggressive Equity Fund performance and Diversified Institutional Aggressive Equity Fund performance were at the Lipper universe 50th percentile for the 1 year period, and above the 50th percentile for the 3 and 5 year periods (in the first quartile for the 3 and 5 year periods for the Institutional fund, and in the first quartile for the 3 year period for the Investors fund). The Trustees noted that the subadviser had underperformed its benchmark for the one year period but had outperformed the benchmark (gross of fees) since inception, that Turner runs a fairly concentrated portfolio and there can be swings in performance, and that the Investors fund was rated two stars overall, and the Institutional fund three stars overall, by Morningstar. The Trustees noted that contractual management fees were above the median for the peer group for both funds, and that total expenses were at or below the median for the peer group for the Institutional fund, but above the median for the Investors fund. They also noted that two years earlier, Diversified had reduced its management fee by 20 basis points. For Mid-Cap Value Portfolio (Cramer, Rosenthal, McGlynn, LSV Asset Management and RiverSource Investments as subadvisers), it was noted that the Diversified Investors Mid-Cap Value Fund performance and Diversified Institutional Mid-Cap Value Fund performance were above the Lipper universe 50th percentile for the 1, 3 and 5 year periods (in the first quartile for the 1, 3 and 5 year periods for the Institutional fund, and in the first quartile for the 1 and 3 year periods for the Investors fund). The Trustees noted that Cramer Rosenthal had outperformed its benchmark for the one year period and since inception (gross of fees), that LSV had outperformed its benchmark for the one year period (gross of fees) but had underperformed its benchmark since inception, that RiverSource was added as a subadviser in October, 2006 for capacity and had underperformed in the brief period since inception, and that the Investors fund was rated four stars overall, and the Institutional fund five stars overall, by Morningstar. The Trustees noted that both contractual management fees and total expenses were at or below the median for the peer group for both funds. The Trustees noted that Cramer Rosenthal had provided profitability information on a firm-wide basis, but that the profitability had not been unreasonable under the circumstances. The Trustees noted that the Portfolio's performance continued to be good. For Mid-Cap Growth Portfolio (Columbus Circle Investors as subadviser), it was noted that the Diversified Investors Mid-Cap Growth Fund performance and Diversified Institutional Mid-Cap Growth Fund performance were below the Lipper universe 50th percentile for the 1, 3 and 5 year periods. It also was noted that the performance of both funds was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe, and that both funds had underperformed the benchmark for the 1 and 3 year periods. The Trustees noted that the subadviser had underperformed its benchmark for the one year period and since inception, that Columbus Circle was under increased scrutiny because of investment performance, and that the funds were rated two stars overall by Morningstar. It was agreed that the Trustees would continue to monitor especially closely the performance of the Portfolio. The Trustees noted that both contractual management fees and total expenses were at or below the median for the peer group for the Institutional fund, but above the median for the Investors fund. For Small-Cap Value Portfolio (EARNEST Partners and Mesirow Financial Investment Management as subadvisers), it was noted that the Diversified Investors Small- Cap Value Fund performance and Diversified Institutional Small-Cap Value Fund performance were below the Lipper universe 50th percentile for the 1 and 3 year periods (the funds commenced operations in 2003). It also was noted that the performance of both funds 203 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe, and that both funds had underperformed the benchmark for the 1 and 3 year periods. The Trustees noted that one subadviser (EARNEST Partners) had underperformed its benchmark for the one year period and since inception, that EARNEST would be replaced as subadviser because of investment performance, that a second subadviser (Mesirow) had been added in October, 2006 to attempt to reduce volatility, and that the Portfolio was under increased scrutiny. It was agreed that the Trustees would continue to monitor especially closely the performance of the Portfolio and the impact of the subadviser changes. The Trustees noted that contractual management fees were above the median for the peer group for the Investors fund, but at or below median for the Institutional fund, and that total expenses were below the median for the peer group for both funds. For Special Equity Portfolio (Mazama Capital Management, RS Investment Management, EARNEST Partners, Wellington Management Company and INVESCO Institutional as subadvisers), it was noted that the Diversified Investors Special Equity Fund performance and Diversified Institutional Special Equity Fund performance were below the Lipper universe 50th