N-CSRS

As filed with the SEC on September 5, 2008.

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

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS

(formerly, The Diversified Investors Strategic Variable Funds)

(Exact Name of Registrant as Specified in Charter)

570 Carillon Parkway, St. Petersburg, Florida 33716

(Address of Principal Executive Offices) (Zip Code)

Registrant’s Telephone Number, including Area Code: (727) 299-1800

Dennis P. Gallagher, Esq. P.O. Box 9012, Clearwater, Florida 33758-9771

(Name and Address of Agent for Service)

Date of fiscal year end: December 31, 2008

Date of reporting period: January 1, 2008 — June 30, 2008

TRANSAMERICA PARTNERS VARIABLE FUNDS TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS Semi-Annual Report June 30, 2008 International Equity Small Core Growth Large Growth Intermediate/Long Horizon Large Core Large Value BalancedIntermediate 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 Transamerica Partners Variable Funds or the Transamerica Asset Allocation 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 semi-annual report for the subaccounts of the Transamerica Partners Variable Funds and the Transamerica Asset Allocation Variable Funds.

Proxy Voting Policies and Procedures

A description of the proxy voting policies and procedures of the Transamerica Asset Allocation Variable Funds and Transamerica Partners 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 Transamerica Asset Allocation Variable Funds and the Transamerica Partners 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, 2008, 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 Transamerica Partners Portfolios is also available without charge on the SEC website, at the SEC’s Public Reference Room, or by calling 1-800-755-5801.

TRANSAMERICA PARTNERS VARIABLE FUNDS

AND

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS

TABLE OF CONTENTS

	Page
TRANSAMERICA PARTNERS VARIABLE FUNDS — LETTER TO CONTRACTHOLDERS		2
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS:
An Explanation of Fund Expenses		3
Financial Statements:
Short Horizon		4
Intermediate Horizon		5
Intermediate/Long Horizon		6
Portfolios of Investments:
Short Horizon		7
Intermediate Horizon		8
Intermediate/Long Horizon		9
Portfolio Composition		10
Notes to Financial Statements		11
TRANSAMERICA PARTNERS PORTFOLIOS		I
CALVERT SOCIAL BALANCED PORTFOLIO		II

TRANSAMERICA FINANCIAL LIFE INSURANCE COMPANY, INC.

Four Manhattanville Road

Purchase, New York 10577

June 30, 2008

To Contractholders with Interests

 in the Transamerica Partners Variable Funds:

We are pleased to present the most recent semi-annual reports for the Transamerica Partners Portfolios and for the Calvert Social Balanced Portfolio. As required under applicable law, we are sending these semi-annual reports to contract holders of Group Variable Annuity Contracts issued by Transamerica Financial Life Insurance Company, Inc. with unit interests in one or more of the Transamerica Partners Variable Funds. Each subaccount available within the Transamerica Partners Variable Funds, other than the Calvert Subaccount, invests its assets in a corresponding mutual fund that is a series of Transamerica Partners Portfolios. The Calvert Subaccount invests in the Calvert Social Balanced Portfolio, a series of Calvert Variable Series. Inc.

Please call your retirement plan administrator, Diversified Investment Advisors, Inc., at (800) 755-5801 if you have any questions regarding these reports.

2

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
AN EXPLANATION OF FUND EXPENSES
(Unaudited)

Transamerica Asset Allocation Variable Funds (formerly, Diversified Investors Strategic Variable Funds) (individually, a “Subaccount” and collectively, the “Subaccounts”) 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 Transamerica Partners Variable Funds (formerly, Diversified Investors Variable Funds) (“TPVF”), a unit investment trust. As a contractholder of a Subaccount, you will bear the ongoing costs of managing the corresponding subaccount in which your Subaccount invests. You will also bear the cost of operating the Subaccount.

The first column in the table shown below assumes an investment of $1,000 on January 1, 2008. The second column will show your ending balance (per $1,000) on June 30, 2008. The third column will show how much of your investment (per $1,000) went to the ongoing costs of your Subaccount. The figures in both of these columns are based on the actual total return and the actual expenses incurred for the period January 1, 2008 - June 30, 2008. In order to approximate how much you paid in expenses during the six months, divide your balance by 1,000, and multiply the result by the dollar amount shown under the heading “Expenses Paid During the Period January 1, 2008 - June 30, 2008 (Based on actual returns and expenses)”.

The fourth and fifth columns will also show your ending balance (per $1,000) on June 30, 2008 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 January 1, 2008 - June 30, 2008 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 Transamerica Asset Allocation Variable Fund against the cost of investing in other funds. Other funds should provide this information based on a hypothetical annual return of 5% before expenses in their most recent report in order for you to make a fair comparison.

Expenses Paid

Ending Account

During the Period

Expenses Paid

Value

January 1, 2008-

Ending Account

During the Period

June 30, 2008

June 30, 2008

Value

January 1, 2008-

(Based on

(Based on

June 30, 2008

June 30, 2008

hypothetical

hypothetical

Beginning Account

(Based on actual

(Based on actual

5% annual returns

5% annual returns

Annualized

Value

returns and

returns and

before actual

before actual

Expense

Subaccount Name

January 1, 2008

expenses)

expenses)(1)(2)

expenses)

expenses)(1)(2)

Ratio(1)

Short Horizon

$

1,000

$

990.79

$

0.99

$

1,023.87

$

1.01

0

.20%

Intermediate Horizon

1,000

935.57

0.96

1,023.87

1.01

0

.20

Intermediate/ Long Horizon

1,000

908.29

0.95

1,023.87

1.01

0

.20

(1)	These figures exclude fees and expenses of the underlying investments in TPVF.
(2)	Expenses are equal to each Subaccount’s annualized expense ratio multiplied by the average account value over the period, divided by 366, multiplied by 182 (to reflect the one-half year period).

3

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS

SHORT HORIZON

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

Assets:
Investments in affiliates, at value (Notes 1 and 2)	$	11,333,471
Cash		22,749
Receivable for units sold		38,881
Receivable for securities sold		—
Total assets		11,395,101
Liabilities:
Due to Custodian		—
Payable for units redeemed		2,455
Payable for securities purchased		59,175
Accrued investment advisory fees		1,920
Total liabilities		63,550
Net assets	$	11,331,551
Net assets consist of:
Cost of accumulation units	$	8,606,860
Undistributed (accumulated) net investment income (loss)		(154,628	)
Undistributed (accumulated) net realized gains (losses)		2,169,627
Net unrealized appreciation (depreciation) on investments		709,692
Net assets	$	11,331,551
Accumulation units		702,408
Unit value	$	16.13
Investments in affiliates, at cost	$	10,623,779

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment advisory fees (Note 3)	$	(11,222	)
Realized and unrealized gains (losses) on investments in affiliates (Note 2):
Net realized gains (losses) on investments in affiliates		530,155
Change in net unrealized appreciation (depreciation) on investments in affiliates		(619,958	)
Net realized and unrealized gains (losses) on investments in affiliates		(89,803	)
Net increase (decrease) in net assets resulting from operations	$	(101,025	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Investment advisory fees	$	(11,222	)	$	(21,447	)
Net realized gains (losses) on investments in affiliates		530,155			242,773
Change in net unrealized appreciation (depreciation) on investments in affiliates		(619,958	)		249,785
Net increase (decrease) in net assets resulting from operations		(101,025	)		471,111
From unit transactions:
Units sold		2,744,485			3,890,370
Units redeemed		(2,408,810	)		(3,469,492	)
Net increase (decrease) in net assets resulting from unit transactions		335,675			420,878
Total increase (decrease) in net assets		234,650			891,989
Net assets:
Beginning of period/year		11,096,901			10,204,912
End of period/year	$	11,331,551		$	11,096,901
Units outstanding beginning of period/year		681,662			654,393
Units sold		168,675			245,586
Units redeemed		(147,929	)		(218,317	)
Units outstanding end of period/year		702,408			681,662

See notes to financial statements.

4

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS

INTERMEDIATE HORIZON

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

Assets:
Investments in affiliates, at value (Notes 1 and 2)	$	29,732,780
Cash		—
Receivable for units sold		13,392
Receivable for securities sold		154,608
Total assets		29,900,780
Liabilities:
Due to Custodian		167,754
Payable for units redeemed		236
Payable for securities purchased		—
Accrued investment advisory fees		5,156
Total liabilities		173,146
Net assets	$	29,727,634
Net assets consist of:
Cost of accumulation units	$	22,290,260
Undistributed (accumulated) net investment income (loss)		(463,074	)
Undistributed (accumulated) net realized gains (losses)		4,999,025
Net unrealized appreciation (depreciation) on investments		2,901,423
Net assets	$	29,727,634
Accumulation units		1,749,284
Unit value	$	16.99
Investments in affiliates, at cost	$	26,831,357

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment advisory fees (Note 3)	$	(30,599	)
Realized and unrealized gains (losses) on investments in affiliates (Note 2):
Net realized gains (losses) on investments in affiliates		2,040,336
Change in net unrealized appreciation (depreciation) on investments in affiliates		(4,088,425	)
Net realized and unrealized gains (losses) on investments in affiliates		(2,048,089	)
Net increase (decrease) in net assets resulting from operations	$	(2,078,688	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Investment advisory fees	$	(30,599	)	$	(63,294	)
Net realized gains (losses) on investments in affiliates		2,040,336			198,466
Change in net unrealized appreciation (depreciation) on investments in affiliates		(4,088,425	)		1,124,330
Net increase (decrease) in net assets resulting from operations		(2,078,688	)		1,259,502
From unit transactions:
Units sold		3,776,544			6,971,209
Units redeemed		(4,553,585	)		(5,603,555	)
Net increase (decrease) in net assets resulting from unit transactions		(777,041	)		1,367,654
Total increase (decrease) in net assets		(2,855,729	)		2,627,156
Net assets:
Beginning of period/year		32,583,363			29,956,207
End of period/year	$	29,727,634		$	32,583,363
Units outstanding beginning of period/year		1,794,207			1,717,863
Units sold		215,552			387,964
Units redeemed		(260,475	)		(311,620	)
Units outstanding end of period/year		1,749,284			1,794,207

See notes to financial statements.

5

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS

INTERMEDIATE/LONG HORIZON

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

Assets:
Investments in affiliates, at value (Notes 1 and 2)	$	46,443,434
Cash		4,960
Receivable for units sold		17,749
Receivable for securities sold		47,455
Total assets		46,513,598
Liabilities:
Due to Custodian		—
Payable for units redeemed		70,164
Payable for securities purchased		—
Accrued investment advisory fees		8,200
Total liabilities		78,364
Net assets	$	46,435,234
Net assets consist of:
Cost of accumulation units	$	36,793,640
Undistributed (accumulated) net investment income (loss)		(654,108	)
Undistributed (accumulated) net realized gains (losses)		6,029,384
Net unrealized appreciation (depreciation) on investments		4,266,318
Net assets	$	46,435,234
Accumulation units		2,648,760
Unit value	$	17.53
Investments in affiliates, at cost	$	42,177,116

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment advisory fees (Note 3)	$	(48,960	)
Realized and unrealized gains (losses) on investments in affiliates (Note 2):
Net realized gains (losses) on investments in affiliates		2,437,834
Change in net unrealized appreciation (depreciation) on investments in affiliates		(7,154,229	)
Net realized and unrealized gains (losses) on investments in affiliates		(4,716,395	)
Net increase (decrease) in net assets resulting from operations	$	(4,765,355	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Investment advisory fees	$	(48,960	)	$	(103,143	)
Net realized gains (losses) on investments in affiliates		2,437,834			321,871
Change in net unrealized appreciation (depreciation) on investments in affiliates		(7,154,229	)		1,661,060
Net increase (decrease) in net assets resulting from operations		(4,765,355	)		1,879,788
From unit transactions:
Units sold		3,935,150			11,094,717
Units redeemed		(5,438,235	)		(7,564,308	)
Net increase (decrease) in net assets resulting from unit transactions		(1,503,085	)		3,530,409
Total increase (decrease) in net assets		(6,268,440	)		5,410,197
Net assets:
Beginning of period/year		52,703,674			47,293,477
End of period/year	$	46,435,234		$	52,703,674
Units outstanding beginning of period/year		2,731,348			2,548,307
Units sold		215,299			576,621
Units redeemed		(297,887	)		(393,580	)
Units outstanding end of period/year		2,648,760			2,731,348

See notes to financial statements.

6

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
SHORT HORIZON
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Investments
	156,169	Transamerica Partners Variable Funds — Core Bond	$	5,221,326
	124,712	Transamerica Partners Variable Funds — High Quality Bond		1,963,547
	60,439	Transamerica Partners Variable Funds — High Yield Bond		1,129,368
	76,161	Transamerica Partners Variable Funds — Inflation-Protected Securities		1,762,762
	8,537	Transamerica Partners Variable Funds — International Equity		212,614
	6,552	Transamerica Partners Variable Funds — Large Growth		329,968
	5,979	Transamerica Partners Variable Funds — Large Value		309,330
	8,564	Transamerica Partners Variable Funds — Money Market		179,916
	6,859	Transamerica Partners Variable Funds — Small Core		224,640
		Total Investments — 100.0% (Cost $10,623,779)		11,333,471
		Liabilities less other assets — (0.0%)*		(1,920	)
		Net Assets — 100.0%	$	11,331,551

The aggregate cost of investments for federal income tax purposes at June 30, 2008 is $10,623,779.

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

Gross unrealized appreciation	$	720,437
Gross unrealized depreciation		(10,745	)
Net unrealized appreciation	$	709,692

* Less than (0.05)%.

See notes to financial statements.

7

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INTERMEDIATE HORIZON
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Investments
	217,812	Transamerica Partners Variable Funds — Core Bond	$	7,282,309
	152,951	Transamerica Partners Variable Funds — High Quality Bond		2,408,154
	99,383	Transamerica Partners Variable Funds — High Yield Bond		1,857,079
	131,648	Transamerica Partners Variable Funds — Inflation-Protected Securities		3,047,013
	136,733	Transamerica Partners Variable Funds — International Equity		3,405,160
	83,069	Transamerica Partners Variable Funds — Large Growth		4,183,710
	75,902	Transamerica Partners Variable Funds — Large Value		3,927,115
	36,482	Transamerica Partners Variable Funds — Money Market		766,445
	87,195	Transamerica Partners Variable Funds — Small Core		2,855,795
		Total Investments — 100.0% (Cost $26,831,357)		29,732,780
		Liabilities less other assets — (0.0%)*		(5,146	)
		Net Assets — 100.0%	$	29,727,634

The aggregate cost of investments for federal income tax purposes at June 30, 2008 is $26,831,357.

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

Gross unrealized appreciation	$	2,957,943
Gross unrealized depreciation		(56,520	)
Net unrealized appreciation	$	2,901,423

* Less than (0.05)%.

See notes to financial statements.

8

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INTERMEDIATE/LONG HORIZON
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Investments
	213,094	Transamerica Partners Variable Funds — Core Bond	$	7,124,568
	61,476	Transamerica Partners Variable Funds — High Quality Bond		967,922
	103,393	Transamerica Partners Variable Funds — High Yield Bond		1,931,996
	146,983	Transamerica Partners Variable Funds — Inflation-Protected Securities		3,401,927
	329,208	Transamerica Partners Variable Funds — International Equity		8,198,492
	182,421	Transamerica Partners Variable Funds — Large Growth		9,187,485
	166,619	Transamerica Partners Variable Funds — Large Value		8,620,742
	35,263	Transamerica Partners Variable Funds — Money Market		740,819
	191,425	Transamerica Partners Variable Funds — Small Core		6,269,483
		Total Investments — 100.0% (Cost $42,177,116)		46,443,434
		Liabilities less other assets — (0.0%)*		(8,200	)
		Net Assets — 100.0%	$	46,435,234

The aggregate cost of investments for federal income tax purposes at June 30, 2008 is $42,177,116.

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

Gross unrealized appreciation	$	4,386,543
Gross unrealized depreciation		(120,225	)
Net unrealized appreciation	$	4,266,318

* Less than (0.05)%.

See notes to financial statements.

9

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
PORTFOLIO COMPOSITION

June 30, 2008
(Unaudited)

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

Short Horizon
Money Market Fund	1.6	%
Fixed Income Funds	88.9
Domestic Equity Funds	7.6
International Equity Fund	1.9
Liabilities less other assets	(0.0	)*
	100.0	%
Intermediate Horizon
Money Market Fund	2.6	%
Fixed Income Funds	49.1
Domestic Equity Funds	36.9
International Equity Fund	11.4
Liabilities less other assets	(0.0	)*
	100.0	%
Intermediate/Long Horizon
Money Market Fund	1.6	%
Fixed Income Funds	28.9
Domestic Equity Funds	51.8
International Equity Fund	17.7
Liabilities less other assets	(0.0	)*
	100.0	%

* Less than (0.05)%.

See notes to financial statements.

10

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS
(Unaudited)

1. Organization

Transamerica Asset Allocation Variable Funds (formerly, 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: Transamerica Asset Allocation — Short Horizon Subaccount (formerly, Short Horizon Strategic Variable Fund) (“Short Horizon”), Transamerica Asset Allocation — Intermediate Horizon Subaccount (formerly, Intermediate Horizon Strategic Variable Fund) (“Intermediate Horizon”), and Transamerica Asset Allocation — Intermediate/Long Horizon Subaccount (formerly, 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. The effective date of the name changes was May 1, 2008. Each Subaccount seeks to achieve its investment objective by investing all of its investable assets among certain Transamerica Partners Variable Funds (formerly, Diversified Investors Variable Funds) (“TPVF”). TPVF is a separate investment account offering thirteen subaccounts, each with a different investment objective. Certain TPVF subaccounts seek to achieve their investment objective by investing all of their investable assets in Transamerica Partners Portfolios (formerly, Diversified Investors Portfolios) (“Portfolios”). TPVF operates as a unit investment trust under the 1940 Act and commenced operations on August 18, 1994. The financial statements of the Portfolios accompany this report.

2. Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by the Separate Account in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America.

     A. Investment Valuation:

The value of each Subaccount’s investment in a corresponding subaccount of TPVF is valued at the unit value per share determined as of the close of the New York Stock Exchange (typically, 4:00 P.M. Eastern time) on the valuation date.

     B. Operating Expenses:

The Separate Account accounts separately for the assets, liabilities and operations of each Subaccount. Each Subaccount will indirectly bear its share of fees and expenses incurred by TPVF.

     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, LLC (“AEGON USA”). AEGON USA is a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international 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.

11

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

     D. Accounting Pronouncements:

In September 2006, the Financial Accounting Standards Board (“FASB”) issued 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 was adopted by the Subaccounts on January 1, 2008.

Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the three broad levels listed below:

Level 1 — Quoted prices in active markets for identical securities.

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 — Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not an indication of the risks associated with investing in those securities.

	Investments						Total		Other Financial
	in Securities						Investments		Instruments*
Series	Level 1		Level 2		Level 3		in Securities		Level 1		Level 2		Level 3
Short Horizon	$	11,333,471	$	—	$	—	$	11,333,471	$	—	$	—	$	—
Intermediate Horizon		29,732,780		—		—		29,732,780		—		—		—
Intermediate/Long Horizon		46,443,434		—		—		46,443,434		—		—		—

* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

In addition, in March 2008, the FASB issued new Standard 161, “Disclosure About Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. FAS 161 requires enhanced disclosures about a Fund’s derivative and hedging activities. Management is currently evaluating the impact the adoption of FAS 161 will have on the Funds’ financial statement disclosures.

     E. 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.

3. Fees and Transactions with Affiliates

The Separate Account has entered into an Investment Advisory Agreement with Transamerica Asset Management, Inc. (the “Advisor” or “TAM”). TAM is directly owned by Western Reserve Life Assurance Co. of Ohio (77%) (“Western Reserve”) and AUSA Holding Company (23%) (“AUSA”), both of which are indirect,

12

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

3. Fees and Transactions with Affiliates (continued)

wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA. 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.

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 TPVF. 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 Portfolios for which they receive fees.

Each eligible independent board member may elect participation in a non-qualified deferred compensation plan (“the Plan”). Under the Plan, such board members may defer payment of all or a portion of their total fees earned as a Separate Account board member. Each board member who is a participant in the Plan may elect that the earnings, gains or losses credited to his/her deferred fee amounts be determined based on a deemed investment in investment options in Transamerica Partners Institutional Funds Group, Transamerica Institutional Asset Allocation Funds, Class A shares of any series of Transamerica Funds and/or funds of Transamerica Investors, Inc.

4. Purchases and Sales of Investments

The aggregate cost of investments purchased and proceeds from sales for the period ended June 30, 2008 were as follows:

	Cost of Purchases		Proceeds from Sales
Short Horizon	$	9,870,705	$	9,546,216
Intermediate Horizon		22,913,711		23,721,726
Intermediate/Long Horizon		34,635,861		36,188,687

5. Concentrations and Indemnifications

From time to time, the Subaccounts may have a concentration of several contractholders holding a significant percentage of units outstanding. Investment activities of these contractholders 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.

13

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

6. Financial Highlights

For an accumulation unit outstanding throughout the period/year:

			Income (Loss) from																Ratios to Average
			Investment Operations						Total										Net Assets
	Unit		Net			Net			Income			Unit					Net					Net
For the	Value,		Investment			Realized andUnrealized			(Loss) from			Value,					Assets,					Investment
Period/Year	Beginning of		Income			Gains (Losses)			Investment			End of		Total			End of					Income			Portfolio
Ended	Period/Year		(Loss)(a)			on Investments			Operations			Period/Year		Return			Period/Year		Expenses			(Loss)			Turnover
Short Horizon
06/30/2008	$	16.28	$	(0.02	)	$	(0.13	)	$	(0.15	)	$	16.13		(0.92	)%	$	11,331,551		0.20	%*		(0.20	)%*		84	%
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
06/30/2008		18.16		(0.02	)		(1.15	)		(1.17	)		16.99		(6.44	)		29,727,634		0.20	*		(0.20	)*		74
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
06/30/2008		19.30		(0.02	)		(1.75	)		(1.77	)		17.53		(9.17	)		46,435,234		0.20	*		(0.20	)*		70
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.
*	Annualized.

14

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

7. 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 June 30, 2008 totaled $11,333,471, $29,732,780 and $46,443,434 for Short Horizon, Intermediate Horizon, and Intermediate/Long Horizon, respectively.

	Beginning		Units		Units		Ending		Purchase		Sale		Gain/(Loss)
	Units		Purchased		Sold		Units		Cost		Cost		on Sales
Short Horizon
Investments:
Transamerica Partners Variable Funds — Core Bond		177,681		33,343		54,855		156,169	$	1,130,430	$	1,608,314	$	251,894
Transamerica Partners Variable Funds — High Quality Bond		184,617		26,593		86,498		124,712		417,767		1,251,175		107,203
Transamerica Partners Variable Funds — High Yield Bond		50,602		22,301		12,464		60,439		413,953		143,887		87,191
Transamerica Partners Variable Funds — Inflation-Protected Securities		—		78,260		2,099		76,161		1,775,362		47,580		1,504
Transamerica Partners Variable Funds — International Equity		5,475		4,410		1,348		8,537		118,417		17,877		17,664
Transamerica Partners Variable Funds — Large Core		5,230		—		5,230		—		—		118,819		21,442
Transamerica Partners Variable Funds — Large Growth		6,211		1,410		1,069		6,552		73,724		42,086		13,443
Transamerica Partners Variable Funds — Large Value		5,540		1,357		918		5,979		78,373		33,163		19,727
Transamerica Partners Variable Funds — Money Market		11,108		271,594		274,138		8,564		5,670,765		5,721,644		2,913
Transamerica Partners Variable Funds — Small Core		2,303		5,713		1,157		6,859		191,914		31,516		7,174
									$	9,870,705	$	9,016,061	$	530,155

15

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

7. 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 Horizon
Investments:
Transamerica Partners Variable Funds — Core Bond		282,973		23,061		88,222		217,812	$	782,422	$	2,360,935	$	630,593
Transamerica Partners Variable Funds — High Quality Bond		302,883		16,612		166,544		152,951		260,807		2,401,257		214,011
Transamerica Partners Variable Funds — High Yield Bond		80,265		32,889		13,771		99,383		611,207		163,001		91,352
Transamerica Partners Variable Funds — Inflation-Protected Securities		—		142,975		11,327		131,648		3,241,488		256,782		8,189
Transamerica Partners Variable Funds — International Equity		90,574		62,421		16,262		136,733		1,683,679		283,605		144,404
Transamerica Partners Variable Funds — Large Core		75,767		—		75,767		—		—		1,750,228		281,894
Transamerica Partners Variable Funds — Large Growth		93,746		8,803		19,480		83,069		464,563		773,020		245,954
Transamerica Partners Variable Funds — Large Value		77,720		12,535		14,353		75,902		729,118		569,321		258,776
Transamerica Partners Variable Funds — Money Market		38,020		617,275		618,813		36,482		12,879,580		12,902,137		8,145
Transamerica Partners Variable Funds — Small Core		31,254		67,249		11,308		87,195		2,260,847		221,104		157,018
									$	22,913,711	$	21,681,390	$	2,040,336

16

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

7. 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:
Transamerica Partners Variable Funds — Core Bond		269,499		33,166		89,571		213,094	$	1,125,286	$	2,682,704	$	356,084
Transamerica Partners Variable Funds — High Quality Bond		286,827		6,729		232,080		61,476		105,643		3,427,906		215,827
Transamerica Partners Variable Funds — High Yield Bond		77,676		40,455		14,738		103,393		751,816		170,895		104,763
Transamerica Partners Variable Funds — Inflation-Protected Securities		—		160,137		13,154		146,983		3,630,824		298,225		8,901
Transamerica Partners Variable Funds — International Equity		205,200		154,419		30,411		329,208		4,165,129		636,828		176,942
Transamerica Partners Variable Funds — Large Core		170,874		—		170,874		—		—		4,215,250		367,732
Transamerica Partners Variable Funds — Large Growth		212,707		27,718		58,004		182,421		1,462,871		2,536,022		524,570
Transamerica Partners Variable Funds — Large Value		175,601		12,648		21,630		166,619		731,436		861,271		394,553
Transamerica Partners Variable Funds — Money Market		57,952		866,421		889,110		35,263		18,073,542		18,535,878		11,456
Transamerica Partners Variable Funds — Small Core		74,212		136,784		19,571		191,425		4,589,314		385,874		277,006
									$	34,635,861	$	33,750,853	$	2,437,834

17

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Transamerica Partners Portfolios

I

TRANSAMERICA PARTNERS PORTFOLIOS

MONEY MARKET

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	828,063,977
Repurchase agreements (cost equals market value)		345,038,936
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		—
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		621,386
Dividends receivable		—
Foreign tax reclaim receivable		—
Receivable from Advisor		—
Receivable from securities lending (net)		—
Total assets		1,173,724,299
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		—
Payable for securities purchased		—
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		251,644
Accrued expenses		95,492
Contingent liability (Note 6)		—
Total liabilities		347,136
Net assets	$	1,173,377,163
Securities, at cost	$	828,063,977

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	18,510,857
Securities lending income (net)		—
Dividend income		—
Less: foreign withholding taxes		—
Total income		18,510,857
Expenses (Note 2):
Investment advisory fees		1,444,408
Custody fees		94,345
Audit fees		16,058
Legal fees		16,935
Reports to shareholders		4,309
Other fees		11,320
Total expenses		1,587,375
Expenses reimbursed by the Advisor		—
Net expenses		1,587,375
Net investment income (loss)		16,923,482
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		37,933
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		37,933
Change in net unrealized appreciation (depreciation) on:
Securities		—
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		—
Net realized and unrealized gains (losses) on investments		37,933
Net increase (decrease) in net assets resulting from operations	$	16,961,415

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	16,923,482		$	49,560,669
Net realized gains (losses) on investments		37,933			—
Change in net unrealized appreciation (depreciation) on investments		—			—
Net increase (decrease) in net assets resulting from operations		16,961,415			49,560,669
From transactions in investors’ beneficial interests:
Contributions		2,477,390,214			2,954,349,154
Withdrawals		(2,371,770,571	)		(2,879,054,327	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		105,619,643			75,294,827
Net increase (decrease) in net assets		122,581,058			124,855,496
Net assets:
Beginning of period/year		1,050,796,105			925,940,609
End of period/year	$	1,173,377,163		$	1,050,796,105

SEE NOTES TO FINANCIAL STATEMENTS.

2

TRANSAMERICA PARTNERS PORTFOLIOS

HIGH QUALITY BOND

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	536,306,912
Repurchase agreements (cost equals market value)		3,446,435
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		—
Receivable for principal paydowns		78,563
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		3,431,918
Dividends receivable		—
Foreign tax reclaim receivable		—
Receivable from Advisor		158
Receivable from securities lending (net)		9,578
Total assets		543,273,564
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		18,486,913
Payable for securities purchased		—
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		156,875
Accrued expenses		100,841
Contingent liability (Note 6)		—
Total liabilities		18,744,629
Net assets	$	524,528,935
Securities, at cost	$	540,390,546

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	13,107,330
Securities lending income (net)		92,174
Dividend income		—
Less: foreign withholding taxes		—
Total income		13,199,504
Expenses (Note 2):
Investment advisory fees		1,004,091
Custody fees		90,528
Audit fees		17,187
Legal fees		13,528
Reports to shareholders		3,413
Other fees		8,992
Total expenses		1,137,739
Expenses reimbursed by the Advisor		(456	)
Net expenses		1,137,283
Net investment income (loss)		12,062,221
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		4,392,633
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		4,392,633
Change in net unrealized appreciation (depreciation) on:
Securities		(5,894,914	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(5,894,914	)
Net realized and unrealized gains (losses) on investments		(1,502,281	)
Net increase (decrease) in net assets resulting from operations	$	10,559,940

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	12,062,221		$	37,058,128
Net realized gains (losses) on investments		4,392,633			(1,923,414	)
Change in net unrealized appreciation (depreciation) on investments		(5,894,914	)		8,617,100
Net increase (decrease) in net assets resulting from operations		10,559,940			43,751,814
From transactions in investors’ beneficial interests:
Contributions		108,791,992			284,629,480
Withdrawals		(428,114,236	)		(312,713,241	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(319,322,244	)		(28,083,761	)
Net increase (decrease) in net assets		(308,762,304	)		15,668,053
Net assets:
Beginning of period/year		833,291,239			817,623,186
End of period/year	$	524,528,935		$	833,291,239

SEE NOTES TO FINANCIAL STATEMENTS.

3

TRANSAMERICA PARTNERS PORTFOLIOS

INFLATION-PROTECTED SECURITIES

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	532,800,531
Repurchase agreements (cost equals market value)		8,118,013
Cash at broker		6
Foreign currency holdings, at value (cost $895)		909
Receivable for securities sold		—
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		168,264
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		3,918,638
Dividends receivable		—
Foreign tax reclaim receivable		—
Receivable from Advisor		—
Receivable from securities lending (net)		100,975
Total assets		545,107,336
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		—
Payable for securities purchased		28,570,488
Securities sold short, at value		—
Written options, at value (premium $455,680)		1,066,422
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		32,195
Variation margin payable		33,226
Accrued investment advisory fees		151,451
Accrued expenses		15,478
Contingent liability (Note 6)		—
Total liabilities		29,869,260
Net assets	$	515,238,076
Securities, at cost	$	532,221,314

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	15,052,359
Securities lending income (net)		410,716
Dividend income		—
Less: foreign withholding taxes		—
Total income		15,463,075
Expenses (Note 2):
Investment advisory fees		819,883
Custody fees		22,651
Audit fees		17,258
Legal fees		7,079
Reports to shareholders		678
Other fees		1,763
Total expenses		869,312
Expenses reimbursed by the Advisor		—
Net expenses		869,312
Net investment income (loss)		14,593,763
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		4,175,747
Swap contracts		—
Futures		1,731,759
Written options		—
Foreign currency transactions		(38,651	)
		5,868,855
Change in net unrealized appreciation (depreciation) on:
Securities		(4,611,804	)
Futures		(523,542	)
Written options		(610,742	)
Short sales		—
Swap contracts		—
Foreign currency translations		139,013
		(5,607,075	)
Net realized and unrealized gains (losses) on investments		261,780
Net increase (decrease) in net assets resulting from operations	$	14,855,543

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	14,593,763		$	7,583,583
Net realized gains (losses) on investments		5,868,855			805,098
Change in net unrealized appreciation (depreciation) on investments		(5,607,075	)		5,212,164
Net increase (decrease) in net assets resulting from operations		14,855,543			13,600,845
From transactions in investors’ beneficial interests:
Contributions		436,210,673			72,255,744
Withdrawals		(84,841,536	)		(87,524,361	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		351,369,137			(15,268,617	)
Net increase (decrease) in net assets		366,224,680			(1,667,772	)
Net assets:
Beginning of period/year		149,013,396			150,681,168
End of period/year	$	515,238,076		$	149,013,396

SEE NOTES TO FINANCIAL STATEMENTS.

4

TRANSAMERICA PARTNERS PORTFOLIOS

CORE BOND

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	2,397,319,518
Repurchase agreements (cost equals market value)		11,382,009
Cash at broker		—
Foreign currency holdings, at value (cost $5,439,668)		5,459,604
Receivable for securities sold		369,419,401
Receivable for principal paydowns		269,037
Unrealized appreciation on foreign currency forward contracts (Note 8)		115,321
Swap contracts, at value		32,453,332
Variation margin receivable		—
Interest receivable		19,123,752
Dividends receivable		113,551
Foreign tax reclaim receivable		—
Receivable from Advisor		—
Receivable from securities lending (net)		22,820
Total assets		2,835,678,345
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		2,400,000
Collateral for securities out on loan		70,464,218
Payable for securities purchased		471,056,050
Securities sold short, at value (proceeds $266,256,437)		266,781,895
Written options, at value (premium $4,349,032)		5,190,389
Swap contracts, at value		14,142,523
Unrealized depreciation on foreign currency forward contracts (Note 8)		33,678
Variation margin payable		711,916
Accrued investment advisory fees		596,573
Accrued expenses		291,993
Contingent liability (Note 6)		—
Total liabilities		831,669,235
Net assets	$	2,004,009,110
Securities, at cost	$	2,429,373,631

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	55,317,097
Securities lending income (net)		59,413
Dividend income		1,019,036
Less: foreign withholding taxes		—
Total income		56,395,546
Expenses (Note 2):
Investment advisory fees		3,610,535
Custody fees		290,574
Audit fees		18,820
Legal fees		35,985
Reports to shareholders		9,128
Other fees		24,057
Total expenses		3,989,099
Expenses reimbursed by the Advisor		—
Net expenses		3,989,099
Net investment income (loss)		52,406,447
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		14,755,894
Swap contracts		1,248,554
Futures		(740,515	)
Written options		341,543
Foreign currency transactions		(1,226,371	)
		14,379,105
Change in net unrealized appreciation (depreciation) on:
Securities		(49,516,177	)
Futures		812,053
Written options		(870,389	)
Short sales		(187,560	)
Swap contracts		(3,341,797	)
Foreign currency translations		490,461
		(52,613,409	)
Net realized and unrealized gains (losses) on investments		(38,234,304	)
Net increase (decrease) in net assets resulting from operations	$	14,172,143

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	52,406,447		$	103,906,486
Net realized gains (losses) on investments		14,379,105			(16,401,628	)
Change in net unrealized appreciation (depreciation) on investments		(52,613,409	)		52,800,139
Net increase (decrease) in net assets resulting from operations		14,172,143			140,304,997
From transactions in investors’ beneficial interests:
Contributions		373,845,229			568,414,773
Withdrawals		(632,887,778	)		(537,661,703	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(259,042,549	)		30,753,070
Net increase (decrease) in net assets		(244,870,406	)		171,058,067
Net assets:
Beginning of period/year		2,248,879,516			2,077,821,449
End of period/year	$	2,004,009,110		$	2,248,879,516

SEE NOTES TO FINANCIAL STATEMENTS.

5

TRANSAMERICA PARTNERS PORTFOLIOS
TOTAL RETURN BOND
(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	500,170,011
Repurchase agreements (cost equals market value)		65,782,110
Cash at broker		4,257,851
Foreign currency holdings, at value		—
Receivable for securities sold		61,041,759
Receivable for principal paydowns		82,198
Unrealized appreciation on foreign currency forward contracts (Note 8)		25,556
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		3,176,314
Dividends receivable		39,876
Foreign tax reclaim receivable		—
Receivable from Advisor		—
Receivable from securities lending (net)		34,445
Total assets		634,610,120
LIABILITIES:
Due to Advisor		367
Due to Custodian		47,153
Payable for written options		164,649
Collateral for securities out on loan		37,293,929
Payable for securities and options purchased		180,044,077
Securities sold short, at value		—
Written options, at value (premium $1,396)		688
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		39,994
Variation margin payable		2,589,111
Accrued investment advisory fees		123,050
Accrued expenses		69,769
Contingent liability (Note 6)		—
Total liabilities		220,372,787
Net assets	$	414,237,333
Securities, at cost	$	523,312,302

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	10,308,329
Securities lending income (net)		144,415
Dividend income		89,873
Less: foreign withholding taxes		—
Total income		10,542,617
Expenses (Note 2):
Investment advisory fees		714,270
Custody fees		71,743
Audit fees		18,779
Legal fees		6,111
Reports to shareholders		1,541
Other fees		4,077
Total expenses		816,521
Expenses reimbursed by the Advisor		(1,076	)
Net expenses		815,445
Net investment income (loss)		9,727,172
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(874,020	)
Swap contracts		—
Futures		(1,357,447	)
Written options		547,473
Foreign currency transactions		(362,985	)
		(2,046,979	)
Change in net unrealized appreciation (depreciation) on:
Securities		(18,149,547	)
Futures		(1,813,247	)
Written options		253,237
Short sales		—
Swap contracts		—
Foreign currency translations		12,863
		(19,696,694	)
Net realized and unrealized gains (losses) on investments		(21,743,673	)
Net increase (decrease) in net assets resulting from operations	$	(12,016,501	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	9,727,172		$	14,141,643
Net realized gains (losses) on investments		(2,046,979	)		2,612,690
Change in net unrealized appreciation (depreciation) on investments		(19,696,694	)		(5,712,368	)
Net increase (decrease) in net assets resulting from operations		(12,016,501	)		11,041,965
From transactions in investors’ beneficial interests:
Contributions		105,332,094			333,268,808
Withdrawals		(69,365,756	)		(74,659,704	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		35,966,338			258,609,104
Net increase (decrease) in net assets		23,949,837			269,651,069
Net assets:
Beginning of period/year		390,287,496			120,636,427
End of period/year	$	414,237,333		$	390,287,496

SEE NOTES TO FINANCIAL STATEMENTS.

6

TRANSAMERICA PARTNERS PORTFOLIOS
HIGH YIELD BOND
(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	564,761,782
Repurchase agreements (cost equals market value)		52,411,389
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		389,828
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		11,782,813
Dividends receivable		—
Foreign tax reclaim receivable		—
Receivable from Advisor		—
Receivable from securities lending (net)		—
Total assets		629,345,812
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		—
Payable for securities purchased		15,703,386
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		274,902
Accrued expenses		77,478
Contingent liability (Note 6)		—
Total liabilities		16,055,766
Net assets	$	613,290,046
Securities, at cost	$	602,599,123

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	25,923,080
Securities lending income (net)		—
Dividend income		100,061
Less: foreign withholding taxes		—
Total income		26,023,141
Expenses (Note 2):
Investment advisory fees		1,567,416
Custody fees		70,843
Audit fees		17,215
Legal fees		8,986
Reports to shareholders		2,273
Other fees		5,958
Total expenses		1,672,691
Expenses reimbursed by the Advisor		—
Net expenses		1,672,691
Net investment income (loss)		24,350,450
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(13,309,492	)
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		(13,309,492	)
Change in net unrealized appreciation (depreciation) on:
Securities		(15,009,422	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(15,009,422	)
Net realized and unrealized gains (losses) on investments		(28,318,914	)
Net increase (decrease) in net assets resulting from operations	$	(3,968,464	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	24,350,450		$	43,380,175
Net realized gains (losses) on investments		(13,309,492	)		2,952,445
Change in net unrealized appreciation (depreciation) on investments		(15,009,422	)		(36,569,793	)
Net increase (decrease) in net assets resulting from operations		(3,968,464	)		9,762,827
From transactions in investors’ beneficial interests:
Contributions		174,682,063			201,336,632
Withdrawals		(96,150,571	)		(174,702,497	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		78,531,492			26,634,135
Net increase (decrease) in net assets		74,563,028			36,396,962
Net assets:
Beginning of period/year		538,727,018			502,330,056
End of period/year	$	613,290,046		$	538,727,018

SEE NOTES TO FINANCIAL STATEMENTS.

7

TRANSAMERICA PARTNERS PORTFOLIOS
BALANCED
(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	276,904,736
Repurchase agreements (cost equals market value)		3,278,346
Cash at broker		1,782,319
Foreign currency holdings, at value		—
Receivable for securities sold		5,670,821
Receivable for principal paydowns		18,860
Unrealized appreciation on foreign currency forward contracts (Note 8)		10,457
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		1,042,231
Dividends receivable		211,737
Foreign tax reclaim receivable		—
Receivable from Advisor		11,968
Receivable from securities lending (net)		15,449
Total assets		288,946,924
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Payable for written options		40,876
Collateral for securities out on loan		10,525,798
Payable for securities and options purchased		23,878,564
Securities sold short, at value		—
Written options, at value (premium $532)		187
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		14,525
Variation margin payable		1,112,357
Accrued investment advisory fees		99,711
Accrued expenses		132,508
Contingent liability (Note 6)		—
Total liabilities		35,804,526
Net assets	$	253,142,398
Securities, at cost	$	292,243,301

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	3,433,381
Securities lending income (net)		29,134
Dividend income		1,691,528
Less: foreign withholding taxes		—
Total income		5,154,043
Expenses (Note 2):
Investment advisory fees		630,512
Custody fees		117,566
Audit fees		17,908
Legal fees		5,503
Reports to shareholders		1,307
Other fees		4,290
Total expenses		777,086
Expenses reimbursed by the Advisor		(76,965	)
Net expenses		700,121
Net investment income (loss)		4,453,922
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(1,005,526	)
Swap contracts		—
Futures		(804,496	)
Written options		173,061
Foreign currency transactions		(147,680	)
		(1,784,641	)
Change in net unrealized appreciation (depreciation) on:
Securities		(26,205,312	)
Futures		(521,421	)
Written options		100,933
Short sales		—
Swap contracts		—
Foreign currency translations		4,274
		(26,621,526	)
Net realized and unrealized gains (losses) on investments		(28,406,167	)
Net increase (decrease) in net assets resulting from operations	$	(23,952,245	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	4,453,922		$	10,529,981
Net realized gains (losses) on investments		(1,784,641	)		22,785,211
Change in net unrealized appreciation (depreciation) on investments		(26,621,526	)		(25,666,220	)
Net increase (decrease) in net assets resulting from operations		(23,952,245	)		7,648,972
From transactions in investors’ beneficial interests:
Contributions		26,473,932			87,795,282
Withdrawals		(68,014,472	)		(158,457,872	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(41,540,540	)		(70,662,590	)
Net increase (decrease) in net assets		(65,492,785	)		(63,013,618	)
Net assets:
Beginning of period/year		318,635,183			381,648,801
End of period/year	$	253,142,398		$	318,635,183

SEE NOTES TO FINANCIAL STATEMENTS.

8

TRANSAMERICA PARTNERS PORTFOLIOS
LARGE VALUE
(FORMERLY, VALUE & INCOME)
(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	2,543,593,911
Repurchase agreements (cost equals market value)		10,097,212
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		13,048,981
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		10,259
Dividends receivable		5,122,102
Foreign tax reclaim receivable		49
Receivable from Advisor		—
Receivable from securities lending (net)		290,557
Total assets		2,572,163,071
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		179,366,896
Payable for securities purchased		18,748,518
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		974,796
Accrued expenses		297,406
Contingent liability (Note 6)		—
Total liabilities		199,387,616
Net assets	$	2,372,775,455
Securities, at cost	$	2,855,263,874

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	287,545
Securities lending income (net)		548,584
Dividend income		36,615,537
Less: foreign withholding taxes		(141,163	)
Total income		37,310,503
Expenses (Note 2):
Investment advisory fees		6,110,324
Custody fees		304,519
Audit fees		18,658
Legal fees		119,604
Reports to shareholders		13,650
Other fees		34,826
Total expenses		6,601,581
Expenses reimbursed by the Advisor		—
Net expenses		6,601,581
Net investment income (loss)		30,708,922
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		158,416,017
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		158,416,017
Change in net unrealized appreciation (depreciation) on:
Securities		(654,762,781	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(654,762,781	)
Net realized and unrealized gains (losses) on investments		(496,346,764	)
Net increase (decrease) in net assets resulting from operations	$	(465,637,842	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	30,708,922		$	59,270,899
Net realized gains (losses) on investments		158,416,017			217,908,338
Change in net unrealized appreciation (depreciation) on investments		(654,762,781	)		(321,315,389	)
Net increase (decrease) in net assets resulting from operations		(465,637,842	)		(44,136,152	)
From transactions in investors’ beneficial interests:
Contributions		304,532,717			819,077,669
Withdrawals		(631,144,195	)		(1,148,860,468	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(326,611,478	)		(329,782,799	)
Net increase (decrease) in net assets		(792,249,320	)		(373,918,951	)
Net assets:
Beginning of period/year		3,165,024,775			3,538,943,726
End of period/year	$	2,372,775,455		$	3,165,024,775

SEE NOTES TO FINANCIAL STATEMENTS.

9

TRANSAMERICA PARTNERS PORTFOLIOS

VALUE

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	126,288,684
Repurchase agreements (cost equals market value)		2,296,489
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		299,233
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		846
Dividends receivable		206,429
Foreign tax reclaim receivable		—
Receivable from Advisor		3,159
Receivable from securities lending (net)		6,532
Total assets		129,101,372
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		14,023,071
Payable for securities purchased		429,976
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		53,059
Accrued expenses		40,394
Contingent liability (Note 6)		—
Total liabilities		14,546,500
Net assets	$	114,554,872
Securities, at cost	$	163,856,111

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	42,503
Securities lending income (net)		28,318
Dividend income		1,853,713
Less: foreign withholding taxes		(1,611	)
Total income		1,922,923
Expenses (Note 2):
Investment advisory fees		336,772
Custody fees		29,071
Audit fees		18,786
Legal fees		2,423
Reports to shareholders		605
Other fees		1,563
Total expenses		389,220
Expenses reimbursed by the Advisor		(19,200	)
Net expenses		370,020
Net investment income (loss)		1,552,903
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(18,548,068	)
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		(18,548,068	)
Change in net unrealized appreciation (depreciation) on:
Securities		(11,720,126	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(11,720,126	)
Net realized and unrealized gains (losses) on investments		(30,268,194	)
Net increase (decrease) in net assets resulting from operations	$	(28,715,291	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	1,552,903		$	2,237,723
Net realized gains (losses) on investments		(18,548,068	)		11,397,018
Change in net unrealized appreciation (depreciation) on investments		(11,720,126	)		(32,193,595	)
Net increase (decrease) in net assets resulting from operations		(28,715,291	)		(18,558,854	)
From transactions in investors’ beneficial interests:
Contributions		31,342,662			102,985,023
Withdrawals		(29,638,425	)		(44,143,149	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		1,704,237			58,841,874
Net increase (decrease) in net assets		(27,011,054	)		40,283,020
Net assets:
Beginning of period/year		141,565,926			101,282,906
End of period/year	$	114,554,872		$	141,565,926

SEE NOTES TO FINANCIAL STATEMENTS.

10

TRANSAMERICA PARTNERS PORTFOLIOS

LARGE CORE

(FORMERLY, GROWTH & INCOME)

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	510,098,504
Repurchase agreements (cost equals market value)		7,298,597
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		19,901,707
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		2,242
Dividends receivable		633,215
Foreign tax reclaim receivable		—
Receivable from Advisor		11,042
Receivable from securities lending (net)		31,490
Total assets		537,976,797
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		36,530,365
Payable for securities purchased		21,451,542
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		3,121
Accrued investment advisory fees		255,317
Accrued expenses		168,766
Contingent liability (Note 6)		—
Total liabilities		58,409,111
Net assets	$	479,567,686
Securities, at cost	$	521,221,942

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	94,677
Securities lending income (net)		90,336
Dividend income		5,008,504
Less: foreign withholding taxes		(6,672	)
Total income		5,186,845
Expenses (Note 2):
Investment advisory fees		1,654,601
Custody fees		147,259
Audit fees		17,827
Legal fees		16,239
Reports to shareholders		6,327
Other fees		12,318
Total expenses		1,854,571
Expenses reimbursed by the Advisor		(64,684	)
Net expenses		1,789,887
Net investment income (loss)		3,396,958
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(9,457,477	)
Swap contracts		—
Futures		(3,086,010	)
Written options		—
Foreign currency transactions		—
		(12,543,487	)
Change in net unrealized appreciation (depreciation) on:
Securities		(67,242,464	)
Futures		(91,667	)
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(67,334,131	)
Net realized and unrealized gains (losses) on investments		(79,877,618	)
Net increase (decrease) in net assets resulting from operations	$	(76,480,660	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	3,396,958		$	11,495,679
Net realized gains (losses) on investments		(12,543,487	)		107,197,849
Change in net unrealized appreciation (depreciation) on investments		(67,334,131	)		(89,687,401	)
Net increase (decrease) in net assets resulting from operations		(76,480,660	)		29,006,127
From transactions in investors’ beneficial interests:
Contributions		59,931,351			165,902,628
Withdrawals		(407,144,826	)		(450,667,179	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(347,213,475	)		(284,764,551	)
Net increase (decrease) in net assets		(423,694,135	)		(255,758,424	)
Net assets:
Beginning of period/year		903,261,821			1,159,020,245
End of period/year	$	479,567,686		$	903,261,821

SEE NOTES TO FINANCIAL STATEMENTS.

11

TRANSAMERICA PARTNERS PORTFOLIOS

LARGE GROWTH

(FORMERLY, EQUITY GROWTH)

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	1,942,291,693
Repurchase agreements (cost equals market value)		30,065,435
Cash at broker		—
Foreign currency holdings, at value (cost $993,765)		996,646
Receivable for securities sold		10,946,139
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		5,448
Dividends receivable		1,849,421
Foreign tax reclaim receivable		242,531
Receivable from Advisor		5,730
Receivable from securities lending (net)		128,366
Total assets		1,986,531,409
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		82,275,851
Payable for securities purchased		5,922,692
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		1,045,987
Accrued expenses		222,984
Contingent liability (Note 6)		—
Total liabilities		89,467,514
Net assets	$	1,897,063,895
Securities, at cost	$	1,876,416,132

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	893,037
Securities lending income (net)		316,894
Dividend income		13,868,197
Less: foreign withholding taxes		—
Total income		15,078,128
Expenses (Note 2):
Investment advisory fees		6,364,904
Custody fees		235,737
Audit fees		18,793
Legal fees		41,651
Reports to shareholders		12,813
Other fees		26,138
Total expenses		6,700,036
Expenses reimbursed by the Advisor		(31,402	)
Net expenses		6,668,634
Net investment income (loss)		8,409,494
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(78,123,086	)
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		2,227
		(78,120,859	)
Change in net unrealized appreciation (depreciation) on:
Securities		(179,452,952	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		(7,112	)
		(179,460,064	)
Net realized and unrealized gains (losses) on investments		(257,580,923	)
Net increase (decrease) in net assets
resulting from operations	$	(249,171,429	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	8,409,494		$	14,990,153
Net realized gains (losses) on investments		(78,120,859	)		348,453,513
Change in net unrealized appreciation (depreciation) on investments		(179,460,064	)		(77,577,264	)
Net increase (decrease) in net assets resulting from operations		(249,171,429	)		285,866,402
From transactions in investors’ beneficial interests:
Contributions		213,620,716			418,682,402
Withdrawals		(512,146,245	)		(786,705,407	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(298,525,529	)		(368,023,005	)
Net increase (decrease) in net assets		(547,696,958	)		(82,156,603	)
Net assets:
Beginning of period/year		2,444,760,853			2,526,917,456
End of period/year	$	1,897,063,895		$	2,444,760,853

SEE NOTES TO FINANCIAL STATEMENTS.

12

TRANSAMERICA PARTNERS PORTFOLIOS

GROWTH

(FORMERLY, AGGRESSIVE EQUITY)

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	350,015,998
Repurchase agreements (cost equals market value)		1,097,615
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		2,755,707
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		1,501
Dividends receivable		138,166
Foreign tax reclaim receivable		15,799
Receivable from Advisor		3,867
Receivable from securities lending (net)		47,846
Total assets		354,076,499
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		26,436,664
Payable for securities purchased		4,698,795
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		222,494
Accrued expenses		46,717
Contingent liability (Note 6)		—
Total liabilities		31,404,670
Net assets	$	322,671,829
Securities, at cost	$	328,588,690

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	59,450
Securities lending income (net)		207,742
Dividend income		1,121,896
Less: foreign withholding taxes		(18,371	)
Total income		1,370,717
Expenses (Note 2):
Investment advisory fees		1,364,360
Custody fees		44,362
Audit fees		16,665
Legal fees		7,133
Reports to shareholders		1,803
Other fees		5,589
Total expenses		1,439,912
Expenses reimbursed by the Advisor		(22,395	)
Net expenses		1,417,517
Net investment income (loss)		(46,800	)
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(5,920,677	)
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		(5,920,677	)
Change in net unrealized appreciation (depreciation) on:
Securities		(67,984,696	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(67,984,696	)
Net realized and unrealized gains (losses) on investments		(73,905,373	)
Net increase (decrease) in net assets resulting from operations	$	(73,952,173	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	(46,800	)	$	(608,496	)
Net realized gains (losses) on investments		(5,920,677	)		61,547,685
Change in net unrealized appreciation (depreciation) on investments		(67,984,696	)		34,636,483
Net increase (decrease) in net assets resulting from operations		(73,952,173	)		95,575,672
From transactions in investors’ beneficial interests:
Contributions		69,491,542			153,288,730
Withdrawals		(100,240,534	)		(204,159,316	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(30,748,992	)		(50,870,586	)
Net increase (decrease) in net assets		(104,701,165	)		44,705,086
Net assets:
Beginning of period/year		427,372,994			382,667,908
End of period/year	$	322,671,829		$	427,372,994

SEE NOTES TO FINANCIAL STATEMENTS.

13

TRANSAMERICA PARTNERS PORTFOLIOS

MID VALUE

(FORMERLY, MID-CAP VALUE)

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	963,522,438
Repurchase agreements (cost equals market value)		48,787,633
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		3,527,006
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		8,592
Dividends receivable		1,622,980
Foreign tax reclaim receivable		—
Receivable from Advisor		5,730
Receivable from securities lending (net)		137,958
Total assets		1,017,612,337
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		108,833,998
Payable for securities purchased		1,046,258
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		531,945
Accrued expenses		136,975
Contingent liability (Note 6)		—
Total liabilities		110,549,176
Net assets	$	907,063,161
Securities, at cost	$	1,075,172,612

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	315,155
Securities lending income (net)		378,043
Dividend income		9,148,047
Less: foreign withholding taxes		(11,598	)
Total income		9,829,647
Expenses (Note 2):
Investment advisory fees		3,101,393
Custody fees		128,621
Audit fees		15,047
Legal fees		17,025
Reports to shareholders		4,290
Other fees		13,199
Total expenses		3,279,575
Expenses reimbursed by the Advisor		(41,285	)
Net expenses		3,238,290
Net investment income (loss)		6,591,357
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		3,318,953
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		3,318,953
Change in net unrealized appreciation (depreciation) on:
Securities		(112,552,910	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(112,552,910	)
Net realized and unrealized gains (losses) on investments		(109,233,957	)
Net increase (decrease) in net assets resulting from operations	$	(102,642,600	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	6,591,357		$	14,406,029
Net realized gains (losses) on investments		3,318,953			107,278,549
Change in net unrealized appreciation (depreciation) on investments		(112,552,910	)		(98,285,078	)
Net increase (decrease) in net assets resulting from operations		(102,642,600	)		23,399,500
From transactions in investors’ beneficial interests:
Contributions		191,820,401			375,357,719
Withdrawals		(170,291,850	)		(347,554,214	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		21,528,551			27,803,505
Net increase (decrease) in net assets		(81,114,049	)		51,203,005
Net assets:
Beginning of period/year		988,177,210			936,974,205
End of period/year	$	907,063,161		$	988,177,210

SEE NOTES TO FINANCIAL STATEMENTS.

14

TRANSAMERICA PARTNERS PORTFOLIOS

MID GROWTH

(FORMERLY, MID-CAP GROWTH)

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	394,036,724
Repurchase agreements (cost equals market value)		15,758,106
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		9,793,091
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		2,695
Dividends receivable		171,478
Foreign tax reclaim receivable		—
Receivable from Advisor		315
Receivable from securities lending (net)		32,215
Total assets		419,794,624
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		40,244,756
Payable for securities purchased		12,873,941
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		231,701
Accrued expenses		39,110
Contingent liability (Note 6)		—
Total liabilities		53,389,508
Net assets	$	366,405,116
Securities, at cost	$	359,546,964

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	133,287
Securities lending income (net)		104,629
Dividend income		1,099,504
Less: foreign withholding taxes		(826	)
Total income		1,336,594
Expenses (Note 2):
Investment advisory fees		1,290,668
Custody fees		32,296
Audit fees		15,181
Legal fees		5,568
Reports to shareholders		1,405
Other fees		4,350
Total expenses		1,349,468
Expenses reimbursed by the Advisor		(5,237	)
Net expenses		1,344,231
Net investment income (loss)		(7,637	)
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		16,602,018
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		16,602,018
Change in net unrealized appreciation (depreciation) on:
Securities		(33,119,200	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(33,119,200	)
Net realized and unrealized gains (losses) on investments		(16,517,182	)
Net increase (decrease) in net assets resulting from operations	$	(16,524,819	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	(7,637	)	$	(703,627	)
Net realized gains (losses) on investments		16,602,018			53,287,127
Change in net unrealized appreciation (depreciation) on investments		(33,119,200	)		30,493,595
Net increase (decrease) in net assets resulting from operations		(16,524,819	)		83,077,095
From transactions in investors’ beneficial interests:
Contributions		113,125,457			87,068,838
Withdrawals		(67,384,426	)		(142,866,090	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		45,741,031			(55,797,252	)
Net increase (decrease) in net assets		29,216,212			27,279,843
Net assets:
Beginning of period/year		337,188,904			309,909,061
End of period/year	$	366,405,116		$	337,188,904

SEE NOTES TO FINANCIAL STATEMENTS.

15

TRANSAMERICA PARTNERS PORTFOLIOS

SMALL VALUE

(FORMERLY, SMALL-CAP VALUE)

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	252,329,528
Repurchase agreements (cost equals market value)		6,762,889
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		292,331
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		2,886
Dividends receivable		483,109
Foreign tax reclaim receivable		—
Receivable from Advisor		3,760
Receivable from securities lending (net)		163,864
Total assets		260,038,367
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		48,398,974
Payable for securities purchased		—
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		157,733
Accrued expenses		41,395
Contingent liability (Note 6)		—
Total liabilities		48,598,102
Net assets	$	211,440,265
Securities, at cost	$	268,348,345

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	142,496
Securities lending income (net)		447,583
Dividend income		2,398,396
Less: foreign withholding taxes		(431	)
Total income		2,988,044
Expenses (Note 2):
Investment advisory fees		952,194
Custody fees		35,700
Audit fees		14,921
Legal fees		3,800
Reports to shareholders		3,181
Other fees		2,558
Total expenses		1,012,354
Expenses reimbursed by the Advisor		(25,323	)
Net expenses		987,031
Net investment income (loss)		2,001,013
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(19,572,660	)
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		(19,572,660	)
Change in net unrealized appreciation (depreciation) on:
Securities		2,423,241
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		2,423,241
Net realized and unrealized gains (losses) on investments		(17,149,419	)
Net increase (decrease) in net assets resulting from operations	$	(15,148,406	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	2,001,013		$	2,956,143
Net realized gains (losses) on investments		(19,572,660	)		12,414,521
Change in net unrealized appreciation (depreciation) on investments		2,423,241			(30,333,479	)
Net increase (decrease) in net assets resulting from operations		(15,148,406	)		(14,962,815	)
From transactions in investors’ beneficial interests:
Contributions		119,929,032			55,225,734
Withdrawals		(78,476,966	)		(91,443,032	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		41,452,066			(36,217,298	)
Net increase (decrease) in net assets		26,303,660			(51,180,113	)
Net assets:
Beginning of period/year		185,136,605			236,316,718
End of period/year	$	211,440,265		$	185,136,605

SEE NOTES TO FINANCIAL STATEMENTS.

16

TRANSAMERICA PARTNERS PORTFOLIOS

SMALL CORE

(FORMERLY, SPECIAL EQUITY)

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	773,262,382
Repurchase agreements (cost equals market value)		20,434,698
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		35,728,045
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		7,641
Dividends receivable		793,849
Foreign tax reclaim receivable		—
Receivable from Advisor		12,071
Receivable from securities lending (net)		496,805
Total assets		830,735,491
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		126,808,380
Payable for securities purchased		35,015,839
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		19,500
Accrued investment advisory fees		489,175
Accrued expenses		189,791
Contingent liability (Note 6)		—
Total liabilities		162,522,685
Net assets	$	668,212,806
Securities, at cost	$	854,232,404

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	315,632
Securities lending income (net)		1,236,716
Dividend income		4,950,976
Less: foreign withholding taxes		—
Total income		6,503,324
Expenses (Note 2):
Investment advisory fees		3,026,999
Custody fees		205,510
Audit fees		18,901
Legal fees		17,247
Reports to shareholders		6,444
Other fees		13,067
Total expenses		3,288,168
Expenses reimbursed by the Advisor		(75,537	)
Net expenses		3,212,631
Net investment income (loss)		3,290,693
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(39,683,639	)
Swap contracts		—
Futures		(215,895	)
Written options		—
Foreign currency transactions		—
		(39,899,534	)
Change in net unrealized appreciation (depreciation) on:
Securities		(62,351,989	)
Futures		(150,240	)
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(62,502,229	)
Net realized and unrealized gains (losses) on investments		(102,401,763	)
Net increase (decrease) in net assets resulting from operations	$	(99,111,070	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	3,290,693		$	6,536,955
Net realized gains (losses) on investments		(39,899,534	)		127,888,258
Change in net unrealized appreciation (depreciation) on investments		(62,502,229	)		(173,960,096	)
Net increase (decrease) in net assets resulting from operations		(99,111,070	)		(39,534,883	)
From transactions in investors’ beneficial interests:
Contributions		111,140,186			275,074,602
Withdrawals		(294,013,773	)		(496,898,715	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		(182,873,587	)		(221,824,113	)
Net increase (decrease) in net assets		(281,984,657	)		(261,358,996	)
Net assets:
Beginning of period/year		950,197,463			1,211,556,459
End of period/year	$	668,212,806		$	950,197,463

SEE NOTES TO FINANCIAL STATEMENTS.

17

TRANSAMERICA PARTNERS PORTFOLIOS

SMALL GROWTH

(FORMERLY, SMALL-CAP GROWTH)

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	274,208,194
Repurchase agreements (cost equals market value)		813,732
Cash at broker		—
Foreign currency holdings, at value		—
Receivable for securities sold		4,260,053
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		—
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		2,800
Dividends receivable		53,201
Foreign tax reclaim receivable		—
Receivable from Advisor		6,435
Receivable from securities lending (net)		91,365
Total assets		279,435,780
LIABILITIES:
Due to Advisor		—
Due to Custodian		—
Due to Broker for swap contracts		—
Collateral for securities out on loan		49,977,334
Payable for securities purchased		4,913,399
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		—
Variation margin payable		—
Accrued investment advisory fees		175,465
Accrued expenses		58,029
Contingent liability (Note 6)		—
Total liabilities		55,124,227
Net assets	$	224,311,553
Securities, at cost	$	280,341,887

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	80,080
Securities lending income (net)		205,822
Dividend income		391,062
Less: foreign withholding taxes		—
Total income		676,964
Expenses (Note 2):
Investment advisory fees		989,991
Custody fees		58,558
Audit fees		14,832
Legal fees		3,068
Reports to shareholders		713
Other fees		2,285
Total expenses		1,069,447
Expenses reimbursed by the Advisor		(45,381	)
Net expenses		1,024,066
Net investment income (loss)		(347,102	)
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		(2,965,045	)
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		—
		(2,965,045	)
Change in net unrealized appreciation (depreciation) on:
Securities		(16,104,091	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		—
		(16,104,091	)
Net realized and unrealized gains (losses) on investments		(19,069,136	)
Net increase (decrease) in net assets resulting from operations	$	(19,416,238	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	(347,102	)	$	(707,686	)
Net realized gains (losses) on investments		(2,965,045	)		18,244,723
Change in net unrealized appreciation (depreciation) on investments		(16,104,091	)		(4,729,580	)
Net increase (decrease) in net assets resulting from operations		(19,416,238	)		12,807,457
From transactions in investors’ beneficial interests:
Contributions		119,146,079			53,591,068
Withdrawals		(42,235,609	)		(54,584,208	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		76,910,470			(993,140	)
Net increase (decrease) in net assets		57,494,232			11,814,317
Net assets:
Beginning of period/year		166,817,321			155,003,004
End of period/year	$	224,311,553		$	166,817,321

SEE NOTES TO FINANCIAL STATEMENTS.

