N-CSR

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

The 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:
Robert Colby
4 Manhattanville Road
Purchase, NY 10577

Registrant’s telephone number, including area code: (914) 697-8000

Date of fiscal year end: December 31, 2007

Date of reporting period: December 31, 2007

ITEM 1. REPORTS TO STOCKHOLDERS.

THE DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS

DIVERSIFIED INVESTORS VARIABLE FUNDS DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS Annual Report December 31, 2007 International Equity Special Equity Aggressive Equity Equity Growth Intermediate/Long Horizon Growth & Income Value & Income Balanced Intermediate Horizon Calvert High Yield Bond Short Horizon Core Bond Inflation-Protected Securities High Quality Bond Money Market

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.

Proxy Voting Policies and Procedures

A description of the proxy voting policies and procedures of the Diversified Investors Strategic Variable Funds and Diversified Investors Portfolios is included in the Statement of Additional Information (“SAI”), which is available without charge, upon request: (i) by calling 1-800-755-5801; (ii) on the Subaccounts' 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 Diversified Investors Strategic Variable Funds and the Diversified Investors Portfolios are required to file Form N-PX, with the complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. Form N-PX for the twelve months ended June 30, 2007, is available without charge, upon request.

Quarterly Portfolios

The Subaccounts will file their portfolios of investments on Form N-Q with the SEC for the first and third quarters of each fiscal year. 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, 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 1-800-755-5801. Form N-Q for the corresponding Diversified Investors Portfolios is also available without charge on the SEC website, at the SEC's Public Reference Room, or by calling 1-800-755-5801.

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 unitholder in a Subaccount, you will bear the ongoing costs of managing the corresponding portfolio 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 July 1, 2007. The second column will show your ending balance (per $1,000) on December 31, 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 July 1, 2007 — December 31, 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 July 1, 2007 — December 31, 2007 (Based on actual returns and expenses)”.

The fourth and fifth columns will also show your ending balance (per $1,000) on December 31, 2007 and how much of your investment (per $1,000) went to the ongoing costs of your Subaccount, 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 July 1, 2007 — December 31, 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 Subaccount 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

Ending Account

During the

Expenses Paid

Value

Period July 1, 2007 –

Ending Account

During the Period

July 1, 2007

December 31, 2007

Value

July 1, 2007 –

(Based on

Beginning

December 31, 2007

hypothetical

Account

(Based on actual

(Based on

5% annual returns

Annualized

Value

returns and

actual returns and

before actual

Expense

Subaccount Name

July 1, 2007

expenses)

expenses)(1)(2)

expenses)

expenses)(1)(2)

Ratio(1)

Short Horizon

1,000

1,031.03

1.03

1,024.33

1.03

0.20

Intermediate Horizon

1,000

1,004.98

1.02

1,024.33

1.03

0.20

Intermediate Long Horizon

1,000

992.29

1.01

1,024.33

1.03

0.20


(1)		These figures exclude fees and expenses of the underlying investments in DIVF.

(2)		Expenses are equal to each Subaccount’s annualized expense ratio multiplied by the average account value over the period, divided by 365, multiplied by 185 (to reflect the one-half year period).

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2007


	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)	$	11,098,785		$	32,588,884		$	52,712,655
Receivable for securities sold		2,904			—			—
Receivable for units sold		4,481			16,425			78,798

Total assets		11,106,170			32,605,309			52,791,453

Liabilities:
Payable for securities purchased		—			1,678			53,147
Payable for units redeemed		7,385			14,747			25,651
Accrued investment advisory fees		1,884			5,521			8,981

Total liabilities		9,269			21,946			87,779

Net assets	$	11,096,901		$	32,583,363		$	52,703,674

Accumulation units		681,662			1,794,207			2,731,348

Unit value	$	16.28		$	18.16		$	19.30

Net assets consist of:
Cost of accumulation units	$	8,271,185		$	23,067,301		$	38,296,725
Undistributed (accumulated) net realized gains (losses)		1,639,472			2,958,689			3,591,550
Undistributed (accumulated) net investment income (loss)		(143,406	)		(432,475	)		(605,148	)
Net unrealized appreciation (depreciation) on investments		1,329,650			6,989,848			11,420,547

Net assets	$	11,096,901		$	32,583,363		$	52,703,674


Investments in affiliates, at cost	$	9,769,135		$	25,599,036		$	41,292,108

See notes to financial statements.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2007


	Short			Intermediate			Intermediate
	Horizon			Horizon			Long Horizon
	Strategic			Strategic			Strategic
	Variable Fund			Variable Fund			Variable Fund

Investment advisory fees (Note 3)	$	(21,447	)	$	(63,294	)	$	(103,143	)

Realized and unrealized gains (losses) on investments in affiliates (Note 2):
Net realized gains (losses) on investments in affiliates		242,773			198,466			321,871
Change in net unrealized appreciation (depreciation) on investments in affiliates		249,785			1,124,330			1,661,060

Net realized and unrealized gains (losses) on investments in affiliates		492,558			1,322,796			1,982,931

Net increase (decrease) in net assets resulting from operations	$	471,111		$	1,259,502		$	1,879,788

See notes to financial statements.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS

For the Year Ended December 31, 2007


	Short			Intermediate			Intermediate
	Horizon			Horizon			Long Horizon
	Strategic			Strategic			Strategic
	Variable Fund			Variable Fund			Variable Fund

From operations:
Investment advisory fees	$	(21,447	)	$	(63,294	)	$	(103,143	)
Net realized gains (losses) on investments in affiliates		242,773			198,466			321,871
Change in net unrealized appreciation (depreciation) on investments in affiliates		249,785			1,124,330			1,661,060

Net increase (decrease) in net assets resulting from operations		471,111			1,259,502			1,879,788

From unit transactions:
Units sold		3,890,370			6,971,209			11,094,717
Units redeemed		(3,469,492	)		(5,603,555	)		(7,564,308	)

Net increase (decrease) in net assets resulting from unit transactions		420,878			1,367,654			3,530,409

Total increase (decrease) in net assets		891,989			2,627,156			5,410,197
Net assets:
Beginning of year		10,204,912			29,956,207			47,293,477

End of year	$	11,096,901		$	32,583,363		$	52,703,674


Units outstanding beginning of year		654,393			1,717,863			2,548,307
Units sold		245,586			387,964			576,621
Units redeemed		(218,317	)		(311,620	)		(393,580	)

Units outstanding end of year		681,662			1,794,207			2,731,348

See notes to financial statements.

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.

SHORT HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Investments
	177,681	Diversified Investors Variable Funds — Core Bond	$	5,941,586
	6,211	Diversified Investors Variable Funds — Equity Growth		351,620
	5,230	Diversified Investors Variable Funds — Growth & Income		149,558
	184,617	Diversified Investors Variable Funds — High Quality Bond		2,878,099
	50,602	Diversified Investors Variable Funds — High Yield Bond		958,475
	5,475	Diversified Investors Variable Funds — International Equity		161,151
	11,108	Diversified Investors Variable Funds — Money Market		231,219
	2,303	Diversified Investors Variable Funds — Special Equity		85,261
	5,540	Diversified Investors Variable Funds — Value & Income		341,816

		Total Investments — 100.0% (Cost $9,769,135)		11,098,785
		Liabilities less other assets — (0.0%)		(1,884	)

		Net Assets — 100.0%	$	11,096,901

The aggregate cost of investments for federal income tax purposes at December 31, 2007 is $9,769,135.

The following amount is based on cost for federal income tax purposes:


Net unrealized appreciation	$	1,329,650

See notes to financial statements.

INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Investments
	282,973	Diversified Investors Variable Funds — Core Bond	$	9,462,537
	93,746	Diversified Investors Variable Funds — Equity Growth		5,307,303
	75,767	Diversified Investors Variable Funds — Growth & Income		2,166,812
	302,883	Diversified Investors Variable Funds — High Quality Bond		4,721,828
	80,265	Diversified Investors Variable Funds — High Yield Bond		1,520,339
	90,574	Diversified Investors Variable Funds — International Equity		2,665,846
	38,020	Diversified Investors Variable Funds — Money Market		791,385
	31,254	Diversified Investors Variable Funds — Special Equity		1,157,204
	77,720	Diversified Investors Variable Funds — Value & Income		4,795,630

		Total Investments — 100.0% (Cost $25,599,036)		32,588,884
		Liabilities less other assets — (0.0%)		(5,521	)

		Net Assets — 100.0%	$	32,583,363

The aggregate cost of investments for federal income tax purposes at December 31, 2007 is $25,599,036.

The following amount is based on cost for federal income tax purposes:


Net unrealized appreciation	$	6,989,848

See notes to financial statements.

INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Investments
	269,499	Diversified Investors Variable Funds — Core Bond	$	9,011,959
	212,707	Diversified Investors Variable Funds — Equity Growth		12,042,147
	170,874	Diversified Investors Variable Funds — Growth & Income		4,886,745
	286,827	Diversified Investors Variable Funds — High Quality Bond		4,471,523
	77,676	Diversified Investors Variable Funds — High Yield Bond		1,471,306
	205,200	Diversified Investors Variable Funds — International Equity		6,039,593
	57,952	Diversified Investors Variable Funds — Money Market		1,206,269
	74,212	Diversified Investors Variable Funds — Special Equity		2,747,779
	175,601	Diversified Investors Variable Funds — Value & Income		10,835,334

		Total Investments — 100.0% (Cost $41,292,108)		52,712,655
		Liabilities less other assets — (0.0%)		(8,981	)

		Net Assets — 100.0%	$	52,703,674

The aggregate cost of investments for federal income tax purposes at December 31, 2007 is $41,292,108.

The following amount is based on cost for federal income tax purposes:


Net unrealized appreciation	$	11,420,547

See notes to financial statements.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
PORTFOLIO COMPOSITION

December 31, 2007

The following charts summarize the portfolio composition of each Fund by asset type.


Short Horizon Strategic Variable Fund
Money Market Fund	2.1	%
Fixed Income Funds	88.1
Domestic Equity Funds	8.4
International Equity Fund	1.4
Liabilities less other assets	(0.0	)*

	100.0	%

Intermediate Horizon Strategic Variable Fund
Money Market Fund	2.4	%
Fixed Income Funds	48.2
Domestic Equity Funds	41.2
International Equity Fund	8.2
Liabilities less other assets	(0.0	)*

	100.0	%

Intermediate Long Horizon Strategic Variable Fund
Money Market Fund	2.3	%
Fixed Income Funds	28.4
Domestic Equity Funds	57.9
International Equity Fund	11.4
Liabilities less other assets	(0.0	)*

	100.0	%


*		Amount rounds to less than 0.05%.

See notes to financial statements.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS


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 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 certain Diversified Investors Variable Funds (“DIVF”). DIVF is a separate investment account offering thirteen subaccounts, each with a different investment objective. Certain DIVF Subaccounts seek to achieve their investment objective by investing all of their investable assets in the Diversified Investors Portfolios (“Portfolios”). The financial statements of DIVF, which commenced operations August 18, 1994, accompany this report. 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 investments in the corresponding subaccounts of DIVF are 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”). AEGON is a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON is an indirect, wholly-owned subsidiary of AEGON NV, 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.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)


3.	Fees and Transactions with Affiliates

The Separate Account has entered into an Investment Advisory Agreement with Transamerica Asset Management, 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. Prior to November 1, 2007, the Advisor’s affiliate, Diversified Investment Advisors, Inc., served as the advisor to the Separate Account. Diversified Investment Advisors, Inc., a wholly-owned subsidiary of AEGON NV, is the advisor to the Diversified Investors Variable Funds.

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 the 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 year ended December 31, 2007 were as follows:


	Cost of		Proceeds
	Purchases		from Sales

Short Horizon	$	6,246,644	$	5,846,996
Intermediate Horizon		7,093,294		5,788,182
Intermediate Long Horizon		13,955,130		10,526,382


5.	Regulatory Proceedings

There continues to be significant federal and state regulatory activity relating to financial services companies, particularly mutual fund companies and their investment advisors. As part of an ongoing investigation regarding potential market timing, recordkeeping and trading compliance issues and matters affecting the Separate Account’s investment advisor, TAM, and certain affiliates and former employees of TAM, the SEC staff has indicated that it is likely to take some action against TAM and certain of its affiliates at the conclusion of the investigation. The potential timing and the scope of any such action is difficult to predict. Although the impact of any such action brought against TAM and/or its affiliates is difficult to assess at the present time, the Separate Account currently believes that the likelihood that any such action will have a material adverse impact is remote. It is important to note that the Separate Account is not aware of any allegation of wrongdoing against them and their Board at the time this annual report is printed. Although it is not anticipated that these developments will have an adverse impact on the Separate Account, there can be no assurance at this time. TAM and its affiliates are actively working with the SEC in regard to this matter; however, the exact resolution cannot be determined at this time. TAM will take such actions that it deems necessary or appropriate to continue providing management services to the Separate Account and to bring all matters to an appropriate conclusion.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)


5.	Regulatory Proceedings (continued)

TAM and/or its affiliates, and not the Separate Account, will bear the costs regarding the regulatory matters.


6.	Concentrations and Indemnifications

From time to time, the Subaccounts may have a concentration of several shareholders 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.

7. Financial Highlights

For an accumulation unit outstanding throughout the year:


			Income (Loss) from														Ratios to Average
			Investment Operations														Net Assets
						Net		Total
	Unit					Realized and		Income		Unit					Net					Net
	Value,		Net			Unrealized		(Loss) from		Value,					Assets,					Investment
	Beginning of		Investment			Gains (Losses)		Investment		End of		Total			End of					Income			Portfolio
For the Year Ended	Year		Income (Loss)(a)			on Investments		Operations		Year		Return			Year		Expenses			(Loss)			Turnover

Short Horizon Strategic Variable Fund
12/31/2007	$	15.59	$	(0.03	)	$	0.72	$	0.69	$	16.28		4.43	%	$	11,096,901		0.20	%		(0.20	)%		55	%
12/31/2006		14.91		(0.03	)		0.71		0.68		15.59		4.56			10,204,912		0.20			(0.20	)		86
12/31/2005		14.68		(0.03	)		0.26		0.23		14.91		1.57			11,574,072		0.20			(0.20	)		46
12/31/2004		14.14		(0.03	)		0.57		0.54		14.68		3.82			10,191,299		0.20			(0.20	)		50
12/31/2003		13.34		(0.03	)		0.83		0.80		14.14		6.00			10,505,127		0.20			(0.20	)		109

Intermediate Horizon Strategic Variable Fund
12/31/2007		17.44		(0.04	)		0.76		0.72		18.16		4.13			32,583,363		0.20			(0.20	)		18
12/31/2006		16.11		(0.03	)		1.36		1.33		17.44		8.26			29,956,207		0.20			(0.20	)		55
12/31/2005		15.50		(0.03	)		0.64		0.61		16.11		3.94			29,281,323		0.20			(0.20	)		29
12/31/2004		14.52		(0.03	)		1.01		0.98		15.50		6.75			28,720,023		0.20			(0.20	)		28
12/31/2003		12.58		(0.03	)		1.97		1.94		14.52		15.42			25,770,371		0.20			(0.20	)		87

Intermediate Long Horizon Strategic Variable Fund
12/31/2007		18.56		(0.04	)		0.78		0.74		19.30		3.99			52,703,674		0.20			(0.20	)		21
12/31/2006		16.87		(0.03	)		1.72		1.69		18.56		10.02			47,293,477		0.20			(0.20	)		63
12/31/2005		16.06		(0.03	)		0.84		0.81		16.87		5.04			45,441,180		0.20			(0.20	)		25
12/31/2004		14.83		(0.03	)		1.26		1.23		16.06		8.29			40,122,473		0.20			(0.20	)		34
12/31/2003		12.39		(0.03	)		2.47		2.44		14.83		19.69			34,716,992		0.20			(0.20	)		98


(a)		Calculated based upon average units outstanding.

8. Investments in Affiliates

The market value of investments in affiliates (as defined in the 1940 Act, “Affiliated Companies” are those in which the Separate Account is under common control with an affiliated entity) at December 31, 2007 totaled $11,098,785, $32,588,884 and $52,712,655 for Short Horizon, Intermediate Horizon, and Intermediate Long Horizon, respectively.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)

8. 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

Short Horizon
Investments:
Diversified Investors Variable Funds — Core Bond		175,694		19,185		17,198		177,681	$	605,483	$	462,953	$	88,032
Diversified Investors Variable Funds — Equity Growth		6,857		515		1,161		6,211		27,637		45,980		15,927
Diversified Investors Variable Funds — Growth & Income		5,508		611		889		5,230		17,705		17,605		8,207
Diversified Investors Variable Funds — High Quality Bond		169,024		39,046		23,453		184,617		588,520		336,311		19,578
Diversified Investors Variable Funds — High Yield Bond		50,848		6,399		6,645		50,602		121,559		78,914		47,382
Diversified Investors Variable Funds — International Equity		6,501		289		1,315		5,475		8,386		17,534		19,102
Diversified Investors Variable Funds — Money Market		1,275		235,574		225,741		11,108		4,802,484		4,597,237		7,286
Diversified Investors Variable Funds — Special Equity		2,249		431		377		2,303		16,413		8,620		6,257
Diversified Investors Variable Funds — Value & Income		5,694		927		1,081		5,540		58,457		39,069		31,002

									$	6,246,644	$	5,604,223	$	242,773

Intermediate Horizon
Investments:
Diversified Investors Variable Funds — Core Bond		266,362		23,885		7,274		282,973	$	763,366	$	192,983	$	37,704
Diversified Investors Variable Funds — Equity Growth		92,831		3,325		2,410		93,746		178,735		121,313		12,888
Diversified Investors Variable Funds — Growth & Income		74,984		2,730		1,947		75,767		79,185		59,330		892
Diversified Investors Variable Funds — High Quality Bond		282,352		28,104		7,573		302,883		429,190		108,952		6,187
Diversified Investors Variable Funds — High Yield Bond		77,028		5,237		2,000		80,265		99,477		23,353		15,226
Diversified Investors Variable Funds — International Equity		89,877		3,029		2,332		90,574		84,842		46,972		24,963
Diversified Investors Variable Funds — Money Market		24,778		256,401		243,159		38,020		5,235,646		4,941,709		23,313
Diversified Investors Variable Funds — Special Equity		30,931		1,126		803		31,254		44,118		15,567		18,258
Diversified Investors Variable Funds — Value & Income		76,954		2,763		1,997		77,720		178,735		79,537		59,035

									$	7,093,294	$	5,589,716	$	198,466

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)

8. 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		47,546		18,972		269,499	$	1,514,168	$	497,906	$	114,340
Diversified Investors Variable Funds — Equity Growth		203,842		12,918		4,053		212,707		694,300		222,764		3,417
Diversified Investors Variable Funds — Growth & Income		163,941		10,189		3,256		170,874		307,599		118,899		(17,930	)
Diversified Investors Variable Funds — High Quality Bond		255,340		36,952		5,465		286,827		560,241		79,216		3,779
Diversified Investors Variable Funds — High Yield Bond		69,726		9,388		1,438		77,676		181,639		17,142		10,548
Diversified Investors Variable Funds — International Equity		197,775		11,335		3,910		205,200		329,573		88,711		31,934
Diversified Investors Variable Funds — Money Market		43,902		458,353		444,303		57,952		9,347,334		9,020,791		45,460
Diversified Investors Variable Funds — Special Equity		67,178		8,367		1,333		74,212		325,976		25,848		30,848
Diversified Investors Variable Funds — Value & Income		168,736		10,211		3,346		175,601		694,300		133,234		99,475

									$	13,955,130	$	10,204,511	$	321,871

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and the Contractholders of Diversified Investors Strategic Variable Funds:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Short Horizon Strategic Variable Fund, Intermediate Horizon Strategic Variable Fund, and Intermediate Long Horizon Strategic Variable Fund (constituting the Diversified Investors Strategic Variable Funds, hereafter referred to as the “Funds”) at December 31, 2007, the results of each of their operations for the year then ended, and the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2007 by correspondence with the transfer agent, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

February 29, 2008

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS

December 31, 2007
(Unaudited)

Transamerica Asset Management, Inc. (“TAM”) manages the assets of each subaccount of Diversified Investors Strategic Variable Funds (each, a “Subaccount”) pursuant to an Investment Advisory Agreement (the “Advisory Agreement”) with Transamerica Financial Life Insurance Company (“TFLIC”).

Approval of TAM Advisory Agreement

At a meeting of the Managing Board of the Diversified Investors Strategic Variable Funds held on August 10, 2007, the Board reviewed and considered a proposed Advisory Agreement between TAM and TFLIC, on behalf of each applicable Subaccount, to determine whether the agreement should be approved for an initial two-year period. Pursuant to the Advisory Agreement, TAM would replace Diversified Investment Advisors, Inc. (“Diversified”) to provide or procure investment management services on behalf of each Subaccount. Following their review and consideration, the Board members determined that the Advisory Agreements would enable holders of the Subaccounts to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of its holders. The Board, including all of the Board members who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party to the Advisory Agreement (the “Independent Board Members”), unanimously approved the Advisory Agreements to appoint TAM as investment advisor to the Subaccounts.

In reaching their decisions, the Board members requested and obtained from TAM and Diversified such information as they deemed reasonably necessary to evaluate the proposed Advisory Agreements. In considering the Advisory Agreements, the Board members evaluated a number of factors and considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant.

The Board, including the Independent Board Members, considered, among other things, the following factors: (i) both TAM and Diversified rendered comparable “manager of managers” services to mutual funds and were part of the same group of companies; (ii) a number of Diversified personnel with expertise in the areas of investment management, fund administration and fund accounting would become personnel of TAM or other related fund service providers and would continue to serve the Subaccounts; (iii) the terms and conditions of the Advisory Agreements, including the difference from the then-current Advisory Agreements with Diversified (the “Prior Advisory Agreements”); (iv) the fact that each Subaccount’s advisory fees would remain the same under the Advisory Agreements; (v) the nature, scope and quality of services that TAM was expected to provide to the Subaccounts, including compliance services; (vi) both Diversified and TAM were indirect, wholly-owned subsidiaries of AEGON, N.V., a Netherlands corporation that is a publicly traded international insurance group, both are part of the AEGON Group of Companies, and the appointment of TAM as investment advisor to the Subaccounts would permit the Subaccounts to have access to the primary investment management and fund administration service provider in the AEGON Group of Companies; (vii) each of the investment objectives, strategies and risks of the Subaccounts would not change as a result of TAM becoming the investment advisor to the Subaccounts and, accordingly, the day-to-day investment activities of the Subaccounts were expected to remain substantially the same; (viii) the appointment of TAM as investment advisor to the Subaccounts would be effected at no cost to the Subaccounts or their holders; (ix) Diversified would continue to render various services to retirement plans investing in the Subaccounts; and (x) that earlier in 2007 the Board had performed a full annual review of the Prior Advisory Agreements for the Subaccounts as required by the Investment Company Act of 1940, as amended (the “1940 Act”).

The Board members evaluated all information available to them on a Subaccount-by-Subaccount basis, and their determinations were made separately in respect of each Subaccount. The Board members also based their decisions on the following considerations, among others, although they did not identify any that was all-important or controlling of their discussions, and each Board member attributed different weights to the various factors.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)

December 31, 2007
(Unaudited)

The nature, extent and quality of the services expected to be provided by TAM to the Subaccounts. The Board Members considered the nature and quality of the services expected to be provided by TAM and compared those services to those provided by Diversified. They concluded that TAM was capable of providing high quality services to the Subaccounts, as indicated by the nature and quality of services provided by TAM to the complex of registered investment companies that were managed by TAM (the “TAM Fund Family”) and the past performance of these funds, TAM’s management capabilities demonstrated with respect to the other mutual funds it managed, and the experience, capability and integrity of TAM’s senior management, financial resources and management oversight process. The Board Members noted that key Diversified personnel responsible for the Subaccounts would remain involved with the Subaccounts as they would become personnel of TAM or other affiliated fund service providers. The Board members also concluded that TAM proposed to provide investment and related services that were appropriate in scope and extent in light of the Subaccounts’ operations, and the competitive landscape of the investment company industry and investor needs.

The investment performance of the Subaccounts. TAM had not yet served as investment advisor to the Subaccounts and therefore had no historical performance related to the Subaccounts for the Boards to review. However, the Board examined the performance of funds managed by TAM with investment objectives, strategies and “manager of managers” arrangements comparable to those of the Subaccounts. The Board noted that those and other funds managed by TAM had generally performed competitively to benchmark indexes and mutual fund peers (as determined by Lipper Inc.). On the basis of the Board’s assessment of the nature, extent and quality of advisory services expected to be provided or procured by TAM, the Board concluded that TAM was capable of generating a level of investment performance that would be satisfactory and competitive with other investment companies, and also determined that TAM’s performance record with respect to the TAM Fund Family indicated that its management of the Subaccounts was likely to benefit all the Subaccounts and their holders.

The cost of advisory services provided and the level of profitability. The Board reviewed profitability information regarding TAM’s projected costs of procuring portfolio management services, as well as the costs of provision of administration, fund accounting and other services to the Subaccounts and to the TAM Fund Family as a whole. With regard to the advisory fees and total expenses of the Subaccounts, the Board Members noted that the advisory fees and expense ratios of the Subaccounts were expected to remain the same as a result of TAM’s appointment, and that TAM has undertaken to maintain any expense limitation and fee waiver arrangements currently in place for each of the Subaccounts. The Board members also reviewed and considered information relating to the costs of the services provided to the Subaccounts and the resulting potential profitability to TAM and its affiliates of the relationship with the Subaccounts, and determined that the same were reasonable and fair, and consistent with the best interests of holders.

Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Subaccounts grow. The Board noted that there were no breakpoints applicable to the Subaccounts’ current advisory fees. However, the Board concluded that the Subaccounts’ advisory fees appropriately reflected the Subaccounts’ size, the economic environment for TAM, and the competitive nature of the investment company market. The Board members noted that they would have the opportunity to periodically reexamine whether the Subaccounts have achieved economies of scale under the management of TAM, and the appropriateness of management fees payable to TAM, in the future. The Board members recognized that TAM may realize economies of scale based on certain consolidations and synergies of operations.

Benefits to TAM or its affiliates from their relationship with the Subaccounts. The Board concluded that other fall-out benefits derived by TAM and its affiliates from their relationships with the Subaccounts would be reasonable and fair, and consistent with industry practice and the best interests of the Subaccounts and their holders. The Board noted that TAM would not realize “soft dollar” benefits from its relationship with the Subaccounts. In addition, the Board members determined that any administration and fund accounting fees to

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)

December 31, 2007
(Unaudited)

be paid by the Subaccounts to affiliates of TAM were reasonable, fair and in the best interests of holders in light of the nature and quality of the services provided, the associated costs to these affiliates of providing the services, the impact of the costs of such services on the Subaccounts’ overall operating expenses, the necessity of the services for the Subaccounts’ operations, and the fact that they were identical to those currently paid by the Subaccounts to their current service providers.

Other considerations. The Board noted that the AEGON Group of Companies had indicated its intention to consolidate its investment advisory and oversight operations in TAM, and concluded that retention of TAM would best ensure continuity of management of the Subaccounts and offered potential scale efficiencies and marketing advantages in the future, which could benefit the Subaccounts and their holders. The Board determined that TAM was committed to the recruitment and retention of high quality personnel, and maintained the financial, compliance and operational resources reasonably necessary to manage the Subaccounts in a professional manner that would be consistent with the best interests of the Subaccounts and their holders. In this regard, the Board members noted TAM’s compliance program, including policies and procedures with respect to oversight of portfolio management activities. The Board members also determined that TAM would make a significant entrepreneurial commitment to the management and success of the Subaccounts, reflected by, among other things, TAM’s expense limitation and fee waiver arrangements with respect to the Subaccounts, the retention of certain Diversified personnel to help ensure continuity of management, and the steps it would be taking to integrate the Subaccounts in the TAM Fund Family.

After requesting and reviewing such information as they deemed necessary and discussing the same during meetings conducted by the Independent Board Members without management, TAM or Diversified personnel being present, the Board concluded that the proposed Advisory Agreements were in the best interests of the applicable Subaccounts and their holders. Accordingly, each Board determined to recommend that the holders of each Subaccount approve the Advisory Agreement applicable to such Subaccount. At a meeting held on October 30, 2007, each Advisory Agreement was approved by holders of the applicable Subaccount.

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
UNITHOLDERS MEETING RESULTS
(Unaudited)

There was a special meeting of holders of the Diversified Investors Strategic Variable Funds held at 4 Manhattanville Road, Purchase, New York 10577 on October 30, 2007. At the meeting, the proposals listed below were approved. The following is a report of the total votes cast by the holders of the Diversified Investors Strategic Variable Funds.


Proposal	For		Withheld
To elect a New Board
Leo J. Hill		59,072,784.119		1,111,925.581
Russell A. Kimball, Jr.		59,084,701.328		1,100,008.373
Norm R. Nielsen		59,086,577.189		1,098,132.511
John W. Waechter		59,084,701.328		1,100,008.373
Neal M. Jewell		58,341,689.062		1,843,020.639
Eugene M. Mannella		59,015,775.918		1,168,933.783
Joyce Galpern Norden		58,325,884.561		1,858,825.139
Patricia L. Sawyer		59,075,595.282		1,109,114.419
John K Carter		59,086,577.189		1,098,132.511


Proposal	For		Against		Abstain
To approve a new Investment Advisory Agreement with Transamerica Fund Advisors. Inc.
Intermediate Horizon Strategic Allocation Variable Fund		16,549,377.488		215,771.863		1,858,058.176
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,866,237.433		631,138.608		99,392.057
Short Horizon Strategic Allocation Variable Fund		5,035,532.637		166,110.780		763,090.658


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to borrowing
Intermediate Horizon Strategic Allocation Variable Fund		15,964,631.304		817,061.128		1,841,515.096
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,739,970.350		240,491.733		616,306.015
Short Horizon Strategic Allocation Variable Fund		5,145,375.834		166,110.780		653,247.461

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
UNITHOLDERS MEETING RESULTS (Continued)
(Unaudited)


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to senior securities
Intermediate Horizon Strategic Allocation Variable Fund		16,487,531.187		280,368.175		1,855,308.166
Intermediate/Long Horizon Strategic Allocation Variable Fund		35,540,063.927		1,081.612		55,622,560
Short Horizon Strategic Allocation Variable Fund		4,467,358.093		844,128.521		653,247.461


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to underwriting
Intermediate Horizon Strategic Allocation Variable Fund		16,491,643.362		282,244.036		1,849,320.130
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,744,070.795		236,391,288		616,306.015
Short Horizon Strategic Allocation Variable Fund		4,483,162.593		160,858.337		1,320,713,145


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to real estate
Intermediate Horizon Strategic Allocation Variable Fund		16,480,972.517		282,244.036		1,859,990.974
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,742,325.775		232,406.845		3622,035.478
Short Horizon Strategic Allocation Variable Fund		4,467,358.093		844,128.521		653,247.461

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
UNITHOLDERS MEETING RESULTS (Continued)
(Unaudited)


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to making loans
Intermediate Horizon Strategic Allocation Variable Fund		16,100,539.187		662,800.492		1,859,867,848
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,971,295.584		9,166.500		616,306.015
Short Horizon Strategic Allocation Variable Fund		4,477,910.150		844,128,521		642,695.405


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to concentration
Intermediate Horizon Strategic Allocation Variable Fund		16,099,581.137		660,924.631		1,862,701.760
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,971,295.584		9,166.500		616,306.015
Short Horizon Strategic Allocation Variable Fund		4,477,910.150		844,128.521		642,695.405


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to commodities
Intermediate Horizon Strategic Allocation Variable Fund		16,474.536.973		211,791.858		1,936,878.697
Intermediate/Long Horizon Strategic Allocation Variable Fund		35,308,738.694		232,406.845		55,622.560
Short Horizon Strategic Allocation Variable Fund		4,483,162.593		838,876.077		642,695.405

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
UNITHOLDERS MEETING RESULTS (Continued)
(Unaudited)


Proposal	For		Against		Abstain
To eliminate the fundamental investment policy relating to margin activities
Intermediate Horizon Strategic Allocation Variable Fund		16,466.550.648		222,339.576		1,934,317.304
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,738,341.332		236,391.288		622,035.478
Short Horizon Strategic Allocation Variable Fund		4,467,358.093		844,128.521		653,247.461


Proposal	For		Against		Abstain
To eliminate the fundamental investment policy relating to short selling
Intermediate Horizon Strategic Allocation Variable Fund		16,615,922.349		79,996.149		1,927,289.029
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,969,666.565		5,066.055		622,035.478
Short Horizon Strategic Allocation Variable Fund		4,467,358.093		844,128.521		653,247.461


Proposal	For		Against		Abstain
To eliminate the fundamental investment policy relating to pledging assets
Intermediate Horizon Strategic Allocation Variable Fund		15,970,231.924		806,571.574		1,846,404.029
Intermediate/Long Horizon Strategic Allocation Variable Fund		34,739,970.350		240,491.733		616,306.015
Short Horizon Strategic Allocation Variable Fund		4,477,910.150		844,128.521		642,695.405

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
UNITHOLDERS MEETING RESULTS (Continued)
(Unaudited)


Proposal	For		Against		Abstain
To eliminate the fundamental investment policy relating to futures and options transactions through investments in underlying funds
Intermediate Horizon Strategic Allocation Variable Fund		16,488,958.842		282,244.036		1,852,004.649
Intermediate/Long Horizon Strategic Allocation Variable Fund		35,308,738.694		232,406.845		55,622.560
Short Horizon Strategic Allocation Variable Fund		5,155,927.890		166,110.780		642,695.405

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
MANAGEMENT OF THE SEPARATE ACCOUNT
(Unaudited)

Managing Board Members and Officers

The Separate Account is governed by a Managing Board. Subject to the supervision of the Managing Board, the assets of each Subaccount are managed by the Advisor. The Managing Board is responsible for managing the business and affairs of the Separate Account and oversees the operation of the Separate Account by its officers. It also reviews the management of the Separate Account’s assets by the investment advisor. The respective Managing Board Members and officers of each Subaccount and their principal occupation during the past five years are set forth below. Their titles may have varied during that period. Additional information about the Managing Board Members may be found in the Statement of Additional Information, which is available without charge upon request by calling 1-800-755-5801. Information about the Managing Board Members and Officers to the Separate Account is as follows:


				Number of
				Funds
				in Fund
		Length of		Complex
	Position(s)	Time	Principal Occupation(s)	Overseen	Other Board
Name, Address* and Age**	Held	Served*	During Past Five Years	by Member	Memberships

Independent Trustees:**
Leo J. Hill (DOB: 3/27/56)	Managing Board Member	Since 2007	Principal, Advisor Network Solutions, LLC (business consulting) (2006 to present); Board Member, Diversified Investors Portfolios (“DIP”), The Diversified Investors Funds Group (“DIFG”), The Diversified Investors Funds Group II (“DIFG II”) and Diversified Investors Strategic Variable Funds (“DISVF”) (2007 to present); Trustee, Transamerica IDEX Mutual Funds (“TA IDEX”) (2002 to present); Director, Transamerica Income Shares, Inc. (“TIS”) (2002 to present); Trustee, AEGON/Transamerica Series Trust (“ATST”) (2001 to present); Owner and President, Prestige Automotive Group (2001 to 2005); President, L. J. Hill & Company (1999 to present)	160	None
Neal M. Jewell (DOB: 2/12/35)	Managing Board Member	Since 1993	Retired (2004 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Board Member, DIP, DIFG, DIFG II and DISVF (1993 to present); Independent Trustee, EAI Select Managers Equity Fund (mutual fund) (1996 to 2004).	160	None
Russell A. Kimball, Jr. (DOB: 8/17/44)	Managing Board Member	Since 2007	Board Member, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2002 to present); Director, TIS (2002 to present); Trustee, ATST (1986 to present); General Manager, Sheraton Sand Key Resort (1975 to present).	160	None

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)


				Number of
				Funds
				in Fund
		Length of		Complex
	Position(s)	Time	Principal Occupation(s)	Overseen	Other Board
Name, Address* and Age**	Held	Served*	During Past Five Years	by Member	Memberships

Eugene M. Mannella (DOB: 2/1/54)	Managing Board Member	Since 1993	Self-employed consultant (2006 to present); President, Arapain Partners LLC (limited purpose broker-dealer) (1998 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Board Member, DIP, DIFG, DIFG II and DISVF (1994 to present); President, International Fund Services (alternative asset administration) (1993 to 2005).	160	None
Norm R. Nielsen (DOB: 5/11/39)	Managing Board Member	Since 2007	Retired (2005 to present); Board Member, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2006 to present); Director, TIS (2006 to present); Trustee, ATST (2006 to present); Director, Iowa City Area Development (1996 to 2004); Director, Iowa Health Systems (1994 to 2003); Director, U.S. Bank (1987 to 2006); President, Kirkwood Community College (1979 to 2005).	160	Buena Vista University Board of Trustees (2004 to present)
Joyce Galpern Norden (DOB: 6/1/39)	Managing Board Member	Since 1993	Retired (2004 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP (2002 to present); Board Member, DIFG, DIFG II, and DISVF (1993 to present); Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996 to 2004).	160	Board of Governors, Reconstructionist Rabbinical College (2007 to present)
Patricia L. Sawyer (DOB: 7/1/50)	Managing Board Member	Since 1993	Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Board Member, DIP, DIFG, DIFG II, and DISVF (1993 to present); President and Executive Search Consultant, Smith & Sawyer LLC (consulting) (1989 to present).	160	None
John W. Waechter (DOB: 2/25/52)	Managing Board Member	Since 2007	Board Member, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2005 to present); Director, TIS (2004 to present); Trustee, ATST (2004 to present); employee, RBC Dain Rauscher (securities dealer) (March 2004 to May 2004); Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979 to 2004); Treasurer, The Hough Group of Funds (1993 to 2004).	160	None

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)


				Number of
				Funds
				in Fund
		Length of		Complex
	Position(s)	Time	Principal Occupation(s)	Overseen	Other Board
Name, Address* and Age**	Held	Served*	During Past Five Years	by Member	Memberships

Interested Board Member:****
John K. Carter (DOB: 4/24/61)	Managing Board Member	Since 2007	President and Chief Executive Officer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Board Member, DIP, DIFG, DIFG II, and DISVF (October 2007 to present); Trustee (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Chief Compliance Officer, General Counsel and Secretary (1999 to August 2006), TA IDEX; Trustee (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Chief Compliance Officer, General Counsel and Secretary (1999 to August 2006), ATST; Director (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (2002 to June 2006), General Counsel, Secretary and Chief Compliance Officer (2002 to August 2006), TIS; President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Director (2000 to present), General Counsel and Secretary (2000 to August 2006), Chief Compliance Officer (2004 to August 2006), TFAI; President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Director (2001 to present), General Counsel and Secretary (2001 to August 2006), (“TFS”); Vice President, AFSG Securities Corporation (2001 to present); Chief Executive Officer (July 2006 to present), Vice President, Secretary and Chief Compliance Officer (2003 to August 2006), Transamerica Investors, Inc. (“TII”); Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (2002 to 2004); Vice President, Transamerica Investment Services, Inc. (“TISI”) (2003 to 2005) and Transamerica Investment Management, LLC (“TIM”) (2001 to 2005).	160	None

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)


		Length of
		Time	Principal Occupation(s)
Name, Address* and Age**	Position(s) Held	Served†	During the Past Five Years

Officers
John K. Carter (DOB: 4/24/61)	Chief Executive Officer and President	Since 2007	See the table above.
Dennis P. Gallagher (DOB: 12/19/70)	Vice President, General Counsel and Secretary	Since 2007	Vice President, General Counsel and Secretary, TA IDEX, ATST and TIS (September 2006 to present); Vice President, General Counsel and Secretary, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Vice President and Secretary, TII (September 2006 to present); Director, Senior Vice President, General Counsel and Secretary, TFAI and TFS (September 2006 to present); Director, Deutsche Asset Management (1998 to 2006).
Elizabeth L. Belanger (DOB: 1/7/72)	Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer	Since 2005	Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer, TII (November 2007 to present); Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer, TA IDEX, ATST and TIS (July 2007 to present); Deputy General Counsel and Conflicts of Interest Officer (August 2007 to present), Assistant Secretary (August 2005 to present), DIP, DIFG, DIFG II and DISVF; Vice President and Senior Counsel, Diversified (with Diversified since 2005); Director, TFLIC (April 2006 to present); Director of Compliance, Domini Social Investments LLC (November 2003 to May 2005); Associate, Bingham McCutchen LLP (September 1997 to October 2003).
Joseph P. Carusone (DOB: 9/8/65)	Vice President, Treasurer and Principal Financial Officer	Since 2001	Vice President, Treasurer and Principal Financial Officer, TII (November 2007 to present); Vice President, Treasurer and Principal Financial Officer, TA IDEX, ATST and TIS (July 2007 to present); Vice President (August 2007 to present), Treasurer and Principal Financial Officer (2001 to present), DIP, DIFG, DIFG II and DISVF; Senior Vice President, Diversified (since 1999); President, Diversified Investors Securities Corp. (“DISC”) (February 2007 to present); Director, TFLIC (2004 to present).

DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)


		Length of
		Time	Principal Occupation(s)
Name, Address* and Age**	Position(s) Held	Served†	During the Past Five Years

Christopher A. Staples (DOB: 8/14/70)	Vice President and Chief Investment Officer	Since 2004	Vice President and Chief Investment Officer, TII (November 2007 to present); Vice President (July 2007 to present), Chief Investment Officer (June 2007 to present), Senior Vice President (June 2007 to July 2007), Senior Vice President — Investment Management (July 2006 to June 2007), Vice President — Investment Management (2004 to July 2006), TA IDEX, ATST and TIS; Vice President and Chief Investment Officer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Director, TFAI and TFS (2005 to present); Assistant Vice President, Raymond James & Associates (1999 to 2004).
Rick Resnik (DOB: 1/24/67)	Chief Compliance Officer	Since 2004	Chief Compliance Officer, TA IDEX, ATST, and TIS (January 2008 to present); Chief Compliance Officer, DIP, DIFG, DIFG II and DISVF (2004 to present); Vice President and Chief Compliance Officer, Diversified (with Diversified since 1998); Director, Vice President and Chief Compliance Officer, DISC (June 1999 to present)
Michael A. Masson (DOB: 1/21/71)	Assistant Treasurer	Since 2007	Assistant Treasurer, TII (November 2007 to present); Assistant Treasurer (July 2007 to present), Assistant Vice President (2005 to present), TA IDEX, ATST and TIS; Assistant Treasurer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Assistant Vice President, ATST and TIS (2005 to present); Assistant Vice President, TII (2005 to present); Assistant Vice President, TFS and TFAI (2005 to present); Assistant Vice President, JPMorgan Chase & Co. (1999 to 2005).
Suzanne Valerio- Montemurro (DOB: 8/13/64)	Assistant Treasurer	Since 2002	Assistant Treasurer, the Trust (November 2007 to present); Assistant Treasurer, TA IDEX, ATST and TIS (July 2007 to present); Assistant Treasurer, DIP, DIFG, DIFG II and DISVF (August 2002 to present); Vice President, Diversified (with Diversified since 1998).


*		Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns or his or her term as a Board Member is terminated in accordance with applicable procedures.
**		Independent Board Member (“Independent Board Member”) means a trustee who is not an “interested person” (as defined under the 1940 Act) of the Trust (the “Independent Board Member”).
***		The mailing address of each Board Member and Officer is 570 Carillon Parkway, St. Petersburg, Florida 33716.
****		May be deemed an “interested person” (as that term is defined in Section 2(a)(19) of the 1940 Act) of the Separate Account because of his employment with the Advisor or an affiliate of the Advisor.
†		If an officer has held offices for different Funds for different periods of time, the earliest applicable date is shown.

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DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW

December 31, 2007
(Unaudited)

Please note that any performance figures discussed below represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.divinvest.com for performance information current to the most recent month-end. The return provided for a particular issuer held by a Series represents the return from the security for the actual period held by the Series, which may be shorter than the twelve-month reporting period.

Money Market Series

In 2007, the Money Market Series returned 5.17% for the year, outdistancing the 4.74% return of its benchmark, the Citigroup Treasury Bill 3-month Index. The year was dominated by fallout from the sub-prime mortgage crisis, which led to a massive downgrading of hundreds of securities and a shying away from risky assets. A flight to the safety of U.S. Treasuries pushed interest rates downward and credit spreads wider. The yield difference between three-month LIBOR (an interest rate at which banks can borrow funds, in marketable size, from other banks in the London inter-bank market) and three-month Treasury Bills (a short-term debt obligation backed by the U.S. government with a maturity of less than one year), known as the TED spread, ended 2007 at roughly +146 basis points (1.46 percentage points), down from a peak of 240 basis points in late August, but much higher than the year-earlier level of 35 basis points.

The Federal Reserve’s three interest rate cuts in the fall brought the federal funds rate down a full percentage point. As interest rates fell, the yield curve steepened. Three-month T-bill rates fell 177 basis points during the year to end at 3.24% while 10-year Treasury note yields fell 68 basis points to finish at 4.02%. After virtually shutting down in the third quarter, asset-backed commercial paper showed some signs of recovery late in the year as spreads started to stabilize. In the flight to quality that characterized the second half of the year, money market funds attracted $720 billion in new investments, reaching an all-time high of $3.1 trillion.

The Series maintained its strong focus on the highest rated securities, but lengthened its average duration to 46 days at year-end from 40 days at the end of the third quarter. This included an increase in allocation to 91-180-day maturities, from 11% in the third quarter to 34% at year-end. The Series also exited all asset-backed commercial paper in the final quarter, while substantially increasing its exposure to U.S. government securities. Bank-issued securities dominated the portfolio, with 62% of the Series’ allocation at year-end.

High Quality Bond Series

The High Quality Bond Series returned 5.34% for the year, lagging the 7.32% return of the Merrill Lynch 1-3 Year Treasury Index but outpacing the 4.87% return of the Morningstar Short Term Bond Universe Median.

The year began with short-duration bonds outperforming duration-neutral Treasuries. Mortgage-backed securities contributed significantly to the Series’ performance. During the second quarter, a widening in yield spreads and increased volatility in most bond sectors detracted from returns. The third quarter was a difficult one for non-Treasury investment grade bond sectors. The sub-prime mortgage market imploded, and a sharp increase in risk aversion led to a liquidity crisis in the bond market for several weeks in August. Treasury bonds rallied and the spreads on all other sectors widened substantially. As the quarter ended, a degree of normalcy returned to bond markets, but the fourth quarter continued to be challenging. A flight to quality continued, as concerns increased about consumer weakness and the possibility of a recession.

Although absolute returns were very strong in the third and fourth quarters, non-Treasury investment grade bonds underperformed duration-neutral Treasuries. Asset-backed securities (ABS) continued to experience unprecedented spread widening and underperformed Treasuries, but the Series’ ABS holdings performed well

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW (Continued)

December 31, 2007
(Unaudited)

relative to the overall ABS market. The corporate sector continued to face significant turbulence, with several financial firms taking additional write-downs and making changes in leadership. The banking and brokerage sub-sectors were among the weakest performers. Among commercial mortgage-backed securities, the underwriting standards for deals underwritten before 2005 were stronger than the standards used in more recent deals. Consequently, the managers favored investing in the older, more seasoned deals and have begun to benefit from the market recognizing the higher-quality underwriting in its valuation of these deals. The implied government guarantee helped residential mortgage-backed securities compared to other spread sectors, which did not hold up as well under the increased pressure of negative headlines.

Inflation-Protected Securities Series

The Inflation-Protected Securities Series returned 8.45% for the eight months from May 1, 2007 to year-end, outperforming the 8.14% return of the Lehman U.S. Treasury Inflation-Protected Securities Index over the same period. The Inflation-Protected Securities Series returned 10.16% for the year. Prior to May 1, 2007, the Series’ mandate was an Intermediate Government Bond Series and performance prior to that date is not necessarily reflective of the Series’ current strategy. The Series returned 1.58% for the first four months of the year, trailing the 1.98% return of the Lehman Brothers Intermediate Government Bond Index.

The steepening of the yield curve started in the 1st quarter of 2007 and continued all year. Because of this, the longer duration government bonds trailed the intermediate government bonds even with interest rates falling. The Series benefited from the Series’ yield-curve positioning; however, performance was hurt by exposure to asset-backed securities and commercial mortgage-backed securities. The Series’ duration was neutral for the period.

In the spring, inflation appeared to be slowing despite rises in energy prices. Because U.S. real interest rates appeared fair and breakeven interest rate spreads approached multi-year lows across the yield curve, the Series benefited from a short duration stance in May and exposure to the more attractive European real rates along with a U.S. yield curve steepening strategy in June.

In the third quarter, with inflation expectations seeming too high based on the slowing economy, the Series was marginally short duration and exited yield curve steepening trades. Performance was enhanced by the Series’ U.S. yield curve positioning, but it was held back by a small mortgage-backed securities exposure as well as corporate and non-dollar bonds.

In the fourth quarter, the Series’ performance was given a substantial lift from its short duration stance. Detracting slightly from performance were non-dollar exposure and holdings in mortgage-backed and asset-backed securities and corporate bonds.

Core Bond Series

The Core Bond Series returned 6.67% for the year, trailing the 6.96% return of the Lehman Aggregate Bond Index but outpacing the 5.20% return of the Morningstar Intermediate Term Bond Universe Median. In a turbulent and challenging year in the fixed income markets, the Series was able to avoid some of the market dislocation created as a result of the sub-prime mortgage crisis and the ensuing credit crunch.

The year began innocuously enough, but with some signs of credit problems looming and the Federal Reserve caught between concerns with inflation and a possible slowing economy. In the third quarter, the credit crunch hit very suddenly, with a quick drying out of liquidity in the bond market. The Fed finally took action to reassure

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW (Continued)

December 31, 2007
(Unaudited)

markets and restore liquidity. A flight to quality caused Treasury bonds to rally and yield spreads on all other sectors to widen dramatically.

Throughout it all, the Series tactically traded both duration and yield curve positioning, moving quarter by quarter — from a short duration relative to the index to a modestly long duration with a yield curve flattening bias in the second quarter, and then to a modestly short duration and a yield curve steepening bias through the last half of the year. Overall, the Series was hurt by its exposure to mortgage-backed securities, including commercial mortgage-backed securities, and by its small exposure to non-dollar bonds. However, the Series added to its performance through positive duration and curve positioning in the third and fourth quarters. Looking ahead, the Series’ managers are seeking opportunities to add high-quality assets, such as commercial mortgage-backed securities, asset-backed securities, and collateralized mortgage obligations.

Total Return Bond Series

The Total Return Bond Series returned 3.81% for the year, trailing the 6.96% return of the Lehman Aggregate Bond Index and the 5.20% return of the Morningstar Intermediate Term Bond Universe Median. It was a turbulent and challenging year in the fixed income markets, and the Series was affected by the market dislocation that occurred as a result of the sub-prime mortgage collapse and the ensuing credit crunch. The Series’ performance was hurt by an overweight exposure to the mortgage-backed bond sector, as spreads widened and volatility surged. Performance was also held back by an emphasis on lower-quality credits as yield spreads spiked in the wake of the sub-prime lending crisis. On a positive note, tactically driven duration positioning contributed modestly as bond yields rallied. And a curve-steepening strategy paid off as the spread between the two- and 10-year yields widened during the year.

The Series’ managers continue to run a slightly long duration position as a hedge against deeper economic dislocation and ongoing volatility in non-Treasury bonds. The Series is also hedged against the possibility of rising inflation concerns through a moderate allocation to Treasury inflation-protected securities. As a further hedge, the Series added duration to short-term bonds in the belief the yield curve would steepen should the Federal Reserve ease interest rates more aggressively. At year-end, the Series’ largest sector overweight was in mortgage-backed securities, particularly agency pass-throughs, as they are insulated from default risk and have traditionally performed well during periods of slowing growth.

High Yield Bond Series

The High Yield Bond Series returned 2.02% for the year, trailing the 2.19% return of the Merrill Lynch High Yield Master II Index but slightly outpacing the 1.81% return of the Morningstar High Yield Bond Universe Median. Credit selection was the primary reason for the Series’ performance.

Security selection was a positive in the automotive and auto parts sector and in transportation ex air/rail. In addition to sidestepping the losses incurred in automotive and auto parts securities within the benchmark, the Series benefited from a substantially underweighted position in the sector. In transportation ex air/rail, the Series had outstanding results, surpassing the benchmark sector’s returns by more than 23%, but the impact on Series’ performance was muted by the sector’s modest weighting in both the portfolio and benchmark.

Sector allocation also had a positive impact overall. In addition to the Series’ gain from underweighting the weak auto sector, it benefited from its minimal exposure to the deeply troubled homebuilders/real estate sector. Only partly offsetting this were overweighted positions in two relatively weak sectors — super retail and gaming. The negative aspects of an underweight to energy were offset by strong performance in holdings within the sector.

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW (Continued)

December 31, 2007
(Unaudited)

The Series’ major focus on B-rated bonds was constructive as they had above-benchmark returns and the portfolio’s holdings outperformed those in the high yield benchmark. Performance was boosted by the Series’ strong credit selection within intermediate duration bonds.

Balanced Series

The Balanced Series returned 1.79% for the year underperforming the 6.22% return of the hybrid benchmark, 60% S&P 500 Index and 40% Lehman Brothers Aggregate Index, and the 6.16% return of the Morningstar Moderate Allocation Universe Median. The Series’ equity portion had slim gains and trailed the benchmark S&P 500 Index. Weak stock selection detracted from performance almost across the board. Results were disappointing in the weak financials sector, but holdings in the information technology, energy, consumer staples, health care, telecommunication services and utilities sectors all trailed their benchmark sectors. Only industrials stocks outperformed their benchmark sector. Sector allocation had only a marginally negative impact on Series performance.

It was a turbulent and challenging year in the fixed income markets, and the Series’ fixed income portion was affected by the market dislocation that occurred as a result of the sub-prime mortgage collapse and the ensuing credit crunch. Performance was hurt by an overweight exposure to the mortgage-backed securities sector, as spreads widened and volatility surged. Performance was also held back by an emphasis on lower-quality credits as yield spreads spiked in the wake of the sub-prime lending crisis.

The Series’ managers continue to run a slightly long duration position as a hedge against deeper economic dislocation and ongoing volatility in non-Treasury bonds. The Series is also hedged against the possibility of rising inflation concerns through a moderate allocation to Treasury inflation-protected securities. As a further hedge, the Series added duration to short-term bonds in the belief the yield curve would steepen should the Federal Reserve ease interest rates more aggressively. At year-end, the Series’ largest sector overweight was in mortgage-backed securities, particularly agency pass-throughs, as they have historically been more insulated from default risk and have traditionally performed well during periods of slowing growth.

Value & Income Series

The Series lost 1.75% for the year, trailing the -0.17% return of the Russell 1000 Value Index and the 1.87% return of the Morningstar Large Value Universe. The Series’ underperformance relative to its large-capitalization value benchmark was primarily due to poor stock selection, particularly in the consumer discretionary sector. This was partially offset by positive performance in the information technology and industrials sectors relative to the benchmark. Sector allocation was also a slightly negative factor overall, with an overweighted position in the weak consumer discretionary sector and underweights in the strong energy and utilities sectors. On the other hand, a significantly underweighted position in the financials sector helped relative returns.

Large-cap financial stocks sold off precipitously last year, particularly those with direct exposure to the sub-prime mortgage market. These included Citigroup (-45%), Merrill Lynch & Co. (-41%) and Federal National Mortgage Association (Fannie Mae) (-30%). Citigroup and Merrill reported multi-billion-dollar mortgage-related losses and needed to record massive write-downs late in the year. Fannie Mae, which regulates the flow of U.S. mortgage funds, came crashing down in November thanks to the U.S. housing market’s growing problems and the much tighter credit market. Consumer electronics retailer Circuit City (-76%) was hit hard by a slowdown in the sales of flat screen and projection televisions and an overall loss of market share.

Oil giants Chevron Corp. (31%), Exxon Mobil (24%), and ConocoPhillips (25%) all had highly profitable years and their shareholders were rewarded. Holding large amounts of all three stocks helped the Series to partly offset

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW (Continued)

December 31, 2007
(Unaudited)

the negative impact of losses in financials. Booming sales and higher profit margins due to soaring oil prices boosted the performance of all three stocks.

Value Series

The Series lost 11.06% for the year, trailing the 0.17% loss of the Russell 1000 Value Index and the 1.87% return of the Morningstar Large Value Universe. The Series’ poor performance relative to its benchmark was due in equal part to stock selection and sector allocation. By far the most damaging element was stock selection within the consumer discretionary sector. The financials sector was another area where the Series’ holdings lagged the benchmark’s results. Partly offsetting these areas of disappointment were positive stock selection in utilities and information technology. The portfolio was also underweight the energy sector, which gained 32% in the benchmark index. Performance was further held back by a large overweighted position in the weak consumer discretionary sector. Several stocks that had the worst impact on performance were related to the sub-prime mortgage meltdown and its subsequent drag on residential home construction and home financing. Long-term holdings, Centex (-55%), Pulte Homes (-68%) and Lennar Corp. (-61%) were adversely affected by the sharp decline in the housing market. Within the financial sector, Washington Mutual (-68%), one of the largest home lenders sold off dramatically in the fourth quarter. In addition to lost business and the need to boost loan loss provisions related to mortgage business, Washington Mutual shares fell on the news that the New York state attorney general was investigating the firm for inflated home appraisals.

Computer software giant Microsoft (21%) performed well, with strong profits and sales, including its Xbox video game system. Flowserve Corp. (99%), a manufacturer of industrial pumps and valves, that serves the booming oil and gas industry among others, exceeded expectations on very strong global sales growth. Diversified insurance firm Unum Group (16%) was rewarded for consistently exceeded income forecasts.

Growth & Income Series

The Series gained 2.11% for the year, lagging the 5.50% return of the S&P 500 Index and the 12.86% return of the Morningstar Large Growth Universe Median. The Series’ relative underperformance primarily came from poor stock selection in the financials, information technology and consumer staples sectors. Although the Series’ energy holdings gained 24.8% overall, they lagged the 34.4% return of the energy sector within the benchmark. That was offset only slightly by better performance relative to the benchmark within the industrials and materials sectors. Sector allocation had only a minor negative impact, with that coming from a slight overweight in the weak consumer discretionary sector and a minor underweight in consumer staples, a sector that performed well.

Financial services firms sold off dramatically last year, with many hurting from direct or even indirect exposure to the downtrodden sub-prime mortgage market. Both Washington Mutual (-68%) and Citigroup (-45%) were caught in that downdraft. Washington Mutual was also the subject of a probe into its home appraisals, which were alleged to be artificially high. Telecommunications firm Sprint Nextel (-30%) suffered from a mix of poor operational execution and strong competition. Time Warner (-23%), the large media company, saw its stock price fall partly as a result of slow growth and increased competition in the cable industry.

Diversified oil giant Exxon Mobil (24%) enjoyed a strong year thanks to soaring oil prices, booming sales and healthy profit margins. Computer and consumer electronics firm Apple (133%) had a spectacular year, with strong sales in its line of Mac computers on top of the huge popularity of its iPods and iPhones. Computer software maker Microsoft (21%) performed well also, with strong profits and sales, including its Xbox video game system.

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW (Continued)

December 31, 2007
(Unaudited)

Equity Growth Series

The Series advanced 12.25% for the year, outpacing the 11.81% return of the Russell 1000 Growth Index but trailing the 12.86% return of the Morningstar Large Growth Universe Median. The Series owed its performance to strong stock selection, some of which was offset by poor sector allocation. The three sectors where stock picking made the greatest positive impact were energy, materials and consumer discretionary. In materials and energy, the Series had returns of 70% and 57%, respectively, compared to benchmark gains of 39% in each of those sectors. Stock selection was also strong in telecommunications services, but that sector had a limited impact on performance because of a portfolio weighting of less than 2%. The Series lost some ground because of overweighted positions in the poor performing telecommunications and consumer discretionary sectors and underweights in the more robust consumer staples and information technology sectors.

Computer and consumer electronics firm Apple (133%) had a spectacular year, with strong sales in its line of Mac computers on top of the huge popularity of its iPods and iPhones. Agricultural firm Monsanto (114%) had very healthy sales growth, as it benefited from strong global demand for corn-based ethanol. Oilfield services company Schlumberger (57%) had consistently strong revenues and income in a very robust industry. Search engine firm Google (50%) continued to outperform expectations, recording yet another very positive year. The company also increased its revenue and net income by acquiring several companies and forming new partnerships.

Cable provider Comcast Corp (-35%) was hurt by slower subscriber growth and competition from telephone companies. Toyota Motor Corp. (-21%) had a successful year in sales, surpassing Ford as the number two car seller in the United States, but this was not reflected in its stock price. Biotechnology leader Genentech (-17%) suffered from disappointing sales growth, increased competition and concerns about political obstacles relating to generic drugs.

Aggressive Equity Series

The Series returned 28.50% for the year, easily outpacing the 11.81% return of the Russell 1000 Growth Index and the 12.86% return of the Morningstar Large Growth Universe Median. The Series owed its performance to strong stock selection. Performance was significantly stronger than the benchmark in seven sectors — industrials, health care, consumer discretionary, financials, information technology, materials and telecommunications services. The two most notable contributing sectors were industrials and health care. In industrials, the Series notched a gain of 60% vs. the benchmark sector’s 14% return. In health care, the Series’ holdings outperformed the sector’s representation within the index by 29%. In terms of absolute performance, materials was the leading sector by far, with an astounding 105% gain. However, materials had little impact on the Series’ overall performance because of a very minor (2.3%) weighting.

Computer and consumer electronics firm Apple (133%) contributed handsomely, benefiting from strong sales in its line of Mac computers as well as the huge popularity of its iPods and iPhones. Intuitive Surgical (238%), a manufacturer of robotic arm surgical instruments, enjoyed very strong year-over-year growth in profit and revenues. Solar power product provider Sunpower Corp (250%) benefited from very rapid sales and profits growth as it continued to fire on all cylinders. Similarly, First Solar Inc. (157%), a manufacturer of solar modules to convert sunlight into electricity, experienced very dynamic bottom-line and top-line growth. Search engine firm Google (50%) continued to outperform expectations, recording yet another very positive year. The company also increased its revenue and net income by acquiring several companies and forming new partnerships.

Akamai Technologies (-36%), which supports the delivery of content and applications over the Internet, was punished by the market despite strong growth in profits and sales. Varian Semiconductor (-29%), a supplier of

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW (Continued)

December 31, 2007
(Unaudited)

processing equipment used in manufacturing semiconductors, saw its stock price slide in late October after not meeting earnings expectations. Nutri/System (-32%), which markets a weight loss system, lost ground as its earnings forecast shrunk due to hefty competition.

Mid-Cap Value Series

The Series gained 2.62% for the year, outperforming the -1.42% return of the Russell Midcap Value Index and the 0.97% return of the Morningstar MidCap Value Universe Median. The Series’ strong relative performance was due to good stock selection in several sectors as well as positive sector allocation. The greatest impact in both factors was exhibited in the financials and industrials sectors. Stock selection was also positive in the utilities and information technology sectors. The only sectors where poor stock selection detracted notably from performance were energy and materials. Even there, however, absolute returns were positive. Energy holdings gained 31% compared with 46% in the benchmark, while materials stocks gained 20% overall in the portfolio compared with 27% in the benchmark index.

The Series benefited from an overweighted position in industrials, which had decent market performance, and an underweight in financials, which was the weakest sector in 2007 because of fallout related to the sub-prime mortgage crisis. There was a slight drag on performance caused by underweighted positions in the energy and the materials sectors, which also did well.

Aerospace supplier Goodrich Corp. (57%) enjoyed strong sales of its aerospace components along with improved operating efficiencies, both of which led to higher profits. Trane Inc. (47%), formerly American Standard Companies, a manufacturer of heating, ventilation and air conditioning (HVAC) systems, received a boost from its announced acquisition by diversified industrial firm Ingersoll-Rand. Energy marketer PPL Corp. (49%) benefited from higher profit margins in the robust energy sector. Aircraft manufacturer Textron (54%) soared to higher profits with a tailwind of greater demand in its helicopter and jet aircraft business.

Like so many other financial services firms, MBIA (-74%) sold off dramatically from the sub-prime mortgage debacle. The stock of semiconductor company LSI Corp. (-41%) slid when LSI announced substantial restructuring costs after acquiring a rival chip-maker, Agere Systems. IStar Financial (-42%), a commercial real estate finance firm, was hurt by reduced earnings expectations related to the overall downturn in the real estate industry.

Mid-Cap Growth Series

The Mid-Cap Growth Series gained 30.42% for the year, strongly outpacing the 11.42% return of the Russell Midcap Growth Index and the 14.68% return of the Morningstar Mid Cap Growth Universe Median. The Series profited from outstanding stock selection, which was only slightly offset by sub-par sector allocation. The most dramatic gains due to stock picking were made in the industrials sector, along with consumer discretionary, health care, materials and, to a lesser degree, financials and information technology. Consumer staples was the only sector where stock selection hurt returns. The two places where sector allocation held back returns were an underweight in the top-performing energy sector and an overweighted position in the weak consumer staples sector.

Intuitive Surgical (238%), a manufacturer of robotic arm surgical instruments, enjoyed very strong year-over-year growth in profit and revenues. Owens-Illinois (132%), a glass container maker, benefited from strong sales, better-than-expected profit margins and favorable currency exchange rates. Cameron International (81%), an oil and gas industry equipment supplier, saw its stock rise steadily as demand for its equipment rose due to an increase in drilling and production activities. Chicago Bridge & Iron (122%), an engineering and construction company, logged higher profits, building on strong demand from the oil and gas industry. First Solar (170%), a manufacturer of solar modules to convert sunlight into electricity, experienced very dynamic bottom-line and top-line growth.

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW (Continued)

December 31, 2007
(Unaudited)

Clearwire Corp. (-50%), which provides wireless broadband connectivity, fell because of heavy expenses that overrode strong revenue growth. Phillips Van Heusen (-31%), an apparel maker, tumbled because of softening consumer demand. Varian Semiconductor (-26%), a supplier of processing equipment used in manufacturing semiconductors, saw its stock price slide in late October after not meeting earnings expectations.

Small-Cap Value Series

The Series lost 7.74% for the year, but was ahead of the 9.77% decline in the Russell 2000 Value Index. The Morningstar Small Cap Value Universe Median was down 6.41% for the year. The year was an unfavorable one within the small-capitalization value segment, as it trailed all other U.S. stock market segments. The Series’ relative performance came equally from stock picking and sector allocation. The Series outperformed the index in the consumer discretionary, information technology and financials sectors, due largely to stock selection. However, it lagged in the materials and consumer staples sectors. In materials, the Series’ holdings underperformed the benchmark sector, but the impact was minimized by the portfolio’s small allocation to the sector. However, this underweighted position within the strong-performing materials sector (24% benchmark return) hurt results from a sector allocation perspective. This was partly offset by an underweight in the troubled financials sector and an overweight in health care, which was in good condition for the quarter.

Generic drug-maker Perrigo (104%) gained from posting a higher profit and having a patent suit for a heartburn drug settled by a partner firm. United Industrial (60%), an aerospace and defense supplier, benefited from strong sales and its acquisition by Textron. Exponent (45%), an engineering consulting firm, enjoyed very strong revenue growth in a number of its businesses and improved profit margins.

Pantry (-44%), a convenience store chain, announced disappointing earnings for the year and subsequently sold-off. Syneron Medical (-51%), which provides non-invasive aesthetic medical products, stumbled late in the year on the delayed launch of a cellulite treatment system and an anti-wrinkle applicator. Mannatech (-56%), a nutritional supplement maker, was weakened by a lawsuit from the Texas attorney general, claiming it had used deceptive trade practices.

Special Equity Series

The Series lost 4.49% for the year, trailing the Russell 2000 Index, which had a 1.57% decline and the Morningstar Small Cap Blend Universe Median of -1.77%. The Series’ underperformance was mainly due to weak stock selection as well as mildly unfavorable sector allocation. Stock selection was a negative factor in the health care, industrials and information technology sectors. However, good performance relative to the index helped in the financials and materials sectors. Unfortunately, the impact of a 54% return within the materials sector — compared with 26% in the benchmark — was quite small because of the portfolio’s modest weighting in that sector. That underweighting detracted from performance from a sector allocation viewpoint as did an overweighted position in the volatile financials sector.

Two financials holdings were among the Series’ biggest losers — RAIT Financial Trust (-71%) and E* Trade Financial (-78%). RAIT, a real estate investment trust, was hurt by its exposure to faulty collateralized debt obligations tied to American Home Mortgage, a bankrupt home lender. E*Trade, an online brokerage, saw its price decline after announcing higher loan loss provisions and slower business growth. Nutri/System (-57%), which markets a weight loss system, lost ground as its earnings forecast shrunk due to an unfavorable competitive landscape. Shares of Quiksilver (-46%), a sportswear and sporting goods company, sold-off in December on a loss due to charges related to discontinued operations and forecasts of challenges that lie ahead.

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT REVIEW (Continued)

December 31, 2007
(Unaudited)

Fertilizer makers CF Holdings (178%) and Terra Industries (163%) benefited greatly from strong global demand and U.S. subsidies for corn production to be used for ethanol. Crocs (70%), the maker of popular footwear, saw its revenue and profit increase rapidly as global demand for its products was very strong.

Small-Cap Growth Series

The Series returned 8.64% for the year, outpacing the 7.04% gain of the Russell 2000 Growth Index as well as the 7.99% gain of the Morningstar Small Cap Growth Universe Median. The Series’ outperformance was largely due to favorable stock selection. Two sectors — industrials and information technology — were almost entirely responsible for the outperformance. Holdings in the industrials sector returned 19.6% for the Series compared with 10.1% for the benchmark sector. Similarly, the portfolio’s information technology holdings out gained those in the benchmark 14.0% to 7.8% Adding to these strong gains were slightly positive stock selection in the health care and consumer staples sectors. These were partly negated by relatively weak results in the materials and financials sectors.

Aquantive Inc. (152%) an online advertising firm, gained substantially when it was acquired by Microsoft in August. FTI Consulting (121%), a global business consulting firm, had strong growth in revenues, reflecting its aggressive global growth stemming from a number of foreign acquisitions and increased demand for its services. Priceline.com (163%), an online travel firm, was rewarded for greatly exceeding expectations. M&F Worldwide (158%), a provider of checks and operational services in the banking industry, gained from its merger with check provider Harland.

Wet Seal (-65%), a teen clothing retailer, registered a loss as a result of weak same-store sales in a challenging retail sales environment. LJ International (-61%), a marketer of gemstones, stumbled on news of several class action lawsuits filed against the firm for issuing false and misleading statements. Digital River (-40%) a provider of global e-commerce services, fell on delays of the launch of Symantec’s global subscription business and other business slowdowns or delays.

International Equity Series

The International Equity Series gained 11.69% for the year, trailing the 12.92% return of the MSCI World ex-US Index and the 12.32% return of the Morningstar Foreign Large Blend Universe Median. The year was a good one for international stocks generally, with the majority of countries in the index posting positive returns. Notable exceptions were Ireland and Japan; both countries were hurt late in the year by their large exposure to the financial sector. It was an outstanding year for emerging markets, as well, with the MSCI Emerging Markets Index posting a 36.48% gain for 2007.

While the Series does have some exposure to the emerging markets, the primary driver of returns was strong stock selection across multiple countries and sectors. On a relative basis, the portfolio benefited from strong performance in the information technology and the industrial sectors. Within the information technology sector, portfolio holdings returned 32.35% versus 11.07% for the benchmark holdings. These returns were largely driven by Nokia (+75.12%), Nintendo (+134.23%) and an out-of-benchmark position in Research in Motion (+166.24%).