percentile for the 1, 3 and 5 year periods, and that both funds had underperformed the benchmark for the 1 and 3 year periods. The Trustees noted that of the five subadvisers to the Portfolio, EARNEST would be replaced as subadviser because of investment performance, that the other subadvisers underperformed their respective benchmarks for the one year period but outperformed (gross of fees, with the exception of INVESCO as to the value mandate) since their respective inceptions, and that the funds were rated three stars overall by Morningstar. It was noted that Mazama had been brought on board in March, 2005 to address performance, and that INVESCO had taken on an additional style mandate in June, 2006. It was agreed that the Trustees would continue to monitor especially closely the performance of the Portfolio and the impact of the subadviser changes. The Trustees noted that both contractual management fees and total expenses were above the median for the peer group for the Investors fund, but below the median for the Institutional fund. The Trustees also noted that INVESCO's profitability appeared higher than that of other subadvisers but was not unreasonable under the circumstances and given the longer term performance. For Small-Cap Growth Portfolio (Perimeter Capital Partners as subadviser), it was noted that the Diversified Investors Small Cap Growth Fund performance and Diversified Institutional Small Cap Growth Fund performance were below the Lipper universe 50th percentile for the 1 and 3 year periods (the funds commenced operations in 2003), and that both funds had underperformed the benchmark for the 1 and 3 year periods. It also was noted that the performance of both funds was below the 50th percentile for the 1 and 3 year periods for the Morningstar universe. The Trustees noted that the prior subadviser had been brought on board in December, 2005 to address performance; that Perimeter had been hired in 2006 for continuity of portfolio management; that Perimeter's more recent performance was improved; and that the subadviser is under increased scrutiny because it is a start-up firm. The Trustees noted that both contractual management fees and total expenses were above the median for the peer group for the Investors fund, but at or below the median for the Institutional fund. For International Equity Portfolio (LSV Asset Management and Wellington Management Company as subadvisers), it was noted that the Diversified Investors International Equity Fund performance and Diversified Institutional International Equity Fund performance were above the Lipper universe 50th percentile for the 1 year period and below the 50th percentile for the 3 and 5 year periods. The Trustees noted that Wellington's performance had improved over the past year, and that the Investors fund was rated four stars overall, and the Institutional fund three stars overall, by Morningstar. The Trustees noted that contractual management fees were at or below the median for the peer group for both funds, and that total expenses were above the median for the peer group in the case of the Investors fund, but below the median in the case of the Institutional fund. It also was noted that these conclusions were based upon the Board's determination for each Portfolio that the Portfolio's performance compared sufficiently favorably with other funds in the peer group and/or benchmark over recent periods, with the exceptions discussed above; that management fees and total expenses after giving 204 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) effect to waivers and reimbursements compared sufficiently favorably to the peer group, with the exceptions discussed above; and that, in reviewing Diversified's profitability with respect to its services for the Funds, that profitability (together with additional benefits received by Diversified and DISC) was reasonable under the circumstances and in view of the nature and quality of the services provided by Diversified. The Board also considered that the fee waivers and reimbursements for certain Funds were contractually agreed and as a result could not be discontinued or modified without Board approval. In addition to the foregoing, the Trustees were satisfied with the overall quality of the services provided by Diversified, including selecting and monitoring subadvisers and providing compliance services to the Portfolios. APPROVAL OF NEW SUBADVISORY AGREEMENTS As noted above during the six-month period ended June 30, 2007, Diversified appointed new subadvisers, with the approval of the Board of Trustees, for the Inflation-Protected Securities Portfolio, Growth & Income Portfolio, Equity Growth Portfolio, Small-Cap Value Portfolio, and Special Equity Portfolio. INFLATION-PROTECTED SECURITIES PORTFOLIO. At a meeting held on November 28, 2006, the Board of Trustees considered the termination of Allegiance Investment Management as subadviser to the Inflation-Protected Securities Portfolio (formerly, the Intermediate Government Bond Portfolio) and the appointment of BlackRock Financial Management, Inc. ("BlackRock") as replacement subadviser to the Inflation-Protected Securities Portfolio. The Board of Trustees approved an Investment Subadvisory