18

TRANSAMERICA PARTNERS PORTFOLIOS

INTERNATIONAL EQUITY

(Unaudited)

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2008

ASSETS:
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)	$	2,064,757,518
Repurchase agreements (cost equals market value)		50,800,042
Cash at broker		—
Foreign currency holdings, at value (cost $11,829,370)		11,935,835
Receivable for securities sold		63,266,130
Receivable for principal paydowns		—
Unrealized appreciation on foreign currency forward contracts (Note 8)		448,518
Swap contracts, at value		—
Variation margin receivable		—
Interest receivable		7,878
Dividends receivable		4,431,631
Foreign tax reclaim receivable		2,134,651
Receivable from Advisor		—
Receivable from securities lending (net)		620,489
Total assets		2,198,402,692
LIABILITIES:
Due to Advisor		—
Due to Custodian		707,635
Due to Broker for swap contracts		—
Collateral for securities out on loan		115,136,610
Payable for securities purchased		46,691,582
Securities sold short, at value		—
Written options, at value		—
Swap contracts, at value		—
Unrealized depreciation on foreign currency forward contracts (Note 8)		575,560
Variation margin payable		—
Accrued investment advisory fees		1,365,456
Accrued expenses		1,075,817
Contingent liability (Note 6)		—
Total liabilities		165,552,660
Net assets	$	2,032,850,032
Securities, at cost	$	2,071,298,915

STATEMENT OF OPERATIONS

For the period ended June 30, 2008

Investment income (Note 2):
Interest income	$	504,921
Securities lending income (net)		1,285,413
Dividend income		51,150,478
Less: foreign withholding taxes		(5,823,816	)
Total income		47,116,996
Expenses (Note 2):
Investment advisory fees		8,239,233
Custody fees		1,235,475
Audit fees		19,958
Legal fees		39,560
Reports to shareholders		9,976
Other fees		30,773
Total expenses		9,574,975
Expenses reimbursed by the Advisor		—
Net expenses		9,574,975
Net investment income (loss)		37,542,021
Realized and unrealized gains (losses) on investments (Note 2):
Net realized gains (losses) on transactions from:
Securities		11,953,893
Swap contracts		—
Futures		—
Written options		—
Foreign currency transactions		(1,734,911	)
		10,218,982
Change in net unrealized appreciation (depreciation) on:
Securities		(395,952,357	)
Futures		—
Written options		—
Short sales		—
Swap contracts		—
Foreign currency translations		149,614
		(395,802,743	)
Net realized and unrealized gains (losses) on investments		(385,583,761	)
Net increase (decrease) in net assets resulting from operations	$	(348,041,740	)

STATEMENTS OF CHANGES IN NET ASSETS

	For the period			For the year
	ended 06/30/08			ended 12/31/07
From operations:
Net investment income (loss)	$	37,542,021		$	50,970,128
Net realized gains (losses) on investments		10,218,982			308,302,384
Change in net unrealized appreciation (depreciation) on investments		(395,802,743	)		(116,113,249	)
Net increase (decrease) in net assets resulting from operations		(348,041,740	)		243,159,263
From transactions in investors’ beneficial interests:
Contributions		527,206,160			730,849,563
Withdrawals		(410,375,902	)		(811,099,785	)
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests		116,830,258			(80,250,222	)
Net increase (decrease) in net assets		(231,211,482	)		162,909,041
Net assets:
Beginning of period/year		2,264,061,514			2,101,152,473
End of period/year	$	2,032,850,032		$	2,264,061,514

SEE NOTES TO FINANCIAL STATEMENTS.

19

MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Principal			Value
		Yankee Certificates of Deposit — 0.9%
$	10,440,000	Canadian Imperial Bank, 2.61%, 10/22/08 (Cost $10,440,000)	$	10,440,000
		Short Term US Government Agency Securities — 64.8%
		Fannie Mae — 19.3%
	25,040,000	2.05%, 07/09/08		25,028,593
	30,320,000	2.19%, 07/25/08		30,275,733
	11,980,000	2.10%, 08/06/08		11,954,842
	41,310,000	2.07%, 09/10/08		41,141,352
	35,050,000	2.12%, 09/24/08		34,874,969
	16,420,000	2.12%, 10/08/08		16,324,272
	30,000,000	2.11%, 10/22/08		29,801,780
	21,100,000	2.29%, 11/05/08		20,929,913
	16,000,000	2.16%, 11/12/08		15,871,360
				226,202,814
		Federal Home Loan Bank — 22.8%
	11,810,000	2.19%, 07/11/08		11,802,816
	39,120,000	2.19%, 07/16/08		39,084,303
	31,560,000	2.07%, 07/23/08		31,520,173
	22,000,000	2.09%, 07/25/08		21,969,420
	36,630,000	2.21%, 07/30/08		36,564,788
	24,140,000	2.14%, 08/15/08		24,075,426
	61,695,000	2.22%, 08/29/08		61,470,532
	15,000,000	2.52%, 04/21/09		14,998,792
	25,680,000	2.03%, 04/23/09		25,680,000
				267,166,250
		Freddie Mac — 22.7%
	47,760,000	2.06%, 07/01/08		47,760,000
	42,180,000	2.20%, 07/03/08		42,174,845
	47,830,000	2.14%, 07/17/08		47,784,615
	14,140,000	2.24%, 07/23/08		14,120,678
	14,140,000	2.26%, 07/23/08		14,120,471
	27,090,000	2.26%, 07/31/08		27,038,981
	13,290,000	2.08%, 11/03/08		13,194,017
	13,290,000	2.09%, 11/03/08		13,193,440
	8,840,000	2.16%, 11/14/08		8,767,866
	38,000,000	2.06%, 03/24/09		38,000,000
				266,154,913
		Total Short Term US Government Agency Securities (Cost $759,523,977)		759,523,977
		Short Term Corporate Notes — 4.9%
	24,250,000	Merrill Lynch & Company, Inc., Variable Rate, 2.64%, 08/22/08(1)		24,250,000
	33,850,000	Morgan Stanley, Series EXLS, Variable Rate, 2.61%, 03/02/09(1)		33,850,000
		Total Short Term Corporate Notes (Cost $58,100,000)		58,100,000
		Total Securities (Cost $828,063,977)		828,063,977
		Repurchase Agreements — 29.4%
	32,600,000	With Barclays Bank PLC, dated 06/30/08, 2.50%, due 07/01/08, repurchase proceeds at maturity $32,602,264 (Collateralized by Freddie Mac, 5.51%, due 01/23/23, with a value of $33,252,117)		32,600,000
	72,300,000	With Deutsche Bank, dated 06/30/08, 2.50%, due 07/01/08, repurchase proceeds at maturity $72,305,021 (Collateralized by Freddie Mac, 5.13%, due 10/15/08, with a value of $73,749,415)		72,300,000
	94,900,000	With Goldman Sachs, dated 06/30/08, 2.40%, due 07/01/08, repurchase proceeds at maturity $94,906,327 (Collateralized by US Treasury Inflation Index, 3.63%, due 04/15/28, with a value of $96,798,130)		94,900,000
	61,500,000	With Hong Kong Shanghai, dated 06/30/08, 2.50%, due 07/01/08, repurchase proceeds at maturity $61,503,502 (Collateralized by Fannie Mae, 4.34%, due 11/19/12, with a value of $24,179,993, Federal Home Loan Bank, 3.88%, due 06/14/13, with a value of $28,759,873, and Freddie Mac, 5.50%, due 08/23/17, with a value of $9,791,261)		61,500,000
	39,550,000	With Morgan Stanley, dated 06/30/08, 2.40%, due 07/01/08, repurchase proceeds at maturity $39,552,637 (Collateralized by Fannie Mae, 5.13%, due 01/02/14, with a value of $18,316,662 and Freddie Mac Discount Note, 2.47%-2.52%, due 11/05/08, with a value of $22,483,104)		39,550,000

See notes to financial statements.

20

MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Repurchase Agreements (continued)
$	44,188,936	With State Street Bank & Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $44,190,225 (Collateralized by Federal Home Loan Bank, 2.56%, due 11/19/08, with a value of $46,517,500)	$	44,188,936
		Total Repurchase Agreements (Cost $345,038,936)		345,038,936
		Total Investments — 100.0% (Cost $1,173,102,913)		1,173,102,913
		Other assets less liabilities — 0.0%		274,250
		Net Assets — 100.0%	$	1,173,377,163

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $1,173,102,913.

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

21

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Principal			Value
		US Treasury Securities — 4.4%
		US Treasury Notes
$	17,905,000	3.25%, 12/31/09(8)	$	18,124,623
	4,750,000	3.63%, 01/15/10		4,841,290
		Total US Treasury Securities (Cost $22,954,855)		22,965,913
		US Government Agency Securities — 22.9%
		Asset Backed: Mortgage and Home Equity — 15.5%
	3,823,580	Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26		3,823,252
	552,964	Fannie Mae, Series 2003-34, Class GT, 4.00%, 01/25/27		552,777
	2,195,969	Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26		2,183,432
	426,422	Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33		426,018
	333,442	Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25		332,281
	1,257,439	Fannie Mae, Series 2003-92, Class KQ, 3.50%, 06/25/23		1,255,409
	2,402,994	Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29		2,355,790
	3,379,679	Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16		3,376,343
	3,809,914	Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09		3,811,819
	1,975,609	Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09		1,977,389
	5,687,284	Freddie Mac, Series 2416, Class PE, 6.00%, 10/15/21		5,861,039
	502,591	Freddie Mac, Series 2454, Class BG, 6.50%, 08/15/31		511,143
	3,659,115	Freddie Mac, Series 2627, Class KP, 2.87%, 12/15/16		3,572,634
	4,242,306	Freddie Mac, Series 2630, Class HC, 4.00%, 01/15/17		4,211,582
	5,439,412	Freddie Mac, Series 2631, Class CD, 4.00%, 10/15/26		5,437,472
	4,457,131	Freddie Mac, Series 2637, Class A, 3.38%, 03/15/18		4,313,695
	3,314,960	Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16		3,293,741
	467,281	Freddie Mac, Series 2760, Class EA, 4.50%, 04/15/13		467,899
	1,503,830	Freddie Mac, Series 2782, Class HE, 4.00%, 09/15/17		1,483,542
	2,558,776	Freddie Mac, Series 3056, Class AP, 5.50%, 01/15/27		2,594,567
	7,568,882	Government National Mortgage Association, Series 2005-29, Class A, 4.02%, 07/16/27		7,490,068
	5,469,356	Government National Mortgage Association, Series 2006-67, Class A, 3.95%, 11/16/30		5,408,414
	6,300,341	Government National Mortgage Association, Series 2007-15, Class A, 4.51%, 10/16/28		6,298,660
	2,910,179	Government National Mortgage Association, Series 2007-34, Class A, 4.27%, 11/16/26		2,903,940
	7,646,944	Government National Mortgage Association, Series 2007-4, Class A, 4.21%, 06/16/29		7,603,091
				81,545,997
		Fannie Mae — 4.0%
	3,800,000	5.00%, 09/15/08		3,821,323
	6,000,000	3.25%, 04/09/13		5,779,921
	375,433	PL# 254062, 6.00%, 10/01/11		383,019
	1,222,921	PL# 254754, 4.50%, 05/01/10		1,236,593
	1,584,313	PL# 254758, 4.50%, 06/01/13		1,578,479
	1,484,830	PL# 254807, 5.00%, 07/01/13		1,493,741
	2,981,829	PL# 254914, 4.50%, 09/01/13		2,968,535
	408,066	PL# 323743, 5.00%, 04/01/14		407,998
	216,667	PL# 429168, 6.00%, 05/01/13		223,092
	15,502	PL# 50903, 6.00%, 09/01/08		15,544
	44,385	PL# 50973, 6.00%, 01/01/09		44,504
	260,712	PL# 517699, 6.00%, 07/01/14		268,443
	709,794	PL# 545038, 6.00%, 09/01/14		730,031
	2,005,336	PL# 555154, 5.50%, 12/01/22		2,006,104
	2,121	PL# 609771, 6.00%, 09/01/08		2,127
				20,959,454
		Federal Home Loan Bank — 1.7%
	2,500,000	3.75%, 08/18/09		2,524,060
	2,400,000	Series 363, 4.50%, 11/15/12		2,447,779
	3,994,856	Series 6T-9009, 3.84%, 11/25/09		4,004,531
				8,976,370

See notes to financial statements.

22

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Freddie Mac Gold — 1.4%
$	80,728	PL# E00532, 6.50%, 02/01/13	$	84,548
	144,301	PL# E00542, 6.50%, 04/01/13		151,136
	398,955	PL# E00676, 5.50%, 06/01/14		405,364
	713,520	PL# E89557, 5.50%, 04/01/17		723,226
	2,016,582	PL# G40426, 5.50%, 03/01/11		2,052,896
	4,019,924	PL# M80812, 4.50%, 04/01/10		4,056,639
				7,473,809
		Government National Mortgage Association — 0.3%
	1,349,615	PL# 436708, 5.75%, 12/15/22		1,375,021
		Total US Government Agency Securities (Cost $119,579,553)		120,330,651
		Corporate Bonds and Notes — 68.8%
		Banks and Financial Services — 15.1%
	5,000,000	American Express Bank FSB, Series BKNT, Floating Rate, 2.54%, 06/22/09(3)		4,963,580
	4,330,000	Bank of America Corp., 7.13%, 03/01/09		4,397,587
	1,375,000	Bank of America Corp., 7.80%, 02/15/10		1,435,640
	3,475,000	Citigroup, Inc., 5.10%, 09/29/11		3,437,109
	6,155,000	Credit Suisse First Boston USA, Inc., 4.70%, 06/01/09		6,174,001
	7,200,000	General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09		7,228,894
	2,800,000	Goldman Sachs Group, Inc. (The), 6.88%, 01/15/11		2,908,318
	4,000,000	Goldman Sachs Group, Inc. (The), Series MTNB, Floating Rate, 3.13%, 10/07/11(2)		3,881,616
	2,000,000	HBOS Treasury Services PLC — 144A (United Kingdom), 3.75%, 09/30/08		1,995,686
	5,600,000	JPMorgan Chase & Company, 4.75%, 05/01/13		5,448,206
	4,000,000	Lehman Brothers Holdings, Inc., Series MTNI, Floating Rate, 2.94%, 01/12/12(2)		3,519,676
	6,000,000	Merrill Lynch & Company, Inc., Series MTNC, 4.13%, 01/15/09		5,932,134
	6,125,000	Morgan Stanley, 6.75%, 04/15/11		6,286,951
	3,025,000	National City Bank, Series BKNT, 4.25%, 01/29/10		2,816,329
	3,670,000	NYSE Euronext, 4.80%, 06/28/13		3,623,461
	5,675,000	SLM Corp., Series MTNA, 4.50%, 07/26/10		5,253,631
	3,125,000	Wachovia Corp., 5.63%, 12/15/08		3,123,513
	3,000,000	Wells Fargo & Company, 4.20%, 01/15/10		3,009,855
	4,500,000	Wells Fargo & Company, Floating Rate, 2.86%, 03/23/10(2)		4,463,703
				79,899,890
		Chemicals — 0.3%
	1,855,000	Praxair, Inc., 3.95%, 06/01/13		1,787,194
		Consumer Goods and Services — 1.6%
	3,455,000	Clorox Company, 4.20%, 01/15/10		3,427,813
	5,220,000	Procter & Gamble Company (The) — 144A, Floating Rate, 2.74%, 07/06/09(2)		5,225,663
				8,653,476
		Diversified Operations and Services — 0.5%
	3,825,000	Capmark Financial Group, 5.88%, 05/10/12		2,700,335
		Equipment Rental and Leasing — 1.0%
	5,420,000	International Lease Finance Corp., Series MTNQ, 5.75%, 06/15/11		5,050,047
		Insurance — 2.3%
	6,000,000	Met Life Global Funding I — 144A, Series MTN, 5.75%, 07/25/11		6,225,714
	2,500,000	New York Life Global Funding — 144A, 3.88%, 01/15/09		2,505,790
	3,115,000	Principal Life Income Funding Trust, Series MTN, 5.20%, 11/15/10		3,085,130
				11,816,634
		Machinery — 0.4%
	2,000,000	Caterpillar, Inc., 7.25%, 09/15/09		2,081,954
		Office Equipment, Supplies, and Services — 0.6%
	3,005,000	Xerox Corp., 5.50%, 05/15/12		2,972,816

See notes to financial statements.

23

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 12.2%
$	3,363,628	Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12	$	3,202,279
	2,500,000	BMW Vehicle Owner Trust, Series 2006-A, Class A4, 5.07%, 08/25/11		2,539,885
	120,062	Capital One Auto Finance Trust, Series 2005-C, Class A3, 4.61%, 07/15/10		119,812
	1,642,592	Capital One Prime Auto Receivables Trust, Series 2004-3, Class A4, 3.69%, 06/15/10		1,644,544
	3,000,000	Capital One Prime Auto Receivables Trust, Series 2007-1, Class B1, 5.76%, 12/15/13		2,845,994
	3,100,000	Carmax Auto Owner Trust, Series 2005-2, Class A4, 4.34%, 09/15/10		3,119,727
	615,931	Chase Manhattan Auto Owner Trust, Series 2005-A, Class CTFS, 4.04%, 04/15/11		617,212
	1,609,881	Chase Manhattan Auto Owner Trust, Series 2006-A, Class CTFS, 5.47%, 01/15/13		1,618,200
	3,200,000	Chase Manhattan Auto Owner Trust, Series 2006-B, Class A4, 5.11%, 04/15/14		3,251,223
	2,000,000	Daimler Chrysler Auto Trust, Series 2007-A, Class A3A, 5.00%, 02/08/12		2,027,280
	2,250,000	Ford Credit Auto Owner Trust, Series 2005-B, Class B, 4.64%, 04/15/10		2,251,591
	1,000,000	Ford Credit Auto Owner Trust, Series 2005-B, Class C, 4.83%, 08/15/10		1,000,552
	87,790	Ford Credit Auto Owner Trust, Series 2005-C, Class A3, 4.30%, 08/15/09		87,851
	3,800,000	Ford Credit Auto Owner Trust, Series 2005-C, Class B, 4.52%, 09/15/10		3,833,212
	1,000,000	Ford Credit Auto Owner Trust, Series 2007-A, Class B, 5.60%, 10/15/12		932,369
	996,819	Harley-Davidson Motorcycle Trust, Series 2004-1, Class A2, 2.53%, 11/15/11		995,476
	5,000,000	Hertz Vehicle Financing LLC — 144A, Series 2005-2A, Class A2, 4.93%, 02/25/10		4,976,305
	2,000,000	Hertz Vehicle Financing LLC — 144A, Series 2005-2A, Class A4, 5.01%, 02/25/11		1,941,174
	5,500,000	Huntington Auto Trust — 144A, Series 2008-1A, Class A3A, 4.81%, 04/16/12		5,520,625
	3,000,000	Hyundai Auto Receivables Trust, Series 2006-B, Class B, 5.19%, 05/15/13		2,975,610
	3,500,000	Hyundai Auto Receivables Trust, Series 2008-A, Class A3, 4.93%, 12/17/12		3,534,673
	1,921,245	Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11		1,903,381
	1,492,914	Susquehanna Auto Lease Trust — 144A, Series 2007-1, Class A2, 5.32%, 04/14/09		1,498,236
	1,250,000	Susquehanna Auto Lease Trust — 144A, Series 2007-1, Class B, 5.31%, 07/14/10		1,245,065
	5,400,000	USAA Auto Owner Trust, Series 2007-2, Class A4, 5.07%, 06/15/13		5,454,003
	4,550,000	World Omni Auto Receivables Trust, Series 2006-B, Class A4, 5.12%, 06/15/12		4,625,201
				63,761,480
		Private Asset Backed: Banks and Financial Services — 5.0%
	827,921	Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33		736,313
	3,000,000	Caterpillar Financial Asset Trust, Series 2006-A, Class B, 5.71%, 06/25/12		2,976,846
	4,675,000	Caterpillar Financial Asset Trust, Series 2007-A, Class A3A, 5.34%, 06/25/12		4,741,762
	1,752,144	Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18		1,733,208
	4,193,684	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A1, 4.79%, 04/10/37		4,197,172
	3,827,418	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A1, 5.74%, 07/10/38		3,859,838

See notes to financial statements.

24

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Banks and Financial Services (continued)
$	2,500,000	Greenwich Capital Commercial Funding Corp., Series 2005-GG3 A2, Class A2, 4.31%, 08/10/42	$	2,483,003
	3,305,495	Morgan Stanley Capital I, Series 2005-HQ5, Class A1, 4.52%, 01/14/42		3,302,779
	1,661,461	Morgan Stanley Capital I, Series 2005-HQ6, Class A1, 4.65%, 08/13/42		1,657,499
	524,077	Public Service New Hampshire Funding LLC, Series 2001-1, Class A2, 5.73%, 11/01/10		526,856
				26,215,276
		Private Asset Backed: Credit Cards — 3.8%
	3,000,000	Cabela’s Master Credit Card Trust — 144A, Series 2006-3A, Class A1, 5.26%, 10/15/14		3,046,662
	3,000,000	Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.30%, 02/18/14		3,047,503
	4,000,000	Citibank Credit Card Issuance Trust, Series 2006-A4, Class A4, 5.45%, 05/10/13		4,098,851
	1,925,000	Citibank Credit Card Issuance Trust, Series 2006-B2, Class B2, 5.15%, 03/07/11		1,934,161
	4,940,000	GE Capital Credit Card Master Note Trust, Series 2006-1, Class A, 5.08%, 09/15/12		5,018,866
	3,000,000	GE Capital Credit Card Master Note Trust, Series 2007-3, Class B, 5.49%, 06/15/13		2,959,630
				20,105,673
		Private Asset Backed: Mortgage and Home Equity — 11.2%
	492,243	American General Mortgage Loan Trust — 144A, Series 2006-1, Class A1, 5.75%, 12/25/35		491,037
	411,044	Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16		412,184
	1,074,661	Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35		1,062,230
	1,028,608	Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR9, Class A1, 4.50%, 09/11/42		1,025,726
	2,265,151	Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-T22, Class A1, 5.42%, 04/12/38		2,273,901
	7,000,000	Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW15, Class A2, 5.21%, 02/11/44		6,799,170
	3,014,706	Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A6, 4.43%, 10/25/14		2,805,848
	2,838,929	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A1, 5.05%, 07/15/44		2,846,928
	233,145	Commercial Mortgage Pass-Through Certificates, Series 2004-LB2A, Class A1, 2.96%, 03/10/39		232,474
	3,500,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C5, Class A2, 4.18%, 11/15/37		3,473,183
	310,567	GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38		313,538
	4,109,872	GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A2, 5.99%, 12/10/35		4,162,796
	637,971	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A1, 4.01%, 06/10/48		635,791
	812,040	GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25		805,744
	517,994	Interstar Millennium Trust, Series 2003-3G, Class A2, (Australia), Floating Rate, 3.06%, 09/27/35(2)		511,397
	820,746	Interstar Millennium Trust, Series 2004-2G, Class A, (Australia), Floating Rate, 2.98%, 03/14/36(2)		792,140
	482,526	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34		474,932
	4,758,238	JPMorgan Mortgage Trust, Series 2006-S2, Class 1A17, 6.00%, 07/25/36		4,705,365

See notes to financial statements.

25

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	105,086	LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27	$	104,730
	1,116,885	LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27		1,114,725
	4,550,000	LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27		4,479,535
	388,041	LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A1, 3.94%, 12/15/29		387,679
	2,338,473	Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35		2,267,217
	4,534,330	Structured Adjustable Rate Mortgage Loan, Series 2005-23, Class 1A3, 5.45%, 01/25/36		4,060,185
	2,866,737	Structured Adjustable Rate Mortgage Loan, Series 2006-1, Class 5A1, 5.25%, 02/25/36		2,646,815
	6,001,136	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8, Class 1A8, 5.50%, 10/25/35		5,857,170
	469,506	Wells Fargo Mortgage Backed Securities Trust, Series 2003-11, Class 1A1, 3.50%, 10/25/18		467,295
	3,883,908	Wells Fargo Mortgage Backed Securities Trust, Series 2005-9, Class 1A1, 4.75%, 10/25/35		3,731,742
				58,941,477
		Private Asset Backed: Other — 6.1%
	3,879,310	ALG Student Loan Trust — 144A, Series 2006-1A, Class A1, Floating Rate, 2.92%, 10/28/18(2)		3,861,732
	2,079,978	CIT Equipment Collateral, Series 2006-VT1, Class A3, 5.13%, 12/21/09		2,090,293
	3,000,000	CNH Equipment Trust, Series 2006-B, Class B, 5.36%, 06/17/13		2,900,043
	2,000,000	CNH Equipment Trust, Series 2007-A, Class B, 5.09%, 06/16/14		1,887,308
	4,200,000	CNH Equipment Trust, Series 2007-B, Class A3A, 5.40%, 10/17/11		4,256,611
	970,459	Crusade Global Trust, Series 2004-2, Class A1, (Australia), Floating Rate, 2.85%, 11/19/37(2)		921,429
	1,544,962	Goal Capital Funding Trust, Series 2006-1, Class A1, Floating Rate, 2.64%, 08/25/20(2)		1,540,376
	2,747,809	Great America Leasing Receivables — 144A, Series 2006-1, Class A3, 5.34%, 01/15/10		2,764,391
	4,000,000	John Deere Owner Trust, Series 2007-A, Class A4, 5.07%, 04/15/14		4,023,980
	3,501,000	Marlin Leasing Receivables LLC — 144A, Series 2006-1A, Class A4, 5.33%, 09/15/13		3,560,976
	3,991,276	Massachusetts RRB Special Purpose Trust, Series 1999-1, Class A5, 7.03%, 03/15/12		4,120,933
				31,928,072
		Private Asset Backed: Transportation — 1.1%
	1,708,257	E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18		1,676,056
	3,794,072	Railcar Leasing LLC — 144A, Series 1, Class A2, 7.13%, 01/15/13		3,924,745
				5,600,801
		Real Estate Investment Trusts — 0.6%
	3,190,000	Boston Properties LP, 6.25%, 01/15/13		3,251,921
		Retail — 1.0%
	5,035,000	CVS Caremark Corp., 5.75%, 08/15/11		5,162,562
		Telecommunications Equipment and Services — 1.2%
	5,925,000	BellSouth Corp., 6.00%, 10/15/11		6,107,081
		Utilities—4.8%
	6,725,000	Alabama Power Company, Series G, 5.38%, 10/01/08		6,748,228
	5,125,000	Consolidated Edison Company of New York, Inc., 4.70%, 06/15/09		5,179,725
	6,420,000	Exelon Generation Company LLC, 6.95%, 06/15/11		6,639,917
	3,195,000	Northern States Power Company — Minnesota, 6.88%, 08/01/09		3,285,872

See notes to financial statements.

26

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Utilities (continued)
$	3,200,000	Northern States Power Company — Wisconsin, 7.64%, 10/01/08	$	3,227,235
				25,080,977
		Total Corporate Bonds and Notes (Cost $366,071,455)		361,117,666
		Foreign Government Obligations — 0.8%
	4,000,000	Province of Ontario (Canada), 5.50%, 10/01/08 (Cost $4,016,231)		4,029,924
		Municipal Bonds — 1.2%
		Texas
	6,350,000	Brazos Texas Higher Education Authority, Revenue Bond, Series A-5, 4.91%, 12/01/40 (Cost $6,281,539)		6,375,845
		Securities Lending Collateral — 3.5%
	18,486,913	Securities Lending Collateral Investment (Note 4) (Cost $18,486,913)		18,486,913
		Short Term US Government Agency Securities — 0.6%
		Federal Home Loan Bank
	3,000,000	2.00%, 07/01/08 (Cost $3,000,000)		3,000,000
		Total Securities (Cost $540,390,546)		536,306,912
		Repurchase Agreements — 0.7%
	3,446,435	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $3,446,535 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.53%, due 08/01/37, with a value of $334,005 and Freddie Mac Adjustable Rate Mortgage, 6.14%, due 07/01/36, with a value of $3,181,663) (Cost $3,446,435)		3,446,435
		Total Investments — 102.9% (Cost $543,836,981)		539,753,347
		Liabilities less other assets — (2.9)%		(15,224,412	)
		Net Assets — 100.0%	$	524,528,935

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $543,836,981.

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

Gross unrealized appreciation	$	3,185,852
Gross unrealized depreciation		(7,269,486	)
Net unrealized depreciation	$	(4,083,634	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

27

INFLATION-PROTECTED SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Principal			Value
		US Treasury Securities — 91.2%
		US Treasury Inflation Index
$	21,676,918	0.88%, 04/15/10	$	22,057,976
	13,179,654	3.50%, 01/15/11		14,351,418
	39,112,143	2.38%, 04/15/11		41,455,821
	9,519,473	3.38%, 01/15/12		10,511,583
	14,431,829	2.00%, 04/15/12		15,230,097
	3,942,015	3.00%, 07/15/12		4,330,367
	101,615	0.63%, 04/15/13		101,274
	14,717,025	1.88%, 07/15/13		15,563,269
	26,647,791	2.00%, 01/15/14		28,298,728
	37,692,675	2.00%, 07/15/14		40,039,647
	15,162,574	1.63%, 01/15/15		15,663,651
	38,122,850	1.88%, 07/15/15		39,930,712
	13,656,607	2.00%, 01/15/16		14,388,519
	2,648,165	2.50%, 07/15/16(4)(5)		2,894,362
	4,851,257	2.38%, 01/15/17		5,252,626
	4,222,923	2.63%, 07/15/17		4,665,671
	40,788,378	1.63%, 01/15/18		41,448,007
	25,267,082	2.38%, 01/15/25		26,506,761
	25,819,860	2.00%, 01/15/26		25,608,060
	19,751,167	2.38%, 01/15/27		20,712,496
	38,620,037	1.75%, 01/15/28		36,755,423
	8,445,635	3.63%, 04/15/28		10,541,875
	25,012,943	3.88%, 04/15/29		32,510,972
	901,472	3.38%, 04/15/32		1,134,658
		Total US Treasury Securities (Cost $469,197,933)		469,953,973
		US Government Agency Securities — 5.5%
		Fannie Mae
	29,000,000	TBA, 5.50%, 07/01/38 (Cost $28,512,891)		28,587,649
		Corporate Bonds and Notes — 3.3%
		Banks and Financial Services — 1.7%
	2,545,000	General Electric Capital Corp., 5.63%, 05/01/18(6)		2,465,723
	315,000	International Bank for Reconstruction & Development, Series CPI, Floating Rate, 5.57%, 12/10/13(3)		320,982
	1,530,000	JPMorgan Chase & Company, Series MTNC, Floating Rate, 5.67%, 06/28/09(3)		1,587,225
	1,055,000	Lehman Brothers Holdings, Inc., Series MTN, 5.63%, 01/24/13(6)		999,544
	1,243,000	Lehman Brothers Holdings, Inc., Series MTNG, Floating Rate, 5.25%, 06/02/09(3)		1,229,600
	465,000	SLM Corp., Series CPI, Floating Rate, 5.13%, 10/08/08(3)		464,670
	370,000	SLM Corp., Series CPI, Floating Rate, 5.36%, 06/01/09(3)		365,556
	900,000	SLM Corp., Series CPI, Floating Rate, 6.10%, 01/31/14(3)		725,337
	649,000	Bear Stearns Companies, Inc. (The), Series CPI, Floating Rate, 5.78%, 03/10/14(3)		592,628
				8,751,265
		Private Asset Backed: Credit Cards — 0.2%
	1,100,000	Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14		1,112,841
		Private Asset Backed: Mortgage and Home Equity — 1.4%
	585,000	Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43		547,151
	685,000	Bank of America Commercial Mortgage, Inc., Series 2005-4, Class A5A, 4.93%, 07/10/45		648,874
	327,579	Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 2.59%, 03/25/37(3)		310,827
	2,046,170	Countrywide Alternative Loan Trust, Series 2006-OA21, Class A1, Floating Rate, 2.67%, 03/20/47(3)		1,439,701
	695,000	GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Class A4, 4.55%, 12/10/41		675,169
	2,837,111	Residential Accredit Loans, Inc., Series 2007-QO2, Class A1, Floating Rate, 2.63%, 02/25/47(3)		2,028,141
	765,000	Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A4, Floating Rate, 5.44%, 12/15/44(3)		739,654

See notes to financial statements.

28

INFLATION-PROTECTED SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal				Value
			Corporate Bonds and Notes (continued)
			Private Asset Backed: Mortgage and Home Equity (continued)
$	750,000		Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4, Floating Rate, 5.93%, 05/15/43(3)	$	733,182
					7,122,699
			Total Corporate Bonds and Notes (Cost $17,238,386)		16,986,805
			Short Term US Government Agency Securities — 3.4%
			Fannie Mae
	17,300,000		2.15%, 07/28/08 (Cost $17,272,104)		17,272,104
			Total Securities (Cost $532,221,314)		532,800,531
			Repurchase Agreements — 1.6%
	8,118,013		With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $8,118,250 (Collateralized by Freddie Mac Adjustable Rate Mortgage, 6.14%, due 07/01/36 with a value of $8,280,642) (Cost $8,118,013)		8,118,013
			Total Investments before Call and Put Options Written — 105.0% (Cost $540,339,327)		540,918,544
Contracts
			Call Options Written — (0.0)%
	(59	)	US Treasury Note (10 Year) September Future, Expiring September 2008 @ 117 (Premium $50,057)		(20,281	)
			Put Options Written — (0.2)%
	(65,700,000	)	Expiring 10/08/08. If exercised the Series receives 3.10%, and pays floating 3 month LIBOR, expiring 10/10/10, European Style		(993,594	)
	(59	)	US Treasury Note (10 Year) September Future, Expiring September 2008 @ 113		(52,547	)
			Total Put Options Written (Premium $405,623)		(1,046,141	)
			Total Investments net of Call and Put Options Written — 104.8% (Cost $539,883,647)		539,852,122
			Liabilities less other assets — (4.8)%		(24,614,046	)
			Net Assets — 100.0%	$	515,238,076

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $540,339,327.

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

Gross unrealized appreciation	$	4,848,671
Gross unrealized depreciation		(4,269,454	)
Net unrealized appreciation	$	579,217

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

29

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008

(Unaudited)

Principal			Value
		US Treasury Securities — 5.7%
		US Treasury Bonds — 1.6%
$	18,150,000	6.63%, 02/15/27	$	22,755,580
	5,650,000	5.00%, 05/15/37(8)		6,073,756
	2,835,000	4.38%, 02/15/38(8)		2,764,128
				31,593,464
		US Treasury Inflation Index — 0.8%
	7,719,706	2.38%, 01/15/25		8,098,458
	4,572,042	2.00%, 01/15/26		4,534,537
	3,919,347	2.38%, 01/15/27		4,110,110
				16,743,105
		US Treasury Notes — 2.5%
	15,225,000	2.63%, 05/31/10(8)		15,239,281
	2,220,000	3.50%, 05/31/13(8)		2,237,172
	16,010,000	3.50%, 02/15/18(8)		15,415,885
	17,370,000	3.88%, 05/15/18(8)		17,230,240
				50,122,578
		US Treasury Strips — 0.8%
	39,505,000	Zero coupon, 11/15/27		15,820,844
		Total US Treasury Securities (Cost $113,306,241)		114,279,991
		US Government Agency Securities — 49.8%
		Asset Backed: Mortgage and Home Equity — 1.6%
	21,525,423	Fannie Mae IO Strips, Series 360, Class 2, 5.00%, 08/01/35		5,459,489
	21,238,202	Fannie Mae IO Strips, Series 378, Class 4, 5.00%, 07/01/36		5,174,087
	2,400,848	Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29		2,471,263
	8,956,387	Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18		9,005,094
	4,909,330	Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34		4,815,744
	5,169,155	Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15		5,304,009
				32,229,686
		Asset Backed: US Government Agencies — 0.1%
	1,052,678	Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/10/12		1,062,694
	1,575,730	Small Business Administration, Series 2004-P10A, Class 1, 4.50%, 02/10/14		1,515,366
				2,578,060
		Fannie Mae — 26.1%
	14,850,000	4.63%, 06/01/10		15,230,368
	4,100,000	5.25%, 08/01/12		4,153,079
	10,200,000	4.63%, 05/01/13		10,021,021
	242,621	PL# 252571, 7.00%, 07/01/29		256,614
	3,625	PL# 252716, 7.00%, 09/01/29		3,834
	1,017	PL# 253264, 7.00%, 05/01/30		1,075
	718	PL# 253346, 7.50%, 06/01/30		774
	11,652	PL# 253479, 7.00%, 10/01/30		12,316
	23,766	PL# 253990, 7.00%, 09/01/16		24,924
	20,140	PL# 254008, 7.00%, 10/01/31		21,291
	285,907	PL# 254346, 6.50%, 06/01/32		296,847
	242,507	PL# 254406, 6.50%, 08/01/32		251,786
	11,665	PL# 255032, 5.50%, 12/01/18		11,845
	152,795	PL# 255950, 6.00%, 09/01/15		156,954
	411,994	PL# 256137, 6.00%, 02/01/16		423,234
	444,038	PL# 256335, 6.00%, 07/01/16		456,163
	2,636,816	PL# 256936, 6.00%, 10/01/37		2,643,389
	600,344	PL# 323842, 5.50%, 07/01/14		610,750
	36,840	PL# 323967, 7.00%, 10/01/29		38,965
	4,189	PL# 492742, 7.00%, 05/01/29		4,430
	1,081	PL# 503916, 7.50%, 06/01/29		1,167
	1,824	PL# 508415, 7.00%, 08/01/29		1,929
	8,663	PL# 515946, 7.00%, 10/01/29		9,163
	312	PL# 524164, 7.00%, 11/01/29		330
	109,212	PL# 524657, 7.00%, 01/01/30		115,436
	19,735	PL# 526053, 7.00%, 12/01/29		20,873
	338	PL# 527717, 7.50%, 01/01/30		365
	3,446	PL# 528107, 7.00%, 02/01/30		3,645
	1,281	PL# 531092, 7.50%, 10/01/29		1,383
	8,060	PL# 531497, 7.00%, 02/01/30		8,520
	6,324	PL# 531735, 7.00%, 02/01/30		6,684
	925	PL# 533841, 7.50%, 12/01/30		997
	18,387	PL# 535030, 7.00%, 12/01/29		19,448
	25,640	PL# 535103, 7.00%, 01/01/15		26,911
	7,203	PL# 535159, 7.00%, 02/01/30		7,618
	33,179	PL# 535195, 7.00%, 03/01/30		35,093
	9,456	PL# 535277, 7.00%, 04/01/30		10,002
	299,698	PL# 535675, 7.00%, 01/01/16		314,392
	771	PL# 535722, 7.00%, 02/01/31		815
	4,993	PL# 535723, 7.00%, 02/01/31		5,278
	1,154	PL# 535811, 6.50%, 04/01/31		1,198
	72,608	PL# 535880, 7.00%, 02/01/31		76,794
	473	PL# 540211, 7.50%, 06/01/30		510
	1,319	PL# 542999, 7.50%, 08/01/30		1,421
	88,824	PL# 545249, 5.50%, 10/01/16		90,363
	474,675	PL# 545298, 5.50%, 11/01/16		482,903
	5,070	PL# 545363, 5.50%, 11/01/16		5,158
	1,807,311	PL# 545411, 5.50%, 01/01/17		1,838,637
	23,114	PL# 545477, 7.00%, 03/01/32		24,438
	194,112	PL# 545759, 6.50%, 07/01/32		201,539
	777,830	PL# 545760, 6.50%, 07/01/32		807,591
	142,618	PL# 545762, 6.50%, 07/01/32		148,075
	30,713	PL# 549659, 7.00%, 02/01/16		32,210
	11,792	PL# 549962, 7.00%, 10/01/30		12,464

See notes to financial statements.

30

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	44,172	PL# 549975, 7.00%, 10/01/30	$	46,689
	5,032	PL# 550440, 7.00%, 02/01/16		5,277
	42,277	PL# 554493, 7.00%, 10/01/30		44,687
	212,649	PL# 555114, 5.50%, 12/01/17		216,069
	24,635	PL# 555144, 7.00%, 10/01/32		26,041
	335,840	PL# 555254, 6.50%, 01/01/33		348,900
	194,277	PL# 555798, 6.50%, 05/01/33		201,832
	1,578	PL# 558362, 7.50%, 11/01/30		1,701
	374	PL# 558519, 7.50%, 11/01/30		403
	1,349	PL# 559277, 7.00%, 10/01/30		1,426
	30,008	PL# 559313, 7.00%, 12/01/30		31,718
	1,253	PL# 559741, 7.50%, 01/01/31		1,349
	21,116	PL# 560384, 7.00%, 11/01/30		22,320
	1,411	PL# 560596, 7.50%, 01/01/31		1,521
	2,737	PL# 561678, 7.50%, 12/01/30		2,950
	1,461	PL# 564080, 7.50%, 12/01/30		1,574
	10,752	PL# 564183, 7.00%, 12/01/30		11,365
	1,392	PL# 564529, 7.50%, 12/01/30		1,501
	6,153	PL# 566658, 7.00%, 02/01/31		6,505
	61,252	PL# 572453, 5.50%, 04/01/16		62,314
	6,288	PL# 575285, 7.50%, 03/01/31		6,772
	4,420	PL# 579161, 6.50%, 04/01/31		4,592
	336,461	PL# 580165, 5.50%, 09/01/16		342,293
	11,090	PL# 580179, 7.00%, 10/01/16		11,630
	40,809	PL# 580515, 5.50%, 04/01/16		41,516
	9,440	PL# 584811, 7.00%, 05/01/31		9,979
	89,840	PL# 585248, 7.00%, 06/01/31		94,960
	156,144	PL# 589120, 5.50%, 11/01/16		158,851
	1,099	PL# 589405, 7.50%, 06/01/31		1,184
	5,711	PL# 589893, 7.00%, 06/01/31		6,038
	4,596	PL# 592129, 7.50%, 06/01/31		4,950
	4,140	PL# 596895, 6.50%, 07/01/31		4,301
	10,118	PL# 598125, 7.00%, 09/01/16		10,611
	7,230	PL# 602148, 5.50%, 09/01/16		7,355
	59,209	PL# 604517, 5.50%, 11/01/16		60,235
	6,379	PL# 606551, 6.50%, 10/01/31		6,627
	2,980	PL# 606600, 7.00%, 10/01/31		3,150
	38,232	PL# 607386, 5.50%, 11/01/16		38,895
	53,288	PL# 607493, 5.50%, 11/01/16		54,211
	22,038	PL# 610128, 7.00%, 10/01/31		23,298
	183,992	PL# 610579, 5.50%, 12/01/16		187,181
	8,066	PL# 611323, 7.00%, 10/01/16		8,459
	26,413	PL# 612071, 5.50%, 11/01/16		26,871
	143,576	PL# 614506, 5.50%, 11/01/16		146,065
	1,478,376	PL# 619054, 5.50%, 02/01/17		1,502,153
	5,658	PL# 622119, 6.50%, 01/01/32		5,878
	196,466	PL# 624035, 6.50%, 01/01/32		205,372
	8,271	PL# 629236, 6.50%, 02/01/32		8,588
	546,538	PL# 631321, 5.50%, 02/01/17		555,328
	38,969	PL# 631606, 5.50%, 03/01/17		39,596
	35,056	PL# 632269, 7.00%, 05/01/32		37,059
	6,976	PL# 634563, 6.50%, 03/01/32		7,243
	58,324	PL# 634949, 7.00%, 05/01/32		61,666
	208,799	PL# 635164, 6.50%, 08/01/32		216,788
	2,398	PL# 644932, 6.50%, 07/01/32		2,490
	5,416	PL# 647556, 7.00%, 01/01/30		5,729
	426,332	PL# 648795, 6.50%, 08/01/32		442,644
	146,608	PL# 650206, 5.50%, 01/01/18		148,966
	69,436	PL# 650291, 6.50%, 07/01/32		72,093
	211,368	PL# 651649, 6.50%, 08/01/32		219,456
	845,801	PL# 652127, 6.50%, 06/01/32		878,163
	3,367	PL# 663353, 6.50%, 09/01/32		3,496
	31,629	PL# 664188, 5.50%, 09/01/17		32,138
	45,807	PL# 664194, 5.50%, 09/01/17		46,543
	354,838	PL# 670402, 6.50%, 06/01/32		368,415
	166,236	PL# 675314, 5.50%, 12/01/17		168,910
	263,689	PL# 676800, 5.50%, 01/01/18		267,930
	382,189	PL# 679631, 5.50%, 02/01/18		387,858
	6,844	PL# 681343, 5.50%, 02/01/18		6,946
	316,836	PL# 683199, 5.50%, 02/01/18		321,536
	4,659,352	PL# 687889, 5.50%, 03/01/33		4,620,676
	5,501	PL# 694372, 6.50%, 11/01/32		5,711
	63,845	PL# 695925, 5.50%, 05/01/18		64,792
	7,377	PL# 701236, 5.50%, 05/01/18		7,486
	7,013	PL# 708637, 5.50%, 06/01/18		7,117
	11,615	PL# 725071, 5.50%, 12/01/18		11,787
	7,401,106	PL# 725162, 6.00%, 02/01/34		7,510,822
	15,835,347	PL# 725206, 5.50%, 02/01/34		15,703,901
	9,990	PL# 725269, 5.50%, 03/01/19		10,151
	187,748	PL# 725407, 6.50%, 01/01/34		195,049
	267,485	PL# 725418, 6.50%, 05/01/34		277,887
	4,038,869	PL# 725519, 5.50%, 05/01/19		4,103,827
	4,321,501	PL# 725704, 6.00%, 08/01/34		4,385,563
	10,101,580	PL# 725946, 5.50%, 11/01/34		9,998,789
	9,839	PL# 732724, 5.50%, 08/01/18		9,984
	14,620,938	PL# 735141, 5.50%, 01/01/35		14,472,159
	3,561,154	PL# 735454, 5.50%, 11/01/18		3,618,429
	23,132,151	PL# 735504, 6.00%, 04/01/35		23,496,753
	971,747	PL# 735611, 5.50%, 03/01/20		987,376
	93,818,410	PL# 735989, 5.50%, 02/01/35		93,098,279
	14,106,043	PL# 739821, 5.00%, 09/01/33		13,610,403
	7,823	PL# 741355, 5.50%, 10/01/18		7,939
	10,003,173	PL# 745193, 5.50%, 06/01/20		10,164,057
	38,438,450	PL# 745275, 5.00%, 02/01/36		36,979,739
	21,088,416	PL# 745412, 5.50%, 12/01/35		20,873,825
	4,656	PL# 748655, 6.50%, 09/01/33		4,828
	2,544	PL# 749118, 5.50%, 11/01/18		2,581
	13,056	PL# 749153, 5.50%, 11/01/18		13,250
	7,560	PL# 753643, 5.50%, 11/01/18		7,672
	17,126	PL# 755167, 5.50%, 11/01/18		17,380
	124,973	PL# 757687, 5.50%, 07/01/34		123,701
	10,328	PL# 759423, 5.50%, 01/01/19		10,475

See notes to financial statements.

31

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	7,760	PL# 761018, 5.50%, 12/01/18	$	7,875
	29,125	PL# 761808, 5.50%, 05/01/18		29,593
	376,042	PL# 766312, 5.50%, 03/01/19		381,385
	182,724	PL# 768313, 5.50%, 01/01/19		185,435
	172,580	PL# 781889, 5.50%, 03/01/17		175,571
	4,976,741	PL# 806549, Variable Rate, 4.56%, 01/01/35(1)		5,012,653
	998,051	PL# 826273, 6.00%, 07/01/20		1,024,530
	57,574	PL# 831500, 6.00%, 05/01/16		59,146
	3,848,283	PL# 831511, 6.00%, 06/01/16		3,953,345
	818,174	PL# 845420, 6.00%, 02/01/36		827,490
	8,011,865	PL# 850867, Variable Rate, 5.62%, 01/01/36(1)		8,087,669
	43,534,375	PL# 888306, 5.00%, 12/01/36		41,882,279
	21,463,239	PL# 888635, 5.50%, 09/01/36		21,285,077
	4,908,285	PL# 889458, 4.50%, 03/01/21		4,801,530
	805,250	PL# 891805, 6.00%, 06/01/36		813,664
	733,916	PL# 892970, 6.50%, 09/01/36		756,722
	621,009	PL# 911420, 6.00%, 05/01/37		627,366
	7,976,514	PL# 928510, 6.50%, 06/01/37		8,222,683
	8,615,565	PL# 941348, 6.50%, 08/01/37		8,881,456
	4,390,116	PL# 944027, 6.50%, 08/01/37		4,525,602
	37,300,000	TBA, 4.50%, 07/01/23		36,052,762
	35,000,000	TBA, 5.00%, 07/01/23		34,611,709
	27,200,000	TBA, 5.50%, 07/01/23		27,382,756
	1,000,000	TBA, 6.00%, 07/01/23		1,025,156
	200,000	TBA, 6.50%, 07/01/38		205,906
				522,463,907
		Federal Agricultural Mortgage Corporation — 2.4%
	45,175,000	144A, 5.50%, 07/15/11		47,910,030
		Federal Home Loan Bank — 1.9%
	38,390,000	5.86%, 03/02/17		38,975,985
		Freddie Mac — 1.6%
	16,800,000	4.75%, 06/28/12(6)		17,295,332
	4,065,685	PL# 1B2853, Variable Rate, 4.35%, 04/01/35(1)		4,100,654
	10,117,498	PL# 1G1119, Variable Rate, 4.75%, 09/01/35(1)		10,087,927
				31,483,913
		Freddie Mac Gold — 6.3%
	222,165	PL# A32037, 5.00%, 03/01/35		213,665
	23,762	PL# A38585, 5.50%, 10/01/35		23,480
	2,845,994	PL# B11446, 5.00%, 12/01/18		2,839,798
	443,270	PL# B19621, 5.00%, 07/01/20		440,088
	806,728	PL# C01271, 6.50%, 12/01/31		839,107
	2,527,816	PL# C57150, 6.00%, 05/01/31		2,573,978
	3,089	PL# C67653, 7.00%, 06/01/32		3,263
	40,070	PL# C67868, 7.00%, 06/01/32		42,326
	10,744	PL# C67999, 7.00%, 06/01/32		11,349
	70,704	PL# C68001, 7.00%, 06/01/32		74,685
	101,859	PL# C90229, 7.00%, 08/01/18		107,930
	13,355	PL# E00570, 6.00%, 09/01/13		13,753
	285,021	PL# E00592, 6.00%, 12/01/13		293,085
	14,387	PL# E00720, 6.00%, 07/01/14		14,788
	15,141	PL# E01007, 6.00%, 08/01/16		15,552
	50,019	PL# E01095, 6.00%, 01/01/17		51,373
	337,752	PL# E01490, 5.00%, 11/01/18		337,058
	663,191	PL# E01538, 5.00%, 12/01/18		661,812
	26,564	PL# E01638, 4.00%, 04/01/19		25,220
	20,348	PL# E69171, 6.00%, 02/01/13		20,852
	16,365	PL# E73319, 6.00%, 11/01/13		16,770
	20,600	PL# E73769, 6.00%, 12/01/13		21,110
	10,872	PL# E75990, 6.00%, 04/01/14		11,206
	19,534	PL# E76341, 6.00%, 04/01/14		20,017
	29,147	PL# E76730, 6.00%, 05/01/14		29,869
	22,970	PL# E76731, 6.00%, 05/01/14		23,539
	15,285	PL# E78995, 6.00%, 11/01/14		15,664
	182,623	PL# E84191, 6.00%, 07/01/16		187,155
	3,022	PL# E84758, 5.50%, 07/01/16		3,063
	13,439	PL# E85885, 6.00%, 11/01/16		13,773
	180,655	PL# E86502, 5.50%, 12/01/16		183,084
	3,979	PL# E86565, 5.50%, 12/01/16		4,032
	185,608	PL# E87961, 6.00%, 02/01/17		190,215

See notes to financial statements.

32

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Freddie Mac Gold (continued)
$	291,949	PL# E88001, 6.00%, 02/01/17	$	299,203
	39,058	PL# E88452, 6.00%, 03/01/17		40,028
	234,501	PL# E88749, 6.00%, 03/01/17		240,321
	300,713	PL# E88789, 6.00%, 04/01/17		308,185
	112,517	PL# E88979, 5.50%, 04/01/17		114,048
	218,557	PL# E89282, 6.00%, 04/01/17		223,988
	473,632	PL# E89336, 6.00%, 05/01/17		485,400
	20,407	PL# E89653, 6.00%, 04/01/17		20,914
	327,180	PL# E89913, 6.00%, 05/01/17		335,309
	587,133	PL# E91644, 5.50%, 10/01/17		595,120
	175,990	PL# E91754, 5.50%, 10/01/17		178,384
	256,779	PL# E91774, 5.50%, 10/01/17		260,272
	116,494	PL# E91968, 5.50%, 10/01/17		118,078
	202,554	PL# E92113, 5.50%, 10/01/17		205,309
	1,025,122	PL# G01391, 7.00%, 04/01/32		1,083,873
	2,701,814	PL# G03358, 5.50%, 08/01/37		2,664,664
	11,434	PL# G11111, 6.00%, 04/01/16		11,717
	2,474,638	PL# G11681, 5.00%, 04/01/20		2,463,064
	10,848,825	PL# G11769, 5.00%, 10/01/20		10,770,963
	2,592,800	PL# M80813, 4.00%, 04/01/10		2,592,096
	24,000,000	TBA, 4.50%, 07/01/23		23,190,001
	3,000,000	TBA, 5.00%, 07/01/23		2,962,969
	69,000,000	TBA, 5.50%, 07/01/38		67,975,765
				126,462,330
		Government National Mortgage Association — 9.7%
	87,227	PL# 3173, 6.50%, 12/20/31		90,407
	555	PL# 434615, 7.00%, 11/15/29		591
	142,240	PL# 435071, 7.00%, 03/15/31		151,460
	17,300	PL# 493966, 7.00%, 06/15/29		18,445
	36,508	PL# 494742, 7.00%, 04/15/29		38,925
	1,084	PL# 530260, 7.00%, 02/15/31		1,154
	185,444	PL# 531025, 6.00%, 04/15/32		189,081
	415	PL# 538271, 7.00%, 11/15/31		442
	66,516	PL# 538312, 6.00%, 02/15/32		67,820
	96,144	PL# 543989, 7.00%, 03/15/31		102,376
	775	PL# 547545, 7.00%, 04/15/31		825
	198,200	PL# 550985, 7.00%, 10/15/31		211,048
	245	PL# 551549, 7.00%, 07/15/31		260
	17,081	PL# 552413, 7.00%, 02/15/32		18,186
	75,523	PL# 554808, 6.00%, 05/15/31		77,051
	55,944	PL# 555360, 6.00%, 06/15/31		57,076
	63,542	PL# 555733, 6.00%, 03/15/32		64,788
	449	PL# 557664, 7.00%, 08/15/31		478
	53,980	PL# 557678, 7.00%, 08/15/31		57,479
	3,721	PL# 561050, 7.00%, 05/15/31		3,963
	367	PL# 561996, 7.00%, 07/15/31		391
	10,005	PL# 563346, 7.00%, 09/15/31		10,654
	38,213	PL# 563599, 7.00%, 06/15/32		40,684
	63,563	PL# 564086, 7.00%, 07/15/31		67,683
	35,267	PL# 564300, 6.00%, 08/15/31		35,981
	6,290	PL# 564706, 7.00%, 07/15/31		6,698
	53,481	PL# 565808, 6.00%, 11/15/31		54,563
	124,497	PL# 567622, 6.00%, 04/15/32		126,939
	66,716	PL# 569567, 7.00%, 01/15/32		71,031
	53,172	PL# 570517, 6.00%, 01/15/32		54,214
	38,761	PL# 572821, 6.00%, 12/15/31		39,546
	65,549	PL# 574873, 6.00%, 12/15/31		66,876
	76,317	PL# 575906, 6.00%, 01/15/32		77,813
	34,259	PL# 576323, 6.00%, 12/15/31		34,953
	1,244	PL# 579377, 7.00%, 04/15/32		1,325
	179,728	PL# 581015, 7.00%, 02/15/32		191,352
	73,511	PL# 581070, 6.00%, 02/15/32		74,952
	42,405	PL# 582956, 7.00%, 02/15/32		45,148
	190,440	PL# 587122, 7.00%, 06/15/32		202,757
	4,811	PL# 587494, 7.00%, 06/15/32		5,122
	909	PL# 589696, 7.00%, 05/15/32		968
	13,640	PL# 780802, 6.50%, 05/15/28		14,177
	22,565	PL# 781113, 7.00%, 11/15/29		24,059
	144,294	PL# 781148, 6.00%, 07/15/29		147,433
	69,997	PL# 781276, 6.50%, 04/15/31		72,738
	20,066	PL# 781287, 7.00%, 05/15/31		21,385
	31,756	PL# 781324, 7.00%, 07/15/31		33,827
	177,694	PL# 781328, 7.00%, 09/15/31		189,382
	138,862	PL# 781330, 6.00%, 09/15/31		141,860
	35,348	PL# 781496, 6.50%, 09/15/32		36,707
	46,947	PL# 781548, 7.00%, 11/15/32		50,003
	27,412	PL# 781584, 7.00%, 05/15/32		29,202
	2,312,905	PL# 781804, 6.00%, 09/15/34		2,354,701
	2,045,249	PL# 781847, 6.00%, 12/15/34		2,081,856
	1,927,172	PL# 781902, 6.00%, 02/15/35		1,961,445
	92,400,000	TBA, 5.50%, 07/01/38		91,860,553
	8,200,000	TBA, 6.00%, 07/01/38		8,316,594
	45,100,000	TBA, 5.50%, 08/01/38		44,641,953
	36,800,000	TBA, 5.50%, 08/01/38		36,506,741

See notes to financial statements.

33

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Government National Mortgage Association (continued)
$	4,300,000	TBA, 6.00%, 08/01/38	$	4,347,703
				195,193,824
		Resolution Funding Strips — 0.1%
	1,200,000	Zero coupon, 07/15/18		765,378
	1,200,000	Zero coupon, 10/15/18		753,113
				1,518,491
		Total US Government Agency Securities (Cost $991,880,721)		998,816,226
		Corporate Bonds and Notes — 56.9%
		Banks and Financial Services — 15.5%
	85,000	BAC Capital Trust XI, 6.63%, 05/23/36		78,593
	3,000,000	Bank of America Corp., 7.80%, 09/15/16		3,219,612
	4,550,000	Bank of America Corp., 6.00%, 09/01/17		4,391,564
	2,675,000	Bank of America Corp., 5.75%, 12/01/17		2,516,592
	7,735,000	Bank of America Corp., Series K, Variable Rate, 8.00%, perpetual(1)		7,258,447
	4,775,000	Bank of America Corp., Series M, Variable Rate, 8.13%, perpetual(1)		4,519,585
	3,025,000	Bank of America NA, 5.30%, 03/15/17		2,781,506
	7,265,000	Barclays Bank PLC — 144A (United Kingdom), Variable Rate, 7.43%, perpetual(1)		6,825,627
	2,900,000	Bear Stearns Companies, Inc. (The), 6.40%, 10/02/17		2,870,690
	7,565,000	Bear Stearns Companies, Inc. (The), Series MTN, 6.95%, 08/10/12		7,872,858
	1,000,000	Bear Stearns Companies, Inc. (The), Series MTNB, 4.55%, 06/23/10		992,044
	7,125,000	Citigroup Capital XXI, Variable Rate, 8.30%, 12/21/57 (1)		6,746,085
	14,330,000	Citigroup, Inc., 3.63%, 02/09/09(4)(5)		14,311,256
	3,980,000	Citigroup, Inc., 4.13%, 02/22/10		3,944,685
	6,700,000	Citigroup, Inc., 5.30%, 10/17/12		6,541,666
	8,220,000	Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual(1)		6,863,823
	14,675,000	General Electric Capital Corp., 5.00%, 11/15/11		14,968,705
	10,125,000	General Electric Capital Corp., 5.63%, 05/01/18		9,809,606
	5,375,000	General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67(1)		5,092,474
	5,820,000	General Electric Capital Corp., Series GMTN, 6.15%, 08/07/37		5,479,158
	5,680,000	General Electric Capital Corp., Series MTN, 5.00%, 04/10/12		5,724,247
	3,230,000	Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual(1)		2,247,822
	13,605,000	Goldman Sachs Group, Inc., 5.25%, 10/15/13		13,332,546
	2,850,000	HBOS Treasury Services PLC — 144A (United Kingdom), 3.75%, 09/30/08		2,843,853
	2,925,000	HSBC Finance Corp., 6.50%, 11/15/08		2,948,654
	390,000	Icahn Enterprises Finance Corp., 8.13%, 06/01/12		376,350
	4,045,000	Icahn Enterprises Finance Corp., 7.13%, 02/15/13		3,691,063
	2,100,000	JPMorgan Chase & Company, 5.75%, 10/15/08		2,108,497
	1,100,000	JPMorgan Chase & Company, 7.00%, 11/15/09		1,124,740
	8,750,000	JPMorgan Chase & Company, Series 1, Variable Rate, 7.90%, perpetual(1)		8,228,763
	7,750,000	JPMorgan Chase Bank NA, Series BKNT, 6.00%, 07/05/17		7,610,167
	1,945,000	JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17		1,892,753
	5,795,000	JPMorgan Chase Capital XXV, 6.80%, 10/01/37		5,216,908
	630,000,000	Kreditanstalt fur Wiederaufbau (Germany), Series EMTN, Floating Rate, 0.71%, 08/08/11(2)(17)		5,935,711
	870,000,000	Landwirtschaftliche Rentenbank (Germany), Series EMTN, 0.65%, 09/30/08(17)		8,189,225
	1,015,000	Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)		662,809
	2,250,000	Lehman Brothers Holdings, Inc., 6.50%, 07/19/17		2,084,969

See notes to financial statements.