Within the industrial sector, portfolio holdings returned 29.65% versus 17.87% for the benchmark. Notable positions in this sector included Vestas Wind Systems (+156.28%) and Suntech Power Holdings (+77.35%).

On a somewhat more negative note, the Series’ holdings in the consumer discretionary sector detracted from returns on both an absolute and a relative basis. The Series’ holdings returned -1.95%, while the benchmark’s positions returned 5.08%. Arcandor AG (-26.83%), Germany’s largest department store chain accounted for much of this underperformance, as did positions in Sony Corp (-10.62%) and Porsche Auto (-7.12%).

(This page intentionally left blank)

DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2007


			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)	$	879,815,045	$	894,562,680	$	156,101,970
Repurchase agreements (cost equals market value)		165,334,138		14,024,289		6,413,422
Cash at broker		—		—		—
Foreign currency holdings, at value (cost $4,992 and $27,137,049, respectively)		—		—		5,100
Receivable for securities sold		—		—		10,901,807
Receivable for principal paydowns		—		43,386		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—		—		—
Swap contracts, at value		—		—		—
Variation margin receivable		—		—		5,487
Interest receivable		5,944,892		6,726,909		1,208,707
Dividends receivable		—		—		—
Foreign tax reclaim receivable		—		—		—
Receivable from Advisor		—		—		14,932
Receivable from securities lending (net)		—		19,255		—

Total assets		1,051,094,075		915,376,519		174,651,425

Liabilities:
Due to Advisor		—		—		—
Due to Custodian		—		—		7,170
Due to Broker for swap contracts		—		—		—
Collateral for securities out on loan		—		81,761,901		15,142,100
Payable for securities purchased		—		—		10,397,288
Securities sold short, at value (proceeds $167,288,668)		—		—		—
Written options, at value (premium $123,969, $198,268 and $75,443, respectively)		—		—		—
Swap contracts, at value (premium received $345,011)		—		—		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—		—		6,102
Variation margin payable		—		—		—
Accrued investment advisory fees		220,650		248,126		43,999
Accrued expenses		77,320		75,253		41,370
Contingent liability (Note 6)		—		—		—

Total liabilities		297,970		82,085,280		25,638,029

Net assets	$	1,050,796,105	$	833,291,239	$	149,013,396


Securities, at cost	$	879,815,045	$	892,751,400	$	150,910,949


(1)	Formerly, Intermediate Government Bond. Name changed May 1, 2007 (Note 1).

See notes to financial statements.


		Total		High
Core		Return		Yield				Value &
Bond		Bond		Bond		Balanced		Income		Value


$	2,299,237,280	$	468,421,691	$	502,812,747	$	352,104,405	$	3,342,054,313	$	143,669,446
	39,004,146		43,753,077		27,708,526		1,057,415		66,991,506		6,665,697
	—		2,055,237		—		1,587,089		—		—

	27,203,788		—		—		—		—		—
	248,771,408		7,369,805		—		386,437		32,385,567		—
	46,169		91,511		—		16,792		—		—
	70,805		40,602		—		22,557		—		—
	42,696,671		—		—		—		—		—
	—		—		—		—		—		—
	16,726,969		2,987,086		10,627,278		1,089,420		31,441		1,700
	—		1,137		—		227,904		4,337,802		174,462
	—		—		—		—		49		—
	—		8,155		—		14,810		—		1,158
	8,120		7,709		—		—		—		1,036

	2,673,765,356		524,736,010		541,148,551		356,506,829		3,445,800,678		150,513,499


	—		—		—		—		6,925		—
	—		—		—		247,304		50,155		—
	3,800,000		—		—		—		—		—
	20,483,129		24,138,321		—		11,679,276		206,427,670		8,440,760
	209,593,811		108,965,468		2,108,812		24,900,559		72,787,602		404,913
	167,626,566		—		—		—		—		—

	94,937		450,797		—		176,031		—		—
	21,389,076		—		—		—		—		—
	471,898		94,190		—		38,541		—		—
	581,820		628,564		—		620,330		—		—
	663,017		114,205		251,529		123,747		1,221,683		60,444
	181,586		56,969		61,192		85,858		281,868		41,456
	—		—		—		—		—		—

	424,885,840		134,448,514		2,421,533		37,871,646		280,775,903		8,947,573

$	2,248,879,516	$	390,287,496	$	538,727,018	$	318,635,183	$	3,165,024,775	$	141,565,926


$	2,281,775,217	$	473,414,435	$	525,640,666	$	341,237,658	$	2,998,961,495	$	169,516,747

DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)

December 31, 2007


	Growth &		Equity		Aggressive
	Income		Growth		Equity

Assets:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	946,180,668	$	2,464,365,656	$	455,758,068
Repurchase agreements (cost equals market value)		7,080,636		72,528,255		4,360,811
Foreign currency holdings, at value (cost $6,187,368)		—		—		—
Receivable for securities sold		—		21,722,339		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—		—		—
Interest receivable		6,592		20,230		4,211
Dividends receivable		1,005,684		2,859,801		113,165
Foreign tax reclaim receivable		—		238,683		15,799
Receivable from Advisor		—		—		—
Receivable from securities lending (net)		—		—		29,435

Total assets		954,273,580		2,561,734,964		460,281,489

Liabilities:
Due to Advisor		12,388		9,508		5,651
Due to Custodian		897,770		13,027		—
Collateral for securities out on loan		49,509,121		106,513,377		31,770,694
Payable for securities purchased		—		8,968,181		803,340
Unrealized depreciation on foreign currency forward contracts (Note 8)		—		10,710		—
Variation margin payable		10,325		—		—
Accrued investment advisory fees		469,420		1,296,358		279,878
Accrued expenses		112,735		162,950		48,932
Contingent liability (Note 6)		—		—		—

Total liabilities		51,011,759		116,974,111		32,908,495

Net assets	$	903,261,821	$	2,444,760,853	$	427,372,994


Securities, at cost	$	890,061,642	$	2,219,037,143	$	366,346,064

See notes to financial statements.


Mid-Cap		Mid-Cap		Small-Cap		Special		Small-Cap		International
Value		Growth		Value		Equity		Growth		Equity



$	1,099,544,561	$	380,091,021	$	223,213,189	$	1,147,956,807	$	196,521,383	$	2,385,206,044
	30,287,152		3,822,912		3,558,021		30,010,481		3,273,334		21,533,562
	—		—		—		—		—		6,203,030
	1,654,876		—		710,730		1,610,778		844,867		4,424,124
	—		—		—		—		—		9,468
	20,336		5,839		5,318		29,762		4,124		20,089
	2,344,422		65,401		440,828		1,446,767		57,074		1,687,194
	54		501		—		—		—		1,401,055
	7,272		—		17,240		—		8,738		—
	—		29,759		30,912		104,187		360		9,078

	1,133,858,673		384,015,433		227,976,238		1,181,158,782		200,709,880		2,420,493,644


	—		1,872		—		15,085		—		7,260
	9,868		—		—		—		—		—
	135,672,142		46,035,620		41,860,487		225,270,316		32,007,250		150,909,501
	9,338,587		543,267		809,735		4,886,850		1,719,104		3,499,738
	—		—		—		—		—		49,391
	—		—		—		4,950		—		—
	565,004		204,882		131,267		658,644		123,826		1,449,437
	95,862		40,888		38,144		125,474		42,379		516,803
	—		—		—		—		—		—

	145,681,463		46,826,529		42,839,633		230,961,319		33,892,559		156,432,130

$	988,177,210	$	337,188,904	$	185,136,605	$	950,197,463	$	166,817,321	$	2,264,061,514


$	1,098,641,825	$	312,482,061	$	241,655,247	$	1,166,574,840	$	186,550,985	$	1,995,795,084

DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2007


			High			Inflation-
	Money		Quality			Protected
	Market		Bond			Securities(1)

Investment income (Note 2):
Interest income	$	52,279,104	$	40,177,503		$	8,097,451
Securities lending income (net)		—		90,651			62,727
Dividend income		—		—			—
Less: foreign withholding taxes		—		—			—

Total income		52,279,104		40,268,154			8,160,178

Expenses (Note 2):
Investment advisory fees		2,470,667		2,964,178			504,521
Custody fees		179,609		181,861			43,215
Audit fees		25,088		27,454			29,683
Legal fees		9,790		8,171			23,001
Reports to shareholders		7,761		6,826			1,047
Other fees		25,520		21,536			3,416

Total expenses		2,718,435		3,210,026			604,883
Expenses reimbursed by the Advisor		—		—			(28,288	)

Net expenses		2,718,435		3,210,026			576,595

Net investment income (loss)		49,560,669		37,058,128			7,583,583

Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		—		(1,923,414	)		(68,196	)
Swap contracts		—		—			—
Futures		—		—			881,554
Written options		—		—			(25,193	)
Foreign currency transactions		—		—			16,933
Change in net unrealized appreciation (depreciation) on:
Securities		—		8,617,100			5,178,149
Futures		—		—			40,010
Written options		—		—			—
Short sales		—		—			—
Swap contracts		—		—			—
Foreign currency translations		—		—			(5,995	)

Net realized and unrealized gains (losses) on investments		—		6,693,686			6,017,262

Net increase (decrease) in net assets resulting from operations	$	49,560,669	$	43,751,814		$	13,600,845


(1)		Formerly, Intermediate Government Bond. Name changed May 1, 2007 (Note 1).

See notes to financial statements.


			Total
Core			Return			High Yield						Value &
Bond			Bond			Bond			Balanced			Income			Value


$	112,094,674		$	15,173,349		$	46,317,717		$	8,350,574		$	2,632,712		$	280,605
	74,235			80,148			—			40,660			427,366			106,684
	—			7,735			243,164			3,974,776			73,276,270			2,667,441
	—			—			—			—			(117,479	)		(3,791	)

	112,168,909			15,261,232			46,560,881			12,366,010			76,218,869			3,050,939


	7,565,607			979,640			2,991,943			1,652,426			15,877,576			739,305
	575,304			134,139			132,256			213,450			630,520			56,150
	28,073			31,637			28,307			30,013			28,326			31,700
	22,050			3,999			9,977			4,850			284,180			2,365
	17,554			1,821			4,291			734			28,086			1,009
	53,835			5,700			13,932			10,943			100,217			3,444

	8,262,423			1,156,936			3,180,706			1,912,416			16,948,905			833,973
	—			(37,347	)		—			(76,387	)		(935	)		(20,757	)

	8,262,423			1,119,589			3,180,706			1,836,029			16,947,970			813,216

	103,906,486			14,141,643			43,380,175			10,529,981			59,270,899			2,237,723



	1,613,025			2,491,296			2,952,445			23,853,101			217,908,338			11,397,018
	(6,958,491	)		—			—			—			—			—
	(10,986,521	)		(138,634	)		—			(1,229,894	)		—			—
	601,920			253,229			—			156,168			—			—
	(671,561	)		6,799			—			5,836			—			—

	34,725,558			(4,902,953	)		(36,569,793	)		(25,339,060	)		(321,315,389	)		(32,193,627	)
	(557,797	)		(492,038	)		—			(194,590	)		—			—
	48,766			(255,269	)		—			(105,594	)		—			—
	(1,274,030	)		—			—			—			—			—
	18,346,702			—			—			—			—			—
	1,510,940			(62,108	)		—			(26,976	)		—			32

	36,398,511			(3,099,678	)		(33,617,348	)		(2,881,009	)		(103,407,051	)		(20,796,577	)

$	140,304,997		$	11,041,965		$	9,762,827		$	7,648,972		$	(44,136,152	)	$	(18,558,854	)

DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS (Continued)

For the Year Ended December 31, 2007


	Growth &			Equity			Aggressive
	Income			Growth			Equity

Investment income (Note 2):
Interest income	$	453,592		$	2,082,446		$	134,566
Securities lending income (net)		199,992			302,329			358,933
Dividend income		17,606,844			28,915,602			1,987,378
Less: foreign withholding taxes		(17,130	)		(330,191	)		(17,624	)

Total income		18,243,298			30,970,186			2,463,253

Expenses (Note 2):
Investment advisory fees		6,367,153			15,336,383			2,956,916
Custody fees		297,734			494,404			111,974
Audit fees		26,854			27,889			27,500
Legal fees		19,043			33,863			3,780
Reports to shareholders		8,747			20,639			2,585
Other fees		30,195			68,269			10,949

Total expenses		6,749,726			15,981,447			3,113,704
Expenses reimbursed by the Advisor		(2,107	)		(1,414	)		(41,955	)

Net expenses		6,747,619			15,980,033			3,071,749

Net investment income (loss)		11,495,679			14,990,153			(608,496	)

Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		107,079,379			348,335,738			61,547,685
Swap contracts		—			—			—
Futures		118,470			—			—
Written options		—			—			—
Foreign currency transactions		—			117,775			—
Change in net unrealized appreciation (depreciation) on:
Securities		(89,665,034	)		(77,579,651	)		34,636,483
Futures		(22,990	)		—			—
Written options		—			—			—
Short sales		—			—			—
Swap contracts		—			—			—
Foreign currency translations		623			2,387			—

Net realized and unrealized gains (losses) on investments		17,510,448			270,876,249			96,184,168

Net increase (decrease) in net assets resulting from operations	$	29,006,127		$	285,866,402		$	95,575,672

See notes to financial statements.


Mid-Cap			Mid-Cap			Small-Cap			Special			Small-Cap			International
Value			Growth			Value			Equity			Growth			Equity


$	1,317,466		$	312,310		$	280,488		$	1,111,559		$	57,938		$	1,093,309
	285,000			306,043			439,591			1,741,484			134,044			737,929
	20,231,843			1,024,150			4,089,362			13,240,171			618,115			74,291,655
	(68,542	)		(3,554	)		—			—			—			(5,494,989	)

	21,765,767			1,638,949			4,809,441			16,093,214			810,097			70,627,904


	7,044,321			2,249,015			1,787,887			9,060,023			1,467,190			17,026,492
	248,583			60,142			46,392			412,328			61,450			2,491,766
	21,702			23,298			23,477			30,015			13,708			30,375
	23,893			4,447			21,732			22,428			9,973			28,476
	10,065			1,721			1,500			2,175			371			18,190
	29,580			8,651			6,045			31,890			4,741			63,765

	7,378,144			2,347,274			1,887,033			9,558,859			1,557,433			19,659,064
	(18,406	)		(4,698	)		(33,735	)		(2,600	)		(39,650	)		(1,288	)

	7,359,738			2,342,576			1,853,298			9,556,259			1,517,783			19,657,776

	14,406,029			(703,627	)		2,956,143			6,536,955			(707,686	)		50,970,128



	107,279,128			53,287,127			12,414,521			128,170,653			18,244,723			308,594,249
	—			—			—			—			—			—
	—			—			—			(282,395	)		—			—
	—			—			—			—			—			—
	(579	)		—			—			—			—			(291,865	)

	(98,285,078	)		30,493,595			(30,333,479	)		(174,038,203	)		(4,729,580	)		(116,188,288	)
	—			—			—			78,107			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			75,039

	8,993,471			83,780,722			(17,918,958	)		(46,071,838	)		13,515,143			192,189,135

$	23,399,500		$	83,077,095		$	(14,962,815	)	$	(39,534,883	)	$	12,807,457		$	243,159,263

DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS

For the Year Ended December 31, 2007


				High			Inflation-
	Money			Quality			Protected
	Market			Bond			Securities(1)

From operations:
Net investment income (loss)	$	49,560,669		$	37,058,128		$	7,583,583
Net realized gains (losses) on transactions from:
Securities		—			(1,923,414	)		(68,196	)
Swap contracts		—			—			—
Futures		—			—			881,554
Written options		—			—			(25,193	)
Foreign currency transactions		—			—			16,933
Change in net unrealized appreciation (depreciation) on:
Securities		—			8,617,100			5,178,149
Futures		—			—			40,010
Written options		—			—			—
Short sales		—			—			—
Swap contracts		—			—			—
Foreign currency translations		—			—			(5,995	)

Net increase (decrease) in net assets resulting from operations		49,560,669			43,751,814			13,600,845

From transactions in investors’ beneficial interests:
Contributions		2,954,349,154			284,629,480			72,255,744
Withdrawals		(2,879,054,327	)		(312,713,241	)		(87,524,361	)

Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		75,294,827			(28,083,761	)		(15,268,617	)

Net increase (decrease) in net assets		124,855,496			15,668,053			(1,667,772	)
Net assets:
Beginning of year		925,940,609			817,623,186			150,681,168

End of year	$	1,050,796,105		$	833,291,239		$	149,013,396


(1)	Formerly, Intermediate Government Bond. Name changed May 1, 2007 (Note 1).

See notes to financial statements.


			Total			High
Core			Return			Yield						Value &
Bond			Bond			Bond			Balanced			Income			Value


$	103,906,486		$	14,141,643		$	43,380,175		$	10,529,981		$	59,270,899		$	2,237,723

	1,613,025			2,491,296			2,952,445			23,853,101			217,908,338			11,397,018
	(6,958,491	)		—			—			—			—			—
	(10,986,521	)		(138,634	)		—			(1,229,894	)		—			—
	601,920			253,229			—			156,168			—			—
	(671,561	)		6,799			—			5,836			—			—

	34,725,558			(4,902,953	)		(36,569,793	)		(25,339,060	)		(321,315,389	)		(32,193,627	)
	(557,797	)		(492,038	)		—			(194,590	)		—			—
	48,766			(255,269	)		—			(105,594	)		—			—
	(1,274,030	)		—			—			—			—			—
	18,346,702			—			—			—			—			—
	1,510,940			(62,108	)		—			(26,976	)		—			32

	140,304,997			11,041,965			9,762,827			7,648,972			(44,136,152	)		(18,558,854	)


	568,414,773			333,268,808			201,336,632			87,795,282			819,077,669			102,985,023
	(537,661,703	)		(74,659,704	)		(174,702,497	)		(158,457,872	)		(1,148,860,468	)		(44,143,149	)


	30,753,070			258,609,104			26,634,135			(70,662,590	)		(329,782,799	)		58,841,874

	171,058,067			269,651,069			36,396,962			(63,013,618	)		(373,918,951	)		40,283,020

	2,077,821,449			120,636,427			502,330,056			381,648,801			3,538,943,726			101,282,906

$	2,248,879,516		$	390,287,496		$	538,727,018		$	318,635,183		$	3,165,024,775		$	141,565,926

DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

For the Year Ended December 31, 2007


	Growth &			Equity			Aggressive
	Income			Growth			Equity

From operations:
Net investment income (loss)	$	11,495,679		$	14,990,153		$	(608,496	)
Net realized gains (losses) on transactions from:
Securities		107,079,379			348,335,738			61,547,685
Swap contracts		—			—			—
Futures		118,470			—			—
Written options		—			—			—
Foreign currency transactions		—			117,775			—
Change in net unrealized appreciation (depreciation) on:
Securities		(89,665,034	)		(77,579,651	)		34,636,483
Futures		(22,990	)		—			—
Written options		—			—			—
Short sales		—			—			—
Swap contracts		—			—			—
Foreign currency translations		623			2,387			—

Net increase (decrease) in net assets resulting from operations		29,006,127			285,866,402			95,575,672

From transactions in investors’ beneficial interests:
Contributions		165,902,628			418,682,402			153,288,730
Withdrawals		(450,667,179	)		(786,705,407	)		(204,159,316	)

Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(284,764,551	)		(368,023,005	)		(50,870,586	)

Net increase (decrease) in net assets		(255,758,424	)		(82,156,603	)		44,705,086
Net assets:
Beginning of year		1,159,020,245			2,526,917,456			382,667,908

End of year	$	903,261,821		$	2,444,760,853		$	427,372,994

See notes to financial statements.


Mid-Cap			Mid-Cap			Small-Cap			Special			Small-Cap			International
Value			Growth			Value			Equity			Growth			Equity


$	14,406,029		$	(703,627	)	$	2,956,143		$	6,536,955		$	(707,686	)	$	50,970,128

	107,279,128			53,287,127			12,414,521			128,170,653			18,244,723			308,594,249
	—			—			—			—			—			—
	—			—			—			(282,395	)		—			—
	—			—			—			—			—			—
	(579	)		—			—			—			—			(291,865	)

	(98,285,078	)		30,493,595			(30,333,479	)		(174,038,203	)		(4,729,580	)		(116,188,288	)
	—			—			—			78,107			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			75,039

	23,399,500			83,077,095			(14,962,815	)		(39,534,883	)		12,807,457			243,159,263


	375,357,719			87,068,838			55,225,734			275,074,602			53,591,068			730,849,563
	(347,554,214	)		(142,866,090	)		(91,443,032	)		(496,898,715	)		(54,584,208	)		(811,099,785	)


	27,803,505			(55,797,252	)		(36,217,298	)		(221,824,113	)		(993,140	)		(80,250,222	)

	51,203,005			27,279,843			(51,180,113	)		(261,358,996	)		11,814,317			162,909,041

	936,974,205			309,909,061			236,316,718			1,211,556,459			155,003,004			2,101,152,473

$	988,177,210		$	337,188,904		$	185,136,605		$	950,197,463		$	166,817,321		$	2,264,061,514

DIVERSIFIED INVESTORS PORTFOLIOS

STATEMENTS OF CHANGES IN NET ASSETS

For the Year Ended December 31, 2006


				High			Inflation-
	Money			Quality			Protected
	Market			Bond			Securities(1)

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


(1)		Formerly, Intermediate Government Bond. Name changed May 1, 2007 (Note 1).

See notes to financial statements.


			Total			High
Core			Return			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

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 2P)		—			—			—
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.


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

MONEY MARKET PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Principal			Value

		Commercial Paper — 11.9%
$	51,310,000	Bank of America Corp., 4.87%, 04/15/08	$	50,581,932
	29,890,000	ING Funding LLC (US), 5.45%, 01/07/08		29,862,849
	44,740,000	JPMorgan Chase & Company, 4.95%, 04/01/08		44,180,191

		Total Commercial Paper (Cost $124,624,972)		124,624,972

		Domestic Certificates of Deposit — 4.2%
	21,880,000	Citibank NA, 4.90%, 01/24/08		21,880,000
	21,880,000	Citibank NA, 4.68%, 04/24/08		21,880,000

		Total Domestic Certificates of Deposit (Cost $43,760,000)		43,760,000

		Yankee Certificates of Deposit — 38.0%
	32,090,000	BNP Paribas — New York Branch, 4.68%, 04/28/08		32,090,000
	42,230,000	Barclays Bank PLC, 5.25%, 03/03/08		42,230,000
	46,500,000	Calyon — New York Branch, 5.33%, 01/15/08		46,500,000
	10,440,000	Canadian Imperial Bank, 4.90%, 05/22/08		10,440,000
	37,730,000	Credit Suisse First Boston — New York Branch, 5.20%, 04/14/08		37,730,000
	36,000,000	Deutsche Bank AG — New York Branch, 4.70%, 02/04/08		36,000,000
	40,000,000	Dexia Credit Local SA, 4.83%, 02/08/08		40,000,000
	15,370,000	Dresdner Bank AG — New York Branch, 5.30%, 01/10/08		15,370,000
	43,000,000	Fortis Bank — New York Branch, 4.77%, 01/31/08		43,000,000
	17,170,000	Rabobank Nederland, 4.59%, 04/09/08		17,170,000
	17,170,000	Rabobank Nederland, 4.50%, 05/09/08		17,170,000
	25,275,000	Societe Generale New York, 5.20%, 02/04/08		25,275,000
	18,280,000	Toronto Dominion Bank, 4.80%, 03/13/08		18,280,000
	18,280,000	Toronto Dominion Bank, 4.70%, 05/13/08		18,280,000

		Total Yankee Certificates of Deposit (Cost $399,535,000)		399,535,000

		US Government Agency Securities — 14.4%
		Fannie Mae — 4.9%
	52,000,000	4.18%, 03/31/08		51,456,600

		Federal Home Loan Bank — 4.9%
	51,910,000	4.34%, 02/15/08		51,628,388

		Freddie Mac — 4.6%
	47,850,000	4.29%, 01/08/08		47,810,085

		Total US Government Agency Securities (Cost $150,895,073)		150,895,073

		Corporate Notes — 13.7%
	16,900,000	American Express Credit Corp., Series MTNB, Variable Rate, 5.35%, 03/05/08 (1)		16,900,000
	44,000,000	Bank of Montreal — Chicago Branch, Variable Rate, 5.20%, 06/06/08 (1)		44,000,000
	24,250,000	Merrill Lynch & Company, Inc., Variable Rate, 4.98%, 08/22/08 (1)		24,250,000
	33,850,000	Morgan Stanley, Series EXLS, Variable Rate, 5.35%, 06/02/08 (1)		33,850,000
	25,000,000	Societe Generale New York, Variable Rate, 4.63%, 03/27/08 (1)		25,000,000

		Total Corporate Notes (Cost $144,000,000)		144,000,000

		Time Deposit — 1.6%
	17,000,000	Royal Bank of Canada, 4.25%, 01/02/08 (Cost $17,000,000)		17,000,000

		Total Securities (Cost $879,815,045)		879,815,045

		Repurchase Agreements — 15.7%
	34,300,000	With Barclays Bank PLC, dated 12/31/07, 4.75%, due 01/02/08, repurchase proceeds at maturity $34,309,051 (Collateralized by Fannie Mae, 5.25%, due 03/24/15, with a value of $34,986,345)		34,300,000
	68,600,000	With Deutsche Bank, dated 12/31/07, 4.75%, due 01/02/08, repurchase proceeds at maturity $68,618,103 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 5.38%-5.79%, due 08/01/37-01/01/38, with a total value of $32,676,954, and various Freddie Mac Golds, 5.00%-6.50%, due 12/01/36-09/01/37, with a total value of $37,295,047)		68,600,000

See notes to financial statements.

MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Repurchase Agreements (continued)

$	62,434,138	With State Street Bank & Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $62,447,318 (Collateralized by US Treasury Note, 4.88%, due 04/30/08, with a value of $67,882,390)	$	62,434,138

		Total Repurchase Agreements (Cost $165,334,138)		165,334,138

		Total Investments — 99.5% (Cost $1,045,149,183)		1,045,149,183
		Other assets less liabilities — 0.5%		5,646,922

		Net Assets — 100.0%	$	1,050,796,105

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $1,045,149,183.

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

HIGH QUALITY BOND PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Principal			Value

		US Treasury Securities — 17.7%
		US Treasury Inflation Index — 0.6%
$	4,801,560	3.50%, 01/15/11	$	5,165,432

		US Treasury Notes — 17.1%
	10,000,000	4.88%, 05/31/08 (8)		10,064,070
	5,750,000	5.00%, 07/31/08		5,802,112
	91,875,000	4.63%, 07/31/09 (8)		94,042,699
	14,110,000	4.63%, 02/29/12		14,811,098
	16,870,000	4.63%, 07/31/12 (8)		17,718,780

				142,438,759

		Total US Treasury Securities (Cost $146,220,694)		147,604,191

		US Government Agency Securities — 16.7%
		Asset Backed: Mortgage and Home Equity — 11.9%
	5,113,859	Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26		5,065,235
	922,272	Fannie Mae, Series 2003-34, Class GT, 4.00%, 01/25/27		915,559
	2,550,000	Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26		2,506,899
	843,139	Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33		835,489
	565,392	Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25		558,783
	4,619,375	Fannie Mae, Series 2003-69, Class GJ, 3.50%, 12/25/31		4,449,354
	2,051,078	Fannie Mae, Series 2003-92, Class KQ, 3.50%, 06/25/23		2,034,003
	2,573,676	Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29		2,511,649
	4,119,888	Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16		4,071,415
	4,080,788	Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09		4,053,733
	2,116,069	Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09		2,115,424
	6,541,504	Freddie Mac, Series 2416, Class PE, 6.00%, 10/15/21		6,698,296
	739,263	Freddie Mac, Series 2454, Class BG, 6.50%, 08/15/31		748,079
	1,951,663	Freddie Mac, Series 2614, Class JA, 3.76%, 03/15/29		1,894,894
	4,760,394	Freddie Mac, Series 2625, Class JD, 3.25%, 07/15/17		4,586,983
	4,170,902	Freddie Mac, Series 2627, Class KP, 2.87%, 12/15/16		4,020,748
	4,814,619	Freddie Mac, Series 2630, Class HC, 4.00%, 01/15/17		4,741,337
	5,800,000	Freddie Mac, Series 2631, Class CD, 4.00%, 10/15/26		5,735,684
	4,956,161	Freddie Mac, Series 2637, Class A, 3.38%, 03/15/18		4,754,472
	3,734,324	Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16		3,679,622
	1,136,440	Freddie Mac, Series 2760, Class EA, 4.50%, 04/15/13		1,134,141
	1,651,448	Freddie Mac, Series 2782, Class HE, 4.00%, 09/15/17		1,627,549
	3,232,468	Freddie Mac, Series 3056, Class AP, 5.50%, 01/15/27		3,257,172
	7,688,221	Government National Mortgage Association, Series 2005-29, Class A, 4.02%, 07/16/27		7,596,118
	5,531,267	Government National Mortgage Association, Series 2006-67, Class A, 3.95%, 11/16/30		5,457,808
	6,632,017	Government National Mortgage Association, Series 2007-15, Class A, 4.51%, 10/16/28		6,609,475
	2,955,704	Government National Mortgage Association, Series 2007-34, Class A, 4.27%, 11/16/26		2,934,388
	4,901,247	Government National Mortgage Association, Series 2007-4, Class A, 4.21%, 06/16/29		4,859,400

				99,453,709

		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		4,962,340

		Fannie Mae — 2.1%
	3,800,000	5.00%, 09/15/08		3,828,102
	476,091	PL# 254062, 6.00%, 10/01/11		486,373

See notes to financial statements.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		US Government Agency Securities (continued)
		Fannie Mae (continued)

$	1,401,158	PL# 254754, 4.50%, 05/01/10	$	1,397,971
	1,868,707	PL# 254758, 4.50%, 06/01/13		1,875,225
	1,761,660	PL# 254807, 5.00%, 07/01/13		1,785,930
	3,496,443	PL# 254914, 4.50%, 09/01/13		3,508,686
	476,021	PL# 323743, 5.00%, 04/01/14		477,947
	258,507	PL# 429168, 6.00%, 05/01/13		265,066
	61,179	PL# 50903, 6.00%, 09/01/08		61,466
	102,791	PL# 50973, 6.00%, 01/01/09		103,272
	290,996	PL# 517699, 6.00%, 07/01/14		297,944
	835,671	PL# 545038, 6.00%, 09/01/14		858,411
	2,313,851	PL# 555154, 5.50%, 12/01/22		2,330,591
	38,330	PL# 609771, 6.00%, 09/01/08		38,557

				17,315,541

		Federal Home Loan Bank — 0.8%
	2,500,000	3.75%, 08/18/09		2,507,400
	4,278,878	Series 6T-9009, 3.84%, 11/25/09		4,245,115

				6,752,515

		Freddie Mac Gold — 1.1%
	98,543	PL# E00532, 6.50%, 02/01/13		102,045
	173,074	PL# E00542, 6.50%, 04/01/13		179,266
	463,461	PL# E00676, 5.50%, 06/01/14		469,553
	793,734	PL# E89557, 5.50%, 04/01/17		805,049
	2,523,510	PL# G40426, 5.50%, 03/01/11		2,553,274
	4,583,746	PL# M80812, 4.50%, 04/01/10		4,556,162
	536,109	PL# M90802, 4.00%, 03/01/08		534,291

				9,199,640

		Government National Mortgage Association — 0.2%
	1,477,786	PL# 436708, 5.75%, 12/15/22		1,510,428

		Total US Government Agency Securities (Cost $138,863,210)		139,194,173

		Corporate Bonds and Notes — 58.8%
		Banks and Financial Services — 11.4%
	5,000,000	American Express Bank FSB, Series BKNT, Floating Rate, 4.96%, 06/22/09 (3)		4,986,240
	4,330,000	Bank of America Corp., 7.13%, 03/01/09		4,425,420
	1,375,000	Bank of America Corp., 7.80%, 02/15/10		1,457,937
	7,100,000	Bank One Corp., 2.63%, 06/30/08		7,018,620
	5,000,000	Citigroup, Inc., 3.50%, 02/01/08		4,993,670
	3,475,000	Citigroup, Inc., 5.10%, 09/29/11		3,497,292
	6,155,000	Credit Suisse First Boston USA, Inc., 4.70%, 06/01/09		6,159,136
	2,500,000	General Electric Capital Corp., Series MTNA, 4.00%, 06/15/09		2,487,753
	10,200,000	General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09		10,178,438
	2,000,000	HBOS Treasury Services PLC — 144A (United Kingdom), 3.75%, 09/30/08		1,985,664
	3,250,000	Lehman Brothers Holdings, Inc., Series MTNG, 3.95%, 11/10/09		3,169,267
	4,000,000	Lehman Brothers Holdings, Inc., Series MTNI, Floating Rate, 5.48%, 01/12/12 (2)		3,766,720
	6,000,000	Merrill Lynch & Company, Inc., Series MTNC, 4.13%, 01/15/09		5,923,278
	6,125,000	Morgan Stanley, Series MTN, 5.63%, 01/09/12		6,236,187
	3,025,000	National City Bank, Series BKNT, 4.25%, 01/29/10		3,024,791
	5,675,000	SLM Corp., Series MTNA, 4.50%, 07/26/10		5,208,157
	2,800,000	The Goldman Sachs Group, Inc., 6.88%, 01/15/11		2,971,721
	4,000,000	The Goldman Sachs Group, Inc., Series MTNB, Floating Rate, 5.64%, 10/07/11 (2)		3,929,104
	3,630,000	US Bank NA, Series BKNT, 4.13%, 03/17/08		3,621,401
	3,125,000	Wachovia Corp., 5.63%, 12/15/08		3,119,634
	3,000,000	Wells Fargo & Company, 4.20%, 01/15/10		2,982,480
	4,500,000	Wells Fargo & Company, Floating Rate, 4.94%, 03/23/10 (2)		4,467,564

				95,610,474

		Consumer Goods and Services — 0.9%
	7,220,000	The Procter & Gamble Company — 144A, Floating Rate, 5.25%, 07/06/09 (2)		7,227,465

		Diversified Operations and Services — 0.4%
	3,825,000	Capmark Financial Group — 144A, 5.88%, 05/10/12		3,030,471

See notes to financial statements.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)

		Equipment Rental and Leasing — 1.0%
$	8,420,000	International Lease Finance Corp., Series MTNQ, 5.75%, 06/15/11	$	8,532,205

		Insurance — 2.0%
	11,000,000	Met Life Global Funding I — 144A, Series MTN, 5.75%, 07/25/11		11,573,969
	2,500,000	New York Life Global Funding — 144A, 3.88%, 01/15/09		2,486,120
	2,785,000	Prudential Financial, Inc., Series MTN, 3.75%, 05/01/08		2,769,696

				16,829,785

		Machinery — 0.3%
	2,000,000	Caterpillar, Inc., 7.25%, 09/15/09		2,094,366

		Pharmaceuticals/Research and Development — 0.3%
	2,525,000	Abbott Laboratories, 3.50%, 02/17/09		2,492,559

		Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 9.5%
	4,445,379	Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12		4,409,447
	2,500,000	BMW Vehicle Owner Trust, Series 2006-A, Class A4, 5.07%, 08/25/11		2,518,853
	684,017	Capital Auto Receivables Asset Trust, Series 2005-1, Class A4, 4.05%, 07/15/09		683,430
	40,003	Capital One Auto Finance Trust, Series 2005-BSS, Class A3, 4.08%, 11/15/09		39,998
	627,595	Capital One Auto Finance Trust, Series 2005-C, Class A3, 4.61%, 07/15/10		625,788
	2,818,761	Capital One Prime Auto Receivables Trust, Series 2004-3, Class A4, 3.69%, 06/15/10		2,801,263
	3,000,000	Capital One Prime Auto Receivables Trust, Series 2007-1, Class B1, 5.76%, 12/15/13		3,014,781
	2,718,649	Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11		2,696,747
	3,100,000	Carmax Auto Owner Trust, Series 2005-2, Class A4, 4.34%, 09/15/10		3,090,003
	312,971	Chase Manhattan Auto Owner Trust, Series 2004-A, Class CTFS, 2.58%, 09/15/10		311,300
	1,656,293	Chase Manhattan Auto Owner Trust, Series 2005-A, Class CTFS, 4.04%, 04/15/11		1,651,232
	2,000,000	Chase Manhattan Auto Owner Trust, Series 2006-A, Class A4, 5.36%, 01/15/13		2,024,569
	2,309,782	Chase Manhattan Auto Owner Trust, Series 2006-A, Class CTFS, 5.47%, 01/15/13		2,304,376
	3,200,000	Chase Manhattan Auto Owner Trust, Series 2006-B, Class A4, 5.11%, 04/15/14		3,240,213
	2,000,000	Daimler Chrysler Auto Trust, Series 2007-A, Class A3A, 5.00%, 02/08/12		2,018,789
	2,250,000	Ford Credit Auto Owner Trust, Series 2005-B, Class B, 4.64%, 04/15/10		2,250,481
	1,000,000	Ford Credit Auto Owner Trust, Series 2005-B, Class C, 4.83%, 08/15/10		1,002,064
	823,852	Ford Credit Auto Owner Trust, Series 2005-C, Class A3, 4.30%, 08/15/09		822,536
	3,800,000	Ford Credit Auto Owner Trust, Series 2005-C, Class B, 4.52%, 09/15/10		3,798,605
	1,000,000	Ford Credit Auto Owner Trust, Series 2007-A, Class B, 5.60%, 10/15/12		999,822
	1,381,294	Harley-Davidson Motorcycle Trust, Series 2004-1, Class A2, 2.53%, 11/15/11		1,362,035
	5,000,000	Hertz Vehicle Financing LLC — 144A, Series 2005-2A, Class A2, 4.93%, 02/25/10		5,012,406
	2,000,000	Hertz Vehicle Financing LLC — 144A, Series 2005-2A, Class A4, 5.01%, 02/25/11		2,019,310
	3,360,663	Honda Auto Receivables Owner Trust, Series 2006-1, Class A3, 5.07%, 02/18/10		3,366,265
	3,000,000	Hyundai Auto Receivables Trust, Series 2006-B, Class B, 5.19%, 05/15/13		2,995,598
	977,187	Long Beach Auto Receivables Trust, Series 2005-B, Class A3, 4.41%, 05/15/10		976,797

See notes to financial statements.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs (continued)

$	2,848,864	Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11	$	2,836,826
	1,783,147	Susquehanna Auto Lease Trust — 144A, Series 2005-1, Class B, 4.71%, 07/14/08		1,783,249
	4,000,000	Susquehanna Auto Lease Trust — 144A, Series 2005-1, Class C, 5.09%, 11/14/08		4,000,861
	2,351,630	Susquehanna Auto Lease Trust — 144A, Series 2007-1, Class A2, 5.32%, 04/14/09		2,358,216
	1,250,000	Susquehanna Auto Lease Trust — 144A, Series 2007-1, Class B, 5.31%, 07/14/10		1,247,342
	5,400,000	USAA Auto Owner Trust, Series 2007-2, Class A4, 5.07%, 06/15/13		5,457,937
	1,652,124	WFS Financial Owner Trust, Series 2004-1, Class A4, 2.81%, 08/22/11		1,650,428
	4,550,000	World Omni Auto Receivables Trust, Series 2006-B, Class A4, 5.12%, 06/15/12		4,603,540

				79,975,107

		Private Asset Backed: Banks and Financial Services — 4.8%
	5,000,000	Bank of America Credit Card Trust, Series 2007-A13, Class A13, Floating Rate, 5.25%, 04/16/12 (3)		4,999,212
	4,478,304	Caterpillar Financial Asset Trust, Series 2005-A, Class A4, 4.10%, 06/25/10		4,470,144
	3,000,000	Caterpillar Financial Asset Trust, Series 2006-A, Class B, 5.71%, 06/25/12		3,043,303
	4,675,000	Caterpillar Financial Asset Trust, Series 2007-A, Class A3A, 5.34%, 06/25/12		4,747,906
	2,049,675	Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18		2,037,295
	5,062,368	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A1, 4.79%, 04/10/37		5,039,699
	4,322,842	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A1, 5.74%, 07/10/38		4,377,080
	337,290	Morgan Stanley Capital I, Series 2003-T11, Class A1, 3.26%, 06/13/41		335,159
	3,754,082	Morgan Stanley Capital I, Series 2005-HQ5, Class A1, 4.52%, 01/14/42		3,726,084
	1,931,850	Morgan Stanley Capital I, Series 2005-HQ6, Class A1, 4.65%, 08/13/42		1,919,899
	4,342,987	Morgan Stanley Capital I, Series 2006-HQ10, Class A1, 5.13%, 11/12/41		4,352,163
	1,033,007	Public Service New Hampshire Funding LLC, Series 2001-1, Class A2, 5.73%, 11/01/10		1,036,981

				40,084,925

		Private Asset Backed: Credit Cards — 6.1%
	8,000,000	Cabela’s Master Credit Card Trust — 144A, Series 2006-3A, Class A1, 5.26%, 10/15/14		8,244,256
	7,000,000	Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.30%, 02/18/14		7,213,112
	5,000,000	Chase Issuance Trust, Series 2007-A15, Class A, 4.96%, 09/17/12		5,084,610
	8,000,000	Citibank Credit Card Issuance Trust, Series 2006-A4, Class A4, 5.45%, 05/10/13		8,270,869
	1,925,000	Citibank Credit Card Issuance Trust, Series 2006-B2, Class B2, 5.15%, 03/07/11		1,928,461
	8,940,000	GE Capital Credit Card Master Note Trust, Series 2006-1, Class A, 5.08%, 09/15/12		9,061,118
	3,000,000	GE Capital Credit Card Master Note Trust, Series 2007-3, Class B, 5.49%, 06/15/13		3,044,357
	8,300,000	MBNA Credit Card Master Note Trust, Series 2003-A11, Class A11, 3.65%, 03/15/11		8,252,107

				51,098,890

		Private Asset Backed: Mortgage and Home Equity — 9.2%
	1,058,657	American General Mortgage Loan Trust — 144A, Series 2006-1, Class A1, 5.75%, 12/25/35		1,052,505
	1,123,267	Banc of America Commercial Mortgage, Inc., Series 2003-2, Class A1, 3.41%, 03/11/41		1,113,628

See notes to financial statements.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	509,550	Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16	$	510,701
	1,115,252	Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35		1,103,168
	141,751	Bear Stearns Commercial Mortgage Securities, Inc., Series 2004-PWR5, Class A1, 3.76%, 07/11/42		141,216
	1,217,908	Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR9, Class A1, 4.50%, 09/11/42		1,208,035
	2,648,899	Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-T22, Class A1, 5.42%, 04/12/38		2,666,672
	7,000,000	Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW15, Class A2, 5.21%, 02/11/44		6,992,561
	3,111,718	Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A6, 4.43%, 10/25/14		2,992,486
	3,113,063	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A1, 5.05%, 07/15/44		3,109,918
	514,809	Commercial Mortgage Pass-Through Certificates, Series 2004-LB2A, Class A1, 2.96%, 03/10/39		509,373
	360,189	GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38		365,458
	4,468,776	GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A2, 5.99%, 12/10/35		4,548,203
	949,881	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A1, 4.01%, 06/10/48		938,937
	1,086,022	GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25		1,073,400
	6,330,514	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A1, 5.69%, 08/10/45		6,425,238
	551,537	Interstar Millennium Trust, Series 2003-3G, Class A2, (Australia), Floating Rate, 5.11%, 09/27/35 (2)		543,732
	950,036	Interstar Millennium Trust, Series 2004-2G, Class A, (Australia), Floating Rate, 5.26%, 03/14/36 (2)		951,271
	516,339	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34		513,309
	1,184,809	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A1, 4.61%, 10/15/42		1,177,071
	5,220,759	JPMorgan Mortgage Trust, Series 2006-S2, Class 1A17, 6.00%, 07/25/36		5,290,299
	1,066,323	LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27		1,062,671
	3,000,000	LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27		2,972,736
	3,350,000	LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27		3,341,752
	674,204	LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A1, 3.94%, 12/15/29		669,785
	3,000,000	Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35		2,947,932
	5,159,242	Structured Adjustable Rate Mortgage Loan, Series 2005-23, Class 1A3, 5.45%, 01/25/36		5,134,457
	5,476,238	Structured Adjustable Rate Mortgage Loan, Series 2006-1, Class 5A1, 5.25%, 02/25/36		5,463,915
	6,915,292	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8, Class 1A8, 5.50%, 10/25/35		6,903,734
	869,498	Wells Fargo Mortgage Backed Securities Trust, Series 2003-11, Class 1A1, 3.50%, 10/25/18		865,423
	4,248,061	Wells Fargo Mortgage Backed Securities Trust, Series 2005-9, Class 1A1, 4.75%, 10/25/35		4,162,220

				76,751,806

		Private Asset Backed: Other — 6.8%
	4,741,379	ALG Student Loan Trust — 144A, Series 2006-1A, Class A1, Floating Rate, 5.02%, 10/28/18 (2)		4,709,666
	873,501	Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33		828,827

See notes to financial statements.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Other (continued)

$	4,762,624	CIT Equipment Collateral, Series 2006-VT1, Class A3, 5.13%, 12/21/09	$	4,778,721
	6,500,000	CIT Equipment Collateral, Series 2006-VT1, Class A4, 5.16%, 02/20/13		6,542,738
	117,391	CIT RV Trust, Series 1998-A, Class A5, 6.12%, 11/15/13		117,470
	3,000,000	CNH Equipment Trust, Series 2006-B, Class B, 5.36%, 06/17/13		2,944,364
	2,000,000	CNH Equipment Trust, Series 2007-A, Class B, 5.09%, 06/16/14		1,954,771
	4,200,000	CNH Equipment Trust, Series 2007-B, Class A3A, 5.40%, 10/17/11		4,256,973
	1,123,499	Crusade Global Trust, Series 2004-2, Class A1, (Australia), Floating Rate, 5.03%, 11/19/37 (2)		1,124,162
	2,552,739	GE Equipment Midticket LLC, Series 2006-1, Class A2, 5.10%, 05/15/09		2,555,234
	1,906,153	Goal Capital Funding Trust, Series 2006-1, Class A1, Floating Rate, 5.02%, 08/25/20 (2)		1,896,156
	3,750,000	Great America Leasing Receivables — 144A, Series 2006-1, Class A3, 5.34%, 01/15/10		3,769,348
	8,000,000	John Deere Owner Trust, Series 2007-A, Class A4, 5.07%, 04/15/14		8,105,326
	3,501,000	Marlin Leasing Receivables LLC — 144A, Series 2006-1A, Class A4, 5.33%, 09/15/13		3,563,909
	9,250,000	Massachusetts RRB Special Purpose Trust, Series 1999-1, Class A5, 7.03%, 03/15/12		9,518,932

				56,666,597

		Private Asset Backed: Transportation — 0.8%
	2,073,025	E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18		2,024,593
	4,124,333	Railcar Leasing LLC — 144A, Series 1, Class A2, 7.13%, 01/15/13		4,266,561

				6,291,154

		Telecommunications Equipment and Services — 1.1%
	8,925,000	BellSouth Corp., 6.00%, 10/15/11		9,251,816

		Utilities — 4.2%
	6,725,000	Alabama Power Company, Series G, 5.38%, 10/01/08		6,745,497
	5,125,000	Consolidated Edison Company of New York, Inc., 4.70%, 06/15/09		5,150,492
	2,900,000	Dominion Resources, Inc., 4.13%, 02/15/08		2,896,233
	6,420,000	Exelon Generation Company LLC, 6.95%, 06/15/11		6,703,533
	3,195,000	Northern States Power Company — Minnesota, 6.88%, 08/01/09		3,297,195
	3,200,000	Northern States Power Company — Wisconsin, 7.64%, 10/01/08		3,259,450
	6,664,000	Ohio Edison, 4.00%, 05/01/08		6,636,811

				34,689,211

		Total Corporate Bonds and Notes (Cost $490,616,183)		490,626,831

		Foreign Government Obligations — 0.5%
	4,000,000	Province of Ontario (Canada), 5.50%, 10/01/08 (Cost $4,048,244)		4,031,728

		Municipal Bonds — 0.8%
		Texas
	6,350,000	Brazos Texas Higher Education Authority, Revenue Bond, Series A-5, 4.91%, 12/01/40 (Cost $6,281,539)		6,384,227

		Securities Lending Collateral — 9.8%
	81,761,901	Securities Lending Collateral Investment (Note 4) (Cost $81,761,901)		81,761,901

		Short Term US Government Agency Securities — 3.0%
		Federal Home Loan Bank
	10,000,000	4.34%, 01/10/08		9,989,150
	5,000,000	4.31%, 01/16/08		4,991,021
	10,000,000	4.35%, 01/18/08		9,979,458

		Total Short Term US Government Agency Securities (Cost $24,959,629)		24,959,629

		Total Securities (Cost $892,751,400)		894,562,680

See notes to financial statements.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Repurchase Agreements — 1.7%
$	14,024,289	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $14,027,250 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.44%-5.30%, due 04/01/33-08/01/33, with a total value of $14,304,846) (Cost $14,024,289)	$	14,024,289

		Total Investments — 109.0% (Cost $906,775,689)		908,586,969
		Liabilities less other assets — (9.0)%		(75,295,730	)

		Net Assets — 100.0%	$	833,291,239

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $906,775,689.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	5,947,550
Gross unrealized depreciation		(4,136,270	)

Net unrealized appreciation	$	1,811,280

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

INFLATION-PROTECTED SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS

December 31, 2007


Principal			Value

		US Treasury Securities — 91.3%
		US Treasury Inflation Index
$	1,898,126	3.88%, 01/15/09	$	1,954,774
	1,316,276	4.25%, 01/15/10		1,404,920
	8,304,159	0.88%, 04/15/10		8,278,865
	6,218,020	3.50%, 01/15/11		6,689,234
	12,641,366	2.38%, 04/15/11		13,180,609
	2,906,202	3.38%, 01/15/12		3,171,166
	2,470,968	2.00%, 04/15/12		2,561,699
	3,207,037	3.00%, 07/15/12		3,474,376
	6,307,548	1.88%, 07/15/13		6,501,707
	7,219,456	2.00%, 01/15/14 (8)		7,459,170
	9,964,156	2.00%, 07/15/14 (8)		10,298,115
	5,809,883	1.63%, 01/15/15		5,834,848
	6,788,249	1.88%, 07/15/15		6,921,366
	5,189,417	2.00%, 01/15/16		5,327,263
	817,263	2.50%, 07/15/16 (5)		871,790
	10,297,741	2.38%, 01/15/17		10,869,750
	11,560,195	2.38%, 01/15/25		12,140,020
	7,915,702	2.00%, 01/15/26		7,886,026
	7,112,071	2.38%, 01/15/27		7,523,242
	2,596,337	3.63%, 04/15/28		3,290,047
	7,065,982	3.88%, 04/15/29		9,351,389
	876,880	3.38%, 04/15/32		1,123,366

		Total US Treasury Securities (Cost $130,983,776)		136,113,742

		Corporate Bonds and Notes — 3.3%
		Banks and Financial Services — 0.7%
	900,000	SLM Corp., Series CPI, Floating Rate, 4.88%, 01/31/14 (3)		737,469
	420,000	The Bear Stearns Companies, Inc., Series CPI, Floating Rate, 4.56%, 03/10/14 (3)		376,425

				1,113,894

		Private Asset Backed: Credit Cards — 0.8%
	1,100,000	Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14		1,127,898

		Private Asset Backed: Mortgage and Home Equity — 1.8%
	389,362	Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 4.98%, 03/25/37 (3)		371,818
	695,000	GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Class A4, 4.55%, 12/10/41		689,844
	765,000	Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A4, Floating Rate, 5.27%, 12/15/44 (3)		766,960
	750,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4, Floating Rate, 5.74%, 05/15/43 (3)		775,714

				2,604,336

		Total Corporate Bonds and Notes (Cost $4,785,073)		4,846,128

		Securities Lending Collateral — 10.2%
	15,142,100	Securities Lending Collateral Investment (Note 4) (Cost $15,142,100)		15,142,100

		Total Securities (Cost $150,910,949)		156,101,970

		Repurchase Agreements — 4.3%
	6,413,422	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $6,414,776 (Collateralized by US Treasury Bill, 3.19%, due 02/28/08, with a value of $7,961,456) (Cost $6,413,422)		6,413,422

		Total Investments — 109.1% (Cost $157,324,371)		162,515,392
		Liabilities less other assets — (9.1)%		(13,501,996	)

		Net Assets — 100.0%	$	149,013,396

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $157,692,955.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	4,866,572
Gross unrealized depreciation		(44,135	)

Net unrealized appreciation	$	4,822,437

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

CORE BOND PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Principal			Value

		US Treasury Securities — 3.7%
		US Treasury Bonds — 0.7%
$	15,395,000	5.00%, 05/15/37 (8)	$	16,784,168

		US Treasury Inflation Index — 1.4%
	4,100,932	2.38%, 01/15/25		4,306,622
	24,055,688	2.38%, 01/15/27		25,446,419

				29,753,041

		US Treasury Notes — 0.9%
	4,320,000	4.25%, 09/30/12 (8)		4,472,889
	10,100,000	3.88%, 10/31/12		10,301,212
	5,000,000	3.38%, 11/30/12		4,984,770
	1,265,000	4.25%, 11/15/17		1,287,435

				21,046,306

		US Treasury Strips — 0.7%
	39,505,000	Zero coupon, 11/15/27		15,877,297

		Total US Treasury Securities (Cost $79,924,149)		83,460,812

		US Government Agency Securities — 43.0%
		Asset Backed: Mortgage and Home Equity — 1.5%
	22,579,027	Fannie Mae IO Strips, Series 360, Class 2, 5.00%, 08/01/35		5,569,255
	22,341,168	Fannie Mae IO Strips, Series 378, Class 4, 5.00%, 07/01/36		4,797,193
	2,686,647	Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29		2,742,138
	8,956,387	Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18		8,975,037
	5,327,756	Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34		5,321,307
	5,468,746	Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15		5,585,228

				32,990,158

		Asset Backed: US Government Agencies — 0.1%
	1,526,398	Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12		1,543,405
	1,880,494	Small Business Administration, Series 2004-P10A, Class 1, 4.50%, 02/10/14		1,824,947

				3,368,352

		Fannie Mae — 28.5%
	14,550,000	7.25%, 01/15/10		15,601,398
	14,850,000	4.63%, 06/01/10		15,182,343
	4,100,000	5.25%, 08/01/12		4,266,230
	10,200,000	4.63%, 05/01/13		10,366,393
	261,228	PL# 252571, 7.00%, 07/01/29		275,595
	3,968	PL# 252716, 7.00%, 09/01/29		4,187
	1,034	PL# 253264, 7.00%, 05/01/30		1,090
	858	PL# 253346, 7.50%, 06/01/30		916
	11,879	PL# 253479, 7.00%, 10/01/30		12,532
	27,278	PL# 253990, 7.00%, 09/01/16		28,399
	21,596	PL# 254008, 7.00%, 10/01/31		22,766
	316,799	PL# 254346, 6.50%, 06/01/32		327,559
	267,640	PL# 254406, 6.50%, 08/01/32		276,731
	12,830	PL# 255032, 5.50%, 12/01/18		13,027
	172,587	PL# 255950, 6.00%, 09/01/15		179,954
	475,196	PL# 256137, 6.00%, 02/01/16		495,985
	535,002	PL# 256335, 6.00%, 07/01/16		548,548
	78,837	PL# 256567, 7.00%, 01/01/37		82,035
	2,872,485	PL# 256936, 6.00%, 10/01/37		2,893,946
	711,499	PL# 323842, 5.50%, 07/01/14		721,472
	41,413	PL# 323967, 7.00%, 10/01/29		43,690
	2,142,630	PL# 357327, 5.00%, 01/01/18		2,148,124
	4,482	PL# 492742, 7.00%, 05/01/29		4,729
	1,663	PL# 503916, 7.50%, 06/01/29		1,778
	2,147	PL# 508415, 7.00%, 08/01/29		2,265
	8,832	PL# 515946, 7.00%, 10/01/29		9,318
	357	PL# 524164, 7.00%, 11/01/29		377
	110,895	PL# 524657, 7.00%, 01/01/30		116,988
	20,790	PL# 526053, 7.00%, 12/01/29		21,933
	406	PL# 527717, 7.50%, 01/01/30		434
	3,572	PL# 528107, 7.00%, 02/01/30		3,768
	1,290	PL# 531092, 7.50%, 10/01/29		1,380
	8,137	PL# 531497, 7.00%, 02/01/30		8,584
	6,381	PL# 531735, 7.00%, 02/01/30		6,732
	934	PL# 533841, 7.50%, 12/01/30		997
	20,863	PL# 535030, 7.00%, 12/01/29		22,011
	28,024	PL# 535103, 7.00%, 01/01/15		29,196
	7,959	PL# 535159, 7.00%, 02/01/30		8,397
	36,628	PL# 535195, 7.00%, 03/01/30		38,642
	10,511	PL# 535277, 7.00%, 04/01/30		11,089
	341,915	PL# 535675, 7.00%, 01/01/16		356,038
	838	PL# 535722, 7.00%, 02/01/31		884
	5,519	PL# 535723, 7.00%, 02/01/31		5,822
	1,297	PL# 535811, 6.50%, 04/01/31		1,341
	81,400	PL# 535880, 7.00%, 02/01/31		85,877
	477	PL# 540211, 7.50%, 06/01/30		509
	1,968	PL# 542999, 7.50%, 08/01/30		2,101
	102,423	PL# 545249, 5.50%, 10/01/16		104,021
	529,722	PL# 545298, 5.50%, 11/01/16		537,987
	5,739	PL# 545363, 5.50%, 11/01/16		5,828
	2,063,950	PL# 545411, 5.50%, 01/01/17		2,096,150
	26,393	PL# 545477, 7.00%, 03/01/32		27,794
	213,912	PL# 545759, 6.50%, 07/01/32		221,177
	856,351	PL# 545760, 6.50%, 07/01/32		885,437
	157,203	PL# 545762, 6.50%, 07/01/32		162,542
	32,331	PL# 549659, 7.00%, 02/01/16		33,660
	14,579	PL# 549962, 7.00%, 10/01/30		15,380
	44,956	PL# 549975, 7.00%, 10/01/30		47,426
	5,289	PL# 550440, 7.00%, 02/01/16		5,506
	48,513	PL# 554493, 7.00%, 10/01/30		51,179
	236,414	PL# 555114, 5.50%, 12/01/17		240,026

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		US Government Agency Securities (continued)
		Fannie Mae (continued)

$	27,456	PL# 555144, 7.00%, 10/01/32	$	28,955
	371,254	PL# 555254, 6.50%, 01/01/33		383,965
	213,681	PL# 555798, 6.50%, 05/01/33		220,997
	1,590	PL# 558362, 7.50%, 11/01/30		1,698
	532	PL# 558519, 7.50%, 11/01/30		567
	1,360	PL# 559277, 7.00%, 10/01/30		1,435
	40,168	PL# 559313, 7.00%, 12/01/30		42,375
	1,262	PL# 559741, 7.50%, 01/01/31		1,347
	24,209	PL# 560384, 7.00%, 11/01/30		25,539
	1,426	PL# 560596, 7.50%, 01/01/31		1,523
	2,761	PL# 561678, 7.50%, 12/01/30		2,948
	1,473	PL# 564080, 7.50%, 12/01/30		1,573
	10,839	PL# 564183, 7.00%, 12/01/30		11,435
	1,429	PL# 564529, 7.50%, 12/01/30		1,526
	11,220	PL# 566658, 7.00%, 02/01/31		11,828
	70,981	PL# 572453, 5.50%, 04/01/16		72,088
	6,337	PL# 575285, 7.50%, 03/01/31		6,760
	4,696	PL# 579161, 6.50%, 04/01/31		4,856
	384,390	PL# 580165, 5.50%, 09/01/16		390,387
	12,214	PL# 580179, 7.00%, 10/01/16		12,716
	694	PL# 580377, 7.50%, 04/01/31		741
	46,420	PL# 580515, 5.50%, 04/01/16		47,144
	9,525	PL# 584811, 7.00%, 05/01/31		10,041
	97,875	PL# 585248, 7.00%, 06/01/31		103,254
	184,854	PL# 589120, 5.50%, 11/01/16		187,738
	1,111	PL# 589405, 7.50%, 06/01/31		1,186
	5,759	PL# 589893, 7.00%, 06/01/31		6,071
	4,631	PL# 592129, 7.50%, 06/01/31		4,940
	6,773	PL# 596895, 6.50%, 07/01/31		7,005
	10,693	PL# 598125, 7.00%, 09/01/16		11,132
	9,141	PL# 602148, 5.50%, 09/01/16		9,284
	62,394	PL# 604517, 5.50%, 11/01/16		63,367
	7,196	PL# 606551, 6.50%, 10/01/31		7,442
	3,013	PL# 606600, 7.00%, 10/01/31		3,176
	44,047	PL# 607386, 5.50%, 11/01/16		44,734
	61,704	PL# 607493, 5.50%, 11/01/16		62,667
	22,192	PL# 610128, 7.00%, 10/01/31		23,394
	192,511	PL# 610579, 5.50%, 12/01/16		195,514
	8,418	PL# 611323, 7.00%, 10/01/16		8,764
	28,130	PL# 612071, 5.50%, 11/01/16		28,569
	169,280	PL# 614506, 5.50%, 11/01/16		171,921
	1,660,730	PL# 619054, 5.50%, 02/01/17		1,686,099
	5,732	PL# 622119, 6.50%, 01/01/32		5,928
	223,241	PL# 624035, 6.50%, 01/01/32		232,283
	9,441	PL# 629236, 6.50%, 02/01/32		9,762
	604,050	PL# 631321, 5.50%, 02/01/17		613,278
	47,315	PL# 631606, 5.50%, 03/01/17		48,038
	51,220	PL# 632269, 7.00%, 05/01/32		53,995
	7,417	PL# 634563, 6.50%, 03/01/32		7,669
	59,325	PL# 634949, 7.00%, 05/01/32		62,476
	231,168	PL# 635164, 6.50%, 08/01/32		239,019
	2,435	PL# 644932, 6.50%, 07/01/32		2,517
	5,476	PL# 647556, 7.00%, 01/01/30		5,778
	445,459	PL# 648795, 6.50%, 08/01/32		460,589
	157,982	PL# 650206, 5.50%, 01/01/18		160,395
	70,047	PL# 650291, 6.50%, 07/01/32		72,426
	228,832	PL# 651649, 6.50%, 08/01/32		236,604
	933,545	PL# 652127, 6.50%, 06/01/32		965,253
	3,417	PL# 663353, 6.50%, 09/01/32		3,533
	33,377	PL# 664188, 5.50%, 09/01/17		33,887
	52,190	PL# 664194, 5.50%, 09/01/17		52,987
	391,678	PL# 670402, 6.50%, 06/01/32		404,982
	186,566	PL# 675314, 5.50%, 12/01/17		189,416
	277,698	PL# 676800, 5.50%, 01/01/18		281,940
	411,290	PL# 679631, 5.50%, 02/01/18		417,467
	7,743	PL# 681343, 5.50%, 02/01/18		7,860
	353,997	PL# 683199, 5.50%, 02/01/18		359,314
	2,955,341	PL# 684231, 5.00%, 01/01/18		2,962,919
	5,018,536	PL# 687889, 5.50%, 03/01/33		5,023,043
	778,072	PL# 688521, 5.00%, 03/01/18		780,139
	784,378	PL# 694200, 4.50%, 05/01/18		772,741
	5,546	PL# 694372, 6.50%, 11/01/32		5,734
	266,590	PL# 694380, 5.00%, 03/01/18		267,298
	75,626	PL# 695925, 5.50%, 05/01/18		76,762
	1,212,453	PL# 701161, 4.50%, 04/01/18		1,193,339
	9,006	PL# 701236, 5.50%, 05/01/18		9,141
	4,186,977	PL# 703443, 5.00%, 05/01/18		4,198,100
	7,705	PL# 708637, 5.50%, 06/01/18		7,821
	529,320	PL# 711636, 4.50%, 05/01/18		520,976
	4,330,161	PL# 711997, 4.50%, 09/01/18		4,261,898
	2,056,505	PL# 720317, 5.00%, 07/01/18		2,061,968
	12,893	PL# 725071, 5.50%, 12/01/18		13,086
	8,065,030	PL# 725162, 6.00%, 02/01/34		8,207,352
	16,850,416	PL# 725206, 5.50%, 02/01/34		16,865,549
	11,130	PL# 725269, 5.50%, 03/01/19		11,300
	207,525	PL# 725407, 6.50%, 01/01/34		214,630
	292,071	PL# 725418, 6.50%, 05/01/34		302,072
	4,474,616	PL# 725519, 5.50%, 05/01/19		4,542,970
	4,713,007	PL# 725704, 6.00%, 08/01/34		4,796,176
	11,565,695	PL# 725717, 4.00%, 08/01/19		11,097,292
	10,783,855	PL# 725946, 5.50%, 11/01/34		10,786,138
	10,342	PL# 732724, 5.50%, 08/01/18		10,497
	15,548,382	PL# 735141, 5.50%, 01/01/35		15,551,674
	4,002,210	PL# 735454, 5.50%, 11/01/18		4,063,348
	25,137,194	PL# 735504, 6.00%, 04/01/35		25,613,429
	1,084,669	PL# 735611, 5.50%, 03/01/20		1,101,238
	100,277,206	PL# 735989, 5.50%, 02/01/35		100,471,428
	156,229	PL# 738632, 5.00%, 11/01/18		156,644
	9,095	PL# 741355, 5.50%, 10/01/18		9,232
	5,130,381	PL# 743575, 5.00%, 11/01/18		5,144,010
	9,842,906	PL# 745140, 5.00%, 11/01/35		9,610,898
	11,201,507	PL# 745193, 5.50%, 06/01/20		11,372,621
	40,257,451	PL# 745275, 5.00%, 02/01/36		39,308,542
	22,452,811	PL# 745412, 5.50%, 12/01/35		22,457,566

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		US Government Agency Securities (continued)
		Fannie Mae (continued)

$	16,062,842	PL# 745735, 5.00%, 03/01/21	$	16,081,115
	13,205,278	PL# 745740, 5.00%, 07/01/36		12,889,654
	58,124	PL# 745823, 6.00%, 08/01/36		59,045
	518,177	PL# 748257, 4.50%, 10/01/18		510,008
	5,021	PL# 748655, 6.50%, 09/01/33		5,185
	2,632	PL# 749118, 5.50%, 11/01/18		2,672
	14,019	PL# 749153, 5.50%, 11/01/18		14,229
	8,684	PL# 753643, 5.50%, 11/01/18		8,814
	17,835	PL# 755167, 5.50%, 11/01/18		18,102
	137,766	PL# 757687, 5.50%, 07/01/34		137,795
	11,581	PL# 759423, 5.50%, 01/01/19		11,745
	10,345	PL# 761018, 5.50%, 12/01/18		10,500
	33,411	PL# 761808, 5.50%, 05/01/18		33,921
	426,251	PL# 766312, 5.50%, 03/01/19		432,285
	201,611	PL# 768313, 5.50%, 01/01/19		204,639
	192,356	PL# 781889, 5.50%, 03/01/17		195,357
	5,809,002	PL# 806549, Variable Rate, 4.57%, 01/01/35 (1)		5,825,669
	54,391	PL# 817808, 6.00%, 09/01/36		55,253
	1,274,558	PL# 826273, 6.00%, 07/01/20		1,305,164
	1,568,185	PL# 831361, 5.50%, 03/01/21		1,588,955
	68,757	PL# 831500, 6.00%, 05/01/16		70,498
	4,413,250	PL# 831511, 6.00%, 06/01/16		4,524,994
	868,507	PL# 845420, 6.00%, 02/01/36		882,587
	756,362	PL# 849239, 5.50%, 01/01/21		766,572
	8,868,188	PL# 850867, Variable Rate, 5.64%, 01/01/36 (1)		8,862,878
	1,913,336	PL# 870843, 6.00%, 10/01/36		1,943,662
	161,720	PL# 871059, 6.00%, 01/01/37		164,283
	581,578	PL# 871436, 6.00%, 06/01/36		590,796
	55,720	PL# 878340, 6.00%, 04/01/37		56,596
	827,676	PL# 880770, 5.50%, 05/01/21		838,639
	100,351	PL# 881578, 5.50%, 05/01/21		101,680
	835,874	PL# 885071, 5.50%, 05/01/21		846,944
	45,336,711	PL# 888306, 5.00%, 12/01/36		44,268,078
	22,888,260	PL# 888635, 5.50%, 09/01/36		22,908,814
	31,442,489	PL# 888678, 5.00%, 12/01/36		30,701,358
	869,675	PL# 891805, 6.00%, 06/01/36		883,459
	719,038	PL# 891814, 6.50%, 07/01/36		739,314
	808,333	PL# 892970, 6.50%, 09/01/36		831,127
	24,033	PL# 893926, 6.00%, 10/01/36		24,414
	901,741	PL# 896049, 6.00%, 06/01/36		916,034
	50,526	PL# 897820, 6.00%, 09/01/36		51,327
	791,901	PL# 898124, 6.00%, 09/01/36		804,453
	633,160	PL# 898330, 6.00%, 12/01/36		643,196
	850,952	PL# 900303, 6.00%, 09/01/36		864,440
	847,055	PL# 901717, 6.00%, 10/01/36		860,481
	141,668	PL# 904102, 6.00%, 11/01/36		143,913
	932,768	PL# 904907, 6.00%, 11/01/36		947,552
	853,392	PL# 905674, 6.00%, 12/01/36		866,918
	11,147,640	PL# 906064, 6.00%, 01/01/37		11,324,331
	92,063	PL# 907735, 6.00%, 12/01/36		93,522
	631,120	PL# 911420, 6.00%, 05/01/37		641,038
	779,572	PL# 911440, 6.00%, 02/01/37		791,823
	776,409	PL# 911446, 6.00%, 03/01/37		788,611
	678,936	PL# 913180, 6.00%, 03/01/37		689,605
	760,401	PL# 913345, 6.00%, 05/01/37		772,351
	90,365	PL# 916302, 6.00%, 04/01/37		91,785
	36,597	PL# 916946, 6.00%, 06/01/37		37,172
	692,232	PL# 919389, 6.00%, 05/01/37		703,110
	157,898	PL# 922044, 6.00%, 02/01/37		160,401
	31,778	PL# 923382, 6.00%, 06/01/37		32,278
	811,239	PL# 928306, 6.00%, 05/01/37		823,988
	8,023,872	PL# 928510, 6.50%, 06/01/37		8,249,280
	65,854	PL# 938111, 6.00%, 07/01/37		66,889
	768,524	PL# 940762, 6.00%, 06/01/37		780,602
	8,828,851	PL# 941348, 6.50%, 08/01/37		9,076,872
	4,573,428	PL# 944027, 6.50%, 08/01/37		4,701,906
	3,000,000	TBA, 5.00%, 01/01/23		3,003,282
	50,900,000	TBA, 5.50%, 01/01/38		50,844,316
	600,000	TBA, 6.00%, 01/01/38		609,281

				641,131,448

		Federal Agricultural Mortgage Corporation — 2.1%
	45,175,000	144A, 5.50%, 07/15/11		47,881,841

		Federal Home Loan Bank — 0.8%
	18,840,000	4.00%, 02/01/08		18,830,599

		Freddie Mac — 2.2%
	16,800,000	4.75%, 06/28/12		17,393,880
	4,702,572	PL# 1B2853, Variable Rate, 4.33%, 04/01/35 (1)		4,648,673
	10,754,952	PL# 1G1119, Variable Rate, 4.75%, 09/01/35 (1)		10,656,660
	15,850,000	Series MTN, 5.00%, 12/14/18		15,966,291