Agreement with BlackRock with respect to the Inflation- Protected Securities Portfolio (the "BlackRock Subadvisory Agreement") following presentations by Diversified and representatives of BlackRock. Discussed below are some of the material factors considered by the Board. The Board considered information with respect to BlackRock and whether the BlackRock Subadvisory Agreement was in the best interests of the Portfolio and its investors. The Board paid particular attention to the need to select a subadviser with the capability to execute the new investment objective and strategies of the Portfolio. As part of their deliberations, the Board took into account the nature and quality of the services currently provided and to be provided by BlackRock. The Board noted that BlackRock has experience managing over $3.2 billion across a number of inflation linked bond accounts and mutual funds. The Board reviewed the performance of BlackRock Inflation Protected Bond Fund as compared to its benchmark, the U.S. Treasury Inflation Protected Securities (TIPS) Index. The Board considered BlackRock's investment philosophy, which emphasizes relative value and adding value primarily through active sector rotation and security selection. In evaluating BlackRock's ability to provide services to the Portfolio, the Trustees also considered information as to BlackRock's financial resources, portfolio holdings, investment advisory fees, personnel, compliance policies and procedures and other matters. The Board reviewed the qualifications, backgrounds and responsibilities of the senior personnel of BlackRock and the portfolio management team that would be primarily responsible for the day-to-day management of the Portfolio. The Board received and considered information regarding the nature, extent and quality of services expected to be provided to the Portfolio by BlackRock under the BlackRock Subadvisory Agreement. The Board reviewed and considered the subadvisory fee that would be payable by Diversified to BlackRock in light of the nature, extent and quality of the management services expected to be provided by BlackRock and the subadvisory fee paid to subadvisers of funds with similar mandates. The Board noted that Diversified, and not the Portfolio, will pay the subadvisory fee to BlackRock. The Board recognized that BlackRock may realize economies of scale as the assets of the Portfolio grow. Based upon its review and the representations made to it, the Board, including all of the independent Trustees, concluded that (a) the terms of the BlackRock Subadvisory Agreement are reasonable, fair and in the best interests of the Portfolio and its investors, and (b) the fee provided in the BlackRock Subadvisory Agreement is 205 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) fair and reasonable in light of the usual and customary charges made for services of the same nature and quality. Accordingly, after consideration of the above factors, and such other factors and information as it deemed relevant, the Board, including all of the independent Trustees, approved the BlackRock Subadvisory Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the BlackRock Subadvisory Agreement, and each Board member attributed different weight to the various factors. The independent Trustees discussed the proposed approval of the BlackRock Subadvisory Agreement in private sessions with their independent legal counsel at which no representatives of Diversified or BlackRock were present. GROWTH & INCOME PORTFOLIO. At a meeting held on May 22, 2007, the Board of Trustees considered the termination of Ark Asset Management as subadviser to the Growth & Income Portfolio and the appointment of BlackRock Financial Management, Inc. ("BlackRock") as replacement subadviser to the Portfolio. The Board authorized Diversified to terminate the Investment Subadvisory Agreement with Ark Asset Management and approved the Investment Subadvisory Agreement with BlackRock with respect to the Growth & Income Portfolio (the "BlackRock Subadvisory Agreement") following presentations by Diversified and representatives of BlackRock. Discussed below are some of the material factors considered by the Board. Diversified reviewed with the Board its search process and criteria for a replacement subadviser, including its desire to engage a subadviser that could provide a quantitative, risk-controlled approach, strong stand-alone characteristics, strong down-side protection and with a low correlation to current portfolio holdings. The Board considered information with respect to BlackRock and whether the BlackRock Subadvisory Agreement was in the best interests of the Portfolio and its investors. The Board noted that BlackRock- advised funds with similar mandates to those of the Portfolio out-performed the Russell 1000 Growth Index for the past three years and the S&P 500 Index for the past two years. The Board reviewed the qualifications, backgrounds and responsibilities of the senior personnel of BlackRock and the portfolio management team that would be primarily responsible for the day-to-day management of the Portfolio. The Board received and considered information regarding the nature, extent and quality of services expected to be