34

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)
$	4,400,000	Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12	$	4,167,200
	5,730,000	Lehman Brothers Holdings, Inc., Series MTN, 5.63%, 01/24/13		5,428,803
	2,005,000	Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17		1,886,757
	3,800,000	Lehman Brothers Holdings, Inc., Series MTN, 7.00%, 09/27/27		3,522,410
	425,000	Morgan Stanley, 6.75%, 04/15/11		436,237
	17,410,000	Morgan Stanley, Floating Rate, 2.96%, 01/09/12(2)		16,193,824
	3,710,000	Morgan Stanley, Series MTN, 6.25%, 08/28/17		3,464,732
	1,950,000	Morgan Stanley, Series MTNF, 5.55%, 04/27/17		1,747,013
	18,175,000	Private Expert Funding Corp., Series Y, 3.55%, 04/15/13		17,622,608
	6,450,000	Royal Bank of Scotland Group PLC — 144A (United Kingdom), Variable Rate, 6.99%, perpetual(1)		5,814,681
	3,365,000	SLM Corp., Series MTN, 5.40%, 10/25/11		3,075,142
	3,972,000	SLM Corp., Series MTNA, 4.00%, 01/15/09		3,923,621
	2,370,000	SLM Corp., Series MTNA, 4.00%, 01/15/10		2,208,594
	2,000,000	SunTrust Banks, Inc., 4.00%, 10/15/08		2,000,326
	1,535,000	SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09		1,523,828
	10,780,000	UBS AG Stamford Branch, Series DPNT (Switzerland), 5.88%, 12/20/17		10,504,970
	5,900,000	UBS AG Stamford Branch, Series MTN (Switzerland), 5.75%, 04/25/18		5,640,223
	980,000	UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual(1)		985,238
	4,315,000	US Bank NA, Series BKNT, 4.40%, 08/15/08		4,319,867
	540,000	Wachovia Bank NA, Series BKNT, 4.38%, 08/15/08		539,497
	11,100,000	Wachovia Bank NA, Series BKNT, 6.60%, 01/15/38		9,701,234
	2,760,000	Wells Fargo & Company, 4.20%, 01/15/10		2,769,067
	4,090,000	Wells Fargo & Company, 4.63%, 08/09/10		4,133,309
	4,525,000	Wells Fargo & Company, 4.88%, 01/12/11		4,590,083
	2,895,000	ZFS Finance USA Trust V — 144A, Variable Rate, 6.50%, 05/09/37(1)		2,530,838
				310,033,755
		Broadcast Services/Media — 1.6%
	5,374,000	Comcast Cable Communications Holdings, 8.38%, 03/15/13		5,921,304
	1,800,000	Comcast Cable Communications, Inc., 6.75%, 01/30/11		1,865,855
	965,000	Comcast Corp., 7.05%, 03/15/33		983,296
	7,250,000	Comcast Corp., 6.95%, 08/15/37		7,153,002
	465,000	Cox Communications, Inc., 7.75%, 11/01/10		490,224
	475,000	CSC Holdings, Inc., Series B, 8.13%, 07/15/09		479,750
	555,000	CSC Holdings, Inc., Series B, 8.13%, 08/15/09		560,550
	1,070,000	News America Holdings, 7.63%, 11/30/28		1,140,288
	260,000	News America, Inc., 7.28%, 06/30/28		267,911
	1,675,000	TCI Communications, Inc., 7.13%, 02/15/28		1,696,075
	9,150,000	Time Warner Cable, Inc., 6.20%, 07/01/13		9,314,234
	725,000	Time Warner Entertainment, 8.38%, 07/15/33		786,782
	1,910,000	Time Warner, Inc., 7.57%, 02/01/24		1,947,004
				32,606,275
		Computer Equipment, Software and Services — 0.4%
	4,415,000	International Business Machines Corp., 5.70%, 09/14/17		4,488,819
	2,980,000	Oracle Corp., 5.75%, 04/15/18		2,982,968
				7,471,787
		Construction Services and Supplies — 0.1%
	2,875,000	Belvoir Land LLC — 144A, 5.40%, 12/15/47		2,345,626

See notes to financial statements.

35

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Electronics — 0.0%
$	470,000	L-3 Communications Corp., 5.88%, 01/15/15	$	435,925
	155,000	L-3 Communications Corp., Series B, 6.38%, 10/15/15		145,700
				581,625
		Environmental Waste Management and Recycling Services — 0.0%
	560,000	Aleris International, Inc., 9.00%, 12/15/14(12)		448,700
		Food and Beverage — 0.5%
	4,792,000	Kraft Foods, Inc., 6.50%, 08/11/17		4,806,261
	5,675,000	Kraft Foods, Inc., 6.13%, 02/01/18		5,526,389
				10,332,650
		Insurance — 2.0%
	7,320,000	American International Group — 144A, Variable Rate, 8.18%, 05/15/58(1)		6,907,319
	1,775,000	ASIF Global Financial XXIII — 144A, 3.90%, 10/22/08		1,769,109
	2,850,000	Berkshire Hathaway Finance Corp., 3.38%, 10/15/08		2,852,126
	3,800,000	Chubb Corp., Variable Rate, 6.38%, 03/29/67(1)		3,481,693
	5,355,000	Hartford Life Global Funding, Series MTN, Floating Rate, 2.95%, 09/15/09(2)		5,354,502
	6,550,000	MetLife Global Funding I — 144A, 5.13%, 04/10/13		6,456,440
	4,455,000	MetLife, Inc., Variable Rate, 6.40%, 12/15/36(1)		3,901,480
	1,600,000	New York Life Global Funding — 144A, 3.88%, 01/15/09		1,603,706
	3,595,000	Progressive Corp., Variable Rate, 6.70%, 06/15/37(1)		3,157,435
	2,150,000	Reinsurance Group of America, Inc., Variable Rate, 6.75%, 12/15/65(1)		1,692,955
	4,125,000	Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1)		3,549,633
				40,726,398
		Leisure and Recreation — 0.2%
	4,700,000	Harrah’s Operating Company, Inc. — 144A, 10.75%, 02/01/18(8)(12)		3,478,000
		Machinery — 0.1%
	2,150,000	Atlantic Marine, Inc. — 144A, 5.34%, 12/01/50		1,766,225
		Medical Equipment, Supplies, and Services — 0.2%
	3,600,000	WellPoint, Inc., 5.95%, 12/15/34		3,122,233
		Metals and Mining — 0.4%
	730,000	AK Steel Corp., 7.75%, 06/15/12		735,475
	1,695,000	Freeport-McMoRan Copper & Gold, Inc., 8.25%, 04/01/15		1,784,174
	3,080,000	Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17		3,254,451
	1,999,000	Ispat Inland ULC (Canada), 9.75%, 04/01/14		2,136,893
				7,910,993
		Oil, Coal and Gas — 0.7%
	2,965,000	Arch Western Finance, 6.75%, 07/01/13		2,920,525
	120,000	Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13		118,500
	1,425,000	Consolidated Natural Gas, Series A, 5.00%, 03/01/14		1,370,340
	365,000	El Paso Natural Gas, 8.63%, 01/15/22		406,851
	15,000	El Paso Natural Gas, 8.38%, 06/15/32		16,826
	2,600,000	Enterprise Products Operating LP, 4.95%, 06/01/10		2,600,606
	3,680,000	Gaz Capital (Gazprom) — 144A (Russia), 7.29%, 08/16/37		3,400,320
	1,795,000	Petrobras International Finance Company (Cayman Islands), 5.88%, 03/01/18		1,735,664
	665,000	Tennessee Gas Pipeline Company, 7.00%, 10/15/28		651,871
	1,700,000	XTO Energy, Inc., 6.75%, 08/01/37		1,729,342
				14,950,845

See notes to financial statements.

36

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Paper and Forest Products — 0.1%
$	400,000	Catalyst Paper Corp., Series D (Canada), 8.63%, 06/15/11	$	342,000
	845,000	Georgia-Pacific Corp. — 144A, 7.13%, 01/15/17		798,525
				1,140,525
		Pharmaceuticals/Research and Development — 0.4%
	170,000	Bio-Rad Laboratories, Inc., 7.50%, 08/15/13		171,700
	530,000	Bio-Rad Laboratories, Inc., 6.13%, 12/15/14		503,500
	600,000	Bristol-Myers Squibb, 6.88%, 08/01/97		593,920
	4,425,000	GlaxoSmithKline Capital, Inc., 4.85%, 05/15/13		4,423,778
	1,580,000	Wyeth, 6.00%, 02/15/36		1,537,326
				7,230,224
		Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.3%
	7,212,100	Daimler Chrysler Auto Trust, Series 2006-B, Class A3, 5.33%, 08/08/10		7,279,040
	18,911,000	Nissan Auto Receivables Owner Trust, Series 2006-B, Class A4, 5.22%, 11/15/11		19,268,883
				26,547,923
		Private Asset Backed: Banks and Financial Services — 5.1%
	3,221,783	Banc of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19		3,076,467
	4,606,093	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 14A1, Floating Rate, 5.48%, 11/25/34(3)		4,237,605
	3,330,000	Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36		3,324,016
	11,200,000	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42		10,877,449
	2,002,790	JPMorgan Chase Commercial Mortgage Securities Corp. — 144A, Series 2004-CB8, Class A1A, 4.16%, 01/12/39		1,888,394
	1,812,601	Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31		1,822,220
	7,875,000	Morgan Stanley Capital I, Series 2007-IQ15, Class AM, Floating Rate, 5.88%, 07/11/17(3)		7,262,601
	5,580,000	Morgan Stanley Capital I, Series 2007-IQ16, Class A4, 5.81%, 10/12/17		5,309,230
	1,962,083	SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate, 2.92%, 01/25/18(2)		1,960,188
	14,200,000	SLM Student Loan Trust, Series 2005-6, Class A5B, Floating Rate, 2.93%, 07/27/26(2)		14,121,175
	18,210,000	SLM Student Loan Trust, Series 2008-5, Class A2, Floating Rate, 4.00%, 10/25/16(2)		18,485,994
	4,600,000	SLM Student Loan Trust, Series 2008-5, Class A3 (Luxembourg), Floating Rate, 4.20%, 01/25/18(2)		4,719,313
	12,410,000	SLM Student Loan Trust, Series 2008-5, Class A4 (Luxembourg), Floating Rate, 4.60%, 07/25/23(2)		12,906,400
	11,867,885	Washington Mutual Asset Securities Corp. — 144A, Series 2005-C1A, Class A2, 5.15%, 05/25/36		11,896,222
				101,887,274
		Private Asset Backed: Credit Cards — 2.5%
	34,800,000	Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14		35,206,231
	15,125,000	Citibank Credit Card Issuance Trust, Series 2006-A2, Class A2, 4.85%, 02/10/11		15,269,643
				50,475,874
		Private Asset Backed: Mortgage and Home Equity — 22.7%
	4,650,193	American Home Mortgage Assets, Series 2006-6, Class A1A, Floating Rate, 2.67%, 12/25/46(3)		3,219,833
	11,791,704	Banc of America Commercial Mortgage, Inc., Series 2000-1, Class A2A, 7.33%, 11/15/31		12,051,096
	7,884,496	Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36		8,086,905

See notes to financial statements.

37

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	16,715,000	Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3, 5.12%, 07/11/43	$	16,507,645
	11,170,000	Banc of America Commercial Mortgage, Inc., Series 2002-PB2, Class A4, 6.19%, 06/11/35		11,484,227
	13,250,000	Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A4, Floating Rate, 5.69%, 04/10/49(3)		12,624,371
	313,530	Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35		317,167
	2,545,000	Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41		2,377,405
	3,432,424	Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32		3,555,561
	2,430,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.43%, 10/15/49		2,307,893
	4,647,000	Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, Floating Rate, 5.70%, 06/10/17(3)		4,425,533
	12,749,438	Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, Floating Rate, 5.34%, 08/25/35(3)		11,961,514
	4,877,280	Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 2.59%, 03/25/37(3)		4,627,863
	21,125,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.32%, 12/11/49		19,570,233
	2,161,420	Countrywide Alternative Loan Trust, Series 2006-OA10, Class 1A1, Floating Rate, 4.49%, 08/25/46(3)		1,770,337
	5,715,557	Countrywide Alternative Loan Trust, Series 2006-OA21, Class A1, Floating Rate, 2.67%, 03/20/47(3)		4,021,510
	2,507,288	Countrywide Home Loans, Series 2006-OA5, Class 2A1, Floating Rate, 2.68%, 04/25/46(3)		1,794,921
	8,779,387	Countrywide Home Loans, Series 2007-16, Class A1, 6.50%, 10/25/37		8,611,102
	9,500,093	Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C2, Class A2, 6.30%, 11/15/30		9,535,179
	10,280,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2, 5.18%, 11/15/36		10,167,590
	14,005,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5, 3.94%, 05/15/38		12,994,304
	1,853,290	Credit Suisse Mortgage Capital Certificates, Series 2006-3, Class 1A1A, Floating Rate, 2.57%, 04/25/36(3)		1,843,656
	3,465,509	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 3A1, 6.00%, 10/25/21		3,210,779
	4,985,316	Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2006-OA1, Class A1, Floating Rate, 2.68%, 02/25/47(3)		3,597,935
	4,274,613	DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33		4,431,376
	250,695	Fieldstone Mortgage Investment Corp., Series 2006-1, Class A1, Floating Rate, 2.56%, 05/25/36(3)		250,026
	12,570,000	First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.66%, 01/12/43		12,959,644
	10,380,000	GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35		10,624,182
	11,875,000	GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3, 5.35%, 08/11/36		11,896,037
	5,721,698	GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33		5,801,757

See notes to financial statements.

38

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	5,146,229	GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36	$	5,257,998
	12,905,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.44%, 03/10/39		12,050,710
	3,175,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39		2,983,141
	5,027,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class AJ, 4.78%, 07/10/39		4,361,138
	3,127,713	GSR Mortgage Loan Trust, Series 2005-AR1, Class 2A1, Floating Rate, 4.92%, 01/25/35(3)		2,976,623
	8,737,369	GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1, 5.25%, 07/25/35		8,422,183
	6,653,787	GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A1, Floating Rate, 2.67%, 08/25/46(3)		4,808,165
	9,223,720	Harborview Mortgage Loan Trust, Series 2006-11, Class A1A, Floating Rate, 2.65%, 12/19/36(3)		6,513,891
	4,313,404	Harborview Mortgage Loan Trust, Series 2006-9, Class 2A1A, Floating Rate, 2.69%, 11/19/36(3)		3,048,253
	10,490,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35		10,607,374
	6,650,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35		6,828,637
	8,934,245	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33		9,121,448
	9,350,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37		8,838,188
	1,665,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4, 5.43%, 12/12/43		1,580,280
	15,552,428	JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1, Floating Rate, 3.88%, 08/25/34(3)		15,179,868
	1,707,763	JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2, 5.88%, 07/25/36		1,675,785
	1,434,656	JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2, 5.50%, 03/25/22		1,388,528
	4,810,103	LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35		4,816,357
	13,267,575	LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25		13,794,682
	5,996,772	LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26		6,224,298
	7,395,000	LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27		7,280,477
	9,100,000	LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29		8,839,262
	11,910,000	LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.35%, 11/15/38		11,250,575
	9,658,000	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.43%, 02/15/40		8,999,327
	11,842,000	LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A2, 5.59%, 09/15/45		11,596,078
	10,675,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.28%, 01/11/18		10,549,305
	6,131,812	Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A1, Floating Rate, 2.54%, 11/25/46(3)		5,999,784
	3,494,660	Residential Accredit Loans, Inc., Series 2007-QO2, Class A1, Floating Rate, 2.63%, 02/25/47(3)		2,498,199
	8,881,626	Residential Asset Securitization Trust, Series 2005-A14, Class A4, 5.50%, 12/25/35		8,784,394

See notes to financial statements.

39

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	5,487,357	Salomon Brothers Mortgage Securities VII, Series 1999-C1, Class A2, Floating Rate, 7.15%, 05/18/32(3)	$	5,507,321
	9,007,023	Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11		9,249,251
	16,230,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, Floating Rate, 6.10%, 07/15/17(3)		15,696,229
	2,935,264	Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, Floating Rate, 4.30%, 05/25/47(3)		2,172,096
	400,000	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A4, 5.77%, 04/25/36		365,442
				455,892,868
		Private Asset Backed: Other — 0.2%
	3,953,324	Structured Asset Securities Corp. — 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31		3,106,713
		Private Asset Backed: Utilities — 0.4%
	8,000,000	Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10		8,355,288
		Real Estate Investment Trusts — 0.1%
	910,000	AvalonBay Communities, Series MTN, 6.63%, 09/15/11		932,153
	725,000	Rouse Company (The), 3.63%, 03/15/09		701,130
	915,000	Rouse Company (The), 5.38%, 11/26/13		735,226
				2,368,509
		Telecommunications Equipment and Services — 1.5%
	625,000	America Movil SA de CV (Mexico), 6.38%, 03/01/35		596,808
	10,025,000	AT&T, Inc., 6.50%, 09/01/37		9,733,423
	810,000	Cincinnati Bell, Inc., 7.25%, 07/15/13		793,800
	800,000	Citizens Communications Company, 6.25%, 01/15/13		746,000
	2,350,000	New England Telephone & Telegraph, 7.88%, 11/15/29		2,519,245
	970,000	New Jersey Bell Telephone, 7.85%, 11/15/29		1,037,236
	2,755,000	Qwest Communications International, Inc., 7.50%, 02/15/14		2,631,025
	755,000	Qwest Communications International, Inc., Series B, 7.50%, 02/15/14		721,025
	675,000	Qwest Corp., Floating Rate, 6.03%, 06/15/13 (2)		648,000
	890,000	Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15		943,388
	1,950,000	Sprint Nextel Corp., 6.00%, 12/01/16		1,679,646
	1,725,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		1,580,959
	75,000	Telefonica Emisiones SAU (Spain), 6.42%, 06/20/16		76,248
	850,000	Telefonica Europe BV (the Netherlands), 7.75%, 09/15/10		896,311
	215,000	Verizon Maryland, Inc., Series B, 5.13%, 06/15/33		166,541
	1,470,000	Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13		1,428,262
	500,000	Vodafone Group PLC (United Kingdom), 5.00%, 09/15/15		473,782
	890,000	Wind Acquisition Finance SA — 144A (Luxembourg), 10.75%, 12/01/15		938,950
	1,375,000	Windstream Corp., 8.13%, 08/01/13		1,378,438
	1,220,000	Windstream Corp., 8.63%, 08/01/16		1,223,050
				30,212,137
		Transportation — 0.2%
	560,000	Overseas Shipholding Group, 7.50%, 02/15/24		516,600
	2,495,000	United Parcel Service, Inc., 6.20%, 01/15/38		2,537,497
				3,054,097
		Utilities — 0.7%
	328,167	AES Ironwood LLC, 8.86%, 11/30/25		342,114
	235,000	AES Red Oak LLC, Series B, 9.20%, 11/30/29		243,813

See notes to financial statements.

40

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Utilities (continued)
$	2,735,000	Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10	$	2,822,843
	269,523	Elwood Energy LLC, 8.16%, 07/05/26		261,114
	1,000,000	Florida Power & Light Company, 5.63%, 04/01/34		947,533
	3,600,000	Florida Power & Light Company, 5.95%, 02/01/38		3,571,070
	1,700,000	Florida Power Corp., 6.40%, 06/15/38		1,732,407
	82,131	Homer City Funding LLC, 8.73%, 10/01/26		88,497
	560,000	NRG Energy, Inc., 7.38%, 02/01/16		528,500
	200,000	Suncor Energy, Inc. (Canada), 6.50%, 06/15/38		194,648
	4,355,000	Texas Competitive Electric Holdings Company LLC-144A, 10.25%, 11/01/15		4,289,675
				15,022,214
		Total Corporate Bonds and Notes (Cost $1,181,776,149)		1,141,068,758
Shares
		Preferred Stocks — 0.9%
		Banks and Financial Services — 0.8%
	82,500	Citigroup, Inc., Series AA, Variable Rate, 8.13%(1)		1,848,000
	148,230	Fannie Mae, Series S, Variable Rate, 8.25%(1)(8)		3,401,879
	300,000	Wachovia Corp., 8.00%(8)		6,725,999
	4,345,000	Wachovia Corp., Series K, Variable Rate, 7.98%(1)		4,001,962
				15,977,840
		Insurance — 0.1%
	2,350,000	Lincoln National Corp., Variable Rate, 7.00%(1)		2,143,668
		Total Preferred Stocks (Cost $20,115,702)		18,121,508
Principal
		Foreign Government Obligations — 1.3%
$	9,700,000	AID-Israel (Israel), 5.50%, 09/18/23		10,433,834
	4,575,000	Bundesrepublik Deutschland, Series 05 (Germany), 4.00%, 01/04/37(16)		6,305,097
	2,975,000	Bundesrepublik Deutschland, Series 07 (Germany), 4.25%, 07/04/39(16)		4,269,807
	2,930,000	Province of Manitoba (Canada), 6.38%, 09/01/15(18)		2,103,649
	3,365,000	Province of Ontario, Series GMTN (Canada), 6.25%, 06/16/15(18)		2,419,423
		Total Foreign Government Obligations (Cost $24,511,735)		25,531,810
Contracts
		Purchased Call Options — 0.3%
	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 (Cost $2,677,170)		5,296,323
		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 (Cost $2,677,170)		1,776,159
Principal
		Short Term US Government Agency Securities — 1.1%
		Fannie Mae
$	22,000,000	2.15%, 07/28/08 (Cost $21,964,525)		21,964,525
		Securities Lending Collateral — 3.5%
	70,464,218	Securities Lending Collateral Investment (Note 4) (Cost $70,464,218)		70,464,218
		Total Securities (Cost $2,429,373,631)		2,397,319,518

See notes to financial statements.

41

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Principal				Value
			Repurchase Agreements — 0.6%
$	11,382,009		With State Street Bank and Trust, dated 06/30/2008, 1.05%, due 07/01/08, repurchase proceeds at maturity $11,382,341 (Collateralized by Federal Home Loan Bank, 2.56%, due 11/19/08, with a value of $12,135,000) (Cost $11,382,009)(15)	$	11,382,009
			Total Investments before Call and Put Options Written and Securities Sold Short — 120.2% (Cost $2,440,755,640)		2,408,701,527
Contracts
			Call Options Written — (0.1)%
	(35,600,000	)	Expiring 05/04/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.88%, expiring 05/06/20, European Style		(1,367,396	)
	(220	)	US Treasury Note (10 Year) September Future, Expiring September 2008 @ 117		(75,625	)
			Total Call Options Written (Premium $1,789,676)		(1,443,021	)
			Put Options Written — (0.2)%
	(35,600,000	)	Expiring 05/04/10. If exercised the Series receives 4.88%, and pays floating 3 month LIBOR, expiring 05/06/20, European Style		(1,838,740	)
	(135,000,000	)	Expiring 10/16/08. If exercised the Series receives 3.30%, and pays floating 3 month LIBOR, expiring 10/20/10, European Style		(1,712,691	)
	(220	)	US Treasury Note (10 Year) September Future, Expiring September 2008 @ 113		(195,937	)
			Total Put Options Written (Premium $2,559,356)		(3,747,368	)
Principal
			Securities Sold Short — (13.3)%
$	(27,200,000	)	Fannie Mae, TBA, 5.50%, 07/01/23		(27,382,757	)
	(1,000,000	)	Fannie Mae, TBA, 6.00%, 07/01/23		(1,025,156	)
	(27,200,000	)	Fannie Mae, TBA, 5.50%, 08/01/23		(27,314,757	)
	(900,000	)	Fannie Mae, TBA, 6.00%, 08/01/23		(920,390	)
	(24,100,000	)	Fannie Mae, TBA, 5.00%, 07/01/38		(23,102,115	)
	(118,200,000	)	Fannie Mae, TBA, 5.50%, 07/01/38		(116,519,314	)
	(39,700,000	)	Fannie Mae, TBA, 6.00%, 07/01/38		(40,053,568	)
	(26,900,000	)	Fannie Mae, TBA, 6.50%, 07/01/38		(27,694,384	)
	(1,900,000	)	Freddie Mac Gold, TBA, 6.00%, 07/01/23		(1,944,829	)
	(800,000	)	Freddie Mac Gold, TBA, 6.50%, 07/01/38		(824,625	)
			Total Securities Sold Short (Proceeds $266,256,437)		(266,781,895	)
			Total Investments net of Call and Put Options Written and Securities Sold Short — 106.6% (Cost $2,170,150,171)		2,136,729,243
			Liabilities less other assets — (6.6)%		(132,720,133	)
			Net Assets — 100.0%	$	2,004,009,110

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $2,440,755,640.

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

Gross unrealized appreciation	$	20,636,698
Gross unrealized depreciation		(52,690,811	)
Net unrealized depreciation	$	(32,054,113	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

42

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Principal			Value
		US Treasury Securities — 15.6%
		US Treasury Bonds — 1.0%
$	50,000	8.75%, 05/15/17	$	67,379
	740,000	8.88%, 08/15/17		1,007,904
	550,000	6.38%, 08/15/27		673,922
	860,000	4.75%, 02/15/37		888,353
	30,000	5.00%, 05/15/37		32,250
	1,320,000	4.38%, 02/15/38		1,287,001
				3,956,809
		US Treasury Inflation Index — 1.0%
	483,673	1.63%, 01/15/15		499,657
	44,168	1.88%, 07/15/15		46,263
	129,857	2.00%, 01/15/16		136,816
	457,314	2.50%, 07/15/16		499,830
	93,267	2.63%, 07/15/17		103,045
	205,099	2.38%, 01/15/25		215,162
	86,571	2.00%, 01/15/26		85,861
	1,789,267	2.38%, 01/15/27		1,876,355
	922,698	1.75%, 01/15/28		878,149
				4,341,138
		US Treasury Notes — 13.3%
	180,000	4.50%, 09/30/11		188,184
	14,010,000	4.63%, 10/31/11		14,709,406
	190,000	4.50%, 03/31/12		199,099
	4,330,000	4.75%, 05/31/12		4,579,993
	5,160,000	4.63%, 07/31/12		5,440,983
	12,890,000	4.13%, 08/31/12		13,346,190
	1,700,000	3.50%, 05/31/13		1,713,150
	14,270,000	3.38%, 06/30/13		14,300,110
	610,000	4.75%, 08/15/17		646,410
				55,123,525
		US Treasury Strips — 0.3%
	2,995,000	Zero coupon, 11/15/24		1,397,596
		Total US Treasury Securities (Cost $63,223,603)		64,819,068
		US Government Agency Securities — 46.0%
		Fannie Mae — 31.3%
	790,000	3.00%, 07/12/10		786,814
	1,197,142	PL# 256219, 5.50%, 04/01/36		1,171,126
	2,389,712	PL# 256552, 5.50%, 01/01/37		2,360,167
	303,374	PL# 735809, Variable Rate, 4.66%, 08/01/35(1)		304,090
	4,407,365	PL# 745275, 5.00%, 02/01/36		4,240,109
	2,117,299	PL# 745959, 5.50%, 11/01/36		2,091,122
	27,609	PL# 759626, 6.00%, 02/01/34		27,998
	41,684	PL# 795774, 6.00%, 10/01/34		42,224
	185,005	PL# 796050, 6.00%, 08/01/34		187,400
	1,223,388	PL# 796278, 6.00%, 12/01/34		1,239,230
	44,064	PL# 801516, Variable Rate, 4.70%, 08/01/34(1)		44,628
	441,132	PL# 809169, 6.00%, 01/01/35		446,844
	91,752	PL# 810896, Variable Rate, 4.84%, 01/01/35(1)		92,699
	17,403	PL# 820426, 6.00%, 03/01/35		17,601
	1,069,024	PL# 888022, 5.00%, 02/01/36		1,028,455
	927,422	PL# 888893, 5.50%, 08/01/37		917,115
	400,753	PL# 893681, 6.00%, 10/01/36		404,940
	722,298	PL# 893923, 6.00%, 10/01/36		729,846
	986,047	PL# 894005, 6.00%, 10/01/36		996,350
	1,394,307	PL# 904000, 6.00%, 01/01/37		1,408,876
	3,163,335	PL# 916397, 6.50%, 05/01/37		3,260,961
	1,401,195	PL# 918653, 6.00%, 06/01/37		1,415,539
	96,844	PL# 950385, Variable Rate, 5.87%, 08/01/37(1)		98,300
	9,742,622	PL# 950694, 6.00%, 10/01/37		9,842,355
	7,100,000	TBA, 5.50%, 07/01/23		7,147,705
	7,800,000	TBA, 6.00%, 07/01/23		7,996,217
	34,120,000	TBA, 5.00%, 07/01/38		32,707,228
	2,700,000	TBA, 5.50%, 07/01/38		2,661,609
	36,180,000	TBA, 5.00%, 08/01/38		34,602,770
	11,300,000	TBA, 5.50%, 08/01/38		11,111,075
				129,381,393
		Federal Agricultural Mortgage Corp. — 0.2%
	80,000	4.25%, 07/29/08		80,102
	900,000	144A, 5.13%, 04/19/17(5)		922,203
				1,002,305
		Federal Home Loan Bank — 0.1%
	490,000	5.50%, 07/15/36		510,413
		Freddie Mac — 2.3%
	490,000	5.60%, 09/26/13		492,825
	230,000	5.60%, 10/17/13		231,687
	97,515	PL# 1B2694, Variable Rate, 4.35%, 12/01/35(1)(5)		98,351
	819,869	PL# 1G2201, Variable Rate, 6.10%, 09/01/37(1)(5)		836,322
	3,681,561	PL# 1G2403, Variable Rate, 5.57%, 01/01/38(1)(5)		3,733,672
	347,611	PL# 1N1447, Variable Rate, 5.81%, 02/01/37(1)(5)		354,075
	2,098,919	PL# 1N1454, Variable Rate, 5.90%, 04/01/37(1)(5)		2,136,000
	670,695	PL# 1N1463, Variable Rate, 5.94%, 05/01/37(1)(5)		682,052
	946,947	PL# 1N1582, Variable Rate, 5.94%, 05/01/37(1)(5)		963,319
				9,528,303
		Freddie Mac Gold — 6.6%
	830,006	PL# A39644, 5.50%, 11/01/35(5)		820,149
	795,264	PL# A39756, 5.00%, 11/01/35		764,836
	9,926,074	PL# G02427, 5.50%, 12/01/36(5)		9,795,794

See notes to financial statements.

43

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Freddie Mac Gold (continued)
$	958,602	PL# G03092, 5.50%, 07/01/37(5)	$	945,422
	4,538,987	PL# G03695, 5.50%, 11/01/37(5)		4,479,413
	8,298,350	PL# G03696, 5.50%, 01/01/38(5)		8,184,247
	300,000	TBA, 5.00%, 07/01/23		296,297
	1,200,000	TBA, 5.00%, 08/01/23		1,182,563
	400,000	TBA, 5.00%, 07/01/38		383,312
	700,000	TBA, 5.50%, 07/01/38		689,609
				27,541,642
		Government National Mortgage Association — 5.4%
	561,238	PL# 605617, 5.00%, 07/15/34		545,962
	1,317,381	PL# 612902, 5.00%, 07/15/33		1,282,349
	578,737	PL# 636084, 5.00%, 01/15/35		562,533
	1,618,330	PL# 644631, 5.00%, 09/15/35		1,573,020
	2,400,000	TBA, 5.00%, 07/01/38		2,325,374
	4,100,000	TBA, 6.00%, 07/01/38		4,162,140
	20,000	TBA, 6.50%, 07/01/38		20,659
	3,400,000	TBA, 5.50%, 08/01/38		3,365,469
	8,350,000	TBA, 6.00%, 08/01/38		8,446,429
				22,283,935
		Tennessee Valley Authority — 0.1%
	440,000	5.98%, 04/01/36		475,240
		Total US Government Agency Securities (Cost $190,587,333)		190,723,231
		Corporate Bonds and Notes — 49.0%
		Advertising — 0.0%
	90,000	Lamar Media Corp., Series B, 6.63%, 08/15/15		82,350
	85,000	RH Donnelley Corp. — 144A, 8.88%, 10/15/17		51,000
				133,350
		Aerospace and Defense — 0.0%
	45,000	DRS Technologies, Inc., 6.63%, 02/01/16		45,900
		Airlines — 0.2%
	292,062	Continental Airlines, Inc., Series A, 5.98%, 04/19/22(5)		241,687
	84,027	Delta Air Lines, Inc., Series 2001-1, Class A-1, 6.62%, 03/18/11(5)		81,086
	389,136	Delta Air Lines, Series 2007-1, Class A, 6.82%, 08/10/22(5)		324,929
				647,702
		Apparel: Manufacturing and Retail — 0.0%
	200,000	Neiman Marcus Group, Inc., 7.13%, 06/01/28		178,000
		Automobile: Rental — 0.0%
	75,000	Hertz Corp., 8.88%, 01/01/14		69,000
	135,000	Hertz Corp., 10.50%, 01/01/16		123,525
				192,525
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.5%
	600,000	Daimler Chrysler NA Holding, 5.88%, 03/15/11(5)		608,093
	1,100,000	Ford Motor Company, 7.45%, 07/16/31		646,250
	840,000	General Motors Corp., 8.25%, 07/15/23		493,500
	150,000	General Motors Corp., 8.38%, 07/15/33		89,625
	55,000	Visteon Corp., 8.25%, 08/01/10		49,225
	141,000	Visteon Corp. — 144A, 12.25%, 12/31/16		113,505
				2,000,198
		Banks and Financial Services — 11.0%
	100,000	AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67(1)(5)		79,477
	420,000	Aiful Corp. — 144A (Japan), 5.00%, 08/10/10(5)		373,801
	420,000	American Express Company, Variable Rate, 6.80%, 09/01/66(1)(5)		388,898
	220,000	American Express Credit Company, Series MTNC, 5.88%, 05/02/13(5)		218,946
	220,000	American General Finance Corp. Series MTNJ, 6.90%, 12/15/17(5)		192,062
	30,000	BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual(1)(5)		23,428
	610,000	Bank of America Corp., Series K, Variable Rate, 8.00%, perpetual(1)(5)		572,418
	90,000	Bank of America Corp., Series M, Variable Rate, 8.13%, perpetual(1)(5)		85,186
	460,000	Bear Stearns Companies, Inc. (The), 5.55%, 01/22/17(5)		425,849
	690,000	Bear Stearns Companies, Inc. (The), 7.25%, 02/01/18(5)		721,303
	2,440,000	Citigroup, Inc., 5.50%, 04/11/13(5)		2,383,845

See notes to financial statements.

44

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)
$	1,030,000	Citigroup, Inc., 6.88%, 03/05/38(5)	$	997,014
	80,000	Countrywide Financial Corp., Series MTN, Floating Rate, 2.87%, 01/05/09(2)		78,445
	2,440,000	Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10(5)		2,271,785
	160,000	Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual(1)(5)		133,602
	3,645,000	Ford Motor Credit Company LLC, 5.80%, 01/12/09		3,480,879
	720,000	Ford Motor Credit Company LLC, 7.38%, 10/28/09		655,956
	1,110,000	Ford Motor Credit Company LLC, 12.00%, 05/15/15		977,506
	1,190,000	General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67(1)		1,127,450
	800,000	General Motors Acceptance Corp., 5.85%, 01/14/09		759,757
	290,000	Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11		235,373
	800,000	Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16(1)		514,760
	2,040,000	GMAC LLC, 5.63%, 05/15/09		1,889,211
	1,870,000	GMAC LLC, 6.63%, 05/15/12		1,283,845
	590,000	GMAC LLC, 8.00%, 11/01/31		384,600
	40,000	Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual(1)		27,837
	380,000	Goldman Sachs Group, Inc. (The), 4.50%, 06/15/10		380,686
	140,000	Goldman Sachs Group, Inc. (The), 5.45%, 11/01/12		139,782
	100,000	HBOS Treasury Services PLC — 144A, 5.25%, 02/21/17		98,502
	960,000	HSBC Finance Corp., 4.63%, 09/15/10		952,505
	100,000	HSBK Europe BV — 144A (the Netherlands), 9.25%, 10/16/13		101,000
	270,000	ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22(1)		242,360
	920,000	ICICI Bank, Ltd. — REG S (India), Variable Rate, 6.38%, 04/30/22(1)		832,898
	920,000	JPMorgan Chase & Company, 5.13%, 09/15/14		895,717
	1,100,000	JPMorgan Chase & Company, 5.15%, 10/01/15		1,060,715
	600,000	JPMorgan Chase & Company, 6.13%, 06/27/17		591,460
	200,000	Kaupthing Bank hf — 144A (Iceland), 7.13%, 05/19/16		141,132
	2,400,000	Kaupthing Bank hf — 144A, Series 1 (Iceland), 7.63%, 02/28/15		2,167,919
	320,000	Landisbanki Islands hf — 144A (Iceland), 6.10%, 08/25/11		282,314
	930,000	Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)		607,303
	410,000	Lehman Brothers E — Capital Trust I, Floating Rate, 3.50%, 08/19/65(2)		304,651
	480,000	Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12		454,604
	970,000	Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17		912,795
	1,420,000	Merrill Lynch & Company, Inc., Series MTN, 6.88%, 04/25/18		1,353,805
	350,000	Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual(1)		303,835
	610,000	Morgan Stanley, Series MTN, 5.63%, 01/09/12		610,934
	200,000	Morgan Stanley, Series MTNF, Floating Rate, 3.18%, 10/18/16(2)		173,796
	10,000	Rabobank Capital Funding Trust II — 144A, Variable Rate, 5.26%, perpetual(1)		9,171
	20,000	Rabobank Capital Funding Trust III — 144A, Variable Rate, 5.25%, perpetual(1)		17,203
	207,000	Residential Capital LLC — 144A, 8.50%, 05/15/10		174,915
	1,640,000	Residential Capital LLC — 144A, 9.63%, 05/15/15		803,600

See notes to financial statements.

45

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)
$	490,000	Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual(1)	$	453,066
	300,000	Royal Bank of Scotland Group PLC — 144A (United Kingdom), Variable Rate, 6.99%, perpetual(1)		270,450
	200,000	Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual(1)		183,158
	780,000	RSHB Capital — 144A (Luxembourg), 6.30%, 05/15/17		721,617
	220,000	Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16(1)		212,718
	610,000	Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual(1)		428,990
	120,000	SLM Corp., Series MTN, 5.05%, 11/14/14		102,048
	675,000	SLM Corp., Series MTNA, 5.00%, 10/01/13		584,298
	1,005,000	SLM Corp., Series MTNA, 5.38%, 05/15/14		883,997
	40,000	SLM Corp., Series MTNA, 5.00%, 04/15/15		33,894
	105,000	SLM Corp., Series MTNA, 5.63%, 08/01/33		79,289
	400,000	SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09		397,089
	150,000	SunTrust Capital VIII, Variable Rate, 6.10%, 12/15/36(1)		119,480
	270,000	TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16		256,149
	100,000	TNK-BP Finance SA — 144A (Luxembourg), 6.63%, 03/20/17		88,750
	108,000	TNK-BP Finance SA (Luxembourg), 7.50%, 07/18/16		102,865
	510,000	TNK-BP Finance SA, Series 6 — 144A, (Luxembourg), 7.88%, 03/13/18		493,425
	520,000	Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37		435,500
	1,860,000	Turanalem Finance BV (the Netherlands), 8.25%, 01/22/37		1,560,075
	1,300,000	UBS AG Stamford Branch, Series MTN (Switzerland), 5.75%, 04/25/18		1,242,761
	460,000	Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual(1)		312,976
	1,150,000	Wachovia Corp., 5.25%, 08/01/14		1,072,112
	940,000	Wachovia Corp., Series MTNG, 5.50%, 05/01/13		900,610
	340,000	Wells Fargo Capital X, 5.95%, 12/15/36		309,432
				45,141,584
		Broadcast Services/Media — 1.2%
	130,000	CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15		97,013
	20,000	Clear Channel Communications, Inc., 6.25%, 03/15/11(5)		16,960
	90,000	Clear Channel Communications, Inc., 5.50%, 09/15/14(5)		54,063
	50,000	Clear Channel Communications, Inc., 4.90%, 05/15/15(5)		29,538
	320,000	Comcast Cable Communications, 8.88%, 05/01/17(5)		367,541
	730,000	Comcast Corp., 6.50%, 01/15/15(5)		742,261
	50,000	Comcast Corp., 6.50%, 01/15/17(5)		50,379
	210,000	Comcast Corp., 5.88%, 02/15/18(5)		202,403
	80,000	Cox Communications, Inc., 3.88%, 10/01/08		79,896
	235,000	CSC Holdings, Inc., Series B, 7.63%, 04/01/11		231,475
	115,000	Echostar DBS Corp., 7.00%, 10/01/13		110,113
	145,000	Echostar DBS Corp. — 144A, 7.75%, 05/31/15		141,738
	1,030,000	Liberty Media Corp., 7.88%, 07/15/09		1,045,173
	20,000	News America, Inc., 6.20%, 12/15/34		18,501
	40,000	News America, Inc., 6.65%, 11/15/37		39,181

See notes to financial statements.

46

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Broadcast Services/Media (continued)
$	60,000	Rogers Cable, Inc. (Canada), 6.75%, 03/15/15	$	61,276
	450,000	Time Warner Cable, Inc., 5.85%, 05/01/17		428,132
	180,000	Time Warner Entertainment, 8.38%, 07/15/33		195,339
	720,000	Time Warner, Inc., 6.88%, 05/01/12(5)		737,210
	290,000	Time Warner, Inc., 7.70%, 05/01/32(5)		297,720
				4,945,912
		Chemicals — 0.4%
	1,020,000	Dow Chemical Company, 5.70%, 05/15/18(5)		989,601
	60,000	Georgia Gulf Corp., 9.50%, 10/15/14		45,150
	400,000	PPG Industries, Inc., 6.65%, 03/15/18		408,400
	44,000	Westlake Chemical Corp., 6.63%, 01/15/16		37,180
				1,480,331
		Computer Equipment, Software and Services — 0.2%
	530,000	Electronic Data Systems, 7.13%, 10/15/09(5)		546,738
	20,000	Sungard Data Systems, Inc., 9.13%, 08/15/13		20,300
	240,000	Sungard Data Systems, Inc., 10.25%, 08/15/15		242,400
				809,438
		Consumer Goods and Services — 0.0%
	190,000	Reynolds American, Inc., 6.75%, 06/15/17		189,960
		Containers and Packaging — 0.0%
	110,000	Graham Packaging Company, LP, 8.50%, 10/15/12		104,775
	45,000	Graham Packaging Company, LP, 9.88%, 10/15/14		40,050
				144,825
		Electronics — 0.0%
	15,000	NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14		13,875
	105,000	NXP BV/NXP Funding LLC (the Netherlands), 9.50%, 10/15/15		91,613
				105,488
		Environmental Waste Management and Recycling Services — 0.1%
	600,000	Waste Management, Inc., 6.38%, 11/15/12		616,225
		Equipment Rental and Leasing — 0.7%
	3,330,000	International Lease Finance Corp. E-Capital Trust I — 144A, Variable Rate, 5.90%, 12/21/65(1)		2,697,044
	440,000	International Lease Finance Corp. E-Capital Trust II — 144A, Variable Rate, 6.25%, 12/21/65(1)		367,772
				3,064,816
		Funeral Services — 0.0%
	50,000	Service Corp. International, 7.63%, 10/01/18		50,125
	55,000	Service Corp. International, 7.50%, 04/01/27		47,025
				97,150
		Insurance — 0.8%
	130,000	American International Group, Inc., Series MTNG, 5.85%, 01/16/18(5)		122,008
	20,000	ASIF Global Financing XIX — 144A, 4.90%, 01/17/13(5)		19,234
	825,000	Chubb Corp., 5.75%, 05/15/18(5)		801,081
	220,000	Humana, Inc., 7.20%, 06/15/18		218,360
	600,000	Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 4.55%, 07/07/10(2)		570,420
	1,140,000	MetLife, Inc., Variable Rate, 6.40%, 12/15/36(1)		998,358
	670,000	Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1)		576,546
				3,306,007
		Leisure and Recreation — 0.1%
	15,000	Boyd Gaming Corp., 6.75%, 04/15/14		11,625
	40,000	Boyd Gaming Corp., 7.13%, 02/01/16		29,700
	60,000	Inn of The Mountain Gods, 12.00%, 11/15/10		51,900
	60,000	Mandalay Resort Group, 9.50%, 08/01/08		60,300
	155,000	MGM MIRAGE, 7.63%, 01/15/17		128,263
	30,000	River Rock Entertainment Authority, 9.75%, 11/01/11		30,150
	140,000	Station Casinos, Inc., 7.75%, 08/15/16		107,800
				419,738

See notes to financial statements.

47

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Machinery — 0.0%
$	60,000	Terex Corp., 7.38%, 01/15/14	$	59,400
		Manufacturing — 0.1%
	120,000	Tyco International Group SA (Luxembourg), 6.38%, 10/15/11		122,890
	440,000	Tyco International Group SA (Luxembourg), 6.00%, 11/15/13		425,039
				547,929
		Medical Equipment, Supplies, and Services — 0.5%
	190,000	Community Health Systems, Inc., 8.88%, 07/15/15		192,138
	230,000	DaVita, Inc., 6.63%, 03/15/13		221,950
	56,000	HCA, Inc., 6.25%, 02/15/13		48,860
	110,000	HCA, Inc., 6.75%, 07/15/13		97,075
	50,000	HCA, Inc., 9.13%, 11/15/14		51,250
	3,000	HCA, Inc., 6.50%, 02/15/16		2,513
	100,000	HCA, Inc., 9.25%, 11/15/16		103,250
	707,000	HCA, Inc., 9.63%, 11/15/16(12)		729,977
	555,000	Tenet Healthcare Corp., 9.88%, 07/01/14		560,549
	50,000	WellPoint, Inc., 5.88%, 06/15/17		48,412
				2,055,974
		Metals and Mining — 0.9%
	570,000	Evraz Group SA — 144A (Luxembourg), 8.88%, 04/24/13		573,534
	320,000	Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17		338,125
	870,000	Rio Tinto Finance USA, Ltd. (Australia), 6.50%, 07/15/18		874,233
	155,000	Steel Dymanics, Inc. — 144A, 7.38%, 11/01/12		155,775
	105,000	Steel Dynamics, Inc., 6.75%, 04/01/15		101,063
	1,304,000	Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36		1,217,590
	520,000	Vedanta Resources PLC — 144A (United Kingdom), 8.75%, 01/15/14		521,955
				3,782,275
		Office Equipment, Supplies, and Services — 0.0%
	30,000	Xerox Corp., 6.75%, 02/01/17		30,283
		Oil, Coal and Gas — 4.4%
	740,000	Anadarko Finance Company, Series B, 7.50%, 05/01/31(5)		795,470
	80,000	Anadarko Petroleum Corp., 5.95%, 09/15/16(5)		80,172
	1,320,000	Anadarko Petroleum Corp., 6.45%, 09/15/36(5)		1,307,145
	360,000	Apache Corp., 5.25%, 04/15/13(5)		365,057
	950,000	Apache Corp., 5.63%, 01/15/17(5)		962,819
	250,000	Chesapeake Energy Corp., 7.75%, 01/15/15		260,625
	60,000	Chesapeake Energy Corp., 6.38%, 06/15/15		57,000
	195,000	Complete Production Services, Inc., 8.00%, 12/15/16		195,731
	210,000	Conoco, Inc., 6.95%, 04/15/29(5)		230,973
	305,000	Dynegy Holdings, Inc., 7.75%, 06/01/19		279,075
	1,420,000	El Paso Corp., 7.00%, 06/15/17		1,396,837
	19,000	El Paso Corp., Series MTN, 7.80%, 08/01/31		19,229
	92,000	El Paso Corp., Series MTN, 7.75%, 01/15/32		92,624
	110,000	El Paso Natural Gas, 8.38%, 06/15/32(5)		123,388
	770,000	Gaz Capital (Gazprom) — 144A (Luxembourg), 6.51%, 03/07/22		693,000
	80,000	Hess Corp., 7.88%, 10/01/29(5)		92,004
	440,000	Hess Corp., 7.30%, 08/15/31(5)		492,858
	760,000	Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17		678,300
	1,010,000	KazMunaiGaz Finance Sub BV — 144A (Kazakhstan), 8.38%, 07/02/13		1,011,768
	200,000	Kerr-McGee Corp., 6.95%, 07/01/24		207,957
	295,000	Kerr-McGee Corp., 7.88%, 09/15/31		344,197
	310,000	Key Energy Services, Inc. — 144A, 8.38%, 12/01/14		317,750
	30,000	Kinder Morgan Energy Partners LP, 6.30%, 02/01/09		30,309

See notes to financial statements.

48

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Oil, Coal and Gas (continued)
$	600,000	Kinder Morgan Energy Partners LP, 6.75%, 03/15/11	$	618,845
	260,000	Kinder Morgan Energy Partners LP, 6.00%, 02/01/17		257,330
	1,030,000	Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38		1,025,480
	160,000	OPTI Canada, Inc. (Canada), 7.88%, 12/15/14		158,800
	120,000	OPTI Canada, Inc. (Canada), 8.25%, 12/15/14		120,000
	45,000	Peabody Energy Corp., Series B, 6.88%, 03/15/13		45,338
	1,300,000	Pemex Project Funding Master Trust, 6.63%, 06/15/35		1,289,084
	120,000	Pemex Project Funding Master Trust — 144A, 6.63%, 06/15/35		118,992
	720,000	Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16		723,600
	125,000	Semgroup LP — 144A, 8.75%, 11/15/15		121,875
	5,000	Southern Natural Gas, 8.00%, 03/01/32		5,426
	60,000	Southern Natural Gas — 144A, 5.90%, 04/01/17		57,620
	65,000	Suburban Propane Partners, 6.88%, 12/15/13		61,750
	20,000	Tennessee Gas Pipeline, 7.63%, 04/01/37		20,916
	370,000	Williams Companies, Inc., 7.88%, 09/01/21		394,050
	380,000	Williams Companies, Inc., 7.75%, 06/15/31		397,100
	130,000	Williams Companies, Inc., 8.75%, 03/15/32		148,200
	840,000	Williams Companies, Inc., Series A, 7.50%, 01/15/31		853,650
	550,000	XTO Energy, Inc., 7.50%, 04/15/12		590,566
	340,000	XTO Energy, Inc., 5.65%, 04/01/16		337,572
	10,000	XTO Energy, Inc., 6.25%, 08/01/17		10,120
	270,000	XTO Energy, Inc., 5.50%, 06/15/18		258,329
				17,648,931
		Paper and Forest Products — 0.2%
	820,000	Weyerhaeuser Company, 6.75%, 03/15/12		845,222
		Pharmaceuticals/Research and Development — 0.2%
	200,000	Abbott Laboratories, 5.60%, 11/30/17(5)		202,101
	280,000	FMC Finance III SA (Luxembourg), 6.88%, 07/15/17		276,500
	470,000	Wyeth, 5.95%, 04/01/37		455,189
				933,790
		Printing and Publishing — 0.1%
	440,000	Idearc, Inc., 8.00%, 11/15/16		278,850
	40,000	Sun Media Corp. (Canada), 7.63%, 02/15/13		38,900
	80,000	TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15		69,600
				387,350
		Private Asset Backed: Banks and Financial Services — 0.6%
	140,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42		133,163
	630,000	Morgan Stanley Capital I, Series 2006-IQ12, Class A4, 5.33%, 12/15/43		593,700
	750,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.69%, 04/15/49		708,791
	680,000	Nelnet Student Loan Trust, Series 2008-4, Class A4, Floating Rate, 4.10%, 04/25/17(2)		681,768
	330,837	SLM Student Loan Trust, Series 2006-5, Class A2, Floating Rate, 2.91%, 07/25/17(2)		329,669
				2,447,091
		Private Asset Backed: Credit Cards — 0.3%
	1,530,000	Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 2.50%, 09/15/13(3)		1,442,040
		Private Asset Backed: Mortgage and Home Equity — 21.0%
	633,542	AAMES Mortgage Investment Trust — 144A, Series 2005-3, Class A1, Floating Rate, 2.63%, 08/25/35(3)		592,560
	154,485	Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 2.72%, 09/25/35(3)		147,980

See notes to financial statements.

49

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	68,616	Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 2.90%, 02/25/35(3)	$	55,928
	37,867	Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 2.86%, 04/25/35(3)		33,261
	1,696,852	American Home Mortgage Assets Trust, Series 2006-2, Class 2A1, Floating Rate, 2.67%, 09/25/46(3)		1,210,788
	283,484	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, Floating Rate, 2.77%, 11/25/45(3)		214,662
	561,926	Amortizing Residential Collateral Trust, Series 2002-BC5, Class M1, Floating Rate, 3.52%, 07/25/32(3)		493,528
	1,214,000	Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43(5)		1,135,456
	280,000	Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4, Floating Rate, 5.66%, 06/10/49(3)(5)		265,265
	980,968	Banc of America Funding Corp., Series 2005-E, Class 4A1, 4.11%, 03/20/35		974,894
	120,855	Banc of America Mortgage Securities, Series 2003-I, Class 2A5, Floating Rate, 4.14%, 10/25/33(3)		120,373
	546,382	Banc of America Mortgage Securities, Series 2005-A, Class 2A1, 4.45%, 02/25/35(5)		519,718
	226,450	Bear Stearns ALT-A Trust, Series 2004-11, Class 2A2, Floating Rate, 6.67%, 11/25/34(3)		175,115
	1,077,526	Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 2A2, Floating Rate, 2.74%, 08/25/36(3)		637,001
	1,116,430	Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A1, Floating Rate, 2.64%, 12/25/36(3)		811,372
	1,674,708	Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 2.69%, 12/25/36(3)		936,082
	1,591,207	Bear Stearns Second Lien Trust — 144A, Series 2007-SV1A, Class A3, Floating Rate, 2.73%, 12/25/36(3)		1,039,535
	6,524,616	Bear Stearns Structured Products, Inc. — 144A, Series 2007-R11, Class A1A, Floating Rate, 3.08%, 09/27/37(3)		6,202,887
	1,150,000	Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A5, 5.42%, 05/25/33(5)		1,039,975
	2,659,831	Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A, Floating Rate, 2.79%, 08/25/35(3)		1,962,664
	315,834	Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.93%, 08/25/35(3)(5)		266,828
	712,720	Countrywide Alternative Loan Trust, Series 2005-38, Class A3, Floating Rate, 2.83%, 09/25/35(3)		536,772
	155,048	Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1, Floating Rate, 2.81%, 10/25/35(3)		120,672
	2,194,515	Countrywide Alternative Loan Trust, Series 2005-51, Class 3A3A, Floating Rate, 2.80%, 11/20/35(3)		1,630,061
	338,898	Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 2.81%, 11/20/35(3)		248,578
	755,020	Countrywide Alternative Loan Trust, Series 2005-72, Class A1, Floating Rate, 2.75%, 01/25/36(3)		589,771
	1,132,144	Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1, Floating Rate, 2.75%, 08/25/35(3)		727,543

See notes to financial statements.

50

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	979,073	Countrywide Alternative Loan Trust, Series 2006-OA2, Class A5, Floating Rate, 2.71%, 05/20/46(3)	$	579,244
	439,313	Countrywide Alternative Loan Trust, Series 2006-OA6, Class 1A1A, Floating Rate, 2.69%, 07/25/46(3)		303,183
	69,621	Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35(5)		66,732
	489,027	Countrywide Home Equity Loan Trust — 144A, Series 2006-RES, Class 4Q1B, Floating Rate, 2.77%, 12/15/33(3)		270,188
	166,919	Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 2.70%, 12/15/35(3)		74,488
	332,215	Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 2.88%, 09/25/35(3)		290,690
	561,725	Countrywide Home Loans, Series 2003-60, Class 1A1, Floating Rate, 4.73%, 02/25/34(3)		525,859
	167,374	Countrywide Home Loans, Series 2004-23, Class A, Floating Rate, 4.88%, 11/25/34(3)		154,146
	479,961	Countrywide Home Loans, Series 2005-3, Class 1A2, Floating Rate, 2.77%, 04/25/35(3)		360,415
	324,748	Credit Suisse Mortgage Capital Certificates — 144A, Series 2006-CF2, Class A1, Floating Rate, 2.74%, 05/25/36(3)		253,216
	3,110,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C4, Class A3, 5.47%, 09/15/39(5)		2,962,143
	954,377	CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class 7A2, Floating Rate, 4.60%, 06/25/34(3)		945,261
	1,270,000	Deutsche Mortgage Securities, Inc. — 144A, Series 2005-WF1, Class 1A3, Floating Rate, 5.09%, 06/26/35(3)(5)		1,069,025
	759,133	First Horizon Alternative Mortgage Securities, Series 2006-FA8, Class 1A8, Floating Rate, 2.85%, 02/25/37(3)		585,433
	310,000	GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4, Floating Rate, 5.33%, 11/10/45(3)		301,300
	210,000	GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 12/10/49		197,098
	1,000,000	GMAC Commercial Mortgage Securities, Inc. Series 2006-C1, Class A4, 5.24%, 11/10/45		947,400
	37,478	GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 7.53%, 12/19/33(3)		36,974
	278,393	GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.65%, 03/18/35(3)		264,946
	466,850	Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A, Floating Rate, 2.58%, 09/25/46(3)		413,985
	1,391,064	Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A, Floating Rate, 2.56%, 02/25/47(3)		1,015,695
	200,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39		192,893
	2,676,240	Harborview Mortgage Loan Trust, Series 2006-10, Class 2A1A, Floating Rate, 2.66%, 11/19/36(3)		1,888,954
	119,175	Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 3.28%, 10/25/34(3)		95,489
	1,467,229	IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.26%, 09/25/37(3)		1,440,095
	2,508,588	IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, Floating Rate, 2.78%, 07/25/35(3)		1,962,940

See notes to financial statements.

51

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	105,191	IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35	$	86,366
	2,116,934	IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1, Floating Rate, 5.99%, 08/25/37(3)		1,620,884
	2,690,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, Floating Rate, 5.82%, 06/15/49(3)		2,578,667
	630,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.42%, 01/15/49		585,110
	970,141	JPMorgan Mortgage Trust, Series 2004-A1, Class 1A1, Floating Rate, 4.79%, 02/25/34(3)		913,273
	263,783	JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.29%, 07/25/34(3)		257,166
	675,594	JPMorgan Mortgage Trust, Series 2006-A2, Class 5A1, Floating Rate, 3.76%, 11/25/33(3)		665,402
	900,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30		845,037
	100,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30		95,781
	200,000	LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 09/15/40		189,980
	215,243	Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 2.78%, 11/25/35(3)		162,904
	1,279,476	Lehman XS Trust, Series 2005-5N, Class 3A1A, Floating Rate, 2.78%, 11/25/35(3)		961,731
	170,431	Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 2.78%, 12/25/35(3)		113,556
	436,644	Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 2.55%, 08/25/46(3)		395,357
	1,093,934	Lehman XS Trust, Series 2007-2N, Class 3A1, Floating Rate, 2.57%, 02/25/37(3)		996,567
	1,257,258	Master Adjustable Rate Mortgages Trust — 144A, Series 2007-R5, Class A1, Floating Rate, 5.65%, 11/25/35(3)		1,023,936
	1,452,087	Master Adjustable Rate Mortgages Trust, Series 2006-OA2, Class 1A1, Floating Rate, 4.59%, 12/25/46(3)		1,030,285
	280,000	Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.38%, 08/12/48		259,985
	370,000	Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51		345,326
	1,057,946	Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A1, Floating Rate, 4.56%, 02/25/34(3)		1,024,676
	905,303	Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34(3)		861,425
	150,340	Merrill Lynch Mortgage Investors Trust, Series 2005-A3, Class A1, Floating Rate, 2.75%, 04/25/35(3)		125,099
	2,077,236	Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1, Floating Rate, 2.93%, 02/25/47(3)		1,673,691
	500,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35		488,615
	400,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35		375,891
	330,000	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39(3)		321,693
	137,039	MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 2.80%, 10/25/28(3)		133,396

See notes to financial statements.

52

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	569,996	Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A2, Floating Rate, 5.36%, 10/25/34(3)	$	546,287
	1,267,717	Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3, Floating Rate, 6.10%, 03/25/36(3)		979,440
	453,825	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35		437,091
	215,882	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35		211,497
	1,112,641	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35		1,040,119
	928,969	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A2, 6.00%, 05/25/35		840,790
	2,305,400	RAAC — 144A, Series 2007-RP4, Class A, Floating Rate, 2.83%, 11/25/46(3)		1,907,349
	1,227,905	RBSGC Mortgage Pass Through Certificates, Series 2007-B, Class 1A4, Floating Rate, 2.93%, 01/25/37(3)		921,411
	1,500,000	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF6, 5.88%, 06/25/37		1,073,509
	1,074,158	Residential Accredited Loans, Inc., Series 2006-QO10, Class A1, Floating Rate, 2.64%, 01/25/37(3)		807,685
	1,271,124	Residential Accredited Loans, Inc., Series 2007-QO1, Class A1, Floating Rate, 2.63%, 02/25/37(3)		940,456
	2,408,454	Residential Accredited Loans, Inc., Series 2007-QO4, Class A1A, Floating Rate, 2.67%, 05/25/47(3)		1,659,715
	1,425,057	Residential Accredited Loans, Inc., Series 2007-QS1, Class 2A2, Floating Rate, 2.84%, 01/25/37(3)		1,092,798
	2,700,000	Securitized Asset Backed Receivables LLC, Series 2007-BR3, Class A2B, Floating Rate, 2.70%, 04/25/37(3)		1,600,475
	947,610	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, Floating Rate, 5.35%, 01/25/35(3)		925,674
	1,466,130	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35		1,219,067
	576,320	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-16XS, Class A1, Floating Rate, 2.82%, 08/25/35(3)		449,944
	793,374	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, Floating Rate, 2.80%, 10/25/35(3)		599,965
	137,433	Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 2.83%, 01/19/34(3)		124,772
	445,234	Structured Asset Mortgage Investments, Inc., Series 2006-AR6, Class 1A3, Floating Rate, 2.67%, 07/25/46(3)		266,526
	2,508,004	Structured Asset Securities Corp. — 144A, Series 2007-TC1, Class A, Floating Rate, 2.78%, 04/25/31(3)		1,929,707
	869,509	Thornburg Mortgage Securities Trust, Series 2005-4, Class A4, Floating Rate, 2.68%, 12/25/08(3)		862,983
	653,224	Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 2.65%, 01/25/09(3)		645,608
	240,894	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 2.77%, 10/25/45(3)		188,002
	266,096	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 2.76%, 11/25/45(3)		201,637
	156,817	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A, Floating Rate, 2.77%, 07/25/45(3)		126,193

See notes to financial statements.

53

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	3,142,466	Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A, Floating Rate, 4.50%, 05/25/46(3)	$	2,332,903
	1,903,476	Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, Floating Rate, 4.49%, 08/25/46(3)		1,350,497
	649,158	Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.50%, 09/25/36		622,687
	2,760,576	Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A1B, Floating Rate, 4.34%, 07/25/47(3)		1,465,259
	1,183,552	Zuni Mortgage Loan Trust, Series 2006-OA1, Class A1, Floating Rate, 2.61%, 08/25/36(3)		1,129,861
				86,518,767
		Real Estate Development and Services — 0.1%
	35,000	Forest City Enterprises, Inc., 7.63%, 06/01/15		32,725
	30,000	Forest City Enterprises, Inc., 6.50%, 02/01/17		26,250
	520,000	Realogy Corp., 12.38%, 04/15/15		257,400
				316,375
		Real Estate Investment Trusts — 0.0%
	40,000	Host Marriott LP, Series Q, 6.75%, 06/01/16		35,700
	10,000	Ventas Realty LP/Ventas Capital Corp., 9.00%, 05/01/12		10,525
	30,000	Ventas Realty LP/Ventas Capital Corp., 6.50%, 06/01/16		28,800
				75,025
		Retail — 0.2%
	773,940	CVS Caremark Corp. — 144A, 6.94%, 01/10/30(5)		745,890
		Scientific and Technical Instruments — 0.0%
	100,000	Cie Generale de Geophysique (France), 7.50%, 05/15/15		100,250
	105,000	Cie Generale de Geophysique (France), 7.75%, 05/15/17		105,656
				205,906
		Semiconductors — 0.1%
	260,000	Freescale Semiconductor, Inc., 8.88%, 12/15/14		212,550
		Telecommunications Equipment and Services — 2.0%
	340,000	America Movil SAB de CV (Mexico), 5.63%, 11/15/17(5)		329,151
	410,000	AT&T, Inc., 5.10%, 09/15/14		402,438
	540,000	AT&T, Inc., 5.50%, 02/01/18(5)		524,223
	10,000	Bellsouth Corp., 4.75%, 11/15/12(5)		9,837
	75,000	Citizens Communications Company, 7.13%, 03/15/19		67,500
	100,000	Citizens Communications Company, 7.88%, 01/15/27		88,000
	375,000	Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16(5)		366,454
	1,290,000	Embarq Corp., 6.74%, 06/01/13(5)		1,245,973
	40,000	Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16		40,500
	40,000	Intelsat Jackson Holdings (Bermuda), 11.25%, 06/15/16		40,700
	320,000	Koninklijke KPN NV (the Netherlands), 8.00%, 10/01/10		338,746
	445,000	Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30		512,968
	170,000	Level 3 Financing, Inc., 9.25%, 11/01/14		155,550
	300,000	Nextel Communications, Inc., Series E, 6.88%, 10/31/13		253,679
	63,000	Qwest Communications International, Inc., Floating Rate, 6.18%, 02/15/09(2)		63,000
	360,000	Qwest Communications International, Inc., Series B, 7.50%, 02/15/14		343,800
	150,000	Sprint Capital Corp., 8.38%, 03/15/12		148,616
	540,000	Sprint Capital Corp., 6.90%, 05/01/19		474,711
	80,000	Sprint Capital Corp., 8.75%, 03/15/32		76,384
	390,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		357,434

See notes to financial statements.