				48,665,504

		Freddie Mac Gold — 6.4%
	230,122	PL# A32037, 5.00%, 03/01/35		224,712
	25,024	PL# A38585, 5.50%, 10/01/35		24,986
	429,301	PL# A64579, 5.50%, 08/01/37		428,482
	380,739	PL# B10307, 4.50%, 10/01/18		374,509
	459,478	PL# B11431, 4.50%, 12/01/18		451,959
	3,135,819	PL# B11446, 5.00%, 12/01/18		3,144,035
	43,773	PL# B13285, 4.50%, 04/01/19		43,038
	630,730	PL# B14218, 4.50%, 05/01/19		620,142
	942,093	PL# B14518, 4.50%, 01/01/20		926,277
	1,382,591	PL# B17118, 4.50%, 11/01/19		1,359,381
	21,969	PL# B17892, 4.50%, 10/01/19		21,610
	684,735	PL# B19028, 4.50%, 03/01/20		673,100
	4,008,968	PL# B19043, 4.50%, 03/01/20		3,940,849
	19,637	PL# B19177, 4.50%, 05/01/20		19,303
	842,224	PL# B19187, 4.50%, 04/01/20		827,913
	171,215	PL# B19188, 4.50%, 05/01/20		168,305
	181,620	PL# B19272, 4.50%, 05/01/20		178,534
	474,831	PL# B19621, 5.00%, 07/01/20		475,371
	882,716	PL# C01271, 6.50%, 12/01/31		912,964

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		US Government Agency Securities (continued)
		Freddie Mac Gold (continued)

$	2,664,581	PL# C57150, 6.00%, 05/01/31	$	2,716,877
	3,221	PL# C67653, 7.00%, 06/01/32		3,375
	48,015	PL# C67868, 7.00%, 06/01/32		50,316
	12,171	PL# C67999, 7.00%, 06/01/32		12,755
	74,585	PL# C68001, 7.00%, 06/01/32		78,159
	111,610	PL# C90229, 7.00%, 08/01/18		117,371
	15,907	PL# E00570, 6.00%, 09/01/13		16,313
	334,954	PL# E00592, 6.00%, 12/01/13		343,327
	16,383	PL# E00720, 6.00%, 07/01/14		16,779
	17,067	PL# E01007, 6.00%, 08/01/16		17,477
	56,862	PL# E01095, 6.00%, 01/01/17		58,247
	369,657	PL# E01490, 5.00%, 11/01/18		370,626
	725,728	PL# E01538, 5.00%, 12/01/18		727,630
	28,494	PL# E01638, 4.00%, 04/01/19		27,430
	22,770	PL# E69171, 6.00%, 02/01/13		23,329
	18,464	PL# E73319, 6.00%, 11/01/13		18,918
	26,416	PL# E73769, 6.00%, 12/01/13		27,065
	12,613	PL# E75990, 6.00%, 04/01/14		12,941
	23,602	PL# E76341, 6.00%, 04/01/14		24,146
	34,352	PL# E76730, 6.00%, 05/01/14		35,144
	24,936	PL# E76731, 6.00%, 05/01/14		25,510
	16,427	PL# E78995, 6.00%, 11/01/14		16,806
	202,312	PL# E84191, 6.00%, 07/01/16		207,268
	3,608	PL# E84758, 5.50%, 07/01/16		3,661
	15,344	PL# E85885, 6.00%, 11/01/16		15,720
	221,761	PL# E86502, 5.50%, 12/01/16		224,998
	4,191	PL# E86565, 5.50%, 12/01/16		4,252
	204,162	PL# E87961, 6.00%, 02/01/17		209,163
	315,188	PL# E88001, 6.00%, 02/01/17		322,820
	40,730	PL# E88452, 6.00%, 03/01/17		41,716
	272,507	PL# E88749, 6.00%, 03/01/17		279,182
	380,449	PL# E88789, 6.00%, 04/01/17		389,661
	124,920	PL# E88979, 5.50%, 04/01/17		126,700
	267,573	PL# E89282, 6.00%, 04/01/17		274,052
	514,600	PL# E89336, 6.00%, 05/01/17		527,060
	23,403	PL# E89653, 6.00%, 04/01/17		23,976
	388,072	PL# E89913, 6.00%, 05/01/17		397,469
	665,654	PL# E91644, 5.50%, 10/01/17		675,142
	206,683	PL# E91754, 5.50%, 10/01/17		209,630
	286,483	PL# E91774, 5.50%, 10/01/17		290,567
	140,361	PL# E91968, 5.50%, 10/01/17		142,362
	231,094	PL# E92113, 5.50%, 10/01/17		234,388
	20,422	PL# E95352, 4.50%, 04/01/18		20,088
	44,466	PL# E98821, 4.50%, 09/01/18		43,738
	1,129,426	PL# G01391, 7.00%, 04/01/32		1,187,257
	16,276,832	PL# G02967, 5.50%, 05/01/37		16,245,779
	13,426	PL# G11111, 6.00%, 04/01/16		13,743
	99,850	PL# G11394, 4.50%, 05/01/18		98,216
	6,221,120	PL# G11618, 4.50%, 05/01/18		6,124,745
	388,561	PL# G11639, 4.50%, 12/01/19		382,038
	2,710,413	PL# G11681, 5.00%, 04/01/20		2,715,768
	7,812,460	PL# G11720, 4.50%, 08/01/20		7,681,310
	11,856,986	PL# G11769, 5.00%, 10/01/20		11,870,473
	181,679	PL# G18052, 4.50%, 05/01/20		178,592
	2,387,139	PL# J00156, 5.00%, 10/01/20		2,389,854
	610,201	PL# J00726, 5.00%, 12/01/20		610,895
	2,879,217	PL# M80813, 4.00%, 04/01/10		2,835,010
	67,000,000	TBA, 5.50%, 01/01/38		66,863,924

				143,417,228

		Government National Mortgage Association — 1.3%
	96,172	PL# 3173, 6.50%, 12/20/31		99,709
	12,789,009	PL# 4006, 6.00%, 07/20/37		13,055,346
	560	PL# 434615, 7.00%, 11/15/29		594
	143,581	PL# 435071, 7.00%, 03/15/31		152,246
	18,608	PL# 493966, 7.00%, 06/15/29		19,749
	36,868	PL# 494742, 7.00%, 04/15/29		39,128
	1,093	PL# 530260, 7.00%, 02/15/31		1,159
	214,601	PL# 531025, 6.00%, 04/15/32		220,140
	476	PL# 538271, 7.00%, 11/15/31		505
	70,776	PL# 538312, 6.00%, 02/15/32		72,603
	107,472	PL# 543989, 7.00%, 03/15/31		113,958
	783	PL# 547545, 7.00%, 04/15/31		830
	219,154	PL# 550985, 7.00%, 10/15/31		232,380
	247	PL# 551549, 7.00%, 07/15/31		261
	17,221	PL# 552413, 7.00%, 02/15/32		18,260
	76,396	PL# 554808, 6.00%, 05/15/31		78,412
	56,734	PL# 555360, 6.00%, 06/15/31		58,231
	72,250	PL# 555733, 6.00%, 03/15/32		74,115
	452	PL# 557664, 7.00%, 08/15/31		480
	54,411	PL# 557678, 7.00%, 08/15/31		57,695
	3,754	PL# 561050, 7.00%, 05/15/31		3,981
	370	PL# 561996, 7.00%, 07/15/31		393
	10,129	PL# 563346, 7.00%, 09/15/31		10,741
	39,940	PL# 563599, 7.00%, 06/15/32		42,351
	66,357	PL# 564086, 7.00%, 07/15/31		70,361
	35,884	PL# 564300, 6.00%, 08/15/31		36,831
	6,990	PL# 564706, 7.00%, 07/15/31		7,412
	68,602	PL# 565808, 6.00%, 11/15/31		70,412
	149,066	PL# 567622, 6.00%, 04/15/32		152,913
	74,948	PL# 569567, 7.00%, 01/15/32		79,473
	55,016	PL# 570517, 6.00%, 01/15/32		56,436
	39,109	PL# 572821, 6.00%, 12/15/31		40,141
	72,203	PL# 574873, 6.00%, 12/15/31		74,108
	82,567	PL# 575906, 6.00%, 01/15/32		84,698
	34,565	PL# 576323, 6.00%, 12/15/31		35,477
	1,260	PL# 579377, 7.00%, 04/15/32		1,336
	181,134	PL# 581015, 7.00%, 02/15/32		192,068
	82,958	PL# 581070, 6.00%, 02/15/32		85,099
	42,756	PL# 582956, 7.00%, 02/15/32		45,337
	216,544	PL# 587122, 7.00%, 06/15/32		229,616
	4,897	PL# 587494, 7.00%, 06/15/32		5,193
	923	PL# 589696, 7.00%, 05/15/32		979
	42,281	PL# 592030, 6.00%, 02/15/32		43,373
	15,120	PL# 780802, 6.50%, 05/15/28		15,701

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		US Government Agency Securities (continued)
		Government National Mortgage Association (continued)

$	24,820	PL# 781113, 7.00%, 11/15/29	$	26,342
	156,203	PL# 781148, 6.00%, 07/15/29		160,524
	77,127	PL# 781276, 6.50%, 04/15/31		80,053
	22,186	PL# 781287, 7.00%, 05/15/31		23,540
	35,129	PL# 781324, 7.00%, 07/15/31		37,260
	193,366	PL# 781328, 7.00%, 09/15/31		205,170
	150,592	PL# 781330, 6.00%, 09/15/31		154,736
	39,399	PL# 781496, 6.50%, 09/15/32		40,870
	50,611	PL# 781548, 7.00%, 11/15/32		53,676
	29,563	PL# 781584, 7.00%, 05/15/32		31,358
	2,499,324	PL# 781804, 6.00%, 09/15/34		2,561,657
	2,225,654	PL# 781847, 6.00%, 12/15/34		2,280,981
	2,176,588	PL# 781902, 6.00%, 02/15/35		2,230,578
	5,514,321	PL# 80916, 4.75%, 05/20/34		5,515,312

				29,082,288

		Resolution Funding Strips — 0.1%
	1,200,000	Zero coupon, 07/15/18		748,287
	1,200,000	Zero coupon, 10/15/18		738,973

				1,487,260

		Total US Government Agency Securities (Cost $952,558,010)		966,854,678

		Corporate Bonds and Notes — 50.6%
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.0%
	280,000	Daimler Chrysler NA Holding, 4.05%, 06/04/08		278,951

		Banks and Financial Services — 14.6%
	390,000	American Real Estate Partners, LP/American Real Estate Finance Corp., 8.13%, 06/01/12		379,763
	85,000	BAC Capital Trust XI, 6.63%, 05/23/36		82,955
	3,000,000	Bank of America Corp., 7.80%, 09/15/16		3,405,813
	4,550,000	Bank of America Corp., 6.00%, 09/01/17		4,657,089
	14,740,000	Bank of America Corp., 5.75%, 12/01/17		14,801,466
	3,025,000	Bank of America NA, 5.30%, 03/15/17		2,946,710
	2,550,000	Bank of America NA, Series BKNT, 6.10%, 06/15/17		2,610,728
	2,000,000	BankBoston NA, Series BKNT, 6.38%, 03/25/08		2,003,042
	7,265,000	Barclays Bank PLC — 144A (United Kingdom), Variable Rate, 7.43%, perpetual (1)		7,562,691
	7,125,000	Citigroup Capital XXI, Variable Rate, 8.30%, 12/21/57 (1)		7,460,972
	9,050,000	Citigroup, Inc., 3.50%, 02/01/08		9,038,543
	14,330,000	Citigroup, Inc., 3.63%, 02/09/09 (5)		14,141,661
	820,000	Citigroup, Inc., 6.20%, 03/15/09		831,502
	3,980,000	Citigroup, Inc., 4.13%, 02/22/10		3,923,735
	6,700,000	Citigroup, Inc., 5.30%, 10/17/12		6,794,282
	3,300,000	Citigroup, Inc., 5.88%, 05/29/37		3,090,117
	8,220,000	Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual (1) (5)		7,371,318
	8,225,000	Eksportfinans ASA, Series MTN (Norway), 3.38%, 01/15/08		8,217,285
	14,675,000	General Electric Capital Corp., 5.00%, 11/15/11		14,865,715
	5,375,000	General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67 (1)		5,559,733
	5,820,000	General Electric Capital Corp., Series GMTN, 6.15%, 08/07/37		6,205,045
	5,680,000	General Electric Capital Corp., Series MTN, 5.00%, 04/10/12		5,755,436
	3,230,000	Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual (1)		2,878,450
	13,605,000	Goldman Sachs Group, Inc., 5.25%, 10/15/13		13,626,455
	2,850,000	HBOS Treasury Services PLC — 144A (United Kingdom), 3.75%, 09/30/08		2,829,571
	2,925,000	HSBC Finance Corp., 6.50%, 11/15/08		2,957,731
	1,495,000	JPMorgan Chase & Company, 3.63%, 05/01/08		1,486,721
	2,100,000	JPMorgan Chase & Company, 5.75%, 10/15/08		2,111,804
	1,100,000	JPMorgan Chase & Company, 7.00%, 11/15/09		1,146,957
	7,750,000	JPMorgan Chase Bank NA, Series BKNT, 6.00%, 07/05/17		7,861,941
	1,945,000	JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17		1,981,733
	10,250,000	JPMorgan Chase Capital XXV, 6.80%, 10/01/37		9,885,705
	630,000,000	Kreditanstalt für Wiederaufbau (Germany), Series EMTN, Floating Rate, 0.66%, 08/08/11 (2)(17)		5,642,350

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)

$	1,015,000	Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)	$	905,466
	4,400,000	Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12		4,357,703
	6,030,000	Lehman Brothers Holdings, Inc., Series MTN, 6.00%, 07/19/12		6,146,005
	2,400,000	Lehman Brothers Holdings, Inc., Series MTN, 5.50%, 04/04/16		2,300,162
	6,650,000	Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17		6,866,564
	3,800,000	Lehman Brothers Holdings, Inc., Series MTN, 7.00%, 09/27/27		3,867,142
	3,175,000	Mellon Capital IV, Series 1, Variable Rate, 6.24%, perpetual (1)		2,949,581
	7,310,000	Morgan Stanley, 5.05%, 01/21/11		7,314,284
	425,000	Morgan Stanley, 6.75%, 04/15/11		445,787
	17,410,000	Morgan Stanley, Floating Rate, 5.49%, 01/09/12 (2)		16,840,013
	8,710,000	Morgan Stanley, Series MTN, 6.25%, 08/28/17		8,870,560
	1,950,000	Morgan Stanley, Series MTNF, 5.55%, 04/27/17		1,904,986
	355,000	Nationwide Building Society — 144A (United Kingdom), 4.25%, 02/01/10		354,853
	6,450,000	Royal Bank of Scotland Group PLC — 144A (United Kingdom), Variable Rate, 6.99%, perpetual (1)		6,441,834
	3,365,000	SLM Corp., Series MTN, 5.40%, 10/25/11		3,069,412
	2,000,000	SunTrust Banks, Inc., 4.00%, 10/15/08		1,987,450
	1,535,000	SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09		1,524,419
	2,125,000	SunTrust Capital VIII, Variable Rate, 6.10%, 12/01/66 (1)		1,773,854
	2,150,000	The Bank of New York Company, Inc., Series BKNT, 3.80%, 02/01/08		2,149,301
	4,700,000	The Bear Stearns Companies, Inc., 6.40%, 10/02/17		4,549,031
	7,565,000	The Bear Stearns Companies, Inc., Series MTN, 6.95%, 08/10/12		7,785,928
	1,000,000	The Bear Stearns Companies, Inc., Series MTNB, 4.55%, 06/23/10		967,517
	2,475,000	TIAA Global Markets — 144A, 3.88%, 01/22/08		2,474,666
	467,000,000	Toyota Motor Credit Corp., 0.75%, 06/09/08 (17)		4,176,882
	10,780,000	UBS AG Stamford Branch, Series DPNT (Switzerland), 5.88%, 12/20/17		10,876,255
	980,000	UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual (1)		1,056,669
	4,315,000	US Bank NA, Series BKNT, 4.40%, 08/15/08		4,298,159
	540,000	Wachovia Bank NA, Series BKNT, 4.38%, 08/15/08		536,945
	11,100,000	Wachovia Bank NA, Series BKNT, 6.60%, 01/15/38		11,192,186
	2,340,000	Wachovia Corp., 6.30%, 04/15/08		2,344,418
	2,760,000	Wells Fargo & Company, 4.20%, 01/15/10		2,743,882
	4,090,000	Wells Fargo & Company, 4.63%, 08/09/10		4,095,652
	4,525,000	Wells Fargo & Company, 4.88%, 01/12/11		4,589,033
	2,895,000	ZFS Finance USA Trust V — 144A, Variable Rate, 6.50%, 05/09/37 (1)		2,677,169

				328,548,787

		Broadcast Services/Media — 1.1%
	5,374,000	Comcast Cable Communications Holdings, 8.38%, 03/15/13		6,035,421
	1,800,000	Comcast Cable Communications, Inc., 6.75%, 01/30/11		1,883,174
	965,000	Comcast Corp., 7.05%, 03/15/33		1,057,373
	7,250,000	Comcast Corp., 6.95%, 08/15/37		7,850,345
	465,000	Cox Communications, Inc., 7.75%, 11/01/10		496,304
	475,000	CSC Holdings, Inc., Series B, 8.13%, 07/15/09		483,906
	555,000	CSC Holdings, Inc., Series B, 8.13%, 08/15/09		566,100
	1,070,000	News America Holdings, 7.63%, 11/30/28		1,188,960
	260,000	News America, Inc., 7.28%, 06/30/28		280,175

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Broadcast Services/Media (continued)

$	1,675,000	TCI Communications, Inc., 7.13%, 02/15/28	$	1,746,228
	725,000	Time Warner Entertainment, 8.38%, 07/15/33		875,895
	1,910,000	Time Warner, Inc., 7.57%, 02/01/24		2,076,422

				24,540,303

		Computer Equipment, Software and Services — 0.2%
	4,415,000	International Business Machines Corp., 5.70%, 09/14/17		4,572,545

		Construction Services and Supplies — 0.1%
	2,875,000	Belvoir Land LLC — 144A, 5.40%, 12/15/47		2,547,998

		Electronics — 0.0%
	155,000	L-3 Communications Corp., Series B, 6.38%, 10/15/15		153,450

		Environmental Waste Management and Recycling Services — 0.0%
	715,000	Aleris International, Inc., 9.00%, 12/15/14 (12)		600,600

		Food and Beverage — 0.6%
	6,445,000	Kraft Foods, Inc., 6.50%, 08/11/17		6,679,534
	5,675,000	Kraft Foods, Inc., 6.13%, 02/01/18		5,729,054

				12,408,588

		Insurance — 1.4%
	1,775,000	ASIF Global Financial XXIII — 144A, 3.90%, 10/22/08		1,754,875
	2,850,000	Berkshire Hathaway Finance Corp., 3.38%, 10/15/08		2,825,325
	2,815,000	Berkshire Hathaway Finance Corp., 4.13%, 01/15/10		2,826,527
	3,800,000	Chubb Corp., Variable Rate, 6.38%, 03/29/37 (1)		3,712,953
	5,355,000	Hartford Life Global Funding, Series MTN, Floating Rate, 5.16%, 09/15/09 (2)		5,350,218
	4,455,000	MetLife, Inc., 6.40%, 12/15/36		4,095,718
	1,600,000	New York Life Global Funding — 144A, 3.88%, 01/15/09		1,591,117
	3,595,000	Progressive Corp., Variable Rate, 6.70%, 06/15/37 (1)		3,343,152
	2,150,000	Reinsurance Group of America, Inc., Variable Rate, 6.75%, 12/15/65 (1)		1,934,607
	4,125,000	The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1)		3,874,967

				31,309,459

		Machinery — 0.1%
	2,150,000	Atlantic Marine, Inc. — 144A, 5.34%, 12/01/50		1,963,660

		Medical Equipment, Supplies, and Services — 0.5%
	8,175,000	Amgen, Inc. — 144A, Floating Rate, 5.13%, 11/28/08 (2)		8,167,275
	3,600,000	WellPoint, Inc., 5.95%, 12/15/34		3,399,667

				11,566,942

		Metals and Mining — 0.4%
	730,000	AK Steel Corp., 7.75%, 06/15/12		737,300
	1,695,000	Freeport-McMoRan Copper & Gold, Inc., 8.25%, 04/01/15		1,800,938
	3,080,000	Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17		3,311,000
	1,999,000	Ispat Inland ULC (Canada), 9.75%, 04/01/14		2,166,478

				8,015,716

		Oil, Coal and Gas — 0.9%
	2,965,000	Arch Western Finance, 6.75%, 07/01/13		2,890,875
	270,000	Colorado Interstate Gas, 6.80%, 11/15/15		282,409
	120,000	Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13		112,200
	1,425,000	Consolidated Natural Gas, Series A, 5.00%, 03/01/14		1,383,830
	365,000	El Paso Natural Gas, 8.63%, 01/15/22		422,403
	15,000	El Paso Natural Gas, 8.38%, 06/15/32(5)		17,646
	2,600,000	Enterprise Products Operating LP, 4.95%, 06/01/10		2,603,193
	3,680,000	Gaz Capital (Gazprom) — 144A (Russia), 7.29%, 08/16/37		3,732,624
	190,000	KCS Energy, Inc., 7.13%, 04/01/12		183,825
	1,795,000	Petrobras International Finance Company (Cayman Islands), 5.88%, 03/01/18		1,794,103

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Oil, Coal and Gas (continued)

$	2,690,000	Sabine Pass LNG, LP, 7.50%, 11/30/16	$	2,582,400
	665,000	Tennessee Gas Pipeline Company, 7.00%, 10/15/28		674,631
	3,400,000	XTO Energy, Inc., 6.75%, 08/01/37		3,659,070

				20,339,209

		Paper and Forest Products — 0.1%
	365,000	Bowater Canada Finance Corp. (Canada), 7.95%, 11/15/11		296,563
	400,000	Catalyst Paper Corp., Series D (Canada), 8.63%, 06/15/11		334,000
	1,915,000	Georgia-Pacific Corp. — 144A, 7.13%, 01/15/17		1,871,912

				2,502,475

		Pharmaceuticals/Research and Development — 0.4%
	170,000	Bio-Rad Laboratories, Inc., 7.50%, 08/15/13		172,550
	530,000	Bio-Rad Laboratories, Inc., 6.13%, 12/15/14		512,775
	600,000	Bristol-Myers Squibb, 6.88%, 08/01/97		635,923
	766,000,000	Pfizer, Inc., Series INTL, 0.80%, 03/18/08(17)		6,852,942
	1,580,000	Wyeth, 6.00%, 02/15/36		1,585,225

				9,759,415

		Printing and Publishing — 0.0%
	1,070,000	Idearc, Inc., 8.00%, 11/15/16		987,075

		Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.5%
	3,556,467	Daimler Chrysler Auto Trust, Series 2005-B, Class A3, 4.04%, 09/08/09		3,553,213
	11,740,976	Daimler Chrysler Auto Trust, Series 2006-B, Class A3, 5.33%, 08/08/10		11,780,300
	18,911,000	Nissan Auto Receivables Owner Trust, Series 2006-B, Class A4, 5.22%, 11/15/11		19,148,669

				34,482,182

		Private Asset Backed: Banks and Financial Services — 3.0%
	3,394,098	Banc of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19		3,332,556
	2,805,000	Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36		2,813,623
	11,200,000	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42		10,968,322
	2,689,165	Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31		2,713,360
	7,875,000	Morgan Stanley Capital I, Series 2007-IQ15, Class AM, Floating Rate, 5.88%, 07/11/17(3)		8,013,567
	7,440,000	Morgan Stanley Capital I, Series 2007-IQ16, Class A4, 5.81%, 10/12/17		7,672,099
	2,884,015	SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate, 5.08%, 01/25/18(2)		2,885,310
	14,200,000	SLM Student Loan Trust, Series 2005-6, Class A5B, Floating Rate, 5.09%, 07/27/26(2)		14,193,781
	14,030,000	Washington Mutual Asset Securities Corp. — 144A, Series 2005-C1A, Class A2, 5.15%, 05/25/36		14,045,159

				66,637,777

		Private Asset Backed: Credit Cards — 3.4%
	14,000,000	American Express Credit Account Master Trust, Series 2005-3, Class A, Floating Rate, 5.03%, 01/18/11(3)		13,998,113
	34,800,000	Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14		35,682,591
	15,125,000	Citibank Credit Card Issuance Trust, Series 2006-A2, Class A2, 4.85%, 02/10/11		15,219,023
	11,500,000	MBNA Credit Card Master Note Trust, Series 2003-A6, Class A6, 2.75%, 10/15/10		11,418,382

				76,318,109

		Private Asset Backed: Mortgage and Home Equity — 19.1%
	1,552,609	ACE Securities Corp., Series 2006-HE1, Class A2A, Floating Rate, 4.95%, 02/25/36(3)		1,546,370

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	11,960,000	Banc of America Commercial Mortgage, Inc., Series 2000-1, Class A2A, 7.33%, 11/15/31	$	12,367,134
	8,201,046	Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36		8,561,790
	16,715,000	Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3, 5.12%, 07/11/43		16,926,716
	11,170,000	Banc of America Commercial Mortgage, Inc., Series 2002-PB2, Class A4, 6.19%, 06/11/35		11,721,969
	13,250,000	Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A4, Floating Rate, 5.69%, 04/10/49(3)		13,622,514
	437,356	Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35		442,649
	2,545,000	Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41		2,436,026
	3,475,000	Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32		3,664,574
	4,647,000	Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.70%, 12/10/49		4,787,747
	13,168,307	Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, Floating Rate, 5.34%, 08/25/35(3)		12,795,869
	5,797,169	Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 4.98%, 03/25/37(3)		5,535,951
	818,931	Countrywide Asset-Backed Certificates, Series 2004-13, Class AV4, Floating Rate, 5.16%, 06/25/35(3)		789,587
	9,451,608	Countrywide Home Loans, Series 2007-16, Class A1, 6.50%, 10/25/37		9,593,963
	19,090,149	Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C2, Class A2, 6.30%, 11/15/30		19,204,592
	10,280,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2, 5.18%, 11/15/36		10,417,049
	13,110,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5, 3.94%, 05/15/38		12,527,725
	3,696,359	Credit Suisse Mortgage Capital Certificates, Series 2006-3, Class 1A1A, Floating Rate, 4.96%, 04/25/36(3)		3,689,065
	4,380,601	DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33		4,617,463
	4,577,530	Fieldstone Mortgage Investment Corp., Series 2006-1, Class A1, Floating Rate, 4.95%, 05/25/36(3)		4,531,096
	3,463,061	First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A1, Floating Rate, 4.93%, 03/25/36(3)		3,432,412
	12,570,000	First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.66%, 01/12/43		13,236,622
	10,380,000	GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35		10,940,008
	11,875,000	GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3, 5.35%, 08/11/36		12,123,519
	5,825,824	GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33		5,956,030
	5,597,738	GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36		5,771,918
	3,175,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39		3,048,420
	5,027,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class AJ, 4.78%, 07/10/39		4,578,792
	9,062,644	GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1, 5.25%, 07/25/35		8,720,847
	9,968,156	Harborview Mortgage Loan Trust, Series 2006-11, Class A1A, Floating Rate, 5.14%, 12/19/36(3)		9,408,237

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	10,490,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35	$	10,873,528
	6,650,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35		6,993,885
	9,176,671	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33		9,525,470
	9,350,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37		9,063,989
	1,665,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4, 5.43%, 12/12/43		1,677,385
	12,770,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class A4, 5.79%, 02/12/51		13,155,962
	16,786,534	JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1, Floating Rate, 3.89%, 08/25/34(3)		16,628,660
	7,056,270	LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35		7,084,656
	12,914,117	LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25		13,643,448
	6,065,080	LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26		6,395,801
	7,395,000	LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27		7,376,793
	9,100,000	LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29		9,032,035
	11,910,000	LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.35%, 11/15/38		11,937,039
	9,658,000	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.43%, 02/15/40		9,719,285
	1,349,606	New Century Home Equity Loan Trust, Series 2006-1, Class A2A, Floating Rate, 4.93%, 05/25/36 (3)		1,347,138
	8,152,699	Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A1, Floating Rate, 4.93%, 11/25/46 (3)		7,995,651
	1,058,265	Residential Asset Mortgage Products, Inc., Series 2006-RS2, Class A1, Floating Rate, 4.95%, 03/25/36 (3)		1,056,525
	10,133,682	Residential Asset Securitization Trust, Series 2005-A14, Class A4, 5.50%, 12/25/35		10,133,351
	7,700,558	Salomon Brothers Mortgage Securities VII, Series 1999-C1, Class A2, Floating Rate, 7.07%, 05/18/32 (3)		7,782,337
	9,099,504	Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11		9,572,221
	1,300,932	Structured Asset Investment Loan Trust, Series 2006-2, Class A1, Floating Rate, 4.93%, 04/25/36 (3)		1,292,301
	16,230,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, Floating Rate, 5.90%, 02/15/51 (3)		16,978,906
	400,000	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A4, Floating Rate, 5.77%, 04/25/36 (3)		394,247

				426,657,267

		Private Asset Backed: Other — 0.2%
	3,997,588	Structured Asset Securities Corp. — 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31		3,663,068

		Private Asset Backed: Utilities — 0.4%
	8,000,000	Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10		8,385,074

		Real Estate Development and Services — 0.2%
	4,045,000	American Real Estate Partners LP — 144A, 7.13%, 02/15/13		3,822,525

		Real Estate Investment Trusts — 0.3%
	910,000	AvalonBay Communities, Series MTN, 6.63%, 09/15/11		951,220
	725,000	The Rouse Company, 3.63%, 03/15/09		694,375

See notes to financial statements.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Real Estate Investment Trusts (continued)

$	4,135,000	The Rouse Company, 5.38%, 11/26/13	$	3,591,851
	2,200,000	The Rouse Company/TRC Co-issuer, Inc — 144A, 6.75%, 05/01/13		2,054,672

				7,292,118

		Semiconductors — 0.0%
	1,195,000	Momentive Performance Materials — 144A, 10.13%, 12/01/14		1,099,400

		Telecommunications Equipment and Services — 1.6%
	625,000	America Movil SA de CV (Mexico), 6.38%, 03/01/35		621,138
	10,025,000	AT&T, Inc., 6.50%, 09/01/37 (6)		10,518,180
	810,000	Cincinnati Bell, Inc., 7.25%, 07/15/13		816,075
	800,000	Citizens Communications Company, 6.25%, 01/15/13		779,000
	2,350,000	New England Telephone & Telegraph, 7.88%, 11/15/29		2,697,807
	970,000	New Jersey Bell Telephone, 7.85%, 11/15/29		1,110,774
	2,755,000	Qwest Communications International, Inc., 7.50%, 02/15/14		2,761,888
	755,000	Qwest Communications International, Inc., Series B, 7.50%, 02/15/14		756,888
	675,000	Qwest Corp., Floating Rate, 8.24%, 06/15/13(2)		691,875
	890,000	Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15		974,656
	1,950,000	Sprint Nextel Corp., 6.00%, 12/01/16		1,870,855
	1,725,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		1,683,215
	555,000	Telecom Italia Capital (Luxembourg), 6.00%, 09/30/34		541,451
	75,000	Telefonica Emisiones SAU (Spain), 6.42%, 06/20/16		79,056
	2,950,000	Telefonica Emisiones SAU (Spain), 7.05%, 06/20/36		3,308,230
	850,000	Telefonica Europe BV (the Netherlands), 7.75%, 09/15/10		910,354
	215,000	Verizon Maryland, Inc., Series B, 5.13%, 06/15/33		185,916
	1,470,000	Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13		1,447,040
	500,000	Vodafone Group PLC (United Kingdom), 5.00%, 09/15/15		482,648
	890,000	Wind Acquisition Finance SA — 144A (Luxembourg), 10.75%, 12/01/15		974,550
	1,375,000	Windstream Corp., 8.13%, 08/01/13		1,430,000
	1,750,000	Windstream Corp., 8.63%, 08/01/16		1,846,250

				36,487,846

		Transportation — 0.0%
	560,000	Overseas Shipholding Group, 7.50%, 02/15/24		538,300

		Utilities — 0.5%
	335,159	AES Ironwood LLC, 8.86%, 11/30/25		368,675
	235,000	AES Red Oak LLC, Series B, 9.20%, 11/30/29		262,025
	2,735,000	Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10		2,899,915
	282,824	Elwood Energy LLC, 8.16%, 07/05/26		284,144
	1,000,000	Florida Power & Light, 5.63%, 04/01/34		971,604
	82,450	Homer City Funding LLC, 8.73%, 10/01/26		90,283
	438,270	Midwest Generation LLC, Series B, 8.56%, 01/02/16		467,853
	560,000	NRG Energy, Inc., 7.38%, 02/01/16		547,400
	200,000	Suncor Energy, Inc. (Canada), 6.50%, 06/15/38		214,579
	4,355,000	Texas Competitive Electric Holdings Company LLC — 144A, 10.25%, 11/01/15		4,333,224

				10,439,702

		Total Corporate Bonds and Notes (Cost $1,140,242,826)		1,135,918,541

Shares

		Preferred Stocks — 2.4%
		Banks and Financial Services — 2.3%
	678,250	Fannie Mae, Variable Rate, 8.25% (1)		17,464,938
	483,700	Freddie Mac, Series Z, Variable Rate, 8.38% (1)(4)		12,648,755
	850,000	Wachovia Corp., 8.00%		21,504,999

				51,618,692

See notes to financial statements.

100

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares				Value

			Preferred Stocks (continued)

			Insurance — 0.1%
	2,350,000		Lincoln National Corp., Variable Rate, 7.00%, 05/17/66 (1)	$	2,363,153

			Total Preferred Stocks (Cost $52,801,330)		53,981,845

Principal

			Foreign Government Obligations — 1.2%
$	9,700,000		AID-Israel (Israel), 5.50%, 09/18/23		10,465,659
	2,975,000		Bundesrepublik Deutschland, (Germany), Series 07, 4.25%, 07/04/39 (16)		4,103,851
	2,930,000		Province of Manitoba (Canada), 6.38%, 09/01/15 (18)		2,056,970
	3,365,000		Province of Ontario, Series GMTN (Canada), 6.25%, 06/16/15 (18)		2,356,540
	4,400,000		Republic of Argentina (Argentina), Floating Rate, 5.39%, 08/03/12 (11)		3,986,400
	3,900,000		Republic of Colombia, Series MTN, (Colombia), 7.38%, 09/18/37		4,348,500

			Total Foreign Government Obligations (Cost $26,816,933)		27,317,920

Contracts

			Purchased Call Options — 0.4%
	69,900,000		Expiring 08/09/10. If exercised the Series receives 5.78%, and pays floating 3 month LIBOR, expiring 08/11/20, European Style		4,990,860
	45,500,000		Expiring 08/16/10. If exercised the Series receives 5.79%, and pays floating 3 month LIBOR, expiring 08/18/20, European Style		3,266,445

			Total Purchased Call Options (Cost $4,474,420)		8,257,305

			Purchased Put Options — 0.1%
	69,900,000		Expiring 08/09/10. If exercised the Series receives floating 3 month LIBOR, and pays 5.78%, expiring 08/11/20, European Style		1,796,430
	45,500,000		Expiring 08/16/10. If exercised the Series receives floating 3 month LIBOR, and pays 5.79%, expiring 08/18/20, European Style		1,166,620

			Total Purchased Put Options (Cost $4,474,420)		2,963,050

Principal

			Securities Lending Collateral — 0.9%
$	20,483,129		Securities Lending Collateral Investment (Note 4) (Cost $20,483,129)		20,483,129

			Total Securities (Cost $2,281,775,217)		2,299,237,280

			Repurchase Agreements — 1.7%
	39,004,146		With State Street Bank and Trust, dated 12/31/2007, 3.80%, due 01/02/08, repurchase proceeds at maturity $39,012,380 (Collateralized by US Treasury Bill, 3.22%, due 02/28/08, with a value of $41,797,644) (Cost $39,004,146) (15)		39,004,146

			Total Investments before Call Options Written and Securities Sold Short — 104.0% (Cost $2,320,779,363)		2,338,241,426

Contracts

			Call Options Written — (0.0)%
	(217	)	US Treasury Note (5 Year) March Future, expiring February 2008 @ 112 (Premium $123,969)		(94,937	)

Principal
			Securities Sold Short — (7.5)%
$	(43,000,000	)	Fannie Mae, TBA, 5.00%, 01/14/38		(41,958,583	)
	(69,400,000	)	Fannie Mae, TBA, 6.00%, 01/14/38		(70,473,549	)
	(19,700,000	)	Fannie Mae, TBA, 6.50%, 01/14/38		(20,250,989	)
	(500,000	)	Fannie Mae, TBA, 4.50%, 01/17/23		(492,187	)
	(33,000,000	)	Fannie Mae , TBA, 5.50%, 01/17/23		(33,427,977	)
	(1,000,000	)	Fannie Mae, TBA, 6.00%, 01/17/23		(1,023,281	)

			Total Securities Sold Short (Proceeds $167,288,668)		(167,626,566	)

			Total Investments net of Call Options Written and Securities Sold Short — 96.5% (Cost $2,153,366,726)		2,170,519,923
			Other assets less liabilities — 3.5%		78,359,593

			Net Assets — 100.0%	$	2,248,879,516

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $2,321,421,353.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	39,603,994
Gross unrealized depreciation		(22,783,921	)

Net unrealized appreciation	$	16,820,073

See summary of footnotes and abbreviations to portfolios.

101

TOTAL RETURN BOND PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Principal			Value

		US Treasury Securities — 14.8%
		US Treasury Bonds — 0.7%
$	740,000	8.88%, 08/15/17	$	1,018,425
	550,000	6.13%, 11/15/27		666,231
	860,000	4.75%, 02/15/37 (8)		900,313

				2,584,969

		US Treasury Inflation Index — 2.1%
	99,253	0.88%, 04/15/10		98,951
	252,617	2.38%, 04/15/11		263,393
	470,480	1.63%, 01/15/15		472,502
	42,964	1.88%, 07/15/15		43,806
	126,314	2.00%, 01/15/16		129,670
	444,839	2.50%, 07/15/16		474,519
	145,039	2.38%, 01/15/17		153,095
	4,284,128	2.63%, 07/15/17		4,623,845
	199,505	2.38%, 01/15/25		209,511
	84,210	2.00%, 01/15/26		83,894
	1,740,463	2.38%, 01/15/27		1,841,084

				8,394,270

		US Treasury Notes — 11.6%
	2,880,000	3.38%, 02/15/08		2,881,126
	3,340,000	3.75%, 05/15/08		3,344,960
	11,160,000	3.50%, 02/15/10		11,260,273
	200,000	4.88%, 05/31/11		210,844
	2,850,000	4.63%, 10/31/11		2,987,604
	190,000	4.50%, 03/31/12		198,639
	4,330,000	4.75%, 05/31/12 (8)		4,571,198
	5,160,000	4.63%, 07/31/12 (8)		5,419,615
	12,890,000	4.13%, 08/31/12 (8)		13,275,695
	67,000	5.13%, 05/15/16		72,538
	1,170,000	4.63%, 02/15/17		1,223,565
	60,000	4.75%, 08/15/17 (8)		63,389

				45,509,446

		US Treasury Strips — 0.4%
	2,995,000	Zero coupon, 11/15/24		1,369,949

		Total US Treasury Securities (Cost $55,800,598)		57,858,634

		US Government Agency Securities — 47.8%
		Fannie Mae — 28.7%
	1,287,816	PL# 256219, 5.50%, 04/01/36 (4)		1,273,889
	2,629,985	PL# 256552, 5.50%, 01/01/37 (4)		2,627,555
	370,370	PL# 735809, Variable Rate, 4.47%, 08/01/35 (1)		370,848
	4,615,932	PL# 745275, 5.00%, 02/01/36 (4)		4,507,130
	2,281,528	PL# 745959, 5.50%, 11/01/36 (4)		2,279,420
	27,820	PL# 759626, 6.00%, 02/01/34 (4)		28,306
	42,304	PL# 795774, 6.00%, 10/01/34 (4)		43,024
	186,377	PL# 796050, 6.00%, 08/01/34 (4)		189,548
	1,233,467	PL# 796278, 6.00%, 12/01/34 (4)		1,254,453
	46,236	PL# 801516, Variable Rate, 4.71%, 08/01/34 (1)		46,546
	525,505	PL# 809169, 6.00%, 01/01/35		534,446
	100,778	PL# 810896, Variable Rate, 4.83%, 01/01/35 (1)		101,605
	23,666	PL# 820426, 6.00%, 03/01/35		24,050
	1,121,805	PL# 888022, 5.00%, 02/01/36		1,095,363
	992,497	PL# 888893, 5.50%, 08/01/37		990,481
	446,387	PL# 893681, 6.00%, 10/01/36		453,463
	791,360	PL# 893923, 6.00%, 10/01/36		803,903
	1,102,266	PL# 894005, 6.00%, 10/01/36		1,119,738
	1,487,973	PL# 904000, 6.00%, 01/01/37		1,511,558
	3,358,248	PL# 916397, 6.50%, 05/01/37		3,452,588
	1,509,330	PL# 918653, 6.00%, 06/01/37		1,533,050
	99,509	PL# 950385, Variable Rate, 5.88%, 08/01/37 (1)		101,691
	10,395,539	PL# 950694, 6.00%, 10/01/37		10,558,906
	800,000	PL# 966611, 6.00%, 12/01/37		812,572
	7,100,000	TBA, 5.50%, 01/01/23 (5)		7,192,080
	7,800,000	TBA, 6.00%, 01/01/23 (5)		7,981,592
	44,200,000	TBA, 5.00%, 01/01/38 (5)		43,129,519
	4,600,000	TBA, 5.50%, 01/01/38 (5)		4,594,968
	3,200,000	TBA, 6.00%, 01/01/38 (5)		3,249,501
	9,870,000	TBA, 6.50%, 01/01/38 (5)		10,146,053

				112,007,846

		Federal Agricultural Mortgage Corp. — 0.3%
	80,000	4.25%, 07/29/08		79,949
	900,000	144A, 5.13%, 04/19/17 (5)		924,651

				1,004,600

		Federal Home Loan Bank — 0.1%
	490,000	5.50%, 07/15/36 (5)		538,527

		Freddie Mac — 2.4%
	106,131	PL# 1B2694, Variable Rate, 4.37%, 12/01/34 (1)(5)		104,832
	883,963	PL# 1G2201, Variable Rate, 6.13%, 09/01/37 (1)(4)		896,100
	358,313	PL# 1N1447, Variable Rate, 5.81%, 02/01/37 (1)(5)		364,538
	2,122,372	PL# 1N1454, Variable Rate, 5.91%, 04/01/37 (1)(5)		2,156,198
	737,544	PL# 1N1463, Variable Rate, 5.97%, 05/01/37 (1)(5)		749,619
	981,254	PL# 1N1582, Variable Rate, 5.94%, 05/01/37 (1)(4)(5)		995,165
	3,900,000	TBA, 5.57%, 01/01/38		3,919,500

				9,185,952

See notes to financial statements.

102

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		US Government Agency Securities (continued)

		Freddie Mac Gold — 10.3%
$	855,747	PL# A39644, 5.50%, 11/01/35 (4)	$	854,446
	827,470	PL# A39756, 5.00%, 11/01/35 (4)		808,016
	5,564,343	PL# A66092, 6.00%, 09/01/37 (5)		5,648,310
	10,894,765	PL# G02427, 5.50%, 12/01/36 (5)		10,875,351
	998,449	PL# G03092, 5.50%, 07/01/37 (5)		996,544
	657,857	PL# G03441, 6.00%, 10/01/37 (5)		667,784
	4,900,000	PL# G03695, 5.50%, 11/01/37 (5)		4,884,712
	8,800,000	PL# G03696, 5.50%, 01/01/38 (5)		8,772,544
	1,100,000	PL# G03697, 6.00%, 01/01/38 (5)		1,121,582
	3,000,000	PL# G03698, 6.00%, 12/01/37 (5)		3,038,970
	1,500,000	TBA, 5.00%, 01/01/23 (5)		1,501,641
	400,000	TBA, 5.00%, 01/01/38 (5)		390,312
	700,000	TBA, 5.50%, 01/01/38 (5)		698,578

				40,258,790

		Government National Mortgage Association — 5.9%
	609,677	PL# 605617, 5.00%, 07/15/34		601,058
	1,373,220	PL# 612902, 5.00%, 07/15/33		1,353,763
	584,221	PL# 636084, 5.00%, 01/15/35		575,942
	1,742,737	PL# 644631, 5.00%, 09/15/35		1,718,042
	3,400,000	TBA, 5.50%, 01/01/38 (5)		3,410,094
	14,950,000	TBA, 6.00%, 01/01/38 (5)		15,307,394
	20,000	TBA, 6.50%, 01/01/38 (5)		20,653

				22,986,946

		Tennessee Valley Authority — 0.1%
	440,000	5.98%, 04/01/36		502,120

		Total US Government Agency Securities (Cost $185,834,407)		186,484,781

		Corporate Bonds and Notes — 50.0%
		Advertising — 0.0%
	90,000	Lamar Media Corp., Series B, 6.63%, 08/15/15		87,975
	85,000	RH Donnelley Corp. — 144A, 8.88%, 10/15/17		79,050

				167,025

		Aerospace and Defense — 0.0%
	45,000	DRS Technologies, Inc., 6.63%, 02/01/16		44,663

		Airlines — 0.2%
	300,000	Continental Airlines, Inc., Series A, 5.98%, 04/19/22 (5)		280,377
	400,000	Delta Air Lines, Inc. — 144A, Class A, 6.82%, 08/10/22 (5)		396,000
	84,382	Delta Air Lines, Inc., Series 2001-1, Class A-1, 6.62%, 03/18/11		84,021

				760,398

		Apparel: Manufacturing and Retail — 0.0%
	200,000	Neiman Marcus Group Inc., 7.13%, 06/01/28		181,000

		Automobile: Rental — 0.1%
	75,000	Hertz Corp., 8.88%, 01/01/14		76,406
	135,000	Hertz Corp., 10.50%, 01/01/16		140,400

				216,806

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.7%
	60,000	Daimler Chrysler NA Holding, 4.05%, 06/04/08		59,775
	600,000	Daimler Chrysler NA Holding, 5.88%, 03/15/11 (5)		609,259
	1,100,000	Ford Motor Company, 7.45%, 07/16/31 (8)		822,250
	840,000	General Motors Corp., 8.25%, 07/15/23		672,000
	150,000	General Motors Corp., 8.38%, 07/15/33 (8)		121,500
	290,000	Visteon Corp., 8.25%, 08/01/10		258,100

				2,542,884

		Banks and Financial Services — 9.4%
	100,000	AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67 (1)(5)		90,838
	420,000	Aiful Corp. — 144A (Japan), 5.00%, 08/10/10 (5)		412,439
	420,000	American Express Company, Variable Rate, 6.80%, 09/01/66 (1)(5)		426,557
	220,000	American General Finance Corp. Series MTNJ, 6.90%, 12/15/17 (5)		220,612
	30,000	BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual(1)		26,646
	80,000	Bank of America Corp., 5.38%, 08/15/11		81,654
	80,000	Countrywide Financial Corp., Series MTN, Floating Rate, 5.38%, 01/05/09 (2)		63,396
	2,440,000	Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10		1,773,933

See notes to financial statements.

103

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)

$	120,000	Countrywide Financial Corp., Series MTNB, Floating Rate, 5.20%, 02/27/08 (2)	$	114,413
	100,000	Countrywide Financial Corp., Series MTNB, Floating Rate, 5.08%, 06/18/08 (2)		88,469
	160,000	Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual (1)(5)		143,481
	230,000	European Investment Bank, 4.63%, 03/21/12 (5)		237,199
	3,645,000	Ford Motor Credit Company LLC, 5.80%, 01/12/09		3,460,639
	720,000	Ford Motor Credit Company LLC, 7.38%, 10/28/09		677,975
	1,190,000	General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67 (1)		1,230,899
	800,000	General Motors Acceptance Corp., 5.85%, 01/14/09		765,253
	290,000	Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11		283,728
	800,000	Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16 (1)		806,521
	40,000	GMAC LLC, 5.13%, 05/09/08		39,561
	2,040,000	GMAC LLC, 5.63%, 05/15/09		1,925,280
	1,870,000	GMAC LLC, 6.63%, 05/15/12		1,555,959
	590,000	GMAC LLC, 8.00%, 11/01/31		496,114
	40,000	Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual (1)		35,646
	100,000	HBOS Treasury Services PLC — 144A, 5.25%, 02/21/17		102,107
	1,020,000	HSBC Finance Corp., 4.63%, 01/15/08		1,019,842
	960,000	HSBC Finance Corp., 4.63%, 09/15/10		955,481
	680,000	ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22 (1)		609,535
	270,000	ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22 (1)		244,823
	920,000	JPMorgan Chase & Company, 5.13%, 09/15/14		903,026
	1,100,000	JPMorgan Chase & Company, 5.15%, 10/01/15		1,062,608
	1,070,000	Kaupthing Bank — 144A (Iceland), Floating Rate, 5.94%, 04/12/11 (2)		1,044,536
	200,000	Kaupthing Bank — 144A (Iceland), 7.13%, 05/19/16		183,630
	320,000	Landisbanki Islands HF — 144A (Iceland), 6.10%, 08/25/11		315,633
	930,000	Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual (1)		829,639
	80,000	Lehman Brothers Holdings, Inc., 4.50%, 07/26/10		79,151
	480,000	Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12		475,386
	890,000	Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17		918,984
	350,000	Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands),Variable Rate, 6.35%, perpetual (1)		332,031
	30,000	Morgan Stanley, 3.63%, 04/01/08		29,875
	610,000	Morgan Stanley, Series MTN, 5.63%, 01/09/12		621,073
	200,000	Morgan Stanley, Series MTNF, Floating Rate, 5.66%, 10/18/16 (2)		186,923
	10,000	Rabobank Capital Funding Trust II — 144A, Variable Rate, 5.26%, perpetual (1)		9,329
	20,000	Rabobank Capital Funding Trust III — 144A, Variable Rate, 5.25%, perpetual (1)		17,931
	60,000	Residential Capital LLC, Floating Rate, 7.81%, 04/17/09 (2)		42,900
	170,000	Residential Capital LLC, Floating Rate, 7.62%, 05/22/09 (2)		121,550
	2,040,000	Residential Capital LLC, 7.50%, 02/22/11 (10)		1,280,099
	10,000	Residential Capital LLC, 8.00%, 06/01/12 (10)		6,200
	490,000	Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual (1)		486,887
	300,000	Royal Bank of Scotland Group PLC — 144A (United Kingdom), Variable Rate, 6.99%, perpetual (1)		299,620

See notes to financial statements.

104

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)

$	200,000	Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual (1)	$	205,970
	780,000	RSHB Capital — 144A (Luxembourg), 6.30%, 05/15/17		741,000
	220,000	Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16 (1)		224,691
	610,000	Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual (1)		518,691
	120,000	SLM Corp., Series MTN, 5.05%, 11/14/14		103,866
	675,000	SLM Corp., Series MTNA, 5.00%, 10/01/13		592,356
	1,005,000	SLM Corp., Series MTNA, 5.38%, 05/15/14		894,684
	40,000	SLM Corp., Series MTNA, 5.00%, 04/15/15		34,163
	105,000	SLM Corp., Series MTNA, 5.63%, 08/01/33		81,399
	400,000	SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09		397,243
	150,000	SunTrust Capital VIII, Variable Rate, 6.10%, 12/01/66 (1)		125,213
	460,000	The Bear Stearns Companies, Inc., 5.55%, 01/22/17 (5)		412,967
	380,000	The Goldman Sachs Group, Inc., 4.50%, 06/15/10		378,968
	140,000	The Goldman Sachs Group, Inc., 5.45%, 11/01/12		142,875
	270,000	TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16		262,238
	108,000	TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16		105,024
	100,000	TNK-BP Finance SA — 144A (Luxembourg), 6.63%, 03/20/17		91,500
	510,000	TNK-BP Finance SA, Series 6 — 144A, (Luxembourg), 7.88%, 03/13/18		506,175
	520,000	Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37		445,900
	1,480,000	Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37		1,265,400
	460,000	Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual (1)		411,322
	1,150,000	Wachovia Corp., 5.25%, 08/01/14		1,125,937
	340,000	Wells Fargo Capital X, 5.95%, 12/15/36		318,365

				36,521,958

		Broadcast Services/Media — 1.3%
	130,000	CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15		106,600
	10,000	Clear Channel Communications, Inc., 4.63%, 01/15/08		9,995
	20,000	Clear Channel Communications, Inc., 6.25%, 03/15/11		18,113
	90,000	Clear Channel Communications, Inc., 5.50%, 09/15/14 (8)		68,691
	50,000	Clear Channel Communications, Inc., 4.90%, 05/15/15		36,525
	320,000	Comcast Cable Communications, 8.88%, 05/01/17 (5)		382,172
	730,000	Comcast Corp., 6.50%, 01/15/15 (5)		763,036
	50,000	Comcast Corp., 6.50%, 01/15/17 (5)		52,222
	210,000	Comcast Corp., 5.88%, 02/15/18 (5)		209,762
	80,000	Cox Communications, Inc., 3.88%, 10/01/08		79,112
	235,000	CSC Holdings, Inc., Series B, 7.63%, 04/01/11		235,588
	115,000	Echostar DBS Corp., 7.00%, 10/01/13		116,725
	40,000	Echostar DBS Corp., 7.13%, 02/01/16		41,000
	1,030,000	Liberty Media Corp., 7.88%, 07/15/09		1,050,846
	20,000	News America, Inc., 6.20%, 12/15/34		19,780
	40,000	News America, Inc. — 144A, 6.65%, 11/15/37		41,395
	60,000	Rogers Cable, Inc. (Canada), 6.75%, 03/15/15		63,204
	450,000	Time Warner Cable, Inc., 5.85%, 05/01/17		451,914
	180,000	Time Warner Entertainment, 8.38%, 07/15/33		217,464
	720,000	Time Warner, Inc., 6.88%, 05/01/12 (5)		758,874

See notes to financial statements.

105

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Broadcast Services/Media (continued)

$	290,000	Time Warner, Inc., 7.70%, 05/01/32(5)	$	323,140

				5,046,158

		Chemicals — 0.1%
	280,000	FMC Finance III SA — 144A (Luxembourg), 6.88%, 07/15/17		281,400
	60,000	Georgia Gulf Corp., 9.50%, 10/15/14 (8)		48,150
	44,000	Westlake Chemical Corp., 6.63%, 01/15/16		41,800

				371,350

		Computer Equipment, Software and Services — 0.2%
	530,000	Electronic Data Systems, 7.13%, 10/15/09 (5)		547,360
	20,000	Sungard Data Systems, Inc., 9.13%, 08/15/13		20,450
	100,000	Sungard Data Systems, Inc., 10.25%, 08/15/15		102,750

				670,560

		Consumer Goods and Services — 0.2%
	490,000	Altria Group, Inc., 7.00%, 11/04/13 (5)		548,649
	190,000	Reynolds American, Inc., 6.75%, 06/15/17		194,469

				743,118

		Containers and Packaging — 0.0%
	110,000	Graham Packaging Company, LP, 8.50%, 10/15/12		103,400
	45,000	Graham Packaging Company, LP, 9.88%, 10/15/14 (8)		41,625

				145,025

		Electronics — 0.0%
	15,000	NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14		14,325
	105,000	NXP BV/NXP Funding LLC (the Netherlands), 9.50%, 10/15/15 (8)		96,469

				110,794

		Environmental Waste Management and Recycling Services — 0.2%
	600,000	Waste Management, Inc., 6.38%, 11/15/12		635,054

		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)		421,155

		Funeral Services — 0.0%
	50,000	Service Corp. International, 7.63%, 10/01/18		50,500
	55,000	Service Corp. International, 7.50%, 04/01/27		50,875

				101,375

		Insurance — 0.6%
	130,000	American International Group, Inc., Series MTNG, 5.85%, 01/16/18		131,098
	20,000	ASIF Global Financing XIX — 144A, 4.90%, 01/17/13 (5)		19,591
	600,000	Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 6.58%, 07/07/10 (2)		593,490
	1,140,000	MetLife, Inc., 6.40%, 12/15/36		1,048,062
	670,000	The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1)		629,389

				2,421,630

		Leisure and Recreation — 0.1%
	15,000	Boyd Gaming Corp., 6.75%, 04/15/14		14,363
	40,000	Boyd Gaming Corp., 7.13%, 02/01/16		38,000
	60,000	Inn of The Mountain Gods, 12.00%, 11/15/10		62,700
	60,000	Mandalay Resort Group, 9.50%, 08/01/08		61,500
	155,000	MGM MIRAGE, 7.63%, 01/15/17		153,837
	30,000	River Rock Entertainment Authority, 9.75%, 11/01/11		31,500
	140,000	Station Casinos, Inc., 7.75%, 08/15/16		127,050

				488,950

		Machinery — 0.0%
	60,000	Terex Corp., 8.00%, 11/15/17		61,050

		Manufacturing — 0.1%
	120,000	Tyco International Group SA (Luxembourg), 6.38%, 10/15/11		124,291
	440,000	Tyco International Group SA (Luxembourg), 6.00%, 11/15/13		452,806

				577,097

See notes to financial statements.

106

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)

		Medical Equipment, Supplies, and Services — 0.5%
$	190,000	Community Health Systems, Inc., 8.88%, 07/15/15	$	194,513
	230,000	DaVita, Inc., 6.63%, 03/15/13		230,000
	56,000	HCA, Inc., 6.25%, 02/15/13		49,280
	110,000	HCA, Inc., 6.75%, 07/15/13		98,450
	50,000	HCA, Inc., 9.13%, 11/15/14		52,125
	3,000	HCA, Inc., 6.50%, 02/15/16		2,550
	100,000	HCA, Inc., 9.25%, 11/15/16		105,250
	707,000	HCA, Inc., 9.63%, 11/15/16 (12)		749,419
	555,000	Tenet Healthcare Corp., 9.88%, 07/01/14		531,413
	50,000	WellPoint, Inc., 5.88%, 06/15/17		50,431

				2,063,431

		Metals and Mining — 0.4%
	320,000	Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17		344,000
	155,000	Steel Dymanics, Inc. — 144A, 7.38%, 11/01/12		156,550
	105,000	Steel Dynamics, Inc. — 144A, 6.75%, 04/01/15		101,850
	1,054,000	Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36		1,071,508

				1,673,908

		Office Equipment, Supplies, and Services — 0.0%
	30,000	Xerox Corp., 6.75%, 02/01/17		31,323

		Oil, Coal and Gas — 4.0%
	740,000	Anadarko Finance Company, Series B, 7.50%, 05/01/31 (5)		834,417
	1,360,000	Anadarko Petroleum Corp., 6.45%, 09/15/36 (5)(8)		1,389,495
	360,000	Apache Corp., 5.25%, 04/15/13 (5)		368,902
	950,000	Apache Corp., 5.63%, 01/15/17 (5)		969,521
	250,000	Chesapeake Energy Corp., 7.75%, 01/15/15		256,250
	60,000	Chesapeake Energy Corp., 6.38%, 06/15/15		58,350
	195,000	Complete Production Services, Inc., 8.00%, 12/15/16		189,638
	210,000	Conoco, Inc., 6.95%, 04/15/29 (5)		240,543
	245,000	Dynegy Holdings, Inc., 7.75%, 06/01/19		227,238
	1,660,000	El Paso Corp., 7.00%, 06/15/17		1,670,020
	19,000	El Paso Corp., Series MTN, 7.80%, 08/01/31		19,377
	92,000	El Paso Corp., Series MTN, 7.75%, 01/15/32		93,847
	110,000	El Paso Natural Gas, 8.38%, 06/15/32 (5)		129,404
	770,000	Gaz Capital (Gazprom) — 144A (Luxembourg), 6.51%, 03/07/22		733,964
	30,000	Hess Corp., 7.88%, 10/01/29 (5)		35,608
	490,000	Hess Corp., 7.30%, 08/15/31 (5)		552,039
	760,000	Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17		684,000
	200,000	Kerr-McGee Corp., 6.95%, 07/01/24		214,173
	295,000	Kerr-McGee Corp., 7.88%, 09/15/31		352,780
	310,000	Key Energy Services, Inc. — 144A, 8.38%, 12/01/14		318,525
	30,000	Kinder Morgan Energy Partners LP, 6.30%, 02/01/09		30,396
	600,000	Kinder Morgan Energy Partners LP, 6.75%, 03/15/11		629,884
	260,000	Kinder Morgan Energy Partners LP, 6.00%, 02/01/17		260,436
	110,000	Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38		115,818
	160,000	OPTI Canada, Inc. — 144A (Canada), 7.88%, 12/15/14		157,200
	120,000	OPTI Canada, Inc. — 144A (Canada), 8.25%, 12/15/14		119,400
	45,000	Peabody Energy Corp., Series B, 6.88%, 03/15/13		45,450
	940,000	Pemex Project Funding Master Trust, 6.63%, 06/15/35		995,492
	120,000	Pemex Project Funding Master Trust — 144A, 6.63%, 06/15/35		127,084

See notes to financial statements.

107

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Oil, Coal and Gas (continued)

$	720,000	Petrobras International Finance Company (Cayman Islands), 6.13%, 10/06/16	$	738,000
	25,000	Semgroup LP — 144A, 8.75%, 11/15/15		23,875
	5,000	Southern Natural Gas, 8.00%, 03/01/32		5,595
	60,000	Southern Natural Gas — 144A, 5.90%, 04/01/17		59,314
	65,000	Suburban Propane Partners, 6.88%, 12/15/13		63,375
	20,000	Tennessee Gas Pipeline, 7.63%, 04/01/37		21,612
	370,000	Williams Companies, Inc., 7.88%, 09/01/21		412,088
	380,000	Williams Companies, Inc., 7.75%, 06/15/31		418,000
	130,000	Williams Companies, Inc., 8.75%, 03/15/32		159,575
	840,000	Williams Companies, Inc., Series A, 7.50%, 01/15/31		907,200
	340,000	XTO Energy, Inc., 5.65%, 04/01/16		342,975
	10,000	XTO Energy, Inc., 6.25%, 08/01/17		10,510
	550,000	XTO Energy, Inc., 7.50%, 04/15/12		601,784

				15,583,154

		Paper and Forest Products — 0.2%
	820,000	Weyerhaeuser Company, 6.75%, 03/15/12		861,899

		Pharmaceuticals/Research and Development — 0.2%
	200,000	Abbott Laboratories, 5.60%, 11/30/17 (5)		205,874
	470,000	Wyeth, 5.95%, 04/01/37		472,878

				678,752

		Printing and Publishing — 0.1%
	310,000	Idearc, Inc., 8.00%, 11/15/16		285,975
	40,000	Sun Media Corp. (Canada), 7.63%, 02/15/13		39,150
	80,000	TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15		77,300

				402,425

		Private Asset Backed: Banks and Financial Services — 2.7%
	140,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42		136,498
	630,000	Morgan Stanley Capital I, Series 2006-IQ12, Class A4, 5.33%, 12/15/43		630,249
	750,000	Morgan Stanley Capital I, Series 2007-IQI4, Class A4, 5.69%, 04/15/49		765,933
	259,673	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 5.16%, 10/25/45 (3)		244,200
	286,081	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 5.15%, 11/25/45 (3)		268,607
	181,465	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A, Floating Rate, 5.16%, 07/25/45 (3)		171,911
	3,260,526	Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A, Floating Rate, 5.76%, 05/25/46 (3)		3,026,584
	1,934,516	Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, Floating Rate, 5.75%, 08/25/46 (3)		1,835,584
	687,990	Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, Floating Rate, 5.50%, 09/25/36 (3)		692,741
	2,818,492	Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A1B, Floating Rate, 5.60%, 07/25/47 (3)		2,570,409

				10,342,716

		Private Asset Backed: Credit Cards — 0.4%
	1,530,000	Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 5.06%, 09/15/13 (3)		1,513,184

		Private Asset Backed: Mortgage and Home Equity — 23.3%
	794,137	AAMES Mortgage Investment Trust — 144A, Series 2005-3, Class A1, Floating Rate, 5.02%, 08/25/35 (3)		778,875

See notes to financial statements.

108

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	206,280	Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 5.11%, 09/25/35 (3)	$	195,166
	85,219	Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 5.28%, 02/25/35 (3)		85,066
	53,247	Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 5.24%, 04/25/35 (3)		49,852
	1,759,011	American Home Mortgage Assets Trust, Series 2006-2, Class 2A1, Floating Rate, 5.06%, 09/25/46 (3)		1,642,497
	302,833	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, Floating Rate, 5.16%, 11/25/45 (3)		288,101
	1,214,000	Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43 (5)		1,159,479
	280,000	Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4, 5.84%, 06/10/49 (5)		286,811
	1,051,886	Banc of America Funding Corp., Series 2005-E, Class 4A1, 4.11%, 03/20/35 (5)		1,042,287
	890,534	Banc of America Mortgage Securities, Series 2003-I, Class 2A5, 4.15%, 10/25/33		881,295
	583,512	Banc of America Mortgage Securities, Series 2005-A, Class 2A1, 4.46%, 02/25/35 (5)		577,610
	293,119	Bear Stearns ALT-A Trust, Series 2004-11, Class 2A2, Floating Rate, 7.06%, 11/25/34 (3)		302,369
	3,102,342	Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 2A2, Floating Rate, 5.13%, 08/25/36 (3)		2,618,625
	1,149,927	Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A1, Floating Rate, 5.03%, 12/25/36 (3)		1,093,019
	1,724,955	Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 5.07%, 12/25/36 (3)		1,581,817
	1,893,258	Bear Stearns Second Lien Trust — 144A, Series 2007-SV1A, Class A3, Floating Rate, 5.11%, 12/25/36 (3)		1,324,788
	6,694,736	Bear Stearns Structured Products, Inc. — 144A, Series 2007-R11, Class A1A, Floating Rate, 5.73%, 09/27/37 (3)		6,560,039
	2,786,035	Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A, Floating Rate, 5.18%, 08/25/35 (3)		2,613,992
	341,651	Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.93%, 08/25/35 (3) (5)		342,494
	768,348	Countrywide Alternative Loan Trust, Series 2005-38, Class A3, Floating Rate, 5.22%, 09/25/35 (3)		729,380
	163,570	Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1, Floating Rate, 5.20%, 10/25/35 (3)		156,133
	2,241,262	Countrywide Alternative Loan Trust, Series 2005-51, Class 3A3A, Floating Rate, 5.27%, 11/20/35 (3)		2,108,040
	348,005	Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 5.12%, 11/20/35 (3)		325,787
	808,160	Countrywide Alternative Loan Trust, Series 2005-72, Class A1, Floating Rate, 5.14%, 01/25/36 (3)		762,509
	1,320,588	Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1, Floating Rate, 5.14%, 08/25/35 (3)		1,242,535
	1,009,988	Countrywide Alternative Loan Trust, Series 2006-OA2, Class A5, Floating Rate, 5.18%, 05/20/46 (3)		952,754

See notes to financial statements.

109

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	466,786	Countrywide Alternative Loan Trust, Series 2006-OA6, Class 1A1A, Floating Rate, 5.07%, 07/25/46 (3)	$	437,082
	28,702	Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 5.05%, 02/25/36 (3)		28,698
	89,905	Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35		89,052
	558,506	Countrywide Home Equity Loan Trust — 144A, Series 2006-RES, Class 4Q1B, Floating Rate, 5.33%, 12/15/33 (3)		505,889
	184,277	Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 5.26%, 12/15/35 (3)		177,270
	357,980	Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 5.27%, 09/25/35 (3)		347,860
	630,176	Countrywide Home Loans, Series 2003-60, Class 1A1, Floating Rate, 4.73%, 02/25/34 (3)(5)		613,170
	193,754	Countrywide Home Loans, Series 2004-23, Class A, Floating Rate, 7.15%, 11/25/34 (3)		193,490
	561,848	Countrywide Home Loans, Series 2005-3, Class 1A2, Floating Rate, 5.16%, 04/25/35 (3)		531,738
	394,341	Credit Suisse Mortgage Capital Certificates — 144A, Series 2006-CF2, Class A1, Floating Rate, 5.13%, 05/25/36 (3)		331,286
	3,110,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C4, Class A3, 5.47%, 09/15/39 (5)		3,140,038
	1,064,629	CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class 7A2, 4.60%, 06/25/34 (5)		1,052,847
	9,351	First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 5.27%, 12/25/32 (3)		9,340
	310,000	GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4, Floating Rate, 5.51%, 11/10/45 (3)		311,567
	210,000	GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 12/10/49		212,782
	1,000,000	GMAC Commercial Mortgage Securities, Inc. Series 2006-C1, Class A4, 5.24%, 11/10/45		994,945
	74,161	GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 7.53%, 12/19/33 (3)		74,487
	299,956	GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.65%, 03/18/35 (3)		299,108
	537,361	Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A, Floating Rate, 4.97%, 09/25/46 (3)		522,161
	1,461,915	Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A, Floating Rate, 4.95%, 02/25/47 (3)		1,414,480
	200,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39		195,310
	2,746,332	Harborview Mortgage Loan Trust, Series 2006-10, Class 2A1A, Floating Rate, 5.15%, 11/19/36 (3)		2,600,748
	134,400	Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 5.66%, 10/25/34 (3)		129,919
	1,641,495	IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.27%, 09/25/37 (3)		1,652,132
	2,622,110	IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, Floating Rate, 5.16%, 07/25/35 (3)		2,486,194

See notes to financial statements.

110

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	109,401	IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35	$	104,004
	2,590,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.82%, 06/15/49		2,685,130
	630,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.42%, 01/15/49		631,800
	996,529	JPMorgan Mortgage Trust, Series 2004-A1, Class 1A1, Floating Rate, 4.80%, 02/25/34 (3)		976,926
	301,521	JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.31%, 07/25/34 (3)		301,378
	776,464	JPMorgan Mortgage Trust, Series 2006-A2, Class 5A1, Floating Rate, 3.76%, 11/25/33 (3)		769,953
	900,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30		864,421
	100,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30		98,035
	200,000	LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 09/15/40		194,699
	226,043	Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 5.16%, 11/25/35 (3)		215,638
	1,358,528	Lehman XS Trust, Series 2005-5N, Class 3A1A, Floating Rate, 5.16%, 11/25/35 (3)		1,290,278
	181,624	Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate 5.16%, 12/25/35 (3)		175,697
	481,735	Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 4.94%, 08/25/46 (3)		472,794
	1,221,627	Lehman XS Trust, Series 2007-2N, Class 3A1, Floating Rate, 4.96%, 02/25/37 (3)		1,161,365
	1,508,392	Master Adjustable Rate Mortgages Trust, Series 2006-OA2, Class 1A1, Floating Rate, 5.59%, 12/25/46 (3)		1,416,772
	280,000	Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.38%, 08/12/48		280,589
	370,000	Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51		373,087
	1,239,587	Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A1, Floating Rate, 4.56%, 02/25/34 (3)		1,228,076
	971,230	Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34 (3)		948,728
	2,313,897	Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1, Floating Rate, 5.32%, 02/25/47 (3)		2,069,468
	500,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35		499,495
	400,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35		394,579
	330,000	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.84%, 05/12/39 (3)		340,369
	164,964	MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 5.19%, 10/25/28(3)		162,870
	612,336	Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A2, Floating Rate, 5.35%, 10/25/34 (3)		624,770
	501,723	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35		495,839
	232,837	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35		232,956
	1,165,712	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35		1,156,969

See notes to financial statements.