provided to the Portfolio by BlackRock under the BlackRock Subadvisory Agreement. The Board reviewed and considered the subadvisory fee that would be payable by Diversified to BlackRock in light of the nature, extent and quality of the management services expected to be provided by BlackRock and the subadvisory fee paid to subadvisers of funds with similar mandates. The Board considered that at current asset levels the subadvisory fees (including breakpoints) paid under the Investment Subadvisory Agreement with Ark Asset Management were higher than the subadvisory fee to be paid to BlackRock. The Board noted that Diversified, and not the Portfolio, will pay the subadvisory fee to BlackRock. Based upon its review and the representations made to it, the Board, including all of the independent Trustees, concluded that (a) the terms of the BlackRock Subadvisory Agreement are reasonable, fair and in the best interests of the Portfolio and its investors, and (b) the fee provided in the BlackRock Subadvisory Agreement is fair and reasonable in light of the usual and customary charges made for services of the same nature and quality. Accordingly, after consideration of the above factors, and such other factors and information as it deemed relevant, the Board, including all of the independent Trustees, approved the BlackRock Subadvisory Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the BlackRock Subadvisory Agreement, and each Board member attributed different weight to the various factors. The independent Trustees discussed the proposed approval of the BlackRock Subadvisory Agreement in private sessions with their independent legal counsel at which no representatives of Diversified or BlackRock were present. 206 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) EQUITY GROWTH PORTFOLIO. At a meeting held on May 22, 2007, the Board of Trustees considered the termination of Ark Asset Management as subadviser to the Equity Growth Portfolio and the appointment of OFI Institutional Asset Management, Inc. ("OFII") and Wellington Management Company, LLP ("Wellington Management") as replacement subadvisers to the Equity Growth Portfolio. The Board authorized Diversified to terminate the Investment Subadvisory Agreement with Ark Asset Management and approved (i) the Investment Subadvisory Agreement with OFII with respect to the Equity Growth Portfolio (the "OFII Subadvisory Agreement"), and (ii) the Investment Subadvisory Agreement with Wellington Management with respect to the Equity Growth Portfolio (the "Wellington Management Subadvisory Agreement") following presentations by Diversified and representatives of OFII and Wellington Management. Discussed below are some of the material factors considered by the Board. Diversified reviewed with the Board its search process and criteria for replacement subadvisers, including its desire to engage subadvisers who offer less concentrated portfolios, strong stand-alone characteristics, strong down- side protection and a low correlation to current portfolio holdings. The Board considered information with respect to OFII and Wellington Management and whether the OFII Subadvisory Agreement and the Wellington Management Subadvisory Agreement were in the best interests of the Portfolio and its holders of beneficial interests. The Board considered the fact that OFII's enhanced large cap growth composite performance outperformed the Russell 1000 Growth Index over 1-, 3-, and 5-year periods. The Board noted that Wellington Management's diversified growth portfolio composite outperformed the Russell 1000 Growth Index over 1-, 3-, 5-, 7- and 10-year periods. The Board reviewed the qualifications, backgrounds and responsibilities of the senior personnel of OFII and Wellington Management and the portfolio management teams that would be primarily responsible for the day-to-day management of OFII's and Wellington Management's allocated portions of the Portfolio. The Board received and considered information regarding the nature, extent and quality of services expected to be provided to the Portfolio by OFII under the OFII Subadvisory Agreement and by Wellington Management under the Wellington Management Subadvisory Agreement. The Board reviewed and considered the subadvisory fee that would be payable by Diversified to OFII and Wellington Management in light of the management services expected to be provided by OFII and Wellington Management, and the subadvisory fee paid to subadvisers of funds with similar mandates. The Board noted that Diversified, and not the Portfolio, will pay the subadvisory fee to OFII and Wellington Management. Based upon its review and the representations made to it, the Board, including all of the independent Trustees, concluded that (a) the terms of the OFII Subadvisory Agreement and the Wellington Management Subadvisory Agreement are reasonable, fair and in the best interests of the Portfolio and its holders of beneficial interests, and (b) the fees provided in the OFII Subadvisory Agreement and the Wellington Management Subadvisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality. Accordingly, after consideration of the above factors, and such other factors and information as it deemed relevant, the