54

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Telecommunications Equipment and Services (continued)
$	650,000	Telecom Italia Capital (Luxembourg), 7.00%, 06/04/18	$	656,699
	990,000	Verizon Communications, Inc., 6.90%, 04/15/38		981,451
	160,000	Verizon Global Funding Corp., 7.38%, 09/01/12		172,787
	560,000	Verizon New York, Inc., Series A, 6.88%, 04/01/12		584,502
	165,000	Windstream Corp., 8.63%, 08/01/16		165,413
				8,400,516
		Transportation — 0.1%
	40,000	Gulfmark Offshore, Inc., 7.75%, 07/15/14		40,500
	130,000	Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11		141,213
	180,000	Union Pacific Corp., 5.38%, 05/01/14		176,928
				358,641
		Utilities — 3.0%
	67,000	AES Corp., 7.75%, 03/01/14		66,414
	210,000	AES Corp., 7.75%, 10/15/15		207,900
	1,130,000	AES Corp., 8.00%, 10/15/17		1,113,050
	1,590,000	AES Corp. — 144A, 8.00%, 06/01/20		1,542,300
	30,000	Dominion Resources, Inc., 4.75%, 12/15/10(5)		30,209
	580,000	Dominion Resources, Inc., 5.70%, 09/17/12(5)		589,443
	590,000	Duke Energy Carolinas, 5.63%, 11/30/12(5)		607,665
	110,000	Edison Mission Energy, 7.00%, 05/15/17		103,400
	140,000	Edison Mission Energy, 7.20%, 05/15/19		131,250
	50,000	Edison Mission Energy, 7.63%, 05/15/27		45,125
	10,000	Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17		10,150
	3,490,000	Energy Future Holdings Corp. — 144A, 11.25%, 11/01/17(12)		3,498,725
	370,000	Exelon Corp., 5.63%, 06/15/35(5)		319,930
	650,000	FirstEnergy Corp., Series B, 6.45%, 11/15/11		667,465
	515,000	FirstEnergy Corp., Series C, 7.38%, 11/15/31		561,631
	286,249	Mirant Mid-Atlantic LLC, Series B, 9.13%, 06/30/17		314,874
	75,000	NRG Energy, Inc., 7.25%, 02/01/14		71,813
	170,000	NRG Energy, Inc., 7.38%, 02/01/16		160,438
	45,000	NRG Energy, Inc., 7.38%, 01/15/17		42,638
	620,000	Pacific Gas & Electric Company, 5.63%, 11/30/17		618,710
	210,000	Pacific Gas & Electric Company, 6.05%, 03/01/34		203,134
	140,000	Pacific Gas & Electric Company, 5.80%, 03/01/37		130,964
	440,000	TXU Corp., Series P, 5.55%, 11/15/14		346,664
	200,000	TXU Corp., Series Q, 6.50%, 11/15/24		148,560
	755,000	TXU Corp., Series R, 6.55%, 11/15/34		553,851
				12,086,303
		Total Corporate Bonds and Notes (Cost $227,417,755)		202,619,407
Shares
		Preferred Stocks — 0.4%
		Banks and Financial Services
	1,300	Fannie Mae, Series O, Floating Rate, 7.00%, (2)		61,334
	31,175	Fannie Mae, Series S, Variable Rate, 8.25%, (1)		715,466
	43,300	Freddie Mac, Series Z, Variable Rate, 8.38%, (1)		1,052,190
		Total Preferred Stocks (Cost $1,931,035)		1,828,990
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)		21,975

See notes to financial statements.

55

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal				Value
			Municipal Bonds — 0.1%
			Virginia
$	556,458		Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $547,513)	$	556,469
			Foreign Government Obligations — 0.6%
	650,000		Bundesrepublic Deutschland (Germany), Series 03, 4.25%, 01/04/14(16)		1,011,774
	728,900		Russian Federation (Russia), 7.50%, 03/31/30		818,921
	8,000		United Mexican States (Mexico), 5.63%, 01/15/17		8,104
	439,000		United Mexican States, Series MTNA (Mexico), 6.75%, 09/27/34		466,877
			Total Foreign Government Obligations (Cost $2,277,798)		2,305,676
Contracts
			Purchased Call Options — 0.0%
	2		90 Day Euro September Future, Expiring August 2008 @ 97.25 (Cost $2,435)		375
			Purchased Put Options — 0.0%
	2		US Treasury Note (5 Year) September Future, Expiring August 2008 @ 109 (Cost $901)		891
Principal
			Securities Lending Collateral — 9.0%
$	37,293,929		Securities Lending Collateral Investment (Note 4) (Cost $37,293,929)		37,293,929
			Total Securities (Cost $523,312,302)		500,170,011
			Repurchase Agreements — 15.9%
	60,000,000		With Deutsche Bank, dated 06/30/08, 2.10%, due 07/01/08, repurchase proceeds at maturity $60,603,500 (Collateralized by Freddie Mac, 5.25%, due 04/18/16, with a value of $61,200,000)		60,000,000
	5,782,110		With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $5,782,279 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 2.83%, due 12/25/35, with a value of $5,899,056)		5,782,110
			Total Repurchase Agreements (Cost $65,782,110)		65,782,110
			Total Investments before Call and Put Options Written — 136.6% (Cost $589,094,412)		565,952,121
Contracts
			Call Options Written — (0.0)%
	(1	)	US Treasury Note (10 Year) September Future, Expiring August 2008 @ 117 (Premium $526)		(344	)
			Put Options Written — (0.0)%
	(1	)	US Treasury Note (10 Year) September Future, Expiring August 2008 @ 111 (Premium $870)		(344	)
			Total Investments net of Call and Put Options Written — 136.6% (Cost $589,093,016)		565,951,433
			Liabilities less other assets — (36.6)%		(151,714,100	)
			Net Assets — 100.0%	$	414,237,333

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $589,094,412.

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

Gross unrealized appreciation	$	3,522,130
Gross unrealized depreciation		(26,664,421	)
Net unrealized depreciation	$	(23,142,291	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

56

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes — 85.4%
		Advertising — 0.8%
$	470,000	Affinion Group, Inc., 10.13%, 10/15/13	$	473,525
	1,685,000	Affinion Group, Inc., 11.50%, 10/15/15		1,689,213
	1,305,000	RH Donnelley Corp., 6.88%, 01/15/13		783,000
	3,140,000	RH Donnelley Corp. — 144A, 8.88%, 10/15/17		1,884,000
				4,829,738
		Aerospace and Defense — 1.3%
	2,600,000	BE Aerospace, Inc., 8.50%, 07/01/18		2,622,750
	2,460,000	DRS Technologies, Inc., 7.63%, 02/01/18		2,613,750
	1,975,000	Transdigm, Inc., 7.75%, 07/15/14		1,960,188
	690,000	Vought Aircraft Industries, Inc., 8.00%, 07/15/11		645,150
				7,841,838
		Airlines — 0.1%
	449,284	Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11		372,906
		Apparel: Manufacturing and Retail — 2.5%
	2,060,000	Levi Strauss & Company, 9.75%, 01/15/15		2,080,600
	3,915,000	Levi Strauss & Company, 8.88%, 04/01/16		3,826,913
	3,265,000	Oxford Industries, Inc., 8.88%, 06/01/11		3,167,050
	4,520,000	Perry Ellis International, Inc., Series B, 8.88%, 09/15/13		4,271,400
	685,000	Phillips Van-Heusen Corp., 8.13%, 05/01/13		695,275
	1,610,000	Quiksilver, Inc., 6.88%, 04/15/15		1,376,550
				15,417,788
		Automobile: Rental — 1.1%
	3,345,000	Hertz Corp., 10.50%, 01/01/16		3,060,675
	430,000	Neff Corp., 10.00%, 06/01/15		165,550
	4,030,000	RSC Equipment Rental, Inc., 9.50%, 12/01/14		3,385,200
				6,611,425
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.6%
	760,000	American Axle and Manufacturing, Inc., 7.88%, 03/01/17		558,600
	395,000	Commercial Vehicle Group, 8.00%, 07/01/13		344,638
	2,725,000	General Motors Corp., 7.20%, 01/15/11		2,105,062
	645,000	Tenneco, Inc. — 144A, 8.13%, 11/15/15		586,950
				3,595,250
		Banks and Financial Services — 4.8%
	2,050,000	E*TRADE Financial Corp., 7.88%, 12/01/15		1,773,250
	1,465,000	Ford Motor Credit Company, 7.88%, 06/15/10		1,265,063
	100,000	Ford Motor Credit Company, 9.88%, 08/10/11		84,310
	1,965,000	Ford Motor Credit Company LLC, 7.38%, 10/28/09		1,790,213
	3,190,000	Ford Motor Credit Company LLC, 5.70%, 01/15/10		2,722,544
	8,655,000	Ford Motor Credit Company LLC, 9.75%, 09/15/10		7,549,669
	2,795,000	Ford Motor Credit Company LLC, 7.80%, 06/01/12		2,163,358
	4,915,000	Ford Motor Credit Company LLC, 12.00%, 05/15/15		4,328,326
	1,210,000	GMAC LLC, Floating Rate, 3.93%, 05/15/09(2)		1,138,010
	1,770,000	GMAC LLC, 7.75%, 01/19/10		1,514,093
	250,000	GMAC LLC, 7.25%, 03/02/11		183,854
	480,000	Hawker Beechcraft Acquisition Company LLC, 8.50%, 04/01/15		486,000
	2,670,000	Hawker Beechcraft Acquisition Company LLC, 9.75%, 04/01/17		2,683,350
	325,000	Nuveen Investments, Inc., 5.00%, 09/15/10		294,938
	1,505,000	Nuveen Investments, Inc. — 144A, 10.50%, 11/15/15		1,395,888
				29,372,866
		Broadcast Services/Media — 3.5%
	4,705,000	Cablevision Systems Corp., Series B, 8.00%, 04/15/12		4,469,750
	650,000	CCH I, LLC, 11.00%, 10/01/15		481,000
	5,970,000	CCO Holdings LLC/Capital Corp., 8.75%, 11/15/13		5,522,250
	7,250,000	Charter Communications Operating LLC/Capital Corp. — 144A, 8.38%, 04/30/14		6,905,624
	1,850,000	Charter Communications Operating LLC/Capital Corp. — 144A, 10.88%, 09/15/14		1,910,125
	1,235,000	Kabel Deutschland GMBH (Germany), 10.63%, 07/01/14		1,268,963

See notes to financial statements.

57

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Broadcast Services/Media (continued)
$	570,000	LBI Media, Inc., zero coupon, 10/15/13(7)	$	470,250
	605,000	Rainbow National Services LLC — 144A, 10.38%, 09/01/14		645,838
				21,673,800
		Business Services and Supplies — 0.4%
	135,000	Aramark Corp., 8.50%, 02/01/15		132,975
	2,050,000	CEVA Group PLC — 144A (United Kingdom), 10.00%, 09/01/14		2,116,625
				2,249,600
		Chemicals — 1.0%
	2,570,000	Ineos Group Holdings PLC — 144A (United Kingdom), 8.50%, 02/15/16		1,702,625
	830,000	Nova Chemicals Corp. (Canada), Floating Rate, 5.95%, 11/15/13(11)		709,650
	3,900,000	Reichhold Industries, Inc. — 144A, 9.00%, 08/15/14		3,919,500
				6,331,775
		Computer Equipment, Software and Services — 0.5%
	3,460,000	Ceridian Corp. — 144A, 11.25%, 11/15/15		3,148,600
	170,000	Interface, Inc., 9.50%, 02/01/14		176,800
				3,325,400
		Construction Services and Supplies — 1.7%
	775,000	ESCO Corp. — 144A, Floating Rate, 6.65%, 12/15/13(2)		732,375
	775,000	ESCO Corp. — 144A, 8.63%, 12/15/13		786,625
	650,000	Interline Brands, Inc., 8.13%, 06/15/14		630,500
	3,725,000	Nortek, Inc. — 144A, 10.00%, 12/01/13		3,576,000
	3,025,000	Panolam Industries International, 10.75%, 10/01/13		2,404,875
	2,475,000	Ply Gem Industries — 144A, 11.75%, 06/15/13		2,283,188
	330,000	Stanley-Martin Communities LLC, 9.75%, 08/15/15		146,850
				10,560,413
		Consumer Goods and Services — 1.6%
	3,365,000	Amscan Holdings, Inc., 8.75%, 05/01/14		3,011,675
	6,960,000	Yankee Acquisition Corp., Series B, 8.50%, 02/15/15		5,463,600
	1,690,000	Yankee Acquisition Corp., Series B, 9.75%, 02/15/17		1,225,250
				9,700,525
		Containers and Packaging — 1.5%
	1,055,000	Intertape Polymer US, Inc., 8.50%, 08/01/14		946,863
	400,000	Jefferson Smurfit Corp., 7.50%, 06/01/13		332,000
	1,176,849	Pliant Corp., 11.63%, 06/15/09(14)		1,182,419
	3,000,000	Smurfit-Stone Container Corp., 8.38%, 07/01/12		2,647,500
	2,530,000	Smurfit-Stone Container Corp., 8.25%, 10/01/12		2,220,075
	2,385,000	Stone Container, 8.00%, 03/15/17		1,919,925
				9,248,782
		Distribution — 0.8%
	2,770,000	Sally Holdings LLC, 9.25%, 11/15/14		2,673,050
	2,300,000	Sally Holdings LLC, 10.50%, 11/15/16		2,202,250
				4,875,300
		Education — 2.7%
	3,135,000	Education Management LLC, 8.75%, 06/01/14		2,931,225
	3,610,000	Education Management LLC, 10.25%, 06/01/16		3,339,250
	4,650,000	Laureate Education, Inc. — 144A, 10.00%, 08/15/15		4,324,500
	4,615,000	Laureate Education, Inc. — 144A, 10.25%, 08/15/15(12)		4,118,888
	2,160,000	Laureate Education, Inc. — 144A, 11.75%, 08/15/17		1,998,000
				16,711,863
		Electronics — 0.2%
	550,000	Muzak LLC, 10.00%, 02/15/09		497,750
	1,070,000	NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14		989,750
				1,487,500
		Energy Services — 0.1%
	475,000	Verasun Energy Corp., 9.88%, 12/15/12		419,781
		Engineering — 0.1%
	740,000	Alion Science & Technology Corp., 10.25%, 02/01/15		521,700

See notes to financial statements.

58

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Environmental Waste Management and Recycling Services — 0.7%
$	2,900,000	Aleris International, Inc., 9.00%, 12/15/14(12)	$	2,323,625
	510,000	Aleris International, Inc., 10.00%, 12/15/16		376,125
	1,800,000	Waste Services, Inc., 9.50%, 04/15/14		1,827,000
				4,526,750
		Food and Beverage — 1.7%
	3,980,000	ASG Consolidated LLC/ASG Finance, Inc., zero coupon, 11/01/11(7)		3,701,400
	6,935,000	Dole Foods Company, Inc., 8.63%, 05/01/09		6,640,263
				10,341,663
		Insurance — 0.8%
	1,120,000	Alliant Holdings I, Inc. — 144A, 11.00%, 05/01/15		980,000
	190,000	Hub International Holdings — 144A, 9.00%, 12/15/14		172,900
	2,825,000	Multiplan, Inc. — 144A, 10.38%, 04/15/16		2,782,625
	980,000	USI Holdings Corp. — 144A, Floating Rate, 6.55%, 11/15/14(2)		823,200
				4,758,725
		Internet Services — 0.4%
	2,565,000	Expedia, Inc. — 144A, 8.50%, 07/01/16		2,520,113
		Leisure and Recreation — 10.7%
	2,465,000	AMC Entertainment, Inc., 8.00%, 03/01/14		2,200,013
	3,645,000	AMC Entertainment, Inc., 11.00%, 02/01/16		3,626,774
	3,095,000	Buffalo Thunder Development Authority — 144A, 9.38%, 12/15/14		2,089,125
	6,015,000	Caesars Entertainment, Inc., 7.88%, 03/15/10		5,503,724
	2,075,000	CCM Merger, Inc. — 144A, 8.00%, 08/01/13		1,779,313
	935,000	Chukchansi Economic Development Authority — 144A, Floating Rate, 6.33%, 11/15/12(11)		787,738
	126,058	Eldorado Casino Shreveport, 10.00%, 08/01/12		125,743
	5,645,000	Fontainebleau Las Vegas — 144A, 10.25%, 06/15/15		3,697,474
	3,255,000	Galaxy Entertainment Finance — 144A (British Virgin Islands), 9.88%, 12/15/12		3,177,694
	1,555,000	GreekTown Holdings — 144A, 10.75%, 12/01/13(9)		1,158,475
	1,290,196	HRP Myrtle Beach Holdings/CA — 144A, 14.50%, 04/01/14(12)		754,765
	1,730,000	HRP Myrtle Beach Operations/CA — 144A, Floating Rate, 7.38%, 04/01/12(11)		1,496,450
	945,000	HRP Myrtle Beach Operations/CA — 144A, 12.50%, 04/01/13		713,475
	1,810,000	Indianapolis Downs Capital LLC & Capital Corp. — 144A, 11.00%, 11/01/12		1,656,150
	2,360,000	Inn of The Mountain Gods, 12.00%, 11/15/10		2,041,400
	890,000	Majestic Holdco LLC — 144A, zero coupon, 10/15/11(7)		22,250
	2,710,000	Marquee Holdings, Inc., 9.51%, 08/15/14		2,140,900
	1,670,000	MGM MIRAGE, 7.50%, 06/01/16		1,381,925
	985,000	Mohegan Tribal Gaming Authority, 8.00%, 04/01/12		906,200
	2,225,000	Mohegan Tribal Gaming Authority, 7.13%, 08/15/14		1,857,875
	1,845,000	Mohegan Tribal Gaming Authority, 6.88%, 02/15/15		1,466,775
	2,275,000	OED Corp./Diamond JO, 8.75%, 04/15/12		2,081,625
	240,000	Pinnacle Entertainment, Inc., 8.25%, 03/15/12		237,000
	1,605,000	Pinnacle Entertainment, Inc., 7.50%, 06/15/15		1,235,850
	555,000	Pokagon Gaming Authority — 144A, 10.38%, 06/15/14		598,013
	475,000	San Pasqual Casino — 144A, 8.00%, 09/15/13		434,625
	595,000	Scientific Games Corp. — 144A, 7.88%, 06/15/16		595,000
	995,000	Seminole Hard Rock Entertainment — 144A, Floating Rate, 5.28%, 03/15/14(2)		840,775
	1,940,000	Station Casinos, Inc., 6.00%, 04/01/12		1,552,000
	250,000	Station Casinos, Inc., 7.75%, 08/15/16		192,500
	2,635,000	Travelport LLC, 9.88%, 09/01/14		2,351,738
	5,350,000	Trump Entertainment Resorts, Inc., 8.50%, 06/01/15		3,357,125
	2,435,000	Tunica-Biloxi Gaming Authority — 144A, 9.00%, 11/15/15		2,374,125

See notes to financial statements.

59

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Leisure and Recreation (continued)
$	2,130,000	Universal City Development Partners, Ltd., 11.75%, 04/01/10	$	2,193,900
	5,215,000	Universal City Florida, Floating Rate, 7.62%, 05/01/10(2)		5,058,549
	3,670,000	Waterford Gaming LLC/ Waterford Gaming Finance — 144A, 8.63%, 09/15/14		3,564,487
	640,000	WMG Acquisition Corp., 7.38%, 04/15/14		535,200
				65,786,750
		Machinery — 1.0%
	1,680,000	Altra Industrial Motion, Inc., 9.00%, 12/01/11		1,722,000
	830,000	Chart Industries, Inc., 9.13%, 10/15/15		865,275
	3,385,000	Stewart & Stevenson LLC, 10.00%, 07/15/14		3,359,613
				5,946,888
		Manufacturing — 0.9%
	1,000,000	American Railcar Industries, Inc., 7.50%, 03/01/14		935,000
	1,535,000	Bombardier, Inc. — 144A (Canada), 8.00%, 11/15/14		1,581,050
	1,260,000	Harland Clarke Holdings, 9.50%, 05/15/15		1,039,500
	965,000	RBS Global & Rexnord Corp., 9.50%, 08/01/14		936,050
	870,000	RBS Global & Rexnord Corp., 11.75%, 08/01/16		839,550
	720,000	Venture Holdings Trust, Series B, 9.50%, 07/01/05(9)(13)		72
				5,331,222
		Medical Equipment, Supplies, and Services — 6.2%
	1,260,000	Accellent, Inc., 10.50%, 12/01/13		1,159,200
	2,595,000	Advanced Medical Optics, 7.50%, 05/01/17		2,400,375
	2,235,000	AMR Holding Company/Emcare Holding Company, 10.00%, 02/15/15		2,380,275
	3,210,000	Bausch & Lomb, Inc. — 144A, 9.88%, 11/01/15		3,234,075
	780,000	Community Health Systems, Inc., 8.88%, 07/15/15		788,775
	2,790,000	HCA, Inc., 8.75%, 09/01/10		2,838,825
	168,000	HCA, Inc., 7.88%, 02/01/11		166,320
	2,420,000	HCA, Inc., 9.13%, 11/15/14		2,480,500
	10,250,000	HCA, Inc., 9.25%, 11/15/16		10,583,124
	2,085,000	National Mentor Holdings, Inc., 11.25%, 07/01/14		2,152,763
	2,140,000	Omnicare, Inc., 6.88%, 12/15/15		1,990,200
	1,590,000	Res-Care, Inc., 7.75%, 10/15/13		1,522,425
	4,015,000	US Oncology, Inc., 9.00%, 08/15/12		4,004,962
	1,775,000	US Oncology, Inc., 10.75%, 08/15/14		1,770,563
	289,000	Viant Holdings, Inc. — 144A, 10.13%, 07/15/17		247,095
				37,719,477
		Metals and Mining — 1.7%
	1,630,000	CII Carbon LLC — 144A, 11.13%, 11/15/15		1,613,700
	1,065,000	FMG Finance Property, Ltd. — 144A (Australia), Floating Rate, 6.68%, 09/01/11(2)		1,075,650
	2,585,000	FMG Finance Property, Ltd. — 144A (Australia), 10.63%, 09/01/16		3,024,449
	2,145,000	RathGibson, Inc., 11.25%, 02/15/14		2,064,563
	215,000	Ryerson, Inc. — 144A, Floating Rate, 10.25%, 11/01/14(2)		203,175
	325,000	Ryerson, Inc. — 144A, 12.00%, 11/01/15		324,188
	2,285,000	Steel Dymanics, Inc. — 144A, 7.38%, 11/01/12		2,296,425
				10,602,150
		Oil, Coal and Gas — 8.2%
	580,000	Airgas, Inc. — 144A, 7.13%, 10/01/18		585,800
	1,990,000	Allis-Chalmers Energy, Inc., 9.00%, 01/15/14		1,935,275
	2,200,000	Chesapeake Energy Corp., 7.25%, 12/15/18		2,150,500
	695,000	Cimarex Energy Company, 7.13%, 05/01/17		686,313
	1,195,000	Clayton William Energy, 7.75%, 08/01/13		1,153,175
	2,020,000	Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13		1,994,750
	290,000	Denbury Resources, Inc., 7.50%, 12/15/15		290,000
	3,470,000	Dynegy Holdings, Inc., 7.75%, 06/01/19		3,175,050
	1,550,000	Dynegy Holdings, Inc., 7.63%, 10/15/26		1,294,250

See notes to financial statements.

60

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Oil, Coal and Gas (continued)
$	740,000	El Paso Corp., 9.63%, 05/15/12	$	806,167
	685,000	Encore Acquisition Corp., 7.25%, 12/01/17		671,300
	3,120,000	Forbes Energy Services — 144A, 11.00%, 02/15/15		3,166,800
	455,000	Inergy LP/Inergy Finance Corp., 6.88%, 12/15/14		425,425
	135,000	Inergy LP/Inergy Finance Corp., 8.25%, 03/01/16		133,650
	1,075,000	OPTI Canada, Inc. (Canada), 7.88%, 12/15/14		1,066,938
	970,000	OPTI Canada, Inc. (Canada), 8.25%, 12/15/14		970,000
	525,000	Parker Drilling Company, 9.63%, 10/01/13		553,875
	4,280,000	Petrohawk Energy Corp., 9.13%, 07/15/13		4,408,399
	1,245,000	Petrohawk Energy Corp. — 144A, 7.88%, 06/01/15		1,221,656
	1,170,000	Petroleum Development Company, 12.00%, 02/15/18		1,243,125
	255,000	Petroplus Finance, Ltd. — 144A (Bermuda), 6.75%, 05/01/14		232,050
	5,155,000	Petroplus Finance, Ltd. — 144A (Bermuda), 7.00%, 05/01/17		4,575,062
	1,435,000	Plains Exploration & Production Company, 7.00%, 03/15/17		1,384,775
	930,000	Quicksilver Resources, Inc., 7.13%, 04/01/16		870,713
	3,040,000	Sandridge Energy, Inc. — 144A, 8.63%, 04/01/15(12)		3,131,200
	2,960,000	Sandridge Energy, Inc. — 144A, 8.00%, 06/01/18		2,989,600
	2,985,000	Semgroup LP — 144A, 8.75%, 11/15/15		2,910,375
	290,000	SESI LLC, 6.88%, 06/01/14		278,400
	5,970,000	United Refining Company, 10.50%, 08/15/12		5,805,824
				50,110,447
		Paper and Forest Products — 1.9%
	115,000	Georgia-Pacific Corp., 9.50%, 12/01/11		117,444
	665,000	NewPage Corp., Floating Rate, 9.12%, 05/01/12(2)		671,650
	3,640,000	NewPage Corp., 10.00%, 05/01/12		3,703,699
	2,890,000	NewPage Corp., 12.00%, 05/01/13		2,933,350
	600,000	Rock-Tenn Company — 144A, 9.25%, 03/15/16		639,000
	3,765,000	Verso Paper Holdings LLC, Series B, 11.38%, 08/01/16		3,586,163
				11,651,306
		Pharmaceuticals/Research and Development — 0.9%
	4,025,000	Biomet, Inc. — 144A, 11.63%, 10/15/17		4,286,625
	925,000	Elan Finance PLC/Elan Finance Corp. (Ireland), 8.88%, 12/01/13		931,938
				5,218,563
		Printing and Publishing — 2.5%
	1,461,000	Dex Media West Finance Company, Series B, 9.88%, 08/15/13		1,318,553
	2,855,000	Idearc, Inc., 8.00%, 11/15/16		1,809,356
	1,365,000	Medimedia USA, Inc. — 144A, 11.38%, 11/15/14		1,371,825
	2,160,000	Nielsen Finance LLC/ Nielsen Finance Company, 10.00%, 08/01/14		2,187,000
	1,455,000	Nielsen Finance LLC/ Nielsen Finance Company, zero coupon, 08/01/16(7)		1,007,588
	3,765,000	Nielsen Finance LLC/ Nielsen Finance Company — 144A, 10.00%, 08/01/14		3,901,481
	5,390,000	Reader’s Digest Association — 144A, 9.00%, 02/15/17		3,961,650
				15,557,453
		Real Estate Development and Services — 0.3%
	630,000	Ashton Woods USA, LLC/Ashton Woods Finance Company, 9.50%, 10/01/15		368,550
	2,470,000	Realogy Corp., 10.50%, 04/15/14		1,729,000
				2,097,550
		Retail — 6.9%
	4,950,000	GameStop Corp., 8.00%, 10/01/12		5,073,750
	2,470,000	General Nutrition Centers, Inc., Floating Rate, 7.20%, 03/15/14(11)(12)		2,099,500
	1,925,000	General Nutrition Centers, Inc., 10.75%, 03/15/15		1,655,500
	2,935,000	Michaels Stores, Inc., 10.00%, 11/01/14		2,557,119
	2,020,000	Neiman Marcus Group, Inc., 9.00%, 10/15/15		2,004,850

See notes to financial statements.

61

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Retail (continued)
$	13,195,000	Neiman Marcus Group, Inc., 10.38%, 10/15/15	$	13,260,974
	2,910,000	Rite Aid Corp., 7.50%, 01/15/15		3,128,250
	4,480,000	Rite Aid Corp., 10.38%, 07/15/16		4,058,342
	8,945,000	Rite Aid Corp., 7.50%, 03/01/17		7,267,813
	1,805,000	Toys “R” Us, Inc., 7.38%, 10/15/18		1,344,725
				42,450,823
		Retail: Restaurants — 0.7%
	1,720,000	El Pollo Loco, Inc., 11.75%, 11/15/13		1,720,000
	2,970,000	NPC International, Inc., Series WI, 9.50%, 05/01/14		2,583,900
				4,303,900
		Semiconductors — 1.1%
	4,710,000	Advanced Micro Devices, Inc., 7.75%, 11/01/12		4,074,150
	825,000	Avago Technologies Finance Pte., Ltd., 10.13%, 12/01/13		878,625
	1,890,000	Avago Technologies Finance Pte., Ltd., 11.88%, 12/01/15		2,041,200
				6,993,975
		Telecommunications Equipment and Services — 8.1%
	1,460,000	Centennial Cellular/Communications, 10.13%, 06/15/13		1,511,100
	2,890,000	Citizens Communications Company, 7.13%, 03/15/19		2,601,000
	1,525,000	Digicel Group, Ltd. — 144A (Bermuda), 8.88%, 01/15/15		1,443,031
	3,717,000	Digicel Group, Ltd. — 144A (Bermuda), 9.13%, 01/15/15		3,517,211
	2,805,000	Digicel, Ltd. — 144A (Bermuda), 9.25%, 09/01/12		2,899,669
	3,280,000	Intelsat Jackson Holdings — 144A (Bermuda), 9.50%, 06/15/16		3,083,200
	6,685,000	Intelsat Jackson Holdings (Bermuda), 11.25%, 06/15/16		6,801,987
	3,280,000	Intelsat Subsidiary Holdings — 144A (Bermuda), 8.50%, 01/15/13		3,214,400
	1,000,000	Intelsat Subsidiary Holdings — 144A (Bermuda), 8.88%, 01/15/15		977,500
	4,830,000	Nortel Networks, Ltd. — 144A (Canada), 10.75%, 07/15/16		4,805,849
	1,745,000	Qwest Communications International, Inc., Series B, 7.50%, 02/15/14		1,666,475
	470,000	Qwest Corp., 7.63%, 06/15/15		454,725
	5,050,000	Telesat Canada — 144A, 11.00%, 11/01/15		4,747,000
	3,375,000	Telesat Canada — 144A, 12.50%, 11/01/17		3,138,750
	375,000	Virgin Media Finance PLC (United Kingdom), 8.75%, 04/15/14		354,375
	2,030,000	Virgin Media Finance PLC (United Kingdom), 9.13%, 08/15/16		1,913,275
	2,140,000	West Corp., 9.50%, 10/15/14		1,936,700
	905,000	Windstream Corp., 8.13%, 08/01/13		907,263
	3,335,000	Windstream Corp., 8.63%, 08/01/16		3,343,338
	445,000	Windstream Regatta Holdings, Inc. — 144A, 11.00%, 12/01/17		309,275
				49,626,123
		Transportation — 1.6%
	1,590,000	Greenbrier Companies, Inc., 8.38%, 05/15/15		1,522,425
	2,655,000	Kansas City Southern de Mexico (Mexico), 7.63%, 12/01/13		2,588,625
	805,000	Kansas City Southern de Mexico (Mexico), 7.38%, 06/01/14		784,875
	1,945,000	Kansas City Southern Railway, 8.00%, 06/01/15		1,974,175
	2,325,000	TFM, SA de CV (Mexico), 9.38%, 05/01/12		2,429,625
	332,000	Travelport LLC, 11.88%, 09/01/16		273,900
				9,573,625
		Utilities — 3.8%
	1,500,000	AES Corp., 8.00%, 10/15/17		1,477,500
	182,000	AES Corp. — 144A, 8.75%, 05/15/13		189,735
	439,159	AES Eastern Energy, Series 99-A, 9.00%, 01/02/17		468,802
	1,040,000	Edison Mission Energy, 7.50%, 06/15/13		1,037,400

See notes to financial statements.

62

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Utilities (continued)
$	6,425,000	Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17	$	6,521,374
	660,000	NRG Energy, Inc., 7.25%, 02/01/14		631,950
	695,000	NRG Energy, Inc., 7.38%, 02/01/16		655,906
	2,005,000	NRG Energy, Inc., 7.38%, 01/15/17		1,899,738
	1,840,000	Orion Power Holdings, Inc., 12.00%, 05/01/10		1,996,400
	210,000	Reliant Energy, Inc., 7.63%, 06/15/14		205,800
	3,235,000	Reliant Energy, Inc., 7.88%, 06/15/17		3,178,388
	2,150,000	Texas Competitive Electric Holdings Company LLC — 144A, 10.25%, 11/01/15		2,117,750
	2,675,000	Texas Competitive Electric Holdings Company LLC — 144A, 10.25%, 11/01/15		2,634,875
				23,015,618
		Total Corporate Bonds and Notes (Cost $555,345,109)		523,281,371
		Loan Participations — 5.0%
	2,779,000	ADESA, Inc., Term Loan B, Floating Rate, 5.06%, 10/20/13(2)		2,520,206
	990,000	Advanced Medical Optics, Inc., Term Loan B, Floating Rate, 4.52%, 04/02/14(2)		913,894
	871,200	AMSCAN Holdings, Inc., Floating Rate, 4.89%, 05/25/13(2)		771,012
	2,010,000	BLB Worldwide Holdings, Floating Rate, 9.72%, 07/18/12(2)(9)		753,750
	860,000	Cannery Casino Resorts LLC, Floating Rate, 6.95%, 05/15/14(2)		812,700
	1,848,000	Catalina Marketing, Floating Rate, 8.19%, 10/01/08(2)		1,739,430
	560,000	Dresser, Inc., Floating Rate, 8.47%, 05/02/15(2)		541,450
	1,286,751	General Nutrition Centers, Inc., Floating Rate, 5.01%, 09/16/13(2)		1,185,956
	3,260,000	Hit Entertainment, Inc., Tranche LN227528, Floating Rate, 8.29%, 02/26/13(2)		2,722,099
	3,070,000	Intelsat Corp., 9.25%, 08/15/14		3,004,762
	1,100,000	Intelsat, Ltd. (Bermuda), Floating Rate, 5.20%, 02/01/14(2)		1,108,537
	2,156,661	Lakes Entertainment, LLC, 9.00%, 08/15/12		2,081,178
	1,775,000	Level 3 Financing, Inc., Floating Rate, 4.89%, 03/13/14(2)		1,644,981
	750,000	Neff Rental, Inc., Floating Rate, 6.40%, 11/20/14(2)		515,000
	1,529,450	Nielsen Finance, LLC, Floating Rate, 4.73%, 08/09/13(2)		1,428,944
	732,645	Realogy Corp., Floating Rate, 2.31%, 10/10/13(2)		625,365
	2,721,255	Realogy Corp., Floating Rate, 5.48%, 10/10/13(2)		2,322,784
	827,674	Rental Services Corp., Floating Rate, 6.23%, 11/30/13(2)		706,110
	3,095,406	Sabre, Inc., Term Loan B, Floating Rate, 4.73%, 09/30/14(2)		2,565,872
	1,800,000	TXU Corp., Term Loan B2, 5.80%, 10/10/14		1,669,874
	1,440,000	Veyance Technologies, Inc., Floating Rate, 8.65%, 07/20/15(2)		1,152,000
		Total Loan Participations (Cost $34,727,770)		30,785,904
Shares
		Common Stocks — 0.2%
		Airlines — 0.0%
	11,466	Delta Air Lines, Inc.*		65,356
	500,000	Delta Air Lines, Inc. (Escrow Certificates)*		8,125
				73,481
		Banks and Financial Services — 0.0%
	2,697,805	Adelphia Contingent Value Vehicle CVV, Series Acc — 1*		141,635
		Broadcast Services/Media — 0.0%
	620,000	Adelphia Communications (Escrow Certificates)(13)(14)		52,700
	840,000	Adelphia Communications (Escrow Certificates)(13)(14)		75,600
	1,305,000	Adelphia Communications, Series B (Escrow Certificates)(13)(14)		112,556
				240,856
		Leisure and Recreation — 0.0%
	970	HRP — Class B*(14)		10

See notes to financial statements.

63

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 0.2%
		Leisure and Recreation (continued)
	889	Shreveport Gaming Holdings, Inc.*(14)	$	14,669
	94,286	Trump Entertainment Resorts, Inc.*(14)		180,085
				194,764
		Telecommunications Equipment and Services — 0.2%
	15,853	American Tower Corp. — Class A*		669,790
		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 $4,431,848)		1,320,703
		Preferred Stocks — 0.4%
		Leisure and Recreation
	3,280,590	Fontainbleau Resorts, 12.50%(12)(14) (Cost $3,202,908)		2,393,190
		Convertible Preferred Stocks — 0.9%
		Oil, Coal and Gas — 0.7%
	5,273	Chesapeake Energy Corp. — 144A, 5.00%		963,641
	21,865	Chesapeake Energy Corp., 4.50%		3,482,001
				4,445,642
		Telecommunications Equipment and Services — 0.2%
	18,825	Crown Castle International Corp., 6.25%		1,084,791
		Total Convertible Preferred Stocks (Cost $3,572,705)		5,530,433
Principal
		Convertible Bonds — 0.2%
		Aerospace and Defense
$	1,305,000	L-3 Communications Corp. — 144A, 3.00%, 08/01/35 (Cost $1,318,783)		1,450,181
		Total Securities (Cost $602,599,123)		564,761,782
		Repurchase Agreements — 8.5%
	52,411,389	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $52,412,918 (Collateralized by Federal Home Loan Bank, 2.56%, due 11/19/08, with a value of $54,607,500) (Cost $52,411,389)	$	52,411,389
		Total Investments — 100.6% (Cost $655,010,512)		617,173,171
		Liabilities less other assets — (0.6)%		(3,883,125	)
		Net Assets — 100.0%	$	613,290,046

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $655,010,512.

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

Gross unrealized appreciation	$	6,957,466
Gross unrealized depreciation		(44,794,807	)
Net unrealized depreciation	$	(37,837,341	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

64

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 59.0%
		Aerospace and Defense — 1.4%
	10,812	Boeing Company (The)	$	710,565
	8,168	General Dynamics Corp.		687,746
	9,278	Lockheed Martin Corp.		915,367
	16,704	Northrop Grumman Corp.		1,117,497
				3,431,175
		Agriculture — 1.2%
	22,557	Archer-Daniels-Midland Company		761,299
	2,498	Bunge, Ltd. (Bermuda)(8)		269,010
	4,568	CF Industries Holdings, Inc.		697,990
	7,830	Monsanto Company		990,025
	2,220	Mosaic Company (The)*		321,234
				3,039,558
		Airlines — 0.0%
	5,740	Southwest Airlines Company(8)		74,850
		Apparel: Manufacturing and Retail — 0.4%
	9,450	Aeropostale, Inc.*		296,069
	3,609	Coach, Inc.*		104,228
	8,747	NIKE, Inc. — Class B		521,408
	5,012	Ross Stores, Inc.		178,026
				1,099,731
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.2%
	37,755	AutoNation, Inc.*(8)		378,305
	2,200	Ford Motor Company*(8)		10,582
				388,887
		Banks and Financial Services — 5.3%
	15,575	American Express Company		586,710
	6,920	Ameriprise Financial, Inc.		281,436
	101,075	Bank of America Corp.		2,412,660
	25,659	Bank of New York Mellon Corp.		970,680
	3,000	BB&T Corp.(8)		68,310
	1,500	BlackRock, Inc.(8)		265,500
	2,412	Broadridge Financial Solutions, Inc.		50,773
	11,900	Capital One Financial Corp.(8)		452,319
	54,438	Citigroup, Inc.		912,381
	14,900	Eaton Vance Corp.		592,424
	5,600	Federated Investors, Inc. — Class B		192,752
	1,300	Franklin Resources, Inc.		119,145
	103	Freddie Mac(8)		1,689
	26,715	Hudson City Bancorp, Inc.		445,606
	3,717	Invesco, Ltd. (Bermuda)		89,134
	4,116	Janus Capital Group, Inc.		108,951
	50,425	JPMorgan Chase & Company		1,730,082
	723	Lehman Brothers Holdings, Inc.		14,323
	4,248	Marshall & Ilsley Corp.		65,122
	97	MasterCard, Inc. — Class A		25,755
	20,000	Morgan Stanley		721,400
	1,434	NYSE Euronext		72,646
	37,618	Regions Financial Corp.(8)		410,412
	901	State Street Corp.		57,655
	9,438	SunTrust Banks, Inc.		341,844
	1,391	T Rowe Price Group, Inc.		78,550
	20,682	US Bancorp		576,821
	24,022	Wachovia Corp.(8)		373,062
	607	Waddell & Reed Financial, Inc. — Class A		21,251
	59,153	Wells Fargo & Company		1,404,884
	10,299	Western Union Company		254,591
	489	Zions Bancorp(8)		15,399
				13,714,267
		Broadcast Services/Media — 2.0%
	61,350	CBS Corp. — Class B		1,195,712
	17,701	Comcast Corp. — Class A		335,788
	17,300	DIRECTV Group, Inc. (The)*		448,243
	8,664	News Corp. — Class A		130,307
	129,190	Time Warner, Inc.		1,912,011
	34,868	Walt Disney Company (The)		1,087,882
				5,109,943
		Business Services and Supplies — 0.4%
	17,908	Accenture, Ltd. — Class A (Bermuda)		729,214
	3,756	Manpower, Inc.		218,749
	4,926	SEI Investments Company		115,860
				1,063,823
		Chemicals — 0.6%
	9,400	Ashland, Inc.		453,079
	7,600	Chemtura Corp.		44,384
	2,099	Cytec Industries, Inc.		114,521
	4,223	Dow Chemical Company (The)		147,425
	2,433	FMC Corp.		188,412
	314	Lubrizol Corp. (The)		14,548
	2,810	Minerals Technologies, Inc.		178,688
	6,200	Terra Industries, Inc.		305,970
				1,447,027
		Computer Equipment, Software and Services — 4.9%
	5,767	Activision, Inc.		196,482
	11,042	Adobe Systems, Inc.*		434,944
	1,751	Advent Software, Inc.*		63,176

See notes to financial statements.

65

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Computer Equipment, Software and Services (continued)
	13,468	Apple, Inc.*	$	2,255,082
	1,915	Autodesk, Inc.*		64,746
	4,315	CA, Inc.		99,633
	40,146	Dell, Inc.*		878,394
	42,189	EMC Corp.*		619,756
	39,465	Hewlett-Packard Company		1,744,748
	6,002	Ingram Micro, Inc. — Class A*		106,536
	9,734	International Business Machines Corp.		1,153,771
	129,700	Microsoft Corp.		3,568,047
	2,033	NetApp, Inc.*		44,035
	41,751	Oracle Corp.*		876,771
	1,225	Salesforce.com, Inc.*(8)		83,582
	10,400	Seagate Technology (Cayman Islands)		198,952
	646	SRA International, Inc. — Class A*		14,509
	16,610	Sun Microsystems, Inc.*		180,717
	2,100	Teradata Corp.*		48,594
	2,000	Western Digital Corp.*		69,060
				12,701,535
		Construction Services and Supplies — 0.0%
	3,100	DR Horton, Inc.		33,635
		Consumer Goods and Services — 3.0%
	52,681	Altria Group, Inc.(5)		1,083,121
	12,754	American Greetings Corp. — Class A		157,384
	6,600	Avon Products, Inc.		237,732
	2,252	Colgate-Palmolive Company		155,613
	259	Estee Lauder Companies, Inc. (The) — Class A		12,031
	7,100	Herbalife, Ltd. (Cayman Islands)		275,125
	35,108	Philip Morris International, Inc.		1,733,984
	39,498	Procter & Gamble Company (The)		2,401,874
	2,300	Scotts Miracle-Gro Company (The) — Class A		40,411
	12,540	United Parcel Service, Inc. — Class B		770,834
	11,257	UST, Inc.		614,745
				7,482,854
		Containers and Packaging — 0.1%
	3,049	Owens-Illinois, Inc.*		127,113
		Distribution — 0.1%
	2,590	Tech Data Corp.*		87,775
	1,300	Universal Corp.		58,786
				146,561
		Diversified Operations and Services — 1.4%
	119,519	General Electric Company		3,189,962
	4,200	McDermott International, Inc. (Panama)*		259,938
				3,449,900
		Education — 0.2%
	9,090	Apollo Group, Inc. — Class A*		402,323
	1,800	DeVry, Inc.		96,516
				498,839
		Electronics — 0.4%
	20,900	Emerson Electric Company		1,033,505
		Engineering — 0.2%
	1,658	Fluor Corp.		308,521
	5,400	KBR, Inc.		188,514
				497,035
		Food and Beverage — 1.3%
	502	Brown-Forman Corp. — Class B		37,936
	14,028	Coca-Cola Company (The)		729,175
	4,440	Coca-Cola Enterprises, Inc.		76,812
	31	ConAgra Foods, Inc.		598
	1,108	Dr Pepper Snapple Group, Inc.*		23,246
	3,865	Hormel Foods Corp.		133,768
	2,027	Kraft Foods, Inc. — Class A*		57,668
	20,363	PepsiCo, Inc.		1,294,883
	64,963	Tyson Foods, Inc. — Class A		970,547
				3,324,633
		Insurance — 1.7%
	2,600	Ace, Ltd. (Cayman Islands)		143,234
	2,037	Aflac, Inc.		127,924
	2,655	Allstate Corp. (The)		121,041
	20,145	American International Group, Inc.		533,037
	500	Arch Capital Group, Ltd. (Bermuda)*		33,160
	2,800	Axis Capital Holdings, Ltd. (Bermuda)		83,468
	9,613	Chubb Corp. (The)		471,133
	3,900	Endurance Specialty Holdings, Ltd. (Bermuda)		120,081
	1,158	First American Corp.		30,571
	2,241	Genworth Financial, Inc. — Class A		39,912
	6,188	Lincoln National Corp.		280,440

See notes to financial statements.

66

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Insurance (continued)
	28,145	MetLife, Inc.	$	1,485,212
	6,112	Prudential Financial, Inc.		365,131
	9,500	Travelers Companies, Inc. (The)		412,300
				4,246,644
		Internet Services — 2.8%
	5,862	Amazon.com, Inc.*		429,860
	85,709	Cisco Systems, Inc.*		1,993,592
	15,288	eBay, Inc.*		417,821
	2,888	Google, Inc. — Class A*		1,520,301
	42,302	Juniper Networks, Inc.*		938,258
	1,375	Sohu.com, Inc.*		96,855
	43,026	Symantec Corp.*		832,553
	8,100	VeriSign, Inc.*(8)		306,180
	20,818	Yahoo!, Inc.*		430,100
				6,965,520
		Leisure and Recreation — 0.0%
	1,615	Brunswick Corp.		17,119
		Machinery — 0.7%
	4,350	AGCO Corp.*(8)		227,984
	12,600	Caterpillar, Inc.		930,132
	3,207	Deere & Company		231,321
	248	Graco, Inc.		9,441
	4,299	Joy Global, Inc.		325,993
	1,253	Rockwell Automation, Inc.		54,794
				1,779,665
		Manufacturing — 1.2%
	7,892	3M Company		549,204
	1,848	AptarGroup, Inc.		77,524
	1,531	Flowserve Corp.		209,288
	14,700	Honeywell International, Inc.		739,116
	2,175	Illinois Tool Works, Inc.		103,334
	15,690	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)(8)		587,277
	3,610	SPX Corp.		475,545
	7,080	Tyco International, Ltd. (Bermuda)(8)		283,483
				3,024,771
		Medical Equipment, Supplies, and Services — 2.1%
	3,071	Baxter International, Inc.		196,360
	862	Becton, Dickinson and Company		70,081
	31,709	Boston Scientific Corp.*		389,704
	9,100	Covidien, Ltd. (Bermuda)		435,799
	639	Gen-Probe, Inc.*		30,340
	158	Intuitive Surgical, Inc.*		42,565
	3,400	Invitrogen Corp.*		133,484
	29,252	Johnson & Johnson		1,882,073
	9,414	Kinetic Concepts, Inc.*		375,713
	4,547	McKesson Corp.		254,223
	19,979	Medtronic, Inc.(8)		1,033,912
	2,600	St Jude Medical, Inc.*		106,288
	6,160	UnitedHealth Group, Inc.		161,700
	5,769	WellPoint, Inc.*		274,951
				5,387,193
		Metals and Mining — 0.8%
	2,375	Alcoa, Inc.		84,598
	5,181	Carpenter Technology Corp.		226,151
	4,694	Commercial Metals Company		176,964
	2,942	Freeport-McMoRan Copper & Gold, Inc.		344,773
	714	Nucor Corp.		53,314
	5,147	Reliance Steel & Aluminum Company		396,782
	1,439	Schnitzer Steel Industries, Inc. — Class A		164,909
	2,329	Southern Copper Corp.(8)		248,341
	10,422	Worthington Industries, Inc.(8)		213,651
				1,909,483
		Oil, Coal and Gas — 9.7%
	788	Alpha Natural Resources, Inc.*		82,181
	18,582	Anadarko Petroleum Corp.		1,390,677
	8,689	Apache Corp.		1,207,771
	4,479	Baker Hughes, Inc.		391,196
	2,893	Bill Barrett Corp.*(8)		171,873
	1,431	Cabot Oil & Gas Corp.		96,922
	5,000	Cameron International Corp.*		276,750
	22,444	Chevron Corp.		2,224,874
	13,650	ConocoPhillips		1,288,424
	3,510	Continental Resources, Inc.*(8)		243,313
	1,742	Denbury Resources, Inc.*		63,583
	13,450	Devon Energy Corp.		1,616,152
	300	Diamond Offshore Drilling, Inc.		41,742
	4,293	Dresser-Rand Group, Inc.*		167,856
	694	Encore Acquisition Company*		52,182
	4,382	EOG Resources, Inc.		574,918
	2,529	Exterran Holdings, Inc.*		180,798
	80,202	Exxon Mobil Corp.		7,068,202
	7,782	FMC Technologies, Inc.*		598,669
	9,976	Global Industries, Ltd.*		178,870
	43,300	Halliburton Company(8)		2,297,931
	1,344	Hess Corp.		169,599

See notes to financial statements.

67

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Oil, Coal and Gas (continued)
	622	Mariner Energy, Inc.*	$	22,995
	600	Massey Energy Company		56,250
	4,696	National-Oilwell Varco, Inc.*		416,629
	4,800	Noble Energy, Inc.		482,688
	13,099	Occidental Petroleum Corp.		1,177,076
	948	Oceaneering International, Inc.*		73,043
	111	ONEOK, Inc.		5,420
	1,229	Patterson-UTI Energy, Inc.		44,293
	5,900	Pioneer Natural Resources Company		461,852
	5,295	Schlumberger, Ltd. (Netherlands Antilles)		568,842
	1,561	SEACOR Holdings, Inc.*		139,725
	1,159	Smith International, Inc.(8)		96,359
	1,279	St Mary Land & Exploration Company		82,675
	1,835	Sunoco, Inc.		74,666
	1,481	Ultra Petroleum Corp. (Canada)*		145,434
	12,973	Valero Energy Corp.		534,228
	2,131	W&T Offshore, Inc.(8)		124,685
				24,891,343
		Pharmaceuticals/Research and Development — 4.8%
	14,100	Abbott Laboratories		746,877
	15,990	AmerisourceBergen Corp.		639,440
	22,661	Amgen, Inc.*		1,068,693
	16,792	Biogen Idec, Inc.*		938,505
	11,800	Bristol-Myers Squibb Company		242,254
	26,300	Eli Lilly and Company		1,214,008
	11,300	Express Scripts, Inc.*		708,736
	17,396	Gilead Sciences, Inc.*		921,118
	22,602	Medco Health Solutions, Inc.*		1,066,814
	41,800	Merck & Company, Inc.		1,575,442
	161,081	Pfizer, Inc.		2,814,085
	8,658	Wyeth		415,238
				12,351,210
		Printing and Publishing — 0.0%
	3,092	Gannett Company, Inc.		67,004
		Real Estate Development and Services — 0.1%
	4,067	Jones Lang LaSalle, Inc.		244,793
		Real Estate Investment Trusts — 1.0%
	4,245	AMB Property Corp.(8)		213,863
	5,200	AvalonBay Communities, Inc.(8)		463,632
	9,178	Equity Residential(8)		351,242
	1,689	Federal Realty Investment Trust(8)		116,541
	2,615	HCP, Inc.		83,183
	3,548	Macerich Company (The)		220,437
	1,842	Nationwide Health Properties, Inc.		58,005
	15,250	ProLogis		828,838
	600	Regency Centers Corp.		35,472
	1,235	Simon Property Group, Inc.		111,014
	619	Taubman Centers, Inc.		30,114
	1,528	Ventas, Inc.		65,047
				2,577,388
		Registered Investment Companies — 0.0%
	100	Tri-Continental Corp.		1,650
		Retail — 2.6%
	15	Barnes & Noble, Inc.(8)		373
	12,554	Best Buy Company, Inc.(8)		497,138
	1,911	Big Lots, Inc.*		59,700
	12,505	BJ’s Wholesale Club, Inc.*		483,944
	15,100	Costco Wholesale Corp.		1,059,113
	24,875	CVS Caremark Corp.		984,304
	565	Dollar Tree, Inc.*		18,470
	16,845	GameStop Corp. — Class A*		680,538
	3,335	Sears Holdings Corp.*(8)		245,656
	6,585	Target Corp.		306,137
	15,246	TJX Companies, Inc. (The)		479,792
	30,968	Wal-Mart Stores, Inc.		1,740,401
				6,555,566
		Retail: Restaurants — 0.8%
	895	Chipotle Mexican Grill, Inc. — Class A*(8)		73,945
	34,014	McDonald’s Corp.		1,912,267
	1,800	YUM! Brands, Inc.		63,162
				2,049,374
		Retail: Supermarkets — 0.6%
	34,191	Kroger Company (The)		987,094
	1,100	Ruddick Corp.		37,741
	11,900	Safeway, Inc.		339,745
	2,242	SUPERVALU, Inc.		69,255
	217	Whole Foods Market, Inc.(8)		5,141
				1,438,976
		Scientific and Technical Instruments — 0.1%
	1,300	Applera Corp.		43,524
	3,004	Thermo Fisher Scientific, Inc.*		167,413
				210,937

See notes to financial statements.

68

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Semiconductors — 1.5%
	71	Analog Devices, Inc.	$	2,256
	6,453	Applied Materials, Inc.		123,188
	1,986	Broadcom Corp. — Class A*		54,198
	82,350	Intel Corp.		1,768,877
	3,974	MEMC Electronic Materials, Inc.*		244,560
	3,287	NVIDIA Corp.*		61,533
	52,895	Texas Instruments, Inc.		1,489,523
				3,744,135
		Telecommunications Equipment and Services — 2.4%
	92,967	AT&T, Inc.		3,132,057
	3,952	CenturyTel, Inc.		140,652
	487	Harris Corp.		24,589
	21,952	Motorola, Inc.		161,128
	399	Nortel Networks Corp. (Canada)*		3,280
	8,208	QUALCOMM, Inc.		364,189
	25,528	Sprint Nextel Corp.		242,516
	53,900	Verizon Communications, Inc.		1,908,060
				5,976,471
		Transportation — 0.9%
	776	Alexander & Baldwin, Inc.(8)		35,347
	3,778	Burlington Northern Santa Fe Corp.		377,384
	900	CH Robinson Worldwide, Inc.		49,356
	7,053	CSX Corp.		442,999
	16,473	JB Hunt Transport Services, Inc.		548,221
	466	Kirby Corp.*		22,368
	3,517	Landstar System, Inc.		194,209
	3,177	Norfolk Southern Corp.		199,103
	1,422	Ryder System, Inc.		97,947
	12,850	Werner Enterprises, Inc.(8)		238,753
	3,931	YRC Worldwide, Inc.*(8)		58,454
				2,264,141
		Utilities — 2.1%
	1,900	American Electric Power Company, Inc.		76,437
	11,925	Dominion Resources, Inc. — Virginia		566,318
	56,800	Duke Energy Corp.		987,184
	200	Edison International		10,276
	175	Energy East Corp.		4,326
	2,927	Entergy Corp.		352,645
	4,746	Exelon Corp.		426,950
	8,369	FirstEnergy Corp.		689,020
	6,779	FPL Group, Inc.		444,567
	100	Northeast Utilities		2,553
	8,252	NRG Energy, Inc.*		354,011
	7,591	PPL Corp.		396,782
	38,208	Reliant Energy, Inc.*		812,684
	1,976	WGL Holdings, Inc.		68,646
				5,192,399
		Total Common Stocks (Cost $156,525,578)		149,560,653
Principal
		US Treasury Securities — 0.0%
		US Treasury Bonds — 0.0%
$	40,000	4.38%, 02/15/38(8)		39,000
		US Treasury Notes — 0.0%
	10,000	4.75%, 08/15/17(8)		10,597
		Total US Treasury Securities (Cost $50,353)		49,597
		US Government Agency Securities — 18.5%
		Asset Backed: Mortgage and Home Equity — 1.0%
	600,000	Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10(5)		623,138
	173,034	Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29(5)		178,109
	760,000	Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18(5)		764,134
	375,776	Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34(5)		368,612
	491,396	Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34(5)		498,731
				2,432,724
		Fannie Mae — 12.1%
	1,755,809	PL# 256219, 5.50%, 04/01/36(5)		1,717,652
	90,119	PL# 535675, 7.00%, 01/01/16(5)		94,537
	932	PL# 549906, 7.50%, 09/01/30(5)		1,005
	1,440	PL# 552549, 7.50%, 09/01/30(5)		1,552
	574	PL# 558384, 7.50%, 01/01/31(5)		619
	2,404	PL# 568677, 7.50%, 01/01/31(5)		2,591
	271	PL# 572762, 7.50%, 03/01/31(5)		292

See notes to financial statements.

69

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	15,611	PL# 582178, 7.50%, 06/01/31(5)	$	16,811
	12,908	PL# 594316, 6.50%, 07/01/31(5)		13,410
	2,447	PL# 602859, 6.50%, 10/01/31(5)		2,542
	12,761	PL# 614924, 7.00%, 12/01/16(5)		13,383
	736,766	PL# 735809, Variable Rate, 4.66%, 08/01/35(1)		738,505
	67,800	PL# 745000, 6.00%, 10/01/35(5)		68,572
	1,287,492	PL# 745275, 5.00%, 02/01/36(5)		1,238,633
	51,585	PL# 779545, 6.00%, 06/01/34(5)		52,253
	43,744	PL# 785183, 6.00%, 07/01/34(5)		44,310
	199,667	PL# 787311, 6.00%, 06/01/34(5)		202,252
	1,420,854	PL# 792113, 6.00%, 09/01/34(5)		1,439,253
	49,174	PL# 793193, 5.50%, 07/01/19(5)		49,873
	336,443	PL# 793693, 6.00%, 08/01/34(5)		340,800
	88,128	PL# 801516, Variable Rate, 4.70%, 08/01/34(1)(5)		89,256
	367,007	PL# 810896, Variable Rate, 4.84%, 01/01/35(1)(5)		370,796
	1,047,568	PL# 835136, 6.00%, 09/01/35(5)		1,059,496
	1,180,368	PL# 844183, 6.00%, 11/01/35(5)		1,193,809
	229,077	PL# 888022, 5.00%, 02/01/36(5)		220,384
	641,205	PL# 893681, 6.00%, 10/01/36(5)		647,905
	1,561,240	PL# 894005, 6.00%, 10/01/36(5)		1,577,554
	5,049,489	PL# 911205, 6.50%, 05/01/37(5)		5,205,325
	663,014	PL# 938338, 6.00%, 07/01/37		669,801
	193,689	PL# 950385, Variable Rate, 5.87%, 08/01/37(1)		196,599
	900,000	TBA, 5.50%, 07/01/23		906,047
	200,000	TBA, 6.00%, 07/01/23		205,031
	1,300,000	TBA, 5.50%, 08/01/23		1,305,485
	7,040,000	TBA, 5.00%, 07/01/38		6,748,501
	3,000,000	TBA, 5.50%, 07/01/38		2,957,343
	1,460,000	TBA, 5.00%, 08/01/38		1,396,353
				30,788,530
		Federal Agricultural Mortgage Corp. — 0.3%
	220,000	4.25%, 07/29/08		220,280
	600,000	144A, 5.13%, 04/19/17(5)		614,802
				835,082
		Freddie Mac — 1.2%
	130,000	5.60%, 09/26/13		130,749
	430,000	5.63%, 11/23/35(5)		429,499
	1,257,372	PL# 1G3704, Variable Rate, 5.66%, 09/01/37(1)(5)		1,274,832
	228,691	PL# 1N1447, Variable Rate, 5.81%, 02/01/37(1)(5)		232,944
	419,184	PL# 1N1463, Variable Rate, 5.94%, 05/01/37(1)(5)		426,283
	603,447	PL# 1N1582, Variable Rate, 5.94%, 05/01/37(1)(5)		613,880
				3,108,187
		Freddie Mac Gold — 0.8%
	83,001	PL# A39644, 5.50%, 11/01/35(5)		82,015
	900,000	TBA, 5.00%, 07/01/23		888,890
	1,000,000	TBA, 5.00%, 07/01/38		958,281
				1,929,186
		Government National Mortgage Association — 2.7%
	2,958	PL# 461836, 7.00%, 01/15/28		3,155
	1,486	PL# 596647, 7.00%, 09/15/32		1,583
	202,510	PL# 604404, 5.00%, 06/15/33		197,125
	570,448	PL# 604845, 5.00%, 12/15/33		555,279
	689,889	PL# 608280, 5.00%, 09/15/33		671,543
	666,179	PL# 615892, 5.00%, 08/15/33		648,464
	633,992	PL# 620521, 5.00%, 08/15/33		617,133
	484,592	PL# 637934, 5.00%, 01/15/35		471,024
	634,271	PL# 639093, 5.00%, 01/15/35		616,513
	410,659	PL# 639865, 5.00%, 06/15/35		399,161
	91,042	PL# 781881, 5.00%, 03/15/35		88,559
	1,300,000	TBA, 5.00%, 07/01/38		1,259,578
	1,300,000	TBA, 5.50%, 08/01/38		1,286,797
				6,815,914
		Resolution Funding Strips — 0.1%
	250,000	Zero coupon, 07/15/18		159,453
	250,000	Zero coupon, 10/15/18		156,899
				316,352

See notes to financial statements.

70

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Tennessee Valley Authority — 0.3%
$	630,000	5.98%, 04/01/36	$	680,457
		Total US Government Agency Securities (Cost $46,926,851)		46,906,432
		Corporate Bonds and Notes — 26.5%
		Advertising — 0.0%
	60,000	Lamar Media Corp., Series B, 6.63%, 08/15/15		54,900
	35,000	RH Donnelley Corp. — 144A, 8.88%, 10/15/17		21,000
				75,900
		Aerospace and Defense — 0.0%
	25,000	DRS Technologies, Inc., 6.63%, 02/01/16		25,500
		Airlines — 0.1%
	300,000	Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57%, 11/18/10(5)		283,500
	97,284	Delta Air Lines, Series 2007-1, Class A, 6.82%, 08/10/22(5)		81,232
				364,732
		Automobile: Rental — 0.0%
	35,000	Hertz Corp., 8.88%, 01/01/14		32,200
	20,000	Hertz Corp., 10.50%, 01/01/16(8)		18,300
				50,500
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.5%
	300,000	Daimler Chrysler NA Holding, 5.88%, 03/15/11(5)		304,046
	580,000	Ford Motor Company, 7.45%, 07/16/31		340,750
	970,000	General Motors Corp., 8.25%, 07/15/23		569,875
	16,000	Visteon Corp., 8.25%, 08/01/10		14,320
	38,000	Visteon Corp. — 144A, 12.25%, 12/31/16		30,590
				1,259,581
		Banks and Financial Services — 6.4%
	100,000	AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67(1)(5)		79,477
	200,000	Aiful Corp. — 144A (Japan), 5.00%, 08/10/10(5)		178,000
	190,000	American Express Company, Variable Rate, 6.80%, 09/01/66(1)(5)(8)		175,930
	10,000	BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual(1)(5)		7,809
	190,000	Bank of America Corp., Series K, Variable Rate, 8.00%, perpetual(1)(5)		178,294
	40,000	Bank of America Corp., Series M, Variable Rate, 8.13%, perpetual(1)(5)		37,860
	220,000	Bear Stearns Companies, Inc. (The), 5.55%, 01/22/17(5)		203,667
	140,000	Bear Stearns Companies, Inc. (The), 7.25%, 02/01/18(5)		146,351
	650,000	Citigroup, Inc., 5.50%, 04/11/13(5)		635,041
	300,000	Citigroup, Inc., 6.88%, 03/05/38(5)		290,393
	100,000	Countrywide Financial Corp., Series MTN, Floating Rate, 2.87%, 01/05/09(2)		98,056
	760,000	Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10(5)		707,605
	90,000	Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual(1)(5)		75,151
	2,645,000	Ford Motor Credit Company LLC, 5.80%, 01/12/09		2,525,905
	220,000	Ford Motor Credit Company LLC, 7.38%, 10/28/09		200,431
	129,000	Ford Motor Credit Company LLC, Floating Rate, 8.03%, 06/15/11(2)		105,040
	1,130,000	General Motors Acceptance Corp., 5.85%, 01/14/09		1,073,155
	160,000	Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11		129,861
	380,000	Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16(1)		244,511
	1,020,000	GMAC LLC, 6.63%, 05/15/12		700,279
	270,000	GMAC LLC, 8.00%, 11/01/31		176,004
	160,000	GMAC LLC, Series MTN, Floating Rate, 3.95%, 09/23/08(2)		157,578
	20,000	Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual(1)		13,918

See notes to financial statements.