111

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	981,556	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A2, 6.00%, 05/25/35	$	970,303
	2,507,621	RAAC — 144A, Series 2007-RP4, Class A, Floating Rate, 5.22%, 11/25/46 (3)		2,272,482
	1,500,000	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF6, 5.88%, 06/25/37		1,398,959
	1,106,932	Residential Accredited Loans, Inc., Series 2006-Q010, Class A1, Floating Rate, 5.03%, 01/25/37 (3)		1,055,322
	1,314,092	Residential Accredited Loans, Inc., Series 2007-Q01, Class A1, Floating Rate, 5.02%, 02/25/37 (3)		1,258,427
	2,481,055	Residential Accredited Loans, Inc., Series 2007-Q04, Class A1A, Floating Rate, 5.06%, 05/25/47 (3)		2,345,296
	2,700,000	Securitized Asset Backed Receivables LLC, Series 2007-BR3, Class A2B, Floating Rate, 5.09%, 04/25/37 (3)		2,064,259
	994,169	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, Floating Rate, 5.36%, 01/25/35 (3)		988,228
	1,576,794	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35		1,552,838
	653,387	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-16XS, Class A1, Floating Rate, 5.20%, 08/25/35 (3)		632,466
	873,495	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, Floating Rate, 5.19%, 10/25/35 (3)		827,721
	149,063	Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 5.32%, 01/19/34 (3)		148,925
	465,911	Structured Asset Mortgage Investments, Inc., Series 2006-AR6, Class 1A3, Floating Rate, 5.06%, 07/25/36 (3)		441,664
	2,684,837	Structured Asset Securities Corp. — 144A, Series 2007-TC1, Class A, Floating Rate, 5.16%, 04/25/31 (3)		2,381,316
	1,350,855	Thornburg Mortgage Securities Trust, Series 2004-2, Class A4, Floating Rate, 5.12%, 06/25/44 (3)		1,350,890
	911,628	Thornburg Mortgage Securities Trust, Series 2005-4, Class A4, Floating Rate, 5.07%, 12/25/08 (3)		908,863
	866,008	Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 5.03%, 01/25/09 (3)		838,025
	1,365,855	Zuni Mortgage Loan Trust, Series 2006-0A1, Class A1, Floating Rate, 4.99%, 08/25/36 (3)		1,306,575

				90,962,157

		Private Asset Backed: Other — 0.1%
	438,622	SLM Student Loan Trust, Series 2006-5, Class A2, Floating Rate, 5.07%, 07/25/17 (2)		438,583

		Real Estate Development and Services — 0.1%
	35,000	Forest City Enterprises, Inc., 7.63%, 06/01/15		33,950
	30,000	Forest City Enterprises, Inc., 6.50%, 02/01/17		27,300
	520,000	Realogy Corp. — 144A, 12.38%, 04/15/15		328,900

				390,150

		Real Estate Investment Trusts — 0.0%
	40,000	Host Marriott LP, Series Q, 6.75%, 06/01/16		39,600
	10,000	Ventas Realty LP/Ventas Capital Corp., 9.00%, 05/01/12		10,800
	30,000	Ventas Realty LP/Ventas Capital Corp., 6.50%, 06/01/16		29,550

				79,950

		Retail — 0.2%
	780,000	CVS Caremark Corp. — 144A, 6.94%, 01/10/30		784,520

See notes to financial statements.

112

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)

		Scientific and Technical Instruments — 0.1%
$	100,000	Cie Generale de Geophysique (France), 7.50%, 05/15/15	$	101,750
	105,000	Cie Generale de Geophysique (France), 7.75%, 05/15/17		106,575

				208,325

		Semiconductors — 0.0%
	35,000	Freescale Semiconductor, Inc., 8.88%, 12/15/14		31,413

		Telecommunications Equipment and Services — 1.6%
	340,000	America Movil SAB de CV (Mexico), 5.63%, 11/15/17 (5)		333,912
	410,000	AT&T, Inc., 5.10%, 09/15/14		406,327
	10,000	Bellsouth Corp., 4.75%, 11/15/12 (5)		9,904
	95,000	Citizens Communications Company, 7.13%, 03/15/19		90,725
	100,000	Citizens Communications Company, 7.88%, 01/15/27		95,750
	375,000	Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16 (5)		375,960
	1,290,000	Embarq Corp., 6.74%, 06/01/13 (5)		1,335,848
	40,000	Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16		40,400
	40,000	Intelsat Bermuda, Ltd. (Bermuda), 11.25%, 06/15/16		41,500
	50,000	Intelsat Corp., 9.00%, 06/15/16		50,625
	320,000	Koninklijke KPN NV (the Netherlands), 8.00%, 10/01/10		343,401
	445,000	Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30		535,056
	170,000	Level 3 Financing, Inc., 9.25%, 11/01/14		154,700
	300,000	Nextel Communications, Inc., Series E, 6.88%, 10/31/13		295,781
	63,000	Qwest Communications International, Inc., Floating Rate, 8.37%, 02/15/09 (2)		63,315
	55,000	Qwest Communications International, Inc., Series B, 7.50%, 02/15/14		55,138
	150,000	Sprint Capital Corp., 8.38%, 03/15/12		162,598
	540,000	Sprint Capital Corp., 6.90%, 05/01/19		537,459
	80,000	Sprint Capital Corp., 8.75%, 03/15/32		90,418
	390,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		380,553
	160,000	Verizon Global Funding Corp., 7.38%, 09/01/12		176,833
	560,000	Verizon New York, Inc., Series A, 6.88%, 04/01/12		594,710
	165,000	Windstream Corp., 8.63%, 08/01/16		174,075

				6,344,988

		Transportation — 0.1%
	40,000	Gulfmark Offshore, Inc., 7.75%, 07/15/14		40,600
	130,000	Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11		136,988
	180,000	Union Pacific Corp., 5.38%, 05/01/14		177,149

				354,737

		Utilities — 2.7%
	67,000	AES Corp., 7.75%, 03/01/14		67,838
	210,000	AES Corp. — 144A, 7.75%, 10/15/15		214,200
	1,130,000	AES Corp. — 144A, 8.00%, 10/15/17		1,161,074
	30,000	Dominion Resources, Inc., 4.75%, 12/15/10 (5)		30,079
	580,000	Dominion Resources, Inc., 5.70%, 09/17/12 (5)(8)		596,192
	590,000	Duke Energy Carolinas, 5.63%, 11/30/12 (5)		613,006
	110,000	Edison Mission Energy, 7.00%, 05/15/17		108,625
	140,000	Edison Mission Energy, 7.20%, 05/15/19		138,250
	50,000	Edison Mission Energy, 7.63%, 05/15/27		47,250
	530,000	Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17		535,300

See notes to financial statements.

113

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal				Value

			Corporate Bonds and Notes (continued)
			Utilities (continued)

$	2,970,000		Energy Future Holdings Corp. — 144A, 11.25%, 11/01/17 (12)	$	3,014,549
	370,000		Exelon Corp., 5.63%, 06/15/35 (5)		331,511
	650,000		FirstEnergy Corp., Series B, 6.45%, 11/15/11		671,770
	515,000		FirstEnergy Corp., Series C, 7.38%, 11/15/31		566,735
	75,000		NRG Energy, Inc., 7.25%, 02/01/14		73,313
	170,000		NRG Energy, Inc., 7.38%, 02/01/16		166,175
	45,000		NRG Energy, Inc., 7.38%, 01/15/17		43,988
	620,000		Pacific Gas & Electric Company, 5.63%, 11/30/17		623,049
	210,000		Pacific Gas & Electric Company, 6.05%, 03/01/34		210,336
	140,000		Pacific Gas & Electric Company, 5.80%, 03/01/37		135,461
	440,000		TXU Corp., Series P, 5.55%, 11/15/14		353,401
	200,000		TXU Corp., Series Q, 6.50%, 11/15/24		146,882
	755,000		TXU Corp., Series R, 6.55%, 11/15/34		550,175

					10,399,159

			Total Corporate Bonds and Notes (Cost $203,219,841)		195,372,824

Shares

			Preferred Stocks — 0.6%
			Banks and Financial Services
	35,000		Fannie Mae, Variable Rate, 8.25% (1)		872,305
	1,300		Fannie Mae, Series O, Floating Rate, 7.50% (2)		61,750
	50,000		Freddie Mac, Series Z, Variable Rate, 8.38% (1)		1,307,500

			Total Preferred Stocks (Cost $2,194,160)		2,241,555

Principal

			Convertible Bonds — 0.0%
			Automobiles/Motor Vehicles, Automotive Equipment and Repairs
$	30,000		Ford Motor Company, 4.25%, 12/15/36 (Cost $30,000)		29,963

			Municipal Bonds — 0.2%
			Virginia
	597,494		Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $587,817)		597,554

			Foreign Government Obligations — 0.4%
	1,049,400		Russian Federation — 144A (Russia), 7.50%, 03/31/30		1,203,958
	8,000		United Mexican States (Mexico), 5.63%, 01/15/17		8,128
	439,000		United Mexican States, Series MTNA (Mexico), 6.75%, 09/27/34		485,973

			Total Foreign Government Obligations (Cost $1,609,291)		1,698,059

			Securities Lending Collateral — 6.2%
	24,138,321		Securities Lending Collateral Investment (Note 4) (Cost $24,138,321)		24,138,321

			Total Securities (Cost $473,414,435)		468,421,691

			Repurchase Agreements — 11.2%
	43,753,077		With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $43,762,314 (Collateralized by US Treasury Note, 4.88%, due 04/30/08, with a value of $47,618,990) (Cost $43,753,077)		43,753,077

			Total Investments before Call and Put Options Written — 131.2% (Cost $517,167,512)		512,174,768

Contracts

			Call Options Written — (0.1)%
	(124	)	US Treasury Note (10 Year) March Future, Expiring February 2008 @ 111		(352,625	)
	(17	)	US Treasury Note (10 Year) March Future, Expiring February 2008 @ 112		(36,391	)

			Total Call Options Written (Premium $101,733)		(389,016	)

See notes to financial statements.

114

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Contracts				Value

			Put Options Written — (0.0)%
	(38	)	US Treasury Note (10 Year) March Future, Expiring February 2008 @ 107	$	(1,781	)
	(80	)	US Treasury Note (10 Year) March Future, Expiring February 2008 @ 112		(60,000	)

			Total Put Options Written (Premium $96,535)		(61,781	)

			Total Investments net of Call and Put Options Written — 131.1% (Cost $516,969,244)		511,723,971
			Liabilities less other assets — (31.1)%		(121,436,475	)

			Net Assets — 100.0%	$	390,287,496

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $517,236,637.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	4,357,489
Gross unrealized depreciation		(9,419,358	)

Net unrealized depreciation	$	(5,061,869	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

115

HIGH YIELD BOND PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Principal			Value

		Corporate Bonds and Notes — 80.0%
		Advertising — 1.3%
$	470,000	Affinion Group, Inc., 10.13%, 10/15/13	$	477,638
	945,000	Affinion Group, Inc., 11.50%, 10/15/15		932,006
	1,305,000	RH Donnelley Corp., 6.88%, 01/15/13		1,174,500
	4,570,000	RH Donnelley Corp. — 144A, 8.88%, 10/15/17		4,250,100

				6,834,244

		Aerospace and Defense — 0.8%
	980,000	DRS Technologies, Inc., 7.63%, 02/01/18		997,150
	480,000	Hawker Beechcraft Acquisition Company — 144A, 8.50%, 04/01/15		481,200
	765,000	Hawker Beechcraft Acquisition Company — 144A, 8.88%, 04/01/15		759,263
	480,000	Hawker Beechcraft Acquisition Company — 144A, 9.75%, 04/01/17		478,800
	1,725,000	Transdigm, Inc., 7.75%, 07/15/14		1,759,500

				4,475,913

		Airlines — 0.1%
	454,392	Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11		441,435

		Apparel: Manufacturing and Retail — 2.0%
	2,060,000	Levi Strauss & Company, 9.75%, 01/15/15		2,065,150
	415,000	Levi Strauss & Company, 8.88%, 04/01/16		403,588
	2,695,000	Oxford Industries, Inc., 8.88%, 06/01/11		2,695,000
	4,140,000	Perry Ellis International, Inc., Series B, 8.88%, 09/15/13		4,015,799
	655,000	Phillips Van-Heusen Corp., 7.25%, 02/15/11		662,369
	685,000	Phillips Van-Heusen Corp., 8.13%, 05/01/13		705,550

				10,547,456

		Automobile: Rental — 0.0%
	430,000	Neff Corp., 10.00%, 06/01/15		236,500

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.7%
	760,000	American Axle and Manufacturing, Inc., 7.88%, 03/01/17		689,700
	395,000	Commercial Vehicle Group, 8.00%, 07/01/13		359,450
	3,735,000	General Motors Corp., 6.38%, 05/01/08		3,716,325
	2,725,000	General Motors Corp., 7.20%, 01/15/11		2,513,813
	1,130,000	Tenneco Automotive, Inc., Series B, 10.25%, 07/15/13		1,209,100
	645,000	Tenneco, Inc. — 144A, 8.13%, 11/15/15		641,775

				9,130,163

		Banks and Financial Services — 4.9%
	2,050,000	E*TRADE Financial Corp., 7.88%, 12/01/15		1,573,375
	3,090,000	Ford Motor Credit Company, 7.38%, 10/28/09		2,909,643
	1,465,000	Ford Motor Credit Company, 7.88%, 06/15/10		1,352,432
	100,000	Ford Motor Credit Company, 9.88%, 08/10/11		94,652
	535,000	Ford Motor Credit Company LLC, 5.80%, 01/12/09		507,940
	2,800,000	Ford Motor Credit Company LLC, 9.75%, 09/15/10		2,673,300
	335,000	Ford Motor Credit Company LLC, 7.38%, 02/01/11		300,193
	470,000	General Motors Acceptance Corp., 5.85%, 01/14/09		449,586
	6,990,000	General Motors Acceptance Corp., 7.00%, 02/01/12		5,935,488
	1,210,000	GMAC LLC, Floating Rate, 6.12%, 05/15/09 (2)		1,127,410
	1,770,000	GMAC LLC, 7.75%, 01/19/10		1,651,842
	3,530,000	GMAC LLC, 7.25%, 03/02/11		3,096,269
	215,000	KAR Holdings, Inc — 144A, 8.75%, 05/01/14		198,875
	745,000	KAR Holdings, Inc. — 144A, Floating Rate, 8.91%, 05/01/14 (2)		679,813
	325,000	Nuveen Investments, Inc., 5.00%, 09/15/10		298,188
	3,505,000	Nuveen Investments, Inc. — 144A, 10.50%, 11/15/15		3,509,381

				26,358,387

		Broadcast Services/Media — 2.4%
	1,095,000	Cablevision Systems Corp., Series B, 8.00%, 04/15/12		1,067,625
	795,000	CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15		651,900
	1,990,000	CCH II, LLC/CCH II Capital Corp., Series B, 10.25%, 09/15/10		1,950,200
	5,970,000	CCO Holdings LLC/Capital Corp., 8.75%, 11/15/13		5,731,199

See notes to financial statements.

116

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Broadcast Services/Media (continued)

$	1,235,000	Kabel Deutschland GMBH (Germany), 10.63%, 07/01/14	$	1,302,925
	570,000	LBI Media, Inc., zero coupon, 10/15/13 (7)		517,988
	1,475,000	Mediacom Broadband LLC/Mediacom Broadband Corp., 8.50%, 10/15/15		1,314,594
	605,000	Rainbow National Services LLC — 144A, 10.38%, 09/01/14		658,694

				13,195,125

		Business Services and Supplies — 0.4%
	2,050,000	CEVA Group PLC — 144A (United Kingdom), 10.00%, 09/01/14		2,116,625

		Chemicals — 1.0%
	2,230,000	Ineos Group Holdings PLC — 144A (United Kingdom), 8.50%, 02/15/16		1,995,850
	830,000	Nova Chemicals Corp. (Canada), Floating Rate, 7.86%, 11/15/13 (11)		780,200
	2,600,000	Reichhold Industries, Inc. — 144A, 9.00%, 08/15/14		2,600,000

				5,376,050

		Computer Equipment, Software and Services — 1.3%
	4,430,000	Ceridian Corp. — 144A, 11.25%, 11/15/15		4,119,900
	1,800,000	Interface, Inc., 10.38%, 02/01/10		1,894,500
	170,000	Interface, Inc., 9.50%, 02/01/14		178,500
	575,000	Sungard Data Systems, Inc., 9.13%, 08/15/13		587,938

				6,780,838

		Construction Services and Supplies — 2.1%
	1,775,000	Dayton Superior Corp., 10.75%, 09/15/08		1,830,469
	775,000	ESCO Corp. — 144A, 8.63%, 12/15/13		778,875
	775,000	ESCO Corp. — 144A, Floating Rate, 8.87%, 12/15/13 (2)		763,375
	650,000	Interline Brands, Inc., 8.13%, 06/15/14		646,750
	3,755,000	Nortek, Inc., 8.50%, 09/01/14		3,022,775
	1,985,000	NTK Holdings, Inc., zero coupon, 03/01/14 (7)		1,171,150
	3,025,000	Panolam Industries International, 10.75%, 10/01/13		2,646,875
	330,000	Stanley-Martin Communities LLC, 9.75%, 08/15/15		199,650

				11,059,919

		Consumer Goods and Services — 2.5%
	3,365,000	Amscan Holdings, Inc., 8.75%, 05/01/14		3,078,975
	2,245,000	Revlon Consumer Products Corp., 8.63%, 02/01/08		2,242,194
	4,770,000	Yankee Acquisition Corp., Series B, 8.50%, 02/15/15		4,418,212
	3,840,000	Yankee Acquisition Corp., Series B, 9.75%, 02/15/17		3,532,800

				13,272,181

		Containers and Packaging — 2.0%
	1,055,000	Intertape Polymer US, Inc., 8.50%, 08/01/14		969,281
	400,000	Jefferson Smurfit Corp., 7.50%, 06/01/13		385,000
	1,111,021	Pliant Corp., 11.85%, 06/15/09 (14)		1,132,945
	850,000	Smurfit-Stone Container Corp., 8.38%, 07/01/12		847,875
	7,695,000	Smurfit-Stone Container Corp., 8.00%, 03/15/17		7,473,769

				10,808,870

		Distribution — 0.7%
	2,760,000	Sally Holdings LLC, 9.25%, 11/15/14		2,746,200
	440,000	Sally Holdings LLC, 10.50%, 11/15/16		435,600
	440,000	Varietal Distribution Holdings LLC — 144A, 10.25%, 07/15/15(12)		421,300

				3,603,100

		Diversified Operations and Services — 0.2%
	1,150,000	ARAMARK Services, Inc., 8.50%, 02/01/15		1,170,125

		Education — 1.1%
	1,700,000	Education Management LLC, 8.75%, 06/01/14		1,714,875
	3,960,000	Education Management LLC, 10.25%, 06/01/16		4,098,600

				5,813,475

		Electronics — 0.1%
	550,000	Muzak LLC, 10.00%, 02/15/09		517,688
	120,000	NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14		114,600

				632,288

See notes to financial statements.

117

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)

		Energy Services — 0.1%
$	475,000	Verasun Energy Corp., 9.88%, 12/15/12	$	480,938

		Engineering — 0.1%
	740,000	Alion Science & Technology Corp., 10.25%, 02/01/15		634,550

		Environmental Waste Management and Recycling Services — 0.9%
	400,000	Aleris International, Inc., 9.00%, 12/15/14		336,000
	3,430,000	Aleris International, Inc., 10.00%, 12/15/16		2,795,450
	1,800,000	Waste Services, Inc., 9.50%, 04/15/14		1,764,000

				4,895,450

		Food and Beverage — 1.6%
	3,725,000	ASG Consolidated LLC/ASG Finance, Inc., zero coupon, 11/01/11 (7)		3,501,500
	2,810,000	Dole Foods Company, Inc., 8.63%, 05/01/09		2,725,700
	2,070,000	Dole Foods Company, Inc., 7.25%, 06/15/10		1,894,050
	420,000	Pierre Foods, Inc., 9.88%, 07/15/12		308,700

				8,429,950

		Funeral Services — 0.1%
	325,000	Service Corp. International, 7.00%, 06/15/17		312,813

		Insurance — 0.7%
	1,120,000	Alliant Holdings I, Inc. — 144A, 11.00%, 05/01/15		1,069,600
	2,825,000	Multiplan, Inc. — 144A, 10.38%, 04/15/16		2,825,000

				3,894,600

		Leisure and Recreation — 11.5%
	2,465,000	AMC Entertainment, Inc., 8.00%, 03/01/14		2,329,425
	2,335,000	AMC Entertainment, Inc., 11.00%, 02/01/16		2,469,263
	2,000,000	Buffalo Thunder Development Authority — 144A, 9.38%, 12/15/14		1,790,000
	1,105,000	CCM Merger, Inc. — 144A, 8.00%, 08/01/13		1,046,988
	935,000	Chukchansi Economic Development Authority — 144A, Floating Rate, 8.24%, 11/15/12 (11)		916,300
	181,058	Eldorado Casino Shreveport, 10.00%, 08/01/12		180,379
	5,645,000	Fontainebleau Las Vegas — 144A, 10.25%, 06/15/15		4,925,262
	2,020,000	Galaxy Entertainment Finance — 144A (Hong Kong), Floating Rate, 9.83%, 12/15/10 (11)		2,075,550
	2,240,000	Galaxy Entertainment Finance — 144A (Hong Kong), 9.88%, 12/15/12		2,374,400
	1,555,000	GreekTown Holdings — 144A, 10.75%, 12/01/13		1,520,013
	1,201,508	HRP Myrtle Beach Holdings/CA — 144A, 14.50%, 04/01/14 (12)		1,130,919
	1,730,000	HRP Myrtle Beach Operations/CA — 144A, Floating Rate, 9.89%, 04/01/12 (11)		1,656,475
	945,000	HRP Myrtle Beach Operations/CA — 144A, 12.50%, 04/01/13		889,481
	1,810,000	Indianapolis Downs Capital LLC & Capital Corp. — 144A, 11.00%, 11/01/12		1,755,700
	2,420,000	Inn of The Mountain Gods, 12.00%, 11/15/10		2,528,900
	890,000	Majestic Holdco LLC — 144A, zero coupon, 10/15/11 (7)		614,100
	3,365,000	Marquee Holdings, Inc., 12.00%, 08/15/14		2,708,825
	1,045,000	MGM MIRAGE, 7.50%, 06/01/16		1,039,775
	235,000	Mohegan Tribal Gaming Authority, 8.00%, 04/01/12		239,700
	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		1,464,563
	595,000	Pokagon Gaming Authority — 144A, 10.38%, 06/15/14		642,600
	475,000	San Pasqual Casino — 144A, 8.00%, 09/15/13		470,250
	995,000	Seminole Hard Rock Entertainment — 144A, Floating Rate, 7.49%, 03/15/14 (2)		955,200
	455,000	Station Casinos, Inc., 6.00%, 04/01/12		407,225
	250,000	Station Casinos, Inc., 7.75%, 08/15/16		226,875
	1,340,000	The Majestic Star Casino LLC — 144A, 9.50%, 10/15/10		1,273,000
	2,720,000	Travelport LLC, 9.88%, 09/01/14		2,774,400
	7,865,000	Trump Entertainment Resorts, Inc., 8.50%, 06/01/15		6,026,555

See notes to financial statements.

118

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Leisure and Recreation (continued)

$	2,435,000	Tunica-Biloxi Gaming Authority — 144A, 9.00%, 11/15/15	$	2,501,963
	375,000	Turning Stone Resort Casino — 144A, 9.13%, 09/15/14		384,375
	2,380,000	Universal City Development Partners, Ltd., 11.75%, 04/01/10		2,469,250
	4,000,000	Universal City Florida, Floating Rate, 9.66%, 05/01/10 (2)		4,019,999
	3,901,000	Waterford Gaming LLC/Waterford Gaming Finance — 144A, 8.63%, 09/15/14		3,920,505
	640,000	WMG Acquisition Corp., 7.38%, 04/15/14		496,000

				62,510,590

		Machinery — 1.0%
	1,680,000	Altra Industrial Motion, Inc., 9.00%, 12/01/11		1,713,600
	830,000	Chart Industries, Inc., 9.13%, 10/15/15		854,900
	2,585,000	Stewart & Stevenson LLC, 10.00%, 07/15/14		2,610,850

				5,179,350

		Manufacturing — 1.0%
	1,000,000	American Railcar Industries, Inc., 7.50%, 03/01/14		950,000
	1,535,000	Bombardier, Inc. — 144A (Canada), 8.00%, 11/15/14		1,611,750
	1,260,000	Harland Clarke Holdings, 9.50%, 05/15/15		1,096,200
	965,000	RBS Global & Rexnord Corp., 9.50%, 08/01/14		960,175
	870,000	RBS Global & Rexnord Corp., 11.75%, 08/01/16		854,775
	720,000	Venture Holdings Trust, Series B, 9.50%, 07/01/05 (9)(13)		216

				5,473,116

		Medical Equipment, Supplies, and Services — 6.6%
	1,260,000	Accellent, Inc., 10.50%, 12/01/13		1,064,700
	2,900,000	Advanced Medical Optics, 7.50%, 05/01/17		2,682,499
	2,235,000	AMR Holding Company/Emcare Holding Company, 10.00%, 02/15/15		2,369,100
	2,245,000	Bausch & Lomb, Inc. — 144A, 9.88%, 11/01/15		2,284,288
	8,355,000	HCA, Inc., 8.75%, 09/01/10		8,469,880
	840,000	HCA, Inc., 7.88%, 02/01/11		823,200
	2,420,000	HCA, Inc., 9.13%, 11/15/14		2,522,850
	1,525,000	HCA, Inc., 9.25%, 11/15/16		1,605,063
	2,085,000	National Mentor Holdings, Inc., 11.25%, 07/01/14		2,157,975
	1,170,000	Norcross Safety Products LLC — Series B, 9.88%, 08/15/11		1,208,025
	1,000,000	Omnicare, Inc., 6.88%, 12/15/15		935,000
	985,000	Res-Care, Inc., 7.75%, 10/15/13		980,075
	2,467,544	Safety Products Holdings, Series B, 11.75%, 01/01/12 (12)(14)		2,581,668
	425,000	Universal Hospital Services, Inc., Floating Rate, 8.29%, 06/01/15 (11)		427,125
	425,000	Universal Hospital Services, Inc., 8.50%, 06/01/15 (12)		431,375
	3,095,000	US Oncology, Inc., 9.00%, 08/15/12		3,067,918
	1,775,000	US Oncology, Inc., 10.75%, 08/15/14		1,761,688
	289,000	Viant Holdings, Inc. — 144A, 10.13%, 07/15/17		265,880

				35,638,309

		Metals and Mining — 1.8%
	800,000	CII Carbon LLC — 144A, 11.13%, 11/15/15		792,000
	1,065,000	FMG Finance Property, Ltd. — 144A (Australia), Floating Rate, 9.12%, 09/01/11 (2)		1,096,950
	2,585,000	FMG Finance Property, Ltd. — 144A (Australia), 10.63%, 09/01/16		2,972,750
	2,145,000	RathGibson, Inc., 11.25%, 02/15/14		2,155,725
	215,000	Ryerson, Inc. — 144A, Floating Rate, 12.57%, 11/01/14 (2)		207,475
	325,000	Ryerson, Inc. — 144A, 12.00%, 11/01/15		322,563
	2,285,000	Steel Dymanics, Inc. — 144A, 7.38%, 11/01/12		2,307,850

				9,855,313

		Oil, Coal and Gas — 6.6%
	1,990,000	Allis-Chalmers Energy, Inc., 9.00%, 01/15/14		1,970,099
	480,000	Allis-Chalmers Energy, Inc., 8.50%, 03/01/17		460,800
	415,000	Alpha Natural Resources, 10.00%, 06/01/12		440,938

See notes to financial statements.

119

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Oil, Coal and Gas (continued)

$	695,000	Cimarex Energy Company, 7.13%, 05/01/17	$	686,313
	1,025,000	Clayton William Energy, 7.75%, 08/01/13		902,000
	2,020,000	Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13		1,888,699
	290,000	Denbury Resources, Inc., 7.50%, 12/15/15		294,350
	870,000	Dynegy Holdings, Inc., 8.38%, 05/01/16		854,775
	2,320,000	Dynegy Holdings, Inc., 7.75%, 06/01/19		2,151,799
	1,550,000	Dynegy Holdings, Inc., 7.63%, 10/15/26		1,325,250
	740,000	El Paso Corp., 9.63%, 05/15/12		814,131
	685,000	Encore Acquisition Corp., 7.25%, 12/01/17		655,888
	1,305,000	Inergy LP/Inergy Finance Corp., 6.88%, 12/15/14		1,275,638
	135,000	Inergy LP/Inergy Finance Corp., 8.25%, 03/01/16		140,400
	1,055,000	Ocean Rig Norway AS — 144A (Norway), 8.38%, 07/01/13		1,126,213
	1,075,000	OPTI Canada, Inc. — 144A (Canada), 7.88%, 12/15/14		1,056,188
	970,000	OPTI Canada, Inc. — 144A (Canada), 8.25%, 12/15/14		965,150
	525,000	Parker Drilling Company, 9.63%, 10/01/13		560,438
	4,215,000	Petrohawk Energy Corp., 9.13%, 07/15/13		4,457,362
	255,000	Petroplus Finance, Ltd. — 144A (Bermuda), 6.75%, 05/01/14		238,744
	1,980,000	Petroplus Finance, Ltd. — 144A (Bermuda), 7.00%, 05/01/17		1,821,600
	1,435,000	Plains Exploration & Production Company, 7.00%, 03/15/17		1,379,394
	1,015,000	Quicksilver Resources, Inc., 7.13%, 04/01/16		1,002,313
	440,000	Ram Energy, Inc., 11.50%, 02/15/08		443,300
	2,985,000	Semgroup LP — 144A, 8.75%, 11/15/15		2,850,674
	290,000	SESI LLC, 6.88%, 06/01/14		281,300
	5,205,000	United Refining Company, 10.50%, 08/15/12		5,283,074

				35,326,830

		Paper and Forest Products — 2.1%
	115,000	Georgia-Pacific Corp., 9.50%, 12/01/11		121,325
	4,125,000	NewPage Corp., 10.00%, 05/01/12		4,166,250
	665,000	NewPage Corp., Floating Rate, 11.16%, 05/01/12 (2)		689,106
	2,265,000	NewPage Corp., 12.00%, 05/01/13		2,349,938
	1,070,000	Newpage Corp. — 144A, 10.00%, 05/01/12		1,080,700
	2,805,000	Verso Paper Holdings LLC, Series B, 11.38%, 08/01/16		2,861,100

				11,268,419

		Printing and Publishing — 2.7%
	2,181,634	CanWest Media, Inc. (Canada), 8.00%, 09/15/12		2,069,825
	1,461,000	Dex Media West Finance Company, Series B, 9.88%, 08/15/13		1,523,093
	2,855,000	Idearc, Inc., 8.00%, 11/15/16		2,633,738
	475,000	MediaNews Group, Inc., 6.88%, 10/01/13		299,250
	1,365,000	Medimedia USA, Inc. — 144A, 11.38%, 11/15/14		1,412,775
	1,860,000	Nielsen Finance LLC/Nielsen Finance Company, 10.00%, 08/01/14		1,911,150
	5,390,000	Reader’s Digest Association — 144A, 9.00%, 02/15/17		4,541,074

				14,390,905

		Real Estate Development and Services — 0.1%
	630,000	Ashton Woods USA, LLC/Ashton Woods Finance Company, 9.50%, 10/01/15		406,350

		Retail — 7.0%
	1,295,000	Bon-Ton Department Stores, Inc., 10.25%, 03/15/14		984,200
	4,950,000	GameStop Corp., 8.00%, 10/01/12		5,178,937
	1,925,000	General Nutrition Centers, Inc., Floating Rate, 10.01%, 03/15/14 (12)		1,828,750
	1,925,000	General Nutrition Centers, Inc., 10.75%, 03/15/15		1,799,875
	2,555,000	Michaels Stores, Inc., 10.00%, 11/01/14		2,440,025
	2,795,000	Michaels Stores, Inc., 11.38%, 11/01/16		2,578,388
	2,020,000	Neiman Marcus Group, Inc., 9.00%, 10/15/15		2,093,225

See notes to financial statements.

120

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Retail (continued)

$	8,110,000	Neiman Marcus Group, Inc., 10.38%, 10/15/15	$	8,485,087
	2,910,000	Rite Aid Corp., 7.50%, 01/15/15		2,648,100
	885,000	Rite Aid Corp., 8.63%, 03/01/15		717,956
	1,110,000	Rite Aid Corp., 9.38%, 12/15/15		926,850
	3,295,000	Rite Aid Corp., 7.50%, 03/01/17		2,920,194
	4,435,000	Rite Aid Corp., 9.50%, 06/15/17		3,692,137
	2,660,000	Toys “R” Us, Inc., 7.38%, 10/15/18		1,935,150

				38,228,874

		Retail: Restaurants — 0.7%
	1,720,000	El Pollo Loco, Inc., 11.75%, 11/15/13		1,634,000
	2,220,000	NPC International, Inc., Series WI, 9.50%, 05/01/14		1,998,000

				3,632,000

		Rubber Products — 0.2%
	960,000	The Goodyear Tire & Rubber Company, Floating Rate, 8.66%, 12/01/09 (11)		972,000

		Semiconductors — 1.5%
	4,710,000	Advanced Micro Devices, Inc., 7.75%, 11/01/12		4,109,475
	1,105,000	Amkor Technology, Inc., 7.75%, 05/15/13		1,045,606
	825,000	Avago Technologies Finance Pte., Ltd., 10.13%, 12/01/13		867,281
	605,000	Avago Technologies Finance Pte., Ltd., 11.88%, 12/01/15		649,619
	1,600,000	Freescale Semiconductor, Inc., 8.88%, 12/15/14		1,436,000

				8,107,981

		Telecommunications Equipment and Services — 4.8%
	1,460,000	Centennial Cellular/Communications, 10.13%, 06/15/13		1,540,300
	1,170,000	Citizens Communications Company, 7.13%, 03/15/19		1,117,350
	2,455,000	Digicel Group, Ltd. — 144A (Bermuda), 8.88%, 01/15/15		2,252,463
	2,787,000	Digicel Group, Ltd. — 144A (Bermuda), 9.13%, 01/15/15		2,550,105
	2,060,000	Digicel, Ltd. — 144A (Bermuda), 9.25%, 09/01/12		2,109,028
	3,600,000	Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16		3,635,999
	1,210,000	Level 3 Financing, Inc., 9.25%, 11/01/14		1,101,100
	2,275,000	Level 3 Financing, Inc., 8.75%, 02/15/17		1,962,188
	1,745,000	Qwest Communications International, Inc., Series B, 7.50%, 02/15/14		1,749,363
	470,000	Qwest Corp., 7.63%, 06/15/15		480,575
	110,000	Qwest Corp., 7.20%, 11/10/26		104,225
	500,000	Virgin Media Finance PLC (United Kingdom), 9.13%, 08/15/16		497,500
	3,610,000	West Corp., 9.50%, 10/15/14		3,555,850
	905,000	Windstream Corp., 8.13%, 08/01/13		941,200
	1,870,000	Windstream Corp., 8.63%, 08/01/16		1,972,850
	445,000	Windstream Regatta Holdings, Inc. — 144A, 11.00%, 12/01/17		442,775

				26,012,871

		Transportation — 1.0%
	805,000	Kansas City Southern de Mexico — 144A (Mexico), 7.38%, 06/01/14		784,875
	1,295,000	Kansas City Southern de Mexico (Mexico), 7.63%, 12/01/13		1,283,669
	2,325,000	TFM, SA de CV (Mexico), 9.38%, 05/01/12		2,447,062
	772,000	Travelport LLC, 11.88%, 09/01/16		827,005

				5,342,611

		Utilities — 3.3%
	222,000	AES Corp. — 144A, 8.75%, 05/15/13		232,823
	580,000	AES Corp. — 144A, 8.00%, 10/15/17		595,950
	446,834	AES Eastern Energy, Series 99-A, 9.00%, 01/02/17		483,698
	1,040,000	Edison Mission Energy, 7.50%, 06/15/13		1,071,200
	4,065,000	Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17		4,105,649

See notes to financial statements.

121

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Utilities (continued)

$	660,000	NRG Energy, Inc., 7.25%, 02/01/14	$	645,150
	655,000	NRG Energy, Inc., 7.38%, 02/01/16		640,263
	2,005,000	NRG Energy, Inc., 7.38%, 01/15/17		1,959,888
	2,015,000	Orion Power Holdings, Inc., 12.00%, 05/01/10		2,206,425
	210,000	Reliant Energy, Inc., 7.63%, 06/15/14		208,950
	630,000	Reliant Energy, Inc., 7.88%, 06/15/17		626,850
	4,825,000	Texas Competitive Electric Holdings Company LLC — 144A, 10.25%, 11/01/15		4,800,875

				17,577,721

		Total Corporate Bonds and Notes (Cost $447,571,638)		430,424,235

		Loan Participations — 11.5%
	2,793,000	ADESA, Inc., Term Loan B, Floating Rate, 7.08%, 10/20/13 (2)		2,628,411
	992,500	Advanced Medical Optics, Inc., Term Loan B, Floating Rate, 6.95%, 04/02/14 (2)		929,848
	875,600	AMSCAN Holdings, Inc., Floating Rate, 7.49%, 05/25/13 (2)		814,308
	2,010,000	BLB Worldwide Holdings, Floating Rate, 9.72%, 07/18/12 (2)		1,839,150
	860,000	Cannery Casino Resorts LLC, Floating Rate, 9.20%, 05/15/14 (2)		840,650
	1,848,000	Catalina Marketing, Floating Rate, 10.23%, 09/01/14 (2)		1,784,091
	3,661,600	Claire’s Stores, Inc., Term Loan B, Floating Rate, 7.59%, 12/31/14 (2)		3,095,425
	848,848	Community Health Systems, Inc., Floating Rate, 7.33%, 07/25/14 (2)		818,298
	1,099,969	Dresser, Inc., Floating Rate, 7.45%, 05/04/14 (2)		1,056,245
	560,000	Dresser, Inc., Floating Rate, 11.13%, 05/02/15 (2)		534,100
	96,738	Hawker Beechcraft Acquisition Company, LLC, Floating Rate, 4.73%, 03/28/14 (2)		92,263
	1,137,546	Hawker Beechcraft Acquisition Company, LLC, Term Loan B, Floating Rate, 6.83%, 03/28/14 (2)		1,084,935
	4,138,200	HCA, Inc., Term Loan B, Floating Rate, 7.08%, 11/18/13 (2)		3,993,189
	3,260,000	Hit Entertainment, Inc., Tranche LN227528, Floating Rate, 10.38%, 02/26/13 (2)		3,113,300
	1,100,000	Intelsat, Ltd. (Bermuda), Floating Rate, 7.73%, 02/01/14 (2)		1,086,250
	2,365,405	Lakes Entertainment, LLC, 9.00%, 08/15/12		2,324,011
	3,980,000	Laureate Education, Inc., Floating Rate, 8.48%, 08/22/15 (2)		3,840,700
	3,000,000	Laureate Education, Inc., Floating Rate, 9.21%, 08/22/15 (2)		2,820,000
	2,160,000	Laureate Education, Inc., Floating Rate, 9.86%, 08/22/17 (2)		2,014,200
	2,050,000	Level 3 Financing, Inc., Floating Rate, 7.49%, 03/13/14 (2)		1,945,899
	750,000	Neff Rental, Inc., Floating Rate, 8.40%, 11/20/14 (2)		603,047
	1,948,246	Nielsen Finance, LLC, Floating Rate, 7.28%, 08/09/13 (2)		1,851,376
	125,443	Ply Gem Industries, Inc., Floating Rate, 7.58%, 08/15/11 (2)		114,843
	3,357,051	Ply Gem Industries, Inc., Term Loan B-3, Floating Rate, 7.58%, 08/15/11 (2)		3,073,380
	738,182	Realogy Corp., Floating Rate, 4.97%, 10/10/13 (2)		647,960
	2,734,964	Realogy Corp., Floating Rate, 8.24%, 10/10/13 (2)		2,400,691
	827,674	Rental Services Corp., Floating Rate, 8.75%, 11/30/13 (2)		773,876
	3,095,406	Sabre, Inc., Term Loan B, Floating Rate, 6.96%, 09/30/14 (2)		2,830,539
	3,040,000	Sandridge Energy, Inc., Floating Rate, 8.63%, 04/01/15 (2)		3,032,400
	5,050,000	Telesat Canada, Floating Rate, 5.38%, 10/31/08 (2)		4,822,749
	3,375,000	Telesat Canada, Floating Rate, 10.50%, 10/31/08 (2)		3,223,125

See notes to financial statements.

122

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Loan Participations (continued)

$	698,250	USI Holdings Corp., Floating Rate, 7.58%, 05/05/15 (2)	$	665,956
	1,440,000	Veyance Technologies, Inc., 10.71%, 07/20/15		1,371,600

		Total Loan Participations (Cost $65,618,213)		62,066,815

Shares

		Common Stocks — 0.2%
		Airlines — 0.0%
	11,466	Delta Air Lines, Inc.*		170,729
	500,000	Delta Air Lines, Inc. (Escrow Certificates)*		26,250

				196,979

		Banks and Financial Services — 0.0%
	2,697,805	Adelphia Contingent Value Vehicle CVV, Series Acc — 1*		190,532

		Broadcast Services/Media — 0.1%
	620,000	Adelphia Communications (Escrow Certificates)*		62,775
	840,000	Adelphia Communications (Escrow Certificates)*		91,350
	1,305,000	Adelphia Communications, Series B (Escrow Certificates)*		133,762
	1	Time Warner Cable Inc. — Class A*		28

				287,915

		Leisure and Recreation — 0.1%
	970	HRP — Class B* (14)		10
	889	Shreveport Gaming Holdings, Inc. (14)		22,225
	104,876	Trump Entertainment Resorts, Inc.*		450,967

				473,202

		Utilities — 0.0%
	550,000	Mirant Corp. (Escrow Certificates)* (14)		55
	1,220,000	Mirant Corp. (Escrow Certificates)* (14)		122

				177

		Total Common Stocks (Cost $4,483,837)		1,148,805

		Preferred Stocks — 0.5%
		Leisure and Recreation
	3,084,780	Fontainebleau Resorts, 12.50%(12)(14) (Cost $2,999,998)		2,782,163

		Convertible Preferred Stocks — 0.8%
		Oil, Coal and Gas — 0.6%
	5,273	Chesapeake Energy Corp. — 144A, 5.00%		624,191
	21,865	Chesapeake Energy Corp., 4.50%		2,364,153

				2,988,344

		Telecommunications Equipment and Services — 0.2%
	18,825	Crown Castle International Corp., 6.25%		1,145,972

		Total Convertible Preferred Stocks (Cost $3,572,705)		4,134,316

		Warrants — 0.1%
		Telecommunications Equipment and Services
	1,125	American Tower Corp., Expires 08/01/08* (Cost $75,400)		672,469

Principal

		Convertible Bonds — 0.3%
		Aerospace and Defense
$	1,305,000	L-3 Communications Corp. — 144A, 3.00%, 08/01/35 (Cost $1,318,875)		1,583,944

		Total Securities (Cost $525,640,666)		502,812,747

		Repurchase Agreements — 5.1%
	27,708,526	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $27,714,375 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.81%-4.25%, due 10/01/33, with a total value of $28,263,632) (Cost $27,708,526)		27,708,526

		Total Investments — 98.5% (Cost $553,349,192)		530,521,273
		Other assets less liabilities — 1.5%		8,205,745

		Net Assets — 100.0%	$	538,727,018

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $553,511,538.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	4,583,763
Gross unrealized depreciation		(27,574,028	)

Net unrealized depreciation	$	(22,990,265	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

123

BALANCED PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 60.2%
		Aerospace and Defense — 1.7%
	2,900	L-3 Communications Holdings, Inc.	$	307,226
	11,450	Lockheed Martin Corp.		1,205,227
	22,271	Northrop Grumman Corp.		1,751,391
	17,550	Raytheon Company		1,065,285
	11,800	The Boeing Company		1,032,028

				5,361,157

		Agriculture — 0.9%
	14,000	CF Industries Holdings, Inc.		1,540,840
	12,400	Monsanto Company		1,384,956

				2,925,796

		Apparel: Manufacturing and Retail — 0.0%
	1,900	NIKE, Inc. — Class B		122,056

		Automobile: Rental — 0.0%
	2,200	Avis Budget Group, Inc.*		28,600

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.4%
	58,200	AutoNation, Inc.* (8)		911,412
	1,200	AutoZone, Inc.*		143,892
	30,700	Ford Motor Company* (8)		206,611

				1,261,915

		Banks and Financial Services — 7.4%
	6,920	Ameriprise Financial, Inc.		381,361
	97,712	Bank of America Corp.		4,031,596
	45,062	Bank of New York Mellon Corp.		2,197,223
	16,100	BB&T Corp. (8)		493,787
	4,700	Capital One Financial Corp.		222,122
	55,999	Citigroup, Inc.		1,648,611
	1,700	CME Group, Inc.		1,166,200
	11,400	Hudson City Bancorp, Inc.		171,228
	21,000	Janus Capital Group, Inc.		689,850
	81,500	JPMorgan Chase & Company		3,557,474
	3,900	MasterCard, Inc. — Class A (8)		839,280
	32,800	Morgan Stanley		1,742,008
	30,700	National City Corp.		505,322
	27,000	Regions Financial Corp.		638,550
	3,200	SLM Corp.		64,448
	24,600	SunTrust Banks, Inc.		1,537,254
	20,482	US Bancorp		650,099
	36,150	Washington Mutual, Inc. (8)		492,002
	78,200	Wells Fargo & Company (8)		2,360,858

				23,389,273

		Broadcast Services/Media — 2.3%
	60,850	CBS Corp. — Class B		1,658,163
	3,100	Liberty Media Corp. — Capital — Series A*		361,119
	25,400	The DIRECTV Group, Inc.*		587,248
	70,800	The Walt Disney Company		2,285,423
	138,390	Time Warner, Inc.		2,284,819

				7,176,772

		Business Services and Supplies — 0.5%
	31,700	Accenture, Ltd. — Class A (Bermuda)		1,142,151
	3,400	Fair Isaac Corp.		109,310
	7,700	Manpower, Inc.		438,130

				1,689,591

		Chemicals — 0.4%
	12,100	Ashland, Inc.		573,903
	7,400	EI du Pont de Nemours and Company		326,266
	6,200	Terra Industries, Inc.*		296,112

				1,196,281

		Computer Equipment, Software and Services — 4.7%
	10,900	Apple, Inc.*		2,159,072
	54,800	CA, Inc.		1,367,260
	2,600	Computer Sciences Corp.*		128,622
	64,600	Dell, Inc.*		1,583,346
	89,000	EMC Corp.*		1,649,170
	30,687	Hewlett-Packard Company		1,549,080
	7,850	International Business Machines Corp.		848,585
	162,350	Microsoft Corp.		5,779,660

				15,064,795

		Consumer Goods and Services — 3.5%
	49,750	Altria Group, Inc. (5)		3,760,105
	17,600	American Greetings Corp. — Class A		357,280
	9,400	Colgate-Palmolive Company		732,824
	3,500	Energizer Holdings, Inc.*		392,455
	8,000	Kimberly-Clark Corp.		554,720
	37,098	The Procter & Gamble Company		2,723,735
	15,700	United Parcel Service, Inc. — Class B		1,110,304
	25,400	UST, Inc. (8)		1,391,920

				11,023,343

		Distribution — 0.0%
	1,300	Universal Corp.		66,586

		Diversified Operations and Services — 1.4%
	124,200	General Electric Company		4,604,094

		Education — 0.8%
	20,600	Apollo Group, Inc. — Class A*		1,445,090
	1,100	Career Education Corp.*		27,654
	13,700	ITT Educational Services, Inc.*		1,168,199

				2,640,943

		Electronics — 1.2%
	2,900	Avnet, Inc.*		101,413
	36,300	Emerson Electric Company		2,056,758
	1,100	Garmin, Ltd. (Cayman Islands)		106,700
	38,225	Tyco Electronics, Ltd. (Bermuda)		1,419,294

				3,684,165

See notes to financial statements.

124

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Engineering — 0.1%
	100	Fluor Corp.	$	14,572
	2,200	Foster Wheeler, Ltd. (Bermuda)*		341,044

				355,616

		Food and Beverage — 1.9%
	10,600	Coca-Cola Enterprises, Inc.		275,918
	100	Hansen Natural Corp.*		4,429
	23,154	Kraft Foods, Inc. — Class A		755,515
	2,600	Molson Coors Brewing Company — Class B		134,212
	5,100	PepsiAmericas, Inc.		169,932
	35,500	PepsiCo, Inc. (8)		2,694,450
	14,350	The Coca-Cola Company		880,660
	81,200	Tyson Foods, Inc. — Class A		1,244,796

				6,159,912

		Insurance — 2.2%
	25,603	American International Group, Inc.		1,492,655
	16,200	CIGNA Corp.		870,426
	11,176	Genworth Financial, Inc. — Class A		284,429
	10,300	Loews Corp.		518,502
	20,200	MetLife, Inc.		1,244,724
	3,200	Prudential Financial, Inc.		297,728
	18,100	The Chubb Corp.		987,898
	7,200	The Travelers Companies, Inc.		387,360
	20,600	XL Capital, Ltd. — Class A (Cayman Islands)		1,036,386

				7,120,108

		Internet Services — 3.7%
	19,200	Amazon.com, Inc.*		1,778,688
	136,250	Cisco Systems, Inc.*		3,688,288
	28,700	eBay, Inc.*		952,553
	18,100	Expedia, Inc.*		572,322
	1,490	Google, Inc. — Class A*		1,030,305
	46,700	Juniper Networks, Inc.*		1,550,440
	93,300	Symantec Corp.*		1,505,862
	8,100	VeriSign, Inc.*		304,641
	15,600	Yahoo!, Inc.*		362,856

				11,745,955

		Leisure and Recreation — 0.0%
	2,400	Carnival Corp. (Panama)		106,776

		Machinery — 0.2%
	7,200	AGCO Corp.*		489,456
	100	Deere & Company		9,312
	3,300	Rockwell Automation, Inc.		227,568

				726,336

		Manufacturing — 1.8%
	26,200	3M Company		2,209,184
	23,400	Honeywell International, Inc.		1,440,738
	16,500	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)		766,755
	13,100	SPX Corp.		1,347,335

				5,764,012

		Medical Equipment, Supplies, and Services — 1.3%
	2,000	Becton, Dickinson and Company		167,160
	200	Covidien, Ltd. (Bermuda)		8,858
	2,100	Invitrogen Corp.*		196,161
	23,750	Johnson & Johnson		1,584,125
	12,100	Kinetic Concepts, Inc.* (8)		648,076
	5,800	McKesson Corp.		379,958
	20,850	Medtronic, Inc.		1,048,130

				4,032,468

		Metals and Mining — 0.9%
	18,900	Freeport-McMoRan Copper & Gold, Inc.		1,936,116
	3,200	Newmont Mining Corp.		156,256
	7,400	Southern Copper Corp. (8)		777,962

				2,870,334

		Office Equipment, Supplies, and Services — 0.0%
	1,300	HNI Corp. (8)		45,578

		Oil, Coal and Gas — 7.6%
	28,800	Anadarko Petroleum Corp.		1,891,872
	3,400	Apache Corp.		365,636
	44,300	Chevron Corp.		4,134,518
	8,162	ConocoPhillips		720,705
	20,950	Devon Energy Corp.		1,862,665
	11,200	Dresser-Rand Group, Inc.*		437,360
	99,050	Exxon Mobil Corp.		9,279,994
	17,000	Global Industries, Ltd.*		364,140
	43,300	Halliburton Company		1,641,503
	10,200	National-Oilwell Varco, Inc.*		749,292
	4,100	Noble Energy, Inc.		326,032
	5,000	Pioneer Natural Resources Company		244,200
	3,800	Schlumberger, Ltd. (Netherlands Antilles)		373,806
	20,200	Valero Energy Corp.		1,414,606

				23,806,329

		Pharmaceuticals/Research and Development — 6.1%
	31,700	AmerisourceBergen Corp.		1,422,379
	39,034	Amgen, Inc.*		1,812,739
	20,400	Biogen Idec, Inc.*		1,161,168
	9,600	Cardinal Health, Inc.		554,400
	26,300	Eli Lilly and Company		1,404,157
	18,600	Express Scripts, Inc.*		1,357,800
	18,500	Gilead Sciences, Inc.*		851,185
	18,100	Medco Health Solutions, Inc.*		1,835,340
	55,800	Merck & Company, Inc.		3,242,538

See notes to financial statements.

125

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)

	163,160	Pfizer, Inc.	$	3,708,627
	61,400	Schering-Plough Corp.		1,635,696
	4,400	Wyeth		194,436

				19,180,465

		Real Estate Development and Services — 0.1%
	3,400	Jones Lang LaSalle, Inc.		241,944

		Real Estate Investment Trusts — 1.1%
	5,600	AvalonBay Communities, Inc. (8)		527,184
	3,000	General Growth Properties, Inc. (8)		123,540
	15,900	ProLogis		1,007,742
	100	Regency Centers Corp.		6,449
	17,700	Simon Property Group, Inc.		1,537,422
	5,200	The Macerich Company		369,512

				3,571,849

		Registered Investment Companies — 0.0%
	100	Tri-Continental Corp.		2,090

		Retail — 0.9%
	29,300	CVS Caremark Corp.		1,164,675
	10,200	GameStop Corp. — Class A*		633,522
	27,700	RadioShack Corp. (8)		467,022
	14,900	The Home Depot, Inc.		401,406
	7,570	Wal-Mart Stores, Inc.		359,802

				3,026,427

		Retail: Restaurants — 0.2%
	17,200	YUM! Brands, Inc.		658,244

		Retail: Supermarkets — 0.5%
	58,800	The Kroger Company		1,570,548

		Scientific and Technical Instruments — 0.1%
	6,600	PerkinElmer, Inc.		171,732

		Semiconductors — 1.8%
	4,100	Analog Devices, Inc.		129,970
	127,650	Intel Corp.		3,403,149
	13,350	NVIDIA Corp.*		454,167
	55,050	Texas Instruments, Inc.		1,838,670

				5,825,956

		Telecommunications Equipment and Services — 2.5%
	59,345	AT&T, Inc.		2,466,378
	30,750	CenturyTel, Inc.		1,274,895
	7,500	Embarq Corp.		371,475
	122,250	Sprint Nextel Corp.		1,605,143
	53,900	Verizon Communications, Inc.		2,354,891

				8,072,782

		Transportation — 0.2%
	9,500	CSX Corp.		417,810
	5,700	JB Hunt Transport Services, Inc.		157,035
	2,300	Ryder System, Inc.		108,123

				682,968

		Utilities — 1.8%
	56,800	Duke Energy Corp.		1,145,656
	200	Edison International		10,674
	10,450	Entergy Corp.		1,248,984
	4,500	FirstEnergy Corp.		325,530
	14,400	NRG Energy, Inc.* (8)		624,096
	23,150	PG&E Corp.		997,534
	51,800	Reliant Energy, Inc.*		1,359,232

				5,711,706

		Total Common Stocks (Cost $178,700,782)		191,685,502

Principal

		US Treasury Securities — 0.5%
		US Treasury Bonds — 0.0%
$	50,000	8.88%, 08/15/17		68,813

		US Treasury Notes — 0.0%
	6,000	5.13%, 05/15/16		6,496
	10,000	4.75%, 08/15/17 (8)		10,565

				17,061

		US Treasury Strips — 0.5%
	3,270,000	Zero coupon, 11/15/24		1,495,737

		Total US Treasury Securities (Cost $1,421,715)		1,581,611

		US Government Agency Securities — 21.6%
		Asset Backed: Mortgage and Home Equity — 0.8%
	600,000	Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10 (5)		623,300
	193,632	Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29 (5)		197,632
	760,000	Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18 (5)		761,582
	407,804	Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34 (5)		407,310
	526,804	Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34 (5)		534,613

				2,524,437

		Fannie Mae — 13.3%
	1,888,796	PL# 256219, 5.50%, 04/01/36 (4)(5)		1,868,370
	1,221,065	PL# 256552, 5.50%, 01/01/37 (5)		1,219,936
	102,813	PL# 535675, 7.00%, 01/01/16 (5)		107,060
	941	PL# 549906, 7.50%, 09/01/30 (5)		1,004
	1,800	PL# 552549, 7.50%, 09/01/30 (5)		1,922

See notes to financial statements.

126

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		US Government Agency Securities (continued)
		Fannie Mae (continued)

$	580	PL# 558384, 7.50%, 01/01/31 (5)	$	619
	2,430	PL# 568677, 7.50%, 01/01/31 (5)		2,595
	273	PL# 572762, 7.50%, 03/01/31 (5)		291
	15,729	PL# 582178, 7.50%, 06/01/31 (5)		16,779
	13,022	PL# 594316, 6.50%, 07/01/31 (5)		13,468
	2,476	PL# 602859, 6.50%, 10/01/31 (5)		2,561
	13,434	PL# 614924, 7.00%, 12/01/16 (5)		13,986
	899,471	PL# 735809, Variable Rate, 4.47%, 08/01/35 (1)		900,630
	72,677	PL# 745000, 6.00%, 10/01/35 (5)		73,856
	1,348,419	PL# 745275, 5.00%, 02/01/36 (5)		1,316,636
	298,771	PL# 745959, 5.50%, 11/01/36 (5)		298,495
	51,981	PL# 779545, 6.00%, 06/01/34 (5)		52,865
	44,133	PL# 785183, 6.00%, 07/01/34 (5)		44,884
	201,116	PL# 787311, 6.00%, 06/01/34 (5)		204,537
	2,327,766	PL# 790915, 6.00%, 09/01/34 (5)		2,367,370
	1,431,750	PL# 792113, 6.00%, 09/01/34 (5)		1,456,110
	51,756	PL# 793193, 5.50%, 07/01/19 (5)		52,489
	339,118	PL# 793693, 6.00%, 08/01/34 (5)		344,887
	92,472	PL# 801516, Variable Rate, 4.71%, 08/01/34 (1)(5)		93,092
	403,114	PL# 810896, Variable Rate, 4.83%, 01/01/35 (1)(5)		406,422
	1,055,372	PL# 835136, 6.00%, 09/01/35 (5)		1,072,481
	1,275,294	PL# 844183, 6.00%, 11/01/35 (5)		1,295,969
	240,387	PL# 888022, 5.00%, 02/01/36 (5)		234,721
	714,220	PL# 893681, 6.00%, 10/01/36 (5)		725,540
	1,406,862	PL# 893923, 6.00%, 10/01/36 (5)		1,429,161
	1,745,255	PL# 894005, 6.00%, 10/01/36 (5)		1,772,918
	5,155,647	PL# 911205, 6.50%, 05/01/37 (5)		5,300,480
	997,534	PL# 938338, 6.00%, 07/01/37 (5)		1,013,210
	199,018	PL# 950385, Variable Rate, 5.88%, 08/01/37 (1)		203,383
	2,200,000	TBA, 5.50%, 01/01/23 (5)		2,228,532
	200,000	TBA, 6.00%, 01/01/23 (5)		204,656
	11,000,000	TBA, 5.00%, 01/01/38 (5)		10,733,591
	5,500,000	TBA, 5.50%, 01/01/38 (5)		5,493,983
	100,000	TBA, 6.00%, 01/01/38 (5)		101,547

				42,671,036

		Federal Agricultural Mortgage Corp. — 0.3%
	220,000	4.25%, 07/29/08		219,859
	600,000	144A, 5.13%, 04/19/17 (5)		616,434

				836,293

		Freddie Mac — 1.0%
	430,000	5.63%, 11/23/35 (5)		441,358
	1,289,059	PL# 1G3704, Variable Rate, 5.66%, 09/01/37 (1)(5)		1,304,773
	235,732	PL# 1N1447, Variable Rate, 5.81%, 02/01/37 (1)(5)		239,828
	460,965	PL# 1N1463, Variable Rate, 5.97%, 05/01/37 (1)(5)		468,512
	625,309	PL# 1N1582, Variable Rate, 5.94%, 05/01/37 (1)(5)		634,174

				3,088,645

		Freddie Mac Gold — 3.3%
	85,575	PL# A39644, 5.50%, 11/01/35 (5)		85,445
	2,415,836	PL# A66092, 6.00%, 09/01/37 (5)		2,452,291
	4,732,443	PL# G02427, 5.50%, 12/01/36 (5)		4,724,009
	89,708	PL# G03441, 6.00%, 10/01/37 (5)		91,061
	900,000	TBA, 5.00%, 01/01/23 (5)		900,985
	1,000,000	TBA, 5.00%, 01/01/38 (5)		975,781
	1,200,000	TBA, 6.00%, 01/01/38 (5)		1,217,813

				10,447,385

		Government National Mortgage Association — 2.6%
	3,151	PL# 461836, 7.00%, 01/15/28 (5)		3,345
	1,497	PL# 596647, 7.00%, 09/15/32 (5)		1,588
	205,090	PL# 604404, 5.00%, 06/15/33 (5)		202,184
	598,801	PL# 604845, 5.00%, 12/15/33 (5)		590,316
	732,537	PL# 608280, 5.00%, 09/15/33 (5)		722,158
	717,175	PL# 615892, 5.00%, 08/15/33 (4)(5)		707,014
	767,636	PL# 616832, 5.00%, 01/15/35 (4)		756,758
	683,937	PL# 620521, 5.00%, 08/15/33 (4)		674,246
	531,162	PL# 637934, 5.00%, 01/15/35 (4)		523,635
	801,685	PL# 639093, 5.00%, 01/15/35 (4)		790,325
	435,213	PL# 639865, 5.00%, 06/15/35 (4)		429,046
	97,553	PL# 781881, 5.00%, 03/15/35 (5)		96,172
	1,300,000	TBA, 5.50%, 01/01/38 (5)		1,303,859
	1,400,000	TBA, 6.00%, 01/01/38 (5)		1,433,469

				8,234,115

		Resolution Funding Strips — 0.1%
	250,000	Zero coupon, 07/15/18		155,893
	250,000	Zero coupon, 10/15/18		153,953

				309,846

		Tennessee Valley Authority — 0.2%
	630,000	5.98%, 04/01/36		718,944

		Total US Government Agency Securities (Cost $68,416,086)		68,830,701

		Corporate Bonds and Notes — 23.7%
		Advertising — 0.0%
	40,000	Lamar Media Corp., 7.25%, 01/01/13		40,200
	60,000	Lamar Media Corp., Series B, 6.63%, 08/15/15		58,650
	35,000	RH Donnelley Corp. — 144A, 8.88%, 10/15/17		32,550

				131,400

See notes to financial statements.

127

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)

		Aerospace and Defense — 0.0%
$	25,000	DRS Technologies, Inc., 6.63%, 02/01/16	$	24,813

		Airlines — 0.1%
	100,000	Delta Air Lines, Inc. — 144A, Class A, 6.82%, 08/10/22 (5)		99,000
	300,000	Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57%, 11/18/10 (5)		303,338

				402,338

		Automobile: Rental — 0.0%
	35,000	Hertz Corp., 8.88%, 01/01/14		35,656
	20,000	Hertz Corp., 10.50%, 01/01/16		20,800

				56,456

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.5%
	45,000	Daimler Chrysler NA Holding, 4.05%, 06/04/08		44,831
	300,000	Daimler Chrysler NA Holding, 5.88%, 03/15/11		304,630
	580,000	Ford Motor Company, 7.45%, 07/16/31		433,550
	970,000	General Motors Corp., 8.25%, 07/15/23		776,000
	80,000	Visteon Corp., 8.25%, 08/01/10		71,200

				1,630,211

		Banks and Financial Services — 5.4%
	100,000	AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67 (1)(5)		90,838
	200,000	Aiful Corp. — 144A (Japan), 5.00%, 08/10/10 (5)		196,399
	190,000	American Express Company, Variable Rate, 6.80%, 09/01/66 (1)(5)		192,966
	10,000	BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual (1)		8,882
	40,000	Bank of America Corp., 5.38%, 08/15/11		40,827
	100,000	Countrywide Financial Corp., Series MTN, Floating Rate, 5.38%, 01/05/09 (2)		79,245
	760,000	Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10		552,537
	280,000	Countrywide Financial Corp., Series MTNB, Floating Rate, 5.20%, 02/27/08 (2)		266,964
	120,000	Countrywide Financial Corp., Series MTNB, Floating Rate, 5.08%, 06/18/08 (2)		106,162
	90,000	Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual (1)(5)		80,708
	170,000	European Investment Bank, 4.63%, 03/21/12 (5)		175,151
	2,645,000	Ford Motor Credit Company LLC, 5.80%, 01/12/09		2,511,218
	220,000	Ford Motor Credit Company LLC, 7.38%, 10/28/09		207,159
	129,000	Ford Motor Credit Company LLC, Floating Rate, 10.24%, 06/15/11 (2)		122,384
	1,130,000	General Motors Acceptance Corp., 5.85%, 01/14/09		1,080,919
	160,000	Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11 (4)		156,540
	380,000	Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16 (1)(4)		383,097
	80,000	GMAC LLC, 5.13%, 05/09/08 (8)		79,123
	1,020,000	GMAC LLC, 6.63%, 05/15/12		848,704
	270,000	GMAC LLC, 8.00%, 11/01/31		227,035
	160,000	GMAC LLC, Series MTN, Floating Rate, 6.03%, 09/23/08 (2)		154,598
	20,000	Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual (1)		17,823
	560,000	HSBC Finance Corp., 4.63%, 01/15/08		559,913
	200,000	ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22 (1)		179,275
	162,000	ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22 (1)(4)		146,894
	330,000	JPMorgan Chase & Company, 5.13%, 09/15/14		323,912
	450,000	JPMorgan Chase & Company, 5.15%, 10/01/15		434,703
	600,000	Kaupthing Bank — 144A (Iceland), Floating Rate, 5.94%, 04/12/11 (2)		585,720
	130,000	Kaupthing Bank — 144A (Iceland), 7.13%, 05/19/16		119,360
	140,000	Landisbanki Islands HF — 144A (Iceland), 6.10%, 08/25/11		138,089
	200,000	Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual (1)		178,417
	180,000	Lehman Brothers Holdings, Inc., 4.50%, 07/26/10		178,090

See notes to financial statements.

128

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)

$	100,000	Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12	$	99,039
	300,000	Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17		309,770
	170,000	Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual (1)		161,272
	70,000	Morgan Stanley, 3.63%, 04/01/08		69,708
	260,000	Morgan Stanley, Series MTN, 5.63%, 01/09/12		264,720
	100,000	Morgan Stanley, Series MTNF, Floating Rate, 5.66%, 10/18/16 (2)		93,462
	20,000	Rabobank Capital Funding Trust II — 144A, Variable Rate, 5.26%, perpetual (1)		18,657
	40,000	Rabobank Capital Funding Trust III — 144A, Variable Rate, 5.25%, perpetual (1)		35,862
	30,000	Residential Capital LLC, Floating Rate, 7.81%, 04/17/09 (2)		21,450
	80,000	Residential Capital LLC, Floating Rate, 7.62%, 05/22/09 (2)		57,200
	680,000	Residential Capital LLC, 7.50%, 02/22/11 (10)		426,700
	235,000	Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual (1)		233,507
	100,000	Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual (1)		102,985
	270,000	RSHB Capital Bank — 144A (Luxembourg), 6.30%, 05/15/17		256,500
	260,000	Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16 (1)		265,544
	300,000	Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual (1)		255,094
	520,000	Sigma Finance, Inc. — 144A, Series MTN1, Variable Rate, 8.50%, 08/11/16 (1)		491,442
	60,000	SLM Corp., Series MTN, 5.05%, 11/14/14		51,933
	265,000	SLM Corp., Series MTNA, 5.00%, 10/01/13		232,555
	500,000	SLM Corp., Series MTNA, 5.38%, 05/15/14		445,117
	10,000	SLM Corp., Series MTNA, 5.00%, 04/15/15		8,541
	45,000	SLM Corp., Series MTNA, 5.63%, 08/01/33		34,885
	215,000	SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09		213,518
	220,000	The Bear Stearns Companies, Inc., 5.55%, 01/22/17 (5)		197,506
	170,000	The Goldman Sachs Group, Inc., 4.50%, 06/15/10 (4)		169,538
	70,000	The Goldman Sachs Group, Inc., 5.45%, 11/01/12 (4)		71,437
	310,000	TNK-BP Finance SA, Series 2 — 144A (Luxembourg), 7.50%, 07/18/16		301,088
	100,000	TNK-BP Finance SA, Series 6 — 144A, (Luxembourg), 7.88%, 03/13/18		99,250
	390,000	Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37		334,425
	350,000	Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37		299,250
	170,000	Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual (1)		152,010
	430,000	Wachovia Corp., 5.25%, 08/01/14		421,003
	130,000	Wells Fargo Capital X, 5.95%, 12/15/36		121,728

				16,740,348

		Broadcast Services/Media — 0.7%
	60,000	CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15		49,200
	20,000	Clear Channel Communications, Inc., 4.63%, 01/15/08		19,989
	100,000	Clear Channel Communications, Inc., 4.25%, 05/15/09		94,966
	170,000	Clear Channel Communications, Inc., 5.50%, 09/15/14 (8)		129,750
	60,000	Clear Channel Communications, Inc., 4.90%, 05/15/15		43,829
	150,000	Comcast Cable Communications, 8.88%, 05/01/17 (5)		179,143
	240,000	Comcast Corp., 6.50%, 01/15/15 (5)		250,861
	20,000	Comcast Corp., 6.50%, 01/15/17 (5)		20,889

See notes to financial statements.

129

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Broadcast Services/Media (continued)

$	20,000	Comcast Corp., 5.88%, 02/15/18 (5)	$	19,977
	180,000	Cox Communications, Inc., 3.88%, 10/01/08		178,002
	40,000	CSC Holdings, Inc., 7.88%, 02/15/18		37,600
	15,000	CSC Holdings, Inc., 7.63%, 07/15/18		13,856
	10,000	CSC Holdings, Inc., Series B, 7.63%, 04/01/11		10,025
	70,000	DIRECTV Holdings LLC/DIRECTV Financing Company, Inc., 8.38%, 03/15/13		73,150
	30,000	Echostar DBS Corp., 7.00%, 10/01/13		30,450
	90,000	Echostar DBS Corp., 7.13%, 02/01/16		92,250
	280,000	Liberty Media Corp., 7.88%, 07/15/09		285,668
	10,000	Liberty Media Corp., 5.70%, 05/15/13		9,314
	10,000	News America, Inc. — 144A, 6.65%, 11/15/37		10,349
	35,000	Rogers Cable, Inc. (Canada), 6.75%, 03/15/15		36,869
	80,000	Time Warner Entertainment, 8.38%, 07/15/33		96,650
	350,000	Time Warner, Inc., 6.88%, 05/01/12 (5)		368,898
	75,000	Time Warner, Inc., 7.70%, 05/01/32 (5)		83,571

				2,135,256

		Chemicals — 0.1%
	120,000	FMC Finance III SA — 144A (Luxembourg), 6.88%, 07/15/17		120,600
	30,000	Georgia Gulf Corp., 9.50%, 10/15/14 (8)		24,075
	27,000	Westlake Chemical Corp., 6.63%, 01/15/16		25,650

				170,325

		Computer Equipment, Software and Services — 0.0%
	20,000	Electronic Data Systems, 7.13%, 10/15/09 (5)		20,655
	40,000	Sungard Data Systems, Inc., 9.13%, 08/15/13		40,900

				61,555

		Construction Services and Supplies — 0.0%
	65,000	K Hovnanian Enterprises, Inc., 6.25%, 01/15/15		44,850

		Consumer Goods and Services — 0.1%
	230,000	Altria Group, Inc., 7.00%, 11/04/13 (5)		257,529
	100,000	Reynolds American, Inc., 6.75%, 06/15/17		102,352

				359,881

		Containers and Packaging — 0.0%
	50,000	Graham Packaging Company, LP, 8.50%, 10/15/12		47,000
	10,000	Graham Packaging Company, LP, 9.88%, 10/15/14 (8)		9,250

				56,250

		Electronics — 0.0%
	15,000	NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14		14,325

		Environmental Waste Management and Recycling Services — 0.1%
	160,000	Waste Management, Inc., 6.50%, 11/15/08		162,095
	270,000	Waste Management, Inc., 6.38%, 11/15/12		285,774

				447,869

		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)(4)		239,293

		Funeral Services — 0.0%
	10,000	Service Corp. International, 6.75%, 04/01/16		9,675
	40,000	Service Corp. International, 7.63%, 10/01/18		40,400
	35,000	Service Corp. International, 7.50%, 04/01/27		32,375

				82,450

		Insurance — 0.3%
	40,000	American International Group, Inc., Series MTNG, 5.85%, 01/16/18 (5)		40,338
	40,000	ASIF Global Financing XIX — 144A, 4.90%, 01/17/13 (5)		39,182
	300,000	Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 6.58%, 07/07/10 (2)		296,745
	430,000	MetLife, Inc., 6.40%, 12/15/36		395,321
	250,000	The Travelers Companies, Inc., Variable Rate, 6.25%, 03/15/37 (1)		234,847

				1,006,433

See notes to financial statements.