Board, including all of the independent Trustees, approved the OFII Subadvisory Agreement and the Wellington Management Subadvisory Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the OFII Subadvisory Agreement and Wellington Management Subadvisory Agreement, and each Board member attributed different weight to the various factors. The independent Trustees discussed the proposed approval of the new Subadvisory Agreements in private sessions with their independent legal counsel at which no representatives of the Diversified, OFII or Wellington Management were present. SMALL-CAP VALUE PORTFOLIO. At a meeting held on May 22, 2007, the Board of Trustees considered the termination of EARNEST Partners LLC as subadviser to the Small-Cap Value Portfolio and the appointment of OFI Institutional Asset Management, Inc. ("OFII") as replacement subadviser to the Small-Cap Value 207 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) Portfolio. The Board authorized Diversified to terminate the Investment Subadvisory Agreement with EARNEST Partners and approved the Investment Subadvisory Agreement with OFII with respect to the Small-Cap Value Portfolio (the "OFII Subadvisory Agreement") following presentations by Diversified and representatives of OFII. Discussed below are some of the material factors considered by the Board. Diversified reviewed with the Board its search process and criteria for a replacement subadviser, including its desire to engage a subadviser that could provide a quantitative approach to offset volatility, strong stand-alone characteristics, strong down-side protection, more relative value, and a low correlation to current portfolio holdings. The Board considered information with respect to OFII and whether the OFII Subadvisory Agreement was in the best interests of the Portfolio and its holders of beneficial interests. As part of their deliberations, the Board took into account the nature and quality of the anticipated services to be provided by OFII and reviewed and discussed information regarding OFII's fees. The Board compared OFII's small cap value composite performance to that of the Russell 2000 Value Index and the Portfolio. The Board noted that OFII's composite performance exceeded the Russell 2000 Value Index over 3-, 5- and 7-year periods. The Board reviewed the qualifications, backgrounds and responsibilities of the senior personnel of OFII and the portfolio management team that would be primarily responsible for the day-to-day management of OFII's allocated portion of the Portfolio. The Board reviewed and considered the subadvisory fee that would be payable by Diversified to OFII in light of the nature, extent and quality of the management services expected to be provided by OFII and the subadvisory fee paid to subadvisers of funds with similar mandates. The Board noted that Diversified, and not the Portfolio, will pay the subadvisory fee to OFII. The Board recognized that OFII may realize economies of scale as the assets of the Portfolio and the portion of the Portfolio allocated to OFII by Diversified grows, and that the OFII subadvisory fee would decrease as the assets allocated to OFII exceed a breakpoint of $50 million. Based upon its review and the representations made to it, the Board, including all of the independent Trustees, concluded that (a) the terms of the OFII Subadvisory Agreement are reasonable, fair and in the best interests of the Portfolio and its holders of beneficial interests, and (b) the fee provided in the OFII Subadvisory Agreement is fair and reasonable in light of the usual and customary charges made for services of the same nature and quality. Accordingly, after consideration of the above factors, and such other factors and information as it deemed relevant, the Board, including all of the independent Trustees, approved the OFII Subadvisory Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the OFII Subadvisory Agreement, and each Board member attributed different weight to the various factors. The independent Trustees discussed the proposed approval of the OFII Subadvisory Agreement in private sessions with their independent legal counsel at which no representatives of Diversified or OFII were present. SPECIAL EQUITY PORTFOLIO. At a meeting held on March 2, 2007, the Board of Trustees considered an amendment to the Investment Subadvisory Agreement between Diversified and Wellington Management Company LLP ("Wellington Management") with respect to the Special Equity Portfolio (the "Wellington Management Amendment"). The Board of Trustees approved the Wellington Management Amendment following presentations by Diversified. Discussed below are some of the material factors considered by the Board. The Board reviewed and considered the subadvisory fee that would be payable by Diversified to Wellington Management in light of the nature, extent and quality of the management services expected to be provided by Wellington Management and the subadvisory fee paid to subadvisers of funds with similar mandates. The Board considered the strong performance of the portion of the Portfolio overseen by Wellington Management compared to that of the Portfolio's benchmark, the Russell 2000 Value Index, over a period of several years. The