71

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)
$	170,000	Goldman Sachs Group, Inc. (The), 4.50%, 06/15/10	$	170,307
	70,000	Goldman Sachs Group, Inc. (The), 5.45%, 11/01/12		69,891
	162,000	ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22(1)		145,416
	200,000	ICICI Bank, Ltd. — REG S (India), Variable Rate, 6.38%, 04/30/22(1)		181,065
	330,000	JPMorgan Chase & Company, 5.13%, 09/15/14		321,290
	450,000	JPMorgan Chase & Company, 5.15%, 10/01/15		433,929
	130,000	Kaupthing Bank hf — 144A (Iceland), 7.13%, 05/19/16		91,736
	710,000	Kaupthing Bank hf — 144A, Series 1 (Iceland), 7.63%, 02/28/15		641,343
	140,000	Landisbanki Islands hf — 144A (Iceland), 6.10%, 08/25/11		123,512
	200,000	Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)		130,603
	120,000	Lehman Brothers E — Capital Trust I, Floating Rate, 3.50%, 08/19/65(2)		89,166
	100,000	Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12		94,709
	480,000	Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17		451,692
	170,000	Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual(1)		147,577
	260,000	Morgan Stanley, Series MTN, 5.63%, 01/09/12		260,398
	100,000	Morgan Stanley, Series MTNF, Floating Rate, 3.18%, 10/18/16(2)		86,898
	20,000	Rabobank Capital Funding Trust II — 144A, Variable Rate, 5.26%, perpetual(1)		18,343
	40,000	Rabobank Capital Funding Trust III — 144A, Variable Rate, 5.25%, perpetual(1)		34,407
	99,000	Residential Capital LLC — 144A, 8.50%, 05/15/10		83,655
	544,000	Residential Capital LLC — 144A, 9.63%, 05/15/15		266,560
	235,000	Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual(1)		217,287
	100,000	Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual(1)		91,579
	270,000	RSHB Capital Bank — 144A (Luxembourg), 6.30%, 05/15/17		249,791
	260,000	Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16(1)		251,394
	300,000	Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual(1)		210,979
	520,000	Sigma Finance, Inc. — 144A, Series MTN1, Variable Rate, 8.50%, 08/11/16(1)		349,050
	60,000	SLM Corp., Series MTN, 5.05%, 11/14/14		51,024
	265,000	SLM Corp., Series MTNA, 5.00%, 10/01/13		229,391
	500,000	SLM Corp., Series MTNA, 5.38%, 05/15/14		439,800
	10,000	SLM Corp., Series MTNA, 5.00%, 04/15/15		8,473
	45,000	SLM Corp., Series MTNA, 5.63%, 08/01/33		33,981
	215,000	SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09		213,435
	310,000	TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16		294,097
	100,000	TNK-BP Finance SA, Series 6 — 144A, (Luxembourg), 7.88%, 03/13/18		96,750
	390,000	Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37		326,625
	350,000	Turanalem Finance BV (the Netherlands), 8.25%, 01/22/37		293,563

See notes to financial statements.

72

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Banks and Financial Services (continued)
$	170,000	Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual(1)	$	115,665
	430,000	Wachovia Corp., 5.25%, 08/01/14		400,877
	130,000	Wells Fargo Capital X, 5.95%, 12/15/36		118,312
				15,974,886
		Broadcast Services/Media — 0.8%
	60,000	CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15(8)		44,775
	100,000	Clear Channel Communications, Inc., 4.25%, 05/15/09(5)		96,520
	170,000	Clear Channel Communications, Inc., 5.50%, 09/15/14(5)		102,119
	60,000	Clear Channel Communications, Inc., 4.90%, 05/15/15(5)		35,446
	150,000	Comcast Cable Communications, 8.88%, 05/01/17(5)		172,285
	240,000	Comcast Corp., 6.50%, 01/15/15(5)		244,031
	20,000	Comcast Corp., 6.50%, 01/15/17(5)		20,152
	20,000	Comcast Corp., 5.88%, 02/15/18(5)		19,276
	180,000	Cox Communications, Inc., 3.88%, 10/01/08		179,765
	10,000	CSC Holdings, Inc., Series B, 7.63%, 04/01/11		9,850
	70,000	DIRECTV Holdings LLC/ DIRECTV Financing Company, Inc., 8.38%, 03/15/13		72,450
	30,000	Echostar DBS Corp., 7.00%, 10/01/13		28,725
	25,000	Echostar DBS Corp., 7.13%, 02/01/16		23,188
	280,000	Liberty Media Corp., 7.88%, 07/15/09		284,125
	10,000	Liberty Media Corp., 5.70%, 05/15/13		9,012
	10,000	News America, Inc., 6.65%, 11/15/37		9,795
	35,000	Rogers Cable, Inc. (Canada), 6.75%, 03/15/15		35,744
	80,000	Time Warner Entertainment, 8.38%, 07/15/33		86,817
	350,000	Time Warner, Inc., 6.88%, 05/01/12(5)		358,366
	75,000	Time Warner, Inc., 7.70%, 05/01/32(5)		76,997
				1,909,438
		Chemicals — 0.0%
	30,000	Georgia Gulf Corp., 9.50%, 10/15/14(8)		22,575
	27,000	Westlake Chemical Corp., 6.63%, 01/15/16		22,815
				45,390
		Computer Equipment, Software and Services — 0.0%
	20,000	Electronic Data Systems, 7.13%, 10/15/09(5)		20,632
	40,000	Sungard Data Systems, Inc., 9.13%, 08/15/13		40,600
				61,232
		Construction Services and Supplies — 0.0%
	65,000	K Hovnanian Enterprises, Inc., 6.25%, 01/15/15		40,950
		Consumer Goods and Services — 0.0%
	100,000	Reynolds American, Inc., 6.75%, 06/15/17		99,979
		Containers and Packaging — 0.0%
	50,000	Graham Packaging Company, LP, 8.50%, 10/15/12		47,625
	10,000	Graham Packaging Company, LP, 9.88%, 10/15/14(8)		8,900
				56,525
		Electronics — 0.0%
	15,000	NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14		13,875
		Environmental Waste Management and Recycling Services — 0.2%
	160,000	Waste Management, Inc., 6.50%, 11/15/08		161,692
	270,000	Waste Management, Inc., 6.38%, 11/15/12		277,301
				438,993
		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)		208,962

See notes to financial statements.

73

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Funeral Services — 0.0%
$	10,000	Service Corp. International, 6.75%, 04/01/16	$	9,525
	40,000	Service Corp. International, 7.63%, 10/01/18		40,100
	35,000	Service Corp. International, 7.50%, 04/01/27		29,925
				79,550
		Insurance — 0.4%
	40,000	American International Group, Inc., Series MTNG, 5.85%, 01/16/18(5)(8)		37,541
	40,000	ASIF Global Financing XIX — 144A, 4.90%, 01/17/13(5)		38,468
	50,000	Humana, Inc., 7.20%, 06/15/18		49,627
	300,000	Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 4.55%, 07/07/10(2)		285,210
	430,000	MetLife, Inc., Variable Rate, 6.40%, 12/15/36(1)		376,575
	250,000	Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1)		215,129
				1,002,550
		Leisure and Recreation — 0.1%
	25,000	Boyd Gaming Corp., 6.75%, 04/15/14		19,375
	80,000	Boyd Gaming Corp., 7.13%, 02/01/16		59,400
	30,000	Inn of The Mountain Gods, 12.00%, 11/15/10		25,950
	50,000	MGM MIRAGE, 8.50%, 09/15/10		49,625
	5,000	MGM MIRAGE, 6.63%, 07/15/15		4,038
	85,000	MGM MIRAGE, 7.63%, 01/15/17		70,337
	15,000	Mohegan Tribal Gaming Authority, 6.13%, 02/15/13		13,725
	10,000	Station Casinos, Inc., 6.88%, 03/01/16(8)		5,513
	90,000	Station Casinos, Inc., 7.75%, 08/15/16		69,300
				317,263
		Machinery — 0.0%
	20,000	Terex Corp., 7.38%, 01/15/14		19,800
		Manufacturing — 0.3%
	270,000	Tyco International Group SA (Luxembourg), 6.38%, 10/15/11		276,502
	530,000	Tyco International Group SA (Luxembourg), 6.00%, 11/15/13		511,979
				788,481
		Medical Equipment, Supplies, and Services — 0.3%
	60,000	Community Health Systems, Inc., 8.88%, 07/15/15		60,675
	125,000	DaVita, Inc., 6.63%, 03/15/13		120,625
	160,000	HCA, Inc., 6.75%, 07/15/13		141,200
	11,000	HCA, Inc., 5.75%, 03/15/14		9,213
	20,000	HCA, Inc., 9.13%, 11/15/14		20,500
	6,000	HCA, Inc., 6.50%, 02/15/16		5,025
	160,000	HCA, Inc., 9.25%, 11/15/16		165,199
	26,000	HCA, Inc., 9.63%, 11/15/16(12)		26,845
	60,000	Tenet Healthcare Corp., 6.38%, 12/01/11		57,750
	30,000	Tenet Healthcare Corp., 6.50%, 06/01/12		28,425
	20,000	WellPoint, Inc., 5.88%, 06/15/17		19,365
				654,822
		Metals and Mining — 0.5%
	230,000	Evraz Group SA — 144A (Luxembourg), 8.88%, 04/24/13		231,425
	190,000	Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17		200,762
	210,000	Rio Tinto Finance USA, Ltd. (Australia), 6.50%, 07/15/18		211,022
	65,000	Steel Dynamics, Inc., 6.75%, 04/01/15		62,563
	341,000	Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36		318,403
	130,000	Vedanta Resources PLC — 144A (United Kingdom), 8.75%, 01/15/14		130,000
				1,154,175

See notes to financial statements.

74

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Office Equipment, Supplies, and Services — 0.0%
$	40,000	Xerox Corp., 6.75%, 02/01/17	$	40,378
		Oil, Coal and Gas — 2.2%
	235,000	Anadarko Finance Company, Series B, 7.50%, 05/01/31(5)		252,616
	35,000	Anadarko Petroleum Corp., 6.45%, 09/15/36(5)		34,659
	45,000	Chesapeake Energy Corp., 7.75%, 01/15/15		46,913
	5,000	Chesapeake Energy Corp., 6.38%, 06/15/15		4,750
	20,000	Chesapeake Energy Corp., 6.25%, 01/15/18		18,500
	5,000	Chesapeake Energy Corp., 7.25%, 12/15/18		4,888
	105,000	Complete Production Services, Inc., 8.00%, 12/15/16		105,394
	80,000	Conoco, Inc., 6.95%, 04/15/29(5)		87,990
	125,000	Dynegy Holdings, Inc., 7.75%, 06/01/19		114,375
	86,000	El Paso Corp., Series MTN, 7.80%, 08/01/31		87,037
	25,000	El Paso Corp., Series MTN, 7.75%, 01/15/32		25,170
	330,000	El Paso Natural Gas, 8.38%, 06/15/32(5)		370,162
	500,000	El Paso Performance-Link — 144A, 7.75%, 07/15/11		506,215
	260,000	Gaz Capital (Gazprom) — 144A (Luxembourg), 6.21%, 11/22/16		243,568
	190,000	Gaz Capital (Gazprom) — 144A (Luxembourg), 6.51%, 03/07/22		171,000
	50,000	Hess Corp., 7.88%, 10/01/29(5)		57,503
	160,000	Hess Corp., 7.30%, 08/15/31(5)		179,221
	260,000	Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17		232,050
	250,000	KazMunaiGaz Finance Sub BV — 144A (Kazakhstan), 8.38%, 07/02/13		250,438
	180,000	Kerr-McGee Corp., 6.95%, 07/01/24		187,161
	110,000	Kerr-McGee Corp., 7.88%, 09/15/31		128,344
	50,000	Kinder Morgan Energy Partners LP, 6.30%, 02/01/09		50,514
	240,000	Kinder Morgan Energy Partners LP, 6.75%, 03/15/11		247,538
	20,000	Kinder Morgan Energy Partners LP, 6.00%, 02/01/17		19,795
	200,000	Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38		199,122
	50,000	OPTI Canada, Inc. (Canada), 7.88%, 12/15/14		49,625
	75,000	OPTI Canada, Inc. (Canada), 8.25%, 12/15/14		75,000
	40,000	Peabody Energy Corp., Series B, 6.88%, 03/15/13		40,300
	17,000	Pemex Project Funding Master Trust, 6.63%, 06/15/35		16,857
	290,000	Pemex Project Funding Master Trust — 144A, 6.63%, 06/15/35		287,565
	290,000	Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16		291,450
	30,000	Pride International, Inc., 7.38%, 07/15/14		30,075
	25,000	Semgroup LP — 144A, 8.75%, 11/15/15		24,375
	15,000	Southern Natural Gas, 8.00%, 03/01/32		16,278
	95,000	Suburban Propane Partners, 6.88%, 12/15/13		90,250
	40,000	Tennessee Gas Pipeline, 7.63%, 04/01/37		41,831
	120,000	Williams Companies, Inc., 7.88%, 09/01/21		127,800
	160,000	Williams Companies, Inc., 7.75%, 06/15/31		167,200
	20,000	Williams Companies, Inc., 8.75%, 03/15/32		22,800
	320,000	Williams Companies, Inc., Series A, 7.50%, 01/15/31		325,199
	190,000	XTO Energy, Inc., 7.50%, 04/15/12		204,014
				5,435,542
		Paper and Forest Products — 0.0%
	110,000	Weyerhaeuser Company, 6.75%, 03/15/12		113,383

See notes to financial statements.

75

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Pharmaceuticals/Research and Development — 0.2%
$	40,000	AmerisourceBergen Corp., 5.88%, 09/15/15(5)	$	39,273
	120,000	FMC Finance III SA (Luxembourg), 6.88%, 07/15/17		118,500
	230,000	Wyeth, 5.95%, 04/01/37		222,753
				380,526
		Printing and Publishing — 0.1%
	105,000	Idearc, Inc., 8.00%, 11/15/16		66,544
	30,000	Sun Media Corp. (Canada), 7.63%, 02/15/13		29,175
	40,000	TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15		34,800
				130,519
		Private Asset Backed: Banks and Financial Services — 0.2%
	300,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42		285,349
	170,000	Nelnet Student Loan Trust, Series 2008-4, Class A4, Floating Rate, 4.10%, 04/25/24(2)		170,442
				455,791
		Private Asset Backed: Credit Cards — 0.2%
	640,000	Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 2.75%, 09/15/13(3)		603,206
		Private Asset Backed: Mortgage and Home Equity — 11.0%
	386,212	Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 3.14%, 09/25/35(3)		369,950
	171,540	Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 2.90%, 02/25/35(3)		139,820
	94,667	Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 2.86%, 04/25/35(3)		83,151
	280,000	Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.12%, 09/10/15(5)		267,542
	3,321,665	Bear Stearns Asset Backed Securities, Inc., Series 07-SD1, Class 1A3A, 6.50%, 10/25/36(5)		2,624,845
	1,488,629	Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 2.69%, 12/25/46(3)		832,073
	315,834	Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.93%, 08/25/35(3)(5)		266,828
	766,747	Countrywide Alternative Loan Trust, Series 2005-56, Class 4A1, Floating Rate, 2.79%, 11/25/35(3)		594,207
	847,245	Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 2.81%, 11/20/35(3)		621,445
	208,864	Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35(5)		200,196
	389,477	Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 3.05%, 12/15/35(3)		173,806
	775,168	Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 2.88%, 09/25/35(3)		678,276
	850,000	GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 02/10/17		797,776
	837,322	GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33		849,038
	835,179	GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.65%, 03/18/35(3)		794,838
	1,311,061	GMAC Mortgage Corp. Loan Trust, Series 2006-HE1, Class A, Floating Rate, 3.59%, 11/25/36(3)		676,780
	739,047	GSAMP Trust — 144A, Series 2006-SD2, Class A1, Floating Rate, 3.49%, 05/25/46(3)		665,164

See notes to financial statements.

76

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	278,075	Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 3.28%, 10/25/34(3)	$	222,807
	639,780	IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.26%, 11/25/37(3)		605,009
	203,807	IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35		167,334
	625,876	IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1, Floating Rate, 5.99%, 08/25/37(3)		479,218
	1,080,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37		1,020,882
	659,457	JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.29%, 07/25/34(3)		642,916
	502,233	Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 2.78%, 11/25/35(3)		380,108
	371,850	Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 2.78%, 12/25/35(3)		247,758
	658,241	Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 2.55%, 08/25/46(3)		596,001
	850,000	Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51		793,317
	362,121	Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34(3)		344,570
	1,098,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35		1,073,000
	1,300,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35		1,221,644
	500,000	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39(3)		487,413
	186,872	MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 2.80%, 10/25/28(3)		181,903
	196,584	Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A, Floating Rate, 2.93%, 07/25/34(3)		184,821
	756,376	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35		728,484
	359,803	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35		352,495
	1,711,755	Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35		1,600,182
	1,525,833	Residential Accredit Loans, Inc., Series 2005-Q03, Class A1, Floating Rate, 2.88%, 10/25/45(3)		1,187,290
	829,885	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35		690,038
	324,842	Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 2.83%, 01/19/34(3)		294,916
	934,359	Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 2.65%, 01/25/09(3)		923,465
	287,425	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A, Floating Rate, 2.80%, 01/25/45(3)		236,363
	497,421	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 2.77%, 10/25/45(3)		388,205
	532,951	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1B3, Floating Rate, 2.84%, 10/25/45(3)		334,979
	620,891	Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 2.76%, 11/25/45(3)		470,487

See notes to financial statements.

77

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	486,868	Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.50%, 09/25/36	$	467,015
	591,776	Zuni Mortgage Loan Trust, Series 2006-OA1, Class A1, Floating Rate, 2.61%, 08/25/36(3)		564,931
				27,523,286
		Real Estate Development and Services — 0.0%
	230,000	Realogy Corp., 12.38%, 04/15/15(8)		113,850
		Real Estate Investment Trusts — 0.1%
	50,000	Host Marriott LP, Series Q, 6.75%, 06/01/16		44,625
	50,000	Ventas Realty LP/Ventas Capital Corp., 6.75%, 06/01/10		50,000
	40,000	Ventas Realty LP/Ventas Capital Corp., 6.75%, 04/01/17		38,600
				133,225
		Retail — 0.1%
	257,978	CVS Caremark Corp. — 144A, 6.94%, 01/10/30(5)		248,628
	20,000	JC Penney & Company, Inc., 7.40%, 04/01/37		18,007
				266,635
		Retail: Supermarkets — 0.0%
	93,000	Delhaize America, Inc., 9.00%, 04/15/31(5)		109,769
		Scientific and Technical Instruments — 0.0%
	80,000	Cie Generale de Geophysique (France), 7.50%, 05/15/15		80,200
	40,000	Cie Generale de Geophysique (France), 7.75%, 05/15/17		40,250
				120,450
		Semiconductors — 0.0%
	25,000	Freescale Semiconductor, Inc., 8.88%, 12/15/14		20,438
	40,000	MagnaChip Semiconductor, Ltd., Floating Rate, 6.03%, 12/15/11(2)		27,200
				47,638
		Telecommunications Equipment and Services — 1.1%
	120,000	America Movil SAB de CV (Mexico), 5.63%, 11/15/17(5)		116,171
	190,000	AT&T, Inc., 5.10%, 09/15/14		186,496
	90,000	AT&T, Inc., 5.50%, 02/01/18(5)		87,370
	15,000	Citizens Communications Company, 9.25%, 05/15/11		15,600
	30,000	Citizens Communications Company, 7.88%, 01/15/27		26,400
	180,000	Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16(5)		175,898
	45,000	Intelsat Bermuda, Ltd. (Bermuda), 9.25%, 06/15/16		45,563
	220,000	Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30		253,602
	90,000	Level 3 Financing, Inc., 9.25%, 11/01/14		82,350
	10,000	Nextel Communications, Inc., Series D, 7.38%, 08/01/15		8,305
	130,000	Nextel Communications, Inc., Series E, 6.88%, 10/31/13		109,927
	60,000	Nextel Communications, Inc., Series F, 5.95%, 03/15/14		48,205
	260,000	Qwest Communications International, Inc., Floating Rate, 6.18%, 02/15/09(2)		260,000
	105,000	Qwest Corp., 7.88%, 09/01/11		105,525
	40,000	Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14		40,093
	270,000	Sprint Capital Corp., 8.38%, 03/15/12		267,509
	60,000	Sprint Capital Corp., 8.75%, 03/15/32		57,288
	200,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		183,300
	70,000	Telecom Italia Capital (Luxembourg), 7.00%, 06/04/18		70,721
	50,000	Verizon Global Funding Corp., 7.38%, 09/01/12		53,996
	300,000	Verizon New York, Inc., Series A, 6.88%, 04/01/12		313,127

See notes to financial statements.

78

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Telecommunications Equipment and Services (continued)
$	260,000	VIP FIN (VIMPELCOM) — 144A (Luxembourg), 8.38%, 04/30/13	$	256,565
	140,000	Windstream Corp., 8.63%, 08/01/16		140,350
				2,904,361
		Transportation — 0.1%
	20,000	Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11		21,725
	110,000	Union Pacific Corp., 5.38%, 05/01/14		108,123
				129,848
		Utilities — 1.5%
	604,000	AES Corp., 7.75%, 03/01/14		598,715
	80,000	AES Corp., 7.75%, 10/15/15		79,200
	410,000	AES Corp., 8.00%, 10/15/17		403,850
	70,000	Dominion Resources, Inc., 4.75%, 12/15/10(5)		70,489
	220,000	Dominion Resources, Inc., 5.70%, 09/17/12(5)		223,582
	70,000	Edison Mission Energy, 7.00%, 05/15/17		65,800
	90,000	Edison Mission Energy, 7.20%, 05/15/19		84,375
	40,000	Edison Mission Energy, 7.63%, 05/15/27		36,100
	10,000	Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17		10,150
	1,110,000	Energy Future Holdings Corp. — 144A, 11.25%, 11/01/17(12)		1,112,775
	5,000	Exelon Corp., 5.63%, 06/15/35(5)		4,323
	160,000	FirstEnergy Corp., Series B, 6.45%, 11/15/11		164,299
	225,000	FirstEnergy Corp., Series C, 7.38%, 11/15/31		245,373
	100,000	NRG Energy, Inc., 7.25%, 02/01/14		95,750
	10,000	NRG Energy, Inc., 7.38%, 02/01/16		9,438
	10,000	NRG Energy, Inc., 7.38%, 01/15/17		9,475
	90,000	Pacific Gas & Electric Company, 6.05%, 03/01/34		87,058
	60,000	Pacific Gas & Electric Company, 5.80%, 03/01/37		56,127
	210,000	TXU Corp., Series P, 5.55%, 11/15/14		165,453
	105,000	TXU Corp., Series Q, 6.50%, 11/15/24		77,994
	370,000	TXU Corp., Series R, 6.55%, 11/15/34		271,424
				3,871,750
		Total Corporate Bonds and Notes (Cost $75,403,787)		67,023,241
Shares
		Preferred Stocks — 0.3%
		Banks and Financial Services
	600	Fannie Mae, Series O, Floating Rate, 7.00%, (2)		28,308
	10,800	Fannie Mae, Series S, Variable Rate, 8.25%, (1)(5)(8)		247,860
	14,925	Freddie Mac, Series Z, Variable Rate, 8.38%, (1)(5)		362,678
		Total Preferred Stocks (Cost $675,045)		638,846
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)		29,300
		Municipal Bonds — 0.5%
		Virginia
	1,193,367	Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $1,174,185)		1,193,391
		Foreign Government Obligations — 0.4%
	450,000	AID-Israel (Israel), 5.50%, 04/26/24		484,439
	160,000	Bundesrepublic Deutschland, Series 03, (Germany) 4.25%, 01/04/14(16)		249,052
	229,000	United Mexican States, Series MTNA, (Mexico), 6.75%, 09/27/34		243,542
		Total Foreign Government Obligations (Cost $921,254)		977,033

See notes to financial statements.

79

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Contracts				Value
			Purchased Put Options — 0.0%
	1		US Treasury Note (5 Year) September Future, Expiring August 2008 @ 109 (Cost $450)	$	445
Principal
			Securities Lending Collateral — 4.2%
$	10,525,798		Securities Lending Collateral Investment (Note 4) (Cost $10,525,798)		10,525,798
			Total Securities (Cost $292,243,301)		276,904,736
			Repurchase Agreements — 1.3%
	3,278,346		With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $3,278,442 (Collateralized by Freddie Mac Adjustable Rate Mortgage, 2.82%, due 12/15/35, with a value of $3,348,563) (Cost $3,278,346)		3,278,346
			Total Investments before Call Options Written — 110.7% (Cost $295,521,647)		280,183,082
Contracts
			Call Options Written — (0.0)%
	(1	)	90 Day Euro September Future, Expiring August 2008 @ 97.25 (Premium $532)		(187	)
			Total Investments net of Call Options Written — 110.7% (Cost $295,521,115)		280,182,895
			Liabilities less other assets — (10.7)%		(27,040,497	)
			Net Assets — 100.0%	$	253,142,398

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $295,521,647.

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

Gross unrealized appreciation	$	12,385,413
Gross unrealized depreciation		(27,723,978	)
Net unrealized depreciation	$	(15,338,565	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

80

LARGE VALUE PORTFOLIO
(FORMERLY, VALUE & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 99.6%
		Advertising — 0.6%
	1,787,000	Interpublic Group of Companies, Inc. (The)*	$	15,368,200
		Aerospace and Defense — 0.8%
	300,000	Northrop Grumman Corp.		20,070,000
		Apparel: Manufacturing and Retail — 1.2%
	1,423,800	Gap, Inc. (The)(8)		23,734,746
	51,200	VF Corp.		3,644,416
				27,379,162
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.2%
	154,727	Autoliv, Inc.		7,213,373
	1,790,545	General Motors Corp.(8)		20,591,267
				27,804,640
		Banks and Financial Services — 11.5%
	526,700	American Express Company		19,840,789
	1,142,082	Bank of America Corp.		27,261,497
	2,432,570	Citigroup, Inc.(8)		40,769,873
	35,000	Deutsche Bank AG (Germany)(8)		2,987,250
	1,898,000	Fannie Mae(8)		37,029,980
	399,900	Freddie Mac(8)		6,558,360
	84,000	Goldman Sachs Group, Inc. (The)		14,691,600
	2,090,240	JPMorgan Chase & Company		71,716,135
	279,000	Merrill Lynch & Company, Inc.(8)		8,847,090
	555,000	Morgan Stanley		20,018,850
	587,200	National City Corp.(8)		2,800,944
	215,800	SunTrust Banks, Inc.		7,816,276
	470,000	Wachovia Corp.(8)		7,299,100
	248,100	Wells Fargo & Company		5,892,375
				273,530,119
		Broadcast Services/Media — 4.0%
	813,500	CBS Corp. — Class B		15,855,115
	1,578,100	Comcast Corp. — Class A		29,936,557
	3,387,200	Time Warner, Inc.		50,130,560
				95,922,232
		Chemicals — 1.1%
	530,000	Dow Chemical Company (The)		18,502,300
	200,000	EI du Pont de Nemours and Company		8,578,000
				27,080,300
		Computer Equipment, Software and Services — 4.6%
	1,228,400	Dell, Inc.*		26,877,392
	490,000	Electronic Data Systems Corp.		12,073,600
	407,200	Hewlett-Packard Company		18,002,312
	395,400	International Business Machines Corp.		46,866,762
	163,600	Western Digital Corp.*(8)		5,649,108
				109,469,174
		Construction Services and Supplies — 0.1%
	109,500	Centex Corp.		1,464,015
	110,000	KB HOME(8)		1,862,300
				3,326,315
		Consumer Goods and Services — 3.9%
	506,000	Altria Group, Inc.		10,403,360
	115,000	Black & Decker Corp. (The)(8)		6,613,650
	583,100	Kimberly-Clark Corp.		34,857,718
	451,000	Philip Morris International, Inc.		22,274,890
	288,000	Procter & Gamble Company (The)		17,513,280
				91,662,898
		Containers and Packaging — 0.2%
	122,000	Owens-Illinois, Inc.*		5,086,180
		Diversified Operations and Services — 3.0%
	2,700,100	General Electric Company		72,065,669
		Electronics — 3.9%
	125,116	Arrow Electronics, Inc.*		3,843,564
	3,798,810	Flextronics International, Ltd. (Singapore)*		35,708,813
	1,939,177	Sanmina-SCI Corp.*		2,482,147
	504,700	Sony Corp. (ADR) (Japan)		22,075,578
	763,150	Tyco Electronics, Ltd. (Bermuda)		27,336,033
				91,446,135
		Environmental Waste Management and Recycling Services — 0.5%
	336,700	Waste Management, Inc.		12,696,957
		Food and Beverage — 3.2%
	652,700	Dean Foods Company*		12,805,974
	60,000	Kellogg Company		2,881,200
	1,278,800	Kraft Foods, Inc. — Class A*		36,381,861
	70,000	Molson Coors Brewing Company — Class B		3,803,100
	1,530,005	Sara Lee Corp.		18,742,561

See notes to financial statements.

81

LARGE VALUE PORTFOLIO
(FORMERLY, VALUE & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Food and Beverage (continued)
	97,595	Tyson Foods, Inc. — Class A	$	1,458,069
				76,072,765
		Insurance — 8.2%
	468,200	Aetna, Inc.		18,976,146
	446,000	Allstate Corp. (The)		20,333,140
	1,477,300	American International Group, Inc.		39,089,358
	72,000	Fidelity National Financial, Inc. — Class A(8)		907,200
	550,000	Genworth Financial, Inc. — Class A		9,795,500
	185,000	Hartford Financial Services Group, Inc. (The)		11,945,450
	450,200	MetLife, Inc.		23,757,054
	61,566	PartnerRe, Ltd. (Bermuda)		4,256,058
	170,000	RenaissanceRe Holdings, Ltd. (Bermuda)		7,593,900
	1,230,338	Travelers Companies, Inc. (The)		53,396,669
	238,000	XL Capital, Ltd. — Class A (Cayman Islands)(8)		4,893,280
				194,943,755
		Machinery — 0.4%
	115,000	Caterpillar, Inc.		8,489,300
		Manufacturing — 3.0%
	85,000	Eaton Corp.		7,222,450
	525,800	Honeywell International, Inc.		26,437,224
	592,950	Smurfit-Stone Container Corp.*		2,413,307
	70,000	SPX Corp.		9,221,100
	620,050	Tyco International, Ltd. (Bermuda)		24,826,802
				70,120,883
		Medical Equipment, Supplies, and Services — 4.2%
	1,798,100	Boston Scientific Corp.*		22,098,649
	130,000	Cardinal Health, Inc.		6,705,400
	241,450	Covidien, Ltd. (Bermuda)		11,563,041
	605,435	Hologic, Inc.*		13,198,483
	135,000	Johnson & Johnson		8,685,900
	120,000	McKesson Corp.		6,709,200
	5,344,920	Tenet Healthcare Corp.*(8)		29,717,755
				98,678,428
		Metals and Mining — 1.3%
	508,700	Alcoa, Inc.		18,119,894
	121,000	ArcelorMittal (Luxembourg)		11,987,470
				30,107,364
		Oil, Coal and Gas — 16.4%
	123,000	Apache Corp.		17,097,000
	275,000	BP PLC (ADR) (United Kingdom)		19,131,750
	1,159,600	Chevron Corp.		114,951,147
	1,122,702	ConocoPhillips		105,971,842
	1,062,000	Exxon Mobil Corp.		93,594,060
	78,000	Occidental Petroleum Corp.		7,009,080
	234,600	Total SA (ADR) (France)		20,004,342
	255,100	Valero Energy Corp.		10,505,018
				388,264,239
		Paper and Forest Products — 1.5%
	1,112,500	Louisiana-Pacific Corp.(8)		9,445,125
	1,088,400	MeadWestvaco Corp.		25,947,456
				35,392,581
		Pharmaceuticals/Research and Development — 7.1%
	385,800	AmerisourceBergen Corp.		15,428,142
	581,700	Amgen, Inc.*		27,432,972
	611,300	Merck & Company, Inc.		23,039,897
	4,266,900	Pfizer, Inc.		74,542,743
	1,018,300	Watson Pharmaceuticals, Inc.*		27,667,211
				168,110,965
		Printing and Publishing — 0.2%
	250,200	Gannett Company, Inc.(8)		5,421,834
		Retail — 1.6%
	516,000	Home Depot, Inc. (The)		12,084,720
	100,000	JC Penney Company, Inc.		3,629,000
	971,600	Macy’s, Inc.		18,868,472
	296,400	Office Depot, Inc.*		3,242,616
				37,824,808
		Retail: Supermarkets — 2.0%
	479,350	Kroger Company (The)		13,838,835
	270,525	Safeway, Inc.		7,723,489
	375,000	SUPERVALU, Inc.		11,583,750
	592,600	Whole Foods Market, Inc.(8)		14,038,693
				47,184,767
		Semiconductors — 1.0%
	4,052,500	LSI Corp.*		24,882,350

See notes to financial statements.

82

LARGE VALUE PORTFOLIO
(FORMERLY, VALUE & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Telecommunications Equipment and Services — 8.0%
	2,550,355	AT&T, Inc.	$	85,921,460
	2,676,300	Motorola, Inc.		19,644,042
	5,837,400	Qwest Communications International, Inc.(8)		22,940,982
	1,525,518	Sprint Nextel Corp.		14,492,421
	887,652	Verizon Communications, Inc.		31,422,881
	492,500	Vodafone Group PLC (ADR) (United Kingdom)		14,509,050
				188,930,836
		Toys — 0.8%
	1,113,500	Mattel, Inc.		19,063,120
		Transportation — 0.1%
	50,000	Ryder System, Inc.		3,444,000
		Utilities — 4.0%
	314,500	Ameren Corp.		13,281,335
	1,107,080	American Electric Power Company, Inc.		44,537,828
	200,000	Constellation Energy Group		16,420,000
	105,000	Entergy Corp.		12,650,400
	165,800	Wisconsin Energy Corp.		7,497,476
				94,387,039
		Total Common Stocks (Cost $2,675,896,978)		2,364,227,015
Principal
		Securities Lending Collateral — 7.6%
$	179,366,896	Securities Lending Collateral Investment (Note 4) (Cost $179,366,896)		179,366,896
		Total Securities (Cost $2,855,263,874)		2,543,593,911
		Repurchase Agreements — 0.4%
	10,097,212	With State Street Bank & Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $10,097,506 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 2.78%-4.36%, due 12/25/35-08/01/37, with a total value of $10,302,029) (Cost $10,097,212)		10,097,212
		Total Investments — 107.6% (Cost $2,865,361,086)		2,553,691,123
		Liabilities less other assets — (7.6)%		(180,915,668	)
		Net Assets — 100.0%	$	2,372,775,455

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $2,865,361,086.

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

Gross unrealized appreciation	$	297,505,231
Gross unrealized depreciation		(609,175,194	)
Net unrealized depreciation	$	(311,669,963	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

83

VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 94.2%
		Advertising — 2.2%
	273,100	Interpublic Group of Companies, Inc. (The)*	$	2,348,660
	67,500	RH Donnelley Corp.*(8)		202,500
				2,551,160
		Aerospace and Defense — 2.9%
	30,400	Empresa Brasileira de Aeronautica SA (ADR) (Brazil)		805,600
	37,800	Northrop Grumman Corp.		2,528,820
				3,334,420
		Apparel: Manufacturing and Retail — 2.8%
	119,800	Gap, Inc. (The)(8)		1,997,066
	71,500	Limited Brands, Inc.		1,204,775
				3,201,841
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.4%
	39,100	PACCAR, Inc.		1,635,553
		Banks and Financial Services — 18.9%
	15,500	American Express Company		583,885
	147,055	Bank of America Corp.		3,510,203
	2,500	Capital One Financial Corp.(8)		95,025
	159,400	Citigroup, Inc.		2,671,544
	18,900	Comerica, Inc.		484,407
	240,300	Freddie Mac(8)		3,940,920
	70,100	JPMorgan Chase & Company		2,405,131
	107,975	KeyCorp		1,185,566
	65,900	National City Corp.		314,343
	332,300	Wachovia Corp.(8)		5,160,618
	235,500	Washington Mutual, Inc.(8)		1,161,015
				21,512,657
		Chemicals — 3.4%
	101,800	Dow Chemical Company (The)		3,553,838
	4,200	Eastman Chemical Company		289,212
				3,843,050
		Computer Equipment, Software and Services — 12.7%
	241,266	CA, Inc.		5,570,832
	89,000	Electronic Data Systems Corp.		2,192,960
	171,100	Microsoft Corp.		4,706,961
	95,800	Oracle Corp.*		2,011,800
				14,482,553
		Construction Services and Supplies — 0.9%
	76,300	Centex Corp.		1,020,131
		Consumer Goods and Services — 2.3%
	52,500	Philip Morris International, Inc.		2,592,975
		Electronics — 2.2%
	71,050	Tyco Electronics, Ltd. (Bermuda)		2,545,011
		Insurance — 8.0%
	85,200	Conseco, Inc.*		845,184
	148,000	Genworth Financial, Inc. — Class A		2,635,880
	32,100	MetLife, Inc.		1,693,917
	27,500	Travelers Companies, Inc. (The)		1,193,500
	85,600	UnumProvident Corp.		1,750,520
	48,300	XL Capital, Ltd. — Class A (Cayman Islands)(8)		993,048
				9,112,049
		Manufacturing — 2.7%
	77,050	Tyco International, Ltd. (Bermuda)		3,085,082
		Medical Equipment, Supplies, and Services — 1.8%
	20,650	Covidien, Ltd. (Bermuda)		988,929
	17,300	Johnson & Johnson		1,113,082
				2,102,011
		Oil, Coal and Gas — 5.8%
	70,100	Royal Dutch Shell PLC — Class B (ADR) (United Kingdom)		5,615,711
	25,700	Sunoco, Inc.		1,045,733
				6,661,444
		Pharmaceuticals/Research and Development — 11.5%
	62,300	AstraZeneca PLC (ADR) (United Kingdom)		2,649,619
	106,700	Bristol-Myers Squibb Company		2,190,551
	56,400	Eli Lilly and Company		2,603,424
	141,500	Pfizer, Inc.		2,472,005
	162,800	Schering-Plough Corp.		3,205,532
				13,121,131
		Printing and Publishing — 0.1%
	71,100	Idearc, Inc.(8)		167,085
		Retail — 6.3%
	164,052	Home Depot, Inc. (The)		3,842,098
	47,900	JC Penney Company, Inc.		1,738,291
	30,100	Wal-Mart Stores, Inc.		1,691,620
				7,272,009
		Retail: Supermarkets — 1.2%
	49,700	Safeway, Inc.		1,418,935

See notes to financial statements.

84

VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Telecommunications Equipment and Services — 1.4%
	273,300	Alcatel-Lucent (ADR) (France)*	$	1,650,732
		Transportation — 1.2%
	17,300	FedEx Corp.		1,363,067
		Utilities — 4.5%
	15,100	Entergy Corp.		1,819,248
	22,500	Exelon Corp.		2,024,100
	20,600	FPL Group, Inc.		1,350,948
				5,194,296
		Total Common Stocks (Cost $143,287,797)		107,867,192
		Preferred Stocks—3.8%
		Banks and Financial Services
	27	National City Corp., PIPE(14)		2,575,800
	369,700	Washington Mutual, Inc., Series S, 14.00%(14)		1,822,621
		Total Preferred Stocks (Cost $6,545,243)		4,398,421
Principal
		Securities Lending Collateral—12.2%
$	14,023,071	Securities Lending Collateral Investment (Note 4) (Cost $14,023,071)		14,023,071
		Total Securities (Cost $163,856,111)		126,288,684
		Repurchase Agreements — 2.0%
	2,296,489	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $2,296,556 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.37%, due 11/01/35, with a value of $2,342,460) (Cost $2,296,489)		2,296,489
		Total Investments — 112.2% (Cost $166,152,600)		128,585,173
		Liabilities less other assets — (12.2)%		(14,030,301	)
		Net Assets — 100.0%	$	114,554,872

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $166,152,600.

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

Gross unrealized appreciation	$	3,487,717
Gross unrealized depreciation		(41,055,144	)
Net unrealized depreciation	$	(37,567,427	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

85

LARGE CORE
(FORMERLY, GROWTH & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008

(Unaudited)

Shares			Value
		Common Stocks — 98.8%
		Aerospace and Defense — 3.1%
	43,083	Boeing Company (The)	$	2,831,415
	44,100	L-3 Communications Holdings, Inc.		4,007,367
	36,311	Lockheed Martin Corp.		3,582,443
	33,800	Northrop Grumman Corp.		2,261,220
	41,600	Raytheon Company		2,341,248
				15,023,693
		Agriculture — 0.9%
	30,900	Archer-Daniels-Midland Company		1,042,875
	17,113	Monsanto Company		2,163,768
	6,900	Mosaic Company (The)*		998,430
				4,205,073
		Apparel: Manufacturing and Retail — 1.2%
	14,100	Abercrombie & Fitch Company — Class A		883,788
	29,300	Aeropostale, Inc.*		917,969
	57,200	Coach, Inc.*		1,651,936
	41,048	NIKE, Inc. — Class B		2,446,871
				5,900,564
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.6%
	14,000	Autoliv, Inc.		652,680
	11,000	AutoZone, Inc.*		1,331,110
	38,900	TRW Automotive Holdings Corp.*		718,483
				2,702,273
		Banks and Financial Services — 8.0%
	46,952	American Express Company		1,768,682
	37,000	Ameriprise Financial, Inc.		1,504,790
	41,200	Bank of America Corp.		983,444
	58,800	Capital One Financial Corp.(8)		2,234,988
	114,400	Charles Schwab Corp. (The)		2,349,776
	12,400	Credicorp, Ltd. (Bermuda)		1,018,288
	138,300	Fifth Third Bancorp(8)		1,407,894
	24,600	Franklin Resources, Inc.		2,254,590
	41,229	Goldman Sachs Group, Inc. (The)		7,210,952
	146,000	JPMorgan Chase & Company		5,009,260
	7,781	MasterCard, Inc. — Class A		2,066,011
	12,500	Northern Trust Corp.		857,125
	185,300	Regions Financial Corp.(8)		2,021,623
	24,500	T Rowe Price Group, Inc.		1,383,515
	58,800	TD Ameritrade Holding Corp.*		1,063,692
	94,900	US Bancorp		2,646,761
	77,000	Wells Fargo & Company		1,828,750
	23,200	Zions Bancorp(8)		730,568
				38,340,709
		Broadcast Services/Media — 2.9%
	206,727	DIRECTV Group, Inc. (The)*		5,356,297
	64,400	Shaw Communications, Inc. — Class B (Canada)(8)		1,311,184
	349,773	Time Warner, Inc.		5,176,640
	60,300	Walt Disney Company (The)		1,881,360
				13,725,481
		Business Services and Supplies — 1.3%
	57,520	Accenture, Ltd. — Class A (Bermuda)		2,342,214
	80,688	Hewitt Associates, Inc. — Class A*		3,092,771
	30,700	SEI Investments Company		722,064
				6,157,049
		Chemicals — 1.7%
	54,831	Celanese Corp. — Series A		2,503,583
	23,800	Cytec Industries, Inc.		1,298,528
	50,500	Dow Chemical Company (The)		1,762,955
	29,939	Lubrizol Corp. (The)		1,387,074
	41,200	Methanex Corp. (Canada)		1,154,424
				8,106,564
		Computer Equipment, Software and Services — 9.3%
	23,800	Apple, Inc.*		3,985,072
	70,018	BMC Software, Inc.*		2,520,648
	19,800	Computer Sciences Corp.*		927,432
	112,500	Compuware Corp.*		1,073,250
	107,100	Dell, Inc.*		2,343,348
	136,310	Hewlett-Packard Company		6,026,265
	66,900	International Business Machines Corp.		7,929,657
	415,813	Microsoft Corp.(5)		11,439,016
	107,390	Nuance Communications, Inc.*(8)		1,682,801
	190,995	Oracle Corp.*		4,010,895
	82,825	Western Digital Corp.*(8)		2,859,947
				44,798,331
		Construction Services and Supplies — 0.4%
	17,000	Lennox International, Inc.		492,320
	3,100	NVR, Inc.*(8)		1,550,248
				2,042,568
		Consumer Goods and Services — 3.3%
	58,900	Altria Group, Inc.		1,210,984
	26,700	Colgate-Palmolive Company		1,844,970
	43,200	Herbalife, Ltd. (Cayman Islands)		1,674,000
	31,500	Jarden Corp.*		574,560
	17,500	Lorillard, Inc.*		1,210,300

See notes to financial statements.

86

LARGE CORE
(FORMERLY, GROWTH & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Shares			Value
		Common Stocks (continued)
		Consumer Goods and Services (continued)
	55,775	Philip Morris International, Inc.	$	2,754,727
	104,000	Procter & Gamble Company (The)		6,324,240
				15,593,781
		Diversified Operations and Services — 0.6%
	102,500	General Electric Company		2,735,725
		Electronics — 0.3%
	46,659	Tyco Electronics, Ltd. (Bermuda)		1,671,325
		Environmental Waste Management and Recycling Services — 0.4%
	154,694	Allied Waste Industries, Inc.*		1,952,238
		Food and Beverage — 3.5%
	72,400	Coca-Cola Company (The)		3,763,352
	113,900	ConAgra Foods, Inc.		2,195,992
	111,500	Constellation Brands, Inc. — Class A*		2,214,390
	49,900	General Mills, Inc.		3,032,423
	25,609	Molson Coors Brewing Company — Class B		1,391,337
	60,710	Pepsi Bottling Group, Inc. (The)		1,695,023
	82,900	Sysco Corp.		2,280,579
				16,573,096
		Insurance — 6.4%
	16,200	Ace, Ltd. (Cayman Islands)		892,458
	20,400	Aetna, Inc.		826,812
	23,554	Aflac, Inc.		1,479,191
	71,700	Allstate Corp. (The)		3,268,803
	52,400	American Financial Group, Inc.		1,401,700
	38,400	Assurant, Inc.		2,532,864
	41,300	Axis Capital Holdings, Ltd. (Bermuda)		1,231,153
	61,000	Chubb Corp. (The)		2,989,610
	16,200	CIGNA Corp.		573,318
	34,200	Endurance Specialty Holdings, Ltd. (Bermuda)		1,053,018
	2,700	Fairfax Financial Holdings, Ltd. (Canada)(8)		685,530
	54,200	MetLife, Inc.		2,860,134
	14,500	PartnerRe, Ltd. (Bermuda)		1,002,385
	120,200	Progressive Corp. (The)		2,250,144
	29,900	SAFECO Corp.		2,008,084
	74,300	Travelers Companies, Inc. (The)		3,224,620
	19,500	Willis Group Holdings, Ltd. (Bermuda)		611,715
	83,400	WR Berkley Corp.		2,014,944
				30,906,483
		Internet Services — 2.2%
	134,512	Cisco Systems, Inc.*		3,128,749
	22,523	eBay, Inc.*		615,554
	37,497	Expedia, Inc.*		689,195
	6,544	Google, Inc. — Class A*(5)		3,444,892
	26,300	Netflix, Inc.*(8)		685,641
	65,600	Symantec Corp.*		1,269,360
	41,887	Yahoo!, Inc.*		865,385
				10,698,776
		Leisure and Recreation — 0.3%
	65,721	Royal Caribbean Cruises, Ltd. (Liberia)(8)		1,476,751
		Machinery — 2.6%
	26,900	AGCO Corp.*(8)		1,409,829
	45,000	Caterpillar, Inc.		3,321,900
	62,413	Cummins, Inc.		4,089,300
	62,204	Gardner Denver, Inc.*		3,533,187
				12,354,216
		Manufacturing — 1.2%
	14,200	Dover Corp.		686,854
	67,925	Parker Hannifin Corp.		4,844,411
				5,531,265
		Medical Equipment, Supplies, and Services — 5.3%
	21,000	Baxter International, Inc.		1,342,740
	18,309	Becton, Dickinson and Company		1,488,522
	137,400	Boston Scientific Corp.*		1,688,646
	45,700	Cardinal Health, Inc.		2,357,206
	5,066	Intuitive Surgical, Inc.*		1,364,780
	32,074	Invitrogen Corp.*		1,259,225
	105,200	Johnson & Johnson		6,768,569
	39,051	Kinetic Concepts, Inc.*		1,558,525
	47,701	LifePoint Hospitals, Inc.*		1,349,938
	34,200	McKesson Corp.		1,912,122
	23,306	Medtronic, Inc.(8)		1,206,086
	84,500	UnitedHealth Group, Inc.		2,218,125
	17,800	WellPoint, Inc.*		848,348
				25,362,832
		Metals and Mining — 2.3%
	24,300	AK Steel Holding Corp.		1,676,700
	37,000	Alcoa, Inc.		1,317,940
	18,600	Freeport-McMoRan Copper & Gold, Inc.		2,179,734
	41,200	Nucor Corp.		3,076,404
	16,400	Reliance Steel & Aluminum Company		1,264,276
	14,400	Timken Company (The)		474,336
	5,900	United States Steel Corp.		1,090,202
				11,079,592

See notes to financial statements.

87

LARGE CORE
(FORMERLY, GROWTH & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Shares			Value
		Common Stocks (continued)
		Oil, Coal and Gas — 17.3%
	64,860	Chesapeake Energy Corp.(8)	$	4,278,166
	101,500	Chevron Corp.		10,061,695
	25,500	Cimarex Energy Company		1,776,585
	84,700	ConocoPhillips		7,994,833
	28,685	ENSCO International, Inc.		2,316,027
	206,600	Exxon Mobil Corp.		18,207,659
	30,900	FMC Technologies, Inc.*		2,377,137
	28,400	Massey Energy Company(8)		2,662,500
	10,700	Murphy Oil Corp.		1,049,135
	26,400	Nexen, Inc. (Canada)		1,049,400
	40,770	Noble Corp. (Cayman Islands)		2,648,419
	72,600	Occidental Petroleum Corp.		6,523,836
	26,900	ONEOK, Inc.		1,313,527
	26,700	Petro-Canada (Canada)		1,488,525
	31,555	Schlumberger, Ltd. (Netherlands Antilles)		3,389,954
	43,900	Spectra Energy Corp.		1,261,686
	45,800	Superior Energy Services, Inc.*		2,525,412
	12,948	Transocean, Inc. (Cayman Islands)*		1,973,146
	50,500	Valero Energy Corp.		2,079,590
	86,800	W&T Offshore, Inc.(8)		5,078,668
	55,008	Williams Companies, Inc. (The)		2,217,372
				82,273,272
		Pharmaceuticals/Research and Development — 5.4%
	56,900	AmerisourceBergen Corp.		2,275,431
	71,893	Amgen, Inc.*		3,390,475
	24,060	Cephalon, Inc.*(8)		1,604,561
	20,932	Charles River Laboratories International, Inc.*		1,337,973
	33,257	Express Scripts, Inc.*		2,085,879
	29,200	Forest Laboratories, Inc.*		1,014,408
	27,452	Gilead Sciences, Inc.*		1,453,583
	85,500	Merck & Company, Inc.		3,222,495
	399,300	Pfizer, Inc.		6,975,772
	88,400	Schering-Plough Corp.		1,740,596
	30,120	Watson Pharmaceuticals, Inc.*		818,360
				25,919,533
		Real Estate Investment Trusts — 0.3%
	27,400	ProLogis(8)		1,489,190
		Retail — 2.9%
	53,843	Best Buy Company, Inc.(8)		2,132,183
	82,262	Big Lots, Inc.*(8)		2,569,865
	29,474	GameStop Corp. — Class A*		1,190,750
	69,100	Macy’s, Inc.		1,341,922
	36,209	TJX Companies, Inc. (The)		1,139,497
	97,293	Wal-Mart Stores, Inc.		5,467,866
				13,842,083
		Retail: Restaurants — 0.8%
	17,000	Jack in the Box, Inc.*		380,970
	58,400	McDonald’s Corp.		3,283,248
				3,664,218
		Retail: Supermarkets — 1.1%
	152,633	Kroger Company (The)		4,406,514
	33,505	Safeway, Inc.		956,568
				5,363,082
		Scientific and Technical Instruments — 0.3%
	46,829	Applera Corp.		1,567,835
		Security Services — 0.3%
	24,493	Brink’s Company (The)		1,602,332
		Semiconductors — 2.6%
	232,131	Intel Corp.		4,986,173
	185,225	LSI Corp.*(8)		1,137,282
	18,974	MEMC Electronic Materials, Inc.*		1,167,660
	66,025	National Semiconductor Corp.		1,356,154
	95,500	QLogic Corp.*		1,393,345
	92,100	Texas Instruments, Inc.		2,593,536
				12,634,150
		Telecommunications Equipment and Services — 4.3%
	92,900	ADC Telecommunications, Inc.*		1,372,133
	276,300	AT&T, Inc.		9,308,547
	103,292	Corning, Inc.		2,380,881
	26,946	Embarq Corp.		1,273,737
	42,300	QUALCOMM, Inc.		1,876,851
	175,900	Sprint Nextel Corp.		1,671,050
	83,000	Verizon Communications, Inc.		2,938,200
				20,821,399
		Toys — 0.5%
	65,500	Hasbro, Inc.		2,339,660
		Transportation — 2.0%
	8,025	CH Robinson Worldwide, Inc.		440,091
	42,900	CSX Corp.		2,694,549
	7,400	DryShips, Inc. (Marshall Islands)(8)		593,332
	47,108	Kirby Corp.*		2,261,184
	16,500	Norfolk Southern Corp.		1,034,055
	25,600	Ryder System, Inc.		1,763,328
	13,400	Union Pacific Corp.		1,011,700
				9,798,239
		Utilities — 3.2%
	65,900	AES Corp. (The)*		1,265,939
	60,000	Alliant Energy Corp.		2,055,600
	56,100	DTE Energy Company		2,380,884
	91,326	Edison International		4,692,330

See notes to financial statements.

88

LARGE CORE
(FORMERLY, GROWTH & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008

(Unaudited)

Shares			Value
		Common Stocks (continued)
		Utilities (continued)
	20,900	FirstEnergy Corp.	$	1,720,697
	45,000	Public Service Enterprise Group, Inc.		2,066,850
	89,100	Sierra Pacific Resources		1,132,461
				15,314,761
		Total Common Stocks (Cost $484,691,577)		473,568,139
Principal
		Securities Lending Collateral — 7.6%
$	36,530,365	Securities Lending Collateral Investment (Note 4) (Cost $36,530,365)		36,530,365
		Total Securities (Cost $521,221,942)		510,098,504
		Repurchase Agreements — 1.5%
	7,298,597	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $7,298,810 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 2.83%, due 12/25/35, with a value of $1,641,809 and Federal Home Loan Bank, 2.56%, due 11/19/08, with a value of $6,067,500) (Cost $7,298,597)		7,298,597
		Total Investments — 107.9% (Cost $528,520,539)		517,397,101
		Liabilities less other assets — (7.9)%		(37,829,415	)
		Net Assets — 100.0%	$	479,567,686

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $528,520,539.

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

Gross unrealized appreciation	$	30,781,999
Gross unrealized depreciation		(41,905,437	)
Net unrealized depreciation	$	(11,123,438	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

89

LARGE GROWTH PORTFOLIO
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 98.1%
		Advertising — 0.2%
	98,964	Omnicom Group, Inc.	$	4,441,504
		Aerospace and Defense — 5.7%
	222,605	Boeing Company (The)		14,629,601
	34,040	Gamesa Corporacion Tecnologica, SA (Spain)		1,673,213
	403,362	General Dynamics Corp.		33,963,080
	330,808	Lockheed Martin Corp.		32,637,517
	269,688	Raytheon Company		15,178,041
	152,200	United Technologies Corp.		9,390,740
				107,472,192
		Agriculture — 2.6%
	50,381	Agrium, Inc. (Canada)		5,417,973
	9,700	CF Industries Holdings, Inc.		1,482,160
	273,721	Monsanto Company		34,609,283
	10,900	Mosaic Company (The)*		1,577,230
	30,100	Potash Corp. of Saskatchewan, Inc. (Canada)		6,879,957
				49,966,603
		Apparel: Manufacturing and Retail — 1.5%
	40,900	Abercrombie & Fitch Company — Class A		2,563,612
	141,579	American Eagle Outfitters, Inc.		1,929,722
	160,900	Coach, Inc.*		4,646,792
	49,300	Hanesbrands, Inc.*		1,338,002
	160,600	Limited Brands, Inc.		2,706,110
	247,403	NIKE, Inc. — Class B		14,747,693
				27,931,931
		Automobile: Retail — 0.1%
	49,900	Copart, Inc.*		2,136,718
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.1%
	97,700	Johnson Controls, Inc.		2,802,036
		Banks and Financial Services — 9.8%
	18,919	American Express Company		712,679
	278,475	Banco Itau Holding Financeira SA (ADR) (Brazil)		5,655,827
	189,122	Charles Schwab Corp. (The)		3,884,566
	8,200	CME Group, Inc.		3,142,158
	211,944	Goldman Sachs Group, Inc. (The)		37,069,006
	81,600	Hudson City Bancorp, Inc.		1,361,088
	46,682,000	Industrial and Commercial Bank of China, Ltd. — Class H (China)		31,910,617
	239,400	Invesco, Ltd. (Bermuda)		5,740,812
	95,800	Janus Capital Group, Inc.		2,535,826
	83,563	MasterCard, Inc. — Class A		22,187,648
	32,400	Nasdaq OMX Group, Inc. (The)*		860,220
	26,100	Northern Trust Corp.		1,789,677
	48,600	Paychex, Inc.		1,520,208
	23,300	State Street Corp.		1,490,967
	61,000	T Rowe Price Group, Inc.		3,444,670
	87,938	UBS AG (Switzerland)*		1,816,799
	525,397	Visa, Inc. — Class A*		42,720,030
	499,307	Wells Fargo & Company		11,858,541
	258,400	Western Union Company		6,387,648
				186,088,987
		Broadcast Services/Media — 0.8%
	41,264	Comcast Corp. — Class A		782,778
	191,200	DIRECTV Group, Inc. (The)*		4,953,992
	56,836	DreamWorks Animation SKG, Inc. — Class A*		1,694,281
	57,200	News Corp. — Class A		860,288
	158,151	Time Warner, Inc.		2,340,635
	136,244	Viacom, Inc. — Class B*		4,160,892
				14,792,866
		Business Services and Supplies — 0.6%
	154,255	Accenture, Ltd. — Class A (Bermuda)		6,281,264
	24,000	Hewitt Associates, Inc. — Class A*		919,920
	50,300	Manpower, Inc.		2,929,472
	51,500	Total System Services, Inc.		1,144,330
				11,274,986
		Chemicals — 1.7%
	181,942	Air Products and Chemicals, Inc.		17,986,786
	36,700	Ecolab, Inc.		1,577,733
	119,300	FMC Corp.		9,238,592
	39,300	Sigma-Aldrich Corp.		2,116,698
	18,100	Terra Industries, Inc.		893,235
				31,813,044
		Computer Equipment, Software and Services — 13.9%
	152,100	Adobe Systems, Inc.*		5,991,219
	376,047	Apple, Inc.*		62,965,311
	42,400	Autodesk, Inc.*		1,433,544

See notes to financial statements.

90

LARGE GROWTH PORTFOLIO
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Computer Equipment, Software and Services (continued)
	86,800	Automatic Data Processing, Inc.	$	3,636,920
	289,000	BMC Software, Inc.*		10,404,000
	1,048,062	Cadence Design Systems, Inc.*		10,585,426
	88,800	Compuware Corp.*		847,152
	282,000	Dell, Inc.*(8)		6,170,160
	50,500	DST Systems, Inc.*(8)		2,780,025
	109,886	EMC Corp.*		1,614,225
	410,513	Hewlett-Packard Company		18,148,780
	269,436	International Business Machines Corp.		31,936,249
	1,968,067	Microsoft Corp.		54,141,523
	404,933	NetApp, Inc.*		8,770,849
	1,784,228	Oracle Corp.*		37,468,788
	66,800	Salesforce.com, Inc.*		4,557,764
				261,451,935
		Construction Services and Supplies — 0.0%
	66,700	Pulte Homes, Inc.(8)		642,321
		Consumer Goods and Services — 2.1%
	151,102	Altria Group, Inc.		3,106,657
	73,700	Colgate-Palmolive Company		5,092,670
	132,641	Herbalife, Ltd. (Cayman Islands)		5,139,839
	28,000	Kimberly-Clark Corp.		1,673,840
	372,055	Philip Morris International, Inc.		18,375,797
	79,172	Procter & Gamble Company (The)		4,814,449
	13,000	United Parcel Service, Inc. — Class B		799,110
				39,002,362
		Containers and Packaging — 0.1%
	23,800	Owens-Illinois, Inc.*		992,222
		Diversified Operations and Services — 0.3%
	19,700	McDermott International, Inc. (Panama)*		1,219,233
	81,000	Textron, Inc.		3,882,330
				5,101,563
		Education — 0.3%
	133,300	Apollo Group, Inc. — Class A*		5,899,858
		Electronics — 1.3%
	304,364	Emerson Electric Company		15,050,800
	26,000	Hubbell, Inc. — Class B		1,036,620
	107,000	Jabil Circuit, Inc.		1,755,870
	123,093	Rockwell Collins, Inc.		5,903,540
				23,746,830
		Engineering — 1.2%
	78,500	Fluor Corp.		14,607,280
	112,100	Jacobs Engineering Group, Inc.*		9,046,470
				23,653,750
		Food and Beverage — 1.6%
	25,000	Campbell Soup Company		836,500
	276,686	Coca-Cola Company (The)		14,382,138
	83,470	Hansen Natural Corp.*(8)		2,405,605
	141,269	PepsiCo, Inc.		8,983,296
	161,588	Sysco Corp.		4,445,286
				31,052,825
		Insurance — 0.4%
	74,400	Aflac, Inc.		4,672,320
	44,099	Prudential Financial, Inc.		2,634,474
				7,306,794
		Internet Services — 5.1%
	10,987	Amazon.com, Inc.*		805,677
	1,794,280	Cisco Systems, Inc.*		41,734,953
	49,844	Ctrip.com International, Ltd. (ADR) (Cayman Islands)		2,281,858
	119,585	eBay, Inc.*		3,268,258
	402,000	Giant Interactive Group, Inc. (ADR) (Cayman Islands)*(8)		4,872,240
	62,778	Google, Inc. — Class A*		33,047,595
	160,800	Shanda Interactive Entertainment, Ltd. (ADR)(Cayman Islands)*		4,365,720
	181,800	VeriSign, Inc.*		6,872,040
				97,248,341
		Leisure and Recreation — 2.0%
	390,007	Las Vegas Sands Corp.*(8)		18,501,932
	235,974	Wynn Resorts, Ltd.(8)		19,196,485
				37,698,417
		Machinery — 1.5%
	48,200	AGCO Corp.*(8)		2,526,162
	189,500	Caterpillar, Inc.		13,988,890
	152,242	Cummins, Inc.		9,974,896
	64,400	Manitowoc Company, Inc. (The)		2,094,932
				28,584,880

See notes to financial statements.