130

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)

		Leisure and Recreation — 0.1%
$	25,000	Boyd Gaming Corp., 6.75%, 04/15/14	$	23,938
	80,000	Boyd Gaming Corp., 7.13%, 02/01/16		76,000
	30,000	Inn of The Mountain Gods, 12.00%, 11/15/10		31,350
	25,000	MGM MIRAGE, 6.00%, 10/01/09		25,000
	50,000	MGM MIRAGE, 8.50%, 09/15/10		52,125
	5,000	MGM MIRAGE, 6.63%, 07/15/15		4,713
	85,000	MGM MIRAGE, 7.63%, 01/15/17		84,362
	15,000	Mohegan Tribal Gaming Authority, 6.13%, 02/15/13		14,738
	90,000	Station Casinos, Inc., 7.75%, 08/15/16		81,674
	10,000	Station Casinos, Inc., 6.88%, 03/01/16		7,350

				401,250

		Machinery — 0.0%
	20,000	Terex Corp., 8.00%, 11/15/17		20,350

		Manufacturing — 0.3%
	270,000	Tyco International Group SA (Luxembourg), 6.38%, 10/15/11		279,655
	530,000	Tyco International Group SA (Luxembourg), 6.00%, 11/15/13		545,425

				825,080

		Medical Equipment, Supplies, and Services — 0.2%
	90,000	Community Health Systems, Inc., 8.88%, 07/15/15		92,138
	125,000	DaVita, Inc., 6.63%, 03/15/13		125,000
	10,000	Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08		10,000
	160,000	HCA, Inc., 6.75%, 07/15/13		143,200
	11,000	HCA, Inc., 5.75%, 03/15/14		9,185
	20,000	HCA, Inc., 9.13%, 11/15/14		20,850
	6,000	HCA, Inc., 6.50%, 02/15/16		5,100
	160,000	HCA, Inc., 9.25%, 11/15/16		168,400
	26,000	HCA, Inc., 9.63%, 11/15/16 (12)		27,560
	60,000	Tenet Healthcare Corp., 6.38%, 12/01/11		54,900
	30,000	Tenet Healthcare Corp., 6.50%, 06/01/12		26,850
	20,000	WellPoint, Inc., 5.88%, 06/15/17		20,172

				703,355

		Metals and Mining — 0.2%
	190,000	Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17		204,250
	15,000	Steel Dymanics, Inc. — 144A, 7.38%, 11/01/12		15,150
	65,000	Steel Dynamics, Inc. — 144A, 6.75%, 04/01/15		63,050
	391,000	Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36		397,495

				679,945

		Office Equipment, Supplies, and Services — 0.0%
	40,000	Xerox Corp., 6.75%, 02/01/17		41,764

		Oil, Coal and Gas — 1.8%
	235,000	Anadarko Finance Company, Series B, 7.50%, 05/01/31 (5)		264,984
	35,000	Anadarko Petroleum Corp., 6.45%, 09/15/36 (5)		35,759
	45,000	Chesapeake Energy Corp., 7.75%, 01/15/15		46,125
	5,000	Chesapeake Energy Corp., 6.38%, 06/15/15		4,863
	20,000	Chesapeake Energy Corp., 6.25%, 01/15/18		19,300
	105,000	Complete Production Services, Inc., 8.00%, 12/15/16		102,113
	80,000	Conoco, Inc., 6.95%, 04/15/29 (5)		91,636
	125,000	Dynegy Holdings, Inc., 7.75%, 06/01/19		115,938
	86,000	El Paso Corp., Series MTN, 7.80%, 08/01/31		87,708
	25,000	El Paso Corp., Series MTN, 7.75%, 01/15/32		25,502
	330,000	El Paso Natural Gas, 8.38%, 06/15/32 (5)		388,211
	500,000	El Paso Performance-Link — 144A, 7.75%, 07/15/11		515,614
	440,000	Gaz Capital (Gazprom) — 144A (Luxembourg), 6.21%, 11/22/16 (4)		423,235
	190,000	Gaz Capital (Gazprom) — 144A (Luxembourg), 6.51%, 03/07/22 (4)		181,108
	30,000	Hess Corp., 7.88%, 10/01/29 (5)		35,608
	180,000	Hess Corp., 7.30%, 08/15/31 (5)		202,790
	260,000	Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17 (4)		234,000
	180,000	Kerr-McGee Corp., 6.95%, 07/01/24		192,756

See notes to financial statements.

131

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Oil, Coal and Gas (continued)

$	110,000	Kerr-McGee Corp., 7.88%, 09/15/31	$	131,545
	50,000	Kinder Morgan Energy Partners LP, 6.30%, 02/01/09		50,660
	240,000	Kinder Morgan Energy Partners LP, 6.75%, 03/15/11		251,953
	20,000	Kinder Morgan Energy Partners LP, 6.00%, 02/01/17		20,034
	20,000	Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38		21,058
	50,000	OPTI Canada, Inc. — 144A (Canada), 7.88%, 12/15/14		49,125
	75,000	OPTI Canada, Inc. — 144A (Canada), 8.25%, 12/15/14		74,625
	40,000	Peabody Energy Corp., Series B, 6.88%, 03/15/13		40,400
	17,000	Pemex Project Funding Master Trust, 6.63%, 06/15/35		18,004
	290,000	Pemex Project Funding Master Trust — 144A, 6.63%, 06/15/35		307,120
	290,000	Petrobras International Finance Company (Cayman Islands), 6.13%, 10/06/16		297,250
	30,000	Pride International, Inc., 7.38%, 07/15/14		30,975
	25,000	Semgroup LP — 144A, 8.75%, 11/15/15		23,875
	15,000	Southern Natural Gas, 8.00%, 03/01/32		16,786
	95,000	Suburban Propane Partners, 6.88%, 12/15/13		92,625
	40,000	Tennessee Gas Pipeline, 7.63%, 04/01/37		43,224
	120,000	Williams Companies, Inc., 7.88%, 09/01/21		133,650
	160,000	Williams Companies, Inc., 7.75%, 06/15/31		176,000
	20,000	Williams Companies, Inc., 8.75%, 03/15/32		24,550
	320,000	Williams Companies, Inc., Series A, 7.50%, 01/15/31		345,600
	190,000	XTO Energy, Inc., 7.50%, 04/15/12		207,889

				5,324,198

		Paper and Forest Products — 0.0%
	110,000	Weyerhaeuser Company, 6.75%, 03/15/12		115,621

		Pharmaceuticals/Research and Development — 0.1%
	40,000	AmerisourceBergen Corp., 5.88%, 09/15/15 (5)		39,448
	230,000	Wyeth, 5.95%, 04/01/37		231,408

				270,856

		Printing and Publishing — 0.1%
	105,000	Idearc, Inc., 8.00%, 11/15/16		96,862
	30,000	Sun Media Corp. (Canada), 7.63%, 02/15/13		29,363
	40,000	TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15		38,650

				164,875

		Private Asset Backed: Banks and Financial Services — 0.9%
	300,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42		292,496
	318,850	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A, Floating Rate, 5.19%, 01/25/45 (3)		302,139
	536,199	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 5.16%, 10/25/45 (3)		504,249
	574,499	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1B3, Floating Rate, 5.23%, 10/25/45 (3)		525,426
	667,523	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 5.15%, 11/25/45 (3)		626,750
	515,993	Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, Floating Rate, 5.50%, 09/25/36 (3)		519,555

				2,770,615

		Private Asset Backed: Credit Cards — 0.2%
	640,000	Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 5.06%, 09/15/13 (3)		632,966

		Private Asset Backed: Mortgage and Home Equity — 10.2%
	515,699	Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 5.11%, 09/25/35 (3)		487,914

See notes to financial statements.

132

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	213,046	Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 5.28%, 02/25/35 (3)	$	212,664
	133,118	Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 5.24%, 04/25/35 (3)		124,630
	280,000	Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.11%, 09/10/15 (5)		276,387
	3,389,163	Bear Stearns Asset Backed Securities, Inc., Series 07-SD1, Class 1A3A, 6.50%, 10/25/36 (5)		3,196,405
	1,533,294	Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 5.07%, 12/25/36 (3)		1,406,059
	341,651	Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.93%, 08/25/35 (3)(5)		342,494
	815,007	Countrywide Alternative Loan Trust, Series 2005-56, Class 4A1, Floating Rate, 5.18%, 11/25/35 (3)		775,368
	870,011	Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 5.12%, 11/20/35 (3)		814,467
	74,624	Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 5.05%, 02/25/36 (3)		74,614
	269,716	Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35		267,155
	429,979	Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 5.26%, 12/15/35 (3)		413,631
	835,287	Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 5.27%, 09/25/35 (3)		811,674
	21,819	First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 5.27%, 12/25/32 (3)		21,794
	850,000	GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 12/10/49 (5)		861,262
	852,560	GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33 (5)		871,614
	899,868	GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.65%, 03/18/35 (3)		897,325
	1,441,557	GMAC Mortgage Corp. Loan Trust, Series 2006-HE1, Class A, Floating Rate, 5.07%, 11/25/36 (3)		1,265,313
	1,127,469	GSAMP Trust — 144A, Series 2006-SD2, Class A1, Floating Rate, 4.98%, 05/25/46 (3)		949,746
	313,601	Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 5.66%, 10/25/34 (3)		303,144
	715,768	IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.27%, 09/25/37 (3)(4)		720,407
	211,965	IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35 (4)		201,508
	1,080,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37		1,046,963
	753,802	JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.31%, 07/25/34 (3)		753,445
	870,000	LB-UBS Commercial Mortgage Trust, Series 2005-C1, Class A3, 4.55%, 02/15/30		850,702
	527,433	Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 5.16%, 11/25/35 (3)		503,155
	396,272	Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 5.16%, 12/25/35 (3)		383,340
	726,215	Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 4.94%, 08/25/46 (3)		712,738
	850,000	Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51		857,091
	388,492	Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34 (3)		379,491
	1,098,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35		1,096,892

See notes to financial statements.

133

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)

$	1,300,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35	$	1,282,383
	500,000	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.84%, 05/12/39 (3)		515,711
	224,951	MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 5.19%, 10/25/28(3)		222,096
	836,206	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35		826,399
	388,061	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35		388,261
	1,793,403	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35		1,779,953
	1,582,288	Residential Accredit Loans, Inc., Series 2005-Q03, Class A1, Floating Rate, 5.27%, 10/25/45 (3)		1,501,192
	892,525	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35		878,965
	352,330	Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 5.32%, 01/19/34 (3)		352,003
	2,078,419	Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 5.03%, 01/25/09 (3)		2,011,259
	682,928	Zuni Mortgage Loan Trust, Series 2006-0A1, Class A1, Floating Rate, 5.00%, 08/25/36 (3)		653,287

				32,290,901

		Real Estate Development and Services — 0.0%
	230,000	Realogy Corp. — 144A, 12.38%, 04/15/15		145,475

		Real Estate Investment Trusts — 0.0%
	50,000	Host Marriott LP, Series Q, 6.75%, 06/01/16		49,500
	50,000	Ventas Realty LP/Ventas Capital Corp., 6.75%, 06/01/10		50,625
	40,000	Ventas Realty LP/Ventas Capital Corp., 6.75%, 04/01/17		39,800

				139,925

		Retail — 0.1%
	260,000	CVS Caremark Corp. — 144A, 6.94%, 01/10/30 (5)		261,506
	20,000	JC Penney & Company, Inc., 7.40%, 04/01/37		19,914

				281,420

		Retail: Supermarkets — 0.0%
	93,000	Delhaize America, Inc., 9.00%, 04/15/31 (5)		107,989

		Scientific and Technical Instruments — 0.0%
	80,000	Cie Generale de Geophysique (France), 7.50%, 05/15/15		81,400
	40,000	Cie Generale de Geophysique (France), 7.75%, 05/15/17		40,600

				122,000

		Semiconductors — 0.0%
	25,000	Freescale Semiconductor, Inc., 8.88%, 12/15/14		22,438
	40,000	MagnaChip Semiconductor, Ltd., Floating Rate, 8.24%, 12/15/11 (2)		35,800

				58,238

		Telecommunications Equipment and Services — 0.8%
	120,000	America Movil SAB de CV (Mexico), 5.63%, 11/15/17 (5)		117,851
	190,000	AT&T, Inc., 5.10%, 09/15/14		188,298
	55,000	Cincinnati Bell, Inc., 7.00%, 02/15/15		52,250
	15,000	Citizens Communications Company, 9.25%, 05/15/11		16,313
	30,000	Citizens Communications Company, 7.13%, 03/15/19		28,650
	30,000	Citizens Communications Company, 7.88%, 01/15/27		28,725
	180,000	Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16 (5)		180,461
	45,000	Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16		45,450
	25,000	Intelsat Corp., 9.00%, 06/15/16		25,313
	220,000	Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30		264,521
	90,000	Level 3 Financing, Inc., 9.25%, 11/01/14		81,900
	10,000	Nextel Communications, Inc., Series D, 7.38%, 08/01/15		9,854

See notes to financial statements.

134

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Corporate Bonds and Notes (continued)
		Telecommunications Equipment and Services (continued)

$	130,000	Nextel Communications, Inc., Series E, 6.88%, 10/31/13	$	128,172
	60,000	Nextel Communications, Inc., Series F, 5.95%, 03/15/14		56,470
	260,000	Qwest Communications International, Inc., Floating Rate, 8.37%, 02/15/09 (2)		261,300
	105,000	Qwest Corp., 7.88%, 09/01/11		109,725
	40,000	Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14		41,259
	270,000	Sprint Capital Corp., 8.38%, 03/15/12		292,675
	60,000	Sprint Capital Corp., 8.75%, 03/15/32		67,814
	200,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		195,155
	50,000	Verizon Global Funding Corp., 7.38%, 09/01/12		55,260
	300,000	Verizon New York, Inc., Series A, 6.88%, 04/01/12		318,594
	85,000	Windstream Corp., 8.63%, 08/01/16		89,675

				2,655,685

		Transportation — 0.0%
	20,000	Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11		21,075
	110,000	Union Pacific Corp., 5.38%, 05/01/14		108,258

				129,333

		Utilities — 1.3%
	604,000	AES Corp., 7.75%, 03/01/14		611,550
	80,000	AES Corp. — 144A, 7.75%, 10/15/15		81,600
	410,000	AES Corp. — 144A, 8.00%, 10/15/17		421,275
	70,000	Dominion Resources, Inc., 4.75%, 12/15/10 (5)		70,183
	220,000	Dominion Resources, Inc., 5.70%, 09/17/12 (5)		226,142
	70,000	Edison Mission Energy, 7.00%, 05/15/17		69,125
	90,000	Edison Mission Energy, 7.20%, 05/15/19		88,875
	40,000	Edison Mission Energy, 7.63%, 05/15/27		37,800
	170,000	Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17		171,700
	950,000	Energy Future Holdings Corp. — 144A, 11.25%, 11/01/17		964,250
	5,000	Exelon Corp., 5.63%, 06/15/35 (5)		4,480
	160,000	FirstEnergy Corp., Series B, 6.45%, 11/15/11 (5)		165,359
	225,000	FirstEnergy Corp., Series C, 7.38%, 11/15/31 (5)		247,603
	37,566	Midwest Generation LLC, Series B, 8.56%, 01/02/16		40,102
	100,000	NRG Energy, Inc., 7.25%, 02/01/14		97,750
	10,000	NRG Energy, Inc., 7.38%, 02/01/16		9,775
	10,000	NRG Energy, Inc., 7.38%, 01/15/17		9,775
	90,000	Pacific Gas & Electric Company, 6.05%, 03/01/34		90,144
	60,000	Pacific Gas & Electric Company, 5.80%, 03/01/37		58,055
	210,000	TXU Corp., Series P, 5.55%, 11/15/14		168,668
	105,000	TXU Corp., Series Q, 6.50%, 11/15/24		77,113
	370,000	TXU Corp., Series R, 6.55%, 11/15/34		269,622

				3,980,946

		Total Corporate Bonds and Notes (Cost $78,274,560)		75,466,840

Shares

		Preferred Stocks — 0.2%
		Banks and Financial Services
	12,000	Fannie Mae, Variable Rate, 8.25% (1)		309,000
	600	Fannie Mae, Series O, Floating Rate, 7.50% (2)		28,500
	17,000	Freddie Mac, Series Z, Variable Rate, 8.38% (1)(5)		444,550

		Total Preferred Stocks (Cost $756,920)		782,050

Principal

		Convertible Bonds — 0.0%
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs
$	40,000	Ford Motor Company, 4.25%, 12/15/36 (Cost $40,000)		39,950

See notes to financial statements.

135

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal				Value

			Municipal Bonds — 0.4%
			Virginia
$	1,281,374		Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $1,260,619)	$	1,281,502

			Foreign Government Obligations — 0.2%
	450,000		AID-Israel (Israel), 5.50%, 04/26/24 (4)		486,433
	14,850		Russian Federation — 144A (Russia), 7.50%, 03/31/30		17,037
	229,000		United Mexican States, Series MTNA, (Mexico), 6.75%, 09/27/34		253,503

			Total Foreign Government Obligations (Cost $687,700)		756,973

			Securities Lending Collateral — 3.7%
	11,679,276		Securities Lending Collateral Investment (Note 4) (Cost $11,679,276)		11,679,276

			Total Securities (Cost $341,237,658)		352,104,405

			Repurchase Agreements — 0.3%
	1,057,415		With State Street Bank and Trust, dated 12/31/07, 3.08%, due 01/02/08, repurchase proceeds at maturity $1,057,638 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.45%, due 05/01/33, with a value of $1,078,574) (Cost $1,057,415)		1,057,415

			Total Investments before Call and Put Options Written — 110.8% (Cost $342,295,073)		353,161,820

Contracts

			Call Options Written — (0.0)%
	(50	)	US Treasury Note (10 Year) March Future, Expiring February 2008 @ 111		(142,187	)
	(6	)	US Treasury Note (10 Year) March Future, Expiring February 2008 @ 112		(12,844	)

			Total Call Options Written (Premium $40,189)		(155,031	)

			Put Options Written — (0.0)%
	(16	)	US Treasury Note (10 Year) March Future, Expiring February 2008 @ 107		(750	)
	(27	)	US Treasury Note (10 Year) March Future, Expiring February 2008 @ 112		(20,250	)

			Total Put Options Written (Premium $35,254)		(21,000	)

			Total Investments net of Call and Put Options Written — 110.8% (Cost $342,219,630)		352,985,789
			Liabilities less other assets — (10.8)%		(34,350,606	)

			Net Assets — 100.0%	$	318,635,183

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $342,925,150.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	24,494,810
Gross unrealized depreciation		(14,258,140	)

Net unrealized appreciation	$	10,236,670

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

136

VALUE & INCOME PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 99.1%
		Advertising — 0.4%
	1,553,900	The Interpublic Group of Companies, Inc.*	$	12,602,129

		Aerospace and Defense — 0.7%
	300,000	Northrop Grumman Corp.		23,592,000

		Apparel: Manufacturing and Retail — 1.3%
	405,000	Macy’s, Inc.		10,477,350
	1,050,200	The Gap, Inc.		22,348,256
	110,000	VF Corp.		7,552,600

				40,378,206

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.9%
	154,727	Autoliv, Inc.		8,155,660
	208,000	BorgWarner, Inc.		10,069,280
	1,631,645	General Motors Corp.(8)		40,611,644

				58,836,584

		Banks and Financial Services — 13.7%
	481,000	American Express Company		25,021,620
	1,426,082	Bank of America Corp.		58,840,143
	1,768,970	Citigroup, Inc.		52,078,477
	1,537,200	Fannie Mae		61,457,256
	399,900	Freddie Mac		13,624,593
	2,684,640	JPMorgan Chase & Company		117,184,536
	444,000	Merrill Lynch & Company, Inc.		23,833,920
	500,000	Morgan Stanley		26,555,000
	587,200	National City Corp.(8)		9,665,312
	215,800	SunTrust Banks, Inc.		13,485,342
	84,000	The Goldman Sachs Group, Inc.		18,064,200
	115,000	Wachovia Corp.		4,373,450
	268,200	Washington Mutual, Inc.(8)		3,650,202
	265,600	Wells Fargo & Company		8,018,464

				435,852,515

		Broadcast Services/Media — 3.6%
	813,500	CBS Corp. — Class B(8)		22,167,875
	12,671	Citadel Broadcasting Corp.(8)		26,102
	1,769,900	Comcast Corp. — Class A*		32,318,374
	56,400	Comcast Corp. — Special Class A*		1,021,968
	3,538,300	Time Warner, Inc.		58,417,333

				113,951,652

		Chemicals — 1.0%
	200,000	EI du Pont de Nemours and Company		8,818,000
	615,000	The Dow Chemical Company		24,243,300

				33,061,300

		Computer Equipment, Software and Services — 4.3%
	628,200	Dell, Inc.*		15,397,182
	490,000	Electronic Data Systems Corp.		10,157,700
	491,300	Hewlett-Packard Company		24,800,824
	716,100	International Business Machines Corp.		77,410,410
	235,000	Microsoft Corp.		8,366,000

				136,132,116

		Construction Services and Supplies — 0.1%
	110,000	KB HOME(8)		2,376,000

		Consumer Goods and Services — 5.4%
	525,000	Altria Group, Inc.		39,679,500
	1,279,913	Avon Products, Inc.		50,594,961
	587,800	Kimberly-Clark Corp.		40,758,052
	115,000	The Black & Decker Corp.		8,009,750
	150,000	The Clorox Company		9,775,500
	288,000	The Procter & Gamble Company		21,144,960

				169,962,723

		Containers and Packaging — 0.3%
	208,900	Owens-Illinois, Inc.*(8)		10,340,550

		Diversified Operations and Services — 3.4%
	2,880,900	General Electric Company		106,794,963

		Electronics — 3.8%
	125,116	Arrow Electronics, Inc.*		4,914,556
	3,680,410	Flextronics International, Ltd. (Singapore)*		44,385,745
	1,939,177	Sanmina-SCI Corp.*		3,529,302
	665,900	Sony Corp. (ADR) (Japan)		36,158,370
	841,200	Tyco Electronics, Ltd. (Bermuda)		31,233,756

				120,221,729

		Environmental Waste Management and Recycling Services — 0.4%
	392,400	Waste Management, Inc.		12,819,708

		Food and Beverage — 2.3%
	32,075	Dean Foods Company		829,460
	60,000	Kellogg Company		3,145,800
	1,630,900	Kraft Foods, Inc. — Class A		53,216,267
	70,000	Molson Coors Brewing Company — Class B		3,613,400
	743,305	Sara Lee Corp.		11,937,478

				72,742,405

		Insurance — 9.4%
	593,000	Aetna, Inc.		34,233,890
	1,311,500	American International Group, Inc.		76,460,450
	72,000	Fidelity National Financial, Inc. — Class A		1,051,920
	550,000	Genworth Financial, Inc. — Class A		13,997,500
	109,400	MBIA, Inc.(8)		2,038,122
	450,200	MetLife, Inc.		27,741,324

See notes to financial statements.

137

VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Insurance (continued)

	61,566	PartnerRe, Ltd. (Bermuda)	$	5,081,042
	170,000	RenaissanceRe Holdings, Ltd. (Bermuda)		10,240,800
	446,000	The Allstate Corp.		23,294,580
	145,000	The Hartford Financial Services Group, Inc.		12,642,550
	1,439,438	The Travelers Companies, Inc.		77,441,764
	238,000	XL Capital, Ltd. — Class A (Cayman Islands)		11,973,780

				296,197,722

		Machinery — 0.4%
	115,000	Caterpillar, Inc.		8,344,400
	50,000	Terex Corp.*		3,278,500

				11,622,900

		Manufacturing — 3.9%
	140,000	Eaton Corp.		13,573,000
	795,800	Honeywell International, Inc.		48,997,406
	250,000	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)		11,617,500
	592,950	Smurfit-Stone Container Corp.* (8)		6,261,552
	147,700	SPX Corp.		15,190,945
	728,800	Tyco International, Ltd. (Bermuda)		28,896,920

				124,537,323

		Medical Equipment, Supplies, and Services — 2.9%
	1,660,100	Boston Scientific Corp.*		19,306,963
	633,200	Covidien, Ltd. (Bermuda)		28,044,428
	135,000	Johnson & Johnson		9,004,500
	120,000	McKesson Corp.		7,861,200
	5,344,920	Tenet Healthcare Corp.* (8)		27,152,194

				91,369,285

		Metals and Mining — 0.8%
	330,000	ArcelorMittal (Luxembourg) (8)		25,525,500

		Oil, Coal and Gas — 13.2%
	275,000	BP PLC (ADR) (United Kingdom)		20,121,750
	1,306,300	Chevron Corp.		121,916,979
	1,282,702	ConocoPhillips		113,262,587
	1,354,800	Exxon Mobil Corp.		126,931,212
	220,000	Marathon Oil Corp.		13,389,200
	78,000	Occidental Petroleum Corp.		6,005,220
	234,600	Total SA (ADR) (France)		19,377,960

				421,004,908

		Paper and Forest Products — 1.7%
	1,112,500	Louisiana-Pacific Corp.(8)		15,219,000
	1,191,500	MeadWestvaco Corp.		37,293,950

				52,512,950

		Pharmaceuticals/Research and Development — 6.8%
	385,800	AmerisourceBergen Corp.		17,310,846
	495,700	Amgen, Inc.*		23,020,308
	208,800	Merck & Company, Inc.		12,133,368
	2,291,600	Millennium Pharmaceuticals, Inc.* (8)		34,328,168
	4,428,600	Pfizer, Inc.		100,662,078
	1,018,300	Watson Pharmaceuticals, Inc.*		27,636,662

				215,091,430

		Retail — 0.2%
	265,427	Circuit City Stores, Inc. (8)		1,114,793
	325,000	Office Depot, Inc.*		4,520,750

				5,635,543

		Retail: Restaurants — 0.4%
	190,000	McDonald’s Corp.		11,192,900

		Retail: Supermarkets — 1.9%
	469,925	Safeway, Inc.		16,076,134
	200,000	SUPERVALU, Inc.		7,504,000
	779,350	The Kroger Company		20,816,439
	419,945	Whole Foods Market, Inc. (8)		17,133,756

				61,530,329

		Semiconductors — 0.7%
	3,957,900	LSI Corp.* (8)		21,016,449

		Telecommunications Equipment and Services — 8.7%
	2,816,955	AT&T, Inc.		117,072,650
	1,662,000	Motorola, Inc.		26,658,480
	265,000	Nokia Oyj (ADR) (Finland)		10,173,350
	6,809,600	Qwest Communications International, Inc.* (8)		47,735,296
	1,178,800	Sprint Nextel Corp.		15,477,644
	887,652	Verizon Communications, Inc.		38,781,516
	492,500	Vodafone Group PLC (ADR) (United Kingdom)		18,380,100

				274,279,036

		Toys — 0.7%
	1,180,600	Mattel, Inc.		22,478,624

		Transportation — 1.0%
	728,300	CSX Corp.		32,030,634

		Utilities — 3.8%
	201,395	Ameren Corp.		10,917,623
	1,159,580	American Electric Power Company, Inc.		53,990,045
	224,800	Constellation Energy Group		23,048,744

See notes to financial statements.

138

VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Utilities (continued)

	200,000	Entergy Corp.	$	23,904,000
	165,800	Wisconsin Energy Corp.		8,076,118

				119,936,530

		Total Common Stocks (Cost $2,792,533,825)		3,135,626,643

Principal

		Securities Lending Collateral — 6.5%
$	206,427,670	Securities Lending Collateral Investment (Note 4) (Cost $206,427,670)		206,427,670

		Total Securities (Cost $2,998,961,495)		3,342,054,313

		Repurchase Agreements — 2.1%
	66,991,506	With State Street Bank & Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $67,005,649 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.05%-4.42%, due 05/01/33-06/01/33, with a total value of $52,419,109, and various Freddie Mac Adjustable Rate Mortgages, 4.75%-4.77%, due 05/01/35, with a total value of $15,915,854) (Cost $66,991,506)		66,991,506

		Total Investments — 107.7% (Cost $3,065,953,001)		3,409,045,819
		Liabilities less other assets — (7.7)%		(244,021,044	)

		Net Assets — 100.0%	$	3,165,024,775

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $3,080,098,612.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	578,656,282
Gross unrealized depreciation		(249,709,075	)

Net unrealized appreciation	$	328,947,207

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

139

VALUE PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 95.5%
		Advertising—3.1%
	49,600	RH Donnelley Corp.* (8)	$	1,809,408
	323,600	The Interpublic Group of Companies, Inc.*		2,624,396

				4,433,804

		Aerospace and Defense — 2.6%
	22,100	Empresa Brasileira de Aeronautica SA (ADR) (Brazil)		1,007,539
	34,500	Northrop Grumman Corp.		2,713,080

				3,720,619

		Apparel: Manufacturing and Retail — 2.0%
	37,600	Limited Brands, Inc. (8)		711,768
	97,100	The Gap, Inc.		2,066,288

				2,778,056

		Banks and Financial Services — 19.2%
	74,155	Bank of America Corp.		3,059,635
	11,200	Capital One Financial Corp.		529,312
	97,700	Citigroup, Inc.		2,876,288
	34,000	Comerica, Inc.		1,480,020
	147,700	Freddie Mac		5,032,138
	92,300	JPMorgan Chase & Company		4,028,895
	27,800	KeyCorp		651,910
	83,600	National City Corp.		1,376,056
	13,700	UnionBanCal Corp.		670,067
	84,500	Wachovia Corp.		3,213,535
	301,300	Washington Mutual, Inc. (8)		4,100,693

				27,018,549

		Chemicals — 0.2%
	5,700	Eastman Chemical Company		348,213

		Computer Equipment, Software and Services — 14.3%
	275,066	CA, Inc.		6,862,897
	310,700	Electronic Data Systems Corp.		6,440,811
	129,300	Microsoft Corp.		4,603,080
	104,400	Oracle Corp.*		2,357,352

				20,264,140

		Construction Services and Supplies — 4.9%
	140,000	Centex Corp.		3,536,400
	82,800	Lennar Corp. — Class A (8)		1,481,292
	183,900	Pulte Homes, Inc.		1,938,306

				6,955,998

		Consumer Goods and Services — 1.6%
	30,600	Altria Group, Inc.		2,312,748

		Electronics — 2.8%
	105,750	Tyco Electronics, Ltd. (Bermuda)		3,926,498

		Insurance — 12.2%
	87,200	Conseco, Inc.*		1,095,232
	151,100	Genworth Financial, Inc. — Class A		3,845,495
	56,400	MetLife, Inc.		3,475,368
	8,600	The Hartford Financial Services Group, Inc.		749,834
	79,700	The Travelers Companies, Inc.		4,287,860
	84,100	UnumProvident Corp.		2,000,739
	35,700	XL Capital, Ltd. — Class A (Cayman Islands)		1,796,067

				17,250,595

		Manufacturing — 2.4%
	86,950	Tyco International, Ltd. (Bermuda)		3,447,568

		Medical Equipment, Supplies, and Services — 2.6%
	57,350	Covidien, Ltd. (Bermuda)		2,540,032
	17,800	Johnson & Johnson		1,187,260

				3,727,292

		Oil, Coal and Gas — 3.3%
	39,100	Royal Dutch Shell PLC — Class B (ADR) (United Kingdom)		3,245,300
	20,000	Sunoco, Inc.		1,448,800

				4,694,100

		Pharmaceuticals/Research and Development — 7.2%
	45,700	AstraZeneca PLC (ADR) (United Kingdom)		1,956,874
	42,900	Bristol-Myers Squibb Company		1,137,708
	67,400	Eli Lilly and Company		3,598,486
	153,400	Pfizer, Inc.		3,486,782

				10,179,850

		Printing and Publishing — 0.6%
	46,100	Idearc, Inc.		809,516

		Real Estate Development and Services — 1.4%
	56,200	The St. Joe Company (8)		1,995,662

		Retail — 6.4%
	147,552	The Home Depot, Inc.		3,975,051
	108,300	Wal-Mart Stores, Inc.		5,147,499

				9,122,550

		Retail: Supermarkets — 1.2%
	49,300	Safeway, Inc.		1,686,553

		Transportation — 0.5%
	7,300	FedEx Corp.		650,941

		Utilities — 7.0%
	29,000	Entergy Corp.		3,466,080
	61,800	Exelon Corp.		5,045,352
	20,600	FPL Group, Inc.		1,394,002

				9,905,434

		Total Common Stocks (Cost $161,075,987)		135,228,686

See notes to financial statements.

140

VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Securities Lending Collateral — 6.0%
$	8,440,760	Securities Lending Collateral Investment (Note 4) (Cost $8,440,760)		8,440,760

		Total Securities (Cost $169,516,747)		143,669,446

		Repurchase Agreements — 4.7%
	6,665,697	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $6,667,105 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.40%-4.57%, due 11/01/33-02/01/34, with a total value of $6,799,760) (Cost $6,665,697)		6,665,697

		Total Investments — 106.2% (Cost $176,182,444)		150,335,143
		Liabilities less other assets — (6.2)%		(8,769,217	)

		Net Assets — 100.0%	$	141,565,926

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $176,429,007.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	5,877,256
Gross unrealized depreciation		(31,971,120	)

Net unrealized depreciation	$	(26,093,864	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

141

GROWTH & INCOME PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 99.2%
		Aerospace and Defense — 3.0%
	24,900	L-3 Communications Holdings, Inc.	$	2,637,906
	78,120	Lockheed Martin Corp.		8,222,911
	86,400	Northrop Grumman Corp.		6,794,496
	20,200	Raytheon Company		1,226,140
	89,096	The Boeing Company		7,792,336

				26,673,789

		Agriculture — 1.0%
	54,300	Archer-Daniels-Midland Company		2,521,149
	23,500	CF Industries Holdings, Inc.		2,586,410
	31,100	Monsanto Company		3,473,559

				8,581,118

		Airlines — 0.1%
	37,900	Continental Airlines, Inc. — Class B*		843,275

		Apparel: Manufacturing and Retail — 0.3%
	16,400	Abercrombie & Fitch Company — Class A		1,311,508
	40,800	Guess?, Inc.		1,545,912

				2,857,420

		Automobile: Rental — 0.0%
	32,800	Avis Budget Group, Inc.*		426,400

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.7%
	108,700	AutoNation, Inc.* (8)		1,702,242
	17,473	AutoZone, Inc.*		2,095,187
	99,100	Ford Motor Company* (8)		666,943
	14,200	Magna International, Inc. — Class A (Canada)		1,142,106
	41,300	TRW Automotive Holdings Corp.*		863,170

				6,469,648

		Banks and Financial Services — 11.1%
	59,708	American Express Company		3,106,010
	43,000	Ameriprise Financial, Inc.		2,369,730
	242,600	Bank of America Corp.		10,009,676
	70,000	Bank of New York Mellon Corp.		3,413,200
	13,700	BB&T Corp. (8)		420,179
	5,000	Capital One Financial Corp.		236,300
	154,700	Citigroup, Inc.		4,554,368
	6,975	CME Group, Inc.		4,784,850
	52,100	Comerica, Inc.		2,267,913
	12,400	Credicorp, Ltd. (Bermuda)		946,120
	46,700	Federated Investors, Inc. — Class B		1,922,172
	68,100	Fifth Third Bancorp		1,711,353
	10,800	Franklin Resources, Inc.		1,235,844
	22,600	Hudson City Bancorp, Inc.		339,452
	104,700	Janus Capital Group, Inc.		3,439,395
	334,000	JPMorgan Chase & Company		14,579,100
	37,100	KeyCorp		869,995
	16,500	MasterCard, Inc. — Class A (8)		3,550,800
	135,100	Morgan Stanley		7,175,161
	57,300	National City Corp.		943,158
	47,100	Regions Financial Corp.		1,113,915
	7,500	SLM Corp.		151,050
	32,400	State Street Corp. (8)		2,630,880
	61,000	SunTrust Banks, Inc.		3,811,890
	38,900	The Goldman Sachs Group, Inc.		8,365,445
	27,800	UnionBanCal Corp.		1,359,698
	76,900	US Bancorp		2,440,806
	88,500	Wachovia Corp.		3,365,655
	149,900	Washington Mutual, Inc. (8)		2,040,139
	274,600	Wells Fargo & Company (8)		8,290,174

				101,444,428

		Broadcast Services/Media — 3.4%
	167,782	CBS Corp. — Class B		4,572,060
	1,400	Liberty Media Corp. — Capital — Series A*		163,086
	104,000	Shaw Communications, Inc. — Class B (Canada) (8)		2,462,720
	243,400	The DIRECTV Group, Inc.*		5,627,408
	224,700	The Walt Disney Company		7,253,316
	636,300	Time Warner, Inc.		10,505,313

				30,583,903

		Business Services and Supplies — 0.7%
	121,806	Accenture, Ltd. — Class A (Bermuda)		4,388,670
	3,000	Dun & Bradstreet Corp.		265,890
	48,000	Hewitt Associates, Inc. — Class A*		1,837,920

				6,492,480

		Chemicals — 1.1%
	18,700	Ashland, Inc.		886,941
	81,946	Celanese Corp. — Series A		3,467,955
	55,300	Methanex Corp. (Canada) (8)		1,526,280
	7,300	Terra Industries, Inc.*		348,648
	50,500	The Dow Chemical Company (8)		1,990,710
	33,963	The Lubrizol Corp.		1,839,436

				10,059,970

		Collectibles — 0.2%
	46,600	Sotheby’s (8)		1,775,460

		Computer Equipment, Software and Services — 9.5%
	61,900	Apple, Inc.*		12,261,152
	1,800	Autodesk, Inc.*		89,568
	46,200	BMC Software, Inc.*		1,646,568
	60,500	CA, Inc.		1,509,475
	71,400	Computer Sciences Corp.*		3,532,158
	216,200	Compuware Corp.*		1,919,856
	108,900	Dell, Inc.*		2,669,139

See notes to financial statements.

142

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Computer Equipment, Software and Services (continued)

	161,300	EMC Corp.*	$	2,988,889
	215,100	Hewlett-Packard Company		10,858,248
	93,000	International Business Machines Corp.		10,053,300
	600	Lexmark International, Inc. — Class A*		20,916
	750,800	Microsoft Corp.		26,728,480
	139,109	Nuance Communications, Inc.* (8)		2,598,556
	233,800	Oracle Corp.*		5,279,204
	58,100	Seagate Technology (Cayman Islands)		1,481,550
	95,200	Western Digital Corp.*		2,875,992

				86,513,051

		Construction Services and Supplies — 0.3%
	119,700	Masco Corp. (8)		2,586,717

		Consumer Goods and Services — 4.0%
	129,343	Altria Group, Inc.		9,775,744
	41,900	American Greetings Corp. — Class A		850,570
	29,876	Energizer Holdings, Inc.*		3,349,996
	20,500	Herbalife, Ltd. (Cayman Islands)		825,740
	36,961	Jarden Corp.* (8)		872,649
	16,339	Loews Corp.- Carolina Group		1,393,717
	26,800	NBTY, Inc.*		734,320
	3,500	The Black & Decker Corp.		243,775
	18,500	The Clorox Company		1,205,645
	42,100	The Estee Lauder Companies, Inc. — Class A		1,835,981
	133,687	The Procter & Gamble Company		9,815,299
	38,100	United Parcel Service, Inc. — Class B		2,694,432
	43,100	UST, Inc. (8)		2,361,880
	100	Whirlpool Corp. (8)		8,163

				35,967,911

		Containers and Packaging — 0.1%
	26,500	Ball Corp.		1,192,500

		Distribution — 0.1%
	5,500	Universal Corp.		281,710
	2,100	WW Grainger, Inc.		183,792

				465,502

		Diversified Operations and Services — 1.1%
	258,000	General Electric Company		9,564,060

		Education — 0.6%
	35,300	Apollo Group, Inc. — Class A*		2,476,295
	29,225	ITT Educational Services, Inc.*		2,492,016

				4,968,311

		Electronics — 1.3%
	74,700	Avnet, Inc.*		2,612,259
	54,100	Emerson Electric Company		3,065,306
	2,100	Garmin, Ltd. (Cayman Islands)		203,700
	53,391	Synopsys, Inc.*		1,384,429
	116,100	Tyco Electronics, Ltd. (Bermuda)		4,310,793

				11,576,487

		Engineering — 0.1%
	1,200	Fluor Corp.		174,864
	3,800	Foster Wheeler, Ltd. (Bermuda)*		589,076
	3,300	KBR, Inc.*		128,040

				891,980

		Environmental Waste Management and Recycling Services — 0.2%
	175,199	Allied Waste Industries, Inc.*		1,930,693

		Food and Beverage — 3.5%
	54,400	Coca-Cola Enterprises, Inc.		1,416,032
	60,600	ConAgra Foods, Inc.		1,441,674
	46,400	General Mills, Inc.		2,644,800
	3,100	Hansen Natural Corp.* (8)		137,299
	73,212	Kraft Foods, Inc. — Class A		2,388,908
	36,000	Molson Coors Brewing Company — Class B		1,858,320
	75,500	PepsiCo, Inc. (8)		5,730,450
	80,000	Sysco Corp.		2,496,800
	99,900	The Coca-Cola Company		6,130,863
	133,800	The Pepsi Bottling Group, Inc.		5,279,748
	125,900	Tyson Foods, Inc. — Class A		1,930,047

				31,454,941

		Insurance — 5.8%
	71,400	Aetna, Inc.		4,121,922
	17,300	AFLAC, Inc.		1,083,499
	31,500	American International Group, Inc.		1,836,450
	39,800	Assurant, Inc.		2,662,620
	56,200	Axis Capital Holdings, Ltd. (Bermuda)		2,190,114
	98,600	CIGNA Corp.		5,297,778
	58,000	Endurance Specialty Holdings, Ltd. (Bermuda)		2,420,340
	25,200	Everest Re Group, Ltd. (Bermuda)		2,530,080
	2,700	Fairfax Financial Holdings, Ltd. (Canada) (8)		772,551
	25,253	Genworth Financial, Inc. — Class A		642,689
	8,300	Loews Corp.		417,822
	27,500	MetLife, Inc.		1,694,550
	14,700	Nationwide Financial Services, Inc. — Class A		661,647
	14,500	PartnerRe, Ltd. (Bermuda) (8)		1,196,685
	18,100	Principal Financial Group, Inc. (8)		1,246,004

See notes to financial statements.

143

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Insurance (continued)

	28,829	Prudential Financial, Inc.	$	2,682,250
	50,000	SAFECO Corp.		2,784,000
	76,000	The Allstate Corp.		3,969,480
	99,100	The Chubb Corp.		5,408,878
	91,300	The Travelers Companies, Inc.		4,911,940
	49,700	WR Berkley Corp.		1,481,557
	42,290	XL Capital, Ltd. — Class A (Cayman Islands)		2,127,610

				52,140,466

		Internet Services — 4.3%
	29,500	Amazon.com, Inc.*		2,732,880
	53,400	Check Point Software Technologies, Ltd. (Israel)*		1,172,664
	429,100	Cisco Systems, Inc.*		11,615,737
	144,000	eBay, Inc.*		4,779,360
	94,000	Expedia, Inc.*		2,972,280
	11,960	Google, Inc. — Class A* (5)		8,270,101
	83,800	Juniper Networks, Inc.*		2,782,160
	222,400	Symantec Corp.*		3,589,536
	7,900	VeriSign, Inc.*		297,119
	19,700	Yahoo!, Inc.*		458,222

				38,670,059

		Leisure and Recreation — 0.4%
	3,800	Carnival Corp. (Panama)		169,062
	73,200	Royal Caribbean Cruises, Ltd. (Liberia)(8)		3,106,608

				3,275,670

		Machinery — 2.0%
	47,295	AGCO Corp.* (8)		3,215,114
	46,600	Caterpillar, Inc.		3,381,296
	39,989	Cummins, Inc.		5,093,399
	44,100	Deere & Company		4,106,592
	49,996	Gardner Denver, Inc.*		1,649,868
	13,900	Rockwell Automation, Inc.		958,544

				18,404,813

		Manufacturing — 2.2%
	41,300	3M Company		3,482,416
	17,500	Eaton Corp.		1,696,625
	12,200	Harsco Corp.		781,654
	49,800	Honeywell International, Inc.		3,066,186
	23,000	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)		1,068,810
	73,800	Parker Hannifin Corp.		5,557,878
	20,100	Precision Castparts Corp.		2,787,870
	11,300	SPX Corp.		1,162,205
	14,400	The Timken Company		473,040

				20,076,684

		Medical Equipment, Supplies, and Services — 4.0%
	58,000	Baxter International, Inc.		3,366,900
	15,000	Becton, Dickinson and Company		1,253,700
	51,800	Humana, Inc.*		3,901,058
	23,060	Invitrogen Corp.*		2,154,035
	125,600	Johnson & Johnson		8,377,520
	68,206	Kinetic Concepts, Inc.* (8)		3,653,113
	41,900	McKesson Corp.		2,744,869
	98,200	Medtronic, Inc.		4,936,514
	68,700	UnitedHealth Group, Inc.		3,998,340
	17,800	WellPoint, Inc.*		1,561,594

				35,947,643

		Metals and Mining — 1.7%
	57,500	Freeport-McMoRan Copper & Gold, Inc.		5,890,300
	5,200	Newmont Mining Corp.		253,916
	55,600	Nucor Corp.		3,292,632
	59,600	Southern Copper Corp. (8)		6,265,748

				15,702,596

		Oil, Coal and Gas — 12.0%
	45,100	Anadarko Petroleum Corp.		2,962,619
	11,700	Apache Corp.		1,258,218
	76,200	Chesapeake Energy Corp.		2,987,040
	171,100	Chevron Corp.		15,968,763
	134,586	ConocoPhillips		11,883,944
	28,600	Devon Energy Corp.		2,542,826
	2,100	Dresser-Rand Group, Inc.*		82,005
	32,769	ENSCO International, Inc.		1,953,688
	362,500	Exxon Mobil Corp.		33,962,624
	30,100	Frontier Oil Corp.		1,221,458
	45,700	Global Industries, Ltd.*		978,894
	84,000	Halliburton Company		3,184,440
	73,600	Marathon Oil Corp.		4,479,296
	54,900	National-Oilwell Varco, Inc.*		4,032,954
	47,000	Noble Corp. (Cayman Islands)		2,655,970
	34,300	Noble Energy, Inc.		2,727,536
	20,200	Petro-Canada (Canada)		1,083,124
	6,400	Pioneer Natural Resources Company		312,576
	50,000	Schlumberger, Ltd. (Netherlands Antilles)		4,918,500
	40,600	Sunoco, Inc.		2,941,064
	51,989	Superior Energy Services, Inc.*		1,789,461
	30,578	Tesoro Corp.		1,458,571
	209	Transocean, Inc. (Cayman Islands) (8)		29,918
	59,100	Valero Energy Corp.		4,138,773

				109,554,262

		Pharmaceuticals/Research and Development — 7.1%
	121,500	AmerisourceBergen Corp.		5,451,705
	74,300	Amgen, Inc.*		3,450,492
	33,000	Biogen Idec, Inc.*		1,878,360

See notes to financial statements.

144

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)

	155,278	Bristol-Myers Squibb Company	$	4,117,973
	38,300	Cardinal Health, Inc.		2,211,825
	44,400	Charles River Laboratories International, Inc.*		2,921,520
	56,200	Eli Lilly and Company		3,000,518
	29,300	Express Scripts, Inc.*		2,138,900
	111,488	Gilead Sciences, Inc.*		5,129,563
	30,400	Medco Health Solutions, Inc.*		3,082,560
	199,400	Merck & Company, Inc.		11,587,134
	720,400	Pfizer, Inc.		16,374,691
	100,000	Schering-Plough Corp.		2,664,000
	8,000	Wyeth		353,520

				64,362,761

		Real Estate Development and Services — 0.4%
	47,300	Jones Lang LaSalle, Inc.		3,365,868

		Real Estate Investment Trusts — 1.0%
	5,400	AvalonBay Communities, Inc. (8)		508,356
	1,600	Boston Properties, Inc.		146,896
	12,400	Douglas Emmett, Inc.		280,364
	12,900	Equity Residential		470,463
	3,100	General Growth Properties, Inc. (8)		127,658
	52,100	ProLogis (8)		3,302,098
	2,500	Rayonier, Inc. (8)		118,100
	2,700	Regency Centers Corp.		174,123
	30,000	Simon Property Group, Inc.		2,605,800
	8,800	The Macerich Company		625,328
	11,100	Ventas, Inc. (8)		502,275

				8,861,461

		Retail — 2.5%
	59,884	Barnes & Noble, Inc.		2,063,004
	69,000	Best Buy Company, Inc.		3,632,850
	37,200	CVS Caremark Corp.		1,478,700
	42,600	Dick’s Sporting Goods, Inc.*		1,182,576
	31,500	Dollar Tree Stores, Inc.*		816,480
	50,100	GameStop Corp. — Class A*		3,111,711
	144,600	RadioShack Corp. (8)		2,437,956
	34,100	The Home Depot, Inc.		918,654
	41,300	The TJX Companies, Inc.		1,186,549
	124,300	Wal-Mart Stores, Inc.		5,907,979

				22,736,459

		Retail: Restaurants — 0.9%
	66,800	Brinker International, Inc.		1,306,608
	17,000	Jack in the Box, Inc.*		438,090
	68,914	McDonald’s Corp.		4,059,724
	59,800	YUM! Brands, Inc.		2,288,546

				8,092,968

		Retail: Supermarkets — 1.0%
	59,313	Safeway, Inc.		2,029,098
	254,688	The Kroger Company		6,802,716

				8,831,814

		Semiconductors — 2.7%
	6,900	Analog Devices, Inc.		218,730
	522,800	Intel Corp.		13,937,848
	2,500	MEMC Electronic Materials, Inc.*		221,225
	125,588	NVIDIA Corp.*		4,272,504
	167,950	Texas Instruments, Inc.		5,609,530

				24,259,837

		Telecommunications Equipment and Services — 3.9%
	327,722	AT&T, Inc. (5)		13,620,127
	38,800	CenturyTel, Inc.		1,608,648
	79,100	Corning, Inc.		1,897,609
	33,780	Embarq Corp.		1,673,123
	433,900	Sprint Nextel Corp.		5,697,107
	9,000	Telephone and Data Systems, Inc. — Special Common Shares		518,400
	231,600	Verizon Communications, Inc.		10,118,604

				35,133,618

		Toys — 0.3%
	92,900	Hasbro, Inc.		2,376,382

		Transportation — 1.3%
	77,536	CSX Corp.		3,410,034
	62,200	Kirby Corp.*		2,891,056
	29,600	Norfolk Southern Corp.		1,493,024
	42,889	Ryder System, Inc.		2,016,212
	38,576	Tidewater, Inc.		2,116,279

				11,926,605

		Utilities — 3.3%
	59,500	Alliant Energy Corp.		2,421,055
	154,321	CenterPoint Energy, Inc.		2,643,519
	116,600	Duke Energy Corp.		2,351,822
	95,000	Edison International		5,070,150
	13,000	Entergy Corp.		1,553,760
	57,900	FirstEnergy Corp.		4,188,486
	29,700	NRG Energy, Inc.* (8)		1,287,198
	38,300	PG&E Corp.		1,650,347
	39,000	Public Service Enterprise Group, Inc.		3,831,360
	86,000	Reliant Energy, Inc.*		2,256,640
	140,000	Sierra Pacific Resources		2,377,200

				29,631,537

		Total Common Stocks (Cost $840,552,521)		896,671,547

See notes to financial statements.

145

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Securities Lending Collateral — 5.5%
$	49,509,121	Securities Lending Collateral Investment (Note 4) (Cost $49,509,121)	$	49,509,121

		Total Securities (Cost $890,061,642)		946,180,668

		Repurchase Agreements — 0.8%
	7,080,636	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $7,082,131 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.06%, due 05/01/33, with a value of $1,850,921 and Freddie Mac Adjustable Rate Mortgage, 4.77%, due 05/01/35, with a value of $5,374,027) (Cost $7,080,636)		7,080,636

		Total Investments — 105.5% (Cost $897,142,278)		953,261,304
		Liabilities less other assets — (5.5)%		(49,999,483	)

		Net Assets — 100.0%	$	903,261,821

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $901,750,925.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	102,515,519
Gross unrealized depreciation		(51,005,140	)

Net unrealized appreciation	$	51,510,379

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

146

EQUITY GROWTH PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 96.4%
		Advertising—0.2%
	98,964	Omnicom Group, Inc.	$	4,703,759

		Aerospace and Defense — 5.9%
	101,040	Gamesa Corporacion Tecnologica, SA (Spain)		4,724,263
	486,462	General Dynamics Corp.		43,290,253
	337,508	Lockheed Martin Corp.		35,526,092
	323,388	Raytheon Company		19,629,652
	470,905	The Boeing Company		41,185,351

				144,355,611

		Agriculture — 2.9%
	178,881	Agrium, Inc. (Canada)		12,916,997
	57,700	CF Industries Holdings, Inc.		6,350,462
	374,767	Monsanto Company		41,857,726
	69,000	Potash Corp. of Saskatchewan, Inc. (Canada)		9,933,240

				71,058,425

		Airlines — 0.1%
	126,742	AMR Corp.*(8)		1,778,190

		Apparel: Manufacturing and Retail — 0.7%
	241,179	American Eagle Outfitters, Inc. (8)		5,009,288
	173,900	Coach, Inc.*		5,317,862
	98,400	Guess?, Inc.		3,728,376
	91,000	Limited Brands, Inc. (8)		1,722,630
	31,103	NIKE, Inc. — Class B		1,998,057

				17,776,213

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.6%
	60,237	Continental AG (Germany)		7,837,305
	107,100	Johnson Controls, Inc.		3,859,884
	11,200	Oshkosh Truck Corp.		529,312
	353,548	Tata Motors, Ltd. (ADR) (India) (8)		6,667,915
	186,251	Toyota Motor Corp. (ADR) (Japan)		19,774,269

				38,668,685

		Banks and Financial Services — 4.8%
	12,000	Affiliated Managers Group, Inc.* (8)		1,409,520
	106,219	American Express Company		5,525,512
	150,000	Banco Itau Holding Financeira SA (ADR) (Brazil)		3,879,000
	35,700	Bank of New York Mellon Corp.		1,740,732
	11,800	CME Group, Inc.		8,094,800
	49,543	Franklin Resources, Inc.		5,669,205
	47,266,000	Industrial and Commercial Bank of China, Ltd. — Class H (China)		33,945,879
	308,300	Invesco, Ltd. (Bermuda) (8)		9,674,454
	19,599	Julius Baer Holding, Ltd. (Switzerland)		1,620,339
	178,791	Merrill Lynch & Company, Inc.		9,597,501
	106,822	The Charles Schwab Corp.		2,729,302
	160,146	The Goldman Sachs Group, Inc.		34,439,398

				118,325,642

		Broadcast Services/Media — 1.2%
	91,464	Comcast Corp. — Class A*		1,670,133
	235,351	DreamWorks Animation SKG, Inc. — Class A*		6,010,864
	62,269	EchoStar Communications Corp. — Class A*		2,348,787
	101,812	Liberty Global, Inc. — Class A*		3,990,012
	180,889	News Corp. — Class A		3,706,416
	153,013	The DIRECTV Group, Inc.*		3,537,661
	99,998	The Walt Disney Company		3,227,935
	158,151	Time Warner, Inc.		2,611,073
	64,744	Viacom, Inc. — Class B*		2,843,556

				29,946,437

		Business Services and Supplies — 0.5%
	280,255	Accenture, Ltd. — Class A (Bermuda)		10,097,588
	32,600	Global Payments, Inc.		1,516,552

				11,614,140

		Chemicals — 0.6%
	122,132	Air Products and Chemicals, Inc.		12,045,879
	65,214	Rohm and Haas Company (8)		3,460,907

				15,506,786

		Collectibles — 0.2%
	108,800	Sotheby’s (8)		4,145,280

		Computer Equipment, Software and Services — 14.4%
	393,184	Apple, Inc.*		77,881,886
	555,200	BEA Systems, Inc.*		8,761,056
	347,682	BMC Software, Inc.*		12,391,386
	887,862	Cadence Design Systems, Inc.*		15,102,533
	212,700	Dell, Inc.*		5,213,277
	160,386	EMC Corp.*		2,971,953
	881,196	Hewlett-Packard Company		44,482,773
	296,136	International Business Machines Corp.		32,012,302
	2,743,141	Microsoft Corp.		97,655,819
	493,637	Network Appliance, Inc.* (8)		12,321,180
	1,672,428	Oracle Corp.*		37,763,424
	185,000	SanDisk Corp.*		6,136,450

				352,694,039

		Construction Services and Supplies — 0.1%
	107,498	RPM International, Inc.		2,182,209

See notes to financial statements.

147

EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Consumer Goods and Services — 2.5%
	533,955	Altria Group, Inc.	$	40,356,320
	55,500	Church & Dwight Company, Inc.		3,000,885
	8,600	Energizer Holdings, Inc.*		964,318
	27,241	Herbalife, Ltd. (Cayman Islands)		1,097,267
	48,165	NBTY, Inc.*		1,319,721
	194,250	Newell Rubbermaid, Inc.		5,027,190
	58,572	The Procter & Gamble Company		4,300,356
	82,730	UST, Inc. (8)		4,533,604

				60,599,661

		Containers and Packaging — 0.2%
	60,620	Ball Corp.		2,727,900
	38,800	Owens-Illinois, Inc.*		1,920,600

				4,648,500

		Diversified Operations and Services — 0.6%
	80,300	Compagnie General de Geophysique-Veritas (CGG-Veritas) (ADR) (France)*		4,500,815
	128,200	General Electric Company		4,752,374
	81,412	Textron, Inc.		5,804,676

				15,057,865

		Electronics — 1.7%
	306,564	Emerson Electric Company		17,369,916
	269,293	Rockwell Collins, Inc.		19,381,018
	145,256	Synopsys, Inc.*		3,766,488

				40,517,422

		Energy Services — 0.1%
	28,654	McDermott International, Inc. (Panama)*		1,691,446

		Engineering — 0.2%
	56,600	Jacobs Engineering Group, Inc.*		5,411,526

		Environmental Waste Management and Recycling Services — 0.0%
	32,900	Nalco Holding Company		795,522

		Food and Beverage — 2.0%
	44,000	Anheuser-Busch Companies, Inc.		2,302,960
	11,700	Hansen Natural Corp.* (8)		518,193
	474,465	PepsiCo, Inc.		36,011,894
	128,088	Sysco Corp.		3,997,626
	72,704	The Coca-Cola Company		4,461,844
	29,400	The Hershey Company		1,158,360

				48,450,877

		Insurance — 0.6%
	87,530	Ace, Ltd. (Cayman Islands)		5,407,604
	53,300	American International Group, Inc.		3,107,390
	39,866	CIGNA Corp.		2,142,000
	44,099	Prudential Financial, Inc.		4,102,971

				14,759,965

		Internet Services — 5.8%
	12,687	Amazon.com, Inc.*		1,175,324
	1,739,280	Cisco Systems, Inc.*		47,082,310
	69,344	Ctrip.com International, Ltd. (ADR) (Cayman Islands)		3,985,200
	80,885	eBay, Inc.*		2,684,573
	210,800	Giant Interactive Group, Inc. (ADR) (China)*(8)		2,736,184
	96,786	Google, Inc. — Class A*		66,925,583
	39,056	McAfee, Inc.*		1,464,600
	170,200	Shanda Interactive Entertainment, Ltd. (ADR)(Cayman Islands)*		5,674,468
	77,000	Symantec Corp.*		1,242,780
	157,100	VeriSign, Inc.*		5,908,531
	106,578	Yahoo!, Inc.*		2,479,004

				141,358,557

		Leisure and Recreation — 3.5%
	314,551	Las Vegas Sands Corp.*		32,414,480
	216,539	MGM MIRAGE*		18,193,607
	166,255	Regal Entertainment Group — Class A (8)		3,004,228
	278,181	Wynn Resorts, Ltd. (8)		31,192,436

				84,804,751

		Machinery — 0.9%
	36,694	Caterpillar, Inc.		2,662,517
	44,671	Cummins, Inc.		5,689,745
	55,104	Deere & Company		5,131,284
	47,200	Terex Corp.*		3,094,904
	88,300	The Manitowoc Company, Inc.		4,311,689

				20,890,139

		Manufacturing — 2.1%
	61,700	3M Company		5,202,544
	53,633	Eaton Corp.		5,199,719
	298,503	Hansen Transmissions (Belgium)*		1,711,296
	105,822	Honeywell International, Inc.		6,515,461
	31,800	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)		1,477,746
	73,452	ITT Industries, Inc.		4,850,770
	257,118	Parker Hannifin Corp.		19,363,557
	96,963	Roper Industries, Inc. (8)		6,064,066

				50,385,159

		Medical Equipment, Supplies, and Services — 4.5%
	14,253	Baxter International, Inc.		827,387
	92,496	Coventry Health Care, Inc.*		5,480,388
	91,258	Health Net, Inc.*		4,407,761
	79,975	Henry Schein, Inc.* (8)		4,910,465
	71,422	Humana, Inc.*		5,378,791

See notes to financial statements.

148

EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Medical Equipment, Supplies, and Services (continued)

	86,735	Johnson & Johnson	$	5,785,225
	317,597	McKesson Corp.		20,805,779
	177,399	Medtronic, Inc.		8,917,848
	31,629	Stryker Corp.		2,363,319
	859,934	UnitedHealth Group, Inc.		50,048,158

				108,925,121

		Metals and Mining — 1.2%
	59,828	AK Steel Holding Corp.*		2,766,447
	600,007	Antofagasta PLC (United Kingdom)		8,563,661
	114,117	Freeport-McMoRan Copper & Gold, Inc.		11,690,145
	26,793	Reliance Steel & Aluminum Company		1,452,181
	45,517	Southern Copper Corp. (8)		4,785,202

				29,257,636

		Office Equipment, Supplies, and Services — 0.2%
	96,085	Pitney Bowes, Inc. (8)		3,655,073
	100,065	Steelcase, Inc. — Class A		1,588,032
	30,530	Xerox Corp.		494,281

				5,737,386

		Oil, Coal and Gas — 9.7%
	81,134	Chevron Corp.		7,572,236
	69,931	ConocoPhillips		6,174,907
	182,754	Diamond Offshore Drilling, Inc. (8)		25,951,068
	71,108	ENSCO International, Inc.		4,239,459
	153,893	Exxon Mobil Corp.		14,418,235
	70,062	Global Industries, Ltd.*		1,500,728
	89,974	Holly Corp. (8)		4,578,777
	57,720	National-Oilwell Varco, Inc.*		4,240,111
	73,468	Noble Corp. (Cayman Islands)		4,151,677
	260,838	Petroleo Brasileiro SA — Petrobras (ADR) (Brazil)		30,058,971
	377,433	Schlumberger, Ltd. (Netherlands Antilles)		37,128,084
	112,300	Smith International, Inc.		8,293,355
	169,200	Tesoro Corp.		8,070,840
	433,824	Transocean, Inc. (Cayman Islands)		62,101,906
	78,680	Valero Energy Corp.		5,509,960
	255,902	XTO Energy, Inc.		13,143,127

				237,133,441

		Pharmaceuticals/Research and Development — 10.1%
	346,891	Abbott Laboratories		19,477,930
	108,188	AmerisourceBergen Corp.		4,854,396
	35,040	Amylin Pharmaceuticals, Inc.* (8)		1,296,480
	693,932	Bristol-Myers Squibb Company		18,403,077
	105,105	Cardinal Health, Inc.		6,069,814
	53,621	Celgene Corp.*		2,477,826
	206,900	Elan Corp. PLC (ADR) (Ireland)*		4,547,662
	472,472	Eli Lilly and Company		25,225,280
	85,500	Endo Pharmaceuticals Holdings, Inc.*		2,280,285
	85,720	Express Scripts, Inc.*		6,257,560
	369,291	Forest Laboratories, Inc.*		13,460,657
	335,463	Genentech, Inc.*		22,499,503
	38,888	Gilead Sciences, Inc.*		1,789,237
	68,001	Medco Health Solutions, Inc.*		6,895,301
	1,094,905	Merck & Company, Inc.		63,624,929
	101,000	Millennium Pharmaceuticals, Inc.*		1,512,980
	780,453	Schering-Plough Corp.		20,791,268
	337,030	Shionogi & Company, Ltd. (Japan)		5,958,325
	166,986	Teva Pharmaceutical Industries, Ltd. (ADR) (Israel)		7,761,509
	31,000	UCB SA (Belgium)		1,405,937
	46,800	Vertex Pharmaceuticals, Inc.*		1,087,164
	233,696	Wyeth		10,327,026

				248,004,146

		Real Estate Development and Services — 0.3%
	172,300	CB Richard Ellis Group, Inc. — Class A* (8)		3,713,065
	44,683	Jones Lang LaSalle, Inc.		3,179,642

				6,892,707

		Real Estate Investment Trusts — 0.3%
	54,400	Duke Realty Corp.		1,418,752
	54,300	General Growth Properties, Inc. (8)		2,236,074
	30,900	Simon Property Group, Inc.		2,683,974
	17,800	The Macerich Company		1,264,868

				7,603,668

		Retail — 4.1%
	239,700	Circuit City Stores, Inc. (8)		1,006,740
	124,900	Costco Wholesale Corp.		8,713,024
	837,571	CVS Caremark Corp.		33,293,448
	87,700	GameStop Corp. — Class A*		5,447,047
	101,406	JC Penney Company, Inc.		4,460,850
	845,368	Lowe’s Companies, Inc.		19,122,224
	176,710	PetSmart, Inc.		4,157,986
	161,779	RadioShack Corp. (8)		2,727,594
	51,637	Target Corp.		2,581,850
	67,857	The Home Depot, Inc.		1,828,068
	85,799	The TJX Companies, Inc.		2,465,005
	72,800	Walgreen Company		2,772,224
	261,336	Wal-Mart Stores, Inc.		12,421,300

				100,997,360

See notes to financial statements.

149

EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Retail: Restaurants — 1.8%
	730,746	McDonald’s Corp.	$	43,048,247
	82,426	Wendy’s International, Inc.		2,129,888

				45,178,135

		Retail: Supermarkets — 0.2%
	199,500	The Kroger Company		5,328,645

		Rubber Products — 0.1%
	100,900	The Goodyear Tire & Rubber Company*		2,847,398

		Semiconductors — 4.5%
	1,097,035	Altera Corp.		21,194,716
	98,467	Applied Materials, Inc.		1,748,774
	392,694	Emulex Corp.*		6,408,766
	2,189,626	Intel Corp.		58,375,429
	135,932	MEMC Electronic Materials, Inc.*		12,028,623
	184,966	NVIDIA Corp.*		6,292,543
	84,829	Texas Instruments, Inc.		2,833,289

				108,882,140

		Telecommunications Equipment and Services — 4.0%
	115,000	Arris Group, Inc.* (8)		1,147,700
	868,899	AT&T, Inc.		36,111,443
	85,700	Brasil Telecom S.A. (ADR) (Brazil) (8)		2,600,995
	33,440	Ciena Corp.* (8)		1,140,638
	347,800	Citizens Communications Company		4,427,494
	102,808	Corning, Inc.		2,466,364
	60,010	NII Holdings, Inc.*		2,899,683
	53,192	Nokia Oyj (ADR) (Finland)		2,042,041
	165,127	QUALCOMM, Inc.		6,497,747
	80,300	Starent Networks Corp.* (8)		1,465,475
	172,200	Telefonica SA (ADR) (Spain)		16,804,998
	68,600	Telephone and Data Systems, Inc. (8)		4,294,360
	457,300	Vodafone Group PLC (ADR) (United Kingdom)		17,066,436

				98,965,374

		Toys — 0.3%
	84,802	Hasbro, Inc.		2,169,235
	9,903	Nintendo Company, Ltd. (Japan)		5,930,365

				8,099,600

		Transportation — 1.2%
	34,100	CH Robinson Worldwide, Inc.		1,845,492
	93,771	Norfolk Southern Corp.		4,729,809
	72,650	Tidewater, Inc.		3,985,579
	157,488	Union Pacific Corp.		19,783,643

				30,344,523

		Utilities — 0.5%
	30,286	Constellation Energy Group		3,105,224
	127,586	NRG Energy, Inc.*		5,529,577
	170,400	Sierra Pacific Resources		2,893,392

				11,528,193

		Total Common Stocks
		(Cost $2,112,523,766)		2,357,852,279

Principal

		Securities Lending Collateral — 4.4%
$	106,513,377	Securities Lending Collateral Investment (Note 4) (Cost $106,513,377)		106,513,377

		Total Securities (Cost $2,219,037,143)		2,464,365,656

		Repurchase Agreements—3.0%
	72,528,255	With State Street Bank and Trust, dated 12/31/2007, 3.80%, due 01/02/08, repurchase proceeds at maturity $72,543,567 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.70%-4.29%, due 06/01/33-10/01/33, with a total value of $24,969,945 and US Treasury Bill, 3.19%, due 02/28/08, with a value of $52,744,646) (Cost $72,528,255)		72,528,255

		Total Investments — 103.8% (Cost $2,291,565,398)		2,536,893,911
		Liabilities less other assets — (3.8)%		(92,133,058	)

		Net Assets — 100.0%	$	2,444,760,853

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $2,297,983,460.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	321,055,058
Gross unrealized depreciation		(82,144,607	)

Net unrealized appreciation	$	238,910,451

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

150

AGGRESSIVE EQUITY PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 99.3%
		Agriculture — 4.8%
	36,230	Bunge, Ltd. (Bermuda)	$	4,217,534
	75,880	Monsanto Company		8,475,038
	83,000	The Mosaic Company*		7,830,220

				20,522,792

		Apparel: Manufacturing and Retail — 2.1%
	116,490	Guess?, Inc.		4,413,806
	108,730	Under Armour, Inc. — Class A* (8)		4,748,239

				9,162,045

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.1%
	125,200	Johnson Controls, Inc.		4,512,208

		Banks and Financial Services — 6.5%
	11,780	CME Group, Inc.		8,081,080
	38,130	IntercontinentalExchange, Inc.* (8)		7,340,025
	22,500	MasterCard, Inc. — Class A (8)		4,842,000
	35,150	The Goldman Sachs Group, Inc.		7,559,008

				27,822,113

		Computer Equipment, Software and Services — 16.6%
	126,900	Activision, Inc.*		3,768,930
	100,440	Apple, Inc.*		19,895,155
	110,800	Citrix Systems, Inc.*		4,211,508
	104,500	Electronic Arts, Inc.*		6,103,845
	695,880	Microsoft Corp.		24,773,327
	66,130	Salesforce.com, Inc.*		4,145,690
	180,900	Seagate Technology (Cayman Islands)		4,612,950
	33,120	VMware, Inc. — Class A* (8)		2,814,869

				70,326,274

		Construction Services and Supplies — 1.0%
	73,000	Chicago Bridge & Iron Company NV (the Netherlands)		4,412,120

		Diversified Operations and Services — 1.9%
	116,500	Textron, Inc.		8,306,450

		Education — 0.9%
	57,800	Apollo Group, Inc. — Class A*		4,054,670

		Energy Services — 3.2%
	26,100	First Solar, Inc.*		6,972,354
	50,230	SunPower Corp. — Class A* (8)		6,549,490

				13,521,844

		Engineering — 1.7%
	252,130	ABB, Ltd. (ADR) (Switzerland)		7,261,344

		Environmental Waste Management and Recycling Services — 0.9%
	63,750	Stericycle, Inc.* (8)		3,786,750

		Food and Beverage — 2.5%
	172,000	The Coca-Cola Company		10,555,640

		Insurance — 1.6%
	146,900	Aon Corp.		7,005,661

		Internet Services — 13.0%
	97,480	Amazon.com, Inc.*		9,030,547
	534,840	Cisco Systems, Inc.*		14,478,119
	27,540	Google, Inc. — Class A*		19,043,358
	246,380	Juniper Networks, Inc.*		8,179,816
	120,720	VeriSign, Inc.* (8)		4,540,279

				55,272,119

		Leisure and Recreation — 1.3%
	54,360	Las Vegas Sands Corp.* (8)		5,601,798

		Machinery — 1.7%
	77,400	Deere & Company		7,207,488

		Manufacturing — 3.1%
	125,000	AMETEK, Inc. (8)		5,855,000
	39,200	Flowserve Corp.		3,771,040
	59,760	Roper Industries, Inc.		3,737,390

				13,363,430

		Medical Equipment, Supplies, and Services — 3.7%
	152,850	Baxter International, Inc.		8,872,943
	21,330	Intuitive Surgical, Inc.*		6,921,585

				15,794,528

		Oil, Coal and Gas — 2.2%
	175,000	Acergy SA (ADR) (Luxembourg)		3,844,750
	48,000	Petroleo Brasileiro SA — Petrobras (ADR) (Brazil)		5,531,520

				9,376,270

		Pharmaceuticals/Research and Development — 12.5%
	99,660	Allergan, Inc.		6,402,158
	144,650	BioMarin Pharmaceutical, Inc.*		5,120,610
	88,110	Charles River Laboratories International, Inc.*		5,797,638
	93,740	Express Scripts, Inc.*		6,843,020
	68,060	Genzyme Corp.*		5,066,386
	236,570	Gilead Sciences, Inc.*		10,884,587
	78,300	Medco Health Solutions, Inc.*		7,939,620
	75,220	Shire PLC (ADR) (United Kingdom)		5,186,419

				53,240,438

		Retail — 1.0%
	71,440	GameStop Corp. — Class A*		4,437,138

		Retail: Restaurants — 0.9%
	98,150	YUM! Brands, Inc.		3,756,201

		Scientific and Technical Instruments — 2.8%
	142,330	Thermo Fisher Scientific, Inc.*		8,209,594
	49,400	Waters Corp.*		3,906,058

				12,115,652

		Semiconductors — 8.5%
	301,000	Applied Materials, Inc.		5,345,760
	818,170	Intel Corp.		21,812,412

See notes to financial statements.