Board compared the subadvisory fee paid to Wellington Management to the subadvisory fees paid by a number of funds of similar size to the Portfolio with similar mandates, noting that the average fee paid by the 208 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2007 (UNAUDITED) comparable funds was higher than that paid to Wellington Management. The Board noted that Diversified, and not the Portfolio, will pay the subadvisory fee to Wellington Management. Based upon its review and the representations made to it, the Board, including all of the independent Trustees, concluded that (a) the terms of the Wellington Management Amendment are reasonable, fair and in the best interests of the Portfolio and its investors, and (b) the fee provided in the Wellington Management Amendment is fair and reasonable in light of the usual and customary charges made for services of the same nature and quality. Accordingly, after consideration of the above factors, and such other factors and information as it deemed relevant, the Board, including all of the independent Trustees, approved the Wellington Management Amendment. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the Wellington Management Amendment, and each Board member attributed different weight to the various factors. The members of the Board who are not "interested persons" of the Portfolio or Diversified discussed the proposed approval of the Wellington Management Amendment in private sessions with their independent legal counsel at which no representatives of Diversified or Wellington Management were present. 209 TRANSAMERICA FINANCIAL LIFE INSURANCE COMPANY, INC. 4 Manhattanville Road, Purchase, New York 10577 (914) 697-8000 DISTRIBUTOR: Diversified Investors Securities Corp. (DISC) 4 Manhattanville Road, Purchase, New York 10577 914-697-8000 ITEM 2. CODE OF ETHICS. Item not applicable to semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Item not applicable to semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Item not applicable to semi-annual report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS. Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. As described in the Trust's most recent proxy statement on Schedule 14A filed on August 27, 2007 (the "Proxy Statement"), the Trust has established a Nominating Committee that may consider and evaluate nominees to the Board of Trustees of the Trust that are recommend by holders. Nominations proposed by holders must be properly submitted for consideration, and will be properly submitted if the qualifications and procedures set forth in the Nominating Committee's charter are met. There have been no material changes to the procedures described in the Proxy Statement and set forth in the Trust's Nominating Committee Charter since the filing of the Proxy Statement. ITEM 11. CONTROLS AND PROCEDURES. (a) The Registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized, and reported timely. (b) The Registrant's principal executive officer and principal financial officer are aware of no changes in the Registrant's internal control over financial reporting that occurred during the Registrant's most recent fiscal six-month period that has materially affected, or is likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable. (a)(2) Separate certifications by the Registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached. (a)(3) Not applicable. (b) A certification by the Registrant's principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Diversified Investors Strategic Variable Funds By /s/ John K. Carter John K. Carter Chief Executive Officer Date August 31, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By /s/ John K. Carter John K. Carter Chief Executive Officer Date August 31, 2007 By /s/ Joseph P. Carusone Joseph P. Carusone Principal Financial Officer Date August 31, 2007 EX-99.CERT 2 y37250exv99wcert.txt EX-99.CERT: CERTIFICATION FORM N-CSR CERTIFICATION I, Joseph P. Carusone, certify that: 1. I have reviewed this report on Form N-CSR of Diversified Investors Strategic Variable Funds. 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 31, 2007 /s/ Joseph P. Carusone Joseph P. Carusone Principal Financial Officer FORM N-CSR CERTIFICATION I, John K. Carter, certify that: 1. I have reviewed this report on Form N-CSR of Diversified Investors Strategic Variable Funds. 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 31, 2007 /s/ John K. Carter John K. Carter Chief Executive Officer EX-99.906CERT 3 y37250exv99w906cert.txt EX-99.906CERT: CERTIFICATIONS CERTIFICATION UNDER SECTION 906 OF SARBANES-OXLEY ACT OF 2002 Name of Issuer: Diversified Investors Strategic Variable Funds In connection with the Report on Form N-CSR for the above named issuer, the undersigned hereby certifies, to the best of his knowledge, that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; 2. The information contained in the Report fairly represents, in all material respects, the financial condition and results of operations of the Issuer. Date: August 31, 2007 /s/ John K. Carter John K. Carter Chief Executive Officer Date: August 31, 2007 /s/ Joseph P. Carusone Joseph P. Carusone Principal Financial Officer -----END PRIVACY-ENHANCED MESSAGE-----