91

LARGE GROWTH PORTFOLIO
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Manufacturing — 1.0%
	20,200	3M Company	$	1,405,718
	58,522	Honeywell International, Inc.		2,942,486
	74,700	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)		2,796,021
	135,618	Parker Hannifin Corp.		9,672,276
	17,479	Precision Castparts Corp.		1,684,451
				18,500,952
		Medical Equipment, Supplies, and Services — 2.5%
	94,405	Cardinal Health, Inc.		4,869,410
	69,400	Gen-Probe, Inc.*		3,295,112
	91,258	Health Net, Inc.*		2,195,667
	50,322	Humana, Inc.*		2,001,306
	28,400	Intuitive Surgical, Inc.*		7,650,959
	148,700	Invitrogen Corp.*		5,837,962
	23,835	Johnson & Johnson		1,533,544
	83,615	McKesson Corp.		4,674,915
	71,799	Medtronic, Inc.(8)		3,715,598
	77,329	Stryker Corp.		4,862,448
	52,000	Techne Corp.*		4,024,280
	138,767	UnitedHealth Group, Inc.		3,642,634
				48,303,835
		Metals and Mining — 2.4%
	59,828	AK Steel Holding Corp.		4,128,132
	115,200	Companhia Vale do Rio Doce (ADR) (Brazil)		4,126,464
	132,017	Freeport-McMoRan Copper & Gold, Inc.		15,471,072
	91,600	Newmont Mining Corp.		4,777,856
	32,600	Nucor Corp.		2,434,242
	7,600	Reliance Steel & Aluminum Company		585,884
	16,000	Schnitzer Steel Industries, Inc. — Class A		1,833,600
	36,617	Southern Copper Corp.(8)		3,904,471
	21,400	United States Steel Corp.		3,954,292
	294,500	Yamana Gold, Inc. (Canada)(8)		4,871,030
				46,087,043
		Oil, Coal and Gas — 13.8%
	62,200	Anadarko Petroleum Corp.		4,655,048
	15,100	Atwood Oceanics, Inc.*		1,877,534
	42,800	Canadian Natural Resources, Ltd. (Canada)		4,290,700
	119,100	Denbury Resources, Inc.*		4,347,150
	113,954	Diamond Offshore Drilling, Inc.		15,855,560
	26,500	Encore Acquisition Company*		1,992,535
	42,300	ENSCO International, Inc.		3,415,302
	118,693	Exxon Mobil Corp.		10,460,414
	59,600	FMC Technologies, Inc.*		4,585,028
	123,400	Forest Oil Corp.*		9,193,300
	35,200	Hess Corp.		4,441,888
	30,100	Murphy Oil Corp.		2,951,305
	73,468	Noble Corp. (Cayman Islands)		4,772,481
	82,800	Occidental Petroleum Corp.		7,440,408
	36,700	Oil States International, Inc.*		2,328,248
	32,600	Patterson-UTI Energy, Inc.		1,174,904
	109,800	Peabody Energy Corp.		9,667,890
	334,847	Petroleo Brasileiro SA — Petrobras (ADR) (Brazil)		23,717,213
	56,200	Praxair, Inc.		5,296,288
	356,392	Schlumberger, Ltd. (Netherlands Antilles)		38,287,193
	126,400	Smith International, Inc.		10,508,896
	71,600	Southwestern Energy Company*		3,408,876
	24,400	Sunoco, Inc.		992,836
	43,600	Superior Energy Services, Inc.*		2,404,104
	70,300	Tesoro Corp.(8)		1,389,831
	375,487	Transocean, Inc. (Cayman Islands)*		57,220,463
	37,800	Unit Corp.*		3,136,266
	54,800	W&T Offshore, Inc.(8)		3,206,348
	32,100	Weatherford International, Ltd. (Bermuda)*		1,591,839
	228,602	XTO Energy, Inc.		15,661,523
				260,271,371
		Pharmaceuticals/Research and Development — 6.1%
	285,591	Abbott Laboratories		15,127,755
	88,588	AmerisourceBergen Corp.		3,542,634
	75,040	Amylin Pharmaceuticals, Inc.*(8)		1,905,266
	198,550	Bristol-Myers Squibb Company		4,076,232
	147,900	Elan Corp. PLC (ADR) (Ireland)*(8)		5,257,845
	394,759	Eli Lilly and Company		18,222,075
	72,720	Express Scripts, Inc.*		4,560,998
	328,844	Genentech, Inc.*		24,959,260
	30,500	Genzyme Corp.*		2,196,610
	75,308	Gilead Sciences, Inc.*		3,987,559

See notes to financial statements.

92

LARGE GROWTH PORTFOLIO
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)
	62,700	ImClone Systems, Inc.*	$	2,536,842
	105,000	Medco Health Solutions, Inc.*		4,956,000
	619,873	Merck & Company, Inc.		23,363,013
	67,900	Sepracor, Inc.*		1,352,568
	24,030	Shionogi & Company, Ltd. (Japan)		474,105
				116,518,762
		Real Estate Investment Trusts — 0.1%
	11,000	Essex Property Trust, Inc.		1,171,500
		Retail — 3.9%
	155,700	Costco Wholesale Corp.		10,920,798
	808,071	CVS Caremark Corp.		31,975,369
	727,714	Lowe’s Companies, Inc.		15,100,066
	75,000	Staples, Inc.		1,781,250
	23,100	Target Corp.		1,073,919
	43,000	Walgreen Company		1,397,930
	209,136	Wal-Mart Stores, Inc.		11,753,443
				74,002,775
		Retail: Restaurants — 3.0%
	1,024,500	McDonald’s Corp.		57,597,390
		Retail: Supermarkets — 0.1%
	117,000	Whole Foods Market, Inc.(8)		2,771,730
		Rubber Products — 0.1%
	100,900	Goodyear Tire & Rubber Company (The)*		1,799,047
		Scientific and Technical Instruments — 0.3%
	128,700	PerkinElmer, Inc.		3,584,295
	206,700	Teradyne, Inc.*		2,288,169
				5,872,464
		Semiconductors — 3.9%
	1,009,935	Altera Corp.		20,905,655
	63,400	Analog Devices, Inc.		2,014,218
	55,900	Broadcom Corp. — Class A*		1,525,511
	398,894	Emulex Corp.*		4,647,115
	983,544	Intel Corp.		21,126,524
	114,400	Intersil Corp. — Class A		2,782,208
	25,300	MEMC Electronic Materials, Inc.*		1,556,962
	69,700	Microchip Technology, Inc.		2,128,638
	106,600	National Semiconductor Corp.		2,189,564
	61,511	NVIDIA Corp.*		1,151,486
	268,100	QLogic Corp.*		3,911,579
	123,829	Texas Instruments, Inc.		3,487,025
	225,600	Xilinx, Inc.		5,696,400
				73,122,885
		Telecommunications Equipment and Services — 4.2%
	41,200	Amdocs, Ltd. (Guernsey)*		1,212,104
	475,220	AT&T, Inc.		16,010,162
	104,700	Brasil Telecom S.A. (ADR) (Brazil)(8)		3,345,165
	303,295	China Mobile, Ltd. (ADR) (Hong Kong)		20,305,600
	38,400	Ciena Corp.*		889,728
	347,800	Citizens Communications Company		3,944,052
	286,208	Corning, Inc.		6,597,094
	32,000	Crown Castle International Corp.*		1,239,360
	47,292	Nokia Oyj (ADR) (Finland)		1,158,654
	25,591	Nortel Networks Corp. (Canada)*		210,358
	392,227	QUALCOMM, Inc.		17,403,112
	35,005	Research In Motion, Ltd. (Canada)*		4,092,085
	84,100	Telephone and Data Systems, Inc.		3,975,407
				80,382,881
		Toys — 0.4%
	84,802	Hasbro, Inc.		3,029,127
	8,903	Nintendo Company, Ltd. (Japan)		5,022,270
				8,051,397
		Transportation — 3.0%
	34,100	CH Robinson Worldwide, Inc.		1,870,044
	271,457	Norfolk Southern Corp.		17,012,210
	53,450	Tidewater, Inc.(8)		3,475,854
	464,794	Union Pacific Corp.		35,091,947
				57,450,055
		Utilities — 0.4%
	34,586	Constellation Energy Group		2,839,511
	97,186	NRG Energy, Inc.*		4,169,279
				7,008,790
		Total Common Stocks (Cost $1,794,140,281)		1,860,015,842

See notes to financial statements.

93

LARGE GROWTH PORTFOLIO
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Securities Lending Collateral — 4.3%
$	82,275,851	Securities Lending Collateral Investment (Note 4) (Cost $82,275,851)	$	82,275,851
		Total Securities (Cost $1,876,416,132)		1,942,291,693
		Repurchase Agreements — 1.6%
	30,065,435	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $30,066,312 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.36%-5.09%, due 11/01/35-12/01/35, with a total value of $5,942,873 and Freddie Mac Adjustable Rate Mortgage, 2.82%, due 12/15/35, with a value of $24,724,460) (Cost $30,065,435)		30,065,435
		Total Investments — 104.0% (Cost $1,906,481,567)		1,972,357,128
		Liabilities less other assets — (4.0)%		(75,293,233	)
		Net Assets — 100.0%	$	1,897,063,895

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $1,906,481,567.

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

Gross unrealized appreciation	$	196,265,543
Gross unrealized depreciation		(130,389,982	)
Net unrealized appreciation	$	65,875,561

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

94

GROWTH PORTFOLIO
(FORMERLY, AGGRESSIVE EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 100.3%
		Agriculture — 3.7%
	21,300	Bunge, Ltd. (Bermuda)(8)	$	2,293,797
	47,620	Monsanto Company		6,021,073
	24,070	Mosaic Company (The)*		3,482,929
				11,797,799
		Apparel: Manufacturing and Retail — 5.0%
	138,340	Coach, Inc.*		3,995,259
	129,870	Guess?, Inc.		4,863,631
	52,250	NIKE, Inc. — Class B		3,114,623
	129,640	Urban Outfitters, Inc.*		4,043,472
				16,016,985
		Banks and Financial Services — 7.8%
	23,970	BlackRock, Inc.(8)		4,242,690
	37,820	Goldman Sachs Group, Inc. (The)		6,614,719
	238,690	Hudson City Bancorp, Inc.		3,981,349
	24,000	IntercontinentalExchange, Inc.*		2,736,000
	174,000	People’s United Financial, Inc.		2,714,400
	87,320	T Rowe Price Group, Inc.		4,930,960
				25,220,118
		Broadcast Services/Media — 0.8%
	115,000	Discovery Holding Company — Class A*		2,525,400
		Computer Equipment, Software and Services — 7.0%
	73,700	Apple, Inc.*		12,340,328
	190,000	EMC Corp.*		2,791,100
	77,700	Salesforce.com, Inc.*(8)		5,301,471
	110,800	SanDisk Corp.*		2,071,960
				22,504,859
		Construction Services and Supplies — 1.1%
	7,093	NVR, Inc.*(8)		3,547,067
		Consumer Goods and Services — 1.0%
	68,540	Estee Lauder Companies, Inc. (The) — Class A		3,183,683
		Containers and Packaging — 0.7%
	57,150	Owens-Illinois, Inc.*		2,382,584
		Diversified Operations and Services — 1.0%
	69,170	Textron, Inc.		3,315,318
		Energy Services — 1.3%
	15,860	First Solar, Inc.*(8)		4,326,925
		Engineering — 1.6%
	27,000	Fluor Corp.		5,024,160
		Environmental Waste Management and Recycling Services — 1.2%
	74,450	Stericycle, Inc.*		3,849,065
		Food and Beverage — 0.4%
	19,260	Central European Distribution Corp.*		1,428,129
		Internet Services — 14.5%
	118,250	Akamai Technologies, Inc.*(8)		4,113,918
	651,270	Cisco Systems, Inc.*		15,148,539
	126,000	eBay, Inc.*		3,443,580
	28,270	Google, Inc. — Class A*		14,881,893
	38,510	Priceline.com, Inc.*(8)		4,446,365
	115,170	VeriSign, Inc.*(8)		4,353,426
				46,387,721
		Machinery — 2.4%
	44,500	Cummins, Inc.		2,915,640
	68,850	Deere & Company		4,966,151
				7,881,791
		Manufacturing — 4.8%
	68,320	AMETEK, Inc.		3,226,070
	21,790	Flowserve Corp.		2,978,693
	39,200	SPX Corp.		5,163,816
	103,870	Tyco International, Ltd. (Bermuda)		4,158,955
				15,527,534
		Medical Equipment, Supplies, and Services — 4.3%
	99,440	Baxter International, Inc.		6,358,194
	28,440	Illumina, Inc.*		2,477,408
	19,160	Intuitive Surgical, Inc.*		5,161,704
				13,997,306
		Oil, Coal and Gas — 5.1%
	72,000	National-Oilwell Varco, Inc.*		6,387,840
	96,100	Petroleo Brasileiro SA — Petrobras (ADR) (Brazil)		6,806,763
	33,500	Ultra Petroleum Corp. (Canada)*		3,289,700
				16,484,303
		Pharmaceuticals/Research and Development — 10.1%
	70,650	Alexion Pharmaceuticals, Inc.*(8)		5,122,125
	2,490	Allergan, Inc.		129,605
	4,080	BioMarin Pharmaceutical, Inc.*		118,238
	86,420	Charles River Laboratories International, Inc.*		5,523,966

See notes to financial statements.

95

GROWTH PORTFOLIO
(FORMERLY, AGGRESSIVE EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)
	91,430	Express Scripts, Inc.*	$	5,734,490
	67,250	Genzyme Corp.*		4,843,345
	211,430	Gilead Sciences, Inc.*		11,195,218
				32,666,987
		Retail — 5.0%
	171,300	CVS Caremark Corp.		6,778,340
	24,120	GameStop Corp. — Class A*		974,448
	77,700	Kohl’s Corp.*		3,111,108
	158,690	Lowe’s Companies, Inc.		3,292,818
	88,590	Staples, Inc.		2,104,013
				16,260,727
		Scientific and Technical Instruments — 1.1%
	66,500	Thermo Fisher Scientific, Inc.*		3,706,045
		Semiconductors — 10.9%
	214,290	Altera Corp.		4,435,803
	461,250	Applied Materials, Inc.		8,805,262
	174,640	Broadcom Corp. — Class A*		4,765,926
	59,460	Lam Research Corp.*		2,149,479
	216,380	Marvell Technology Group, Ltd. (Bermuda)*		3,821,271
	172,880	NVIDIA Corp.*		3,236,314
	74,000	Varian Semiconductor Equipment Associates, Inc.*		2,576,680
	200,570	Xilinx, Inc.		5,064,392
				34,855,127
		Telecommunications Equipment and Services — 7.1%
	309,600	Corning, Inc.		7,136,280
	25,780	Millicom International Cellular SA (Luxembourg)		2,668,230
	225,490	QUALCOMM, Inc.		10,004,991
	84,000	SBA Communications Corp. — Class A*		3,024,840
				22,834,341
		Toys — 1.3%
	60,800	Nintendo Company, Ltd. (ADR) (Japan)		4,298,560
		Utilities — 1.1%
	416,000	Dynegy, Inc. — Class A*		3,556,800
		Total Common Stocks (Cost $302,152,026)		323,579,334
Principal			Value
		Securities Lending Collateral — 8.2%
$	26,436,664	Securities Lending Collateral Investment (Note 4) (Cost $26,436,664)	$	26,436,664
		Total Securities (Cost $328,588,690)		350,015,998
		Repurchase Agreements — 0.3%
	1,097,615	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $1,097,647 (Collateralized by Federal Home Loan Bank, 2.56%, due 11/19/08, with a value of $1,264,063) (Cost $1,097,615)		1,097,615
		Total Investments — 108.8% (Cost $329,686,305)		351,113,613
		Liabilities less other assets — (8.8)%		(28,441,784	)
		Net Assets — 100.0%	$	322,671,829

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $329,686,305.

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

Gross unrealized appreciation	$	35,031,621
Gross unrealized depreciation		(13,604,313	)
Net unrealized appreciation	$	21,427,308

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

96

MID VALUE PORTFOLIO
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 94.2%
		Advertising — 1.1%
	142,999	Interpublic Group of Companies, Inc. (The)*	$	1,229,791
	196,500	Omnicom Group, Inc.		8,818,920
				10,048,711
		Aerospace and Defense — 1.5%
	272,305	Goodrich Corp.		12,923,596
	37,490	Spirit AeroSystems Holdings, Inc. — Class A*		719,058
				13,642,654
		Airlines — 0.3%
	35,700	Alaska Air Group, Inc.*		547,638
	71,701	AMR Corp.*(8)		367,109
	35,455	Continental Airlines, Inc. — Class B*		358,450
	60,049	Delta Air Lines, Inc.*(8)		342,279
	121,900	ExpressJet Holdings, Inc.*(8)		67,045
	53,867	Northwest Airlines*		358,754
	25,380	UAL Corp.(8)		132,484
	66,170	US Airways Group, Inc.*		165,425
				2,339,184
		Apparel: Manufacturing and Retail — 1.4%
	60,100	Cato Corp. (The) — Class A		855,824
	198,100	Coach, Inc.*		5,721,128
	74,500	Foot Locker, Inc.		927,525
	114,000	Jones Apparel Group, Inc.		1,567,500
	43,740	Liz Claiborne, Inc.		618,921
	16,801	Nordstrom, Inc.(8)		509,070
	36,132	VF Corp.		2,571,876
				12,771,844
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 3.9%
	83,200	American Axle & Manufacturing Holdings, Inc.		664,768
	203,873	ArvinMeritor, Inc.(8)		2,544,335
	52,900	Autoliv, Inc.		2,466,198
	1,006,398	Ford Motor Company*(8)		4,840,775
	79,425	General Motors Corp.(8)		913,388
	191,487	Genuine Parts Company		7,598,204
	65,000	Harley-Davidson, Inc.(8)		2,356,900
	16,756	Johnson Controls, Inc.		480,562
	9,557	Magna International, Inc. — Class A (Canada)		566,157
	168,200	Oshkosh Truck Corp.(8)		3,480,058
	7,700	TravelCenters of America LLC*		17,479
	207,800	WABCO Holdings, Inc.		9,654,387
				35,583,211
		Banks and Financial Services — 6.8%
	164,800	Advance America Cash Advance Centers, Inc.		837,184
	54,600	Advanta Corp. — Class B		343,434
	80,700	AmeriCredit Corp.*(8)		695,634
	106,400	Banco Latinoamericano de Exportaciones, SA — Class E (Panama)		1,722,616
	266,950	Bank of New York Mellon Corp.		10,098,719
	96,000	CIT Group, Inc.(8)		653,760
	32,700	City Holding Company		1,333,179
	175,000	Colonial BancGroup, Inc. (The)(8)		773,500
	109,300	Comerica, Inc.		2,801,359
	75,448	Friedman, Billings, Ramsey Group, Inc. — Class A		113,172
	272,800	Hudson City Bancorp, Inc.		4,550,304
	185,700	Huntington Bancshares, Inc.(8)		1,071,489
	352,987	Invesco, Ltd. (Bermuda)		8,464,628
	125,100	KeyCorp(8)		1,373,598
	661,649	People’s United Financial, Inc.		10,321,724
	108,100	PNC Financial Services Group, Inc.		6,172,510
	44,500	Provident Bankshares Corp.(8)		283,910
	67,779	Regions Financial Corp.(8)		739,469
	227,800	UnionBanCal Corp.		9,207,676
				61,557,865
		Broadcast Services/Media — 0.2%
	79,800	Belo Corp.		583,338
	55,300	CBS Corp. — Class B		1,077,797
	166,400	Westwood One, Inc.*		206,336
				1,867,471
		Business Services and Supplies — 4.4%
	132,600	Alliance Data Systems Corp.*		7,498,530
	34,584	Deluxe Corp.		616,287
	118,922	Dun & Bradstreet Corp.		10,422,324
	169,400	Fidelity National Information Services, Inc.		6,252,554
	75,400	Kelly Services, Inc. — Class A		1,457,482

See notes to financial statements.

97

MID VALUE PORTFOLIO
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Business Services and Supplies (continued)
	195,550	Manpower, Inc.	$	11,388,832
	85,952	Ritchie Brothers Auctioneers, Inc. (Canada)		2,331,878
				39,967,887
		Chemicals — 3.1%
	92,688	Eastman Chemical Company		6,382,495
	104,850	Lubrizol Corp. (The)		4,857,701
	35,700	NewMarket Corp.		2,364,411
	146,500	PolyOne Corp.*		1,021,105
	100,329	PPG Industries, Inc.		5,755,875
	83,200	Rohm and Haas Company		3,863,808
	60,100	Sensient Technologies Corp.		1,692,416
	57,100	Spartech Corp.		538,453
	63,400	Valspar Corp. (The)		1,198,894
				27,675,158
		Computer Equipment, Software and Services — 5.1%
	577,400	3Com Corp.*		1,224,088
	65,681	BMC Software, Inc.*		2,364,516
	278,101	Computer Sciences Corp.*		13,026,250
	94,800	Electronic Arts, Inc.*		4,211,964
	98,420	Electronic Data Systems Corp.		2,425,069
	81,600	Lexmark International, Inc. — Class A*		2,727,888
	474,350	Parametric Technology Corp.*		7,907,415
	179,400	Seagate Technology (Cayman Islands)		3,431,922
	122,500	Sun Microsystems, Inc.*		1,332,800
	240,200	Teradata Corp.*		5,558,228
	60,000	Western Digital Corp.*(8)		2,071,800
				46,281,940
		Construction Services and Supplies — 0.8%
	12,260	Centex Corp.		163,916
	46,732	Chicago Bridge & Iron Company NV (the Netherlands)(8)		1,860,868
	19,272	DR Horton, Inc.		209,101
	11,512	Insituform Technologies, Inc. — Class A*(8)		175,328
	11,965	KB HOME(8)		202,567
	72,300	Lennox International, Inc.		2,093,809
	118,600	Masco Corp.		1,865,579
	16,929	Pulte Homes, Inc.(8)		163,026
	25,713	USG Corp.*(8)		760,333
				7,494,527
		Consumer Goods and Services — 1.9%
	59,400	American Greetings Corp. — Class A		732,996
	45,000	Black & Decker Corp. (The)(8)		2,587,950
	55,900	Blyth, Inc.		672,477
	62,000	Eastman Kodak Company(8)		894,660
	69,800	Ethan Allen Interiors, Inc.(8)		1,717,080
	75,528	Lorillard, Inc.*		5,223,516
	17,158	Mohawk Industries, Inc.*(8)		1,099,828
	28,600	Tupperware Brands Corp.		978,692
	57,141	Whirlpool Corp.(8)		3,527,314
				17,434,513
		Containers and Packaging — 1.2%
	55,500	Bemis Company, Inc.(8)		1,244,310
	324,300	Pactiv Corp.*		6,884,889
	77,700	Sonoco Products Company		2,404,815
				10,534,014
		Diversified Operations and Services — 1.1%
	36,261	McDermott International, Inc. (Panama)*		2,244,193
	167,047	Textron, Inc.		8,006,563
				10,250,756
		Electronics — 2.8%
	187,000	Amphenol Corp. — Class A		8,392,559
	171,300	Avnet, Inc.*		4,673,064
	242,502	Celestica, Inc. (Canada)*		2,044,292
	219,544	Flextronics International, Ltd. (Singapore)*		2,063,714
	335,200	Sanmina-SCI Corp.*		429,056
	55,600	Technitrol, Inc.		944,644
	164,750	Tyco Electronics, Ltd. (Bermuda)		5,901,345
	99,500	Vishay Intertechnology, Inc.*		882,565
				25,331,239
		Engineering — 0.4%
	9,939	Fluor Corp.		1,849,448
	9,030	Foster Wheeler, Ltd. (Bermuda)*		660,545
	7,007	Jacobs Engineering Group, Inc.*		565,465
	17,568	KBR, Inc.		613,299
				3,688,757
		Equipment Rental and Leasing — 0.1%
	50,300	United Rentals North America, Inc.*(8)		986,383

See notes to financial statements.

98

MID VALUE PORTFOLIO
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Food and Beverage—3.8%
	63,350	Brown-Forman Corp. — Class B(8)	$	4,787,360
	210,500	Campbell Soup Company		7,043,329
	140,600	ConAgra Foods, Inc.		2,710,768
	130,200	Del Monte Foods Company		924,420
	141,200	HJ Heinz Company		6,756,420
	178,450	McCormick & Company, Inc.		6,363,527
	95,600	Pepsi Bottling Group, Inc. (The)		2,669,152
	40,689	Reddy Ice Holdings, Inc.(8)		556,626
	27,900	Sanderson Farms, Inc.(8)		963,108
	800	Seaboard Corp.		1,240,800
				34,015,510
		Insurance — 7.3%
	33,525	Ace, Ltd. (Cayman Islands)		1,846,892
	78,700	American Financial Group, Inc.		2,105,225
	98,048	Aon Corp.		4,504,325
	109,200	Aspen Insurance Holdings, Ltd. (Bermuda)		2,584,764
	14,651	Assurant, Inc.		966,380
	66,253	Axis Capital Holdings, Ltd. (Bermuda)		1,975,002
	31,800	CIGNA Corp.		1,125,402
	64,680	Cincinnati Financial Corp.		1,642,872
	95,637	Everest Re Group, Ltd. (Bermuda)		7,623,225
	142,300	Genworth Financial, Inc. — Class A		2,534,363
	70,100	Horace Mann Educators Corp.		982,802
	104,900	IPC Holdings, Ltd. (Bermuda)		2,785,095
	213,600	Lincoln National Corp.		9,680,352
	19,155	Loews Corp.		898,369
	295,856	Marsh & McLennan Companies, Inc.		7,854,977
	56,300	MGIC Investment Corp.(8)		343,993
	92,000	Nationwide Financial Services, Inc. — Class A		4,416,920
	98,727	PartnerRe, Ltd. (Bermuda)		6,824,998
	41,700	Unitrin, Inc.		1,149,669
	38,206	Willis Group Holdings, Ltd. (Bermuda)		1,198,522
	141,573	XL Capital, Ltd. — Class A (Cayman Islands)(8)		2,910,741
				65,954,888
		Internet Services — 0.2%
	58,286	McAfee, Inc.*		1,983,473
		Leisure and Recreation — 0.6%
	84,595	National CineMedia, Inc.		901,783
	114,562	Regal Entertainment Group — Class A(8)		1,750,507
	126,835	Royal Caribbean Cruises, Ltd. (Liberia)(8)		2,849,983
				5,502,273
		Machinery — 0.9%
	26,283	AGCO Corp.*(8)		1,377,492
	24,304	Cummins, Inc.		1,592,398
	58,852	Manitowoc Company, Inc. (The)		1,914,456
	24,697	Rockwell Automation, Inc.		1,080,000
	34,055	Terex Corp.*		1,749,405
				7,713,751
		Manufacturing — 5.7%
	61,000	American Woodmark Corp.(8)		1,288,930
	78,671	AO Smith Corp.		2,582,769
	183,100	Carlisle Companies, Inc.		5,309,900
	63,123	Cooper Industries, Ltd. — Class A (Bermuda)		2,493,359
	39,900	Crane Company		1,537,347
	63,821	Eaton Corp.		5,422,870
	42,200	EnPro Industries, Inc.*		1,575,748
	335,266	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)		12,549,006
	86,300	Leggett & Platt, Inc.(8)		1,447,251
	48,800	Mueller Industries, Inc.		1,571,360
	77,228	Parker Hannifin Corp.		5,507,901
	91,850	Precision Castparts Corp.		8,851,585
	83,400	Tredegar Corp.		1,225,980
				51,364,006
		Medical Equipment, Supplies, and Services — 2.5%
	35,900	Apria Healthcare Group, Inc.*		696,101
	107,250	CR Bard, Inc.		9,432,638
	283,000	Hologic, Inc.*		6,169,400
	31,400	Kindred Healthcare, Inc.*		903,064
	14,419	McKesson Corp.		806,166
	48,000	Millipore Corp.*		3,257,280
	23,000	Universal Health Services, Inc. — Class B		1,454,060
				22,718,709

See notes to financial statements.

99

MID VALUE PORTFOLIO
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Metals and Mining — 0.9%
	22,864	Freeport-McMoRan Copper & Gold, Inc.	$	2,679,432
	63,752	Nucor Corp.		4,760,362
	16,670	Timken Company (The)		549,110
				7,988,904
		Office Equipment, Supplies, and Services — 0.5%
	99,900	IKON Office Solutions, Inc.		1,126,872
	15,171	Pitney Bowes, Inc.(8)		517,331
	173,100	Steelcase, Inc. — Class A(8)		1,736,193
	104,300	Xerox Corp.		1,414,308
				4,794,704
		Oil, Coal and Gas — 11.3%
	274,207	BJ Services Company		8,758,172
	56,006	Cameron International Corp.*		3,099,932
	22,876	Chesapeake Energy Corp.		1,508,901
	32,800	Cimarex Energy Company		2,285,176
	134,442	El Paso Corp.		2,922,769
	77,464	Enbridge, Inc. (Canada)(8)		3,344,896
	62,227	ENSCO International, Inc.		5,024,208
	173,300	Equitable Resources, Inc.		11,968,098
	7,822	Frontier Oil Corp.		187,024
	10,967	Hess Corp.		1,383,926
	50,800	Holly Corp.		1,875,536
	97,200	Marathon Oil Corp.		5,041,764
	23,380	Nabors Industries, Ltd. (Bermuda)*(8)		1,150,997
	14,726	National-Oilwell Varco, Inc.*		1,306,491
	59,256	Newfield Exploration Company*		3,866,454
	153,800	ONEOK, Inc.		7,510,054
	156,400	Patterson-UTI Energy, Inc.		5,636,656
	52,522	Pioneer Natural Resources Company		4,111,422
	229,432	Questar Corp.		16,298,849
	20,060	Smith International, Inc.		1,667,788
	53,320	Southwestern Energy Company*		2,538,565
	88,476	Sunoco, Inc.		3,600,088
	33,000	Swift Energy Company*		2,179,980
	17,653	Tesoro Corp.(8)		349,000
	14,999	Transocean, Inc. (Cayman Islands)*		2,285,698
	4,109	Ultra Petroleum Corp. (Canada)*		403,504
	65,082	Weatherford International, Ltd. (Bermuda)*		3,227,416
				103,533,364
		Paper and Forest Products — 0.5%
	99,600	International Paper Company		2,320,680
	76,441	MeadWestvaco Corp.		1,822,353
				4,143,033
		Pharmaceuticals/Research and Development — 1.0%
	56,800	Forest Laboratories, Inc.*		1,973,232
	14,192	Hospira, Inc.*		569,241
	274,807	King Pharmaceuticals, Inc.*		2,877,229
	271,844	Mylan, Inc.*(8)		3,281,157
				8,700,859
		Printing and Publishing — 0.4%
	7,280	AH Belo Corp. — Class A		41,496
	80,000	Gannett Company, Inc.(8)		1,733,600
	49,800	Scholastic Corp.*		1,427,268
				3,202,364
		Real Estate Development and Services — 0.1%
	24,065	St. Joe Company (The)(8)		825,911
		Real Estate Investment Trusts — 2.0%
	210,000	Anthracite Capital, Inc.(8)		1,478,400
	6,287	Boston Properties, Inc.		567,213
	36,100	Capital Trust, Inc. — Class A(8)		693,481
	46,260	Equity Residential(8)		1,770,370
	97,500	Hospitality Properties Trust		2,384,850
	169,400	HRPT Properties Trust		1,146,838
	185,750	iStar Financial, Inc.(8)		2,453,758
	128,200	Medical Properties Trust, Inc.(8)		1,297,384
	47,300	National Health Investors, Inc.		1,348,523
	38,998	RAIT Investment Trust(8)		289,365
	40,777	Rayonier, Inc.		1,731,391
	19,311	Simon Property Group, Inc.		1,735,866
	90,200	Sunstone Hotel Investors, Inc.(8)		1,497,320
				18,394,759
		Retail — 3.0%
	65,800	Barnes & Noble, Inc.(8)		1,634,472
	48,501	Bed Bath & Beyond, Inc.*		1,362,878
	31,805	Bon-Ton Stores, Inc. (The)(8)		166,022
	61,000	Borders Group, Inc.(8)		366,000
	280,100	Dollar Tree, Inc.*		9,156,470
	131,560	Family Dollar Stores, Inc.(8)		2,623,306
	210,666	JC Penney Company, Inc.		7,645,069

See notes to financial statements.

100

MID VALUE PORTFOLIO
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Retail (continued)
	54,179	Kohl’s Corp.*	$	2,169,327
	104,286	Macy’s, Inc.		2,025,234
				27,148,778
		Retail: Restaurants — 0.3%
	56,700	Brinker International, Inc.		1,071,630
	43,000	Darden Restaurants, Inc.		1,373,420
	110,900	Ruby Tuesday, Inc.		598,860
				3,043,910
		Retail: Supermarkets — 0.5%
	55,700	Kroger Company (The)		1,608,059
	83,500	SUPERVALU, Inc.		2,579,315
				4,187,374
		Rubber Products — 0.2%
	88,018	Goodyear Tire & Rubber Company (The)*		1,569,361
		Scientific and Technical Instruments — 0.4%
	68,238	Agilent Technologies, Inc.*		2,425,179
	40,100	Cymer, Inc.*(8)		1,077,888
				3,503,067
		Semiconductors — 2.3%
	61,835	Intersil Corp. — Class A(8)		1,503,827
	1,467,509	LSI Corp.*(8)		9,010,505
	90,864	Maxim Integrated Products, Inc.		1,921,774
	62,398	Microchip Technology, Inc.		1,905,635
	237,220	Micron Technology, Inc.*		1,423,320
	74,700	MKS Instruments, Inc.*		1,635,930
	94,297	National Semiconductor Corp.		1,936,860
	55,100	Novellus Systems, Inc.*		1,167,569
				20,505,420
		Telecommunications Equipment and Services — 0.7%
	86,502	CenturyTel, Inc.		3,078,606
	278,609	Qwest Communications International, Inc.(8)		1,094,933
	183,570	Tellabs, Inc.*		853,601
	109,881	Windstream Corp.		1,355,932
				6,383,072
		Tools — 0.3%
	66,242	Stanley Works (The)		2,969,629
		Toys — 1.6%
	93,274	Hasbro, Inc.		3,331,747
	674,900	Mattel, Inc.		11,554,288
				14,886,035
		Transportation — 1.7%
	31,300	Arkansas Best Corp.(8)		1,146,832
	54,679	CSX Corp.		3,434,388
	34,800	GATX Corp.		1,542,684
	76,973	Kansas City Southern*		3,386,042
	39,800	Overseas Shipholding Group, Inc.(8)		3,164,896
	105,550	Pacer International, Inc.		2,270,381
	57,500	YRC Worldwide, Inc.*(8)		855,025
				15,800,248
		Utilities — 9.4%
	54,700	AGL Resources, Inc.		1,891,526
	192,000	Allegheny Energy, Inc.		9,621,120
	65,300	Alliant Energy Corp.		2,237,178
	68,200	American Electric Power Company, Inc.		2,743,686
	605,700	CMS Energy Corp.(8)		9,024,930
	13,941	Consolidated Edison, Inc.		544,954
	67,568	DTE Energy Company		2,867,586
	33,106	Energy East Corp.		818,380
	16,582	Mirant Corp.*(8)		649,185
	151,454	NiSource, Inc.(8)		2,714,056
	100,584	Pinnacle West Capital Corp.		3,094,970
	290,000	PPL Corp.		15,158,300
	24,800	Progress Energy, Inc.		1,037,384
	135,900	Puget Energy, Inc.(8)		3,260,241
	56,300	SCANA Corp.		2,083,100
	272,957	Sempra Energy(8)		15,408,422
	65,100	TECO Energy, Inc.		1,398,999
	86,300	Westar Energy, Inc.		1,856,313
	135,600	Wisconsin Energy Corp.		6,131,832
	179,800	Xcel Energy, Inc.		3,608,586
				86,150,748
		Total Common Stocks (Cost $965,949,097)		854,440,264
Principal
		Convertible Bonds — 0.0%
		Telecommunications Equipment and Services
$	251,000	Qwest Communications International, Inc., 3.50%, 11/15/25 (Cost $389,517)		248,176

See notes to financial statements.

101

MID VALUE PORTFOLIO
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value
		Securities Lending Collateral — 12.0%
$	108,833,998	Securities Lending Collateral Investment (Note 4) (Cost $108,833,998)	$	108,833,998
		Total Securities (Cost $1,075,172,612)		963,522,438
		Repurchase Agreements — 5.4%
	48,787,633	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $48,789,056 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 2.83%-5.09%, due 11/01/35-12/25/35, with a total value of $49,768,488) (Cost $48,787,633)		48,787,633
		Total Investments — 111.6% (Cost $1,123,960,245)		1,012,310,071
		Liabilities less other assets — (11.6)%		(105,246,910	)
		Net Assets — 100.0%	$	907,063,161

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $1,123,960,245.

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

Gross unrealized appreciation	$	57,797,503
Gross unrealized depreciation		(169,447,677	)
Net unrealized depreciation	$	(111,650,174	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

102

MID GROWTH PORTFOLIO
(FORMERLY, MID-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 96.5%
		Advertising — 1.3%
	549,000	Interpublic Group of Companies, Inc. (The)*	$	4,721,400
		Apparel: Manufacturing and Retail — 4.1%
	255,935	Urban Outfitters, Inc.*(8)		7,982,613
	157,000	Warnaco Group, Inc. (The)*		6,918,990
				14,901,603
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 3.0%
	152,000	Advance Auto Parts, Inc.		5,902,160
	117,270	BorgWarner, Inc.(8)		5,204,443
				11,106,603
		Banks and Financial Services — 4.6%
	28,205	BlackRock, Inc.(8)		4,992,285
	354,170	Hudson City Bancorp, Inc.		5,907,556
	85,000	Northern Trust Corp.		5,828,450
				16,728,291
		Broadcast Services/Media — 1.7%
	158,150	Dolby Laboratories, Inc. — Class A*		6,373,445
		Business Services and Supplies — 1.8%
	96,257	FTI Consulting, Inc.*(8)		6,589,754
		Chemicals — 1.0%
	81,000	Celanese Corp. — Series A		3,698,460
		Commercial Services — 2.8%
	305,735	Quanta Services, Inc.*(8)		10,171,803
		Computer Equipment, Software and Services — 6.6%
	322,345	Activision, Inc.		10,982,294
	141,000	Cognizant Technology Solutions Corp. — Class A*		4,583,910
	129,045	Salesforce.com, Inc.*(8)		8,804,740
				24,370,944
		Consumer Goods and Services — 4.0%
	129,360	Church & Dwight Company, Inc.		7,289,436
	211,000	Tupperware Brands Corp.		7,220,420
				14,509,856
		Containers and Packaging — 3.4%
	140,000	Ball Corp.		6,683,600
	140,210	Owens-Illinois, Inc.*		5,845,355
				12,528,955
		Diversified Operations and Services — 1.2%
	71,095	McDermott International, Inc. (Panama)*		4,400,070
		Energy Services — 1.2%
	16,255	First Solar, Inc.*(8)		4,434,689
		Environmental Waste Management and Recycling Services — 2.3%
	159,835	Stericycle, Inc.*		8,263,470
		Food and Beverage — 2.8%
	191,815	Molson Coors Brewing Company — Class B		10,421,309
		Insurance — 1.5%
	82,820	Assurant, Inc.		5,462,807
		Internet Services — 4.4%
	51,000	Equinix, Inc.*(8)		4,550,220
	231,000	F5 Networks, Inc.*		6,565,020
	128,000	VeriSign, Inc.*		4,838,400
				15,953,640
		Machinery — 4.3%
	110,000	Cummins, Inc.		7,207,200
	110,750	Joy Global, Inc.		8,398,173
				15,605,373
		Manufacturing — 4.6%
	114,000	AMETEK, Inc.		5,383,080
	87,718	SPX Corp.		11,555,092
				16,938,172
		Medical Equipment, Supplies, and Services — 4.7%
	78,000	Edwards Lifesciences Corp.*		4,839,120
	27,785	Intuitive Surgical, Inc.*		7,485,278
	101,460	Varian Medical Systems, Inc.*		5,260,701
				17,585,099
		Oil, Coal and Gas — 16.5%
	53,000	Arch Coal, Inc.		3,976,590
	111,000	Cabot Oil & Gas Corp.		7,518,030
	174,995	Cameron International Corp.*		9,685,972
	98,693	EXCO Resources, Inc.*		3,642,759
	139,000	Nabors Industries, Ltd. (Bermuda)*		6,842,970
	129,135	Noble Corp. (Cayman Islands)		8,388,610
	136,000	Petrohawk Energy Corp.*		6,298,160
	87,000	Rowan Companies, Inc.(8)		4,067,250
	99,435	SandRidge Energy, Inc.*		6,421,512

See notes to financial statements.

103

MID GROWTH PORTFOLIO
(FORMERLY, MID-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Oil, Coal and Gas (continued)
	84,480	Southwestern Energy Company*	$	4,022,093
				60,863,946
		Pharmaceuticals/Research and Development — 3.1%
	83,000	Barr Pharmaceuticals, Inc.*		3,741,640
	147,925	BioMarin Pharmaceutical, Inc.*		4,286,867
	52,910	Express Scripts, Inc.*		3,318,515
				11,347,022
		Retail: Restaurants — 2.9%
	243,691	Burger King Holdings, Inc.		6,528,482
	87,000	Panera Bread Company — Class A*(8)		4,024,620
				10,553,102
		Scientific and Technical Instruments — 2.0%
	37,090	Mettler-Toledo International, Inc.*		3,518,357
	66,635	Thermo Fisher Scientific, Inc.*		3,713,569
				7,231,926
		Semiconductors — 3.7%
	570,000	Marvell Technology Group, Ltd. (Bermuda)*		10,066,200
	111,000	Microchip Technology, Inc.(8)		3,389,940
				13,456,140
		Telecommunications Equipment and Services — 2.1%
	178,826	American Tower Corp. — Class A*		7,555,399
		Toys — 2.0%
	206,000	Hasbro, Inc.		7,358,320
		Transportation — 2.9%
	77,000	CSX Corp.		4,836,370
	175,000	JB Hunt Transport Services, Inc.(8)		5,824,000
				10,660,370
		Total Common Stocks (Cost $319,302,208)		353,791,968
Principal
		Securities Lending Collateral — 11.0%
$	40,244,756	Securities Lending Collateral Investment (Note 4) (Cost $40,244,756)		40,244,756
		Total Securities (Cost $359,546,964)		394,036,724
		Repurchase Agreements — 4.3%
	15,758,106	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $15,758,566 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 2.78%-2.88%, due 08/25/36-10/25/36, with a total value of $7,175,828 and various Freddie Mac Adjustable Rate Mortgages, 2.77%-5.82%, due 08/15/36-10/01/36, with a total value of $8,900,513) (Cost $15,758,106)		15,758,106
		Total Investments — 111.8% (Cost $375,305,070)		409,794,830
		Liabilities less other assets — (11.8)%		(43,389,714	)
		Net Assets — 100.0%	$	366,405,116

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $375,305,070.

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

Gross unrealized appreciation	$	46,620,403
Gross unrealized depreciation		(12,130,643	)
Net unrealized appreciation	$	34,489,760

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

104

SMALL VALUE PORTFOLIO
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 96.4%
		Advertising — 1.5%
	89,689	Getty Images, Inc.*	$	3,043,148
	43,400	RH Donnelley Corp.*(8)		130,200
				3,173,348
		Aerospace and Defense — 1.2%
	11,900	AAR Corp.*		161,007
	93,730	Ducommun, Inc.*		2,152,041
	8,500	Kaman Corp.		193,460
				2,506,508
		Agriculture — 0.4%
	5,600	CF Industries Holdings, Inc.		855,680
		Airlines — 0.2%
	23,700	Republic Airways Holdings, Inc.*		205,242
	12,400	SkyWest, Inc.		156,860
				362,102
		Apparel: Manufacturing and Retail — 2.5%
	48,000	Collective Brands, Inc.*		558,240
	14,300	Genesco, Inc.*		441,441
	130,762	Jos A Bank Clothiers, Inc.*(8)		3,497,884
	59,100	Talbots, Inc. (The)(8)		684,969
				5,182,534
		Automobile: Retail — 0.5%
	43,563	Asbury Automotive Group, Inc.		559,785
	42,900	Sonic Automotive, Inc. — Class A		552,981
				1,112,766
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 3.5%
	61,911	BorgWarner, Inc.		2,747,611
	23,300	Lear Corp.*		330,394
	63,992	Oshkosh Truck Corp.(8)		1,323,994
	11,300	Polaris Industries, Inc.(8)		456,294
	319,626	Spartan Motors, Inc.(8)		2,387,606
	8,400	Tenneco, Inc.*		113,652
				7,359,551
		Banks and Financial Services — 13.0%
	230,048	Brookline Bancorp, Inc.		2,196,958
	136,745	Calamos Asset Management, Inc. — Class A		2,328,767
	9,300	Cathay General Bancorp(8)		101,091
	18,800	City Bank(8)		161,680
	7,400	Columbia Banking System, Inc.		143,042
	20,100	Community Trust Bancorp, Inc.		527,826
	40,800	FNB Corp.		480,624
	18,000	First Busey Corp.(8)		237,960
	309,755	First Commonwealth Financial Corp.(8)		2,890,014
	56,500	First Financial Bancorp(8)		519,800
	29,100	First Merchants Corp.		528,165
	28,300	FirstMerit Corp.		461,573
	55,300	Flagstar Bancorp, Inc.(8)		166,453
	19,600	Greene Bancshares, Inc.(8)		274,792
	8,100	Hancock Holding Company(8)		318,249
	41,600	Lakeland Bancorp, Inc.		506,688
	9,125	National Financial Partners Corp.(8)		180,858
	23,100	Old Second Bancorp, Inc.(8)		268,422
	30,800	Oriental Financial Group, Inc. — Puerto Rico		439,208
	25,800	Pacific Capital Bancorp(8)		355,524
	7,600	Park National Corp.(8)		409,640
	25,200	Prosperity Bancshares, Inc.		673,596
	31,000	Provident Bankshares Corp.		197,780
	19,500	S&T Bancorp, Inc.(8)		566,670
	120,939	Sandy Spring Bancorp, Inc.(8)		2,005,169
	10,815	Southside Bancshares, Inc.(8)		199,429
	38,900	Sterling Bancorp — New York		464,855
	40,200	Susquehanna Bancshares, Inc.		550,338
	174,268	SWS Group, Inc.		2,894,590
	28,100	Texas Capital Bancshares, Inc.*		449,600
	17,600	Trustmark Corp.(8)		310,640
	15,182	UMB Financial Corp.		778,381
	112,711	Washington Federal, Inc.		2,040,069
	12,300	Westamerica Bancorp(8)		646,857
	105,696	Whitney Holding Corp.		1,934,237
	6,000	WSFS Financial Corp.		267,600
				27,477,145
		Broadcast Services/Media — 0.5%
	59,700	Entercom Communications Corp. — Class A(8)		419,094
	76,200	Sinclair Broadcast Group, Inc. — Class A(8)		579,120
				998,214
		Business Services and Supplies — 0.5%
	17,300	Deluxe Corp.		308,286
	4,900	MAXIMUS, Inc.(8)		170,618
	63,000	MPS Group, Inc.*		669,690
				1,148,594

See notes to financial statements.

105

SMALL VALUE PORTFOLIO
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Chemicals — 1.3%
	34,000	A Schulman, Inc.	$	783,020
	7,500	Compass Minerals International, Inc.		604,200
	18,800	Ferro Corp.		352,688
	6,600	Minerals Technologies, Inc.		419,694
	4,000	Olin Corp.		104,720
	8,200	OM Group, Inc.*		268,878
	38,700	PolyOne Corp.*		269,739
				2,802,939
		Commercial Services — 0.3%
	9,700	Providence Service Corp.*		204,767
	10,200	TNS, Inc.*		244,392
	14,200	Volt Information Sciences, Inc.*		169,122
				618,281
		Computer Equipment, Software and Services — 4.6%
	26,413	Black Box Corp.		718,169
	15,574	CACI International, Inc. — Class A*		712,822
	16,500	Checkpoint Systems, Inc.*		344,520
	79,800	CIBER, Inc.*		495,558
	217,283	Digi International, Inc.*		1,705,672
	17,100	Imation Corp.		391,932
	61,500	Insight Enterprises, Inc.*		721,395
	17,100	Jack Henry & Associates, Inc.		370,044
	81,607	MTS Systems Corp.		2,928,059
	94,300	Silicon Storage Technology, Inc.*		261,211
	23,193	Sybase, Inc.*(8)		682,338
	11,800	SYNNEX Corp.*		296,062
				9,627,782
		Construction Services and Supplies — 1.8%
	62,200	Comfort Systems USA, Inc.		835,968
	13,600	Perini Corp.*		449,480
	86,168	Universal Forest Products, Inc.		2,581,593
				3,867,041
		Consumer Goods and Services — 2.0%
	23,900	American Greetings Corp. — Class A		294,926
	25,532	G & K Services, Inc. — Class A		777,705
	167,834	Helen Of Troy, Ltd. (Bermuda)*		2,705,484
	12,200	Hooker Furniture Corp.		211,304
	6,525	Regis Corp.		171,934
				4,161,353
		Diversified Operations and Services — 1.3%
	56,615	ESCO Technologies, Inc.*(8)		2,656,376
		Electronics — 1.2%
	20,200	Advanced Energy Industries, Inc.*		276,740
	47,400	Applied Micro Circuits Corp.*		405,744
	21,600	Benchmark Electronics, Inc.*		352,944
	46,469	CTS Corp.		467,013
	11,700	Multi-Fineline Electronix, Inc.*(8)		323,739
	5,600	Rogers Corp.*		210,504
	427,900	Sanmina-SCI Corp.*		547,712
				2,584,396
		Engineering — 1.7%
	125,968	EMCOR Group, Inc.*		3,593,867
		Environmental Waste Management and Recycling Services — 0.2%
	6,100	Casella Waste Systems, Inc.*		74,359
	53,100	Waste Services, Inc.*		373,824
				448,183
		Equipment Rental and Leasing — 0.1%
	6,000	AMERCO*(8)		286,080
		Food and Beverage — 1.1%
	25,600	Chiquita Brands International, Inc.*(8)		388,352
	21,500	Fresh Del Monte Produce, Inc. (Cayman Islands)*		506,755
	29,100	Hain Celestial Group, Inc. (The)*		683,268
	13,889	Ralcorp Holdings, Inc.*(8)		686,672
				2,265,047
		Funeral Services — 1.1%
	244,402	Service Corp. International		2,409,804
		Insurance — 4.6%
	12,514	American Physicians Capital, Inc.		606,178
	29,237	Aspen Insurance Holdings, Ltd. (Bermuda)		692,040
	7,000	Assured Guaranty, Ltd. (Bermuda)(8)		125,930
	26,331	Delphi Financial Group, Inc. — Class A		609,299
	21,259	FBL Financial Group, Inc. — Class A		422,629
	16,600	Harleysville Group, Inc.		561,578
	9,900	IPC Holdings, Ltd. (Bermuda)		262,845
	44,200	Meadowbrook Insurance Group, Inc.		234,260

See notes to financial statements.

106

SMALL VALUE PORTFOLIO
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Insurance (continued)
	34,211	Montpelier Re Holdings, Ltd. (Bermuda)(8)	$	504,612
	6,300	Navigators Group, Inc. (The)*		340,515
	20,637	Platinum Underwriters Holdings, Ltd. (Bermuda)		672,973
	65,175	RLI Corp.		3,224,208
	28,000	Selective Insurance Group, Inc.		525,280
	27,100	Universal American Financial Corp.*		276,962
	18,939	Zenith National Insurance Corp.		665,895
				9,725,204
		Internet Services — 0.6%
	40,200	InfoSpace, Inc.		334,866
	52,700	Ixia*		366,265
	51,845	Vignette Corp.*		622,140
				1,323,271
		Leisure and Recreation — 1.3%
	60,500	Isle of Capri Casinos, Inc.*(8)		289,795
	164,820	Marcus Corp. (The)		2,464,059
				2,753,854
		Machinery — 3.0%
	113,903	Applied Industrial Technologies, Inc.		2,753,036
	55,594	Cascade Corp.(8)		2,352,738
	18,700	Robbins & Myers, Inc.		932,569
	9,500	Tecumseh Products Company — Class A*		311,410
				6,349,753
		Manufacturing — 4.4%
	16,180	Acuity Brands, Inc.		777,934
	62,199	CIRCOR International, Inc.		3,047,130
	11,800	Coherent, Inc.*		352,702
	16,827	EnPro Industries, Inc.*		628,320
	14,500	Furniture Brands International, Inc.		193,720
	33,871	Gibraltar Industries, Inc.		540,920
	24,500	Mueller Industries, Inc.		788,900
	32,400	Tredegar Corp.		476,280
	101,637	Watts Water Technologies, Inc.(8)		2,530,761
				9,336,667
		Medical Equipment, Supplies, and Services — 4.8%
	17,023	AMERIGROUP Corp.*		354,078
	19,300	Cross Country Healthcare, Inc.*		278,113
	16,400	Invacare Corp.		335,216
	13,858	Landauer, Inc.		779,374
	72,121	Magellan Health Services, Inc.*		2,670,641
	59,130	Owens & Minor, Inc.		2,701,649
	14,200	STERIS Corp.		408,392
	159,813	Syneron Medical, Ltd. (Israel)*(8)		2,627,326
				10,154,789
		Metals and Mining — 0.8%
	5,400	Century Aluminum Company*		359,046
	9,200	Schnitzer Steel Industries, Inc. — Class A		1,054,320
	14,800	Worthington Industries, Inc.(8)		303,400
				1,716,766
		Oil, Coal and Gas — 9.0%
	33,800	Allis-Chalmers Energy, Inc.*(8)		601,640
	20,600	Alon USA Energy, Inc.(8)		246,376
	13,500	Berry Petroleum Company — Class A		794,880
	8,900	Bill Barrett Corp.*(8)		528,749
	16,400	Callon Petroleum Company*		448,704
	80,035	Frontier Oil Corp.		1,913,637
	53,139	Holly Corp.		1,961,892
	51,469	National Fuel Gas Company		3,061,376
	53,210	Penn Virginia Corp.		4,013,097
	4,100	Petrohawk Energy Corp.*		189,871
	7,900	Stone Energy Corp.*		520,689
	16,500	Swift Energy Company*		1,089,990
	13,800	Union Drilling, Inc.*		299,184
	34,300	VAALCO Energy, Inc.*		290,521
	137,588	World Fuel Services Corp.		3,018,681
				18,979,287
		Paper and Forest Products — 0.5%
	74,463	Buckeye Technologies, Inc.*		629,957
	12,800	Glatfelter		172,928
	13,700	Schweitzer-Mauduit International, Inc.		230,845
				1,033,730
		Pharmaceuticals/Research and Development — 4.1%
	31,900	Applera Corp. — Celera Group		362,384
	72,026	Exponent, Inc.*		2,262,337
	31,400	Isis Pharmaceuticals, Inc.*(8)		427,982
	178,440	Mannatech, Inc.(8)		970,714

See notes to financial statements.

107

SMALL VALUE PORTFOLIO
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)
	69,445	Perrigo Company	$	2,206,268
	55,826	West Pharmaceutical Services, Inc.		2,416,148
				8,645,833
		Real Estate Investment Trusts — 7.2%
	36,400	Anworth Mortgage Asset Corp.(8)		236,964
	89,098	Ashford Hospitality Trust		411,633
	6,800	Capital Trust, Inc. — Class A(8)		130,628
	44,900	CapLease, Inc.(8)		336,301
	15,624	Entertainment Properties Trust(8)		772,451
	20,722	First Industrial Realty Trust, Inc.(8)		569,233
	10,300	Gramercy Capital Corp.(8)		119,377
	104,117	Healthcare Realty Trust, Inc.(8)		2,474,861
	50,103	Hersha Hospitality Trust		378,278
	3,300	Highwoods Properties, Inc.		103,686
	25,147	LaSalle Hotel Properties		631,944
	46,600	Lexington Realty Trust(8)		635,158
	109,471	National Retail Properties, Inc.(8)		2,287,944
	24,000	Pennsylvania Real Estate Investment Trust		555,360
	59,867	Rayonier, Inc.		2,541,953
	19,344	Realty Income Corp.(8)		440,269
	8,000	Senior Housing Properties Trust		156,240
	45,606	Sovran Self Storage, Inc.(8)		1,895,385
	29,878	Sunstone Hotel Investors, Inc.(8)		495,975
				15,173,640
		Registered Investment Companies — 0.1%
	35,200	MCG Capital Corp.(8)		140,096
		Retail — 2.0%
	185,300	Blockbuster, Inc. — Class A*(8)		463,250
	31,439	Casey’s General Stores, Inc.		728,442
	205,438	EZCORP, Inc. — Class A*		2,619,334
	17,300	Movado Group, Inc.		342,540
				4,153,566
		Retail: Restaurants — 0.7%
	18,000	Bob Evans Farms, Inc.		514,800
	24,200	CBRL Group, Inc.(8)		593,142
	20,786	Jack in the Box, Inc.*		465,814
				1,573,756
		Retail: Supermarkets — 1.8%
	24,700	Ruddick Corp.		847,457
	89,531	Weis Markets, Inc.		2,907,072
				3,754,529
		Scientific and Technical Instruments — 0.3%
	14,062	Varian, Inc.*		718,006
		Semiconductors — 2.1%
	10,700	Actel Corp.*		180,295
	44,500	Amkor Technology, Inc.*		463,245
	193,424	OmniVision Technologies, Inc.*(8)		2,338,496
	47,100	Silicon Image, Inc.*		341,475
	131,000	TriQuint Semiconductor, Inc.*		793,860
	26,100	Veeco Instruments, Inc.*		419,688
				4,537,059
		Sporting Goods and Equipment — 0.2%
	30,600	Callaway Golf Company		361,998
		Telecommunications Equipment and Services — 1.1%
	20,932	Atlantic Tele-Network, Inc.		575,839
	112,900	Cincinnati Bell, Inc.*		449,342
	10,600	Consolidated Communications Holdings, Inc.		157,834
	79,900	Powerwave Technologies, Inc.*		339,575
	27,100	Premiere Global Services, Inc.*		395,118
	101,900	RF Micro Devices, Inc.*		295,510
	3,300	SeaChange International, Inc.*		23,628
	10,200	tw Telecom, Inc.*		163,506
				2,400,352
		Transportation — 3.5%
	105,584	Arkansas Best Corp.(8)		3,868,597
	11,955	Pacer International, Inc.		257,152
	49,252	Tidewater, Inc.(8)		3,202,858
	8,300	Werner Enterprises, Inc.(8)		154,214
				7,482,821
		Utilities — 3.8%
	72,976	American States Water Company		2,549,781
	24,100	Avista Corp.		517,186
	20,400	California Water Service Group(8)		668,508
	19,000	CH Energy Group, Inc.		675,830

See notes to financial statements.

108

SMALL VALUE PORTFOLIO
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Utilities (continued)
	21,300	Laclede Group, Inc. (The)	$	859,881
	96,797	UIL Holdings Corp.		2,846,800
				8,117,986
		Total Common Stocks (Cost $219,949,371)		203,930,554
Principal
		Securities Lending Collateral — 22.9%
$	48,398,974	Securities Lending Collateral Investment (Note 4) (Cost $48,398,974)		48,398,974
		Total Securities (Cost $268,348,345)		252,329,528
		Repurchase Agreements — 3.2%
	6,762,889	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $6,763,086 (Collateralized by Federal Home Loan Bank, 2.56%, due 11/19/08, with a value of $6,573,125, and Freddie Mac Adjustable Rate Mortgage, 2.86%, due 12/15/35, with a value of $535,499) (Cost $6,762,889)		6,762,889
		Total Investments — 122.5% (Cost $275,111,234)		259,092,417
		Liabilities less other assets — (22.5)%		(47,652,152	)
		Net Assets — 100.0%	$	211,440,265

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $275,111,234.

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

Gross unrealized appreciation	$	14,025,876
Gross unrealized depreciation		(30,044,693	)
Net unrealized depreciation	$	(16,018,817	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

109

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 96.5%
		Aerospace and Defense — 0.5%
	84,610	BE Aerospace, Inc.*	$	1,970,567
	35,270	HEICO Corp.(8)		1,147,686
				3,118,253
		Agriculture — 0.2%
	4,600	Intrepid Potash, Inc.*		302,588
	25,100	Titan Machinery, Inc.*		786,132
				1,088,720
		Airlines — 0.5%
	398,020	AirTran Holdings, Inc.*(8)		811,961
	5,800	Continental Airlines, Inc. — Class B*		58,638
	121,600	Hawaiian Holdings, Inc.*		845,120
	18,900	Republic Airways Holdings, Inc.*		163,674
	94,500	SkyWest, Inc.		1,195,425
				3,074,818
		Apparel: Manufacturing and Retail — 3.9%
	104,920	Aeropostale, Inc.*		3,287,144
	243,741	Cato Corp. (The) — Class A		3,470,872
	1,500	Cherokee, Inc.(8)		30,225
	178,900	Chico’s FAS, Inc.*		960,693
	229,500	Crocs, Inc.*(8)		1,838,295
	3,200	Deckers Outdoor Corp.*		445,440
	11,900	Fossil, Inc.*		345,933
	5,900	Genesco, Inc.*		182,133
	15,800	Guess?, Inc.		591,710
	1,300	Gymboree Corp. (The)*		52,091
	16,500	Heelys, Inc.*(8)		66,990
	44,800	J Crew Group, Inc.*		1,478,848
	47,213	Jos A Bank Clothiers, Inc.*(8)		1,262,948
	18,700	Lululemon Athletica, Inc. (Canada)*(8)		543,422
	4,200	Maidenform Brands, Inc.*		56,700
	28,500	Phillips-Van Heusen Corp.		1,043,670
	382,450	Quiksilver, Inc.*		3,755,659
	344,458	Stage Stores, Inc.		4,019,824
	50,200	Talbots, Inc. (The)		581,818
	15,930	True Religion Apparel, Inc.*(8)		424,535
	37,200	Urban Outfitters, Inc.*		1,160,268
	18,700	Wolverine World Wide, Inc.		498,729
				26,097,947
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.0%
	59,800	ATC Technology Corp.*		1,392,144
	11,800	Lear Corp.*		167,324
	5,700	Midas, Inc.*		76,950
	213,174	Modine Manufacturing Company		2,636,962
	14,400	Monaco Coach Corp.		43,776
	27,800	Polaris Industries, Inc.(8)		1,122,564
	9,400	Standard Motor Products, Inc.		76,704
	49,500	Superior Industries International, Inc.(8)		835,560
	41,400	Wabash National Corp.		312,984
				6,664,968
		Banks and Financial Services — 8.4%
	16,200	1st Source Corp.		260,820
	17,700	Advance America Cash Advance Centers, Inc.		89,916
	14,150	Affiliated Managers Group, Inc.*		1,274,349
	14,900	Ameris Bancorp		129,630
	2,600	Arrow Financial Corp.		47,138
	196,410	Asset Acceptance Capital Corp.(8)		2,400,130
	98,047	ASTA Funding, Inc.(8)		888,306
	12,600	BancFirst Corp.		539,280
	8,400	Bank of Granite Corp.		59,724
	5,900	BankFinancial Corp.		76,759
	4,800	Berkshire Hills Bancorp, Inc.		113,520
	47,300	BGC Partners, Inc. — Class A*		357,115
	150,600	Blackstone Group LP (The)		2,742,426
	6,400	Camden National Corp.		148,992
	2,200	Capital Southwest Corp.(8)		229,306
	124,425	Cardtronics, Inc.*(8)		1,103,650
	59,900	Central Pacific Financial Corp.		638,534
	2,200	Chemical Financial Corp.(8)		44,880
	22,000	City Bank(8)		189,200
	15,200	City Holding Company		619,704
	57,800	Community Bank System, Inc.(8)		1,191,836
	16,100	Community Trust Bancorp, Inc.		422,786
	73,800	Corus Bankshares, Inc.(8)		307,008
	77,426	Credit Acceptance Corp.*(8)		1,979,009
	57,600	Dime Community Bancshares		950,976
	10,200	Doral Financial Corp. — Puerto Rico*		138,108

See notes to financial statements.