151

AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Semiconductors (continued)

	53,420	MEMC Electronic Materials, Inc.*	$	4,727,136
	119,120	Varian Semiconductor Equipment Associates, Inc.*		4,407,440

				36,292,748

		Telecommunications Equipment and Services — 2.7%
	161,700	Nokia Oyj (ADR) (Finland)		6,207,663
	130,781	Vimpel — Communications (ADR) (Russia)		5,440,490

				11,648,153

		Toys — 1.1%
	62,800	Nintendo Company, Ltd (ADR) (Japan)		4,631,500

		Total Common Stocks (Cost $334,575,370)		423,987,374

Principal

		Securities Lending Collateral — 7.4%
$	31,770,694	Securities Lending Collateral Investment (Note 4) (Cost $31,770,694)		31,770,694

		Total Securities (Cost $366,346,064)		455,758,068

		Repurchase Agreements — 1.0%
	4,360,811	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $4,361,731 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.06%-4.44%, due 05/01/33, with a total value of $4,449,427) (Cost $4,360,811)		4,360,811

		Total Investments — 107.7% (Cost $370,706,875)		460,118,879
		Liabilities less other assets — (7.7)%		(32,745,885	)

		Net Assets — 100.0%	$	427,372,994

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $371,238,117.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	93,919,797
Gross unrealized depreciation		(5,039,035	)

Net unrealized appreciation	$	88,880,762

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

152

MID-CAP VALUE PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 96.9%
		Advertising — 0.2%
	38,313	RH Donnelley Corp.* (8)	$	1,397,658
	111,773	The Interpublic Group of Companies, Inc.*		906,479

				2,304,137

		Aerospace and Defense — 2.0%
	257,686	Goodrich Corp. (8)		18,195,208
	13,200	L-3 Communications Holdings, Inc.		1,398,408

				19,593,616

		Agriculture — 0.5%
	51,404	The Mosaic Company*		4,849,453

		Airlines — 0.3%
	35,700	Alaska Air Group, Inc.* (8)		892,856
	33,574	AMR Corp.* (8)		471,043
	21,606	Continental Airlines, Inc. — Class B*		480,734
	11,213	Delta Air Lines, Inc.*		166,962
	121,900	ExpressJet Holdings, Inc.*		302,312
	30,975	Northwest Airlines*		449,447
	9,313	UAL Corp.*		332,102
	23,093	US Airways Group, Inc.*		339,698

				3,435,154

		Apparel: Manufacturing and Retail — 0.8%
	74,500	Foot Locker, Inc.		1,017,670
	114,000	Jones Apparel Group, Inc.		1,822,860
	46,400	Kellwood Company		772,096
	34,191	Liz Claiborne, Inc. (8)		695,787
	23,267	Macy’s, Inc.		601,917
	60,100	The Cato Corp. — Class A		941,166
	28,244	VF Corp.		1,939,233

				7,790,729

		Automobile: Retail — 0.8%
	216,100	Advance Auto Parts, Inc.		8,209,639

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 4.5%
	83,200	American Axle & Manufacturing Holdings, Inc.		1,549,184
	141,315	ArvinMeritor, Inc. (8)		1,657,625
	52,900	Autoliv, Inc.		2,788,359
	661,885	Ford Motor Company* (8)		4,454,486
	20,149	General Motors Corp. (8)		501,509
	204,536	Genuine Parts Company		9,470,017
	65,000	Harley-Davidson, Inc.		3,036,150
	22,454	Johnson Controls, Inc.		809,242
	10,017	Magna International, Inc. — Class A (Canada)		805,667
	238,400	Oshkosh Truck Corp.		11,266,784
	8,470	TravelCenters of America LLC*		105,875
	160,477	WABCO Holdings, Inc.		8,038,293

				44,483,191

		Banks and Financial Services — 9.1%
	55,119	Advance America Cash Advance Centers, Inc.		560,009
	54,600	Advanta Corp. — Class B		440,622
	80,700	AmeriCredit Corp.* (8)		1,032,153
	98,100	Banco Latinoamericano de Exportaciones, SA — Class E (Panama)		1,600,011
	261,800	Bank of New York Mellon Corp.		12,765,368
	96,000	CIT Group, Inc.		2,306,880
	32,700	City Holding Company		1,106,568
	109,300	Comerica, Inc.		4,757,829
	80,500	Friedman, Billings, Ramsey Group, Inc. — Class A		252,770
	99,400	Fulton Financial Corp.		1,115,268
	321,600	Hudson City Bancorp, Inc.		4,830,432
	185,700	Huntington Bancshares, Inc.		2,740,932
	431,451	Invesco, Ltd. (Bermuda) (8)		13,538,933
	125,100	KeyCorp		2,933,595
	708,499	People’s United Financial, Inc.		12,611,282
	116,600	PNC Financial Services Group, Inc.		7,654,790
	39,600	Provident Bankshares Corp.		847,044
	67,779	Regions Financial Corp.		1,602,973
	61,900	State Street Corp.		5,026,280
	234,000	UnionBanCal Corp.		11,444,940
	7,200	United Bankshares, Inc.		201,744

				89,370,423

		Broadcast Services/Media — 0.2%
	79,800	Belo Corp.		1,391,712
	166,400	Westwood One, Inc.		331,136

				1,722,848

		Business Services and Supplies — 2.0%
	29,431	Deluxe Corp.		967,986
	66,687	Dun & Bradstreet Corp.		5,910,469
	75,400	Kelly Services, Inc. — Class A		1,406,964
	172,200	Manpower, Inc.		9,798,179
	21,165	Ritchie Brothers Auctioneers, Inc. (Canada)		1,750,346

				19,833,944

See notes to financial statements.

153

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Chemicals — 3.5%
	69,665	Eastman Chemical Company	$	4,255,835
	23,099	Imperial Chemical Industries PLC (ADR) (United Kingdom)		1,184,055
	13,400	NewMarket Corp.		746,246
	146,500	PolyOne Corp.*		963,970
	108,715	PPG Industries, Inc.		7,635,054
	205,800	Rohm and Haas Company (8)		10,921,806
	92,600	Sensient Technologies Corp.		2,618,728
	57,100	Spartech Corp.		805,110
	82,034	The Lubrizol Corp.		4,442,961
	63,400	The Valspar Corp.		1,429,036

				35,002,801

		Computer Equipment, Software and Services — 6.9%
	58,447	BMC Software, Inc.*		2,083,051
	216,904	Computer Sciences Corp.*		10,730,241
	135,300	Electronic Arts, Inc.*		7,902,873
	83,744	Electronic Data Systems Corp.		1,736,013
	81,600	Lexmark International, Inc. — Class A*		2,844,576
	553,800	NCR Corp.*		13,900,380
	421,000	Parametric Technology Corp.*		7,514,850
	179,400	Seagate Technology (Cayman Islands)		4,574,700
	106,400	Sun Microsystems, Inc.*		1,929,032
	451,200	Teradata Corp.*		12,367,392
	76,600	Western Digital Corp.*		2,314,086

				67,897,194

		Construction Services and Supplies — 3.0%
	34,700	Beazer Homes USA, Inc. (8)		257,821
	35,132	Chicago Bridge & Iron Company NV (the Netherlands)		2,123,378
	9,571	Insituform Technologies, Inc. — Class A*		141,651
	28,500	KB HOME (8)		615,600
	72,300	Lennox International, Inc.		2,994,666
	118,600	Masco Corp.		2,562,946
	441,946	Trane, Inc.		20,643,297
	21,373	USG Corp.* (8)		764,940

				30,104,299

		Consumer Goods and Services — 2.6%
	59,400	American Greetings Corp. — Class A		1,205,820
	55,900	Blyth, Inc.		1,226,446
	117,344	Eastman Kodak Company (8)		2,566,313
	69,800	Ethan Allen Interiors, Inc. (8)		1,989,300
	29,700	Fortune Brands, Inc.		2,149,092
	64,609	Loews Corp.- Carolina Group		5,511,147
	12,477	Mohawk Industries, Inc.* (8)		928,289
	21,460	Reynolds American, Inc. (8)		1,415,502
	45,000	The Black & Decker Corp.		3,134,250
	63,800	Tupperware Corp.		2,107,314
	46,868	Whirlpool Corp. (8)		3,825,835

				26,059,308

		Containers and Packaging — 1.2%
	55,500	Bemis Company, Inc. (8)		1,519,590
	301,800	Pactiv Corp.*		8,036,934
	77,700	Sonoco Products Company		2,539,236

				12,095,760

		Diversified Operations and Services — 0.9%
	120,693	Textron, Inc. (8)		8,605,411

		Electronics — 2.1%
	223,100	Amphenol Corp. — Class A		10,345,147
	143,449	Celestica, Inc. (Canada)*		832,004
	106,598	Flextronics International, Ltd. (Singapore)*		1,285,572
	335,200	Sanmina-SCI Corp.*		610,064
	55,600	Technitrol, Inc.		1,589,048
	145,700	Tyco Electronics, Ltd. (Bermuda)		5,409,841
	99,500	Vishay Intertechnology, Inc.*		1,135,295

				21,206,971

		Energy Services — 0.4%
	53,250	Energy East Corp.		1,448,933
	41,635	McDermott International, Inc. (Panama)*		2,457,714

				3,906,647

		Engineering — 0.2%
	16,406	Fluor Corp.		2,390,682

		Equipment Rental and Leasing — 0.1%
	50,300	United Rentals North America, Inc.*		923,508

		Food and Beverage — 3.3%
	82,600	Brown-Forman Corp. — Class B (8)		6,121,486
	212,300	Campbell Soup Company		7,585,479
	225,647	Del Monte Foods Company		2,134,621
	221,600	McCormick & Company, Inc.		8,400,855
	33,896	Reddy Ice Holdings, Inc.		857,908
	38,200	Sanderson Farms, Inc. (8)		1,290,396
	800	Seaboard Corp.		1,176,000

See notes to financial statements.

154

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Food and Beverage (continued)

	95,600	The Pepsi Bottling Group, Inc.	$	3,772,376
	96,848	Tyson Foods, Inc. — Class A		1,484,680

				32,823,801

		Insurance — 8.6%
	61,084	Ace, Ltd. (Cayman Islands)		3,773,770
	15,179	Ambac Financial Group, Inc. (8)		391,163
	118,342	Aon Corp.		5,643,730
	70,500	Aspen Insurance Holdings, Ltd. (Bermuda)		2,033,220
	59,802	Axis Capital Holdings, Ltd. (Bermuda)		2,330,484
	31,800	CIGNA Corp.		1,708,614
	64,680	Cincinnati Financial Corp.		2,557,447
	95,950	Everest Re Group, Ltd. (Bermuda)		9,633,380
	142,300	Genworth Financial, Inc. — Class A		3,621,535
	70,100	Horace Mann Educators Corp. (8)		1,327,694
	47,600	IPC Holdings, Ltd. (Bermuda)		1,374,212
	36,600	LandAmerica Financial Group, Inc. (8)		1,224,270
	253,946	Lincoln National Corp.		14,784,736
	45,578	Loews Corp.		2,294,397
	4,843	Marsh & McLennan Companies, Inc.		128,194
	82,926	MBIA, Inc. (8)		1,544,911
	56,300	MGIC Investment Corp. (8)		1,262,809
	92,000	Nationwide Financial Services, Inc. — Class A		4,140,920
	59,126	PartnerRe, Ltd. (Bermuda) (8)		4,879,669
	17,000	Principal Financial Group, Inc.		1,170,280
	71,500	Radian Group, Inc.		835,120
	106,200	SAFECO Corp.		5,913,216
	59,000	The Commerce Group, Inc.		2,122,820
	41,700	Unitrin, Inc.		2,001,183
	34,488	Willis Group Holdings, Ltd. (Bermuda)		1,309,509
	114,248	XL Capital, Ltd. — Class A (Cayman Islands)		5,747,817

				83,755,100

		Internet Services — 0.2%
	46,984	McAfee, Inc.*		1,761,900

		Leisure and Recreation — 0.7%
	65,451	National CineMedia, Inc.		1,650,020
	93,992	Regal Entertainment Group — Class A (8)		1,698,435
	77,518	Royal Caribbean Cruises, Ltd. (Liberia) (8)		3,289,864

				6,638,319

		Machinery — 1.0%
	79,739	AGCO Corp.* (8)		5,420,658
	23,165	Rockwell Automation, Inc.		1,597,458
	11,095	Terex Corp.*		727,499
	45,616	The Manitowoc Company, Inc.		2,227,429

				9,973,044

		Manufacturing — 3.2%
	61,000	American Woodmark Corp. (8)		1,108,980
	213,700	Carlisle Companies, Inc.		7,913,312
	50,363	Cooper Industries, Ltd. — Class A (Bermuda)		2,663,195
	32,900	Crane Company		1,411,410
	49,862	Eaton Corp.		4,834,121
	42,200	EnPro Industries, Inc.*		1,293,430
	70,600	Furniture Brands International, Inc. (8)		710,236
	71,052	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)		3,301,786
	86,300	Leggett & Platt, Inc.		1,505,072
	80,100	Parker Hannifin Corp.		6,032,331
	83,400	Tredegar Corp.		1,341,072

				32,114,945

		Medical Equipment, Supplies, and Services — 3.5%
	228,800	CR Bard, Inc.		21,690,240
	99,754	Health Management Associates, Inc. — Class A		596,529
	40,457	Health Net, Inc.*		1,954,073
	24,315	Humana, Inc.*		1,831,163
	12,700	IMS Health, Inc.		292,608
	31,400	Kindred Healthcare, Inc.*		784,372
	80,100	Kinetic Concepts, Inc.*		4,290,156
	11,988	McKesson Corp.		785,334
	39,594	Omnicare, Inc. (8)		903,139
	23,000	Universal Health Services, Inc. — Class B		1,177,600

				34,305,214

		Metals and Mining — 1.7%
	61,600	Allegheny Technologies, Inc. (8)		5,322,240
	21,767	Freeport-McMoRan Copper & Gold, Inc.		2,229,811

See notes to financial statements.

155

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Metals and Mining (continued)

	83,803	Nucor Corp.	$	4,962,814
	33,200	United States Steel Corp.		4,014,212

				16,529,077

		Office Equipment, Supplies, and Services — 0.6%
	99,900	IKON Office Solutions, Inc.		1,300,698
	12,612	Pitney Bowes, Inc. (8)		479,760
	173,100	Steelcase, Inc. — Class A		2,747,097
	104,300	Xerox Corp.		1,688,617

				6,216,172

		Oil, Coal and Gas — 9.5%
	82,212	BJ Services Company		1,994,463
	54,276	Cameron International Corp.*		2,612,304
	25,398	Chesapeake Energy Corp.		995,602
	123,567	El Paso Corp.		2,130,295
	68,780	Enbridge, Inc. (Canada) (8)		2,780,775
	99,232	ENSCO International, Inc.		5,916,212
	185,300	Equitable Resources, Inc. (8)		9,872,784
	48,980	Hess Corp.		4,940,123
	97,200	Marathon Oil Corp.		5,915,592
	19,436	Nabors Industries, Ltd. (Bermuda)*		532,352
	15,555	National-Oilwell Varco, Inc.*		1,142,670
	48,039	Newfield Exploration Company*		2,531,655
	184,800	ONEOK, Inc.		8,273,496
	188,500	Patterson-UTI Energy, Inc.		3,679,520
	47,946	Pioneer Natural Resources Company (8)		2,341,683
	408,983	Questar Corp.		22,125,980
	16,886	Smith International, Inc.		1,247,031
	45,714	Southwestern Energy Company*		2,547,184
	85,109	Sunoco, Inc.		6,165,296
	33,000	Swift Energy Company*		1,455,630
	13,545	Transocean, Inc. (Cayman Islands)		1,938,967
	30,255	Weatherford International, Ltd. (Bermuda)*		2,075,493

				93,215,107

		Paper and Forest Products — 0.4%
	99,600	International Paper Company		3,225,048
	36,315	MeadWestvaco Corp.		1,136,660

				4,361,708

		Pharmaceuticals/Research and Development — 1.7%
	42,900	Forest Laboratories, Inc.*		1,563,705
	24,685	Hospira, Inc.*		1,052,568
	263,322	King Pharmaceuticals, Inc.*		2,696,417
	95,300	Millipore Corp.*		6,974,054
	253,315	Mylan Laboratories, Inc. (8)		3,561,609
	22,256	Watson Pharmaceuticals, Inc.*		604,028

				16,452,381

		Printing and Publishing — 0.3%
	80,000	Gannett Company, Inc.		3,120,000

		Real Estate Development and Services — 0.1%
	20,717	The St. Joe Company (8)		735,661

		Real Estate Investment Trusts — 2.3%
	210,000	Anthracite Capital, Inc. (8)		1,520,400
	5,416	Boston Properties, Inc.		497,243
	36,100	Capital Trust, Inc. — Class A (8)		1,106,465
	38,449	Equity Residential		1,402,235
	84,700	Hospitality Properties Trust		2,729,034
	114,600	HRPT Properties Trust		885,858
	320,400	iStar Financial, Inc. (8)		8,346,420
	128,200	Medical Properties Trust, Inc. (8)		1,306,358
	38,998	RAIT Investment Trust (8)		336,163
	36,808	Rayonier, Inc.		1,738,810
	12,576	Simon Property Group, Inc.		1,092,351
	90,200	Sunstone Hotel Investors, Inc. (8)		1,649,758

				22,611,095

		Retail — 2.7%
	61,000	Borders Group, Inc. (8)		649,650
	321,000	Dollar Tree Stores, Inc.*		8,320,320
	66,205	Family Dollar Stores, Inc. (8)		1,273,122
	191,300	JC Penney Company, Inc.		8,415,288
	338,100	Staples, Inc.		7,799,967
	31,805	The Bon-Ton Stores, Inc. (8)		301,829

				26,760,176

		Retail: Restaurants — 0.3%
	56,700	Brinker International, Inc.		1,109,052
	43,000	Darden Restaurants, Inc.		1,191,530
	110,900	Ruby Tuesday, Inc.		1,081,275

				3,381,857

		Retail: Supermarkets — 0.5%
	83,500	SUPERVALU, Inc.		3,132,920
	55,700	The Kroger Company		1,487,747

				4,620,667

See notes to financial statements.

156

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Rubber Products — 0.2%
	79,013	The Goodyear Tire & Rubber Company*	$	2,229,747

		Scientific and Technical Instruments — 0.2%
	14,957	Agilent Technologies, Inc.*		549,520
	40,100	Cymer, Inc.*		1,561,093

				2,110,613

		Semiconductors — 2.6%
	44,500	Analog Devices, Inc.		1,410,650
	57,342	Intersil Corp. — Class A		1,403,732
	1,483,637	LSI Corp.* (8)		7,878,113
	63,407	Maxim Integrated Products, Inc.		1,679,017
	47,184	Microchip Technology, Inc. (8)		1,482,521
	197,136	Micron Technology, Inc.*		1,429,236
	74,700	MKS Instruments, Inc.*		1,429,758
	82,177	National Semiconductor Corp.		1,860,487
	55,100	Novellus Systems, Inc.*		1,519,107
	381,400	STMicroelectronics NV (the Netherlands) (8)		5,454,021

				25,546,642

		Telecommunications Equipment and Services — 0.9%
	107,349	CenturyTel, Inc.		4,450,689
	7,614	Embarq Corp.		377,121
	250,850	Qwest Communications International, Inc.* (8)		1,758,459
	154,476	Tellabs, Inc.*		1,010,273
	125,575	Windstream Corp.		1,634,987

				9,231,529

		Tools — 0.2%
	41,290	The Stanley Works		2,001,739

		Toys — 0.6%
	84,750	Hasbro, Inc.		2,167,905
	222,600	Mattel, Inc.		4,238,304

				6,406,209

		Transportation — 0.9%
	31,300	Arkansas Best Corp. (8)		686,722
	80,441	CSX Corp.		3,537,796
	22,962	Kansas City Southern*		788,285
	39,800	Overseas Shipholding Group, Inc.		2,962,314
	57,500	YRC Worldwide, Inc.* (8)		982,675

				8,957,792

		Utilities — 9.4%
	54,700	AGL Resources, Inc.		2,058,908
	153,500	Allegheny Energy, Inc.		9,764,135
	65,300	Alliant Energy Corp.		2,657,057
	97,462	American Electric Power Company, Inc.		4,537,831
	446,100	CMS Energy Corp.		7,753,218
	26,632	Consolidated Edison, Inc.		1,300,973
	80,937	DTE Energy Company		3,557,991
	28,160	Edison International		1,502,899
	27,931	Mirant Corp.* (8)		1,088,750
	190,074	NiSource, Inc.		3,590,498
	117,985	Pinnacle West Capital Corp.		5,003,744
	270,822	PPL Corp.		14,107,118
	24,800	Progress Energy, Inc.		1,201,064
	135,900	Puget Energy, Inc.		3,727,737
	213,949	Sempra Energy		13,239,164
	116,200	TECO Energy, Inc. (8)		1,999,802
	86,300	Westar Energy, Inc.		2,238,622
	168,400	Wisconsin Energy Corp.		8,202,764
	179,800	Xcel Energy, Inc.		4,058,086

				91,590,361

		Total Common Stocks (Cost $956,275,889)		957,236,571

Principal

		Convertible Bonds — 0.0%
		Telecommunications Equipment and Services
$	251,000	Qwest Communications International, Inc., 3.50%, 11/15/25 (Cost $393,972)		336,026

		Short Term US Government Agency Securities—0.6%
		Federal Home Loan Bank
	6,300,000	1.02%, 01/02/08 (Cost $6,299,822)		6,299,822

		Securities Lending Collateral—13.7%
	135,672,142	Securities Lending Collateral Investment (Note 4) (Cost $135,672,142)		135,672,142

		Total Securities (Cost $1,098,641,825)		1,099,544,561

See notes to financial statements.

157

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Principal			Value

		Repurchase Agreements — 3.1%
$	30,287,152	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $30,293,546 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.06%-5.36%, due 03/01/33-05/01/33, with a total value of $25,827,606, and various Freddie Mac Adjustable Rate Mortgages, 5.38%-5.61%, due 05/01/36-05/15/36, with a total value of $5,069,734) (Cost $30,287,152)	$	30,287,152

		Total Investments — 114.3% (Cost $1,128,928,977)		1,129,831,713
		Liabilities less other assets — (14.3)%		(141,654,503	)

		Net Assets — 100.0%	$	988,177,210

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $1,131,980,949.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	103,954,825
Gross unrealized depreciation		(106,104,061	)

Net unrealized depreciation	$	(2,149,236	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

158

MID-CAP GROWTH PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 99.1%
		Aerospace and Defense—2.0%
	127,995	BE Aerospace, Inc.*	$	6,770,936

		Agriculture — 2.6%
	92,000	The Mosaic Company*		8,679,280

		Apparel: Manufacturing and Retail — 3.7%
	69,315	J Crew Group, Inc.* (8)		3,341,676
	70,800	Phillips-Van Heusen Corp. (8)		2,609,688
	233,000	The Gap, Inc.		4,958,240
	62,000	Urban Outfitters, Inc.*		1,690,120

				12,599,724

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.2%
	86,000	BorgWarner, Inc.		4,163,260

		Banks and Financial Services — 2.3%
	35,295	BlackRock, Inc. (8)		7,651,956

		Broadcast Services/Media — 1.0%
	68,000	Dolby Laboratories, Inc. — Class A*		3,380,960

		Business Services and Supplies — 2.2%
	120,440	FTI Consulting, Inc.*		7,423,922

		Commercial Services — 1.4%
	173,980	Quanta Services, Inc.* (8)		4,565,235

		Computer Equipment, Software and Services — 6.0%
	312,355	Activision, Inc.*		9,276,943
	69,830	DST Systems, Inc.*		5,764,467
	85,000	Salesforce.com, Inc.*		5,328,650

				20,370,060

		Construction Services and Supplies — 2.8%
	157,250	Chicago Bridge & Iron Company NV (the Netherlands)		9,504,190

		Consumer Goods and Services — 3.4%
	64,000	Church & Dwight Company, Inc.		3,460,480
	193,708	Fossil, Inc.*		8,131,862

				11,592,342

		Containers and Packaging — 3.0%
	205,225	Owens-Illinois, Inc.* (8)		10,158,638

		Diversified Operations and Services — 2.8%
	132,660	Textron, Inc.		9,458,658

		Education — 2.9%
	98,900	Apollo Group, Inc. — Class A*		6,937,835
	32,575	ITT Educational Services, Inc.*		2,777,670

				9,715,505

		Electronics — 1.3%
	255,721	Gentex Corp.		4,544,162

		Energy Services — 5.1%
	23,000	First Solar, Inc.*		6,144,220
	122,095	McDermott International, Inc. (Panama)*		7,207,268
	29,460	SunPower Corp. — Class A* (8)		3,841,289

				17,192,777

		Environmental Waste Management and Recycling Services — 2.1%
	119,140	Stericycle, Inc.* (8)		7,076,916

		Food and Beverage — 3.3%
	120,815	Molson Coors Brewing Company — Class B		6,236,470
	84,000	Wm Wrigley Jr Company		4,918,200

				11,154,670

		Insurance — 1.5%
	76,000	Assurant, Inc.		5,084,400

		Internet Services — 4.8%
	101,000	Akamai Technologies, Inc.*		3,494,600
	50,405	DealerTrack Holdings, Inc.*		1,687,055
	160,000	Expedia, Inc.*		5,059,200
	173,985	Juniper Networks, Inc.*		5,776,302

				16,017,157

		Machinery — 1.7%
	88,000	Joy Global, Inc.		5,792,160

		Manufacturing — 4.2%
	36,450	Precision Castparts Corp.		5,055,615
	87,998	SPX Corp.		9,050,594

				14,106,209

		Medical Equipment, Supplies, and Services — 9.9%
	72,000	Hologic, Inc.*		4,942,080
	50,000	IDEXX Laboratories, Inc.*		2,931,500
	22,700	Intuitive Surgical, Inc.* (8)		7,366,150
	34,000	Invitrogen Corp.*		3,175,940
	103,000	Varian Medical Systems, Inc.*		5,372,480
	212,195	VCA Antech, Inc.*		9,385,385

				33,173,535

		Oil, Coal and Gas — 11.9%
	212,400	Cameron International Corp.*		10,222,811
	29,000	Diamond Offshore Drilling, Inc. (8)		4,118,000
	143,460	Quicksilver Resources, Inc.* (8)		8,548,780
	108,635	Range Resources Corp.		5,579,494
	120,160	SandRidge Energy, Inc.* (8)		4,308,938

See notes to financial statements.

159

MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Oil, Coal and Gas (continued)

	125,190	Southwestern Energy Company*	$	6,975,587

				39,753,610

		Pharmaceuticals/Research and Development — 4.5%
	102,815	Allergan, Inc.		6,604,836
	62,000	Express Scripts, Inc.*		4,526,000
	263,000	Millennium Pharmaceuticals, Inc.*		3,939,740

				15,070,576

		Retail: Restaurants — 2.0%
	45,195	Chipotle Mexican Grill, Inc. — Class A* (8)		6,646,829

		Scientific and Technical Instruments — 4.3%
	62,980	Mettler-Toledo International, Inc.*		7,167,124
	129,595	Thermo Fisher Scientific, Inc.*		7,475,040

				14,642,164

		Semiconductors — 0.9%
	94,000	NVIDIA Corp.*		3,197,880

		Telecommunications Equipment and Services — 4.3%
	184,501	American Tower Corp. — Class A*		7,859,742
	92,760	Ciena Corp.* (8)		3,164,044
	85,190	Crown Castle International Corp.*		3,543,904

				14,567,690

		Total Common Stocks (Cost $266,446,441)		334,055,401

Principal

		Securities Lending Collateral — 13.7%
$	46,035,620	Securities Lending Collateral Investment (Note 4) (Cost $46,035,620)		46,035,620

		Total Securities (Cost $312,482,061)		380,091,021

		Repurchase Agreements—1.1%
	3,822,912	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $3,823,719 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.32% - 4.35%, due 02/01/34, with a total value of $3,223,570 and Freddie Mac Adjustable Rate Mortgage, 4.09%, due 04/01/35, with a value of $677,710) (Cost $3,822,912)		3,822,912

		Total Investments — 113.9% (Cost $316,304,973)		383,913,933
		Liabilities less other assets — (13.9)%		(46,725,029	)

		Net Assets — 100.0%	$	337,188,904

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $316,338,672.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	72,725,165
Gross unrealized depreciation		(5,149,904	)

Net unrealized appreciation	$	67,575,261

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

160

SMALL-CAP VALUE PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 98.0%
		Advertising — 1.2%
	73,511	Getty Images, Inc.*	$	2,131,819

		Agriculture — 0.1%
	5,500	The Andersons, Inc. (8)		246,400

		Airlines — 0.3%
	20,787	Alaska Air Group, Inc.* (8)		519,883

		Apparel: Manufacturing and Retail — 2.5%
	32,975	Brown Shoe Company, Inc.		500,231
	20,600	Hot Topic, Inc.*		119,892
	85,496	Jos A Bank Clothiers, Inc.* (8)		2,432,361
	80,123	K-Swiss, Inc. — Class A		1,450,226
	5,900	The Warnaco Group, Inc.*		205,320

				4,708,030

		Automobile: Rental — 0.2%
	12,981	Dollar Thrifty Automotive Group, Inc.*		307,390

		Automobile: Retail — 0.2%
	27,963	Asbury Automotive Group, Inc.		420,843

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 4.0%
	20,000	American Axle & Manufacturing Holdings, Inc.		372,400
	50,732	BorgWarner, Inc.		2,455,936
	16,100	Lear Corp.*		445,326
	37,489	Monaco Coach Corp.		332,902
	52,245	Oshkosh Truck Corp.		2,469,099
	179,479	Spartan Motors, Inc. (8)		1,371,220

				7,446,883

		Banks and Financial Services — 12.4%
	36,100	Advanta Corp. — Class B		291,327
	157,553	Brookline Bancorp, Inc. (8)		1,600,738
	82,303	Calamos Asset Management, Inc. — Class A		2,450,984
	17,161	Cash America International, Inc.		554,300
	31,600	Central Pacific Financial Corp.		583,336
	113,572	Citizens Banking Corp. — Michigan (8)		1,647,930
	8,572	City Bank (8)		192,184
	7,000	CoBiz Financial, Inc.		104,090
	109,882	Corus Bankshares, Inc. (8)		1,172,441
	202,396	First Commonwealth Financial Corp. (8)		2,155,517
	15,400	First Niagara Financial Group, Inc.		185,416
	9,800	First State Bancorp		136,220
	7,500	FirstMerit Corp.		150,075
	31,011	Frontier Financial Corp. (8)		575,874
	36,798	Integra Bank Corp.		519,220
	44,936	Midwest Banc Holdings, Inc.		558,105
	9,625	National Financial Partners Corp. (8)		438,996
	31,200	National Penn Bancshares, Inc. (8)		472,368
	20,600	Nelnet, Inc. — Class A		261,826
	39,870	Sandy Spring Bancorp, Inc.		1,109,183
	17,200	Sterling Financial Corp. — Spokane		288,788
	155,771	SWS Group, Inc.		1,973,619
	9,600	The South Financial Group, Inc.		150,048
	19,082	UMB Financial Corp.		731,986
	15,400	Waddell & Reed Financial, Inc. — Class A		555,786
	92,025	Washington Federal, Inc.		1,942,648
	19,912	West Coast Bancorp		368,372
	68,539	Whitney Holding Corp.		1,792,295

				22,963,672

		Broadcast Services/Media — 1.2%
	159,583	Journal Communications, Inc. — Class A		1,426,672
	43,000	Lin TV Corp. — Class A*		523,310
	37,200	Sinclair Broadcast Group, Inc. — Class A (8)		305,412

				2,255,394

		Business Services and Supplies — 0.6%
	15,600	Deluxe Corp.		513,085
	6,886	Heidrick & Struggles International, Inc.		255,539
	59,019	Spherion Corp.*		429,658

				1,198,282

		Chemicals — 1.2%
	17,857	Arch Chemicals, Inc.		656,245
	6,800	Ferro Corp.		140,964
	28,653	HB Fuller Company		643,260
	10,194	Innospec, Inc.		174,929
	3,600	Minerals Technologies, Inc.		241,020
	21,562	Spartech Corp.		304,024
	7,990	Zep, Inc.*		110,821

				2,271,263

		Commercial Services — 0.1%
	10,200	TNS, Inc. (8)		181,050

		Computer Equipment, Software and Services — 5.1%
	29,900	Agilysys, Inc.		452,088
	10,700	Avid Technology, Inc.* (8)		303,238
	4,113	Black Box Corp.		148,767
	15,574	CACI International, Inc. — Class A*		697,248
	177,214	Digi International, Inc.*		2,514,667
	128,000	Extreme Networks, Inc.*		453,120
	20,909	Manhattan Associates, Inc.*		551,161
	68,255	MTS Systems Corp.		2,912,441
	12,000	Schawk, Inc.		186,240
	12,028	SRA International, Inc. — Class A*		354,225
	32,193	Sybase, Inc.*		839,915

				9,413,110

See notes to financial statements.

161

SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Construction Services and Supplies — 2.3%
	11,700	Comfort System USA, Inc.	$	149,526
	46,572	Granite Construction, Inc.		1,684,975
	18,300	NCI Building Systems, Inc.* (8)		526,857
	7,600	Perini Corp.*		314,792
	53,242	Universal Forest Products, Inc. (8)		1,568,509

				4,244,659

		Consumer Goods and Services — 2.1%
	7,100	Chattem, Inc.* (8)		536,334
	4,600	CSS Industries, Inc.		168,820
	133,786	Helen of Troy, Ltd. (Bermuda)*		2,293,092
	2,800	Inter Parfums, Inc.		50,316
	19,300	Libbey, Inc. (8)		305,712
	22,025	Regis Corp.		615,819

				3,970,093

		Containers and Packaging — 0.4%
	13,711	Silgan Holdings, Inc.		712,149

		Diversified Operations and Services — 1.7%
	10,917	Chemed Corp.		610,042
	62,406	ESCO Technologies, Inc.* (8)		2,492,496

				3,102,538

		Electronics — 1.0%
	17,069	CTS Corp.		169,495
	36,672	Methode Electronics, Inc.		602,888
	17,251	Plexus Corp.*		453,011
	23,316	Technitrol, Inc.		666,371

				1,891,765

		Engineering — 0.4%
	28,700	EMCOR Group, Inc.*		678,181

		Environmental Waste Management and Recycling Services — 0.1%
	11,300	Casella Waste Systems, Inc.*		147,352

		Equipment Rental and Leasing — 0.2%
	20,156	Rent-A-Center, Inc.*		292,665

		Food and Beverage — 0.7%
	12,000	Performance Food Group Company*		322,440
	10,389	Ralcorp Holdings, Inc.*		631,547
	7,300	The Boston Beer Company, Inc. — Class A*		274,845

				1,228,832

		Funeral Services — 1.7%
	227,182	Service Corp. International		3,191,907

		Insurance — 6.1%
	48,100	American Equity Investment Life Holding Company (8)		398,749
	14,814	American Physicians Capital, Inc.		614,188
	24,737	Aspen Insurance Holdings, Ltd. (Bermuda)		713,415
	3,300	Assured Guaranty, Ltd. (Bermuda)		87,582
	27,231	CNA Surety Corp.*		538,901
	20,431	Delphi Financial Group, Inc. — Class A		720,807
	16,959	FBL Financial Group, Inc. — Class A		585,594
	20,809	Max Capital Group, Ltd. (Bermuda)		582,444
	50,779	Meadowbrook Insurance Group, Inc.*		477,830
	34,211	Montpelier Re Holdings, Ltd. (Bermuda) (8)		581,929
	13,500	Odyssey Re Holdings Corp.		495,585
	18,337	Platinum Underwriters Holdings, Ltd. (Bermuda)		652,064
	3,490	RLI Corp.		198,197
	70,140	The Commerce Group, Inc.		2,523,638
	29,566	The Phoenix Companies, Inc.		350,948
	16,747	United America Indemnity, Ltd. — Class A (Cayman Islands)*		333,600
	21,500	United Fire & Casualty Company		625,435
	18,939	Zenith National Insurance Corp.		847,142

				11,328,048

		Internet Services — 0.5%
	77,679	S1 Corp.*		567,057
	19,645	Vignette Corp.*		287,013

				854,070

		Leisure and Recreation — 0.9%
	102,807	The Marcus Corp.		1,588,368

		Machinery — 2.3%
	108,685	Applied Industrial Technologies, Inc.		3,154,038
	4,500	Regal-Beloit Corp.		202,275
	2,600	Robbins & Myers, Inc.		196,638
	22,692	Sauer-Danfoss, Inc.		568,435
	6,200	Tecumseh Products Company — Class A*		145,142

				4,266,528

		Manufacturing — 4.4%
	15,980	Acuity Brands, Inc.		719,100
	19,068	AO Smith Corp.		668,333
	12,700	Blount International, Inc.*		156,337
	51,049	CIRCOR International, Inc.		2,366,632
	16,100	Encore Wire Corp.		256,312
	11,727	EnPro Industries, Inc.*		359,433
	33,871	Gibraltar Industries, Inc.		522,291
	35,621	GrafTech International, Ltd.*		632,273
	83,249	Watts Water Technologies, Inc. (8)		2,480,819

				8,161,530

See notes to financial statements.

162

SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Medical Equipment, Supplies, and Services — 4.9%
	11,400	Amedisys, Inc.* (8)	$	553,128
	18,423	AMERIGROUP Corp.*		671,518
	16,900	Cross Country Healthcare, Inc.*		240,656
	12,600	Invacare Corp.		317,520
	2,800	Inverness Medical Innovations, Inc.* (8)		157,304
	11,858	Landauer, Inc.		614,837
	56,857	Magellan Health Services, Inc.*		2,651,243
	7,408	MedCath Corp.*		181,940
	58,764	Owens & Minor, Inc.		2,493,357
	93,501	Syneron Medical, Ltd. (Israel)* (8)		1,250,108

				9,131,611

		Metals and Mining — 0.2%
	1,900	AMCOL International Corp.		68,457
	8,200	Mueller Industries, Inc.		237,718

				306,175

		Office Equipment, Supplies, and Services — 0.2%
	26,700	IKON Office Solutions, Inc.		347,634

		Oil, Coal and Gas — 8.9%
	22,200	Allis-Chalmers Energy, Inc.* (8)		327,450
	6,225	Dawson Geophysical Company*		444,839
	4,900	Exterran Holdings, Inc.*		400,820
	61,760	Frontier Oil Corp.		2,506,221
	41,600	Grey Wolf, Inc.*		221,728
	17,735	Gulf Island Fabrication, Inc.		562,377
	18,411	Headwaters, Inc.* (8)		216,145
	41,269	Holly Corp.		2,100,179
	61,056	National Fuel Gas Company		2,850,094
	37,300	Newpark Resources, Inc.*		203,285
	19,190	Oil States International, Inc.* (8)		654,763
	29,680	Parker Drilling Company*		224,084
	63,653	Penn Virginia Corp.		2,777,180
	9,000	Swift Energy Company*		396,990
	7,000	T-3 Energy Services, Inc.*		329,070
	79,043	World Fuel Services Corp.		2,294,618

				16,509,843

		Paper and Forest Products — 0.4%
	34,163	Buckeye Technologies, Inc.*		427,037
	14,282	Rock-Tenn Company — Class A		362,906

				789,943

		Pharmaceuticals/Research and Development — 5.2%
	92,074	Exponent, Inc.*		2,489,681
	162,208	Mannatech, Inc. (8)		1,025,155
	22,700	Martek Biosciences Corp.* (8)		671,466
	80,087	Perrigo Company		2,803,845
	60,474	West Pharmaceutical Services, Inc.		2,454,640
	44,400	XOMA, Ltd. (Bermuda)*		150,516

				9,595,303

		Printing and Publishing — 0.2%
	16,800	Bowne & Company, Inc.		295,680

		Real Estate Investment Trusts — 8.5%
	58,298	Ashford Hospitality Trust		419,163
	50,600	CapLease, Inc. (8)		426,052
	12,400	Cedar Shopping Centers, Inc.		126,852
	11,524	Entertainment Properties Trust		541,628
	7,200	Extra Space Storage, Inc.		102,888
	12,522	First Industrial Realty Trust, Inc. (8)		433,261
	19,800	First Potomac Realty Trust		342,342
	68,966	Getty Realty Corp.		1,840,013
	85,303	Healthcare Realty Trust, Inc. (8)		2,165,843
	48,303	Hersha Hospitality Trust		458,879
	60,366	Investors Real Estate Trust (8)		541,483
	14,947	LaSalle Hotel Properties (8)		476,809
	9,800	Lexington Realty Trust		142,492
	9,400	MFA Mortgage Investments, Inc. (8)		86,950
	90,239	National Retail Properties, Inc. (8)		2,109,788
	22,000	Pennsylvania Real Estate Investment Trust		652,960
	23,100	Ramco-Gershenson Properties Trust		493,647
	48,835	Rayonier, Inc. (8)		2,306,965
	5,844	Realty Income Corp. (8)		157,905
	37,196	Sovran Self Storage, Inc.		1,491,560
	27,873	Sunstone Hotel Investors, Inc. (8)		509,797

				15,827,277

		Retail — 3.8%
	155,500	Blockbuster, Inc. — Class A* (8)		606,450
	23,100	Borders Group, Inc.		246,015
	24,539	Casey’s General Stores, Inc.		726,600
	167,712	EZCORP, Inc. — Class A*		1,893,468
	19,100	Gaiam, Inc.* (8)		566,888
	10,938	Jo-Ann Stores, Inc.*		143,069
	98,897	The Pantry, Inc.* (8)		2,584,179
	37,900	West Marine, Inc.*		340,342

				7,107,011

		Retail: Restaurants — 0.6%
	15,123	AFC Enterprises, Inc.*		171,192
	7,200	IHOP Corp.		263,376
	15,086	Jack in the Box, Inc.*		388,767
	16,100	Landry’s Restaurants, Inc. (8)		317,170

				1,140,505

See notes to financial statements.

163

SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Retail: Supermarkets — 1.3%
	8,600	Spartan Stores, Inc.	$	196,510
	55,289	Weis Markets, Inc.		2,208,243

				2,404,753

		Rubber Products — 0.0%
	3,100	Cooper Tire & Rubber Company		51,398

		Scientific and Technical Instruments — 0.3%
	7,162	Varian, Inc.*		467,679

		Semiconductors — 1.4%
	191,855	Conexant Systems, Inc.*		159,240
	126,628	OmniVision Technologies, Inc.* (8)		1,981,728
	55,596	PMC-Sierra, Inc.*		363,598

				2,504,566

		Telecommunications Equipment and Services — 1.8%
	38,223	Alaska Communications Systems Group, Inc.		573,345
	2,010	Anixter International, Inc.*		125,163
	73,000	Cincinnati Bell, Inc.*		346,750
	13,050	General Communication, Inc. — Class A*		114,188
	19,300	Knology, Inc.*		246,654
	33,700	Powerwave Technologies, Inc.* (8)		135,811
	45,060	Premiere Global Services, Inc.*		669,140
	37,600	RF Micro Devices, Inc.* (8)		214,696
	7,100	Shenandoah Telecommunications Company		170,258
	13,131	Superior Essex, Inc.*		315,144
	12,000	SureWest Communications		205,200
	10,900	Time Warner Telecom, Inc. — Class A*		221,161

				3,337,510

		Transportation — 2.4%
	84,101	Arkansas Best Corp. (8)		1,845,176
	11,955	Pacer International, Inc.		174,543
	44,252	Tidewater, Inc.		2,427,665

				4,447,384

		Utilities — 4.0%
	59,522	American States Water Company		2,242,789
	27,471	El Paso Electric Company*		702,433
	13,559	Nicor, Inc. (8)		574,224
	12,300	PNM Resources, Inc.		263,835
	7,900	The Empire District Electric Company		179,962
	68,289	UIL Holdings Corp.		2,523,278
	19,091	Unisource Energy Corp.		602,321
	10,674	Westar Energy, Inc.		276,884

				7,365,726

		Total Common Stocks (Cost $199,794,760)		181,352,702



Principal

		Securities Lending Collateral — 22.6%
$	41,860,487	Securities Lending Collateral Investment (Note 4) (Cost $41,860,487)		41,860,487

		Total Securities (Cost $241,655,247)		223,213,189

		Repurchase Agreements — 1.9%
	3,558,021	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $3,558,772 (Collateralized by various Freddie Mac Adjustable Rate Mortgages, 4.09%-5.52%, due 04/01/35-04/01/36, with a total value of $3,630,678) (Cost $3,558,021)		3,558,021

		Total Investments — 122.5% (Cost $245,213,268)		226,771,210
		Liabilities less other assets — (22.5)%		(41,634,605	)

		Net Assets — 100.0%	$	185,136,605

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $245,802,478.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	11,389,647
Gross unrealized depreciation		(30,420,915	)

Net unrealized depreciation	$	(19,031,268	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

164

SPECIAL EQUITY PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 97.0%
		Aerospace and Defense — 1.2%
	78,820	Aerovironment, Inc.* (8)	$	1,907,444
	61,090	BE Aerospace, Inc.*		3,231,661
	50,970	HEICO Corp. (8)		2,776,846
	125,870	Orbital Sciences Corp.*		3,086,332

				11,002,283

		Agriculture — 0.7%
	59,000	CF Industries Holdings, Inc.		6,493,540

		Airlines — 0.9%
	329,920	AirTran Holdings, Inc.*		2,362,227
	5,100	Alaska Air Group, Inc.*		127,551
	102,880	Allegiant Travel Company*		3,306,563
	8,000	Continental Airlines, Inc. — Class B*		178,000
	147,000	Pinnacle Airlines Corp.* (8)		2,241,750

				8,216,091

		Apparel: Manufacturing and Retail — 3.8%
	93,600	Aeropostale, Inc.*		2,480,400
	1,500	Cherokee, Inc.		48,405
	4,850	Columbia Sportswear Company (8)		213,837
	151,900	Crocs, Inc.* (8)		5,591,439
	6,350	Deckers Outdoor Corp.*		984,631
	20,000	Guess?, Inc.		757,800
	98,930	Iconix Brand Group, Inc.*		1,944,964
	21,700	J Crew Group, Inc.*		1,046,157
	52,423	Jos A Bank Clothiers, Inc.* (8)		1,491,434
	23,100	Lululemon Athletica, Inc. (Canada)* (8)		1,094,247
	36,500	Phillips-Van Heusen Corp.		1,345,390
	467,250	Quiksilver, Inc.*		4,009,005
	403,858	Stage Stores, Inc.		5,977,098
	288,841	The Cato Corp. — Class A		4,523,250
	6,600	The Warnaco Group, Inc.*		229,680
	52,200	Urban Outfitters, Inc.*		1,422,972
	62,940	Volcom, Inc.* (8)		1,386,568
	62,600	Wolverine World Wide, Inc.		1,534,952

				36,082,229

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.3%
	84,600	Aftermarket Technology Corp.*		2,306,196
	88,270	Amerigon, Inc.*		1,866,028
	22,100	Hayes Lemmerz International, Inc.*		100,997
	54,600	Lear Corp.*		1,510,236
	162,195	Modine Manufacturing Company		2,677,839
	144,700	Monaco Coach Corp.		1,284,936
	11,600	Oshkosh Truck Corp.		548,216
	35,700	Polaris Industries, Inc. (8)		1,705,389
	53,300	Standard Motor Products, Inc.		434,928
	24,700	Wabash National Corp.		189,943

				12,624,708

		Banks and Financial Services — 9.5%
	24,700	1st Source Corp.		427,557
	46,880	Affiliated Managers Group, Inc.* (8)		5,506,524
	4,500	AMCORE Financial, Inc.		102,150
	20,100	Ameris Bancorp		338,685
	3,296	Arrow Financial Corp.		70,831
	230,210	Asset Acceptance Capital Corp. (8)		2,396,486
	118,547	ASTA Funding, Inc. (8)		3,134,383
	19,800	BancFirst Corp.		848,430
	14,900	Banco Latinoamericano de Exportaciones, SA, Class E (Panama)		243,019
	11,400	Bank of Granite Corp.		120,498
	5,100	BankFinancial Corp.		80,682
	8,800	Camden National Corp.		249,920
	3,421	Capital Corp of the West		66,470
	2,700	Capital Southwest Corp. (8)		319,680
	109,522	Cardtronics, Inc.* (8)		1,107,267
	11,100	Centennial Bank Holdings, Inc.*		64,158
	8,800	Center Financial Corp.		108,416
	88,700	Central Pacific Financial Corp.		1,637,402
	3,000	Chemical Financial Corp.		71,370
	31,916	City Bank (8)		715,557
	22,500	City Holding Company		761,400
	5,200	City National Corp.		309,660
	11,500	Columbia Banking System, Inc.		341,895
	2,616	Community Bancorp* (8)		45,440
	85,300	Community Bank System, Inc.		1,694,911
	23,600	Community Trust Bancorp, Inc.		649,708
	90,500	Corus Bankshares, Inc. (8)		965,635
	95,232	Credit Acceptance Corp.* (8)		1,968,445
	56,700	Dime Community Bancshares		724,059
	23,200	East West Bancorp, Inc.		562,136
	41,300	Federated Investors, Inc. — Class B		1,699,908
	113,182	Financial Federal Corp. (8)		2,522,827
	5,400	Financial Institutions, Inc.		96,228
	17,000	First BanCorp — Puerto Rico		123,930
	5,750	First Citizens Bancshares, Inc. — Class A		838,638

See notes to financial statements.

165

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Banks and Financial Services (continued)

	37,000	First Commonwealth Financial Corp. (8)	$	394,050
	4,127	First Community Bancshares, Inc.		131,610
	97,100	First Financial Bancorp (8)		1,106,940
	31,500	First Financial Bankshares, Inc. (8)		1,185,975
	7,954	First Financial Corp. (8)		225,416
	13,400	First Financial Holdings, Inc.		367,428
	3,200	First Merchants Corp.		69,888
	53,195	First Midwest Bancorp, Inc. (8)		1,627,767
	65,700	First Niagara Financial Group, Inc.		791,028
	8,354	First Place Financial Corp.		116,872
	2,213	First Regional Bancorp*		41,804
	96,200	Fortress Investment Group LLC — Class A (8)		1,498,796
	78,600	Frontier Financial Corp. (8)		1,459,602
	38,600	GAMCO Investors, Inc. — Class A		2,673,050
	6,100	GFI Group, Inc.*		583,892
	13,200	Glacier Bancorp, Inc. (8)		247,368
	11,400	Great Southern Bancorp, Inc. (8)		250,344
	2,300	Green Bankshares, Inc. (8)		44,160
	69,500	Greenhill & Company, Inc. (8)		4,620,360
	39,900	Hancock Holding Company		1,524,180
	5,432	Hercules Technology Growth Capital, Inc. (8)		67,465
	4,900	Heritage Commerce Corp.		90,111
	20,500	Home Bancshares, Inc. (8)		429,885
	24,900	Horizon Financial Corp.		434,256
	8,600	Imperial Capital Bancorp, Inc.		157,380
	27,900	Independent Bank Corp. — Massachusetts		759,438
	13,000	Independent Bank Corp. — Michigan		123,500
	22,700	Integra Bank Corp.		320,297
	130,206	International Bancshares Corp.		2,726,514
	46,020	Investment Technology Group, Inc.*		2,190,092
	102,700	Jefferies Group, Inc.		2,367,235
	21,525	Lakeland Bancorp, Inc.		249,475
	12,900	Lakeland Financial Corp.		269,610
	65,960	MarketAxess Holdings, Inc.*		846,267
	78,331	MB Financial, Inc. (8)		2,414,945
	7,200	Morningstar, Inc.*		559,800
	4,630	Nara Bancorp, Inc.		54,032
	24,400	Nasdaq Stock Market, Inc.*		1,207,556
	4,700	NBT Bancorp, Inc.		107,254
	198,519	NewAlliance Bancshares, Inc. (8)		2,286,939
	75,100	Och-Ziff Capital Management Group — Class A* (8)		1,973,628
	62,000	Ocwen Financial Corp.*		343,480
	11,200	Old National Bancorp		167,552
	4,127	Omega Financial Corp.		120,756
	50,870	optionsXpress Holdings, Inc.		1,720,423
	26,600	Oritani Financial Corp.* (8)		327,180
	3,000	Park National Corp. (8)		193,500
	21,700	Patriot Capital Funding, Inc.		218,953
	6,542	People’s Bancorp, Inc.		162,830
	38,700	Piper Jaffray Companies, Inc.*		1,792,584
	13,700	Preferred Bank — Los Angeles, California		356,474
	7,000	Provident Bankshares Corp.		149,730
	21,400	Renasant Corp.		461,598
	3,300	Royal Bancshares of Pennsylvania, Inc. — Class A		36,300
	31,900	S&T Bancorp, Inc. (8)		881,716
	5,400	Sandy Spring Bancorp, Inc.		150,228
	6,700	Santander BanCorp — Puerto Rico (8)		58,022
	10,210	SCBT Financial Corp.		323,351
	12,400	Simmons First National Corp. — Class A		328,600
	10,500	Sterling Bancshares, Inc. — Texas		117,180
	11,400	Sterling Financial Corp. — Spokane		191,406
	18,700	Suffolk Bancorp (8)		574,277
	7,500	Sun Bancorp, Inc. — New Jersey*		118,350
	10,600	SWS Group, Inc.		134,302
	13,500	SY Bancorp, Inc. (8)		323,190
	8,732	Taylor Capital Group, Inc.		178,133
	140,800	The Blackstone Group, LP (8)		3,115,904
	32,200	Thomas Weisel Partners Group, Inc.* (8)		442,106
	11,541	TrustCo Bank Corp. NY (8)		114,487
	80,400	Trustmark Corp. (8)		2,038,944
	1,500	UMB Financial Corp.		57,540
	15,900	Union Bankshares Corp.		336,126
	44,800	United Bankshares, Inc. (8)		1,255,296
	5,032	United Community Banks, Inc. — Georgia (8)		79,506
	3,600	Univest Corp. of Pennsylvania (8)		75,996
	9,400	Waddell & Reed Financial, Inc. — Class A		339,246

See notes to financial statements.

166

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Banks and Financial Services (continued)

	8,100	Washington Federal, Inc.	$	170,991
	15,500	Washington Trust Bancorp, Inc.		391,065
	3,800	Webster Financial Corp.		121,486
	14,100	WesBanco, Inc.		290,460
	5,838	West Bancorp		76,128
	14,900	West Coast Bancorp		275,650
	52,226	Westamerica Bancorp (8)		2,326,668
	18,400	WSFS Financial Corp.		923,680

				91,371,908

		Broadcast Services/Media — 0.8%
	58,800	China Digital TV Holding Company, Ltd. (ADR) (China)* (8)		1,586,424
	130,330	DG Fastchannel, Inc.*		3,341,661
	126,600	Emmis Communications Corp. — Class A* (8)		487,410
	19,500	Entercom Communications Corp.		266,955
	120,600	Martha Stewart Living Omnimedia, Inc. — Class A* (8)		1,117,962
	59,400	Sinclair Broadcast Group, Inc. — Class A (8)		487,674

				7,288,086

		Business Services and Supplies — 3.2%
	11,900	Answerthink, Inc.*		57,596
	37,300	Arbitron, Inc. (8)		1,550,561
	14,700	CBIZ, Inc.*		144,207
	218,700	CSG Systems International, Inc.*		3,219,264
	132,100	Deluxe Corp.		4,344,769
	58,100	Diamond Management & Technology Consultants, Inc.		422,387
	72,800	Fair Isaac Corp.		2,340,520
	44,500	FirstService Corp. (Canada)*		1,358,585
	12,400	Forrester Research, Inc.*		347,448
	5,100	Global Payments, Inc.		237,252
	29,500	Heidrick & Struggles International, Inc.		1,094,745
	148,568	MAXIMUS, Inc.		5,736,210
	31,080	Portfolio Recovery Associates, Inc. (8)		1,232,944
	126,800	Spherion Corp.*		923,104
	151,200	TrueBlue, Inc.*		2,189,376
	127,025	UniFirst Corp.		4,826,950

				30,025,918

		Chemicals — 2.5%
	6,200	Calgon Carbon Corp.* (8)		98,518
	66,967	Compass Minerals International, Inc.		2,745,647
	80,200	Innospec, Inc.		1,376,232
	75,600	Metabolix, Inc.*		1,799,280
	2,300	Minerals Technologies, Inc.		153,985
	68,600	OM Group, Inc.*		3,947,244
	24,400	Spartech Corp.		344,040
	125,600	Terra Industries, Inc.* (8)		5,998,655
	128,500	Tetra Tech, Inc.*		2,762,750
	79,100	US BioEnergy Corp.* (8)		926,261
	159,864	Zep, Inc.*		2,217,314
	33,350	Zoltek Companies, Inc.* (8)		1,429,715

				23,799,641

		Commercial Services — 0.5%
	38,030	HMS Holdings Corp.*		1,262,976
	3,200	Pre-Paid Legal Services, Inc.*		177,120
	10,800	Standard Parking Corp.*		523,692
	42,530	Team, Inc.*		1,555,748
	35,000	TNS, Inc. (8)		621,250
	14,400	Viad Corp.		454,752

				4,595,538

		Computer Equipment, Software and Services — 6.4%
	77,800	Activision, Inc.*		2,310,660
	48,690	Actuate Corp.*		378,321
	35,900	Adaptec, Inc.*		121,342
	43,320	Advent Software, Inc.* (8)		2,343,612
	14,500	Ansoft Corp.*		374,825
	20,400	Aruba Networks, Inc.* (8)		304,164
	161,900	AsiaInfo Holdings, Inc.*		1,780,900
	30,200	Aspen Technology, Inc.*		489,844
	91,300	Avocent Corp.*		2,128,203
	37,700	CIBER, Inc.*		230,347
	58,800	CommVault Systems, Inc.*		1,245,384
	79,200	COMSYS IT Partners, Inc.*		1,249,776
	25,020	Concur Technologies, Inc.*		905,974
	10,500	Double-Take Software, Inc.*		228,060
	97,962	Electronics For Imaging, Inc.*		2,202,186
	33,600	Extreme Networks, Inc.*		118,944
	17,350	FactSet Research Systems, Inc.		966,395
	117,960	FalconStor Software, Inc.*		1,328,230
	64,940	Hutchinson Technology, Inc.*		1,709,221
	32,000	Immersion Corp.*		414,400
	2,300	Interactive Intelligence, Inc.*		60,605
	11,300	Jack Henry & Associates, Inc.		275,042
	5,600	JDA Software Group, Inc.*		114,576
	17,577	L-1 Identity Solutions, Inc.*		315,507

See notes to financial statements.

167

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Computer Equipment, Software and Services (continued)

	31,250	Longtop Financial Technologies, Ltd. (ADR) (China)* (8)	$	740,000
	192,560	Magma Design Automation, Inc.*		2,351,158
	28,600	Manhattan Associates, Inc.*		753,896
	29,600	MedAssets, Inc.*		708,624
	4,600	MicroStrategy, Inc. — Class A*		437,460
	41,500	MTS Systems Corp.		1,770,805
	105,080	Nuance Communications, Inc.* (8)		1,962,894
	103,150	PROS Holdings, Inc.*		2,023,803
	349,600	Red Hat, Inc.*		7,285,665
	126,210	Riverbed Technology, Inc.*		3,374,855
	2,600	Sigma Designs, Inc.*		143,520
	2,300	Solera Holdings, Inc.*		56,994
	155,200	Sybase, Inc.* (8)		4,049,168
	110,100	Sykes Enterprises, Inc.*		1,981,800
	38,100	Synaptics, Inc.*		1,568,196
	179,730	THQ, Inc.*		5,066,589
	358,700	Wind River Systems, Inc.*		3,203,191
	142,357	Xyratex, Ltd. (Bermuda)*		2,249,241

				61,324,377

		Construction Services and Supplies — 0.7%
	6,100	ABM Industries, Inc.		124,379
	5,900	Matrix Service Company*		128,738
	60,800	Perini Corp.*		2,518,336
	88,499	Simpson Manufacturing Company, Inc. (8)		2,353,188
	46,300	Sterling Construction Company, Inc.*		1,010,266
	2,900	Thor Industries, Inc. (8)		110,229

				6,245,136

		Consumer Goods and Services — 2.7%
	50,600	Alberto-Culver Company		1,241,724
	28,900	Alliance One International, Inc.*		117,623
	123,900	American Greetings Corp. — Class A		2,515,170
	102,990	Bare Escentuals, Inc.* (8)		2,497,508
	142,400	Blyth, Inc.		3,124,256
	182,928	Helen of Troy, Ltd. (Bermuda)*		3,135,386
	79,302	Herbalife, Ltd. (Cayman Islands)		3,194,285
	3,800	Hooker Furniture Corp.		76,380
	126,830	Nutri/System, Inc.* (8)		3,421,873
	47,500	Prestige Brands Holdings, Inc.*		355,300
	86,455	Rollins, Inc.		1,659,936
	146,260	Tempur-Pedic International, Inc. (8)		3,798,372
	2,400	WD-40 Company		91,128

				25,228,941

		Distribution — 1.0%
	80,536	United Stationers, Inc.*		3,721,569
	104,093	Universal Corp.		5,331,643

				9,053,212

		Diversified Operations and Services — 0.4%
	2,000	Chemed Corp.		111,760
	93,064	ESCO Technologies, Inc.* (8)		3,716,976
	4,100	Standex International Corp.		71,545

				3,900,281

		Education — 0.5%
	29,675	American Public Education, Inc.*		1,239,822
	56,660	DeVry, Inc.		2,944,053
	1,000	Strayer Education, Inc.		170,580

				4,354,455

		Electrical Equipment — 0.2%
	34,300	Greatbatch, Inc.*		685,657
	72,700	Universal Display Corp.* (8)		1,502,709

				2,188,366

		Electronics — 2.5%
	178,806	Belden CDT, Inc. (8)		7,956,866
	36,500	Cubic Corp.		1,430,800
	418,750	Flextronics International, Ltd. (Singapore)*		5,050,125
	2,300	Littelfuse, Inc.*		75,808
	156,100	Methode Electronics, Inc.		2,566,284
	166,500	Micrel, Inc.		1,406,925
	277,358	Nam Tai Electronics, Inc. (British Virgin Islands)		3,125,825
	36,500	Park Electrochemical Corp.		1,030,760
	2,300	Plexus Corp.*		60,398
	16,000	Stoneridge, Inc.*		128,640
	6,550	Synopsys, Inc.*		169,842
	18,000	Technitrol, Inc.		514,440

				23,516,713

		Engineering — 0.2%
	99,400	EMCOR Group, Inc.*		2,348,822

		Environmental Waste Management and Recycling Services — 0.4%
	103,570	Darling International, Inc.*		1,197,269
	20,900	EnergySolutions*		564,091

See notes to financial statements.

168

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Environmental Waste Management and Recycling Services (continued)

	26,300	Waste Connections, Inc.*	$	812,670
	23,100	Waste Industries USA, Inc.		838,530

				3,412,560

		Food and Beverage — 0.8%
	2,415	Coca-Cola Bottling Company Consolidated		142,195
	3,623	Farmer Brothers Company		83,293
	4,700	Fresh Del Monte Produce, Inc. (Cayman Islands)*		157,826
	47,800	Imperial Sugar Company (8)		897,206
	135,400	Lance, Inc.		2,764,867
	9,600	McCormick & Company, Inc.		363,936
	61,500	Nash Finch Company (8)		2,169,720
	101,490	SunOpta, Inc. (Canada)* (8)		1,354,892
	1,500	The Boston Beer Company, Inc. — Class A*		56,475

				7,990,410

		Funeral Services — 0.0%
	26,700	Stewart Enterprises, Inc. — Class A		237,630

		Insurance — 4.7%
	23,600	Allied World Assurance Holdings, Ltd. (Bermuda)		1,184,012
	32,900	American Equity Investment Life Holding Company (8)		272,741
	25,900	American Physicians Capital, Inc.		1,073,814
	5,600	Amerisafe, Inc.*		86,856
	210,460	AmTrust Financial Services, Inc. (8)		2,898,034
	70,000	Aspen Insurance Holdings, Ltd. (Bermuda)		2,018,800
	194,066	Assured Guaranty, Ltd. (Bermuda)		5,150,512
	134,587	Delphi Financial Group, Inc. — Class A		4,748,229
	33,160	eHealth, Inc.*		1,064,768
	8,300	EMC Insurance Group, Inc.		196,461
	37,800	Endurance Specialty Holdings, Ltd. (Bermuda)		1,577,394
	9,900	FBL Financial Group, Inc. — Class A		341,847
	7,500	FPIC Insurance Group, Inc.*		322,350
	21,000	Horace Mann Educators Corp. (8)		397,740
	71,428	IPC Holdings, Ltd. (Bermuda)		2,062,126
	97,600	Montpelier Re Holdings, Ltd. (Bermuda) (8)		1,660,176
	750	National Western Life Insurance Company — Class A		155,528
	55,000	Odyssey Re Holdings Corp.		2,019,050
	12,900	PartnerRe, Ltd. (Bermuda) (8)		1,064,637
	143,622	Platinum Underwriters Holdings, Ltd. (Bermuda)		5,107,198
	33,800	Presidential Life Corp.		591,838
	50,800	RAM Holdings, Ltd. (Bermuda)*		250,952
	33,400	Safety Insurance Group, Inc.		1,223,108
	77,600	The Phoenix Companies, Inc.		921,112
	183,651	Universal American Financial Corp.*		4,699,629
	85,100	Zenith National Insurance Corp.		3,806,523

				44,895,435

		Internet Services — 4.6%
	64,860	Aladdin Knowledge Systems, Ltd. (Israel)*		1,694,792
	4,800	Blue Coat Systems, Inc.*		157,776
	44,500	Blue Nile, Inc.* (8)		3,028,670
	38,900	Cogent Communications Group, Inc.* (8)		922,319
	214,420	CyberSource Corp.*		3,810,244
	18,700	Dice Holdings, Inc.*		149,413
	65,090	Digital River, Inc.*		2,152,526
	25,174	Equinix, Inc.* (8)		2,544,336
	53,900	eResearchTechnology, Inc.*		637,098
	76,100	Giant Interactive Group, Inc. (ADR) (China)* (8)		987,778
	9,300	Greenfield Online, Inc.*		135,873
	7,400	i2 Technologies, Inc.* (8)		93,240
	8,800	Imergent, Inc.		93,192
	182,354	Internet Brands, Inc. — Class A* (8)		1,281,949
	148,900	j2 Global Communications, Inc.*		3,152,213
	60,500	Keynote Systems, Inc.*		850,025
	7,700	Mercadolibre, Inc.* (8)		568,876
	351,050	NaviSite, Inc.*		1,776,313
	15,500	NIC, Inc.		130,820
	24,900	Priceline.com, Inc.* (8)		2,860,014
	152,800	S1 Corp.*		1,115,440
	55,920	Shutterfly, Inc.* (8)		1,432,670
	11,800	Sohu.com, Inc. (China)* (8)		643,336
	177,900	SonicWALL, Inc.*		1,907,088
	10,500	Syntel, Inc. (8)		404,460
	122,330	The TriZetto Group, Inc.* (8)		2,124,872
	153,470	TheStreet.com, Inc.		2,443,242
	18,700	TIBCO Software, Inc.*		150,909

See notes to financial statements.