110

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Banks and Financial Services (continued)
	73,300	East West Bancorp, Inc.	$	517,498
	27,600	Encore Capital Group, Inc.*		243,708
	7,600	ESSA Bancorp, Inc.		95,152
	25,060	FCStone Group, Inc.*		699,926
	99,682	Financial Federal Corp.		2,189,017
	3,900	Financial Institutions, Inc.		62,634
	27,700	First BanCorp — Puerto Rico		175,618
	4,300	First Citizens Bancshares, Inc. — Class A		599,807
	28,200	First Commonwealth Financial Corp.(8)		263,106
	1,500	First Community Bancshares, Inc.(8)		42,300
	72,800	First Financial Bancorp(8)		669,760
	29,900	First Financial Bankshares, Inc.(8)		1,369,719
	5,600	First Financial Corp.		171,416
	9,600	First Financial Holdings, Inc.		164,928
	2,200	First Merchants Corp.		39,930
	45,395	First Midwest Bancorp, Inc.(8)		846,617
	41,700	First Niagara Financial Group, Inc.		536,262
	6,800	First Place Financial Corp.		63,920
	5,000	FNB Corp.(8)		58,900
	48,900	Frontier Financial Corp.(8)		416,628
	90,100	GFI Group, Inc.		811,801
	19,000	Global Cash Access Holdings, Inc.*		130,340
	11,100	Great Southern Bancorp, Inc.(8)		90,132
	19,100	Greenhill & Company, Inc.(8)		1,028,726
	16,000	Hancock Holding Company(8)		628,640
	15,300	Home Bancshares, Inc.(8)		343,944
	18,100	Horizon Financial Corp.(8)		112,944
	5,600	Imperial Capital Bancorp, Inc.		32,088
	19,800	Independent Bank Corp. — Massachusetts		472,032
	6,200	Integra Bank Corp.		48,546
	111,006	International Bancshares Corp.		2,372,198
	46,050	Investment Technology Group, Inc.*		1,540,833
	155,100	Knight Capital Group, Inc. — Class A*		2,788,697
	61,400	LaBranche & Company, Inc.*		434,712
	14,700	Lakeland Bancorp, Inc.(8)		179,046
	3,000	Lakeland Financial Corp.		57,240
	66,831	MB Financial, Inc.(8)		1,501,693
	9,800	Medallion Financial Corp.		92,316
	1,500	Morningstar, Inc.*		108,045
	3,400	NBT Bancorp, Inc.		70,074
	78,355	NewAlliance Bancshares, Inc.		977,870
	5,400	NewStar Financial, Inc.*		31,914
	10,100	OceanFirst Financial Corp.		182,305
	71,000	Och-Ziff Capital Management Group — Class A(8)		1,349,710
	6,500	Old National Bancorp(8)		92,690
	2,000	optionsXpress Holdings, Inc.		44,680
	10,900	Oritani Financial Corp.*(8)		174,400
	700	Park National Corp.(8)		37,730
	8,000	People’s Bancorp, Inc.		151,840
	30,700	People’s United Financial, Inc.		478,920
	17,100	PHH Corp.*		262,485
	5,900	Preferred Bank — Los Angeles, California(8)		30,562
	8,100	PRG-Schultz International, Inc.*		76,221
	4,400	Royal Bancshares of Pennsylvania, Inc. — Class A		41,404
	22,400	S&T Bancorp, Inc.(8)		650,944
	7,910	SCBT Financial Corp.		225,910
	8,800	Simmons First National Corp. — Class A		246,136
	9,600	Sterling Bancorp — New York		114,720
	9,000	Sterling Bancshares, Inc. — Texas		81,810
	15,000	Suffolk Bancorp(8)		440,700
	14,890	Sun Bancorp, Inc. — New Jersey*		151,134
	16,100	SVB Financial Group*		774,571
	7,100	SWS Group, Inc.		117,931
	9,300	SY Bancorp, Inc.(8)		198,648
	29,200	TrustCo Bank Corp. NY(8)		216,664
	57,300	Trustmark Corp.(8)		1,011,345
	258,700	UCBH Holdings, Inc.(8)		582,075
	13,600	UMB Financial Corp.		697,272
	4,600	Union Bankshares Corp.		68,494
	31,000	United Bankshares, Inc.		711,450
	3,000	Univest Corp. of Pennsylvania(8)		59,580
	12,300	Waddell & Reed Financial, Inc. — Class A		430,623
	5,600	Washington Federal, Inc.		101,360
	10,700	Washington Trust Bancorp, Inc.		210,790
	126,400	Webster Financial Corp.		2,351,040
	23,200	WesBanco, Inc.		397,880

See notes to financial statements.

111

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Banks and Financial Services (continued)
	3,400	West Bancorp	$	29,580
	39,926	Westamerica Bancorp(8)		2,099,708
	12,500	WSFS Financial Corp.		557,500
	31,500	Zions Bancorp		991,935
				56,466,526
		Broadcast Services/Media — 0.7%
	63,300	China Digital TV Holding Company, Ltd. (ADR) (Cayman Islands)*		880,503
	77,640	DG Fastchannel, Inc.*(8)		1,339,290
	73,200	Emmis Communications Corp. — Class A*(8)		184,464
	111,800	Martha Stewart Living Omnimedia, Inc. — Class A*		827,320
	86,000	RHI Entertainment, Inc.*		1,117,140
	86,900	Sinclair Broadcast Group, Inc. — Class A(8)		660,440
				5,009,157
		Business Services and Supplies — 3.5%
	70,862	Arbitron, Inc.(8)		3,365,945
	39,300	CBIZ, Inc.*		312,435
	1,800	CDI Corp.		45,792
	169,000	CSG Systems International, Inc.*		1,862,380
	104,900	Deluxe Corp.		1,869,318
	45,300	Diamond Management & Technology Consultants, Inc.		236,013
	71,800	Fair Isaac Corp.(8)		1,491,286
	7,000	Forrester Research, Inc.*		216,160
	42,200	GSI Commerce, Inc.*		575,186
	43,300	Hackett Group, Inc.*		248,542
	21,900	Heidrick & Struggles International, Inc.(8)		605,316
	8,600	ICF International, Inc.*		142,932
	6,700	Imergent, Inc.(8)		79,328
	143,368	MAXIMUS, Inc.(8)		4,992,073
	138,400	Spherion Corp.*		639,408
	5,600	SuccessFactors, Inc.*(8)		61,320
	83,470	TeleTech Holdings, Inc.*		1,666,061
	128,900	TrueBlue, Inc.*		1,702,769
	76,425	UniFirst Corp.		3,413,141
				23,525,405
		Chemicals — 2.2%
	5,600	Albemarle Corp.		223,496
	24,767	Compass Minerals International, Inc.		1,995,230
	26,600	Ferro Corp.		499,016
	53,700	Innospec, Inc.		1,010,634
	70,100	Metabolix, Inc.*		686,980
	1,900	Minerals Technologies, Inc.		120,821
	11,700	NewMarket Corp.		774,891
	26,300	OM Group, Inc.*		862,377
	20,340	Rockwood Holdings, Inc.*		707,832
	12,400	Spartech Corp.		116,932
	81,400	Terra Industries, Inc.		4,017,090
	75,700	Tetra Tech, Inc.*		1,712,334
	136,364	Zep, Inc.		2,029,096
				14,756,729
		Collectibles — 0.0%
	2,400	RC2 Corp.*		44,544
		Commercial Services — 0.6%
	2,800	Pre-Paid Legal Services, Inc.*		113,736
	15,300	Standard Parking Corp.*		278,460
	17,060	Team, Inc.*		585,499
	118,770	TNS, Inc.*		2,845,729
				3,823,424
		Computer Equipment, Software and Services — 5.0%
	42,700	Actuate Corp.*		166,957
	26,600	Adaptec, Inc.*		85,120
	63,760	Advent Software, Inc.*(8)		2,300,461
	4,400	Agilysys, Inc.		49,896
	115,000	AsiaInfo Holdings, Inc.*		1,359,300
	17,400	Avocent Corp.*		323,640
	94,700	CIBER, Inc.*		588,087
	43,500	CommVault Systems, Inc.*		723,840
	44,500	COMSYS IT Partners, Inc.*		405,840
	31,620	Data Domain, Inc.*(8)		737,695
	8,700	Double-Take Software, Inc.*		119,538
	132,862	Electronics For Imaging, Inc.*		1,939,785
	25,200	Extreme Networks, Inc.*		71,568
	2,550	FactSet Research Systems, Inc.		143,718
	99,900	Immersion Corp.*		680,319
	146,120	Innerworkings, Inc.*(8)		1,747,595
	4,800	Insight Enterprises, Inc.*		56,304
	55,500	Jack Henry & Associates, Inc.		1,201,020
	4,800	JDA Software Group, Inc.*		86,880
	21,250	Longtop Financial Technologies, Ltd. (ADR) (Cayman Islands)*		351,900

See notes to financial statements.

112

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Computer Equipment, Software and Services (continued)
	12,300	Magma Design Automation, Inc.*	$	74,661
	28,100	Manhattan Associates, Inc.*		666,813
	32,600	MedAssets, Inc.*		555,830
	7,200	Mercury Computer Systems, Inc.*		54,216
	3,200	MicroStrategy, Inc. — Class A*		207,200
	12,900	MSCI, Inc. — Class A*		468,141
	30,100	MTS Systems Corp.		1,079,988
	47,950	Nuance Communications, Inc.*(8)		751,377
	100,890	PROS Holdings, Inc.*		1,132,995
	15,100	Quest Software, Inc.*		223,631
	74,900	Rackable Systems, Inc.*		1,003,660
	156,700	Red Hat, Inc.*		3,242,122
	212,300	Riverbed Technology, Inc.*		2,912,756
	18,300	Silicon Storage Technology, Inc.*		50,691
	14,900	Solera Holdings, Inc.*		412,134
	79,200	Sybase, Inc.*(8)		2,330,064
	49,900	Sykes Enterprises, Inc.*		941,114
	79,800	Unisys Corp.*		315,210
	101,000	Wind River Systems, Inc.*		1,099,890
	158,157	Xyratex, Ltd. (Bermuda)*		2,633,314
				33,295,270
		Construction Services and Supplies — 1.4%
	172,100	Comfort Systems USA, Inc.		2,313,024
	68,200	M/I Homes, Inc.		1,072,786
	46,700	NCI Building Systems, Inc.*		1,715,291
	75,499	Simpson Manufacturing Company, Inc.(8)		1,792,346
	122,000	Standard Pacific Corp.(8)		412,360
	93,000	Sterling Construction Company, Inc.*		1,846,980
	2,400	Thor Industries, Inc.(8)		51,024
				9,203,811
		Consumer Goods and Services — 2.5%
	18,000	Alberto-Culver Company		472,860
	15,400	Alliance One International, Inc.*		78,694
	134,400	American Greetings Corp. — Class A		1,658,496
	123,910	Bare Escentuals, Inc.*(8)		2,320,834
	123,100	Blyth, Inc.		1,480,893
	4,800	Chattem, Inc.*		312,240
	6,600	Church & Dwight Company, Inc.		371,910
	3,900	Energizer Holdings, Inc.*		285,051
	169,528	Helen Of Troy, Ltd. (Bermuda)*		2,732,791
	92,702	Herbalife, Ltd. (Cayman Islands)		3,592,203
	12,000	Hooker Furniture Corp.		207,840
	32,600	La-Z-Boy, Inc.		249,390
	35,000	Prestige Brands Holdings, Inc.*		373,100
	76,695	Rollins, Inc.		1,136,620
	181,660	Tempur-Pedic International, Inc.(8)		1,418,765
	5,500	Tupperware Brands Corp.		188,210
	2,000	WD-40 Company		58,500
				16,938,397
		Distribution — 0.7%
	11,600	Nu Skin Enterprises, Inc. — Class A		173,072
	89,236	United Stationers, Inc.*		3,297,270
	21,100	Universal Corp.(8)		954,142
				4,424,484
		Diversified Operations and Services — 0.5%
	1,700	Chemed Corp.(8)		62,237
	68,664	ESCO Technologies, Inc.*(8)		3,221,715
	3,300	Standex International Corp.		68,442
				3,352,394
		Education — 0.3%
	12,000	Apollo Group, Inc. — Class A*		531,120
	12,800	Career Education Corp.*(8)		187,008
	24,260	DeVry, Inc.		1,300,821
	800	Strayer Education, Inc.		167,256
				2,186,205
		Electrical Equipment — 0.1%
	67,000	Universal Display Corp.*		825,440
		Electronics — 2.9%
	198,106	Belden CDT, Inc.(8)		6,711,830
	16,900	Benchmark Electronics, Inc.*		276,146
	70,600	CTS Corp.		709,530
	48,700	Cubic Corp.		1,085,036
	24,837	EnerSys*		850,171
	4,200	Excel Technology, Inc.*		93,744
	152,350	Flextronics International, Ltd. (Singapore)*		1,432,090

See notes to financial statements.

113

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Electronics (continued)
	21,300	Gentex Corp.	$	307,572
	1,900	Littelfuse, Inc.*		59,945
	118,400	Methode Electronics, Inc.		1,237,280
	145,600	Micrel, Inc.		1,332,240
	15,300	Multi-Fineline Electronix, Inc.*		423,351
	236,658	Nam Tai Electronics, Inc. (British Virgin Islands)		3,095,487
	28,700	Park Electrochemical Corp.(8)		697,697
	1,900	Plexus Corp.*		52,592
	127,700	Sanmina-SCI Corp.*		163,456
	22,800	Stoneridge, Inc.*		388,968
	15,300	Technitrol, Inc.		259,947
	18,000	TTM Technologies, Inc.*		237,780
				19,414,862
		Energy Services — 0.6%
	3,600	Energy Conversion Devices, Inc.*		265,104
	174,100	Evergreen Solar, Inc.*(8)		1,687,029
	25,300	SunPower Corp. — Class A*		1,821,094
				3,773,227
		Engineering — 0.1%
	34,200	EMCOR Group, Inc.*		975,726
		Environmental Waste Management and Recycling Services — 0.1%
	18,100	EnergySolutions		404,535
		Food and Beverage — 0.8%
	1,800	Coca-Cola Bottling Company Consolidated		66,564
	4,700	Farmer Brothers Company		99,405
	24,200	Fresh Del Monte Produce, Inc. (Cayman Islands)*		570,394
	29,900	Imperial Sugar Company(8)		464,347
	119,500	Lance, Inc.		2,243,015
	5,600	McCormick & Company, Inc.		199,696
	44,500	Nash Finch Company		1,525,015
	7,400	Omega Protein Corp.*		110,630
	10,000	Reddy Ice Holdings, Inc.		136,800
				5,415,866
		Insurance — 4.3%
	17,000	Allied World Assurance Holdings, Ltd. (Bermuda)		673,540
	105,200	American Equity Investment Life Holding Company		857,380
	17,700	American Physicians Capital, Inc.		857,388
	8,600	Amerisafe, Inc.*		137,084
	150,160	AmTrust Financial Services, Inc.		1,892,016
	123,300	Aspen Insurance Holdings, Ltd. (Bermuda)		2,918,511
	165,466	Assured Guaranty, Ltd. (Bermuda)(8)		2,976,733
	141,787	Delphi Financial Group, Inc. — Class A		3,280,951
	67,940	eHealth, Inc.*(8)		1,199,820
	2,400	EMC Insurance Group, Inc.		57,792
	27,100	Endurance Specialty Holdings, Ltd. (Bermuda)		834,409
	6,200	FBL Financial Group, Inc. — Class A		123,256
	5,600	FPIC Insurance Group, Inc.*		253,792
	78,928	IPC Holdings, Ltd. (Bermuda)		2,095,538
	2,500	Life Partners Holdings, Inc.(8)		49,950
	65,100	Montpelier Re Holdings, Ltd. (Bermuda)(8)		960,225
	600	National Western Life Insurance Company — Class A		131,100
	160,822	Platinum Underwriters Holdings, Ltd. (Bermuda)		5,244,406
	22,600	Presidential Life Corp.		348,492
	328,151	Universal American Financial Corp.*		3,353,704
	19,400	Zenith National Insurance Corp.		682,104
				28,928,191
		Internet Services — 3.7%
	15,400	Blue Nile, Inc.*		654,808
	60,000	CMGI, Inc.*		636,000
	52,870	CyberSource Corp.*(8)		884,515
	30,280	Digital River, Inc.*(8)		1,168,202
	13,024	Equinix, Inc.*(8)		1,162,001
	12,100	eResearchTechnology, Inc.*		211,024
	13,600	Giant Interactive Group, Inc. (ADR) (Cayman Islands)*		164,832
	3,700	InfoSpace, Inc.		30,821
	238,479	Internet Brands, Inc. — Class A*(8)		1,581,116
	66,240	j2 Global Communications, Inc.*		1,523,520
	327,200	NaviSite, Inc.*		1,243,360
	2,900	Netflix, Inc.*(8)		75,603
	111,060	NIC, Inc.		758,540
	12,300	Priceline.com, Inc.*(8)		1,420,158
	151,200	S1 Corp.*		1,144,584

See notes to financial statements.

114

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Internet Services (continued)
	24,500	Sohu.com, Inc.*(8)	$	1,725,780
	129,500	SonicWALL, Inc.*		835,275
	8,600	Syntel, Inc.		289,992
	20,760	TheStreet.com, Inc.		135,148
	83,800	TIBCO Software, Inc.*		641,070
	96,660	TriZetto Group, Inc. (The)*		2,066,591
	70,830	ValueClick, Inc.*		1,073,075
	91,700	Vignette Corp.*		1,100,400
	151,500	Websense, Inc.*		2,551,259
	159,540	Website Pros, Inc.*		1,328,968
				24,406,642
		Leisure and Recreation — 0.4%
	1,500	Bally Technologies, Inc.*		50,700
	42,300	Carmike Cinemas, Inc.(8)		248,301
	21,430	Life Time Fitness, Inc.*(8)		633,257
	67,190	Scientific Games Corp. — Class A*(8)		1,990,167
				2,922,425
		Machinery — 1.3%
	14,600	Actuant Corp. — Class A		457,710
	4,400	Applied Industrial Technologies, Inc.		106,348
	9,500	Cascade Corp.(8)		402,040
	6,200	Chart Industries, Inc.*		301,568
	6,400	Columbus McKinnon Corp.*		154,112
	151,480	Flow International Corp.*		1,181,544
	22,300	Gardner Denver, Inc.*		1,266,640
	3,500	Graham Corp.		259,385
	4,100	Intevac, Inc.*		46,248
	1,600	Key Technology, Inc.*		50,896
	900	Middleby Corp.*(8)		39,519
	19,000	Robbins & Myers, Inc.		947,530
	53,400	Tecumseh Products Company — Class A*		1,750,452
	37,700	Wabtec Corp.		1,832,974
				8,796,966
		Manufacturing — 5.7%
	99,929	Acuity Brands, Inc.		4,804,586
	99,019	Albany International Corp. — Class A		2,871,551
	10,800	American Woodmark Corp.(8)		228,204
	55,004	AptarGroup, Inc.		2,307,418
	18,600	Blount International, Inc.*		215,946
	235,339	Carlisle Companies, Inc.		6,824,832
	8,300	Coherent, Inc.*		248,087
	160,930	Deswell Industries, Inc. (British Virgin Islands)		910,864
	20,400	EnPro Industries, Inc.*		761,736
	2,100	FLIR Systems, Inc.*		85,197
	13,000	Gibraltar Industries, Inc.		207,610
	164,510	GrafTech International, Ltd.*		4,413,803
	121,200	Hexcel Corp.*		2,339,160
	15,200	Kaydon Corp.		781,432
	60,826	Matthews International Corp. — Class A		2,752,985
	200,672	Mueller Industries, Inc.		6,461,638
	3,000	Rofin-Sinar Technologies, Inc.*		90,600
	119,500	Sturm, Ruger & Company, Inc.*		843,670
	62,700	Tredegar Corp.		921,690
	6,500	TriMas Corp.*		38,935
	4,380	Valmont Industries, Inc.		456,790
				38,566,734
		Medical Equipment, Supplies, and Services — 7.3%
	21,410	Amedisys, Inc.*		1,079,492
	17,800	AMN Healthcare Services, Inc.*		301,176
	109,436	AmSurg Corp.*		2,664,767
	56,400	ArthroCare Corp.*(8)		2,301,684
	2,400	Bio-Rad Laboratories, Inc. — Class A*		194,136
	4,200	Capital Senior Living Corp.*		31,668
	8,800	Cardiac Science Corp.*		72,160
	204,590	Centene Corp.*		3,435,066
	4,300	Cepheid, Inc.*		120,916
	5,400	CONMED Corp.*		143,370
	6,200	Cooper Companies, Inc. (The)		230,330
	47,605	CorVel Corp.*		1,612,381
	25,000	Emergency Medical Services Corp. — Class A*		565,750
	18,400	Haemonetics Corp.*		1,020,464
	23,600	Health Management Associates, Inc. — Class A*		153,636
	11,300	Henry Schein, Inc.*		582,741
	62,600	Hologic, Inc.*		1,364,680
	95,200	ICU Medical, Inc.*		2,178,176
	96,400	Invacare Corp.		1,970,416
	67,684	IPC The Hospitalist Company*		1,273,813
	360,310	LeMaitre Vascular, Inc.*		1,052,105
	60,400	Lincare Holdings, Inc.*		1,715,360

See notes to financial statements.

115

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Medical Equipment, Supplies, and Services (continued)
	40,530	Luminex Corp.*(8)	$	832,892
	3,500	Magellan Health Services, Inc.*		129,605
	7,500	Meridian Bioscience, Inc.		201,900
	13,200	Merit Medical Systems, Inc.*		194,040
	6,800	Millipore Corp.*		461,448
	88,548	Natus Medical, Inc.*		1,854,195
	290,924	NovaMed, Inc.*(8)		1,096,783
	31,020	NuVasive, Inc.*(8)		1,385,353
	121,300	Orthofix International NV (Netherlands Antilles)*		3,511,636
	45,100	Owens & Minor, Inc.		2,060,619
	7,600	Patterson Companies, Inc.*		223,364
	18,000	PSS World Medical, Inc.*		293,400
	79,280	Psychiatric Solutions, Inc.*		2,999,955
	22,800	Quidel Corp.*		376,656
	122,970	RTI Biologics, Inc.*		1,075,988
	235,814	Spectranetics Corp. (The)*		2,325,126
	67,100	STERIS Corp.		1,929,796
	3,900	SurModics, Inc.*(8)		174,876
	17,200	Synovis Life Technologies, Inc.*		323,876
	17,900	Techne Corp.*		1,385,281
	18,300	TranS1, Inc.*		275,781
	5,100	US Physical Therapy, Inc.*		83,691
	68,640	VNUS Medical Technologies*		1,373,486
	29,880	Zoll Medical Corp.*		1,006,060
				49,640,094
		Metals and Mining — 1.5%
	5,600	Cleveland-Cliffs, Inc.		667,464
	41,920	Dynamic Materials Corp.		1,381,264
	7,900	Hawk Corp. — Class A*		146,940
	160,100	Hecla Mining Company*(8)		1,482,526
	6,100	Insteel Industries, Inc.		111,691
	12,800	Olympic Steel, Inc.		971,776
	10,000	Schnitzer Steel Industries, Inc. — Class A		1,146,000
	31,400	Sutor Technology Group, Ltd.*		221,998
	52,600	Titanium Metals Corp.		735,874
	150,700	Worthington Industries, Inc.(8)		3,089,350
				9,954,883
		Office Equipment, Supplies, and Services — 0.6%
	250,443	Acco Brands Corp.*		2,812,475
	11,800	Herman Miller, Inc.		293,702
	26,100	IKON Office Solutions, Inc.		294,408
	47,900	Knoll, Inc.		581,985
				3,982,570
		Oil, Coal and Gas — 7.3%
	12,700	Abraxas Petroleum Corp.*		68,707
	35,130	Arena Resources, Inc.*		1,855,567
	27,770	Atwood Oceanics, Inc.*		3,452,922
	13,130	Carrizo Oil & Gas, Inc.*		894,022
	1,200	Chesapeake Utilities Corp.		30,864
	3,100	Clayton Williams Energy, Inc.*		340,845
	6,300	Comstock Resources, Inc.*		531,909
	10,100	Continental Resources, Inc.*		700,132
	8,520	Core Laboratories NV (the Netherlands)*		1,212,822
	25,870	Dril-Quip, Inc.*		1,629,810
	72,900	Energy Partners, Ltd.*		1,087,668
	13,500	EXCO Resources, Inc.*		498,285
	7,900	FMC Technologies, Inc.*		607,747
	35,200	Helix Energy Solutions Group, Inc.*		1,465,728
	41,800	Hercules Offshore, Inc.*		1,589,236
	6,800	HKN, Inc.*		78,540
	5,900	James River Coal Company*		346,271
	4,900	Key Energy Services, Inc.*		95,158
	27,700	Mariner Energy, Inc.*		1,024,069
	4,000	Mitcham Industries, Inc.*		68,320
	65,100	Newpark Resources, Inc.*		511,686
	14,000	Northwest Natural Gas Company		647,640
	50,940	Oil States International, Inc.*		3,231,634
	129,620	Penn Virginia Corp.		9,775,939
	74,600	PetroQuest Energy, Inc.*		2,006,740
	21,000	Piedmont Natural Gas Company, Inc.(8)		549,360
	2,500	Southwest Gas Corp.		74,325
	7,400	St Mary Land & Exploration Company		478,336
	9,400	Stone Energy Corp.*		619,554
	53,850	Superior Energy Services, Inc.*		2,969,289
	35,120	Tesco Corp. (Canada)*		1,122,084
	51,000	Tesoro Corp.		1,008,270
	161,300	VAALCO Energy, Inc.*		1,366,211
	5,600	Vectren Corp.		174,776

See notes to financial statements.

116

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Oil, Coal and Gas (continued)
	4,500	Walter Industries, Inc.	$	489,465
	63,922	Whiting Petroleum Corp.*		6,780,846
				49,384,777
		Paper and Forest Products — 0.8%
	25,400	Buckeye Technologies, Inc.*		214,884
	49,001	Deltic Timber Corp.		2,622,044
	57,600	Domtar Corp.*		313,920
	50,600	Potlatch Corp.		2,283,072
				5,433,920
		Pharmaceuticals/Research and Development — 4.4%
	154,000	Affymetrix, Inc.*		1,584,660
	79,300	Albany Molecular Research, Inc.*		1,052,311
	50,700	American Oriental Bioengineering, Inc.*		500,409
	289,200	Cell Genesys Inc.*		751,920
	62,050	Cephalon, Inc.*		4,138,114
	12,000	Columbia Laboratories, Inc.*		39,600
	173,400	Cubist Pharmaceuticals, Inc.*		3,096,924
	129,000	CV Therapeutics, Inc.*		1,061,670
	190,500	Enzon Pharmaceuticals, Inc.*(8)		1,356,360
	3,700	Exponent, Inc.*		116,217
	43,300	Human Genome Sciences, Inc.*		225,593
	3,700	Idera Pharmaceuticals, Inc.*(8)		54,057
	30,100	Incyte Corp.*		229,061
	15,500	Martek Biosciences Corp.*		522,505
	398,200	Medarex, Inc.*		2,632,102
	116,800	Medicis Pharmaceuticals Corp. — Class A		2,427,104
	21,300	Mylan, Inc.*		257,091
	98,600	Nektar Therapeutics*(8)		330,310
	53,200	Noven Pharmaceuticals, Inc.*		568,708
	10,400	NPS Pharmaceuticals, Inc.*		46,280
	37,110	OSI Pharmaceuticals, Inc.*		1,533,385
	33,700	Pain Therapeutics, Inc.*(8)		266,230
	25,900	Par Pharmaceutical Companies, Inc.*		420,357
	18,600	Perrigo Company		590,922
	22,000	Pharmanet Development Group, Inc.*		346,940
	13,400	PharMerica Corp.*		302,706
	34,300	Regeneron Pharmaceuticals, Inc.*		495,292
	58,310	Savient Pharmaceuticals, Inc.*(8)		1,475,243
	99,840	Sciele Pharma, Inc.(8)		1,931,904
	11,210	United Therapeutics Corp.*(8)		1,095,778
	14,600	Valeant Pharmaceuticals International*(8)		249,806
				29,699,559
		Printing and Publishing — 0.8%
	209,353	Bowne & Company, Inc.		2,669,251
	35,960	Dolan Media Company*		654,472
	11,500	Scholastic Corp.*		329,590
	142,690	Valassis Communications, Inc.*(8)		1,786,479
				5,439,792
		Real Estate Development and Services — 0.1%
	10,400	Hilltop Holdings, Inc.*		107,224
	263,000	Meruelo Maddux Properties, Inc.*		573,340
				680,564
		Real Estate Investment Trusts — 4.8%
	109,007	Acadia Realty Trust		2,523,512
	16,400	Agree Realty Corp.(8)		361,620
	47,541	American Campus Communities, Inc.(8)		1,323,541
	8,600	American Capital Agancy Corp.		143,104
	34,300	Anworth Mortgage Asset Corp.		223,293
	3,700	BRT Realty Trust		44,400
	94,400	Capstead Mortgage Corp.		1,024,240
	3,000	Care Investment Trust, Inc.		28,290
	19,900	Education Realty Trust, Inc.		231,835
	26,100	Equity One, Inc.(8)		536,355
	3,600	Hatteras Financial Corp.		82,764
	18,100	Highwoods Properties, Inc.		568,702
	74,800	Inland Real Estate Corp.		1,078,616
	101,600	Investors Real Estate Trust(8)		969,264
	46,600	LTC Properties, Inc.		1,191,096
	13,000	Mid-America Apartment Communities, Inc.		663,520
	32,000	Mission West Properties, Inc.		350,720
	11,900	Monmouth Real Estate Investment Corp. — Class A		76,160
	17,400	National Health Investors, Inc.		496,074
	127,200	National Retail Properties, Inc.(8)		2,658,480

See notes to financial statements.

117

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Real Estate Investment Trusts (continued)
	1,700	Nationwide Health Properties, Inc.	$	53,533
	133,400	OMEGA Healthcare Investors, Inc.		2,221,110
	6,900	One Liberty Properties, Inc.		112,539
	46,004	PS Business Parks, Inc.		2,373,806
	355,975	RAIT Investment Trust(8)		2,641,335
	147,346	Realty Income Corp.(8)		3,353,595
	32,400	Saul Centers, Inc.(8)		1,522,476
	129,200	Senior Housing Properties Trust		2,523,276
	11,800	Urstadt Biddle Properties — Class A		172,988
	223,440	U-Store-It Trust		2,670,108
				32,220,352
		Registered Investment Companies — 0.5%
	280,475	Ares Capital Corp.(8)		2,827,188
	5,700	Harris & Harris Group, Inc.*		34,200
	60,900	MCG Capital Corp.(8)		242,382
				3,103,770
		Retail — 2.9%
	66,500	Barnes & Noble, Inc.		1,651,860
	95,500	Big Lots, Inc.*(8)		2,983,420
	12,400	Books-A-Million, Inc.(8)		94,984
	195,925	Casey’s General Stores, Inc.		4,539,582
	10,800	Dick’s Sporting Goods, Inc.*		191,592
	26,700	EZCORP, Inc. — Class A*		340,425
	144,820	FGX International Holdings, Ltd. (British Virgin Islands)*		1,164,353
	9,400	Fuqi International, Inc. (China)*		82,344
	10,400	GameStop Corp. — Class A*		420,160
	242,914	Hibbett Sports, Inc.*(8)		5,125,485
	3,000	Jo-Ann Stores, Inc.*		69,090
	64,800	Systemax, Inc.(8)		1,143,720
	21,000	Tiffany & Company		855,750
	21,700	Williams-Sonoma, Inc.		430,528
				19,093,293
		Retail: Restaurants — 1.2%
	32,100	AFC Enterprises, Inc.*(8)		256,479
	10,700	Bob Evans Farms, Inc.		306,020
	52,300	CBRL Group, Inc.		1,281,873
	70,488	CEC Entertainment, Inc.*		1,974,369
	23,300	Cheesecake Factory, Inc. (The)*		370,703
	18,800	Chipotle Mexican Grill, Inc. — Class A*		1,553,256
	67,900	Denny’s Corp.*		192,836
	140,126	Sonic Corp.*		2,073,865
				8,009,401
		Retail: Supermarkets — 0.2%
	51,700	Whole Foods Market, Inc.		1,224,773
		Rubber Products — 0.1%
	39,900	Cooper Tire & Rubber Company		312,816
	5,400	Myers Industries, Inc.		44,010
				356,826
		Scientific and Technical Instruments — 0.6%
	12,300	Cymer, Inc.*		330,624
	3,100	Itron, Inc.*		304,885
	9,100	PerkinElmer, Inc.		253,435
	48,800	Teradyne, Inc.*		540,216
	16,600	Varian, Inc.*		847,596
	40,000	Woodward Governor Company		1,426,400
				3,703,156
		Semiconductors — 2.2%
	157,700	Amkor Technology, Inc.*		1,641,657
	88,720	ANADIGICS, Inc.*(8)		873,892
	17,000	ATMI, Inc.*		474,640
	22,500	AuthenTec, Inc.*		234,450
	169,100	Emulex Corp.*		1,970,015
	61,900	Integrated Silicon Solution, Inc.*		344,164
	25,900	Intersil Corp. — Class A		629,888
	41,600	Microsemi Corp.*		1,047,488
	9,700	Novellus Systems, Inc.*		205,543
	23,700	Pericom Semiconductor Corp.*		351,708
	49,600	PMC-Sierra, Inc.*		379,440
	68,800	QLogic Corp.*		1,003,792
	92,500	Semtech Corp.*		1,301,475
	58,400	Silicon Image, Inc.*		423,400
	219,850	Skyworks Solutions, Inc.*		2,169,920
	211,000	TriQuint Semiconductor, Inc.*		1,278,660
	3,600	Zoran Corp.*		42,120
				14,372,252
		Sporting Goods and Equipment — 0.3%
	166,200	Callaway Golf Company		1,966,146

See notes to financial statements.

118

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Telecommunications Equipment and Services — 3.9%
	80,900	ADC Telecommunications, Inc.*	$	1,194,893
	39,500	ADTRAN, Inc.		941,680
	3,000	Anaren, Inc.*		31,710
	4,791	Atlantic Tele-Network, Inc.		131,800
	364,200	Cincinnati Bell, Inc.*		1,449,516
	106,900	Clearwire Corp. — Class A*(8)		1,385,424
	21,680	Comtech Telecommunications Corp.*		1,062,320
	4,400	EMS Technologies, Inc.*		96,096
	109,900	IDT Corp. — Class B*(8)		186,830
	1,800	InterDigital, Inc.*		43,776
	14,500	Intervoice, Inc.*		82,650
	44,500	Iowa Telecommunications Services, Inc.(8)		783,645
	51,000	NII Holdings, Inc.*		2,421,990
	5,000	NTELOS Holdings Corp.		126,850
	21,100	Plantronics, Inc.		470,952
	211,750	Polycom, Inc.*		5,158,230
	263,820	Premiere Global Services, Inc.*		3,846,496
	14,600	RCN Corp.*		157,388
	674,700	RF Micro Devices, Inc.*		1,956,630
	7,200	SBA Communications Corp. — Class A*		259,272
	23,000	Shenandoah Telecommunications Company		299,460
	48,600	Sycamore Networks, Inc.*		156,492
	115,600	Syniverse Holdings, Inc.*		1,872,720
	167,200	USA Mobility, Inc.*		1,262,360
	116,700	UTStarcom, Inc.*		638,349
				26,017,529
		Toys — 0.2%
	140,650	Leapfrog Enterprises, Inc.*(8)		1,170,208
	5,700	Marvel Entertainment, Inc.*(8)		183,198
				1,353,406
		Transportation — 2.3%
	32,399	Aegean Marine Petroleum Network, Inc. (Marshall Islands)(8)		1,318,315
	5,300	Atlas Air Worldwide Holdings, Inc.*		262,138
	35,300	Expeditors International of Washington, Inc.		1,517,900
	17,520	Genco Shipping & Trading, Ltd. (Marshall Islands)(8)		1,142,304
	63,200	General Maritime Corp. (Marshall Islands)(8)		1,641,936
	54,662	Genesee & Wyoming, Inc. — Class A*		1,859,601
	35,800	GulfMark Offshore, Inc.*		2,082,844
	7,400	JB Hunt Transport Services, Inc.		246,272
	8,600	Knightsbridge Tankers, Ltd. (Bermuda)		277,006
	3,200	Landstar System, Inc.		176,704
	49,770	Old Dominion Freight Line, Inc.*		1,494,095
	17,100	Pacer International, Inc.		367,821
	182,169	Vitran Corp., Inc. — Class A (Canada)*		2,730,714
				15,117,650
		Utilities — 2.6%
	67,161	Atmos Energy Corp.		1,851,629
	17,800	Avista Corp.		381,988
	73,300	Black Hills Corp.(8)		2,349,998
	4,500	Central Vermont Public Service Corp.		87,165
	16,000	El Paso Electric Company*		316,800
	2,900	Middlesex Water Company		48,111
	57,026	New Jersey Resources Corp.(8)		1,861,899
	74,500	Nicor, Inc.(8)		3,172,955
	6,200	Ormat Technologies, Inc.		304,916
	17,300	Pike Electric Corp.*		287,353
	34,300	Portland General Electric Company		772,436
	45,600	Unisource Energy Corp.		1,414,056
	109,597	Westar Energy, Inc.		2,357,431
	54,639	WGL Holdings, Inc.		1,898,159
				17,104,896
		Total Common Stocks (Cost $726,165,943)		645,361,275
		Preferred Stocks — 0.1%
		Banks and Financial Services
	561	East West Bancorp, Inc. — Series A, 8.00% (Cost $561,000)		395,645
		Warrants — 0.0%
	640	Lantronix, Inc.(14) (Cost $0)		—

See notes to financial statements.

119

SMALL CORE PORTFOLIO
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value
		Rights — 0.0%
		Registered Investment Companies
	2	MCG Capital Corp. (Cost $0)	$	1
Principal
		Short Term US Treasury Securities — 0.1%
		US Treasury Bills
$	700,000	1.73%, 09/18/08(5) (Cost $697,081)		697,081
		Securities Lending Collateral — 19.0%
	126,808,380	Securities Lending Collateral Investment (Note 4) (Cost $126,808,380)		126,808,380
		Total Securities (Cost $854,232,404)		773,262,382
		Repurchase Agreements — 3.1%
	20,434,698	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $20,435,294 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 2.83%-4.36%, due 12/25/35-08/01/37, with a total value of $7,200,557, various Federal Home Loan Banks, 2.56%-2.73%, due 11/19/08-01/23/09 with a total value of $10,565,555, and Freddie Mac Adjustable Rate Mortgage, 2.82%, due 12/15/35, with a value of $3,562,085) (Cost $20,434,698)		20,434,698
		Total Investments — 118.8% (Cost $874,667,102)		793,697,080
		Liabilities less other assets — (18.8)%		(125,484,274	)
		Net Assets — 100.0%	$	668,212,806

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $874,667,102.

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

Gross unrealized appreciation	$	47,221,123
Gross unrealized depreciation		(128,191,145	)
Net unrealized depreciation	$	(80,970,022	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

120

SMALL GROWTH PORTFOLIO
(FORMERLY, SMALL-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value
		Common Stocks — 99.9%
		Aerospace and Defense — 4.1%
	40,772	Aerovironment, Inc.*	$	1,108,183
	31,400	Curtiss-Wright Corp.		1,404,836
	52,310	Ducommun, Inc.*		1,201,038
	30,096	Esterline Technologies Corp.*		1,482,529
	40,620	Moog, Inc. — Class A*		1,512,689
	26,600	Teledyne Technologies, Inc.*		1,297,814
	35,370	TransDigm Group, Inc.*(8)		1,188,078
				9,195,167
		Agriculture — 0.6%
	33,435	Andersons, Inc. (The)(8)		1,361,139
		Apparel: Manufacturing and Retail — 5.3%
	53,450	Aeropostale, Inc.*		1,674,589
	75,100	Charlotte Russe Holding, Inc.*		1,333,776
	38,500	Children’s Place Retail Stores, Inc. (The)*(8)		1,389,850
	49,300	Fossil, Inc.*		1,433,151
	85,800	Maidenform Brands, Inc.*		1,158,300
	40,204	Phillips-Van Heusen Corp.(8)		1,472,270
	43,500	Skechers USA, Inc. — Class A*		859,560
	32,600	Warnaco Group, Inc. (The)*		1,436,682
	41,100	Wolverine World Wide, Inc.		1,096,137
				11,854,315
		Automobile: Retail — 1.0%
	50,512	America’s Car-Mart, Inc.*(8)		905,175
	27,926	Asbury Automotive Group, Inc.		358,849
	59,200	Penske Automotive Group, Inc.		872,608
				2,136,632
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.7%
	76,802	Amerigon, Inc.*		546,062
	46,600	ATC Technology Corp.*		1,084,848
				1,630,910
		Banks and Financial Services — 3.4%
	54,700	Bank of the Ozarks, Inc.		812,842
	55,900	Frontier Financial Corp.(8)		476,268
	67,777	Greene Bancshares, Inc.(8)		950,234
	17,668	Interactive Data Corp.		443,997
	28,700	Investment Technology Group, Inc.*		960,302
	22,300	MainSource Financial Group, Inc.		345,650
	50,600	Pacific Capital Bancorp(8)		697,268
	34,567	Pinnacle Financial Partners, Inc.*(8)		694,451
	17,400	Stifel Financial Corp.*		598,386
	61,700	Texas Capital Bancshares, Inc.*		987,199
	72,900	United Community Banks, Inc. — Georgia(8)		621,837
				7,588,434
		Business Services and Supplies — 3.7%
	188,469	CBIZ, Inc.*		1,498,329
	29,400	CRA International, Inc.*		1,062,810
	34,300	FTI Consulting, Inc.*		2,348,177
	18,000	Huron Consulting Group, Inc.*		816,120
	60,000	Kenexa Corp.*		1,130,400
	78,448	Navigant Consulting, Inc.*		1,534,443
				8,390,279
		Chemicals — 1.4%
	41,200	A Schulman, Inc.		948,836
	66,905	ICO, Inc.*		402,768
	110,400	Landec Corp.*		714,288
	37,000	Sensient Technologies Corp.		1,041,920
				3,107,812
		Commercial Services — 1.1%
	62,600	Euronet Worldwide, Inc.*(8)		1,057,940
	17,680	Steiner Leisure, Ltd. (Bahama Islands)*		501,228
	23,798	Team, Inc.*		816,747
				2,375,915
		Computer Equipment, Software and Services — 11.0%
	36,780	Actuate Corp.*		143,810
	36,700	ANSYS, Inc.*(8)		1,729,305
	87,127	Aspen Technology, Inc.*		1,158,789
	158,199	Bluephoenix Solutions, Ltd. (Israel)*(8)		729,297
	79,100	Bottomline Technologies, Inc.*		769,643
	27,900	CACI International, Inc. — Class A*		1,276,983
	44,296	Compellent Technologies, Inc.*(8)		502,317
	65,830	EPIQ Systems, Inc.*		934,786
	108,198	FalconStor Software, Inc.*(8)		766,042
	45,465	FARO Technologies, Inc.*		1,144,354
	28,570	Jack Henry & Associates, Inc.		618,255
	34,100	Manhattan Associates, Inc.*		809,193
	26,300	ManTech International Corp. — Class A*		1,265,556

See notes to financial statements.

121

SMALL GROWTH PORTFOLIO
(FORMERLY, SMALL-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2007
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Computer Equipment, Software and Services (continued)
	11,000	MicroStrategy, Inc. — Class A*	$	712,250
	112,091	NetScout Systems, Inc.*		1,197,132
	68,300	Omniture, Inc.*(8)		1,268,331
	106,705	Phoenix Technologies, Ltd.*		1,173,755
	24,113	Progress Software Corp.*		616,569
	94,400	Quest Software, Inc.*		1,398,064
	118,200	Radiant Systems, Inc.*		1,268,286
	150,100	Soapstone Networks, Inc.*		574,883
	39,400	Solera Holdings, Inc.*		1,089,804
	30,744	SPSS, Inc.*		1,118,159
	36,386	Ultimate Software Group, Inc. (The)*		1,296,433
	48,100	Xyratex, Ltd. (Bermuda)*		800,865
				24,362,861
		Construction Services and Supplies — 1.0%
	33,213	AAON, Inc.		639,682
	85,091	Furmanite Corp.*		679,026
	51,974	Integrated Electrical Services, Inc.*(8)		893,953
				2,212,661
		Consumer Goods and Services — 1.2%
	20,200	Chattem, Inc.*(8)		1,314,010
	81,300	Jarden Corp.*		1,482,912
				2,796,922
		Education — 1.1%
	21,200	Capella Education Company*(8)		1,264,580
	21,000	DeVry, Inc.		1,126,020
				2,390,600
		Electrical Equipment — 0.7%
	380,315	Capstone Turbine Corp.*(8)		1,593,520
		Electronics — 1.8%
	61,200	Benchmark Electronics, Inc.*		1,000,008
	38,500	EnerSys*		1,317,855
	92,100	Methode Electronics, Inc.		962,445
	26,546	NVE Corp.*(8)		840,446
				4,120,754
		Engineering — 1.0%
	23,858	EMCOR Group, Inc.*		680,669
	35,674	Stanley, Inc.*		1,195,792
	16,700	VSE Corp.		459,250
				2,335,711
		Environmental Waste Management and Recycling Services — 0.8%
	75,919	Darling International, Inc.*		1,254,182
	18,801	Waste Connections, Inc.*		600,316
				1,854,498
		Equipment Rental and Leasing — 0.5%
	54,500	Aaron Rents, Inc.		1,216,985
		Food and Beverage — 1.8%
	21,392	Central European Distribution Corp.*(8)		1,586,217
	48,400	Flowers Foods, Inc.		1,371,656
	34,300	Sanderson Farms, Inc.(8)		1,184,036
				4,141,909
		Insurance — 1.6%
	42,676	eHealth, Inc.*(8)		753,658
	28,561	FBL Financial Group, Inc. — Class A		567,793
	30,100	Infinity Property & Casualty Corp.		1,249,752
	41,500	IPC Holdings, Ltd. (Bermuda)		1,101,825
				3,673,028
		Internet Services — 6.2%
	52,447	Aladdin Knowledge Systems, Ltd. (Israel)*		708,035
	221,877	Art Technology Group, Inc.*		710,006
	61,693	Blue Coat Systems, Inc.*		870,488
	101,449	CyberSource Corp.*(8)		1,697,242
	12,600	Equinix, Inc.*(8)		1,124,172
	105,474	eResearchTechnology, Inc.*		1,839,467
	111,900	Foundry Networks, Inc.*		1,322,658
	95,100	GigaMedia, Ltd. (Singapore)*(8)		1,134,543
	142,800	Secure Computing Corp.*		591,192
	51,322	Shanda Interactive Entertainment, Ltd. (ADR) (Cayman Islands)*		1,393,392
	80,700	Websense, Inc.*		1,358,988
	142,330	Website Pros, Inc.*		1,185,609
				13,935,792
		Machinery — 0.8%
	21,304	Chart Industries, Inc.*		1,036,227
	110,300	Flow International Corp.*		860,340
				1,896,567
		Manufacturing — 4.1%
	16,600	Acuity Brands, Inc.		798,128
	13,600	Ameron International Corp.		1,631,728
	24,900	AptarGroup, Inc.		1,044,555

See notes to financial statements.

122

SMALL GROWTH PORTFOLIO
(FORMERLY, SMALL-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2007
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Manufacturing (continued)
	54,577	Barnes Group, Inc.	$	1,260,183
	27,061	Ceradyne, Inc.*		928,192
	21,400	Cognex Corp.		493,270
	44,225	Encore Wire Corp.(8)		937,128
	13,809	FLIR Systems, Inc.*		560,231
	22,300	GrafTech International, Ltd.*		598,309
	28,980	II-VI, Inc.*		1,011,982
				9,263,706
		Medical Equipment, Supplies, and Services — 8.3%
	13,800	Amedisys, Inc.*		695,796
	100,278	Bruker BioSciences Corp.*		1,288,572
	118,700	CryoLife, Inc.*		1,357,928
	22,800	ICON PLC (ADR) (Ireland)*		1,721,857
	50,800	Immucor, Inc.*		1,314,704
	60,600	inVentiv Health, Inc.*		1,684,074
	68,331	IRIS International, Inc.*		1,069,380
	60,228	LHC Group, Inc.*		1,400,301
	30,467	Natus Medical, Inc.*		637,979
	34,574	Psychiatric Solutions, Inc.*		1,308,280
	80,506	RehabCare Group, Inc.*		1,290,511
	35,931	SurModics, Inc.*(8)		1,611,146
	88,491	Synovis Life Technologies, Inc.*		1,666,286
	43,300	Vnus Medical Technologies*		866,433
	22,100	Zoll Medical Corp.*		744,107
				18,657,354
		Metals and Mining — 1.7%
	87,900	Hecla Mining Company*(8)		813,954
	22,600	Kaiser Aluminum Corp.		1,209,778
	13,771	Universal Stainless & Alloy Products, Inc.*		510,078
	61,693	Worthington Industries, Inc.(8)		1,264,706
				3,798,516
		Oil, Coal and Gas — 8.1%
	58,000	Alon USA Energy, Inc.(8)		693,680
	21,600	Bill Barrett Corp.*(8)		1,283,256
	145,232	Cano Petroleum, Inc.*		1,153,142
	402	CARBO Ceramics, Inc.		23,457
	21,300	Comstock Resources, Inc.*		1,798,359
	8,000	Core Laboratories NV (the Netherlands)*		1,138,800
	15,239	Encore Acquisition Company*		1,145,820
	46,253	Hercules Offshore, Inc.*(8)		1,758,539
	23,447	Hornbeck Offshore Services, Inc.*(8)		1,324,990
	43,700	Mariner Energy, Inc.*		1,615,589
	36,050	Natural Gas Services Group*		1,098,804
	81,200	Parker Drilling Company*		812,812
	66,500	PetroQuest Energy, Inc.*		1,788,850
	17,957	T-3 Energy Services, Inc.*		1,427,043
	86,545	Western Refining, Inc.(8)		1,024,693
				18,087,834
		Pharmaceuticals/Research and Development — 6.3%
	60,200	Adolor Corp.*		329,896
	113,999	Albany Molecular Research, Inc.*		1,512,767
	42,600	Alnylam Pharmaceuticals, Inc.*(8)		1,138,698
	114,100	Applera Corp. — Celera Group		1,296,176
	79,800	Cubist Pharmaceuticals, Inc.*		1,425,228
	30,146	Exponent, Inc.*		946,886
	32,500	Martek Biosciences Corp.*		1,095,575
	79,700	Medicines Company (The)*		1,579,654
	14,000	Myriad Genetics, Inc.*(8)		637,280
	83,837	Oculus Innovative Sciences, Inc.*(8)		202,047
	63,400	PAREXEL International Corp.*		1,668,054
	84,000	PetMed Express, Inc.*		1,029,000
	190,349	VIVUS, Inc.*(8)		1,271,531
				14,132,792
		Printing and Publishing — 0.3%
	12,500	Consolidated Graphics, Inc.*		615,875
		Real Estate Investment Trusts — 0.7%
	33,200	BioMed Realty Trust, Inc.		814,396
	16,800	Entertainment Properties Trust(8)		830,592
				1,644,988
		Retail — 0.7%
	129,300	EZCORP, Inc. — Class A*		1,648,575
		Retail: Restaurants — 2.0%
	42,500	Buffalo Wild Wings, Inc.*(8)		1,055,275
	24,900	Jack in the Box, Inc.*		558,009
	39,400	PF Chang’s China Bistro, Inc.*(8)		880,196
	30,800	Red Robin Gourmet Burgers, Inc.*(8)		854,392
	126,100	Texas Roadhouse, Inc. — Class A*		1,131,117
				4,478,989

See notes to financial statements.

123

SMALL GROWTH PORTFOLIO
(FORMERLY, SMALL-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2007
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Retail: Supermarkets — 0.5%
	46,135	Spartan Stores, Inc.	$	1,061,105
		Scientific and Technical Instruments — 0.6%
	35,256	Woodward Governor Company		1,257,229
		Security Service and Devices — 0.6%
	115,300	Cogent, Inc.*(8)		1,310,961
		Semiconductors — 3.9%
	137,500	Advanced Analogic Technologies, Inc.*		567,875
	130,714	ANADIGICS, Inc.*(8)		1,287,533
	52,921	Microsemi Corp.*		1,332,550
	18,500	Netlogic Microsystems, Inc.*(8)		614,200
	154,300	O2Micro International, Ltd. (ADR) (Cayman Islands)*		1,026,095
	55,003	Pericom Semiconductor Corp.*		816,245
	89,700	Semtech Corp.*		1,262,079
	83,400	Silicon Motion Technology Corp. (ADR) (Cayman Islands)*(8)		1,205,130
	59,885	Zoran Corp.*		700,655
				8,812,362
		Telecommunications Equipment and Services — 7.1%
	89,700	ADC Telecommunications, Inc.*		1,324,869
	55,100	ADTRAN, Inc.		1,313,584
	18,915	Atheros Communications*(8)		567,450
	11,474	Ceragon Networks Ltd. (Israel)*		88,809
	33,300	Comtech Telecommunications Corp.*		1,631,699
	33,800	EMS Technologies, Inc.*		738,192
	16,078	General Cable Corp.*(8)		978,346
	57,315	GeoEye, Inc.*		1,015,049
	120,900	Globecomm Systems, Inc.*		998,634
	118,900	Harmonic, Inc.*		1,130,739
	163,200	Intervoice, Inc.*		930,240
	31,791	NICE Systems, Ltd. (ADR) (Israel)*		940,060
	83,900	Oplink Communications, Inc.*		805,440
	83,846	Starent Networks Corp.*(8)		1,054,783
	87,000	Syniverse Holdings, Inc.*		1,409,400
	67,100	Tekelec*		987,041
				15,914,335
		Toys — 0.6%
	58,100	JAKKS Pacific, Inc.*		1,269,485
		Transportation — 3.3%
	117,363	Celadon Group, Inc.*		1,172,456
	32,053	Excel Maritime Carriers, Ltd. (Liberia)		1,258,080
	80,800	Heartland Express, Inc.(8)		1,204,728
	45,400	Hub Group, Inc. — Class A*		1,549,502
	49,500	Old Dominion Freight Line, Inc.*		1,485,990
	20,790	TBS International, Ltd. — Class A (Bermuda)*(8)		830,561
				7,501,317
		Utilities — 0.3%
	28,100	Avista Corp.		603,026
		Total Common Stocks (Cost $230,364,553)		224,230,860
Principal
		Securities Lending Collateral — 22.3%
$	49,977,334	Securities Lending Collateral Investment (Note 4) (Cost $49,977,334)		49,977,334
		Total Securities (Cost $280,341,887)		274,208,194
		Repurchase Agreements — 0.4%
	813,732	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $813,756 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.37%, due 11/01/35, with a value of $830,192) (Cost $813,732)		813,732
		Total Investments — 122.6% (Cost $281,155,619)		275,021,926
		Liabilities less other assets — (22.6)%		(50,710,373	)
		Net Assets — 100.0%	$	224,311,553

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $281,155,619.

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

Gross unrealized appreciation	$	19,849,683
Gross unrealized depreciation		(25,983,376	)
Net unrealized depreciation	$	(6,133,693	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

124

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS

June 30, 2008
(Unaudited)

Shares			Value		Country
		Common Stocks — 95.7%
		Aerospace and Defense — 0.6%
	319,300	Finmeccanica SpA	$	8,385,401	ITA
	112,948	Saab AB-Class B		2,850,683	SWE
				11,236,084
		Agriculture — 2.4%
	7,989,100	Chaoda Modern Agriculture (Holdings), Ltd.		10,082,112	CAY
	136,700	Potash Corp. of Saskatchewan, Inc.		31,245,518	CDA
	21,471	Syngenta AG		6,983,251	SWI
				48,310,881
		Airlines — 2.9%
	2,009,000	Air New Zealand, Ltd.		1,668,964	NZE
	2,631,393	British Airways PLC		11,281,985	BRI
	2,019,000	Cathay Pacific Airways, Ltd.		3,847,810	HNG
	2,730,260	easyJet PLC*		14,669,728	BRI
	3,537,400	Qantas Airways, Ltd.		10,309,031	AUS
	427,326	Ryanair Holdings PLC (ADR)*(8)		12,251,436	IRE
	465,671	Singapore Airlines, Ltd.		5,031,325	SIN
				59,060,279
		Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 5.3%
	329,200	Alpine Electronics, Inc.		3,475,380	JPN
	1,119,000	Calsonic Kansei Corp.		4,478,740	JPN
	244,600	DaimlerChrysler AG		15,127,139	GER
	2,585,000	Fuji Heavy Industries, Ltd.		12,659,038	JPN
	10,200	Georg Fischer AG		4,188,635	SWI
	1,726,700	GKN PLC		7,669,700	BRI
	351,600	Honda Motor Company, Ltd.		11,953,440	JPN
	77,600	Magna International, Inc. — Class A		4,617,797	CDA
	1,442,800	Nissan Motor Company, Ltd.		11,916,331	JPN
	199,800	PSA Peugeot Citroen SA		10,849,696	FRA
	258,600	Toyota Auto Body Company, Ltd.		4,826,908	JPN
	280,400	Toyota Motor Corp.		13,229,778	JPN
	104,788	Valeo SA		3,365,663	FRA
				108,358,245
		Banks and Financial Services — 23.7%
	1,044,456	3i Group PLC		17,163,297	BRI
	178,400	ACOM Company, Ltd.		5,527,485	JPN
	535,600	Alliance & Leicester PLC		3,147,163	BRI
	192,400	Allied Irish Banks PLC		2,977,745	IRE
	232,400	Allied Irish Banks PLC		3,585,475	IRE
	239,500	Alpha Bank AE		7,239,951	GRC
	4,472,000	Aozora Bank, Ltd.*		10,233,988	JPN
	279,900	Banco Bilbao Vizcaya Argentaria SA		5,363,180	SPA
	318,300	Banco Espirito Santo, SA		4,966,371	POR
	1,923,500	Banco Santander Central Hispano SA		35,342,066	SPA
	2,469,900	Barclays PLC		14,340,839	BRI
	308,264	BNP Paribas SA		27,926,824	FRA
	983,100	Bradford & Bingley PLC		1,263,031	BRI
	266,800	Canadian Imperial Bank of Commerce(8)		14,678,317	CDA
	1,218,000	Chiba Bank, Ltd. (The)		8,534,087	JPN
	509,983	Commerzbank AG		15,127,441	GER
	176,800	Commonwealth Bank of Australia		6,808,386	AUS
	440,100	Credit Agricole SA		8,994,042	FRA
	222,300	Credit Suisse Group		10,205,932	SWI
	183,400	Danske Bank A/S		5,304,607	DEN
	84,100	Deutsche Bank AG		7,262,757	GER
	190,500	Dexia		3,047,316	BEL
	824,200	DNB NOR ASA		10,486,170	NOR
	279,200	Fortis		4,466,198	BEL
	1,561,512	HBOS PLC		8,584,422	BRI
	434,900	Hitachi Capital Corp.		7,003,616	JPN
	1,082,900	Intesa Sanpaolo		6,184,786	ITA
	319,800	Irish Life & Permanent PLC		3,328,195	IRE
	242,597	Julius Baer Holding AG		16,386,073	SWI
	253,800	Laurentian Bank of Canada		10,438,729	CDA
	1,895,100	Lloyds TSB Group PLC		11,730,051	BRI
	129,000	Macquarie Group, Ltd.(8)		6,015,107	AUS
	2,004,238	Man Group PLC		24,910,963	BRI
	6,387	Mizuho Financial Group, Inc.		29,834,271	JPN
	105,500	Muenchener Rueckversicherungs-Gesellschaft AG		18,480,784	GER

See notes to financial statements.

125

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Banks and Financial Services (continued)
	335,000	National Bank of Canada(8)	$	16,636,658	CDA
	435,900	Nordea Bank AB		6,014,710	SWE
	12,070	SFCG Company, Ltd.		1,436,783	JPN
	515,700	SNS Reaal		10,011,268	NET
	238,003	Societe Generale		20,718,480	FRA
	939,000	Sumitomo Trust and Banking Company, Ltd. (The)		6,561,548	JPN
	119,100	Sun Life Financial, Inc.		4,899,721	CDA
	396,719	Suncorp-Metway, Ltd.		4,959,303	AUS
	228,878	Svenska Handelsbanken AB — Class A		5,453,593	SWE
	182,300	Swedbank AB — Class A(8)		3,526,463	SWE
	1,170,260	UBS AG		24,561,083	SWI
				481,669,275
		Broadcast Services/Media — 0.6%
	321,400	Vivendi Universal SA		12,195,280	FRA
		Business Services and Supplies — 0.9%
	1,117,000	Marubeni Corp.		9,330,687	JPN
	2,119,178	Michael Page International PLC		9,866,785	BRI
				19,197,472
		Chemicals — 2.7%
	6,140	Arkema		347,050	FRA
	56,300	Ciba Specialty Chemicals AG(8)		1,626,916	SWI
	45,103	K + S AG		26,011,849	GER
	264,800	Methanex Corp.		7,484,099	CDA
	514,400	Mitsubishi Chemical Holdings Corp.		2,993,824	JPN
	171,800	Nova Chemicals Corp.		4,228,871	CDA
	765,500	Sumitomo Bakelite Company, Ltd.		4,174,078	JPN
	42,166	Wacker Chemie AG		8,813,705	GER
				55,680,392
		Computer Equipment, Software and Services — 1.6%
	855,912	Autonomy Corp. PLC*		15,454,450	BRI
	632,100	CGI Group, Inc. — Class A*		6,298,064	CDA
	462,000	High Tech Computer Corp.		10,350,213	TWN
	2,700	Open Text Corp.*(8)		86,399	CDA
				32,189,126
		Construction Services and Supplies — 1.3%
	353,700	Barratt Developments PLC		408,620	BRI
	8,800	Cementos Portland Valderrivas SA		667,819	SPA
	15,600	Ciments Francais SA		2,556,598	FRA
	84,600	Compagnie Generale de Geophysique Veritas (CGG — Veritas)		5,293,307	FRA
	43,500	Lafarge SA		6,670,103	FRA
	91,000	Maeda Road Construction Company, Ltd.		640,175	JPN
	910,000	Sanwa Shutter Corp.(8)		3,445,119	JPN
	94,539	Sodexo		6,209,894	FRA
	897,035	Taylor Wimpey PLC		1,107,791	BRI
				26,999,426
		Consumer Goods and Services — 0.2%
	302,100	Electrolux AB — Series B		3,862,498	SWE
		Diversified Operations and Services — 1.9%
	257,200	BASF AG		17,744,845	GER
	425,000	Mitsubishi Corp.		14,008,570	JPN
	549,600	Sumitomo Corp.		7,220,342	JPN
				38,973,757
		Electronics — 0.4%
	90,200	Sony Corp.		3,941,498	JPN
	810,100	Toshiba Tec Corp.		5,058,119	JPN
				8,999,617
		Energy Services — 3.7%
	1,689,812	Iberdrola Renovables*		13,089,781	SPA
	481,700	LDK Solar Company, Ltd. (ADR)(8)		18,246,796	CHN
	515,100	Renewable Energy Corp. A/S*		13,349,800	NOR
	235,000	Vestas Wind Systems A/S		30,760,460	DEN
				75,446,837
		Food and Beverage — 3.7%
	833,100	Cadbury PLC		10,495,770	BRI
	157,360	Carlsberg A/S — Class B(8)		15,199,130	DEN
	564,251	Compass Group PLC		4,265,213	BRI
	86,500	East Asiatic Company, Ltd. (A/S Det Ostasiatiske Kompagni)		5,989,951	DEN
	1,670,900	Foster’s Group, Ltd.		8,121,168	AUS

See notes to financial statements.