169

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Internet Services (continued)

	263,700	United Online, Inc.	$	3,116,934
	69,320	ValueClick, Inc.*		1,518,108
	122,600	Vignette Corp.*		1,791,186

				43,675,712

		Leisure and Recreation — 1.0%
	7,400	Dover Downs Gaming & Entertainment, Inc.		83,250
	59,470	Home Inns & Hotels Management, Inc. (ADR) (Cayman Islands)* (8)		2,119,511
	35,310	Life Time Fitness, Inc.* (8)		1,754,201
	60,400	Monarch Casino & Resort, Inc.*		1,454,432
	114,920	Scientific Games Corp. — Class A* (8)		3,821,090

				9,232,484

		Machinery — 0.6%
	3,500	Applied Industrial Technologies, Inc.		101,570
	18,670	Bucyrus International, Inc. — Class A		1,855,611
	21,400	Cascade Corp.		994,244
	5,700	Chart Industries, Inc.*		176,130
	7,900	Columbus McKinnon Corp.*		257,698
	30,800	Gardner Denver, Inc.*		1,016,400
	1,600	Key Technology, Inc.*		55,200
	7,400	Middleby Corp.* (8)		566,988
	11,900	Robbins & Myers, Inc.		899,997
	6,300	Tecumseh Products Company — Class A*		147,483

				6,071,321

		Manufacturing — 3.8%
	121,929	Acuity Brands, Inc.		5,486,804
	3,900	Advanced Energy Industries, Inc.*		51,012
	75,819	Albany International Corp. — Class A		2,812,885
	14,900	American Woodmark Corp. (8)		270,882
	64,504	AptarGroup, Inc.		2,638,859
	39,500	Blount International, Inc.*		486,245
	239,239	Carlisle Companies, Inc.		8,859,019
	1,710	CIRCOR International, Inc.		79,276
	188,730	Deswell Industries, Inc. (British Virgin Islands)		1,141,817
	43,600	EnPro Industries, Inc.*		1,336,340
	2,600	FLIR Systems, Inc.*		81,380
	9,600	Freightcar America, Inc.		336,000
	169,900	GrafTech International, Ltd.*		3,015,725
	45,700	Kaydon Corp. (8)		2,492,478
	106,926	Matthews International Corp. — Class A (8)		5,011,622
	158,700	Sturm, Ruger & Company, Inc.* (8)		1,314,036
	15,800	Tredegar Corp.		254,064

				35,668,444

		Medical Equipment, Supplies, and Services — 6.1%
	10,000	Alliance Imaging, Inc.*		96,200
	136,036	AmSurg Corp.*		3,681,134
	158,300	Apria Healthcare Group, Inc.*		3,414,531
	3,200	ArthroCare Corp.* (8)		153,760
	4,400	Beckman Coulter, Inc.		320,320
	2,600	Bio-Rad Laboratories, Inc. — Class A*		269,412
	26,300	Bruker BioSciences Corp.*		349,790
	186,190	Centene Corp.*		5,109,054
	6,800	CONMED Corp.*		157,148
	95,205	CorVel Corp.*		2,191,619
	36,600	Haemonetics Corp.* (8)		2,306,532
	53,130	Healthways, Inc.* (8)		3,104,917
	11,300	ICU Medical, Inc.*		406,913
	36,700	Illumina, Inc.*		2,174,842
	10,900	Immucor, Inc.*		370,491
	56,500	Invacare Corp.		1,423,800
	360,310	LeMaitre Vascular, Inc.*		2,233,922
	20,400	Lincare Holdings, Inc.*		717,264
	13,500	Luminex Corp.* (8)		219,240
	43,400	Magellan Health Services, Inc.*		2,023,742
	4,200	MedCath Corp.*		103,152
	9,200	Meridian Bioscience, Inc.		276,736
	131,160	Micrus Endovascular Corp.*		2,581,229
	290,924	NovaMed, Inc.* (8)		1,236,427
	57,280	NuVasive, Inc.* (8)		2,263,706
	76,900	Orthofix International NV (Netherlands Antilles)*		4,457,893
	37,610	Pediatrix Medical Group, Inc.*		2,563,122
	66,990	Phase Forward, Inc.*		1,457,033
	115,800	PSS World Medical, Inc.*		2,266,206
	20,000	Quidel Corp.*		389,400
	147,110	Radnet, Inc.*		1,493,167
	97,900	STERIS Corp.		2,823,436
	4,900	SurModics, Inc.*		265,923
	15,100	Synovis Life Technologies, Inc.*		295,205
	27,100	Techne Corp.*		1,789,955
	198,440	The Spectranetics Corp.*		3,042,085
	92,340	Volcano Corp.*		1,155,173
	5,200	Zoll Medical Corp.*		138,944

				59,323,423

See notes to financial statements.

170

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Metals and Mining — 2.3%
	38,300	AK Steel Holding Corp.*	$	1,770,992
	28,720	Dynamic Materials Corp.		1,691,608
	19,770	Haynes International, Inc.*		1,374,015
	219,400	Hecla Mining Company*		2,051,390
	54,230	Ladish Company, Inc.*		2,342,194
	222,572	Mueller Industries, Inc.		6,452,362
	11,200	Quanex Corp.		581,280
	25,620	Schnitzer Steel Industries, Inc. — Class A		1,771,111
	34,700	USEC, Inc.* (8)		312,300
	196,100	Worthington Industries, Inc. (8)		3,506,268

				21,853,520

		Office Equipment, Supplies, and Services — 0.5%
	240,243	Acco Brands Corp.*		3,853,497
	13,550	Herman Miller, Inc.		438,885
	31,600	IKON Office Solutions, Inc.		411,432

				4,703,814

		Oil, Coal and Gas — 4.6%
	9,200	Alpha Natural Resources, Inc.*		298,816
	26,200	Arena Resources, Inc.*		1,092,802
	8,100	Cabot Oil & Gas Corp.		326,997
	6,000	Continental Resources, Inc.*		156,780
	20,120	Core Laboratories NV (the Netherlands)* (8)		2,509,366
	46,680	Dril-Quip, Inc.*		2,598,209
	23,700	FMC Technologies, Inc.*		1,343,790
	48,200	Grant Prideco, Inc.*		2,675,582
	8,000	HKN, Inc.*		64,400
	10,100	NATCO Group, Inc.*		546,915
	37,700	Newpark Resources, Inc.*		205,465
	2,400	Northwest Natural Gas Company		116,784
	51,820	Oil States International, Inc.* (8)		1,768,098
	194,720	Penn Virginia Corp.		8,495,634
	30,000	PetroQuest Energy, Inc.*		429,000
	28,500	Piedmont Natural Gas Company, Inc. (8)		745,560
	7,600	Southwest Gas Corp.		226,252
	111,200	Stone Energy Corp.*		5,216,392
	61,590	Superior Energy Services, Inc.*		2,119,928
	25,100	VAALCO Energy, Inc.*		116,715
	7,900	Vectren Corp.		229,179
	218,022	Whiting Petroleum Corp.*		12,571,149

				43,853,813

		Paper and Forest Products — 0.8%
	38,500	Buckeye Technologies, Inc.*		481,250
	57,401	Deltic Timber Corp.		2,955,577
	95,700	Potlatch Corp.		4,252,908

				7,689,735

		Pharmaceuticals/Research and Development — 5.1%
	125,800	Affymetrix, Inc.* (8)		2,911,012
	120,500	Albany Molecular Research, Inc.*		1,732,790
	129,200	Alkermes, Inc.*		2,014,228
	4,900	AMAG Pharmaceuticals, Inc.*		294,637
	57,300	American Oriental Bioengineering, Inc.*		634,884
	211,200	Cell Genesys Inc.*		485,760
	72,750	Cephalon, Inc.* (8)		5,220,540
	175,800	Cubist Pharmaceuticals, Inc.*		3,605,658
	199,900	CV Therapeutics, Inc.* (8)		1,809,095
	285,800	Enzon Pharmaceuticals, Inc.* (8)		2,723,674
	57,900	Geron Corp.* (8)		328,872
	32,600	Human Genome Sciences, Inc.* (8)		340,344
	37,200	Incyte Corp.*		373,860
	133,430	K-V Pharmaceutical Company — Class A*		3,808,092
	27,600	LifeCell Corp.*		1,189,836
	17,600	Martek Biosciences Corp.* (8)		520,608
	361,500	Medarex, Inc.* (8)		3,766,830
	155,400	Medicis Pharmaceuticals Corp. — Class A (8)		4,035,738
	4,000	Millipore Corp.*		292,720
	72,600	Noven Pharmaceuticals, Inc.*		1,007,688
	12,600	OSI Pharmaceuticals, Inc.*		611,226
	53,700	Pain Therapeutics, Inc.* (8)		569,220
	45,800	Perrigo Company		1,603,458
	28,100	Pharmanet Development Group, Inc.*		1,101,801
	43,200	Regeneron Pharmaceuticals, Inc.*		1,043,280
	39,600	Savient Pharmaceuticals, Inc.* (8)		909,612
	106,450	Sciele Pharma, Inc.* (8)		2,176,903
	600	United Therapeutics Corp.* (8)		58,590
	46,900	USANA Health Services, Inc.* (8)		1,739,052
	38,200	Valeant Pharmaceuticals International*		457,254
	35,200	Vertex Pharmaceuticals, Inc.*		817,696
	27,300	VIVUS, Inc.* (8)		141,414

				48,326,372

See notes to financial statements.

171

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Printing and Publishing — 0.7%
	246,453	Bowne & Company, Inc.	$	4,337,573
	7,400	PRIMEDIA, Inc.		62,900
	152,090	Valassis Communications, Inc.* (8)		1,777,932

				6,178,405

		Real Estate Development and Services — 0.2%
	4,815	Avatar Holdings, Inc.* (8)		201,363
	27,800	Hilltop Holdings, Inc.*		303,576
	234,600	Meruelo Maddux Properties, Inc.*		938,400

				1,443,339

		Real Estate Investment Trusts — 4.9%
	107,207	Acadia Realty Trust		2,745,571
	14,900	Agree Realty Corp.		448,490
	55,741	American Campus Communities, Inc.		1,496,646
	23,600	Associated Estates Realty Corp.		222,784
	18,800	BRT Realty Trust		287,640
	116,700	Capstead Mortgage Corp.		1,539,273
	71,755	Cousins Properties, Inc. (8)		1,585,786
	3,700	Digital Realty Trust, Inc. (8)		141,969
	52,800	Entertainment Properties Trust		2,481,600
	35,800	Equity One, Inc. (8)		824,474
	112,100	Highwoods Properties, Inc. (8)		3,293,498
	30,400	Inland Real Estate Corp. (8)		430,464
	114,600	Investors Real Estate Trust (8)		1,027,962
	47,000	LTC Properties, Inc.		1,177,350
	97,650	Maguire Properties, Inc. (8)		2,877,746
	49,100	Mission West Properties, Inc.		466,941
	12,600	National Health Investors, Inc.		351,540
	47,600	National Retail Properties, Inc. (8)		1,112,888
	2,100	Nationwide Health Properties, Inc. (8)		65,940
	200,100	OMEGA Healthcare Investors, Inc.		3,211,605
	50,491	Pennsylvania Real Estate Investment Trust		1,498,573
	78,904	PS Business Parks, Inc.		4,146,405
	417,375	RAIT Investment Trust (8)		3,597,773
	22,400	Ramco-Gershenson Properties Trust		478,688
	172,746	Realty Income Corp. (8)		4,667,596
	55,500	Saul Centers, Inc.		2,965,365
	22,200	Taubman Centers, Inc. (8)		1,092,018
	15,400	Urstadt Biddle Properties — Class A		238,700
	262,040	U-Store-It Trust		2,400,286

				46,875,571

		Registered Investment Companies — 0.8%
	246,657	Ares Capital Corp. (8)		3,608,592
	30,440	iShares Russell 2000 Growth Index Fund		2,547,219
	84,200	MCG Capital Corp. (8)		975,878

				7,131,689

		Retail — 2.3%
	159,000	Big Lots, Inc.* (8)		2,542,410
	14,100	Books-A-Million, Inc.		168,072
	236,625	Casey’s General Stores, Inc.		7,006,465
	106,600	EZCORP, Inc. — Class A*		1,203,514
	137,050	FGX International Holdings, Ltd. (British Virgin Islands)*		1,624,043
	303,814	Hibbett Sports, Inc.*		6,070,204
	124,900	Jo-Ann Stores, Inc.*		1,633,692
	4,900	West Marine, Inc.*		44,002
	46,300	Williams-Sonoma, Inc. (8)		1,199,170
	31,600	Zumiez, Inc.* (8)		769,776

				22,261,348

		Retail: Restaurants — 1.2%
	41,500	AFC Enterprises, Inc.* (8)		469,780
	13,400	Bob Evans Farms, Inc.		360,862
	10,300	California Pizza Kitchen, Inc.*		160,371
	71,200	CBRL Group, Inc.		2,306,168
	142,488	CEC Entertainment, Inc.*		3,698,989
	1,900	Chipotle Mexican Grill, Inc. — Class A* (8)		279,433
	66,900	Domino’s Pizza, Inc.		885,087
	9,300	Jack in the Box, Inc.*		239,661
	55,600	Papa John’s International, Inc.*		1,262,120
	78,226	Sonic Corp.*		1,713,149
	12,800	The Cheesecake Factory, Inc.* (8)		303,488

				11,679,108

		Retail: Supermarkets — 0.1%
	25,900	Whole Foods Market, Inc. (8)		1,056,720

		Rubber Products — 0.3%
	179,100	Cooper Tire & Rubber Company		2,969,478

		Scientific and Technical Instruments — 0.6%
	47,000	Cymer, Inc.*		1,829,710
	3,600	Itron, Inc.* (8)		345,492
	21,700	Varian, Inc.*		1,417,010

See notes to financial statements.

172

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Scientific and Technical Instruments (continued)

	28,300	Woodward Governor Company	$	1,922,985

				5,515,197

		Security Service and Devices — 0.0%
	3,800	LoJack Corp.*		63,878

		Semiconductors — 3.1%
	149,300	Amkor Technology, Inc.*		1,273,529
	30,800	ATMI, Inc.*		993,300
	27,000	AuthenTec, Inc.* (8)		392,310
	1,500	Cabot Microelectronics Corp.*		53,865
	55,900	EMCORE Corp.* (8)		855,270
	220,900	Emulex Corp.*		3,605,088
	28,900	Integrated Silicon Solution, Inc.*		191,318
	54,700	Intersil Corp. — Class A		1,339,056
	91,400	IPG Photonics Corp.*		1,827,086
	258,700	Kulicke and Soffa Industries, Inc.* (8)		1,774,682
	70,650	Mellanox Technologies, Ltd. (Israel)*		1,287,243
	22,600	Novellus Systems, Inc.*		623,082
	122,500	O2Micro International, Ltd. (ADR) (Cayman Islands)*		1,413,650
	30,900	Pericom Semiconductor Corp.*		577,830
	100,600	QLogic Corp.*		1,428,520
	171,500	Semtech Corp.*		2,661,680
	48,960	Silicon Motion Technology Corp. (ADR) (Cayman Islands)*		870,509
	343,450	Skyworks Solutions, Inc.*		2,919,325
	331,100	TriQuint Semiconductor, Inc.*		2,195,193
	64,000	Varian Semiconductor Equipment Associates, Inc.*		2,368,000
	22,700	Zoran Corp.*		510,977

				29,161,513

		Sporting Goods and Equipment — 0.1%
	57,000	Callaway Golf Company		993,510

		Telecommunications Equipment and Services — 3.8%
	108,200	ADC Telecommunications, Inc.*		1,682,510
	38,500	ADTRAN, Inc. (8)		823,130
	57,360	Atheros Communications*		1,751,774
	64,115	Atlantic Tele-Network, Inc.		2,165,805
	75,280	Cbeyond, Inc.*		2,935,167
	113,200	Cincinnati Bell, Inc.*		537,700
	131,300	Clearwire Corp. — Class A* (8)		1,800,123
	30,710	GeoEye, Inc.*		1,033,392
	110,500	Harmonic, Inc.*		1,158,040
	31,800	Iowa Telecommunications Services, Inc. (8)		517,068
	29,200	Novatel Wireless, Inc.*		473,040
	29,600	Plantronics, Inc.		769,600
	303,850	Polycom, Inc.*		8,440,953
	179,600	Premiere Global Services, Inc.*		2,667,060
	583,800	RF Micro Devices, Inc.*		3,333,498
	14,600	SeaChange International, Inc.*		105,558
	31,100	Shenandoah Telecommunications Company		745,778
	61,000	Sycamore Networks, Inc.*		234,240
	129,300	Syniverse Holdings, Inc.*		2,014,494
	176,000	USA Mobility, Inc.*		2,516,800

				35,705,730

		Toys — 0.4%
	140,600	Marvel Entertainment, Inc.* (8)		3,755,426

		Transportation — 1.4%
	33,600	Excel Maritime Carriers, Ltd. (Liberia) (8)		1,350,384
	89,300	General Maritime Corp. (Marshall Islands) (8)		2,183,385
	136,862	Genesee & Wyoming, Inc. — Class A*		3,307,955
	78,600	GulfMark Offshore, Inc.* (8)		3,677,693
	3,900	Knightsbridge Tankers, Ltd. (Bermuda) (8)		94,185
	10,100	Landstar System, Inc.		425,715
	184,969	Vitran Corp., Inc. — Class A (Canada)*		2,632,109

				13,671,426

		Utilities — 2.8%
	78,761	Atmos Energy Corp.		2,208,458
	30,000	Avista Corp.		646,200
	104,800	Black Hills Corp. (8)		4,621,680
	25,000	El Paso Electric Company*		639,250
	3,700	Middlesex Water Company		70,115
	44,584	New Jersey Resources Corp. (8)		2,230,092
	113,000	Nicor, Inc. (8)		4,785,550
	15,800	Ormat Technologies, Inc. (8)		869,158
	4,200	Pike Electric Corp.*		70,392
	185,814	PNM Resources, Inc. (8)		3,985,710
	3,200	Portland General Electric Company		88,896
	73,400	Unisource Energy Corp.		2,315,770
	89,197	Westar Energy, Inc.		2,313,770

See notes to financial statements.

173

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Utilities (continued)

	62,239	WGL Holdings, Inc. (8)	$	2,038,950

				26,883,991

		Total Common Stocks (Cost $940,559,280)		921,941,247

Principal

		Short Term US Treasury Securities—0.1%
		US Treasury Bills
$	750,000	2.89%, 03/20/08(5) (Cost $745,244)		745,244

		Securities Lending Collateral — 23.7%
	225,270,316	Securities Lending Collateral Investment (Note 4) (Cost $225,270,316)		225,270,316

		Total Securities (Cost $1,166,574,840)		1,147,956,807

		Repurchase Agreements — 3.2%
	30,010,481	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $30,016,817 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.81%-5.63%, due 03/25/33-04/01/35, with a total value of $21,819,001 and various Freddie Mac Adjustable Rate Mortgages, 4.09%-4.77%, due 04/01/35-05/01/35, with a total value of $8,793,083) (Cost $30,010,481)		30,010,481

		Total Investments — 124.0% (Cost $1,196,585,321)		1,177,967,288
		Liabilities less other assets — (24.0)%		(227,769,825	)

		Net Assets — 100.0%	$	950,197,463

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $1,204,685,049.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	82,589,428
Gross unrealized depreciation		(109,307,189	)

Net unrealized depreciation	$	(26,717,761	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

174

SMALL-CAP GROWTH PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value

		Common Stocks — 98.6%
		Aerospace and Defense — 3.8%
	23,814	Aerovironment, Inc.* (8)	$	576,299
	18,100	Curtiss-Wright Corp.		908,620
	11,400	Ducommun, Inc.*		433,200
	20,700	Esterline Technologies Corp.*		1,071,225
	27,220	Moog, Inc. — Class A* (8)		1,246,948
	20,700	Teledyne Technologies, Inc.* (8)		1,103,931
	23,170	TransDigm Group, Inc.*		1,046,589

				6,386,812

		Agriculture — 0.6%
	22,900	The Andersons, Inc. (8)		1,025,920

		Apparel: Manufacturing and Retail — 5.2%
	46,950	Aeropostale, Inc.*		1,244,175
	24,849	Charlotte Russe Holding, Inc.*		401,311
	19,200	Crocs, Inc.* (8)		706,752
	2,600	Deckers Outdoor Corp.*		403,156
	26,500	J Crew Group, Inc.* (8)		1,277,565
	49,500	Maidenform Brands, Inc.*		669,735
	19,100	Phillips-Van Heusen Corp. (8)		704,026
	35,400	Stage Stores, Inc.		523,920
	34,500	The Children’s Place Retail Stores, Inc.*		894,585
	18,100	The Men’s Wearhouse, Inc.		488,338
	28,200	The Warnaco Group, Inc.*		981,360
	133,400	The Wet Seal, Inc. — Class A*		310,822

				8,605,745

		Automobile: Retail — 0.5%
	45,600	Asbury Automotive Group, Inc.		686,280
	7,965	Sonic Automotive, Inc.		154,202

				840,482

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.5%
	30,600	Aftermarket Technology Corp.*		834,156
	45,649	Amerigon, Inc.*		965,020
	34,383	Winnebago Industries, Inc. (8)		722,731

				2,521,907

		Banks and Financial Services — 2.3%
	4,500	Bankrate, Inc.* (8)		216,405
	16,000	City Bank (8)		358,720
	18,777	Green Bankshares, Inc. (8)		360,518
	34,268	Interactive Data Corp.		1,131,187
	25,971	MarketAxess Holdings, Inc.*		333,208
	13,400	SVB Financial Group* (8)		675,360
	21,800	United Community Banks, Inc. — Georgia (8)		344,440
	25,392	Western Alliance Bancorp* (8)		476,608

				3,896,446

		Business Services and Supplies — 2.0%
	110,600	CBIZ, Inc.* (8)		1,084,986
	26,600	FTI Consulting, Inc.*		1,639,624
	25,655	ICF International, Inc.*		648,045

				3,372,655

		Chemicals — 1.9%
	29,500	HB Fuller Company		662,275
	56,805	ICO, Inc.*		729,376
	59,700	Landec Corp.*		799,980
	34,200	Sensient Technologies Corp.		967,176

				3,158,807

		Commercial Services — 1.6%
	32,900	Euronet Worldwide, Inc.* (8)		987,000
	22,880	Steiner Leisure, Ltd. (Bahama Islands)*		1,010,381
	19,100	Team, Inc.* (8)		698,678

				2,696,059

		Computer Equipment, Software and Services — 12.2%
	113,076	Actuate Corp.*		878,601
	37,400	ANSYS, Inc.*		1,550,604
	62,332	Aspen Technology, Inc.*		1,011,025
	65,763	Bluephoenix Solutions, Ltd. (Israel)* (8)		1,191,626
	67,700	Bottomline Technologies, Inc.*		947,800
	13,712	COMSYS IT Partners, Inc.*		216,375
	42,429	EPIQ Systems, Inc.* (8)		738,689
	82,400	FalconStor Software, Inc.* (8)		927,824
	33,900	FARO Technologies, Inc.*		921,402
	40,700	Hutchinson Technology, Inc.*		1,071,224
	76,925	Interwoven, Inc.*		1,093,874
	32,900	Jack Henry & Associates, Inc.		800,786
	26,600	Manhattan Associates, Inc.*		701,176
	3,776	ManTech International Corp. — Class A*		165,464
	57,900	Mentor Graphics Corp.*		624,162
	5,056	MicroStrategy, Inc. — Class A*		480,826
	48,300	Nuance Communications, Inc.* (8)		902,244
	29,413	Progress Software Corp.*		990,630
	55,500	Quest Software, Inc.*		1,023,420
	66,800	Radiant Systems, Inc.*		1,150,964
	26,420	SPSS, Inc.*		948,742
	10,614	Synaptics, Inc.*		436,872
	25,320	Taleo Corp. — Class A*		754,030
	33,086	The Ultimate Software Group, Inc.*		1,041,216

				20,569,576

		Construction Services and Supplies — 1.3%
	33,700	AAON, Inc.		667,934
	37,100	Drew Industries, Inc.*		1,016,540
	24,689	Integrated Electrical Services, Inc.*		463,906

				2,148,380

See notes to financial statements.

175

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Consumer Goods and Services — 1.6%
	37,531	Elizabeth Arden, Inc.* (8)	$	763,756
	13,100	Fossil, Inc.*		549,938
	35,900	Jarden Corp.* (8)		847,599
	38,500	Kimball International, Inc. — Class B		527,450

				2,688,743

		Education — 0.2%
	6,000	Capella Education Company* (8)		392,760

		Electronics — 1.1%
	54,900	Methode Electronics, Inc.		902,556
	21,878	Rogers Corp.*		948,849

				1,851,405

		Engineering — 0.4%
	29,758	EMCOR Group, Inc.*		703,182

		Environmental Waste Management and Recycling Services — 0.8%
	55,900	Darling International, Inc.*		646,204
	24,400	Waste Connections, Inc.*		753,960

				1,400,164

		Food and Beverage — 1.8%
	20,544	Central European Distribution Corp.*		1,193,196
	32,900	Flowers Foods, Inc.		770,189
	31,000	The Hain Celestial Group, Inc.*		992,000

				2,955,385

		Insurance — 4.2%
	13,576	eHealth, Inc.*		435,925
	15,800	FBL Financial Group, Inc. — Class A		545,574
	19,200	FPIC Insurance Group, Inc.*		825,216
	26,800	Harleysville Group, Inc.		948,184
	23,100	Infinity Property & Casualty Corp.		834,603
	22,100	IPC Holdings, Ltd. (Bermuda)		638,027
	28,200	Platinum Underwriters Holdings, Ltd. (Bermuda)		1,002,792
	15,300	ProAssurance Corp.*		840,276
	17,300	RLI Corp.		982,467

				7,053,064

		Internet Services — 6.4%
	22,058	Aladdin Knowledge Systems, Ltd. (Israel)*		576,376
	108,700	Art Technology Group, Inc.*		469,584
	21,714	Blue Coat Systems, Inc.*		713,739
	24,300	Digital River, Inc.*		803,601
	68,074	eResearchTechnology, Inc.*		804,635
	55,500	Foundry Networks, Inc.*		972,360
	50,500	GigaMedia, Ltd. (Singapore)*		946,875
	54,391	LivePerson, Inc.*		290,448
	7,100	Priceline.com, Inc.* (8)		815,506
	82,300	Secure Computing Corp.*		790,080
	31,622	Shanda Interactive Entertainment, Ltd. (ADR) (Cayman Islands)*		1,054,277
	33,800	Shutterfly, Inc.* (8)		865,956
	19,600	VASCO Data Security International, Inc.*		547,232
	29,000	Vocus, Inc.*		1,001,370

				10,652,039

		Leisure and Recreation — 0.3%
	42,637	Dover Downs Gaming & Entertainment, Inc.		479,666

		Machinery — 1.7%
	39,593	Columbus McKinnon Corp.*		1,291,524
	75,400	Flow International Corp.*		702,728
	19,739	Tennant Company		874,240

				2,868,492

		Manufacturing — 4.0%
	11,500	Ameron International Corp.		1,059,725
	22,600	AptarGroup, Inc.		924,566
	32,760	Barnes Group, Inc.		1,093,856
	25,191	Ceradyne, Inc.*		1,182,213
	39,455	Encore Wire Corp. (8)		628,124
	15,658	EnPro Industries, Inc.*		479,918
	29,000	FLIR Systems, Inc.*		907,700
	4,400	Valmont Industries, Inc.		392,128

				6,668,230

		Medical Equipment, Supplies, and Services — 10.1%
	25,500	AmSurg Corp.*		690,030
	71,578	Bruker BioSciences Corp.*		951,987
	24,800	CONMED Corp.*		573,128
	21,400	Hologic, Inc.*		1,468,897
	17,400	ICON PLC (ADR) (Ireland)*		1,076,364
	20,269	Illumina, Inc.* (8)		1,201,141
	32,100	Immucor, Inc.*		1,091,079
	39,900	inVentiv Health, Inc.*		1,235,304
	44,737	LHC Group, Inc.*		1,117,530
	20,600	MedCath Corp.*		505,936
	72,900	Natus Medical, Inc.*		1,410,615
	37,195	Phase Forward, Inc.*		808,991
	27,531	Somanetics Corp.*		651,108
	22,531	SurModics, Inc.* (8)		1,222,757
	44,600	Synovis Life Technologies, Inc.*		871,930
	63,143	Third Wave Technologies*		609,330
	47,900	Zoll Medical Corp.*		1,279,888

				16,766,015

		Metals and Mining — 1.0%
	4,200	Dynamic Materials Corp.		247,380
	2,674	Kaiser Aluminum Corp.		212,530

See notes to financial statements.

176

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)
		Metals and Mining (continued)

	7,500	Schnitzer Steel Industries, Inc. — Class A	$	518,475
	18,413	Universal Stainless & Alloy Products, Inc.*		654,950

				1,633,335

		Oil, Coal and Gas — 6.4%
	25,300	Bill Barrett Corp.* (8)		1,059,311
	77,432	Cano Petroleum, Inc.*		533,506
	30,300	Comstock Resources, Inc.*		1,030,200
	5,600	Core Laboratories NV (the Netherlands)*		698,432
	23,600	Encore Acquisition Company*		787,532
	33,953	Hercules Offshore, Inc.* (8)		807,402
	14,900	Hornbeck Offshore Services, Inc.* (8)		669,755
	20,700	Massey Energy Company		740,025
	42,750	Natural Gas Services Group*		838,328
	86,000	Parker Drilling Company*		649,300
	85,200	PetroQuest Energy, Inc.*		1,218,361
	17,300	T-3 Energy Services, Inc.*		813,273
	32,145	Western Refining, Inc. (8)		778,230

				10,623,655

		Pharmaceuticals/Research and Development — 7.4%
	84,099	Albany Molecular Research, Inc.*		1,209,343
	59,108	BioScrip, Inc.*		456,905
	42,700	Cubist Pharmaceuticals, Inc.*		875,777
	29,513	Exponent, Inc.*		798,032
	20,004	Kendle International, Inc.*		978,596
	20,000	Martek Biosciences Corp.* (8)		591,600
	42,824	Obagi Medical Products, Inc.*		783,251
	87,669	Oculus Innovative Sciences, Inc.* (8)		359,443
	22,000	PAREXEL International Corp.*		1,062,600
	60,700	PDL BioPharma, Inc.*		1,063,464
	60,500	PetMed Express, Inc.*		732,050
	25,500	Pharmanet Development Group, Inc.*		999,855
	45,200	Sciele Pharma, Inc.*		924,340
	11,400	United Therapeutics Corp.* (8)		1,113,210
	51,600	ViroPharma, Inc.*		409,704

				12,358,170

		Retail — 1.0%
	76,500	EZCORP, Inc. — Class A*		863,685
	17,400	Longs Drug Stores Corp.		817,800

				1,681,485

		Retail: Restaurants — 1.6%
	39,000	Jack in the Box, Inc.*		1,005,030
	38,300	O’Charley’s, Inc.		573,734
	10,800	Red Robin Gourmet Burgers, Inc.*		345,492
	64,300	Texas Roadhouse, Inc. — Class A*		711,158

				2,635,414

		Retail: Supermarkets — 0.9%
	24,100	Ingles Markets, Inc. — Class A		611,899
	37,535	Spartan Stores, Inc.		857,675

				1,469,574

		Rubber Products — 0.5%
	47,024	Cooper Tire & Rubber Company		779,658

		Scientific and Technical Instruments — 0.4%
	39,600	Spectrum Control, Inc.*		609,840

		Security Service and Devices — 0.8%
	85,700	Cogent, Inc.* (8)		955,555
	16,677	Macrovision Corp.*		305,689

				1,261,244

		Semiconductors — 4.9%
	91,400	Advanced Analogic Technologies, Inc.*		1,030,991
	63,600	ANADIGICS, Inc.* (8)		735,852
	20,700	Cavium Networks, Inc.* (8)		476,514
	55,499	LTX Corp.*		176,487
	32,700	Microsemi Corp.*		723,978
	23,900	Netlogic Microsystems, Inc.* (8)		769,580
	49,703	Pericom Semiconductor Corp.*		929,446
	49,676	Semtech Corp.*		770,972
	21,585	Standard Microsystems Corp.*		843,326
	110,100	TriQuint Semiconductor, Inc.*		729,963
	41,121	Zoran Corp.*		925,634

				8,112,743

		Storage Facilities — 0.2%
	17,300	Mobile Mini, Inc.*		320,742

		Telecommunications Equipment and Services — 6.2%
	25,900	ADTRAN, Inc. (8)		553,742
	34,900	Atheros Communications*		1,065,846
	112,700	Avici Systems, Inc.		893,711
	24,400	Cbeyond, Inc.* (8)		951,356
	69,196	Ceragon Networks Ltd. (Israel)*		684,348
	23,300	Comtech Telecommunications Corp.* (8)		1,258,433
	14,218	General Cable Corp.*		1,041,895
	32,900	GeoEye, Inc.*		1,107,085
	47,500	Globecomm Systems, Inc.*		555,750
	72,500	Intervoice, Inc.*		579,275
	14,491	NICE Systems, Ltd. (ADR) (Israel)*		497,331
	48,400	Oplink Communications, Inc.*		742,940
	69,108	RF Micro Devices, Inc.*		394,607

				10,326,319

See notes to financial statements.

177

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value

		Common Stocks (continued)

		Transportation — 1.8%
	55,300	Celadon Group, Inc.*	$	506,548
	18,300	Excel Maritime Carriers, Ltd. (Liberia) (8)		735,477
	22,600	GulfMark Offshore, Inc.* (8)		1,057,454
	21,190	TBS International, Ltd. — Class A (Bermuda)*		700,541

				3,000,020

		Total Common Stocks (Cost $154,543,735)		164,514,133

Principal

		Securities Lending Collateral — 19.2%
$	32,007,250	Securities Lending Collateral Investment (Note 4) (Cost $32,007,250)		32,007,250

		Total Securities (Cost $186,550,985)		196,521,383

		Repurchase Agreements — 2.0%
	3,273,334	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $3,274,025 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.44%, due 03/01/33, with a value of $3,339,271) (Cost $3,273,334)		3,273,334

		Total Investments — 119.8% (Cost $189,824,319)		199,794,717
		Liabilities less other assets — (19.8)%		(32,977,396	)

		Net Assets — 100.0%	$	166,817,321

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $190,717,865.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	21,024,353
Gross unrealized depreciation		(11,947,501	)

Net unrealized appreciation	$	9,076,852

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

178

INTERNATIONAL EQUITY PORTFOLIO

PORTFOLIO OF INVESTMENTS

December 31, 2007


Shares			Value		Country

		Common Stocks — 98.6%
		Advertising — 0.3%
	23,700	Focus Media Holding, Ltd. (ADR)* (8)	$	1,346,397	CHN
	117,299	Publicis Groupe		4,592,690	FRA

				5,939,087

		Aerospace and Defense — 0.8%
	236,000	Finmeccanica SpA		7,580,612	ITA
	225,387	Gamesa Corporacion Tecnologica, SA		10,538,276	SPA

				18,118,888

		Agriculture — 1.4%
	12,100,387	Chaoda Modern Agriculture (Holdings), Ltd.		10,956,054	CAY
	138,000	Potash Corp. of Saskatchewan, Inc.		19,866,480	CDA

				30,822,534

		Airlines — 1.7%
	757,607	easyJet PLC*		9,252,147	BRI
	3,537,400	Qantas Airways, Ltd.		16,896,717	AUS
	204,447	Ryanair Holdings PLC (ADR)* (8)		8,063,390	IRE
	347,671	Singapore Airlines, Ltd.		4,197,803	SIN

				38,410,057

		Apparel: Manufacturing and Retail — 0.6%
	1,287,840	Burberry Group PLC		14,599,556	BRI

		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 7.5%
	127,500	Alpine Electronics, Inc.		2,137,649	JPN
	648,000	Calsonic Kansei Corp. (8)		3,312,071	JPN
	543,223	DaimlerChrysler AG		52,815,575	GER
	2,059,000	Fuji Heavy Industries, Ltd.		9,620,892	JPN
	10,200	Georg Fischer AG		6,279,557	SWI
	1,726,700	GKN PLC		9,692,817	BRI
	967,000	Hino Motors, Ltd.		6,292,879	JPN
	351,600	Honda Motor Company, Ltd.		11,802,354	JPN
	1,442,800	Nissan Motor Company, Ltd.		15,885,459	JPN
	88,800	PSA Peugeot Citroen SA		6,731,688	FRA
	159,100	Toyota Auto Body Company, Ltd.		2,573,457	JPN
	608,200	Toyota Motor Corp.		32,883,033	JPN
	104,788	Valeo SA		4,320,389	FRA
	25,800	Volkswagen AG		5,888,231	GER

				170,236,051

		Banks and Financial Services — 24.2%
	535,600	Alliance & Leicester PLC (8)		6,908,752	BRI
	232,400	Allied Irish Banks PLC		5,324,699	IRE
	192,100	Alpha Bank AE		6,993,409	GRC
	279,900	Banco Bilbao Vizcaya Argentaria SA		6,858,658	SPA
	318,300	Banco Espirito Santo, SA		6,980,558	POR
	1,451,800	Banco Santander Central Hispano SA		31,393,316	SPA
	2,469,900	Barclays PLC		24,779,578	BRI
	312,600	BNP Paribas SA		33,921,273	FRA
	570,300	Bolsa de Mercadorias e Futuros		8,009,831	BRA
	983,100	Bradford & Bingley PLC		5,244,650	BRI
	266,800	Canadian Imperial Bank of Commerce (8)		19,071,625	CDA
	308,700	Commonwealth Bank of Australia		16,019,293	AUS
	155,100	Credit Agricole SA		5,231,444	FRA
	357,700	Credit Suisse Group		21,516,027	SWI
	378,000	Daiwa Securities Group, Inc.		3,437,748	JPN
	183,400	Danske Bank A/S		7,183,096	DEN
	84,100	Deutsche Bank AG		10,992,481	GER
	87,610	Deutsche Boerse AG		17,388,245	GER
	83,901	Dexia		2,113,560	BEL
	582,100	DNB NOR ASA		8,897,907	NOR
	367,000	Fortis		9,663,668	BEL
	1,107,700	HBOS PLC		16,206,659	BRI
	226,900	Hitachi Capital Corp.		2,918,635	JPN
	1,082,900	Intesa Sanpaolo		8,565,404	ITA
	858,363	Invesco, Ltd. (8)		26,935,431	BER
	319,800	Irish Life & Permanent PLC		5,521,926	IRE
	207,455	Julius Baer Holding, Ltd.		17,151,250	SWI
	253,800	Laurentian Bank of Canada		8,550,433	CDA
	2,574,600	Lloyds TSB Group PLC		24,189,994	BRI
	115,100	Macquarie Group, Ltd. (8)		7,701,043	AUS
	2,438,934	Man Group PLC		27,624,620	BRI
	74,000	Muenchener Rueckversicherungs-Gesellschaft AG		14,383,005	GER
	231,600	National Bank of Canada (8)		12,270,494	CDA
	109,277	National Bank of Greece SA		7,505,921	GRC
	255,700	Nomura Holdings, Inc.		4,337,390	JPN
	828,800	Nordea Bank AB		13,849,239	SWE
	132,700	Promise Company, Ltd. (8)		3,302,207	JPN
	600,986	Schroders PLC		15,576,122	BRI
	515,700	SNS Reaal		11,581,120	NET
	130,800	Societe Generale		18,918,991	FRA
	119,100	Sun Life Financial, Inc. (8)		6,722,793	CDA
	396,719	Suncorp-Metway, Ltd.		5,893,898	AUS
	228,878	Svenska Handelsbanken AB — Class A		7,330,385	SWE
	89,200	Swedbank AB — Class A		2,525,622	SWE
	98,300	Takefuji Corp.		2,388,976	JPN
	1,844,000	The Sumitomo Trust and Banking Company, Ltd.		12,346,704	JPN
	138,300	UBS AG		6,401,025	SWI

				548,629,105

See notes to financial statements.

179

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value		Country

		Common Stocks (continued)

		Broadcast Services/Media — 0.5%
	140,898	SES (FDR)	$	3,707,999	LUX
	143,800	Vivendi Universal SA		6,597,418	FRA

				10,305,417

		Business Services and Supplies — 0.4%
	1,117,000	Marubeni Corp.		7,928,935	JPN

		Chemicals — 1.2%
	6,140	Arkema*		403,426	FRA
	56,300	Ciba Specialty Chemicals AG		2,610,741	SWI
	264,800	Methanex Corp. (8)		7,394,384	CDA
	891,900	Mitsubishi Chemical Holdings Corp.		6,850,022	JPN
	171,800	Nova Chemicals Corp.		5,617,292	CDA
	597,500	Sumitomo Bakelite Company, Ltd.		3,610,191	JPN

				26,486,056

		Computer Equipment, Software and Services — 1.9%
	1,137,600	CGI Group, Inc. — Class A*		13,359,121	CDA
	761,273	Logitech International SA*		27,918,611	SWI
	66,900	Open Text Corp.* (8)		2,127,080	CDA

				43,404,812

		Construction Services and Supplies — 2.1%
	353,700	Barratt Developments PLC		3,207,063	BRI
	8,800	Cementos Portland Valderrivas SA		953,374	SPA
	1,093,000	China Communications Construction Company, Ltd. — Class H		2,866,577	CHN
	15,600	Ciments Francais SA		2,684,727	FRA
	119,800	Compagnie de Saint-Gobain		11,295,656	FRA
	8,656	Compagnie Generale de Geophysique Veritas (CGG — Veritas)*		2,467,823	FRA
	43,500	Lafarge SA		7,918,097	FRA
	140,339	Leighton Holdings, Ltd.		7,541,349	AUS
	91,000	Maeda Road Construction Company, Ltd.		729,857	JPN
	910,000	Sanwa Shutter Corp.		4,488,296	JPN
	897,035	Taylor Wimpey PLC		3,629,309	BRI

				47,782,128

		Consumer Goods and Services — 1.7%
	302,100	Electrolux AB — Series B		5,071,458	SWE
	2,191	Japan Tobacco, Inc.		13,101,088	JPN
	364,728	Reckitt Benckiser Group PLC		21,156,443	BRI

				39,328,989

		Diversified Operations and Services — 1.6%
	128,600	BASF AG		19,067,071	GER
	740,000	China Resources Enterprise, Ltd.		3,179,265	HNG
	330,000	Mitsubishi Corp.		9,039,073	JPN
	334,000	Sumitomo Corp.		4,744,734	JPN

				36,030,143

		Electronics — 2.0%
	211,071	Koninklijke (Royal) Philips Electronics NV		9,109,764	NET
	98,972	LG Electronics, Inc.		10,573,367	KOR
	263,900	Sony Corp.		14,646,018	JPN
	810,100	Toshiba Tec Corp.		5,474,874	JPN
	45,430	Yamada Denki Company, Ltd.		5,193,046	JPN

				44,997,069

		Energy Services — 3.0%
	1,866,877	Iberdrola Renovables*		15,421,491	SPA
	259,100	Suntech Power Holdings Company, Ltd. (ADR)* (8)		21,329,112	CAY
	297,700	Vestas Wind Systems A/S*		32,221,332	DEN

				68,971,935

		Food and Beverage — 2.8%
	102,334	East Asiatic Company, Ltd. (A/S Det Ostasiatiske Kompagni)		7,975,954	DEN
	107,200	Greene King PLC		1,707,139	BRI
	41,933	Nestle SA		19,259,957	SWI
	1,537,300	Northern Foods PLC		2,876,540	BRI
	389,900	Tate & Lyle PLC		3,453,800	BRI
	752,769	Unilever NV — CVA		27,679,736	NET

				62,953,126

		Insurance — 4.0%
	441,800	Aviva PLC		5,918,679	BRI
	1,939,300	Friends Provident PLC		6,307,846	BRI
	564,500	ING Groep NV		22,077,502	NET
	1,003,300	Milano Assicurazioni SpA		7,847,780	ITA
	1,472,000	Old Mutual PLC		4,910,954	BRI
	5,458,900	Royal & Sun Alliance Insurance Group PLC		16,104,132	BRI
	265,616	SCOR SE		6,796,018	FRA
	94,700	Swiss Re		6,729,334	SWI
	47,900	Zurich Financial Services AG		14,067,703	SWI

				90,759,948

		Internet Services — 0.3%
	1,911,800	Alibaba.com, Ltd.*		6,779,346	HNG

		Leisure and Recreation — 0.6%
	198,900	Sankyo Company, Ltd.		9,240,398	JPN
	165,400	TUI AG*		4,626,075	GER

				13,866,473

		Machinery — 0.3%
	15,900	Rieter Holding AG		7,022,038	SWI

See notes to financial statements.

180

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value		Country

		Common Stocks (continued)

		Manufacturing — 2.0%
	121,979	Alstom	$	26,215,892	FRA
	905,602	Hansen Transmissions*		5,191,751	BEL
	704,000	Kurabo Industries, Ltd.		1,581,739	JPN
	51,182	Siemens AG		8,146,064	GER
	1,155,936	Tomkins PLC		4,067,028	BRI

				45,202,474

		Medical Equipment, Supplies, and Services — 1.1%
	229,903	Sonova Holding AG		25,972,348	SWI

		Metals and Mining — 3.7%
	751,300	BlueScope Steel, Ltd.		6,365,902	AUS
	156,200	Companhia Vale do Rio Doce (ADR) (8)		5,103,054	BRA
	1,381,200	Minara Resources, Ltd. (8)		7,555,511	AUS
	37,300	Norddeutsche Affinerie AG		1,454,434	GER
	141,900	Rautaruukki Oyj		6,151,334	FIN
	30,100	Salzgitter AG		4,490,986	GER
	308,300	Sims Group, Ltd. (8)		7,268,371	AUS
	341,100	ThyssenKrupp AG		19,125,347	GER
	6,788	Vallourec SA		1,837,502	FRA
	127,800	voestalpine AG		9,239,732	AST
	221,899	Xstrata PLC		15,680,781	BRI

				84,272,954

		Office Equipment, Supplies, and Services — 0.6%
	95,000	Brother Industries, Ltd.		1,227,096	JPN
	193,900	Oce NV		3,509,625	NET
	341,000	Ricoh Company, Ltd.		6,303,227	JPN
	3,314,500	TPV Technology, Ltd.		2,405,939	HNG

				13,445,887

		Oil, Coal and Gas — 9.4%
	1,487,200	BP PLC		18,206,585	BRI
	2,028,200	Cosmo Oil Company, Ltd.		7,625,153	JPN
	134,000	EnCana Corp.		9,164,598	CDA
	918,800	Eni SpA		33,650,455	ITA
	987,100	Nippon Oil Corp.		8,031,812	JPN
	174,800	Norsk Hydro ASA		2,498,132	NOR
	320,100	Oao Gazprom — (ADR)		17,925,600	SUR
	72,300	Petroleo Brasileiro SA — Petrobras (ADR)		8,331,852	BRA
	287,000	Repsol YPF SA		10,230,052	SPA
	1,290,100	Royal Dutch Shell PLC — Class B		53,672,727	BRI
	277,700	Seadrill, Ltd.*		6,776,476	BER
	474,400	Showa Shell Sekiyu KK		5,265,685	JPN
	150,712	StatoilHydro ASA		4,690,798	NOR
	52,300	Suncor Energy, Inc.		5,718,317	CDA
	245,600	Total SA		20,406,487	FRA

				212,194,729

		Paper and Forest Products — 0.0%
	228,000	Oji Paper Company, Ltd.		1,120,458	JPN

		Pharmaceuticals/Research and Development — 3.9%
	310,500	AstraZeneca PLC		13,375,279	BRI
	338,900	Biovail Corp.		4,587,572	CDA
	249,912	CSL, Ltd.		7,978,665	AUS
	680,800	Elan Corp. PLC (ADR)* (8)		14,963,984	IRE
	285,300	GlaxoSmithKline PLC		7,263,674	BRI
	387,006	Sanofi-Aventis		35,640,782	FRA
	476,000	Tanabe Seiyaku Company, Ltd.		4,512,232	JPN

				88,322,188

		Printing and Publishing — 0.2%
	505,300	Quebecor World, Inc.* (8)		906,207	CDA
	439,000	Toppan Printing Company, Ltd.		4,318,677	JPN

				5,224,884

		Real Estate Development and Services — 0.3%
	323,000	Sun Hung Kai Properties, Ltd.		6,859,825	HNG

		Retail — 2.4%
	1,044,493	Arcandor AG* (8)		24,800,119	GER
	3,328,033	Carphone Warehouse PLC		22,822,376	BRI
	1,912,500	Dixons Group PLC		3,778,470	BRI
	590,900	JJB Sports PLC		1,452,663	BRI
	10,300	Valora Holding AG		2,499,603	SWI

				55,353,231

		Retail: Restaurants — 0.1%
	112,200	Plenus Company, Ltd. (8)		1,570,790	JPN

		Retail: Supermarkets — 1.9%
	4,530,287	Tesco PLC		43,038,354	BRI

		Semiconductors — 1.4%
	3,834,701	ARM Holdings PLC		9,465,361	BRI
	718,343	ASML Holding NV		22,748,488	NET

				32,213,849

		Telecommunications Equipment and Services — 9.2%
	3,064,800	BT Group PLC		16,639,907	BRI
	159,600	Elcoteq Network Corp. — Class A		947,373	FIN
	441,438	France Telecom SA		15,889,857	FRA
	208,200	Millicom International Cellular SA* (8)		24,555,108	LUX
	1,588,500	MobileOne, Ltd.		2,096,738	SIN
	3,200	Nippon Telegraph and Telephone Corp.		16,012,174	JPN
	1,059,565	Nokia Oyj		41,083,114	FIN
	9,500	NTT DoCoMo, Inc.		15,817,034	JPN
	202,800	Orascom Telecom Holding SAE (GDR)		16,224,000	EGP
	59,400	Research In Motion, Ltd.*		6,735,960	CDA
	17,000	Swisscom AG		6,636,930	SWI
	837,506	Telefonica SA		27,207,849	SPA

See notes to financial statements.

181

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


Shares			Value			Country

		Common Stocks (continued)
		Telecommunications Equipment and Services (continued)
	318,100	Turkcell Iletisim Hizmetleri AS (ADR)	$	8,770,017		TUR
	1,646,500	Vodafone Group PLC		6,155,188		BRI
	395,600	VTech Holdings, Ltd.		2,841,152		BER

				207,612,401

		Toys — 0.6%
	23,700	Nintendo Company, Ltd.		14,192,633		JPN

		Transportation — 0.8%
	2,535,000	Neptune Orient Lines, Ltd.		6,885,859		SIN
	1,367,100	Orient Overseas International, Ltd.		10,116,407		BER

				17,002,266

		Utilities — 2.1%
	95,900	ATCO, Ltd. — Class I		5,364,648		CDA
	97,400	Hokkaido Electric Power Company, Inc.		2,109,905		JPN
	57,100	Kyushu Electric Power Company, Inc.		1,405,586		JPN
	421,066	Veolia Environment		38,445,440		FRA

				47,325,579

		Total Common Stocks (Cost $1,844,885,583)		2,234,296,543

Principal

		Securities Lending Collateral — 6.7%
$	150,909,501	Securities Lending Collateral Investment (Note 4) (Cost $150,909,501)		150,909,501		USA

		Total Securities (Cost $1,995,795,084)		2,385,206,044

		Repurchase Agreements — 1.0%
	21,533,562	With State Street Bank and Trust, dated 12/31/07, 3.80%, due 01/02/08, repurchase proceeds at maturity $21,538,108 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.75%-4.28%, due 06/01/33-07/01/33, with a total value of $21,966,788) (Cost $21,533,562)		21,533,562		USA

		Total Investments — 106.3% (Cost $2,017,328,646)		2,406,739,606
		Liabilities less other assets — (6.3)%		(142,678,092	)

		Net Assets — 100.0%	$	2,264,061,514

The aggregate cost of securities for federal income tax purposes at December 31, 2007 is $2,021,766,887.

The following amounts are based on cost for federal income tax purposes:


Gross unrealized appreciation	$	456,986,645
Gross unrealized depreciation		(72,013,926	)

Net unrealized appreciation	$	384,972,719

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

182

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

December 31, 2007


	Percent of Total
Country Composition	Investments at Value

Australia (AUS)		3.46	%
Austria (AST)		0.38
Belgium (BEL)		0.71
Bermuda (BER)		2.04
Brazil (BRA)		0.89
Canada (CDA)		5.30
Cayman Islands (CAY)		1.40
China (CHN)		0.12
Denmark (DEN)		1.97
Egypt (EGP)		0.67
Finland (FIN)		2.00
France (FRA)		10.40
Germany (GER)		7.61
Greece (GRC)		0.60
Hong Kong (HNG)		0.70
Ireland (IRE)		1.41
Italy (ITA)		2.40
Japan (JPN)		12.02
Luxembourg (LUX)		1.17
Norway (NOR)		0.67
Portugal (POR)		0.29
Russia (SUR)		0.74
Singapore (SIN)		0.55
South Korea (KOR)		0.44
Spain (SPA)		4.26
Sweden (SWE)		1.20
Switzerland (SWI)		7.47
Turkey (TUR)		0.36
The Netherlands (NET)		4.02
United Kingdom (BRI)		17.58
United States (USA)		7.17

Total Percentage		100.00	%

See notes to financial statements.

183

DIVERSIFIED INVESTORS PORTFOLIOS
PORTFOLIO OF INVESTMENTS

SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS

December 31, 2007


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 December 31, 2007.
2)		Quarterly reset provision. The rate shown was in effect at December 31, 2007.
3)		Monthly reset provision. The rate shown was in effect at December 31, 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 and/or for swaptions.
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 December 31, 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 December 31, 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 December 31, 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 December 31, 2007.


Series	Market Value		Percentage
High Yield Bond	$	6,519,188		1.21	%


15)		A portion of the market value of the repurchase agreement represents the investment of the $3,800,000 cash received as collateral for open swap contracts.
16)		Principal amount for this security is denominated in Euros.
17)		Principal amount for this security is denominated in Japanese Yen.
18)		Principal amount for this security is denominated in New Zealand Dollars.


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.

184

DIVERSIFIED INVESTORS PORTFOLIOS

PORTFOLIO COMPOSITION

December 31, 2007

The following charts summarize the portfolio composition of each Series by asset type.


Money Market Series
Yankee Certificates of Deposit	38.0	%
Repurchase Agreements/Cash Equivalents	15.7
US Government Agency Securities	14.4
Corporate Notes	13.7
Commercial Paper	11.9
Domestic Certificates of Deposit	4.2
Time Deposit	1.6
Other assets less liabilities	0.5

	100.0	%

High Quality Bond Series
Corporate Bonds and Notes	58.8	%
US Treasury Securities	17.7
US Government Agency Securities	16.7
Securities Lending Collateral	9.8
Short Term US Government Agency Securities	3.0
Repurchase Agreements/Cash Equivalents	1.7
Municipal Bonds	0.8
Foreign Government Obligations	0.5
Liabilities less other assets	(9.0	)

	100.0	%

Inflation-Protected Securities Series (1)
US Treasury Securities	91.3	%
Securities Lending Collateral	10.2
Repurchase Agreements/Cash Equivalents	4.3
Corporate Bonds and Notes	3.3
Liabilities less other assets	(9.1	)

	100.0	%

Core Bond Series
Corporate Bonds and Notes	50.6	%
US Government Agency Securities	43.0
US Treasury Securities	3.7
Preferred Stocks	2.4
Repurchase Agreements/Cash Equivalents	1.7
Foreign Government Obligations	1.2
Securities Lending Collateral	0.9
Purchased Call Options	0.4
Purchased Put Options	0.1
Call Options Written	(0.0	)*
Securities Sold Short	(7.5	)
Other assets less liabilities	3.5

	100.0	%

Total Return Bond Series
Corporate Bonds and Notes	50.0	%
US Government Agency Securities	47.8
US Treasury Securities	14.8
Repurchase Agreement/Cash Equivalents	11.2
Securities Lending Collateral	6.2
Preferred Stocks	0.6
Foreign Government Obligations	0.4
Municipal Bonds	0.2
Convertible Bonds	0.0	*
Put Options Written	(0.0	)*
Call Options Written	(0.1	)
Liabilities less other assets	(31.1	)

	100.0	%

High Yield Bond Series
Corporate Bonds and Notes	80.0	%
Loan Participations	11.5
Repurchase Agreements/Cash Equivalents	5.1
Convertible Preferred Stocks	0.8
Preferred Stocks	0.5
Convertible Bonds	0.3
Common Stocks	0.2
Warrants	0.1
Other assets less liabilities	1.5

	100.0	%

Balanced Series
Common Stocks	60.2	%
Corporate Bonds and Notes	23.7
US Government Agency Securities	21.6
Securities Lending Collateral	3.7
US Treasury Securities	0.5
Municipal Bonds	0.4
Repurchase Agreements/Cash Equivalents	0.3
Preferred Stocks	0.2
Foreign Government Obligations	0.2
Convertible Bonds	0.0	*
Put Options Written	(0.0	)*
Call Options Written	(0.0	)*
Liabilities less other assets	(10.8	)

	100.0	%

See notes to financial statements.

185

DIVERSIFIED INVESTORS PORTFOLIOS
PORTFOLIO COMPOSITION (Continued)

December 31, 2007


Value & Income Series
Common Stocks	99.1	%
Securities Lending Collateral	6.5
Repurchase Agreements/Cash Equivalents	2.1
Liabilities less other assets	(7.7	)

	100.0	%

Value Series
Common Stocks	95.5	%
Securities Lending Collateral	6.0
Repurchase Agreements/Cash Equivalents	4.7
Liabilities less other assets	(6.2	)

	100.0	%

Growth & Income Series
Common Stocks	99.2	%
Securities Lending Collateral	5.5
Repurchase Agreements/Cash Equivalents	0.8
Liabilities less other assets	(5.5	)

	100.0	%

Equity Growth Series
Common Stocks	96.4	%
Securities Lending Collateral	4.4
Repurchase Agreements/Cash Equivalents	3.0
Liabilities less other assets	(3.8	)

	100.0	%

Aggressive Equity Series
Common Stocks	99.3	%
Securities Lending Collateral	7.4
Repurchase Agreements/Cash Equivalents	1.0
Liabilities less other assets	(7.7	)

	100.0	%

Mid-Cap Value Series
Common Stocks	96.9	%
Securities Lending Collateral	13.7
Repurchase Agreements/Cash Equivalents	3.1
Short Term US Government Agency Securities	0.6
Convertible Bonds	0.0	*
Liabilities less other assets	(14.3	)

	100.0	%

Mid-Cap Growth Series
Common Stocks	99.1	%
Securities Lending Collateral	13.7
Repurchase Agreements/Cash Equivalents	1.1
Liabilities less other assets	(13.9	)

	100.0	%

Small-Cap Value Series
Common Stocks	98.0	%
Securities Lending Collateral	22.6
Repurchase Agreements/Cash Equivalents	1.9
Liabilities less other assets	(22.5	)

	100.0	%

Special Equity Series
Common Stocks	97.0	%
Securities Lending Collateral	23.7
Repurchase Agreements/Cash Equivalents	3.2
Short Term US Treasury Securities	0.1
Liabilities less other assets	(24.0	)

	100.0	%

Small-Cap Growth Series
Common Stocks	98.6	%
Securities Lending Collateral	19.2
Repurchase Agreements/Cash Equivalents	2.0
Liabilities less other assets	(19.8	)

	100.0	%

International Equity Series
Common Stocks	98.6	%
Securities Lending Collateral	6.7
Repurchase Agreements/Cash Equivalents	1.0
Liabilities less other assets	(6.3	)

	100.0	%


(1)	Formerly, Intermediate Government Bond Series.

*	Amount rounds to less than 0.05%.

See notes to financial statements.

186

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS

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 Series 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 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 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.

187

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

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. Swap agreements are normally valued in the basis of broker quotes. 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

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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 December 31, 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 8.

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 settled for cash and subject the Series to unknown risk of loss. The Series, however, are not subject to credit risk

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2. Significant Accounting Policies (continued)

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 year ended December 31, 2007 were as follows:


	Inflation-Protected
	Securities						Core Bond
	Number of						Number of
	Contracts			Premiums			Contracts			Premiums

Written call options outstanding at December 31, 2006		—		$	—			34,200,000		$	229,140
Call options written		16			10,035			217			123,969
Call options terminated in closing purchase transactions		(16	)		(10,035	)		(34,200,000	)		(229,140	)
Call options expire		—			—			—			—

Written call options outstanding at December 31, 2007		—		$	—			217		$	123,969

Written put options outstanding at December 31, 2006		—		$	—			34,200,000		$	372,780
Put options written		16			7,955			—			—
Put options terminated in closing purchase transactions		(16	)		(7,955	)		(34,200,000	)		(372,780	)
Put options expired		—			—			—			—

Written put options outstanding at December 31, 2007		—		$	—			—		$	—


	Total Return
	Bond						Balanced
	Number of						Number of
	Contracts			Premiums			Contracts			Premiums

Written call options outstanding at December 31, 2006		26		$	6,964			42		$	11,337
Call options written		473			239,229			260			124,950
Call options terminated in closing purchase transactions		(358	)		(144,460	)		(246	)		(96,098	)
Call options expire		—			—			—			—

Written call options outstanding at December 31, 2007		141		$	101,733			56		$	40,189

Written put options outstanding at December 31, 2006		51		$	15,432			82		$	24,809
Put options written		593			295,645			286			129,320
Put options terminated in closing purchase transactions		(526	)		(214,542	)		(325	)		(118,875	)
Put options expire		—			—			—			—

Written put options outstanding at December 31, 2007		118		$	96,535			43		$	35,254

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.

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DIVERSIFIED INVESTORS PORTFOLIOS
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2. Significant Accounting Policies (continued)

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.

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 December 31, 2007:


				Value as of		Net Unrealized
	Number of		Expiration	December 31,		Appreciation/
Series	Contracts	Description	Date	2007		(Depreciation)

Inflation-Protected Securities	9 Long	90 Day Euro Future	September 2008	$	2,171,475	$	1,611
	9 Long	US Long Bond Future	March 2008		1,047,375		7,108
	53 Long	US Treasury Note 2 Year Future	March 2008		11,143,250		10,283
	27 Long	US Treasury Note 5 Year Future	March 2008		2,977,593		19,588
	9 Short	90 Day Euro Future	September 2009		2,167,875		(729	)
	53 Short	US Treasury Note 10 Year Future	March 2008		6,009,703		2,149

						$	40,010

Core Bond	324 Long	90 Day Euro Future	September 2008	$	78,173,100	$	25,244
	174 Long	Euribor Future	March 2008		60,718,132		(57,244	)
	179 Long	Euro Bobl Future	March 2008		28,248,648		(412,551	)
	348 Long	Euro Bund Future	March 2008		57,549,622		(1,291,444	)
	1,842 Long	US Treasury Note 10 Year Future	March 2008		208,865,531		358,692
	324 Short	90 Day Euro Future	September 2009		78,043,500		(196	)
	285 Short	US Long Bond Future	March 2008		33,166,875		(59,634	)
	3,888 Short	US Treasury Note 5 Year Future	March 2008		428,773,500		(1,522,289	)

						$	(2,959,422	)

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DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

2. Significant Accounting Policies (continued)


				Value as of		Net Unrealized
	Number of		Expiration	December 31,		Appreciation/
Series	Contracts	Description	Date	2007		(Depreciation)

Total Return Bond	44 Long	90 Day Euro Future	March 2008	$	10,534,150	$	16,830
	32 Long	90 Day Euro Future	June 2008		7,700,400		123,040
	72 Long	90 Day Euro Future	September 2008		17,371,800		21,940
	94 Long	Euribor Future	June 2008		32,836,108		(81,886	)
	144 Long	Euro Bund Future	March 2008		23,813,636		(479,796	)
	133 Long	US Long Bond Future	March 2008		15,477,875		(158,438	)
	103 Long	US Treasury Note 5 Year Future	March 2008		11,358,969		61,313
	11 Short	US Treasury Note 2 Year Future	March 2008		2,312,750		(5,555	)
	371 Short	US Treasury Note 10 Year Future	March 2008		42,067,922		8,809

						$	(493,743	)

Balanced	21 Long	90 Day Euro Future	March 2008	$	5,027,663	$	7,045
	33 Long	90 Day Euro Future	June 2008		11,527,570		(28,746	)
	23 Long	90 Day Euro Future	June 2008		5,534,663		71,635
	29 Long	90 Day Euro Future	September 2008		6,996,975		10,443
	5 Long	90 Day Euro Future	December 2008		1,207,875		4,100
	5 Long	90 Day Euro Future	March 2009		1,207,875		4,850
	5 Long	90 Day Euro Future	June 2009		1,206,375		4,975
	5 Long	90 Day Euro Future	September 2009		1,204,375		4,663
	58 Long	Euro Bund Future	March 2008		9,591,604		(193,310	)
	55 Long	US Long Bond Future	March 2008		6,400,625		(54,658	)
	11 Long	US Treasury Note 2 Year Future	March 2008		2,312,750		382
	62 Short	US Treasury Note 5 Year Future	March 2008		6,837,437		(13,654	)
	140 Short	US Treasury Note 10 Year Future	March 2008		15,874,688		8,456

						$	(173,819	)

Growth & Income	1 Long	NASDAQ 100 Future	March 2008	$	210,475	$	(2,429	)
	4 Long	S&P 500 Future	March 2008		1,477,200		(12,365	)

						$	(14,794	)

Special Equity	9 Long	Russell 2000 Future	March 2008	$	3,474,900	$	84,130

The Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced Series, Growth & Income 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. In addition, the Total Return Bond Series has segregated $2,055,237 of cash, and the Balanced Series has segregated $1,587,089 of cash as collateral for their respective open futures contracts.

G. Swap Agreements:

Each Series, with the exception of the Money Market Series, may engage in various swap transactions, including interest rate, currency exchange rate, equity index, credit default and total return swap agreements, for hedging purposes, or as alternatives to direct investments.

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DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

2. Significant Accounting Policies (continued)

An interest rate swap involves a Series and another party, and each agrees to exchange interest earned with respect to a notional amount of principal. An interest rate swap typically involves the exchange of a fixed rate payment for a floating rate payment. A currency rate swap involves two parties who agree to sell each other a foreign currency, and commit to exchanging the principal amount at a specified future date. An equity index swap represents an exchange of cash flow streams, one typically based on a reference interest rate; the other on the performance of a stock or stock market index. A credit default swap involves the payment of a premium by a buyer for protection against a specified credit risk or event, such as a default. Should a default occur, the protection seller can either accept delivery of the defaulted security or pay the buyer a cash settlement. If a Series is a protection buyer and no event occurs, the Series may receive or recover nothing. If a Series is a protection seller, it will receive premium payments (if there is no event) and generally receives an upfront payment as well. A Series will only enter into credit default swaps with parties that meet certain levels of creditworthiness as assessed by the subadvisor. In a total return swap, one party receives interest payments on a referenced asset or index plus any capital gains and losses over the payment period, while the other receives a specified cash flow based on the same notional amount.

Swaps can expose a Series to credit or market risk due to unfavorable changes in interest rates or a change in value of underlying securities or indices. In addition, there is a possibility that there will not be a liquid market for the agreements, or that a counterparty may default on its obligation.

Premiums paid or received by a Series are recorded as unrealized appreciation/(depreciation) in the Statement of Operations. Contracts are marked-to-market daily based on valuations supplied by a dealer or broker. Changes in value, including accruals of periodic amounts of interest to be paid or received on swaps, are reported as unrealized appreciation/(depreciation). A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of the swap agreements. 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.

From time to time, a Series will receive cash as collateral pledged for various swap agreements from brokers. Upon receipt of the cash, the Series will, in turn, invest the collateral proceeds in short-term, highly liquid investments. At December 31, 2007, this amount had reached a cumulative total of $3,800,000 in the Core Bond Series. This cash collateral was invested in the repurchase agreement for the Core Bond Series.

During the year ended December 31, 2007, the Core Bond Series entered into swap agreements. The Core Bond Series entered into interest rate, credit default, and total return swaps.

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NOTES TO FINANCIAL STATEMENTS (Continued)

2. Significant Accounting Policies (continued)

Outstanding swap agreements as of December 31, 2007:

Core Bond Series

Interest Rate Swaps:

Payments Made by

Payments Received

Termination

Swap Counterparty

the Series

by the Series

Date

Notional Amount

Value

Citigroup Global Markets

3 month LIBOR

5.53% semi-annual

06/05/17

17,800,000

1,216,808

Citigroup Global Markets

3 month LIBOR

5.27% semi-annual

08/06/12

74,800,000

4,577,760

Citigroup Global Markets

3 month LIBOR

5.32% semi-annual

08/28/17

69,000,000

4,561,590

Citigroup Global Markets

5.64% semi-annual

3 month LIBOR

07/05/17

38,000,000

(3,513,959

)

Citigroup Global Markets

3 month LIBOR

5.18% semi-annual

09/18/10

100,000,000

4,579,000

Citigroup Global Markets

3 month LIBOR

5.16% semi-annual

11/07/10

66,900,000

2,289,318

Citigroup Global Markets

3 month LIBOR

4.95% semi-annual

12/12/11

23,600,000

754,256

Citigroup Global Markets

3 month LIBOR

5.31% semi-annual

10/16/17

133,900,000

(6,817,023

)

Deutsche Bank AG

3 month STIBOR

4.49% semi-annual

08/28/10

332,900,000

(1)

302,801

Deutsche Bank AG

5.78% semi-annual

3 month LIBOR

07/09/17

73,200,000

(7,560,681

)

Deutsche Bank AG

4.98% semi-annual

3 month LIBOR

08/29/10

49,919,000

(1,996,261

)

Deutsche Bank AG

3 month LIBOR

4.86% semi-annual

10/19/12

56,000,000

1,609,356

Deutsche Bank AG

3 month LIBOR

4.03% semi-annual

12/11/09

89,100,000

222,420

Goldman Sachs Capital Markets, LP

5.07% semi-annual

3 month LIBOR

04/30/09

63,300,000

(922,281

)

Goldman Sachs Capital Markets, LP

3 month LIBOR

5.41% semi-annual

04/30/27

8,300,000

464,151

Goldman Sachs Capital Markets, LP

3 month LIBOR

5.50% semi-annual

07/12/12

220,000,000

15,578,200

Goldman Sachs Capital Markets, LP

3 month LIBOR

4.11% semi-annual

12/12/09

69,500,000

285,645

Wachovia Securities

3 month LIBOR

5.20% semi-annual

09/07/11

100,000,000

5,300,000

20,931,100

Total Return Swaps:

Payments

Referenced

Made by the

Received by

Termination

Notional

Swap Counterparty

Obligation

Series

the Series

Date

Amount

Value

Citigroup Global Markets

Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index

1.33% monthly

Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index + 70 bps.

02/01/08

25,965,000

477,683

Deutsche Bank AG

Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index

1.11% monthly

Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index + 73.1bps.

02/01/08

25,965,000

477,683

955,366

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DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

2. Significant Accounting Policies (continued)

Credit Default Swaps:

Payments

Referenced

Receivable by

Termination

Notional

Swap Counterparty

Obligation

the Series

Date

Amount

Value

Deutsche Bank AG

Lehman Brothers Holdings, Inc., 6.63%, 01/18/12

1.12% annual

09/20/12

5,725,000

(25,992

)

Deutsche Bank AG

Lehman Brothers Holdings, Inc., 6.63%, 01/18/12

0.95% annual

09/20/12

2,010,000

(23,356

)

Goldman Sachs Capital Markets, LP

Lehman Brothers Holdings, Inc., 6.63%, 01/18/12

1.20% annual

09/20/12

3,755,000

(4,581

)

(53,929

)

Payments

Referenced

Payable by

Termination

Notional

Swap Counterparty

Obligation

the Series

Date

Amount

Value

Deutsche Bank AG

iTraxx Europe
Crossover Series 8,
Version 1(3)

3.75% annual

12/20/12

23,000,000

(2)

(524,942

)


(1)	Notional amount expressed in Swedish Krona.

(2) Notional amount expressed in Euros.

(3) Premium received $345,011.

LIBOR—London Interbank Offered Rate.

STIBOR—Stockholm Interbank Offered Rate.

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 accounts for such dollar rolls as purchases and sales and receives 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.

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DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

2. Significant Accounting Policies (continued)

The Core Bond Series, Total Return Bond Series, and Balanced Series had TBA dollar rolls outstanding as of December 31, 2007, which are included in receivable for securities sold and payable for securities purchased on the Statement of Assets and Liabilities.

J. Loan Participations/Assignments:

Each Series, with the exception of the Money Market Series, may purchase participations/assignments in commercial loans. Such indebtedness may be secured or unsecured. These investments may include standby financing commitments, including revolving credit facilities that obligate the Series to supply additional cash to the borrowers on demand. Loan participations/assignments involve risks of insolvency of the lending banks or other financial intermediaries. As such, the Series assume the credit risks associated with the corporate borrowers and may assume the credit risks associated with the interposed banks or other financial intermediaries. The Series may be contractually obligated to receive approval from the agent banks and/or borrowers prior to the sale of these investments. Loan participations typically represent direct participation in loans to corporate borrowers, and generally are offered by banks or other financial institutions or lending syndicates. The Series may participate in such syndications, or can buy a portion of the loans, becoming part lenders. Loans are often administered by agent banks acting as agents for all holders. The agent banks administer the terms of the loans, as specified in the loan agreements. In addition, the agent banks are normally responsible for the collection of principal and interest payments from the corporate borrowers and the apportionment of these payments to the credit of all institutions that are parties to the loan agreements. Unless, under the terms of the loans or other indebtedness, a Series has direct recourse against the corporate borrowers, the Series may have to rely on the agent banks or other financial intermediaries to apply appropriate credit remedies against corporate borrowers.

• Unfunded Commitments:

At December 31, 2007, the High Yield Bond Series had the following unfunded loan commitment which could be extended at the option of the borrower:


Security Description	Amount

Community Health Systems, Inc.	$	56,922

K. 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.

L. 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.

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DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

2. Significant Accounting Policies (continued)

M. 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.

N. 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.

O. Other:

P. 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 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

Q. 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.

Implementation of FIN 48 requires management of the Series Portfolio to analyze all open tax years, as defined by the Statute of Limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by taxing authorities (i.e. the last 4 tax year ends and the interim tax period since then). No Series has any examination in progress and none are expected at this time.

197

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

2. Significant Accounting Policies (continued)

As of December 31, 2007, management of the Series Portfolio have reviewed all open tax years and major jurisdictions and concluded the adoption of FIN 48 resulted in no impact to any of the Series, net assets or results of operations. There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. Management of the Series Portfolio is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

In September 2006, FASB issued its new Standard No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 is designed to unify guidance for the measurement of fair value of all types of assets, including financial instruments, and certain liabilities, throughout a number of accounting standards. FAS 157 also establishes a hierarchy for measuring fair value in generally accepted accounting principals and expands financial statement disclosures about fair value measurements that are relevant to mutual funds. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15 2007, and earlier application is permitted.

As of December 31, 2007, management of the Series Portfolio does not expect the adoption of FAS 157 to impact the amounts reported in the financial statements, however, additional disclosures will be required about the inputs used to develop the measurements of fair value and the effect of certain measurements reported in the statement of operations for a fiscal period.

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 Transamerica Asset Management, Inc. (the “Advisor”/“TAM”). TAM is an indirect, 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, 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		6.63	%
High Quality Bond		9.82
Inflation-Protected Securities		27.57
Core Bond		7.76
High Yield Bond		5.67
Balanced		31.21
Value & Income		18.31
Growth & Income		25.16
Equity Growth		15.71
Aggressive Equity		25.16
Mid-Cap Value		3.84
Mid-Cap Growth		0.55
Small-Cap Value		0.18
Special Equity		24.44
Small-Cap Growth		0.03
International Equity		11.99

The holders of each Series approved a new Investment Advisory Agreement between the Series Portfolio and the Advisor, which became effective on November 1, 2007. Prior to that date, the Advisor’s affiliate, Diversified Investment Advisors, Inc., served as the advisor to the Series Portfolio.

198

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

3. Fees and Transactions with Affiliates (continued)

The Advisor manages the assets of each Series of the Series Portfolio pursuant to the 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. The investment advisory fees payable by the Series Portfolio under the new Investment Advisory Agreement did not change from the fees payable under the previous Investment Advisory Agreement with Diversified Investment Advisors.

For each Series, the Advisor or its predecessor 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.


		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	(1)
	AllianceBernstein, LP
Value	Hotchkis and Wiley Capital Management, LLC		0.50	(1)
Growth & Income	BlackRock Financial Management, Inc.		0.60	(1)
	Goldman, Sachs Asset Management, LP
	Aronson+Johnson+Ortiz, LP
Equity Growth	OFI Institutional Asset Management, Inc.		0.62	(1)
	Wellington Management Company, LLP
	Marsico Capital Management, LLC
Aggressive Equity	Turner Investment Partners, Inc.		0.77	(1)
Mid-Cap Value	Cramer Rosenthal McGlynn, LLC (CRM)		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		0.80	(1)
	INVESCO Institutional (NA), Inc.
	Wellington Management Company, LLP
	RS Investment Management Company, LLC
Small-Cap Growth	Perimeter Capital Management		0.87	(1)
International Equity	LSV Asset Management		0.75	(1)
	Wellington Management Company, LLP


(1)	Advisor is currently voluntarily waiving a portion of its fee.

199

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

3. Fees and Transactions with Affiliates (continued)

For the year ended December 31, 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 year ended December 31, 2007 amounted to $309,118.

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.

200

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

4. Securities Lending (continued)

At December 31, 2007, the Series loaned securities having market values as follows:


	Market		Cash Collateral
Series	Value		Received

High Quality Bond	$	80,092,350	$	81,761,901
Inflation-Protected Securities		14,835,045		15,142,100
Core Bond		20,076,444		20,483,129
Total Return Bond		23,638,667		24,138,321
Balanced		11,325,796		11,679,276
Value & Income		192,415,438		206,427,670
Value		8,013,400		8,440,760
Growth & Income		47,886,255		49,509,121
Equity Growth		103,223,785		106,513,377
Aggressive Equity		30,939,438		31,770,694
Mid-Cap Value		129,930,675		135,672,142
Mid-Cap Growth		44,940,888		46,035,620
Small-Cap Value		39,841,295		41,860,487
Special Equity		216,165,314		225,270,316
Small-Cap Growth		30,821,262		32,007,250
International Equity		144,064,880		150,909,501

201

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

4. Securities Lending (continued)

Each Series has invested the cash collateral received from securities loaned in the following short term securities:


	High		Inflation-				Total
	Quality		Protected		Core		Return				Value &
	Bond		Securities		Bond		Bond		Balanced		Income		Value

Abbey National PLC, Time Deposit, 5.16%, 01/07/08	$	2,409,578	$	446,249	$	603,650	$	711,373	$	344,197	$	6,083,561	$	248,755
Abbey National PLC, Time Deposit, 5.00%, 01/09/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
ABN Amro Bank NV — New York Branch, Time Deposit, 5.15%, 01/03/08		1,376,901		254,999		344,944		406,498		196,683		3,476,321		142,146
ABN Amro Bank NV — New York Branch, Time Deposit, 5.16%, 01/04/08		1,376,901		254,999		344,944		406,498		196,683		3,476,321		142,146
ABN Amro Bank NV — New York Branch, Time Deposit, 5.19%, 01/04/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
Bank of Nova Scotia, Time Deposit, 5.15%, 01/03/08		688,451		127,499		172,472		203,249		98,342		1,738,160		71,073
Bank of Nova Scotia, Time Deposit, 4.96%, 01/17/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
Bank of Nova Scotia, Time Deposit, 4.85%, 01/22/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
Barclays Bank PLC, Time Deposit, 5.35%, 01/04/08		1,376,901		254,999		344,944		406,498		196,683		3,476,321		142,146
Barclays Bank PLC, Time Deposit, 5.00%, 01/22/08		688,451		127,499		172,472		203,249		98,342		1,738,160		71,073
Barclays Bank PLC, Time Deposit, 4.88%, 02/06/08		2,065,352		382,498		517,415		609,748		295,025		5,214,481		213,218
Barclays Bank PLC, Time Deposit, 5.15%, 02/12/08		688,451		127,499		172,472		203,249		98,342		1,738,160		71,073
BNP Paribas, Time Deposit, 5.15%, 01/02/08		1,032,676		191,249		258,708		304,874		147,513		2,607,240		106,609
BNP Paribas, Time Deposit, 5.20%, 01/11/08		2,065,352		382,498		517,415		609,748		295,025		5,214,481		213,218
BNP Paribas, Time Deposit, 5.01%, 01/16/08		1,376,901		254,999		344,944		406,498		196,683		3,476,321		142,146
Calyon, Time Deposit, 4.25%, 01/02/08		8,605,634		1,593,743		2,155,897		2,540,616		1,229,272		21,727,003		888,410
Calyon, Time Deposit, 5.12%, 03/03/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
Dexia SA, Time Deposit, 4.76%, 01/03/08		1,032,676		191,249		258,708		304,874		147,513		2,607,240		106,609
Dexia SA, Time Deposit, 4.82%, 01/04/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
Fifth Third Bancorp, Time Deposit, 2.75%, 01/02/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
Fortis Bank SA NV, Time Deposit, 4.30%, 01/02/08		3,442,254		637,497		862,359		1,016,247		491,709		8,690,801		355,364
Fortis Bank SA NV, Time Deposit, 4.60%, 01/07/08		3,442,254		637,497		862,359		1,016,247		491,709		8,690,801		355,364
HBOS Halifax Bank of Scotland, Time Deposit, 5.15%, 01/02/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
HBOS Halifax Bank of Scotland, Time Deposit, 4.87%, 02/11/08		1,376,901		254,999		344,944		406,498		196,683		3,476,321		142,146
JP Morgan Chase & Company, Time Deposit, 5.15%, 02/12/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
Lloyds TSB Bank PLC, Time Deposit, 5.15%, 01/03/08		1,376,901		254,999		344,944		406,498		196,683		3,476,321		142,146
Lloyds TSB Bank PLC, Time Deposit, 4.75%, 01/24/08		2,065,352		382,498		517,415		609,748		295,025		5,214,481		213,218
Rabobank Nederland, Time Deposit, 5.08%, 01/09/08		1,032,676		191,249		258,708		304,874		147,513		2,607,240		106,609
Rabobank Nederland, Time Deposit, 4.88%, 01/10/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682
Reserve Primary Money Market Fund		3,098,029		573,747		776,122		914,622		442,538		7,821,721		319,828
Royal Bank of Scotland PLC, Time Deposit, 5.00%, 01/22/08		2,065,352		382,498		517,415		609,748		295,025		5,214,481		213,218
Royal Bank of Scotland PLC, Time Deposit, 4.83%, 02/05/08		1,376,901		254,999		344,944		406,498		196,683		3,476,321		142,146
Royal Bank of Scotland PLC, Time Deposit, 4.70%, 02/25/08		688,451		127,499		172,472		203,249		98,342		1,738,160		71,073
Societe Generale — New York Branch, Time Deposit, 5.15%, 01/02/08		1,032,676		191,249		258,708		304,874		147,513		2,607,240		106,609
Societe Generale — New York Branch, Time Deposit, 4.90%, 02/29/08		1,032,676		191,249		258,708		304,874		147,513		2,607,240		106,609
Societe Generale — New York Branch, Time Deposit, 5.15%, 03/03/08		1,032,676		191,249		258,708		304,874		147,513		2,607,240		106,609
Svenska Handlesbanken, Time Deposit, 4.25%, 01/02/08		6,720,771		1,244,671		1,683,698		1,984,153		960,028		16,968,209		693,824
Toronto Dominion Bank, Time Deposit, 5.10%, 01/10/08		2,065,352		382,498		517,415		609,748		295,025		5,214,481		213,218
Toronto Dominion Bank, Time Deposit, 5.05%, 01/11/08		688,451		127,499		172,472		203,249		98,342		1,738,160		71,073
Toronto Dominion Bank, Time Deposit, 4.80%, 02/11/08		2,065,352		382,498		517,415		609,748		295,025		5,214,481		213,218
UBS AG, Time Deposit, 4.92%, 01/11/08		2,409,578		446,249		603,650		711,373		344,197		6,083,561		248,755
Wells Fargo & Company, Floating Rate Note, 4.60%(1), 01/02/08		1,032,676		191,249		258,708		304,874		147,513		2,607,240		106,609
Wells Fargo & Company, Floating Rate Note, 4.75%(1), 01/08/08		1,721,127		318,748		431,180		508,123		245,854		4,345,400		177,682

	$	81,761,901	$	15,142,100	$	20,483,129	$	24,138,321	$	11,679,276	$	206,427,670	$	8,440,760

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 December 31, 2007.

202


Growth &		Equity		Aggressive		Mid-Cap		Mid-Cap		Small-Cap		Special		Small-Cap		International
Income		Growth		Equity		Value		Growth		Value		Equity		Growth		Equity

$	1,459,066	$	3,139,020	$	936,303	$	3,998,348	$	1,356,700	$	1,233,655	$	6,638,865	$	943,275	$	4,447,403
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	833,752		1,793,726		535,031		2,284,770		775,257		704,947		3,793,638		539,014		2,541,373
	833,752		1,793,726		535,031		2,284,770		775,257		704,947		3,793,638		539,014		2,541,373
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	416,876		896,863		267,515		1,142,385		387,629		352,473		1,896,819		269,507		1,270,687
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	833,752		1,793,726		535,031		2,284,770		775,257		704,947		3,793,638		539,014		2,541,373
	416,876		896,863		267,515		1,142,385		387,629		352,473		1,896,819		269,507		1,270,687
	1,250,629		2,690,589		802,546		3,427,156		1,162,886		1,057,420		5,690,457		808,521		3,812,060
	416,876		896,863		267,515		1,142,385		387,629		352,473		1,896,819		269,507		1,270,687
	625,314		1,345,294		401,273		1,713,578		581,443		528,710		2,845,228		404,261		1,906,030
	1,250,629		2,690,589		802,546		3,427,156		1,162,886		1,057,420		5,690,457		808,521		3,812,060
	833,752		1,793,726		535,031		2,284,770		775,257		704,947		3,793,638		539,014		2,541,373
	5,210,952		11,210,785		3,343,941		14,279,815		4,845,358		4,405,915		23,710,236		3,368,839		15,883,583
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	625,314		1,345,294		401,273		1,713,578		581,443		528,710		2,845,228		404,261		1,906,030
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	2,084,381		4,484,314		1,337,576		5,711,926		1,938,143		1,762,366		9,484,094		1,347,536		6,353,433
	2,084,381		4,484,314		1,337,576		5,711,926		1,938,143		1,762,366		9,484,094		1,347,536		6,353,433
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	833,752		1,793,726		535,031		2,284,770		775,257		704,947		3,793,638		539,014		2,541,373
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	833,752		1,793,726		535,031		2,284,770		775,257		704,947		3,793,638		539,014		2,541,373
	1,250,629		2,690,589		802,546		3,427,156		1,162,886		1,057,420		5,690,457		808,521		3,812,060
	625,314		1,345,294		401,273		1,713,578		581,443		528,710		2,845,228		404,261		1,906,030
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717
	1,875,943		4,035,883		1,203,819		5,140,734		1,744,328		1,586,130		8,535,684		1,212,782		5,718,089
	1,250,629		2,690,589		802,546		3,427,156		1,162,886		1,057,420		5,690,457		808,521		3,812,060
	833,752		1,793,726		535,031		2,284,770		775,257		704,947		3,793,638		539,014		2,541,373
	416,876		896,863		267,515		1,142,385		387,629		352,473		1,896,819		269,507		1,270,687
	625,314		1,345,294		401,273		1,713,578		581,443		528,710		2,845,228		404,261		1,906,030
	625,314		1,345,294		401,273		1,713,578		581,443		528,710		2,845,228		404,261		1,906,030
	625,314		1,345,294		401,273		1,713,578		581,443		528,710		2,845,228		404,261		1,906,030
	4,069,615		8,755,325		2,611,529		11,152,155		3,784,095		3,440,903		18,517,062		2,630,973		12,404,654
	1,250,629		2,690,589		802,546		3,427,156		1,162,886		1,057,420		5,690,457		808,521		3,812,060
	416,876		896,863		267,515		1,142,385		387,629		352,473		1,896,819		269,507		1,270,687
	1,250,629		2,690,589		802,546		3,427,156		1,162,886		1,057,420		5,690,457		808,521		3,812,060
	1,459,066		3,139,020		936,303		3,998,348		1,356,700		1,233,655		6,638,865		943,275		4,447,403
	625,314		1,345,294		401,273		1,713,578		581,443		528,710		2,845,228		404,261		1,906,030
	1,042,191		2,242,157		668,788		2,855,963		969,072		881,183		4,742,047		673,768		3,176,717

$	49,509,121	$	106,513,377	$	31,770,694	$	135,672,142	$	46,035,620	$	41,860,487	$	225,270,316	$	32,007,250	$	150,909,501

203

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

5. Purchases and Sales of Investments

The aggregate cost of investments purchased and proceeds from sales or maturities (excluding short-term securities) for the year ended December 31, 2007 were as follows:


		Cost of		Proceeds
Series		Purchases		From Sales

High Quality Bond	US Government Obligations	$	180,642,583	$	56,354,047
	Other		275,673,627		429,881,961
Inflation-Protected Securities	US Government Obligations		462,321,002		461,663,022
	Other		14,082,380		24,885,934
Core Bond	US Government Obligations		11,175,320,355		11,448,604,541
	Other		663,658,794		534,649,592
Total Return Bond	US Government Obligations		1,774,039,592		1,616,402,954
	Other		180,320,154		36,777,146
High Yield Bond	Other		510,553,169		488,610,097
Balanced	US Government Obligations		668,419,248		690,214,665
	Other		201,423,324		249,295,843
Value & Income	Other		1,041,862,106		1,306,366,020
Value	Other		138,729,072		79,399,394
Growth & Income	Other		1,053,518,911		1,312,019,958
Equity Growth	Other		3,096,032,206		3,482,908,610
Aggressive Equity	Other		509,006,293		561,602,307
Mid-Cap Value	Other		728,964,090		697,499,586
Mid-Cap Growth	Other		463,678,619		518,385,874
Small-Cap Value	Other		198,596,251		234,724,014
Special Equity	Other		1,058,249,488		1,273,470,251
Small-Cap Growth	Other		238,985,651		241,265,747
International Equity	Other		2,457,051,139		2,478,954,861

6. Legal Matters and Regulatory Proceedings

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

204

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

6. Legal Matters and Regulatory Proceedings (continued)

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. Fact discovery closed on September 21, 2007; expert discovery is underway. Expert depositions commenced on January 31, 2008. 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 expert 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. Though the Subject Portfolios continue to defend against the allegations made against them in the Complaint, it should be noted that certain other similarly situated defendants have chosen to settle the claims raised against them.

There continues to be significant federal and state regulatory activity relating to financial services companies, particularly mutual fund companies and their investment advisors. As part of an ongoing investigation regarding potential market timing, recordkeeping and trading compliance issues and matters affecting the Series’ investment advisor, TAM, and certain affiliates and former employees of TAM, the SEC staff has indicated that it is likely to take some action against TAM and certain of its affiliates at the conclusion of the investigation. The potential timing and the scope of any such action is difficult to predict. Although the impact of any such action brought against TAM and/or its affiliates is difficult to assess at the present time, the Series currently believe that the likelihood that any such action will have a material adverse impact is remote. It is important to note that the Series are not aware of any allegation of wrongdoing against them and their Board at the time this annual report is printed. Although it is not anticipated that these developments will have an adverse impact on the Series, there can be no assurance at this time. TAM and its affiliates are actively working with the SEC in regard to this matter; however, the exact resolution cannot be determined at this time. TAM will take such actions that it deems necessary or appropriate to continue providing management services to the Series and to bring all matters to an appropriate conclusion.

TAM and/or its affiliates, and not the Series, will bear the costs regarding the regulatory matters.

7. 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 December 31, 2007, the Value Series, Equity Growth Series, and Aggressive Equity Series invested approximately 11.91%, 14.02%, and 11.17% respectively, of its portfolio in issuers outside the United States.

As of December 31, 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 December 31, 2007, the International Equity Series invested approximately 10.40%, 12.02%, and 17.58%, respectively, of its portfolio in issuers in France, 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.

205

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

7. Concentrations and Indemnifications (continued)

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 enter into various types of debt obligations including private placements, swap agreements, 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.

8. Foreign Currency Forward, Spot and Cross Currency Contracts

At December 31, 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 12/31/07		(Depreciation)

Inflation-Protected Securities
Purchase Contracts:
British Pound Sterling		22,700	$	45,239		01/02/08	$	45,187	$	(52	)
Canadian Dollar		18,803		19,257		01/02/08		19,051		(206	)
Euro		53,907		79,268		01/02/08		78,815		(453	)

Total									$	(711	)

Sale Contracts:
Euro		96,588	$	136,865		01/23/08	$	141,266	$	(4,401	)
Euro		68,317		98,928		01/23/08		99,918		(990	)

Total									$	(5,391	)


Core Bond
Purchase Contracts:
Euro		3,353,574	$	4,972,556		01/23/08	$	4,904,833	$	(67,723	)
Mexican Peso		135,680,400		12,563,000		01/23/08		12,414,905		(148,095	)

Total									$	(215,818	)

Sale Contracts:
Euro		613,966	$	902,805		01/02/08	$	897,648	$	5,157
Euro		5,220,000		7,396,740		01/23/08		7,634,609		(237,869	)
Mexican Peso		132,746,891		12,208,183		01/23/08		12,146,486		61,697
Mexican Peso		2,933,509		272,370		01/23/08		268,419		3,951
New Zealand Dollar		5,545,961		4,240,131		01/23/08		4,258,342		(18,211	)

Total									$	(185,275	)

206

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

8. Foreign Currency Forward, Spot and Cross Currency Contracts (continued)


									Net Unrealized
	Foreign		In Exchange		Settlement		Value		Appreciation/
	Currency		For		Date		at 12/31/07		(Depreciation)


Total Return Bond
Sale Contracts:
British Pound Sterling		999,000	$	2,027,021		02/12/08	$	1,986,419	$	40,602
Euro		2,542,619		3,625,545		02/12/08		3,719,735		(94,190	)

Total									$	(53,588	)


Balanced
Sale Contracts:
British Pound Sterling		555,000	$	1,126,123		02/12/08	$	1,103,566	$	22,557
Euro		1,040,391		1,483,504		02/12/08		1,522,045		(38,541	)

Total									$	(15,984	)


Equity Growth
Purchase Contracts:
British Pound Sterling		220,359	$	438,774		01/03/08	$	438,646	$	(128	)


Sale Contracts:
Japanese Yen		113,521,180	$	1,005,698		01/08/08	$	1,016,280	$	(10,582	)


International Equity
Purchase Contracts:
British Pound Sterling		208,407	$	415,951		01/02/08	$	414,855	$	(1,096	)
British Pound Sterling		321,504		640,172		01/03/08		639,986		(186	)
British Pound Sterling		51,074		102,287		01/04/08		101,666		(621	)
Swiss Franc		95,123		83,626		01/03/08		84,020		394
Swiss Franc		216,202		191,906		01/07/08		191,003		(903	)

Total									$	(2,412	)


Sale Contracts:
Euro		851,828	$	1,245,901		01/02/08	$	1,245,416	$	485
Euro		815,877		1,199,910		01/03/08		1,192,853		7,057
South African Rand		7,891,502		1,120,713		01/02/08		1,154,682		(33,969	)

Total									$	(26,427	)

207

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

8. Foreign Currency Forward, Spot and Cross Currency Contracts (continued)

International Equity (continued)


							Net Unrealized
	Settlement		Purchase		Sale Current		Appreciation/
	Date		Current Value		Value		(Depreciation)


Foreign Cross Currency Contracts:
Purchase/Sale
British Pound Sterling/Japanese Yen		01/04/08	$	673,781	$	680,398	$	(6,617	)
British Pound Sterling/Japanese Yen		01/04/08		626,249		624,875		1,374
British Pound Sterling/Swiss Franc		01/03/08		47,533		47,973		(440	)
British Pound Sterling/Swiss Franc		01/03/08		47,533		47,395		138
British Pound Sterling/Swiss Franc		01/03/08		47,533		47,513		20
Euro/Swiss Franc		01/03/08		600,573		604,583		(4,010	)
Euro/Swiss Franc		01/03/08		600,573		601,821		(1,248	)
Euro/Swiss Franc		01/03/08		600,573		600,874		(301	)

Total							$	(11,084	)

208

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

9. Financial Highlights


	Ratios to Average Net Assets
							Net			Net Investment
For the				Net Expenses			Investment			Income (Loss)						Net Assets,
Year	Net			(Net of			Income			(Net of			Portfolio			End of		Total
Ended	Expenses			Reimbursements)			(Loss)			Reimbursements)			Turnover			Year		Return

Money Market
12/31/2007		0.28	%		0.28	%		5.01	%		5.01	%		N/A		$	1,050,796,105		5.17	%
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

High Quality Bond
12/31/2007		0.38			0.38			4.38			4.38			56	%		833,291,239		5.34
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

Inflation-Protected Securities
12/31/2007		0.42			0.40			5.24			5.26			340			149,013,396		10.16
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

Core Bond
12/31/2007		0.38			0.38			4.81			4.81			503	(a)		2,248,879,516		6.67
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

Total Return Bond
12/31/2007		0.41			0.40			5.04			5.05			521	(a)		390,287,496		3.81
12/31/2006		0.50			0.40			4.64			4.74			470	(a)		120,636,427		4.96
12/31/2005(1)		0.55	*		0.40	*		3.93	*		4.08	*		327	(a)		70,072,859		2.35

High Yield Bond
12/31/2007		0.58			0.58			7.97			7.97			96			538,727,018		2.02
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

Balanced
12/31/2007		0.52			0.50			2.85			2.87			226	(a)		318,635,183		1.79
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

209

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

9. Financial Highlights (continued)


	Ratios to Average Net Assets
							Net			Net Investment
For the				Net Expenses			Investment			Income (Loss)						Net Assets,
Year	Net			(Net of			Income			(Net of			Portfolio			End of		Total
Ended	Expenses			Reimbursements)			(Loss)			Reimbursements)			Turnover			Year		Return


Value & Income
12/31/2007		0.48	%		0.48	%		1.68	%		1.68	%		30	%	$	3,165,024,775		(1.75	)%
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

Value
12/31/2007		0.56			0.55			1.50			1.51			57			141,565,926		(11.06	)
12/31/2006		0.71			0.55			1.26			1.42			74			101,282,906		15.44
12/31/2005(1)		1.18	*		0.55	*		1.15	*		1.78	*		21			35,138,512		9.47

Growth & Income
12/31/2007		0.64			0.64			1.08			1.08			101			903,261,821		2.11
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

Equity Growth
12/31/2007		0.65			0.65			0.61			0.61			129			2,444,760,853		12.25
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

Aggressive Equity
12/31/2007		0.81			0.80			(0.17	)		(0.16	)		134			427,372,994		28.50
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

Mid-Cap Value
12/31/2007		0.70			0.70			1.37			1.37			69			998,177,210		2.62
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

Mid-Cap Growth
12/31/2007		0.75			0.75			(0.23	)		(0.23	)		152			337,188,904		30.42
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

210

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)

9. Financial Highlights (continued)


	Ratios to Average Net Assets
							Net			Net Investment
For the				Net Expenses			Investment			Income (Loss)						Net Assets,
Year	Net			(Net of			Income			(Net of			Portfolio			End of		Total
Ended	Expenses			Reimbursements)			(Loss)			Reimbursements)			Turnover			Year		Return


Small-Cap Value
12/31/2007		0.87	%		0.85	%		1.34	%		1.36	%		94	%	$	185,136,605		(7.74	)%
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

Special Equity
12/31/2007		0.84			0.84			0.58			0.58			97			950,197,463		(4.49	)
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

Small-Cap Growth
12/31/2007		0.92			0.90			(0.44	)		(0.42	)		144			166,817,321		8.64
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

International Equity
12/31/2007		0.87			0.87			2.25			2.25			110			2,264,061,514		11.69
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


(a)		Portfolio turnover calculation includes effect of buying and selling TBA securities used in dollar roll transactions. Refer to Note 2I.

*		Annualized.

(1)		Commencement of Operations, May 6, 2005.

211

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Owners of Beneficial Interests

of the Diversified Investors Portfolios:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Money Market Portfolio, High Quality Bond Portfolio, Inflation-Protected Securities Portfolio, Core Bond Portfolio, Total Return Bond Portfolio, High Yield Bond Portfolio, Balanced Portfolio, Value & Income Portfolio, Value Portfolio, Growth & Income Portfolio, Equity Growth Portfolio, Aggressive Equity Portfolio, Mid-Cap Value Portfolio, Mid-Cap Growth Portfolio, Small-Cap Value Portfolio, Special Equity Portfolio, Small-Cap Growth Portfolio and International Equity Portfolio (constituting the Diversified Investors Portfolios, hereafter referred to as the “Portfolios”) at December 31, 2007, the results of each of their operations for the year then ended, and the changes in each of their net assets, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

February 28, 2008

212

DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS

December 31, 2007
(Unaudited)

Transamerica Asset Management, Inc. (“TAM”) manages the assets of each series of Diversified Investors Portfolios (each, a “Portfolio”) pursuant to an Investment Advisory Agreement (the “Advisory Agreement”) with Diversified Investors Portfolios. For each Portfolio, TAM or its predecessor has entered into an Investment Subadvisory Agreement (each, a “Subadvisory Agreement”) with one or more Subadvisors.

Approval of TAM Advisory Agreement

At a meeting of the Board of Trustees of Diversified Investors Portfolios held on August 10, 2007, the Board reviewed and considered a proposed Advisory Agreement between TAM and Diversified Investors Portfolios, on behalf of each applicable Portfolio, to determine whether the agreement should be approved for an initial two-year period. Pursuant to the Advisory Agreement, TAM would replace Diversified Investment Advisors, Inc. (“Diversified”) to provide or procure investment management services on behalf of each Portfolio. Following their review and consideration, the Board members determined that the Advisory Agreements would enable holders of the Portfolios to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of its holders. The Board, including all of the Board members who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party to the Advisory Agreement (the “Independent Board Members”), unanimously approved the Advisory Agreements to appoint TAM as investment advisor to the Portfolios.

The Board, including the Independent Board Members, considered, among other things, the following factors: (i) both TAM and Diversified rendered comparable “manager of managers” services to mutual funds and were part of the same group of companies; (ii) a number of Diversified personnel with expertise in the areas of investment management, fund administration and fund accounting would become personnel of TAM or other related fund service providers and would continue to serve the Portfolios; (iii) the terms and conditions of the Advisory Agreements, including the difference from the then-current Advisory Agreements with Diversified (the “Prior Advisory Agreements”); (iv) the fact that each Portfolio’s advisory fees would remain the same under the Advisory Agreements; (v) the nature, scope and quality of services that TAM was expected to provide to the Portfolios, including compliance services; (vi) both Diversified and TAM were indirect, wholly-owned subsidiaries of AEGON, N.V., a Netherlands corporation that is a publicly traded international insurance group, both are part of the AEGON Group of Companies, and the appointment of TAM as investment advisor to the Portfolios would permit the Portfolios to have access to the primary investment management and fund administration service provider in the AEGON Group of Companies; (vii) each of the investment subadvisors and portfolio management teams to the Portfolios as well as each of the investment objectives, strategies and risks of the Portfolios would not change as a result of TAM becoming the investment advisor to the Portfolios and, accordingly, the day-to-day investment activities of the Portfolios were expected to remain substantially the same; (viii) the appointment of TAM as investment advisor to the Portfolios would be effected at no cost to the Portfolios or their holders; (ix) Diversified would continue to render various services to retirement plans investing in the Portfolios or funds which invest in the Portfolios; and (x) that earlier in 2007 the Board had performed a full annual review of the Prior Advisory Agreements and the subadvisory agreements for the Portfolios as required by the Investment Company Act of 1940, as amended (the “1940 Act”).

The Board members evaluated all information available to them on a Portfolio-by-Portfolio basis, and their determinations were made separately in respect of each Portfolio. The Board members also based their decisions

213

DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)

December 31, 2007

(Unaudited)

on the following considerations, among others, although they did not identify any that was all-important or controlling of their discussions, and each Board member attributed different weights to the various factors.

The nature, extent and quality of the services expected to be provided by TAM to the Portfolios. The Board Members considered the nature and quality of the services expected to be provided by TAM and compared those services to those provided by Diversified. They concluded that TAM was capable of providing high quality services to the Portfolios, as indicated by the nature and quality of services provided by TAM to the complex of registered investment companies that were managed by TAM (the “TAM Fund Family”) and the past performance of these funds, TAM’s management capabilities demonstrated with respect to the other mutual funds it managed, and the experience, capability and integrity of TAM’s senior management, financial resources and management oversight process. The Board Members noted that key Diversified personnel responsible for the Portfolios would remain involved with the Portfolios as they would become personnel of TAM or other affiliated fund service providers. The Board members also concluded that TAM proposed to provide investment and related services that were appropriate in scope and extent in light of the Portfolios’ operations, and the competitive landscape of the investment company industry and investor needs.

The investment performance of the Portfolios. TAM had not yet served as investment advisor to the Portfolios and therefore had no historical performance related to the Portfolios for the Boards to review. However, the Board examined the performance of funds managed by TAM with investment objectives, strategies and “manager of managers” arrangements comparable to those of the Portfolios. The Board noted that those and other funds managed by TAM had generally performed competitively to benchmark indexes and mutual fund peers (as determined by Lipper Inc.). On the basis of the Board’s assessment of the nature, extent and quality of advisory services expected to be provided or procured by TAM, the Board concluded that TAM was capable of generating a level of investment performance that would be satisfactory and competitive with other investment companies, and also determined that TAM’s performance record with respect to the TAM Fund Family indicated that its management of the Portfolios was likely to benefit all the Portfolios and their holders.

The cost of advisory services provided and the level of profitability. The Board reviewed profitability information regarding TAM’s projected costs of procuring portfolio management services, as well as the costs of provision of administration, fund accounting and other services to the Portfolios and to the TAM Fund Family as a whole. With regard to the advisory fees and total expenses of the Portfolios, the Board Members noted that the advisory fees and expense ratios of the Portfolios were expected to remain the same as a result of TAM’s appointment, and that TAM has undertaken to maintain any expense limitation and fee waiver arrangements currently in place for each of the Portfolios. The Board members also reviewed and considered information relating to the costs of the services provided to the Portfolios and the resulting potential profitability to TAM and its affiliates of the relationship with the Portfolios, and determined that the same were reasonable and fair, and consistent with the best interests of holders.

Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolios grow. The Board noted that there were no breakpoints applicable to the Portfolios’ current advisory fees. However, the Board concluded that the Portfolios’ advisory fees appropriately reflected the Portfolios’ size, the economic environment for TAM, and the competitive nature of the investment company market. The Board members noted that they would have the opportunity to periodically reexamine whether the Portfolios have achieved economies of scale under the management of TAM, and the appropriateness of management fees payable to TAM, in the future. The Board members recognized that TAM may realize economies of scale based on certain consolidations and synergies of operations.

Benefits to TAM or its affiliates from their relationship with the Portfolios. The Board concluded that other fall-out benefits derived by TAM and its affiliates from their relationships with the Portfolios would be

214

DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)

December 31, 2007

(Unaudited)

reasonable and fair, and consistent with industry practice and the best interests of the Portfolios and their holders. The Board noted that TAM would not realize “soft dollar” benefits from its relationship with the Portfolios. In addition, the Board members determined that any administration and fund accounting fees to be paid by the Portfolios to affiliates of TAM were reasonable, fair and in the best interests of holders in light of the nature and quality of the services provided, the associated costs to these affiliates of providing the services, the impact of the costs of such services on the Portfolios’ overall operating expenses, the necessity of the services for the Portfolios’ operations, and the fact that they were identical to those currently paid by the Portfolios to their current service providers.

Other considerations. The Board noted that the AEGON Group of Companies had indicated its intention to consolidate its investment advisory and oversight operations in TAM, and concluded that retention of TAM would best ensure continuity of management of the Portfolios and offered potential scale efficiencies and marketing advantages in the future, which could benefit the Portfolios and their holders. The Board determined that TAM was committed to the recruitment and retention of high quality personnel, and maintained the financial, compliance and operational resources reasonably necessary to manage the Portfolios in a professional manner that would be consistent with the best interests of the Portfolios and their holders. In this regard, the Board members noted TAM’s compliance program, including policies and procedures with respect to oversight of the portfolio management activities of subadvisors to be employed by TAM to manage certain Portfolios. The Board members also determined that TAM would make a significant entrepreneurial commitment to the management and success of the Portfolios, reflected by, among other things, TAM’s expense limitation and fee waiver arrangements with respect to the Portfolios, the retention of certain Diversified personnel to help ensure continuity of management, and the steps it would be taking to integrate the Portfolios in the TAM Fund Family.

After requesting and reviewing such information as they deemed necessary and discussing the same during meetings conducted by the Independent Board Members without management, TAM or Diversified personnel being present, the Board concluded that the proposed Advisory Agreements were in the best interests of the applicable Portfolios and their holders. Accordingly, each Board determined to recommend that the holders of each Portfolio approve the Advisory Agreement applicable to such Portfolio. At a meeting held on October 30, 2007, each Advisory Agreement was approved by holders of the applicable Portfolio.

Approval of New Investment Subadvisory Agreement

During the six-month period ended December 31, 2007, the Board considered approval of a new Investment Subadvisory Agreement with Marsico Capital Management LLC (“Marsico”), on behalf of the Equity Growth Portfolio (the “New Subadvisory Agreement”). On June 14, 2007, Thomas F. Marsico, Marsico’s founder and Chief Executive Officer, and a company controlled by Mr. Marsico, Marsico Parent Company, LLC, entered into a definitive agreement with Bank of America Corporation to buy back ownership of Marsico from a Bank of America subsidiary (referred to as the Transaction). Marsico had become a 50% owned subsidiary of Bank of America in 1999, and Bank of America acquired ownership of the remaining 50% of Marsico in 2001. Bank of America’s interest in Marsico was held through its ownership of Marsico Management Holdings, LLC. Mr. Marsico’s reasons for undertaking the repurchase Transaction stemmed primarily from Marsico’s successful growth, and its desire to preserve its autonomy.

The Transaction constituted an “assignment” (within the meaning of the 1940 Act) which resulted in the termination of the subadvisory agreement with Marsico (referred to as the Prior Subadvisory Agreement). The Board met on August 21, 2007, prior to the close of the Transaction, and approved the New Subadvisory Agreement with Marsico following a presentation by the Portfolios’ advisor and representatives of Marsico. The New Subadvisory Agreement took effect on December 14, 2007 upon the closing of the Transaction. Discussed below are some of the material factors considered by the Board in approving the New Subadvisory Agreement.

215

DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Continued)

December 31, 2007

(Unaudited)

The Board considered information with respect to Marsico, the rationale, structure and results of the Transaction and whether the New Subadvisory Agreement was in the best interests of the Portfolio and its holders of beneficial interests. The Board considered that all of Marsico’s investment strategies had outperformed their primary benchmarks since inception.

The Board considered that the Portfolio’s portfolio management team was not expected to change as a result of the Transaction. The Board also noted that, other than the effective and termination dates, the New Subadvisory Agreement was substantially identical to the Prior Subadvisory Agreement, which the Board had recently renewed. In its deliberations, the Board also considered information that had been received by the Board in its most recent approval of the Old Subadvisory Agreement, in addition to information provided in connection with the Board’s evaluation of the terms and conditions of the New Subadvisory Agreement.

Based upon its review and the representations made to it, the Board, including all of the Independent Board Members, concluded that (a) the terms of the New Subadvisory Agreement were reasonable, fair and in the best interests of the Portfolio and its holders of beneficial interests, and (b) the fees provided in the New Subadvisory Agreement were 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 Board Members, approved the New Subadvisory Agreement.

No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the New Subadvisory Agreement, and each Board Member attributed different weight to the various factors. The Independent Board Members discussed the proposed approval of the New Subadvisory Agreement in private sessions with their independent legal counsel at which no representatives of the advisor or Marsico were present.

216

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT OF THE TRUST
(Unaudited)

Trustees and Officers

The Trust is governed by a Board of Trustees. Subject to the supervision of the Board of Trustees, the assets of each portfolio are managed by an investment advisor and sub-advisors, and the respective portfolio managers. The Board of Trustees is responsible for managing the business and affairs of the Trust and oversees the operation of the Trust by its officers. It also reviews the management of the portfolios’ assets by the investment advisor and sub-advisors. Information about the Trustees and Officers of the Trust is as follows:


				Number of
				Funds
				in Fund
		Length of		Complex
	Position(s)	Time	Principal Occupation(s)	Overseen	Other Board
Name, Address* and Age**	Held	Served*	During Past Five Years	by Trustee	Memberships

Independent Trustees :**
Leo J. Hill (DOB: 3/27/56)	Trustee	Since 2007	Principal, Advisor Network Solutions, LLC (business consulting) (2006 to present); Trustee, Diversified Investors Portfolios (“DIP”), The Diversified Investors Funds Group (“DIFG”), The Diversified Investors Funds Group II (“DIFG II”) and Diversified Investors Strategic Variable Funds (“DISVF”) (2007 to present); Trustee, Transamerica IDEX Mutual Funds (“TA IDEX”) (2002 to present); Director, Transamerica Income Shares, Inc. (“TIS”) (2002 to present); Trustee, AEGON/Transamerica Series Trust (“ATST”) (2001 to present); Owner and President, Prestige Automotive Group (2001 to 2005); President, L. J. Hill & Company (1999 to present)	160	None
Neal M. Jewell (DOB: 2/12/35)	Trustee	Since 1993	Retired (2004 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP, DIFG, DIFG II and DISVF (1993 to present); Independent Trustee, EAI Select Managers Equity Fund (mutual fund) (1996 to 2004).	160	None
Russell A. Kimball, Jr. (DOB: 8/17/44)	Trustee	Since 2007	Trustee, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2002 to present); Director, TIS (2002 to present); Trustee, ATST (1986 to present); General Manager, Sheraton Sand Key Resort (1975 to present).	160	None
Eugene M. Mannella (DOB: 2/1/54)	Trustee	Since 1993	Self-employed consultant (2006 to present); President, Arapain Partners LLC (limited purpose broker-dealer) (1998 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP, DIFG, DIFG II and DISVF (1993 to present); President, International Fund Services (alternative asset administration) (1993 to 2005).	160	None

217

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)


				Number of
				Funds
				in Fund
		Length of		Complex
	Position(s)	Time	Principal Occupation(s)	Overseen	Other Board
Name, Address* and Age**	Held	Served*	During Past Five Years	by Trustee	Memberships

Norm R. Nielsen (DOB: 5/11/39)	Trustee	Since 2007	Retired (2005 to present); Trustee, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2006 to present); Director, TIS (2006 to present); Trustee, ATST (2006 to present); Director, Iowa City Area Development (1996 to 2004); Director, Iowa Health Systems (1994 to 2003); Director, U.S. Bank (1987 to 2006); President, Kirkwood Community College (1979 to 2005).	160	Buena Vista University Board of Trustees (2004 to present)
Joyce Galpern Norden (DOB: 6/1/39)	Trustee	Since 1993	Retired (2004 to present); Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP (2002 to present); Trustee, DIFG, DIFG II, and DISVF (1993 to present); Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996 to 2004).	160	Board of Governors, Reconstructionist Rabbinical College (2007 to present)
Patricia L. Sawyer (DOB: 7/1/50)	Trustee	Since 1993	Trustee, TA IDEX and ATST (2007 to present); Director, TIS (2007 to present); Trustee, DIP, DIFG, DIFG II, and DISVF (1993 to present); President and Executive Search Consultant, Smith & Sawyer LLC (consulting) (1989 to present).	160	None
John W. Waechter (DOB: 2/25/52)	Trustee	Since 2007	Trustee, DIP, DIFG, DIFG II and DISVF (2007 to present); Trustee, TA IDEX (2005 to present); Director, TIS (2004 to present); Trustee, ATST (2004 to present); employee, RBC Dain Rauscher (securities dealer) (March 2004 to May 2004); Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979 to 2004); Treasurer, The Hough Group of Funds (1993 to 2004).	160	None

218

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)


				Number of
				Funds
				in Fund
		Length of		Complex
	Position(s)	Time	Principal Occupation(s)	Overseen	Other Board
Name, Address* and Age**	Held	Served*	During Past Five Years	by Trustee	Memberships

Interested Trustee:****
John K. Carter (DOB: 4/24/61)	Trustee	Since 2007	President and Chief Executive Officer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Trustee, DIP, DIFG, DIFG II, and DISVF (October 2007 to present); Trustee (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Chief Compliance Officer, General Counsel and Secretary (1999 to August 2006), TA IDEX; Trustee (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Chief Compliance Officer, General Counsel and Secretary (1999 to August 2006), ATST; Director (September 2006 to present), President and Chief Executive Officer (July 2006 to present), Senior Vice President (2002 to June 2006), General Counsel, Secretary and Chief Compliance Officer (2002 to August 2006), TIS; President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Director (2000 to present), General Counsel and Secretary (2000 to August 2006), Chief Compliance Officer (2004 to August 2006), TAM; President and Chief Executive Officer (July 2006 to present), Senior Vice President (1999 to June 2006), Director (2001 to present), General Counsel and Secretary (2001 to August 2006), (“TFS”); Vice President, AFSG Securities Corporation (2001 to present); Chief Executive Officer (July 2006 to present), Vice President, Secretary and Chief Compliance Officer (2003 to August 2006), Transamerica Investors, Inc. (“TII”); Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (2002 to 2004); Vice President, Transamerica Investment Services, Inc. (“TISI”) (2003 to 2005) and Transamerica Investment Management, LLC (“TIM”) (2001 to 2005).	160	None

219

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)


		Length of
		Time	Principal Occupation(s)
Name, Address* and Age**	Position(s) Held	Served†	During the Past Five Years

Officers
John K. Carter (DOB: 4/24/61)	Chief Executive Officer and President	Since 2007	See the table above.
Dennis P. Gallagher (DOB: 12/19/70)	Vice President, General Counsel and Secretary	Since 2007	Vice President, General Counsel and Secretary, TA IDEX, ATST and TIS (September 2006 to present); Vice President, General Counsel and Secretary, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Vice President and Secretary, TII (September 2006 to present); Director, Senior Vice President, General Counsel and Secretary, TAM and TFS (September 2006 to present); Director, Deutsche Asset Management (1998 to 2006).
Elizabeth L. Belanger (DOB: 1/7/72)	Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer	Since 2005	Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer, TII (November 2007 to present); Deputy General Counsel, Assistant Secretary and Conflicts of Interest Officer, TA IDEX, ATST and TIS (July 2007 to present); Deputy General Counsel and Conflicts of Interest Officer (August 2007 to present), Assistant Secretary (August 2005 to present), DIP, DIFG, DIFG II and DISVF; Vice President and Senior Counsel, Diversified (with Diversified since 2005); Director, TFLIC (April 2006 to present); Director of Compliance, Domini Social Investments LLC (November 2003 to May 2005); Associate, Bingham McCutchen LLP (September 1997 to October 2003).
Joseph P. Carusone (DOB: 9/8/65)	Vice President, Treasurer and Principal Financial Officer	Since 2001	Vice President, Treasurer and Principal Financial Officer, TII (November 2007 to present); Vice President, Treasurer and Principal Financial Officer, TA IDEX, ATST and TIS (July 2007 to present); Vice President (August 2007 to present), Treasurer and Principal Financial Officer (2001 to present), DIP, DIFG, DIFG II and DISVF; Senior Vice President, Diversified (since 1999); President, Diversified Investors Securities Corp. (“DISC”) (February 2007 to present); Director, TFLIC (2004 to present).

220

DIVERSIFIED INVESTORS PORTFOLIOS
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)


		Length of
		Time	Principal Occupation(s)
Name, Address* and Age**	Position(s) Held	Served†	During the Past Five Years

Christopher A. Staples (DOB: 8/14/70)	Vice President and Chief Investment Officer	Since 2004	Vice President and Chief Investment Officer, TII (November 2007 to present); Vice President (July 2007 to present), Chief Investment Officer (June 2007 to present), Senior Vice President (June 2007 to July 2007), Senior Vice President — Investment Management (July 2006 to June 2007), Vice President — Investment Management (2004 to July 2006), TA IDEX, ATST and TIS; Vice President and Chief Investment Officer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Director, TAM and TFS (2005 to present); Assistant Vice President, Raymond James & Associates (1999 to 2004).
Rick Resnik (DOB: 1/24/67)	Chief Compliance Officer	Since 2004	Chief Compliance Officer, TA IDEX, ATST, and TIS (January 2008 to present); Chief Compliance Officer, DIP, DIFG, DIFG II and DISVF (2004 to present); Vice President and Chief Compliance Officer, Diversified (with Diversified since 1998); Director, Vice President and Chief Compliance Officer, DISC (June 1999 to present)
Michael A. Masson (DOB: 1/21/71)	Assistant Treasurer	Since 2007	Assistant Treasurer, TII (November 2007 to present); Assistant Treasurer (July 2007 to present), Assistant Vice President (2005 to present), TA IDEX, ATST and TIS; Assistant Treasurer, DIP, DIFG, DIFG II and DISVF (August 2007 to present); Assistant Vice President, ATST and TIS (2005 to present); Assistant Vice President, TII (2005 to present); Assistant Vice President, TFS and TAM(2005 to present); Assistant Vice President, JPMorgan Chase & Co. (1999 to 2005).
Suzanne Valerio-Montemurro (DOB: 8/13/64)	Assistant Treasurer	Since 2002	Assistant Treasurer, the Trust (November 2007 to present); Assistant Treasurer, TA IDEX, ATST and TIS (July 2007 to present); Assistant Treasurer, DIP, DIFG, DIFG II and DISVF (August 2002 to present); Vice President, Diversified (with Diversified since 1998).


*		Each Trustee shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns or his or her term as a Trustee is terminated in accordance with the by-laws.

**		Independent trustee (“Independent Trustee”) means a trustee who is not an “interested person” (as defined under the 1940 Act) of the Trust (the “Independent Trustees”).

***		The mailing address of each Trustee and Officer is c/o Secretary of the Funds, 570 Carillon Parkway, St. Petersburg, Florida 33716.

****		May be deemed an “interested person” (as that term is defined in Section 2(a)(19) of the 1940 Act) of the Trust because of his employment with the Advisor or an affiliate of the Advisor.

†		If an officer has held offices for different Funds for different periods of time, the earliest applicable date is shown.

221

DIVERSIFIED INVESTORS PORTFOLIOS
INVESTOR MEETING RESULTS
(Unaudited)

There was a special meeting of holders of the Diversified Investors Portfolios held at 4 Manhattanville Road, Purchase, New York 10577 on October 30, 2007. At the meeting, the proposals listed below were approved. The following is a report of the total votes cast by the holders of the Diversified Investors Portfolios.


Proposal	For		Withheld
To elect a New Board
Leo J. Hill		16,771,509,294.29		493,516,670.11
Russell A. Kimball, Jr.		16,771,486,651.29		493,539,931.83
Norm R, Nielsen		16,773,445,963.27		491,619,347.84
John W. Waechter		16,771,157,901.91		493,886,309.74
Neal M. Jewell		16,763,798,109.04		501,271,445.17
Eugene M. Mannella		16,766,090,516.56		498,972,526.06
Joyce Galpern Norden		16,764,446,775.44		500,637,295.90
Patricia L. Sawyer		16,774,759,729.96		490,292,431.34
John K. Carter		16,774,142,457.13		490,912,965.64


Proposal	For		Against		Abstain
To approve a new Investment Advisory Agreement with Transamerica Asset Management, Inc.
Aggressive Equity Portfolio		344,170,744.52		2,753,008.39		1,926,549.31
Balanced Portfolio		349,285,392.05		2,423,932.02		2,680,449.03
Core Bond Portfolio		2,045,560,919.26		3,761,557.84		89,515,945.16
Equity Growth Portfolio		2,192,819,674.12		6,100,365.54		81,180,820.58
Growth & Income Portfolio		965,484,863.70		5,972,251.84		2,759,694.84
High Quality Bond Portfolio		837,248,152.78		2,362,893.22		4,229,082.65
High Yield Bond Portfolio		535,900,061.17		2,151,990.41		2,587,917.93
Inflation-Protected Securities Portfolio		132,692,036.91		1,642,175.98		372,778.70
International Equity Portfolio		2,083,725,989.74		5,172,032.56		58,852,676.92
Mid-Cap Growth Portfolio		290,159,067.94		0.00		28,633.40
Mid-Cap Value Portfolio		990,577,001.45		3,089,039.46		14,388,975.76
Money Market Portfolio		970,065,207.44		3,680,378.63		30,550,696.17
Small-Cap Growth Portfolio		162,068,049.77		3,928.10		1,473.04
Small-Cap Value Portfolio		197,097,849.80		11,904.46		49,205.09
Special Equity Portfolio		1,012,482,800.47		3,250,101.77		23,533,258.46
Total Return Bond Portfolio		315,827,522.95		173,053.87		13,909,246.39
Value & Income Portfolio		3,185,147,756.58		13,060,974.38		130,091,216.24
Value Portfolio		142,368,523.33		163,081.80		9,994.90

222

DIVERSIFIED INVESTORS PORTFOLIOS
INVESTOR MEETING RESULTS (Continued)
(Unaudited)

Proposal

For

Against

Abstain

To approve an amendment to the Declaration of Trust

16,730,414,592.57

77,028,001.65

457,501,673.89


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to borrowing
Aggressive Equity Portfolio		344,123,120.91		2,534,725.95		2,192,022.01
Balanced Portfolio		349,256,608.69		2,295,795.28		2,836,084.39
Core Bond Portfolio		2,042,800,831.85		5,286,933.86		90,757,325.87
Equity Growth Portfolio		2,190,747,225.01		7,283,514.77		82,063,454.21
Growth & Income Portfolio		964,368,616.74		6,010,178.17		3,839,308.77
High Quality Bond Portfolio		837,189,394.68		2,452,901.70		4,194,948.54
High Yield Bond Portfolio		535,420,261.71		2,579,794.62		2,642,029.87
Inflation-Protected Securities Portfolio		130,710,449.11		3,517,484.74		479,057.74
International Equity Portfolio		2,080,347,187.51		6,936,281.48		60,460,542.74
Mid-Cap Growth Portfolio		290,125,662.31		32,212.57		31,019.52
Mid-Cap Value Portfolio		988,280,060.36		3,587,879.38		16,181,556.55
Money Market Portfolio		968,668,767.96		4,978,376.69		30,642,161.05
Small-Cap Growth Portfolio		162,064,612.67		8,838.24		0.00
Small-Cap Value Portfolio		196,997,058.73		161,900.61		0.00
Special Equity Portfolio		1,011,679,520.93		4,191,709.66		23,394,930.09
Total Return Bond Portfolio		315,648,901.48		194,585.85		14,066,335.88
Value & Income Portfolio		3,180,163,265.49		18,488,191.76		129,637,433.55
Value Portfolio		142,357,902.52		155,886.94		28,521.16


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to senior securities
Aggressive Equity Portfolio		345,369,188.99		1,528,306.99		1,953,702.49
Balanced Portfolio		349,099,234.15		2,612,464.74		2,678,074.20
Core Bond Portfolio		2,043,755,500.11		3,560,478.63		91,529,753.86
Equity Growth Portfolio		2,192,474,489.60		5,614,793.83		82,003,363.10
Growth & Income Portfolio		964,771,372.89		5,649,446.46		3,795,991.02

223

DIVERSIFIED INVESTORS PORTFOLIOS
INVESTOR MEETING RESULTS (Continued)
(Unaudited)


Proposal	For		Against		Abstain
High Quality Bond Portfolio		837,590,792.67		2,075,915.29		4,170,536.97
High Yield Bond Portfolio		535,802,198.27		1,872,018.41		2,964,752.83
Inflation-Protected Securities Portfolio		131,462,399.05		2,778,312.82		466,822.63
International Equity Portfolio		2,080,739,614.60		6,526,954.53		60,470,553.30
Mid-Cap Growth Portfolio		290,156,681.83		0.00		31,019.52
Mid-Cap Value Portfolio		990,818,966.87		1,001,843.17		16,228,686.26
Money Market Portfolio		968,913,886.92		3,977,249.34		31,398,169.44
Small-Cap Growth Portfolio		162,069,522.81		3,928.10		0.00
Small-Cap Value Portfolio		197,097,849.80		61,109.54		0.00
Special Equity Portfolio		1,012,018,053.72		3,773,926.01		23,477,520.65
Total Return Bond Portfolio		315,663,409.13		180,078.19		14,066,335.88
Value & Income Portfolio		3,180,810,825.24		17,925,927.11		129,569,748.20
Value Portfolio		142,377,799.16		87,597.89		76,913.57


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to underwriting
Aggressive Equity Portfolio		345,310,326.07		1,540,868.41		1,998,674.40
Balanced Portfolio		348,530,210.99		2,490,647.84		3,367,629.53
Core Bond Portfolio		2,042,737,398.13		4,292,727.13		91,815,607.34
Equity Growth Portfolio		2,192,268,527.75		5,678,612.82		82,140,641.82
Growth & Income Portfolio		964,362,415.12		5,804,122.96		4,050,272.29
High Quality Bond Portfolio		837,501,487.42		2,033,814.32		4,305,110.76
High Yield Bond Portfolio		535,620,030.55		1,867,825.98		3,152,112.97
Inflation-Protected Securities Portfolio		131,427,570.75		2,783,830.81		495,590.04
International Equity Portfolio		2,078,171,577.91		8,976,500.09		60,587,886.56
Mid-Cap Growth Portfolio		290,128,048.43		0.00		60,845.97
Mid-Cap Value Portfolio		990,840,959.87		968,602.91		16,242,693.70
Money Market Portfolio		968,955,978.58		3,987,830.24		31,342,028.37
Small-Cap Growth Portfolio		162,064,612.67		3,928.10		4,910.13
Small-Cap Value Portfolio		197,092,294.38		61,109.54		5,555.41

224

DIVERSIFIED INVESTORS PORTFOLIOS
INVESTOR MEETING RESULTS (Continued)
(Unaudited)


Proposal	For		Against		Abstain
Special Equity Portfolio		1,012,257,497.38		3,440,971.06		23,572,183.87
Total Return Bond Portfolio		315,692,145.02		180,078.19		14,037,600.00
Value & Income Portfolio		3,178,889,099.24		18,677,984.90		130,714,451.30
Value Portfolio		142,362,127.98		106,183.44		73,999.21


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to real estate
Aggressive Equity Portfolio		345,216,499.21		1,753,305.63		1,880,064.02
Balanced Portfolio		348,403,423.31		2,604,535.63		3,381,814.16
Core Bond Portfolio		2,043,139,277.68		5,556,702.09		90,036,752.83
Equity Growth Portfolio		2,192,874,490.82		5,235,717.46		81,974,224.53
Growth & Income Portfolio		964,256,754.14		5,989,080.29		3,976,278.99
High Quality Bond Portfolio		837,381,022.14		2,332,567.15		4,126,539.36
High Yield Bond Portfolio		535,572,754.70		2,239,047.31		2,828,167.50
Inflation-Protected Securities Portfolio		131,489,172.67		2,807,086.49		411,275.33
International Equity Portfolio		2,079,592,001.35		9,416,404.20		58,735,606.17
Mid-Cap Growth Portfolio		290,166,226.29		20,281.99		2,386.12
Mid-Cap Value Portfolio		990,469,649.12		3,074,235.49		14,508,371.87
Money Market Portfolio		968,957,042.28		4,761,430.60		30,570,872.33
Small-Cap Growth Portfolio		162,069,522.81		3,437.09		0.00
Small-Cap Value Portfolio		197,097,849.80		61,109.54		5,555.41
Special Equity Portfolio		1,012,181,604.60		3,959,221.08		23,126,486.94
Total Return Bond Portfolio		315,647,785.50		224,437.71		14,037,600.00
Value & Income Portfolio		3,178,966,807.30		20,882,650.63		128,449,663.90
Value Portfolio		142,371,365.70		106,183.44		64,761.48


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to making loans
Aggressive Equity Portfolio		344,408,664.37		2,427,095.05		2,015,439.06
Balanced Portfolio		348,338,239.83		3,300,929.56		2,749,318.97

225

DIVERSIFIED INVESTORS PORTFOLIOS
INVESTOR MEETING RESULTS (Continued)
(Unaudited)


Proposal	For		Against		Abstain
Core Bond Portfolio		2,042,472,864.53		5,485,633.59		90,877,875.50
Equity Growth Portfolio		2,190,467,033.24		7,558,666.92		82,068,493.84
Growth & Income Portfolio		963,650,160.57		6,359,389.67		4,209,976.58
High Quality Bond Portfolio		837,236,495.80		2,387,962.86		4,215,386.14
High Yield Bond Portfolio		535,314,517.61		2,679,320.37		2,646,131.52
Inflation-Protected Securities Portfolio		130,697,419.52		3,534,836.04		475,278.93
International Equity Portfolio		2,077,085,931.73		10,136,376.94		60,520,545.19
Mid-Cap Growth Portfolio		290,169,805.47		9,544.47		9,544.47
Mid-Cap Value Portfolio		988,186,154.96		3,687,364.16		16,178,737.36
Money Market Portfolio		968,445,825.88		5,098,332.36		30,745,147.46
Small-Cap Growth Portfolio		162,069,522.81		3,437.09		0.00
Small-Cap Value Portfolio		197,002,614.15		156,345.19		0.00
Special Equity Portfolio		1,010,683,188.32		5,011,892.66		23,574,419.40
Total Return Bond Portfolio		315,639,484.03		224,437.71		73,999.21
Value & Income Portfolio		3,175,032,102.46		22,274,925.66		130,974,507.32
Value Portfolio		142,368,561.43		99,749.98		73,999.21


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to concentration
Aggressive Equity Portfolio		342,496,462.59		4,151,882.22		2,202,853.67
Balanced Portfolio		348,309,678.43		2,804,070.59		3,274,739.34
Core Bond Portfolio		2,043,004,552.13		4,285,785.83		91,555,394.64
Equity Growth Portfolio		2,191,771,543.98		6,144,289.20		82,163,480.85
Growth & Income Portfolio		964,360,908.79		5,702,560.09		4,153,341.49
High Quality Bond Portfolio		837,529,634.30		2,030,930.59		4,764,168.10
High Yield Bond Portfolio		532,758,873.39		4,890,469.88		2,990,626.23
Inflation-Protected Securities Portfolio		131,434,115.84		2,871,237.62		401,638.15
International Equity Portfolio		2,073,031,109.40		14,328,163.96		60,384,738.37
Mid-Cap Growth Portfolio		290,118,503.96		9,544.47		60,845.97
Mid-Cap Value Portfolio		987,788,704.48		3,987,736.04		16,275,815.96
Money Market Portfolio		967,128,807.37		6,488,699.34		30,671,379.33
Small-Cap Growth Portfolio		162,065,103.69		3,437.09		4,910.13

226

DIVERSIFIED INVESTORS PORTFOLIOS
INVESTOR MEETING RESULTS (Continued)
(Unaudited)


Proposal	For		Against		Abstain
Small-Cap Value Portfolio		196,997,852.37		155,551.56		5,555.41
Special Equity Portfolio		1,013,297,157.50		5,863,526.37		23,444,013.96
Total Return Bond Portfolio		314,551,619.96		1,320,603.25		14,037,600.00
Value & Income Portfolio		3,172,812,440.13		23,395,017.00		130,974,452.54
Value Portfolio		142,383,517.79		94,031.35		64,761.48


Proposal	For		Against		Abstain
To approve a change to the fundamental investment policy relating to commodities
Aggressive Equity Portfolio		345,311,609.69		1,591,979.66		1,947,609.13
Balanced Portfolio		348,351,696.75		2,622,521.49		3,414,270.11
Core Bond Portfolio		2,042,738,895.82		5,609,300.55		90,497,536.23
Equity Growth Portfolio		2,192,290,498.04		6,396,870.94		81,398,611.30
Growth & Income Portfolio		963,870,192.75		5,455,030.94		4,891,586.68
High Quality Bond Portfolio		837,616,146.16		2,033,814.32		4,187,284.44
High Yield Bond Portfolio		535,650,109.33		2,224,312.37		2,765,547.80
Inflation-Protected Securities Portfolio		131,720,925.44		2,571,270.54		414,345.62
International Equity Portfolio		2,082,150,461.87		6,773,103.37		58,820,244.68
Mid-Cap Growth Portfolio		290,154,295.71		0.00		33,405.63
Mid-Cap Value Portfolio		990,292,082.55		3,060,434.55		14,699,739.37
Money Market Portfolio		970,550,575.05		3,048,492.68		30,690,237.96
Small-Cap Growth Portfolio		162,064,612.67		3,928.10		4,910.13
Small-Cap Value Portfolio		197,092,294.38		61,109.54		5,555.41
Special Equity Portfolio		1,011,976,295.43		4,041,946.13		23,246,767.21
Total Return Bond Portfolio		315,648,901.48		194,585.85		14,066,335.88
Value & Income Portfolio		3,178,434,069.56		20,053,973.98		129,800,847.26
Value Portfolio		142,389,951.25		87,597.89		64,761.48

227

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ITEM 2. CODE OF ETHICS.

As of the end of the period covered by this report, Registrant had adopted a code of ethics (the “Code”) that applies to the Registrant’s principal executive officer (“PEO”), principal financial officer (“PFO”), and Assistant Treasurer (“AT”). The Code was amended as of November 7, 2007 to reflect that the Registrant became part of the Transamerica Fund complex advised by Transamerica Asset Management, Inc. A copy of the Code of Ethics is attached as an exhibit to this Form N-CSR.

The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the PEO, PFO, or AT, during the period covered by this report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Board of Trustees has determined that the Registrant has two audit committee financial experts serving on its audit committee. The audit committee financial experts are Eugene M. Mannella and John W. Waechter, who are independent trustees. The designation of Mr. Mannella and Mr. Waechter as “audit committee financial experts” does not (i) impose upon them any duties, obligations, or liabilities that are greater than the duties imposed upon them as a member of the Registrant’s audit committee or Board of Trustees in the absence of such designation, or (ii) affect the duties, obligations, or liabilities of any member of the Registrant’s audit committee or Board of Trustees.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) AUDIT FEES. — The aggregate fees billed for professional services rendered by PricewaterhouseCoopers (“PWC”) for the audit of the Registrant’s financial statements and services that are normally provided by the accountant in connection with statutory and regulatory filings for 2007 and 2006 were $15,690 and $15,000, respectively.

(b) AUDIT RELATED FEES. — No such fees were billed by PWC for 2007 or 2006.

(d) ALL OTHER FEES — The aggregate non-audit fees billed by PWC for services rendered were $0 and $32,756 in 2007 and 2006, respectively. The fees rendered were in connection with a profitability study approved by the Audit Committee related to the investment advisory contract renewal process. The fees were paid by the Registrant’s advisor at the time, Diversified Investment Advisors.

(e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICY. The Audit Committee is required to pre-approve audit and non-audit services performed for the Funds by the independent accountant in order to assure that the provision of such services does not impair the accountant’s independence. The Audit Committee also is required to pre-approve non-audit services performed by the Funds’ independent accountant for the Funds investment adviser, and certain of the adviser’s affiliates that provide ongoing services to the Funds, if the services to be provided by the accountant relate directly to the operations and financial reporting of the Funds. The pre-approval of these services also is intended to assure that the provision of the services does not impair the accountant’s independence.

Unless a type of service to be provided by the independent accountant has received pre-approval, it will require separate pre-approval by the Audit Committee. Also, any proposed services exceeding pre-approved cost levels will require separate pre-approval by the Audit Committee. When considering services for pre-approval the Audit committee will take into account such matters as it

deems appropriate or advisable, including applicable rules regarding auditor independence.

The Audit Committee may delegate pre-approval authority to one or more of its members. The member or members to whom such authority is delegated shall report any pre-approval decisions to the Audit Committee at its next scheduled meeting.

Requests or applications to provide services that require separate approval by the Audit Committee will be submitted to the Audit Committee by both the independent accountant and the Funds’ treasurer, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC’s rules on auditor independence.

Management will promptly report to the Chair of the Audit Committee any violation of this Policy which it becomes aware.

(e) (2) 100% of services described in paragraphs (b) through (d) were approved by the Audit Committee.

(f) Not applicable.

(g) The aggregate non-audit fees billed to the Registrant’s investment advisor, Transamerica Asset Management (“TAM”) and the Registrant’s prior investment advisor, Diversified Investment Advisors (“DIA”) for 2007 and 2006, were $671,630 and $269,000, respectively. The fees rendered were in connection with the examination of DIA’s record-keeping operations (SAS-70), and in connection with the portion of tax-related fees billed directly to TAM. All such fees were incurred by and paid for by TAM or DIA.

(h) PWC provided non-audit services to TAM or DIA in 2007 and 2006 that were not required to be pre-approved by the Registrant’s audit committee because the services were not directly related to the operation of the Registrant’s funds. The Board of Trustees will consider PWC’s independence and will consider whether the provision of these non-audit services to TAM or DIA is compatible with maintaining PWC’s independence.

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.

There have been no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to this Item.

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) Code of Ethics, attached.

(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
		Principal Executive Officer

Date		March 7, 2008

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		March 7, 2008

By		/s/ Joseph P. Carusone
		Joseph P. Carusone
		Principal Financial Officer

Date		March 7, 2008

	•		honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

	•		full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the SEC and in other public communications made by the Funds;

	•		compliance with applicable laws and governmental rules and regulations;

	•		the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

	•		accountability for adherence to the Code.


II.		Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

	•		not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Funds whereby the Covered Officer would benefit personally to the detriment of the Funds;

	•		not cause the Funds to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Funds;

	•		not use material non-public knowledge of portfolio transactions made or contemplated for the Funds to trade personally or cause others to trade personally in contemplation of the market effect of such transactions; and

	•		report at least annually the information elicited in the Funds’ Trustee/Director and Officer Questionnaire relating to potential conflicts of interest.

	•		service as a director on the board of any Trust (public or private), other than a management investment company;

	•		the receipt of any non-nominal gifts from someone or a company that has current or prospective business dealings with the Funds;

	•		the receipt of any entertainment from any company with which the Funds have current or prospective business dealings unless such entertainment is business related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;

	•		any ownership interest in, or any consulting or employment relationship with, any of the Funds’ service providers, other than TFAI or any affiliated person thereof; and

	•		a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Funds for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

	•		should familiarize himself or herself with the disclosure requirements generally applicable to the Funds;

	•		should not knowingly misrepresent, or cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Trustees/Directors and auditors, governmental regulators or self-regulatory organizations;

	•		should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Funds, TFAI, and other service providers, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submits to, the SEC and in other public communications made by the Funds; and

	•		has the responsibility to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

	•		upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing (in the form attached hereto as Exhibit B) to the Board that he or she has received, read, and understands the Code;

	•		annually thereafter affirm (in the form attached hereto as Exhibit B) to the Board that he or she has complied with the requirements of the Code;

	•		not retaliate against any other Covered Officer or any employee or agent of an affiliated person of the Trust for reports of potential violations that are made in good faith; and

	•		*notify the Funds’ Audit Committee promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.*

	•		The Audit Committee will take all appropriate action to investigate any potential violations reported to the Audit Committee;

	•		if, after such investigation, the Audit Committee believes that no violation has occurred, the Audit Committee is not required to take any further action;

	•		any matter that the Audit Committee believes is a material violation will be promptly reported to the Board. The Directors shall take such actions as they consider appropriate, including imposition of any sanctions that they consider appropriate;

	•		no person shall participate in a determination of whether he or she has committed a violation of this Code or in the imposition of any sanction against himself or herself.

	•		the Audit Committee will be responsible for granting waivers, as appropriate; and

	•		any amendments to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.


*Name*		*Title*
John K. Carter		President, Chief Executive Officer
Joe Carusone		Vice President, Treasurer, Principal Financial Officer

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

	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: March 7, 2008		/s/ John K. Carter
		John K. Carter
		Chief Executive Officer

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.