126

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Food and Beverage (continued)
	280,500	Greene King PLC	$	2,497,451	BRI
	304,720	Nestle SA		13,769,150	SWI
	1,537,300	Northern Foods PLC		1,883,174	BRI
	799,400	Tate & Lyle PLC		6,329,332	BRI
	251,928	Unilever NV — CVA		7,151,564	NET
				75,701,903
		Insurance — 5.7%
	85,525	Allianz SE		15,067,876	GER
	980,700	Amlin PLC		4,893,285	BRI
	730,700	Aviva PLC		7,291,778	BRI
	40,500	Fairfax Financial Holdings, Ltd.		10,366,284	CDA
	1,939,300	Friends Provident PLC		3,947,776	BRI
	564,500	ING Groep NV		18,002,179	NET
	1,003,300	Milano Assicurazioni SpA		5,173,340	ITA
	4,176,300	Old Mutual PLC		7,719,627	BRI
	4,156,900	Royal & Sun Alliance Insurance Group PLC		10,399,581	BRI
	311,100	SCOR SE		7,131,654	FRA
	94,700	Swiss Re		6,308,389	SWI
	75,400	Zurich Financial Services AG		19,301,160	SWI
				115,602,929
		Machinery — 0.9%
	219,700	Heidelberger Druckmaschinen AG		4,507,164	GER
	285,500	Komatsu, Ltd.		7,958,563	JPN
	15,900	Rieter Holding AG		5,186,897	SWI
				17,652,624
		Manufacturing — 2.4%
	63,934	Alstom		14,763,932	FRA
	140,213	Gamesa Corporacion Tecnologica, SA		6,892,076	SPA
	2,038,291	Hansen Transmissions*		10,921,319	BEL
	1,126,300	IMI PLC		9,792,531	BRI
	704,000	Kurabo Industries, Ltd.		1,445,327	JPN
	1,155,936	Tomkins PLC		3,476,701	BRI
	164,600	Trelleborg AB — Class B		2,487,127	SWE
				49,779,013
		Medical Equipment, Supplies, and Services — 0.2%
	31,927	Synthes, Inc.*		4,400,491	USA
		Metals and Mining — 3.9%
	33,520	ArcelorMittal		3,314,305	LUX
	646,100	BlueScope Steel, Ltd.		7,023,812	AUS
	47,100	Cameco Corp.		2,019,177	CDA
	86,100	Companhia Vale do Rio Doce (ADR)		3,084,102	BRA
	364,245	Eurasian Natural Resources Corp.*		9,671,200	KAZ
	1,202,100	Minara Resources, Ltd.		3,745,278	AUS
	37,300	Norddeutsche Affinerie AG		2,036,065	GER
	80,200	Rautaruukki Oyj		3,669,432	FIN
	302,400	ThyssenKrupp AG		18,987,413	GER
	35,438	Vallourec SA		12,437,344	FRA
	94,700	voestalpine AG		7,775,587	AST
	68,466	Xstrata PLC		5,487,690	BRI
				79,251,405
		Office Equipment, Supplies, and Services — 1.1%
	409,000	Brother Industries, Ltd.		5,619,730	JPN
	193,900	Oce NV		2,390,388	NET
	655,000	Ricoh Company, Ltd.		11,818,807	JPN
	3,314,500	TPV Technology, Ltd.		1,725,848	HNG
				21,554,773
		Oil, Coal and Gas — 10.4%
	2,245,100	BP PLC		26,082,371	BRI
	1,593,200	Cosmo Oil Company, Ltd.		5,761,537	JPN
	73,700	EnCana Corp.		6,747,702	CDA
	822,300	Eni SpA		30,683,685	ITA
	92,200	Gazprom (ADR)		5,384,480	SUR
	987,100	Nippon Oil Corp.		6,628,076	JPN
	174,800	Norsk Hydro ASA		2,553,428	NOR
	139,900	Petro-Canada		7,835,333	CDA
	52,800	Petroleo Brasileiro SA — Petrobras (ADR)		3,739,824	BRA
	495,900	Repsol YPF SA		19,542,667	SPA
	1,290,100	Royal Dutch Shell PLC — Class B		51,907,651	BRI
	330,500	Seadrill, Ltd.		10,106,686	BER
	735,500	Showa Shell Sekiyu KK		8,055,625	JPN
	150,712	StatoilHydro ASA		5,619,298	NOR
	245,600	Total SA		20,958,323	FRA
				211,606,686

See notes to financial statements.

127

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Pharmaceuticals/Research and Development — 6.4%
	453,800	AstraZeneca PLC	$	19,361,571	BRI
	338,900	Biovail Corp.		3,300,262	CDA
	446,581	CSL, Ltd.		15,283,701	AUS
	657,700	Elan Corp. PLC (ADR)*(8)		23,381,234	IRE
	285,300	GlaxoSmithKline PLC		6,324,899	BRI
	205,876	H Lundbeck A/S		4,694,213	DEN
	96,401	Merck KGaA		13,704,086	GER
	73,618	Novartis AG		4,053,656	SWI
	324,400	Recordati SpA		2,530,774	ITA
	333,700	Sanofi-Aventis		22,292,466	FRA
	4,274,262	Sigma Pharmaceuticals, Ltd.		4,036,058	AUS
	21,000	Tanabe Seiyaku Company, Ltd.		274,502	JPN
	218,700	Teva Pharmaceutical Industries, Ltd. (ADR)		10,016,460	ISR
				129,253,882
		Retail — 2.0%
	1,395,146	Arcandor AG*(8)		16,210,816	GER
	2,866,911	Carphone Warehouse PLC(8)		11,300,994	BRI
	366,700	Circle K Sunkus Company, Ltd.		6,444,057	JPN
	1,912,500	Dixons Group PLC		1,695,189	BRI
	590,900	JJB Sports PLC		1,327,050	BRI
	10,300	Valora Holding AG		2,742,499	SWI
				39,720,605
		Retail: Restaurants — 0.1%
	112,200	Plenus Company, Ltd.(8)		1,698,031	JPN
		Semiconductors — 1.8%
	10,123,539	ARM Holdings PLC		17,190,297	BRI
	338,691	ASML Holding NV		8,345,395	NET
	193,400	Elpida Memory, Inc.*		6,192,588	JPN
	520,647	Infineon Technologies AG*		4,533,122	GER
				36,261,402
		Telecommunications Equipment and Services — 6.1%
	4,188,000	BT Group PLC		16,675,394	BRI
	157,300	Elcoteq Network Corp. — Class A		1,287,837	FIN
	1,588,500	MobileOne, Ltd.		2,194,980	SIN
	3,900	Nippon Telegraph and Telephone Corp.		19,098,743	JPN
	505,727	Nokia Oyj		12,333,787	FIN
	13,800	NTT DoCoMo, Inc.		20,274,050	JPN
	180,700	Orascom Telecom Holding SAE (GDR)		11,069,682	EGP
	185,075	Research In Motion, Ltd.*		21,635,267	CDA
	17,000	Swisscom AG		5,670,550	SWI
	244,400	Telefonica SA		6,495,349	SPA
	140,900	Vimpel – Communications (ADR)		4,181,912	SUR
	395,600	VTech Holdings, Ltd.		2,384,584	BER
				123,302,135
		Toys — 1.4%
	51,700	Nintendo Company, Ltd.		29,164,477	JPN
		Transportation — 0.6%
	2,535,000	Neptune Orient Lines, Ltd.		6,018,191	SIN
	1,367,100	Orient Overseas International, Ltd.		6,837,911	BER
				12,856,102
		Utilities — 0.8%
	95,900	ATCO, Ltd. — Class I		4,897,041	CDA
	643,700	Enel SpA		6,121,380	ITA
	921,000	Hongkong Electric Holdings, Ltd.		5,510,231	HNG
				16,528,652
		Total Common Stocks (Cost $1,956,162,305)		1,946,514,279
		Rights — 0.2%
		Banks and Financial Services
	529,264	Barclays PLC(14)		2,972,886	BRI
	624,605	HBOS PLC — NPR		133,743	BRI
		Total Rights (Cost $0)		3,106,629
Principal
		Securities Lending Collateral — 5.7%
$	115,136,610	Securities Lending Collateral Investment (Note 4) (Cost $115,136,610)		115,136,610	USA
		Total Securities (Cost $2,071,298,915)		2,064,757,518

See notes to financial statements.

128

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

Principal			Value			Country
		Repurchase Agreements — 2.5%
$	50,800,042	With State Street Bank and Trust, dated 06/30/08, 1.05%, due 07/01/08, repurchase proceeds at maturity $50,801,523 (Collateralized by Federal Home Loan Bank, 2.55%, due 11/19/08, with a value of $51,573,750 and Freddie Mac Adjustable Rate Mortgage, 2.82%, due 12/15/35, with a value of $816,805) (Cost $50,800,042)	$	50,800,042		USA
		Total Investments — 104.1%
		(Cost $2,122,098,957)		2,115,557,560
		Liabilities less other assets — (4.1)%		(82,707,528	)
		Net Assets — 100.0%	$	2,032,850,032

The aggregate cost of securities for federal income tax purposes at June 30, 2008 is $2,122,098,957.

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

Gross unrealized appreciation	$	242,672,734
Gross unrealized depreciation		(249,214,131	)
Net unrealized depreciation	$	(6,541,397	)

See summary of footnotes and abbreviations to portfolios.

See notes to financial statements.

129

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2008
(Unaudited)

	Percent of Total
Country Composition	Investments at Value
Australia (AUS)		3.13	%
Austria (AST)		0.37
Belgium (BEL)		0.87
Bermuda (BER)		1.00
Brazil (BRA)		0.32
Canada (CDA)		7.44
Cayman Islands (CAY)		1.34
Denmark (DEN)		2.93
Egypt (EGP)		0.52
Finland (FIN)		0.82
France (FRA)		8.64
Germany (GER)		8.68
Greece (GRC)		0.34
Hong Kong (HNG)		0.44
Ireland (IRE)		2.15
Israel (ISR)		0.47
Italy (ITA)		2.79
Japan (JPN)		14.80
Kazakhstan (KAZ)		0.46
Luxembourg (LUX)		0.16
New Zealand (NZE)		0.08
Norway (NOR)		1.51
Portugal (POR)		0.23
Russia (SUR)		0.45
Singapore (SIN)		0.63
Spain (SPA)		4.13
Sweden (SWE)		1.14
Switzerland (SWI)		5.72
Taiwan (TWN)		0.49
The Netherlands (NET)		2.17
United Kingdom (BRI)		17.73
United States (USA)		8.05
Total Percentage		100.00	%

See notes to financial statements.

130

TRANSAMERICA PARTNERS PORTFOLIOS

SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS
June 30, 2008
(Unaudited)

Footnotes:
*	Non-income producing security.
144A	All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.

1)	Variable rate security. The rate shown was in effect at June 30, 2008.
2)	Quarterly reset provision. The rate shown was in effect at June 30, 2008.
3)	Monthly reset provision. The rate shown was in effect at June 30, 2008.
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 June 30, 2008.
11)	Floating rate security. The interest rate is subject to change semi-annually based on the London Interbank Offered Rate (“LIBOR”). The rate shown was in effect at June 30, 2008.
12)	PIK (“Payment-In-Kind”) bond. These bonds pay interest in the form of additional bonds.
13)	Security was in bankruptcy reorganization. Recovery will be determined at the conclusion of the bankruptcy.
14)	Fair valued at June 30, 2008.
	Following are the market values (as determined by fair valuation) and the corresponding percentage of Portfolio net assets of all fair valued securities at June 30, 2008.

Series	Market Value		Percentage
High Yield Bond	$	4,011,406		0.65	%
Value Fund		4,398,421		3.84
International Equity		2,972,886		0.15

15)	A portion of the market value of the repurchase agreement represents the investment of the $2,400,000 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.
PIPE	Private Investment in Public Equity. Involves the selling of publicly traded shares to private investors. Shares are sold at a slight discount to the public market price, and the issuer typically agrees to use its best efforts to register the resale of those same securities for the benefit of the purchaser.
REG S	Security is sold under Regulation S of the Securities Act of 1933, which governs offers and sales outside the US without registration under the Securities Act of 1933. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
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.

131

TRANSAMERICA PARTNERS PORTFOLIOS
PORTFOLIO COMPOSITION

June 30, 2008
(Unaudited)

The following charts summarize the portfolio composition of each Series by asset type as a percentage of net assets.

Money Market Series
Short Term US Government Agency Securities	64.8	%
Repurchase Agreements/Cash Equivalents	29.4
Short Term Corporate Notes	4.9
Yankee Certificates of Deposit	0.9
Other assets less liabilities	0.0	*
	100.0	%
High Quality Bond Series
Corporate Bonds and Notes	68.8	%
US Government Agency Securities	22.9
US Treasury Securities	4.4
Securities Lending Collateral	3.5
Municipal Bonds	1.2
Foreign Government Obligations	0.8
Repurchase Agreements/Cash Equivalents	0.7
Short Term US Government Agency Securities	0.6
Liabilities less other assets	(2.9	)
	100.0	%
Inflation-Protected Securities Series
US Treasury Securities	91.2	%
US Government Agency Securities	5.5
Short Term US Government Agency Securities	3.4
Corporate Bonds and Notes	3.3
Repurchase Agreements/Cash Equivalents	1.6
Call Options Written	(0.0	)*
Put Options Written	(0.2	)
Liabilities less other assets	(4.8	)
	100.0	%
Core Bond Series
Corporate Bonds and Notes	56.9	%
US Government Agency Securities	49.8
US Treasury Securities	5.7
Securities Lending Collateral	3.5
Foreign Government Obligations	1.3
Short Term US Government Agency Securities	1.1
Preferred Stocks	0.9
Repurchase Agreements/Cash Equivalents	0.6
Purchased Call Options	0.3
Purchased Put Options	0.1
Call Options Written	(0.1	)
Put Options Written	(0.2	)
Liabilities less other assets	(6.6	)
Securities Sold Short	(13.3	)
	100.0	%
Total Return Bond Series
Corporate Bonds and Notes	49.0	%
US Government Agency Securities	46.0
Repurchase Agreements/Cash Equivalents	15.9
US Treasury Securities	15.6
Securities Lending Collateral	9.0
Foreign Government Obligations	0.6
Preferred Stocks	0.4
Municipal Bonds	0.1
Convertible Bonds	0.0	*
Purchased Call Options	0.0	*
Purchased Put Options	0.0	*
Call Options Written	(0.0	)*
Put Options Written	(0.0	)*
Liabilities less other assets	(36.6	)
	100.0	%
High Yield Bond Series
Corporate Bonds and Notes	85.4	%
Repurchase Agreements/Cash Equivalents	8.5
Loan Participations	5.0
Convertible Preferred Stocks	0.9
Preferred Stocks	0.4
Common Stocks	0.2
Convertible Bonds	0.2
Liabilities less other assets	(0.6	)
	100.0	%

See notes to financial statements.

132

TRANSAMERICA PARTNERS PORTFOLIOS
PORTFOLIO COMPOSITION (Continued)

June 30, 2008
(Unaudited)

Balanced Series
Common Stocks	59.0	%
Corporate Bonds and Notes	26.5
US Government Agency Securities	18.5
Securities Lending Collateral	4.2
Repurchase Agreements/Cash Equivalents	1.3
Municipal Bonds	0.5
Foreign Government Obligations	0.4
Preferred Stocks	0.3
US Treasury Securities	0.0	*
Convertible Bonds	0.0	*
Purchased Put Options	0.0	*
Call Options Written	(0.0	)*
Liabilities less other assets	(10.7	)
	100.0	%
Large Value Series (formerly, Value & Income)
Common Stocks	99.6	%
Securities Lending Collateral	7.6
Repurchase Agreements/Cash Equivalents	0.4
Liabilities less other assets	(7.6	)
	100.0	%
Value Series
Common Stocks	94.2	%
Securities Lending Collateral	12.2
Preferred Stocks	3.8
Repurchase Agreements/Cash Equivalents	2.0
Liabilities less other assets	(12.2	)
	100.0	%
Large Core Series (formerly, Growth & Income)
Common Stocks	98.8	%
Securities Lending Collateral	7.6
Repurchase Agreements/Cash Equivalents	1.5
Liabilities less other assets	(7.9	)
	100.0	%
Large Growth Series (formerly, Equity Growth)
Common Stocks	98.1	%
Securities Lending Collateral	4.3
Repurchase Agreements/Cash Equivalents	1.6
Liabilities less other assets	(4.0	)
	100.0	%
Growth Series (formerly, Aggressive Equity)
Common Stocks	100.3	%
Securities Lending Collateral	8.2
Repurchase Agreements/Cash Equivalents	0.3
Liabilities less other assets	(8.8	)
	100.0	%
Mid Value Series (formerly, Mid-Cap Value)
Common Stocks	94.2	%
Securities Lending Collateral	12.0
Repurchase Agreements/Cash Equivalents	5.4
Convertible Bonds	0.0	*
Liabilities less other assets	(11.6	)
	100.0	%
Mid Growth Series (formerly, Mid-Cap Growth)
Common Stocks	96.5	%
Securities Lending Collateral	11.0
Repurchase Agreements/Cash Equivalents	4.3
Liabilities less other assets	(11.8	)
	100.0	%
Small Value Series (formerly, Small-Cap Value)
Common Stocks	96.4	%
Securities Lending Collateral	22.9
Repurchase Agreements/Cash Equivalents	3.2
Liabilities less other assets	(22.5	)
	100.0	%
Small Core Series (formerly, Special Equity)
Common Stocks	96.5	%
Securities Lending Collateral	19.0
Repurchase Agreements/Cash Equivalents	3.1
Short Term US Treasury Securities	0.1
Preferred Stocks	0.1
Rights	0.0	*
Warrants	0.0	*
Liabilities less other assets	(18.8	)
	100.0	%
Small Growth Series (formerly, Small-Cap Growth)
Common Stocks	99.9	%
Securities Lending Collateral	22.3
Repurchase Agreements/Cash Equivalents	0.4
Liabilities less other assets	(22.6	)
	100.0	%

See notes to financial statements.

133

TRANSAMERICA PARTNERS PORTFOLIOS
PORTFOLIO COMPOSITION (Continued)

June 30, 2008
(Unaudited)

International Equity Series
Common Stocks	95.7	%
Securities Lending Collateral	5.7
Repurchase Agreements/Cash Equivalents	2.5
Rights	0.2
Liabilities less other assets	(4.1	)
	100.0	%

* Amount rounds to less than 0.05%.

See notes to financial statements.

134

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
(Unaudited)

1. Organization and Business

Transamerica Partners Portfolios (formerly, the 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, the Core Bond Portfolio, the Total Return Bond Portfolio, the High Yield Bond Portfolio, the Balanced Portfolio, the Large Value Portfolio (formerly, the Value & Income Portfolio), the Value Portfolio, the Large Core Portfolio (formerly, the Growth & Income Portfolio), the Large Growth Portfolio (formerly, the Equity Growth Portfolio), the Growth Portfolio (formerly, the Aggressive Equity Portfolio), the Mid Value Portfolio (formerly, the Mid-Cap Value Portfolio), the Mid Growth Portfolio (formerly, the Mid-Cap Growth Portfolio), the Small Value Portfolio (formerly, the Small-Cap Value Portfolio), the Small Core Portfolio (formerly, the Special Equity Portfolio), the Small Growth Portfolio (formerly, the Small-Cap Growth Portfolio), and the International Equity Portfolio (each a “Series”). The effective date of name changes for selected Series was May 1, 2008. 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.

Core Bond — The Series’ goal is to achieve maximum total return.

Total Return Bond — The Series’ goal is to maximize long-term total return.

High Yield Bond — The Series’ goal is to provide a high level of current income.

Balanced — The Series’ goal is to provide a high total investment return through investment in a broadly diversified portfolio of stocks, bonds and money market instruments.

Large Value — 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.

Large Core — The Series’ goal is to provide capital appreciation and current income.

Large 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.

Growth — The Series’ goal is to provide a high level of capital appreciation primarily through investing in a diversified portfolio of common stocks.

Mid Value — The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.

Mid Growth — The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.

135

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

1. Organization and Business (continued)

Small Value — The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.

Small Core — 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 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, all Series apply fair value pricing on a daily basis for all non-US and non-Canadian equity securities held in their portfolios 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.

136

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

     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 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.

None of the Series isolates 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.

137

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

As of June 30, 2008, the Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced 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 on written options, as the counterparty has already performed its obligation by paying the premium at the inception of the contract. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Series realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written.

Transactions in options written for the period ended June 30, 2008 were as follows:

	Inflation-Protected
	Securities				Core Bond
	Number of				Number of
	Contracts		Premiums		Contracts			Premiums
Written call options outstanding at December 31, 2007		—	$	—		217		$	123,969
Call options written		59		50,057		35,600,328			1,846,749
Call options terminated in closing purchase transactions		—		—		(325	)		(181,042	)
Call options expired		—		—		—			—
Written call options outstanding at June 30, 2008		59	$	50,057		35,600,220		$	1,789,676
Written put options outstanding at December 31, 2007		—	$	—		—		$	—
Put options written		65,700,059		405,623		170,600,583			2,773,824
Put options terminated in closing purchase transactions		—		—		(363	)		(214,468	)
Put options expired		—		—		—			—
Written put options outstanding at June 30, 2008		65,700,059	$	405,623		170,600,220		$	2,559,356

138

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

	Total Return Bond						Balanced
	Number of						Number of
	Contracts			Premiums			Contracts			Premiums
Written call options outstanding at December 31, 2007		141		$	101,733			56		$	40,189
Call options written		456			255,982			127			70,699
Call options terminated in closing purchase transactions		(596	)		(357,189	)		(182	)		(110,356	)
Call options expired		—			—			—			—
Written call options outstanding at June 30, 2008		1		$	526			1		$	532
Written put options outstanding at December 31, 2007		118		$	96,535			43		$	35,254
Put options written		488			346,717			134			94,095
Put options terminated in closing purchase transactions		(605	)		(442,382	)		(177	)		(129,349	)
Put options expired		—			—			—			—
Written put options outstanding at June 30, 2008		1		$	870			—		$	—

     F. Futures Contracts:

Each Series, with the exception of the Money Market Series, may enter into futures contracts for the purpose of hedging its existing portfolio securities, or securities that the Series intends to purchase, against fluctuations in market value caused by changes in prevailing market or interest rates. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the daily market value of the contract.

Variation margin payments are received or made by each Series each day, depending upon the daily fluctuations in the market value of the underlying instrument. Each Series recognizes an unrealized gain or loss equal to the daily variation margin. When the contract is closed, the Series records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the basis in the contract.

Should market conditions move unexpectedly, the Series may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets. These contracts may involve market risk in excess of the unrealized gains or losses reflected in the Series’ Statement of Assets and Liabilities.

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.

139

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

Open futures contracts as of June 30, 2008:

				Value as of		Net Unrealized
	Number of			June 30,		Appreciation/
Series	Contracts	Description	Expiration Date	2008		(Depreciation)
Inflation-Protected Securities	68 Long	90 Day Euro Future	June 2009	$	16,399,900	$	(97,857	)
	105 Long	Euribor Future	September 2008		22,731		355
	70 Long	US Treasury Note 5 Year Future	September 2008		7,738,828		16,273
	4 Short	90 Day Euro Future	December 2008		968,200		(2,536	)
	68 Short	90 Day Euro Future	June 2010		16,247,750		128,343
	103 Short	US Long Bond Future	September 2008		11,906,156		(293,095	)
	238 Short	US Treasury Note 2 Year Future	September 2008		50,266,344		(235,807	)
	70 Short	US Treasury Note 10 Year Future	September 2008		7,974,531		792
						$	(483,532	)
Core Bond	337 Long	90 Day Euro Future	December 2008	$	81,570,850	$	(708,841	)
	600 Long	90 Day Euro Future	March 2009		145,020,000		302,345
	181 Long	90 Day Euro Future	June 2009		43,652,675		(230,850	)
	253 Long	Euro Bund Future	September 2008		44,043,995		(524,683	)
	1841 Long	US Treasury Note 10 Year Future	September 2008		209,730,172		1,248,915
	383 Short	90 Day Euro Future	June 2010		91,513,063		831,087
	258 Short	US Long Bond Future	September 2008		29,823,188		(638,732	)
	1526 Short	US Treasury Note 2 Year Future	September 2008		322,295,969		(2,093,889	)
	2931 Short	US Treasury Note 5 Year Future	September 2008		324,035,789		(332,721	)
						$	(2,147,369	)
Total Return Bond	107 Long	90 Day Euro Future	September 2008	$	25,966,225	$	(23,747	)
	44 Long	90 Day Euro Future	December 2008		10,650,200		(41,883	)
	352 Long	90 Day Euro Future	March 2009		85,078,400		(257,573	)
	51 Long	90 Day British Pound Sterling
		LIBOR Future	September 2008		47,693,852		(706,413	)
	106 Long	90 Day British Pound Sterling
		LIBOR Future	December 2008		24,749,110		(411,465	)
	107 Long	90 Day LIBOR Future	March 2009		24,991,916		7,194
	39 Long	Euribor Future	September 2008		14,571,830		(241,426	)
	124 Long	Euribor Future	December 2008		46,243,092		(453,733	)
	154 Long	Euro BOBL Future	September 2008		25,647,979		(251,635	)
	94 Long	US Long Bond Future	September 2008		10,865,813		48,257
	58 Long	US Treasury Note 2 Year Future	September 2008		12,249,781		(1,806	)
	39 Long	US Treasury Note 5 Year Future	September 2008		4,311,633		1,110
	135 Short	US Treasury Note 10 Year Future	September 2008		15,379,453		26,130
						$	(2,306,990	)

140

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

				Value as of		Net Unrealized
	Number of			June 30,		Appreciation/
Series	Contracts	Description	Expiration Date	2008		(Depreciation)
Balanced	35 Long	90 Day Euro Future	September 2008	$	8,493,625	$	(1,913	)
	17 Long	90 Day Euro Future	December 2008		4,114,850		(5,485	)
	113 Long	90 Day Euro Future	March 2009		27,312,100		(74,103	)
	5 Long	90 Day Euro Future	June 2009		1,205,875		4,475
	5 Long	90 Day Euro Future	September 2009		1,202,688		2,975
	15 Long	90 Day British Pound Sterling
		LIBOR Future	September 2008		14,027,604		(208,125	)
	31 Long	90 Day British Pound Sterling
		LIBOR Future	December 2008		7,237,947		(120,321	)
	27 Long	90 Day LIBOR Future	March 2009		6,306,372		1,900
	11 Long	Euribor Future	September 2008		4,110,004		(68,094	)
	40 Long	Euribor Future	December 2008		14,917,127		(141,067	)
	40 Long	Euro BOBL Future	September 2008		6,661,813		(64,141	)
	13 Long	S&P 500 Emini Future	September 2008		832,715		(51,280	)
	52 Long	US Long Bond Future	September 2008		6,010,875		26,248
	31 Long	US Treasury Note 2 Year Future	September 2008		6,547,297		(483	)
	66 Short	US Treasury Note 5 Year Future	September 2008		7,296,609		(3,713	)
	32 Short	US Treasury Note 10 Year Future	September 2008		3,645,500		7,887
						$	(695,240	)
Large Core	2 Long	NASDAQ 100 Future	September 2008	$	369,200	$	(29,021	)
	4 Long	S&P 500 Future	September 2008		1,281,100		(77,440	)
						$	(106,461	)
Small Core	7 Long	Russell 2000 Future	September 2008	$	2,420,950	$	(66,110	)

BOBL - Bundesobligationen

Euribor - Euro Interbank Offered Rate

LIBOR - London Interbank Offered Rate

The Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced Series, Large Core Series, and Small Core 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 $4,257,851 of cash, and the Balanced Series has segregated $1,782,319 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.

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

141

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

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 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 will receive 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 or 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-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 June 30, 2008, this amount had reached a cumulative total of $2,400,000 in the Core Bond Series. This cash collateral was invested in the repurchase agreement for the Core Bond Series.

During the period ended June 30, 2008, the Core Bond Series entered into interest rate and total return swaps.

142

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

Outstanding swap agreements as of June 30, 2008:

Core Bond Series

Interest Rate Swaps:

	Payments Made by	Payments Received
Swap Counterparty	the Series	by the Series	Termination Date		Notional Amount			Value
Citigroup Global Markets	3 month LIBOR	2.74% semi-annual		02/14/10	$	124,100,000		$	(473,197	)
Citigroup Global Markets	3 month LIBOR	5.18% semi-annual		09/20/10		100,000,000			4,609,791
Citigroup Global Markets	3 month LIBOR	5.27% semi-annual		08/06/12		74,800,000			4,434,402
Citigroup Global Markets	3 month LIBOR	5.53% semi-annual		06/05/17		17,800,000			1,220,753
Citigroup Global Markets	5.64% semi-annual	3 month LIBOR		07/05/17		38,000,000			(3,651,903	)
Citigroup Global Markets	5.31% semi-annual	3 month LIBOR		10/16/17		133,900,000			(7,434,407	)
Deutsche Bank AG	6 month LIBOR	5.14% semi-annual		04/17/13		11,300,000	(1)		(891,709	)
Deutsche Bank AG	6 month LIBOR	5.29% semi-annual		04/22/13		11,300,000	(1)		(739,500	)
Deutsche Bank AG	3 month LIBOR	4.27% semi-annual		07/01/13		82,600,000			(1,301	)
Deutsche Bank AG	4.31% semi-annual	3 month LIBOR		01/17/18		28,800,000			372,911
Deutsche Bank AG	4.68% semi-annual	3 month LIBOR		07/01/18		46,300,000			(2,491	)
Goldman Sachs Capital Markets, LP	3 month LIBOR	5.50% semi-annual		07/12/12		220,000,000			15,549,352
Goldman Sachs Capital Markets, LP	3 month LIBOR	4.31% semi-annual		06/11/13		109,400,000			344,971
Goldman Sachs Capital Markets, LP	4.56% semi-annual	3 month LIBOR		01/04/18		53,600,000			(435,967	)
Goldman Sachs Capital Markets, LP	3 month LIBOR	4.89% semi-annual		06/16/18		40,000,000			697,110
Wachovia Securities	3 month LIBOR	5.20% semi-annual		09/07/11		100,000,000			5,224,042
								$	18,822,857

Total Return Swaps:

		Payments		Payments
	Referenced	made by the		received by	Termination
Swap Counterparty	Obligation	Series		the Series	Date		Notional Amount		Value
Deutsche Bank AG	Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index		3.57% monthly	Lehman Collaterized Mortgage-Backed Securities US Investment-Grade 8.5+ Index + 150 bps.		08/01/08	$	13,990,000	$(512,048)

(1) Notional amount expressed in British Pound Sterling.

LIBOR — London 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

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2. Significant Accounting Policies (continued)

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 (the “1940 Act”). Short sales by the Series involve certain risks and special considerations. Possible losses from short sales differ from losses that could be incurred from a purchase of a security because losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested.

     I. Dollar Rolls:

Each Series, with the exception of the Money Market Series, may enter into dollar rolls (principally using TBA’s) in which the Series sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Series account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Series maintains liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Series is required to purchase may decline below the agreed upon repurchase price of those securities.

The Core Bond Series, Total Return Bond Series, and Balanced Series had TBA dollar rolls outstanding as of June 30, 2008, 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.

     K. Commission Recapture:

The sub-advisors of certain Series, to the extent consistent with the best execution and usual commission rate policies and practices, have elected to place security transactions of the Series with broker/dealers with which other Funds or Series advised by TAM have established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer from security transactions to a Series. In no event will commissions paid by the

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2. Significant Accounting Policies (continued)

Series be used to pay expenses that would otherwise be borne by any other Funds or Series advised by TAM or by any other party.

Recaptured commissions during the period ended June 30, 2008 are included in net realized gains on the Statement of Operations and are summarized as follows:

Series	Commissions
Large Value	$	73,731
Large Growth		95,022
Growth		56,603
Mid Value		50,894
Mid Growth		17,532
Small Value		139,006
Small Core		36,303
Small Growth		30,334
International Equity		43,292

     L. 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.

     M. 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.

     N. 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.

     O. 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

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2. Significant Accounting Policies (continued)

time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.

     P. 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.

     Q. Accounting Pronouncements:

In September 2006, the Financial Accounting Standards Board (“FASB”) issued 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 became effective for financial statements issued for fiscal years beginning after November 15, 2007 and was adopted by the Series on January 1, 2008.

Various inputs are used in determining the value of each Series’ investments. These inputs are summarized in the three broad levels listed below:

Level 1 — Quoted prices in active markets for identical securities.

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 — Significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not an indication of the risks associated with investing in those securities.

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2. Significant Accounting Policies (continued)

The following is a summary of the inputs used to value each Series’ net assets as of June 30, 2008:

							Total Investments in
	Investments in Securities						Securities (net of
	(net of Call and Put Options Written)						Call and Put		Other Financial Instruments*
Series	Level 1		Level 2		Level 3		Options Written)		Level 1		Level 2			Level 3
Money Market	$	—	$	1,173,102,913	$	—	$	1,173,102,913	$	—	$	—		$	—
High Quality		18,486,913		521,266,434		—		539,753,347		—		—			—
Inflation-Protected Securities		—		539,852,122		—		539,852,122		—		(347,463	)		—
Core Bond		88,585,726		2,048,143,517		—		2,136,729,243		—		16,245,083			—
Total Return Bond		39,122,919		526,828,514		—		565,951,433		—		(2,321,428	)		—
High Yield		6,415,339		610,757,832		—		617,173,171		—		—			—
Balanced		160,725,297		119,457,598		—		280,182,895		—		(699,308	)		—
Large Value		2,543,593,911		10,097,212		—		2,553,691,123		—		—			—
Value		121,890,263		6,694,910		—		128,585,173		—		—			—
Large Core		510,098,504		7,298,597		—		517,397,101		—		(106,461	)		—
Large Growth		1,942,291,693		30,065,435		—		1,972,357,128		—		—			—
Growth		350,015,998		1,097,615		—		351,113,613		—		—			—
Mid Value		963,274,262		49,035,809		—		1,012,310,071		—		—			—
Mid Growth		394,036,724		15,758,106		—		409,794,830		—		—			—
Small Value		252,329,528		6,762,889		—		259,092,417		—		—			—
Small Core		772,565,300		21,131,780		—		793,697,080		—		(66,110	)		—
Small Growth		274,208,194		813,732		—		275,021,926		—		—			—
International Equity		2,061,650,889		53,906,671		—		2,115,557,560		—		(127,042	)		—

* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

In addition, in March 2008, FASB issued Standard No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 will require enhanced disclosure regarding each Series’ derivative and hedging activities. Management is currently evaluating the impact FAS 161 will have on the Series’ financial statements. FAS 161 is effective for fiscal years beginning after November 15, 2008.

3. Fees and Transactions with Affiliates

Transamerica Financial Life Insurance Company (“TFLIC”), a wholly-owned subsidiary of AEGON USA, LLC (“AEGON USA”), is an affiliate of Transamerica Asset Management, Inc. (the “Advisor” or “TAM”). TAM is directly owned by Western Reserve Life Assurance Co. of Ohio (77%) (“Western Reserve”) and AUSA Holding Company (23%)(“AUSA”), both of which are indirect, wholly owned subsidiaries of AEGON NV. AUSA is wholly owned by AEGON USA, a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV,

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(Unaudited)

3. Fees and Transactions with Affiliates (continued)

a Netherlands corporation, and 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		5.65	%
High Quality Bond		12.27
Inflation-Protected Securities		12.73
Core Bond		7.89
High Yield Bond		5.28
Balanced		31.80
Large Value		9.07
Large Core		35.52
Large Growth		16.65
Growth		27.07
Mid Value		4.05
Mid Growth		0.94
Small Value		0.80
Small Core		23.27
Small Growth		0.74
International Equity		11.02

The Advisor manages the assets of each Series of 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.

For each Series, the Advisor has entered into Investment Subadvisory Agreements with the Subadvisors listed in the table below (each a “Subadvisor”, collectively the “Subadvisors”). It is the responsibility of each Subadvisor to make the day-to-day investment decisions of the Series and to place the purchase and sales orders for securities transactions of such Series, subject in all cases to the general supervision of the Advisor. Payment of fees to the Subadvisors is the responsibility of the Advisor, and is not an additional expense of a Series.

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(Unaudited)

3. Fees and Transactions with Affiliates (continued)

		Advisory
Series	Series Subadvisor	Fee (%)
Money Market	GE Asset Management, Inc.		0.25
High Quality Bond	Merganser Capital Management, LP		0.35	(1)
Inflation-Protected Securities	BlackRock Financial Management, Inc.		0.35
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.
Large Value	AllianceBernstein, LP		0.45
	TCW Investment Management Company
Value	Hotchkis and Wiley Capital Management, LLC		0.50	(1)
Large Core	Aronson+Johnson+Ortiz, LP		0.60	(1)
	Blackrock Financial Management, Inc.
Large Growth	Marsico Capital Management, LLC		0.62	(1)
	OFI Institutional Asset Management, Inc.
	Wellington Management Company, LLP
Growth	Turner Investment Partners, Inc.		0.77	(1)
Mid Value	Cramer, Rosenthal, McGlynn, LLC		0.67	(1)
	LSV Asset Management
	RiverSource Investments, LLC
Mid Growth	Columbus Circle Investors		0.72	(1)
Small Value	Mesirow Financial Investment Management, Inc.		0.82	(1)
	OFI Institutional Asset Management, Inc.
Small Core	INVESCO Institutional (NA), Inc.		0.80	(1)
	Mazama Capital Management(a)
	RS Investment Management Co., LLC
	Wellington Management Company, LLP
Small Growth	Perimeter Capital Partners LLC		0.87	(1)
International Equity	LSV Asset Management		0.75
	Wellington Management Company, LLP

(1)	For the six-months ended June 30, 2008, the Advisor voluntarily waived a portion of its fee.
(a)	Effective July 7, 2008, Fort Washington Advisors, Inc. replaced Mazama Capital Management.

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(Unaudited)

3. Fees and Transactions with Affiliates (continued)

For the period ended June 30, 2008, 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.
Large Value	50 b.p.
Value	55 b.p.
Large Core	65 b.p.
Large Growth	65 b.p.
Growth	80 b.p.
Mid Value	70 b.p.
Mid Growth	75 b.p.
Small Value	85 b.p.
Small Core	85 b.p.
Small Growth	90 b.p.
International Equity	90 b.p.

Certain trustees and officers of the Series Portfolio and of the funds that invest in the Series Portfolio are also directors, officers or employees of the Advisor or its affiliates. None of the non-independent trustees so affiliated receive compensation for services as trustees of the Series Portfolio or the funds that invest in the Series Portfolio. Similarly, none of the Series Portfolio officers receive compensation from the Series Portfolio. Aggregate remuneration earned by non-affiliated trustees of the Series Portfolio from the Series Portfolio for the period ended June 30, 2008 amounted to $127,163.

Each eligible non-affiliated trustee may elect participation in a non-qualified deferred compensation plan (“the Plan”). Under the Plan, such trustees may defer payment of all or a portion of their total fees earned as a Series trustee. Each trustee who is a participant in the Plan may elect that the earnings, gains or losses credited to his/her deferred fee amounts be determined based on a deemed investment in investment options in Transamerica Partners Institutional Funds Group, Transamerica Institutional Asset Allocation Funds, Class A shares of any series of Transamerica Funds and/or funds of Transamerica Investors, Inc.

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

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4. Securities Lending (continued)

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.

At June 30, 2008, the Series loaned securities having market values as follows:

	Market		Cash Collateral
Series	Value		Received
High Quality Bond	$	18,116,225	$	18,486,913
Core Bond		68,674,221		70,464,218
Total Return Bond		36,525,534		37,293,929
Balanced		10,199,162		10,525,798
Large Value		170,249,759		179,366,896
Value		13,228,869		14,023,071
Large Core		35,267,275		36,530,365
Large Growth		79,343,167		82,275,851
Growth		25,733,140		26,436,664
Mid Value		102,364,416		108,833,998
Mid Growth		39,006,961		40,244,756
Small Value		46,103,207		48,398,974
Small Core		120,657,756		126,808,380
Small Growth		47,433,802		49,977,334
International Equity		109,682,251		115,136,610

Each Series has invested the cash collateral received from securities loaned in the State Street Navigator Securities Lending Trust-Prime Portfolio (the “Prime Portfolio”). The Prime Portfolio is a money market mutual fund registered under the 1940 Act, and was yielding 2.66% at June 30, 2008.

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5. Purchases and Sales of Investments

The aggregate cost of investments purchased and proceeds from sales or maturities (excluding short-term securities) for the period ended June 30, 2008 were as follows:

		Cost of		Proceeds
Series		Purchases		From Sales
High Quality Bond	US Government Obligations	$	192,137,649	$	335,532,125
	Other		57,572,304		185,461,543
Inflation-Protected Securities	US Government Obligations		611,979,979		259,464,983
	Other		20,257,033		7,653,602
Core Bond	US Government Obligations		6,273,769,168		6,240,626,970
	Other		320,069,610		288,961,832
Total Return Bond	US Government Obligations		961,959,941		950,097,261
	Other		41,619,825		18,701,195
High Yield Bond	Other		230,524,330		143,167,198
Balanced	US Government Obligations		171,640,497		195,227,629
	Other		70,295,804		94,370,617
Large Value	Other		297,795,578		572,190,314
Value	Other		66,039,182		58,734,060
Large Core	Other		326,115,965		672,479,823
Large Growth	Other		1,061,887,030		1,301,730,540
Growth	Other		398,423,411		424,872,383
Mid Value	Other		297,966,729		291,545,155
Mid Growth	Other		348,398,495		312,133,275
Small Value	Other		184,348,679		144,766,746
Small Core	Other		358,087,589		531,788,386
Small Growth	Other		242,928,339		164,137,644
International Equity	Other		1,819,605,627		1,702,247,197

6. Legal and Regulatory Matters

On December 12, 2003, the Series Portfolio received a copy of a complaint (the “Complaint”) filed in the United States Bankruptcy Court for the Southern District of New York styled Enron Corp. v. J. P. Morgan Securities, Inc. et al. The Complaint names as defendants the Inflation-Protected Securities Portfolio and the Large Value Portfolio (formerly, 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 Large Value Portfolio of approximately $10.3 million of the Notes on or about October 30, 2001 are in dispute. The Complaint seeks to require the Subject Portfolios to repay to Enron the full amounts of these transfers, in which event the Subject Portfolios would be granted unsecured claims against the Enron bankruptcy estate in the amounts of the repayments. The Subject Portfolios moved to dismiss all counts of the Complaint, contending, among other things, that section 546 (e) of the Bankruptcy Code provides a complete defense. The Bankruptcy Court denied the motion on July 1, 2005. Accordingly, the Subject Portfolios filed an answer to the Complaint on July 29, 2005. All discovery has now closed. The defendants moved for summary judgment on April 29, 2008. The issues before the Court on summary judgment have been fully briefed, and hearings are

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6. Legal and Regulatory Matters (continued)

scheduled to take place on September 25 and 26, 2008. Because the Court has not yet held hearing on the motions, it is too early to predict whether the defendants will succeed at summary judgment, or whether Enron ultimately will prevail, in whole or in part, in its claims against the Subject Portfolios. 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.

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 June 30, 2008, the Value Series and Large Growth Series invested approximately 14.26% and 13.50% respectively, of its portfolio in issuers outside the United States.

As of June 30, 2008, substantially all of the International Equity Series’ net assets consist of securities of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

As of June 30, 2008, the International Equity Series invested approximately 14.79% and 17.73%, respectively, of its portfolio in issuers in Japan and United Kingdom, respectively.

The ability of the issuers of debt, asset-backed and mortgage-backed securities to meet their obligations may be affected by the economic and political developments in a specific industry or region. The value of asset-backed and mortgage-backed securities can be significantly affected by changes in interest rates or rapid principal payments including prepayments.

Credit risk is measured by the loss a Series would record if its counter-parties failed to perform pursuant to the terms of their obligations to the Series. Since certain Series enters into various types of debt obligations including 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

As of June 30, 2008, the Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced Series, and International Equity Series had entered into foreign currency forward, spot and cross

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(Unaudited)

8. Foreign Currency Forward, Spot and Cross Currency Contracts (continued)

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		Settlement		Value		Appreciation/
	Currency		Exchange For		Date		at 06/30/08		(Depreciation)
Inflation-Protected Securities
Purchase Contracts:
British Pound Sterling		22,700	$	45,209		07/01/08	$	45,216	$	7
Canadian Dollar		18,803		18,608		07/01/08		18,439		(169	)
Euro		1,313		2,067		07/01/08		2,066		(1	)
Euro		130,872		202,897		07/23/08		205,840		2,943
Euro		4,803,200		7,403,129		07/23/08		7,554,635		151,506
Euro		10,000		15,447		07/23/08		15,729		282
Euro		98,217		154,597		07/23/08		154,479		(118	)
Total									$	154,450
Sale Contracts:
Euro		1,460,000	$	2,308,153		07/23/08	$	2,296,337	$	11,816
Euro		1,296,500		2,008,687		07/23/08		2,039,179		(30,492	)
Euro		53,720		83,078		07/23/08		84,493		(1,415	)
Euro		2,240,905		3,526,281		07/23/08		3,524,571		1,710
Total									$	(18,381	)
Core Bond
Purchase Contracts:
British Pound Sterling		515,000	$	1,014,475		07/23/08	$	1,024,203	$	9,728
Euro		1,400,000		2,185,834		07/23/08		2,201,967		16,133
New Zealand Dollar		93,580		70,892		07/23/08		71,074		182
Total									$	26,043
Sale Contracts:
Euro		764,896	$	1,204,750		07/01/08	$	1,204,290	$	460
Euro		5,471,426		8,609,819		07/23/08		8,605,643		4,176
Euro		1,365,500		2,114,026		07/23/08		2,147,704		(33,678	)
New Zealand Dollar		5,441,000		4,217,096		07/23/08		4,132,454		84,642
Total									$	55,600
Total Return Bond
Sale Contracts:
British Pound Sterling		999,000	$	1,966,631		08/05/08	$	1,984,829	$	(18,198	)
Euro		2,542,619		4,022,118		08/05/08		3,996,562		25,556
Euro		655,566		1,008,641		08/05/08		1,030,437		(21,796	)
Total									$	(14,438	)

154

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

8. Foreign Currency Forward, Spot and Cross Currency Contracts (continued)

									Net Unrealized
	Foreign		In Exchange		Settlement		Value		Appreciation/
	Currency		For		Date		at 06/30/08		(Depreciation)
Balanced
Sale Contracts:
British Pound Sterling		555,000	$	1,092,573		08/05/08	$	1,102,683	$	(10,110	)
Euro		161,370		1,645,774		08/05/08		1,635,317		10,457
Euro		1,040,391		249,231		08/05/08		253,646		(4,415	)
Total									$	(4,068	)
International Equity
Purchase Contracts:
British Pound Sterling		313,843	$	625,612		07/02/08	$	625,128	$	(484	)
British Pound Sterling		233,056		464,240		07/03/08		464,178		(62	)
British Pound Sterling		4,956,000		9,702,609		09/05/08		9,823,045		120,436
British Pound Sterling		4,311,000		8,441,714		09/05/08		8,544,622		102,908
British Pound Sterling		7,667,000		15,004,549		09/05/08		15,196,385		191,836
Euro		459,475		723,457		07/03/08		723,384		(73	)
Swiss Franc		4,152,519		4,074,349		07/03/08		4,064,970		(9,379	)
Total									$	405,182
Sale Contracts:
British Pound Sterling		32,747	$	65,098		07/01/08	$	65,226	$	(128	)
British Pound Sterling		8,467,000		16,542,232		09/05/08		16,782,026		(239,794	)
British Pound Sterling		8,467,000		16,541,216		09/05/08		16,782,026		(240,810	)
Euro		6,854,679		10,784,241		07/01/08		10,792,350		(8,109	)
Euro		2,408,111		3,793,978		07/01/08		3,791,450		2,528
Euro		3,503,012		5,524,920		07/02/08		5,515,318		9,602
Euro		1,150,644		1,816,786		07/02/08		1,811,631		5,155
Hong Kong Dollar		3,552,551		455,251		07/02/08		455,616		(365	)
Japanese Yen		108,157,197		1,003,984		07/01/08		1,018,573		(14,589	)
Japanese Yen		59,290,036		558,602		07/01/08		558,366		236
Japanese Yen		274,837,726		2,584,883		07/02/08		2,588,291		(3,408	)
Japanese Yen		3,084,195,686		2,903,592		07/02/08		2,904,549		(957	)
Japanese Yen		230,884,776		2,190,246		07/03/08		2,174,480		15,766
South African Rand		12,365,767		1,542,251		07/01/08		1,579,281		(37,030	)
South African Rand		13,482,847		1,703,498		07/02/08		1,721,947		(18,449	)
Total									$	(530,352	)

155

TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)

8. Foreign Currency Forward, Spot and Cross Currency Contracts (continued)

							Net Unrealized
	Settlement		Purchase		Sale Current		Appreciation/
	Date		Current Value		Value		(Depreciation)
International Equity (continued)
Foreign Cross Currency Contracts:
Purchase/Sale
British Pound Sterling/Euro		07/03/08	$	53,904	$	53,920	$	(16	)
Japanese Yen/British Pound Sterling		07/01/08		183,368		183,926		(558	)
Japanese Yen/Swedish Krona		07/01/08		29,464		29,884		(420	)
Japanese Yen/Swedish Krona		07/02/08		131,242		132,171		(929	)
Swedish Krona/Euro		07/03/08		60,059		60,008		51
Total							$	(1,872	)

156

TRANSAMERICA PARTNERS 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,
Period/Year	Net			(Net of			Income			(Net of			Portfolio			End of		Total
Ended	Expenses			Reimbursements)			(Loss)			Reimbursements)			Turnover			Period/Year		Return
Money Market
06/30/2008(1)		0.27	%*		0.27	%*		2.93	%*		2.93	%*		N/A		$	1,173,377,163		1.48	%
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
06/30/2008(1)		0.40	*		0.40	*		4.20	*		4.20	*		44	%		524,528,935		1.55
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
06/30/2008(1)		0.37	*		0.37	*		6.23	*		6.23	*		60			515,238,076		3.92
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
06/30/2008(1)		0.39	*		0.39	*		5.08	*		5.08	*		265	(a)		2,004,009,110		0.53
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
06/30/2008(1)		0.40	*		0.40	*		4.77	*		4.77	*		214	(a)		414,237,333		(2.80	)
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(2)		0.55	*		0.40	*		3.93	*		4.08	*		327	(a)		70,072,859		2.35
High Yield Bond
06/30/2008(1)		0.59	*		0.59	*		8.54	*		8.54	*		27			613,290,046		(0.81	)
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

157

TRANSAMERICA PARTNERS 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,
Period/Year	Net			(Net of			Income			(Net of			Portfolio			End of		Total
Ended	Expenses			Reimbursements)			(Loss)			Reimbursements)			Turnover			Period/Year		Return
Balanced
06/30/2008(1)		0.56	%*		0.50	%*		3.12	%*		3.18	%*		81	%(a)	$	253,142,398		(8.01	)%
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
Large Value (formerly, Value & Income)
06/30/2008(1)		0.49	*		0.49	*		2.26	*		2.26	*		11			2,372,775,455		(15.68	)
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
06/30/2008(1)		0.58	*		0.55	*		2.28	*		2.31	*		44			114,554,872		(20.08	)
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(2)		1.18	*		0.55	*		1.15	*		1.78	*		21			35,138,512		9.47
Large Core (formerly, Growth & Income)
06/30/2008(1)		0.67	*		0.65	*		1.21	*		1.23	*		57			479,567,686		(10.05	)
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
Large Growth (formerly, Equity Growth)
06/30/2008(1)		0.65	*		0.65	*		0.82	*		0.82	*		53			1,897,063,895		(10.54	)
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
Growth (formerly, Aggressive Equity)
06/30/2008(1)		0.81	*		0.80	*		(0.04	)*		(0.03	)*		112			322,671,829		(17.69	)
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

158

TRANSAMERICA PARTNERS 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,
Period/Year	Net			(Net of			Income			(Net of			Portfolio			End of		Total
Ended	Expenses			Reimbursements)			(Loss)			Reimbursements)			Turnover			Period/Year		Return
Mid Value (formerly, Mid-Cap Value)
06/30/2008(1)		0.71	%*		0.70	%*		1.41	%*		1.42	%*		32	%	$	907,063,161		(10.44	)%
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 Growth (formerly, Mid-cap Growth)
06/30/2008(1)		0.75	*		0.75	*		(0.01	)*		(0.01	)*		88			366,405,116		(5.41	)
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
Small Value (formerly, Small-Cap Value)
06/30/2008(1)		0.87	*		0.85	*		1.70	*		1.72	*		65			211,440,265		(9.15	)
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
Small Core (formerly, Special Equity)
06/30/2008(1)		0.87	*		0.85	*		0.85	*		0.87	*		48			668,212,806		(11.05	)
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 Growth (formerly, Small-Cap Growth)
06/30/2008(1)		0.94	*		0.90	*		(0.35	)*		(0.31	)*		74			224,311,553		(10.94	)
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

159

TRANSAMERICA PARTNERS 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,
Period/Year	Net			(Net of			Income			(Net of			Portfolio			End of		Total
Ended	Expenses			Reimbursements)			(Loss)			Reimbursements)			Turnover			Period/Year		Return
International Equity
06/30/2008(1)		0.87	%*		0.87	%*		3.42	%*		3.42	%*		79	%	$	2,032,850,032		(14.92	)%
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)	Unaudited.
(2)	Commencement of Operations, May 6, 2005.

 

160

TRANSAMERICA PARTNERS PORTFOLIOS
SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL

June 30, 2008
(Unaudited)

At a meeting of the Board of Trustees (the “Board”) of Transamerica Partners Portfolios (each, a “Portfolio” and collectively the “Portfolios”) held on May 15, 2008 the Board reviewed and considered the renewal of the investment sub-advisory agreements (each a “Sub-Advisory Agreement” and collectively the “Sub-Advisory Agreements) for each of the Portfolios between Transamerica Asset Management, Inc. (“TAM”) and the Portfolios’ respective sub-advisors: AllianceBernstein LP; Aronson+Johnson+Ortiz, LP; BlackRock Financial Management, Inc; Columbus Circle Investors; Cramer, Rosenthal, McGlynn, LLC; Eaton Vance Management; GE Asset Management, Incorporated, Goldman Sachs Asset Management, L.P.; Hotchkis and Wiley Capital Management, LLC; INVESCO Institutional (N.A.), Inc.; LSV Asset Management; Marsico Capital Management, LLC; Mazama Capital Management, Inc.; Merganser Capital Management Limited Partnership; Mesirow Financial Management, Inc.; OFI Institutional Asset Management, Inc.; Perimeter Capital Partners, LLC; RS Investment Management Co. LLC; RiverSource Investments LLC; TCW Investment Management Company; Turner Investment Partners, Inc.; Wellington Management Company, LLP; Western Asset Management Company; and Western Asset Management Company Limited (each a “Sub-Advisor” and collectively the “Sub-Advisors”), to determine whether the agreements should be renewed. On August 10, 2007, the Board approved an investment advisory agreement (the “Advisory Agreement”) between TAM and each Portfolio appointing TAM as investment advisor to the Portfolios for an initial two-year period, effective as of November 1, 2007. TAM assumed all rights and obligations of the Portfolios’ former investment advisor under the Sub-Advisory Agreements as of the effective date of the Advisory Agreement.

Following their review and consideration, the Trustees determined that the renewal of the Sub-Advisory Agreements would enable investors in the Portfolios to continue to obtain high quality services at a cost that is appropriate, fair, and in the best interests of investors. The Board, including the independent members of the Board, unanimously approved the renewal of the Sub-Advisory Agreements through June 30, 2009. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Advisors such information as they deemed reasonably necessary to evaluate the Sub-Advisory Agreements, including information about fees and performance of comparable funds managed by the Sub-Advisors. The Trustees also carefully considered information they had previously received from TAM and the Sub-Advisors as part of their regular oversight of the Portfolios, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance and fee and expense information, and profitability data prepared by management. The Trustees particularly considered that while they technically were not approving the renewal of the Portfolios’ Advisory Agreement with TAM at this time, they had received substantial information about TAM in conjunction with the consideration of investment advisory agreements for other funds in the complex, and they bore in mind the importance of TAM’s role in overseeing and monitoring the Sub-Advisors. In considering the proposed continuation of the Sub-Advisory Agreements, the Trustees evaluated a number of 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 independent Trustees also discussed the renewal of the Sub-Advisory Agreements in private sessions with their independent legal counsel at which no representatives of TAM or the Sub-Advisors were present.

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. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolios (the Transamerica Partners Funds Group (“Transamerica Partners Funds”) and Transamerica Partners Funds Group II (“Transamerica Partners Institutional Funds”) (the “Fund” and collectively the “Funds”), since shareholders could not invest directly in the Portfolios and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations,

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among others, although they did not identify any consideration or particular information that was controlling of their decisions:

The nature, extent and quality of the advisory services to be provided.  The Board considered the nature and quality of the services provided by the Sub-Advisors to the Portfolios in the past, as well as the services anticipated to be provided in the future. The Board concluded that the Sub-Advisors are capable of providing high quality services to the Portfolios, as indicated by the nature and quality of services provided in the past by the Sub-Advisors for each applicable Portfolio and other factors, including the financial resources of the Sub-Advisors, and the professional qualifications of the portfolio management team of the Sub-Advisors. The Trustees determined that the Sub-Advisors can provide investment and related services that are appropriate in scope and extent in light of each Portfolio’s operations, the competitive landscape of the investment company business and investor needs.

The investment performance of the Portfolios.  The Board examined the short and longer-term performance of the Portfolios, including relative performance against a peer universe of comparable retail and institutional mutual funds for the Transamerica Partners Funds and Transamerica Partners Institutional Funds for each corresponding Portfolio as prepared by Lipper for various trailing periods ended December 31, 2007. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided by the Sub-Advisors, the Board concluded that the Sub-Advisors are capable of generating a level of investment performance that is appropriate in light of the Portfolios’ investment objectives, policies and strategies and competitive with other investment companies, but the Board noted that it would be monitoring performance of certain Portfolios closely.

The cost of advisory services provided and the level of profitability.  The Board reviewed profitability information of the Sub-Advisors’ costs of provision of services to the Portfolios. The Board reviewed the management fees and sub-advisory fees for the Portfolios. Based on their review, the Trustees determined that the sub-advisory fees of the Portfolios generally are appropriate in light of the services expected to be provided, the management fees and the anticipated profitability of the relationship between TAM and the Sub-Advisors. In making these observations and determinations, the Board reviewed comparative information regarding the contractual management fees and total expenses for the Transamerica Partners Fund and Transamerica Partners Institutional Funds for each corresponding Portfolio, as calculated by Lipper and as compared to a peer group and peer universe of mutual funds.

Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolios grow.  In evaluating the extent to which the fees payable under the Sub-Advisory Agreements reflect economies of scale or will permit economies of scale to be realized in the future, the Board noted that the majority of the Sub-Advisors offer breakpoints and also concluded that they will have the opportunity to periodically reexamine whether any of the Portfolios have achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Advisors, in the future.

Benefits to the Sub-Advisors from their relationship with the Portfolios.  The Board concluded that other benefits (such as soft dollars, in certain instances) anticipated to be derived by the Sub-Advisors from their relationships with the Portfolios are expected to be consistent with industry practice and the best interests of the Portfolios and their investors.

Other considerations.  The Board further based their decisions on the following Portfolio specific considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:

Money Market Portfolio.  For Transamerica Partners Money Market Portfolio (GE Asset Management, Incorporated as Sub-Advisor), the Board noted that the Transamerica Partners Fund’s performance was below

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June 30, 2008
(Unaudited)

the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods. The Trustees considered that relative performance for money market funds is in part a function of expenses and that they would continue to monitor performance closely. The Trustees noted that the Transamerica Partners Fund’s contractual management fees and total expenses were above the median for its peer group. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees were below the median for its peer group and that total expenses were above the peer group median.

Bond Portfolios.  For Transamerica Partners High Quality Bond Portfolio (Merganser Capital Management Limited Partnership as Sub-Advisor), the Board noted that the Transamerica Partners Fund’s performance was in line with the median for its peer universe for the past 1- and 3-year periods and below the median for the past 5-year period and that the Transamerica Partners Institutional Fund’s performance was above the median for its peer universe for the past 1- and 3-year periods and at the median for the past 5-year period. The Trustees noted that the Transamerica Partners Fund’s contractual management fees and total expenses were above the median for its peer group. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group.

For Transamerica Partners Inflation-Protected Securities Portfolio, formerly, an intermediate government bond portfolio, (BlackRock Financial Management, Inc. as Sub-Advisor), the Board noted that since the Portfolio changed its investment objective in May 2007, Lipper discards the prior track record of the Portfolio for performance comparison purposes. The Board considered that for the short period from May through December 2007, the Transamerica Partners Fund’s performance was above the median for its peer universe and that the Transamerica Partners Institutional Fund’s performance was strong compared to its peer universe. The Trustees noted that the Transamerica Partners Fund’s contractual management fees and total expenses were above the median for its peer group. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees were below the median for its peer group, indicating competitive management fees, but that total expenses were above the peer group median.

For Transamerica Partners Core Bond Portfolio (BlackRock Financial Management, Inc. as Sub-Advisor), the Board noted that the Transamerica Partners Fund’s performance was above the median for its peer universe for the past 1-year period and in line with the median for the past 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was above the median for its peer universe for the past 1- and 3-year periods and in line with the median for the past 5-year period. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners Total Return Bond Portfolio (Western Asset Management Company and Western Asset Management Company Limited as Sub-Advisors), the Board noted that the Portfolio’s inception date was in May 2005 and that both the Transamerica Partners Fund’s and the Transamerica Partners Institutional Fund’s performance was below the median for their peer universe for the past 1- and 2-year periods. The Trustees agreed that they would closely monitor the Funds’ performance. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners High Yield Bond Portfolio (Eaton Vance Management as Sub-Advisor), the Board noted that the Transamerica Partners Fund’s performance was below the median for its peer universe for the past

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1-year period and above the median for the past 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was in line with the median for its peer universe for the past 1-year period and above the median for the past 3- and 5-year periods, indicating competitive long-term performance results. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

Balanced Portfolio.  For Transamerica Partners Balanced Portfolio (Goldman Sachs Asset Management, L.P., Western Asset Management Company and Western Asset Management Company Limited as Sub-Advisors), the Board noted that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was below the median for their peer universe for the past 1-, 3- and 5-year periods. The Trustees determined it was appropriate to continue to monitor the investment resources provided by Western Asset Management Company and Western Asset Management Company Limited and the need for performance improvement at Goldman Sachs Management, L.P. The Board also noted management’s statement that it would continue to consider additional alternatives for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were below the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group.

Stock Portfolios.  For Transamerica Partners Large Value Portfolio (AllianceBernstein LP and TCW Investment Management Company as Sub-Advisors), the Board noted that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was below the median for their peer universe for the past 1-, 3- and 5-year periods. The Trustees noted that the Funds’ longer-term track record is not entirely attributable to the current Sub-Advisors, as TCW Investment Management Company had been added as a Sub-Advisor in March 2005, but agreed that they would continue to monitor closely the Funds’ performance. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were below the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners Value Portfolio (Hotchkis and Wiley Capital Management, LLC as Sub-Advisor), the Board noted that the Portfolio’s inception date was May 2005 and that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was below the median for their peer universe for the past 1- and 2-year periods. The Trustees determined that they would continue to monitor the Funds’ performance especially closely. The Trustees noted that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for their peer group, indicating competitive fees.

For Transamerica Partners Large Core Portfolio (Aronson+Johnson+Ortiz, L.P. and BlackRock Financial Management, Inc., as Sub-Advisors), the Board noted that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was below the median for their peer universe for the past 1-, 3- and 5-year periods. The Trustees noted that there have been a number of Sub-Advisor replacements since the inception of the Portfolio, with Aronson+Johnson+Ortiz, L.P. coming on board in May 2004 and BlackRock Financial Management, Inc. coming on board in June 2007 and that though the Funds’ performance was below median, both Sub-Advisors have long-term track records for the large core/large value investment strategy that are superior to their Lipper peers. The Trustees further noted the termination of Goldman Sachs Asset Management, Inc. as a Sub-Advisor to the Portfolio, effective on or about May 1, 2008 and that the assets formerly sub-advised by Goldman Sachs would be distributed equally among the two remaining Sub-Advisors. It was agreed that the Trustees would continue to monitor especially closely the Funds’ performance.

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(Unaudited)

The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were below the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners Large Growth Portfolio (Marsico Capital Management, LLC, OFI Institutional Asset Management, Inc. and Wellington Management Company, LLP as Sub-Advisors), the Board noted that the Transamerica Partners and Transamerica Partners Institutional Funds’ performance was below the median for their peer universe for the past 1-, 3- and 5-year periods. The Trustees noted that there have been a number of Sub-Advisor replacements since the inception of the Portfolio, with OFI Institutional Asset Management, Inc. and Wellington Management Company, LLP coming on board in June 2007 and that though the Funds’ performance was below median, all three Sub-Advisors have long-term track records for the large growth investment strategy that are superior to their Lipper peers. It was agreed that the Trustees would continue to monitor especially closely the Funds’ performance. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were below the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners Growth Portfolio (Turner Investment Partners, Inc. as Sub-Advisor), the Board noted that the Transamerica Partners Fund’s performance was strong compared to its peer universe for the past 1- and 3-year periods and in line with the median for the past 5-year period and that the Transamerica Partners Institutional Fund’s performance was strong compared to its peer universe for the past 1- and 3-year periods and above the median for the past 5-year period. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees were in line with the median for its peer group and that total expenses were below the peer group median.

For Transamerica Partners Mid Value Portfolio (Cramer, Rosenthal, McGlynn, LLC, LSV Asset Management and RiverSource Investments LLC as Sub-Advisors), the Board noted that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was in line with the median for their peer universe for the past 1-and 3-year periods and above the median for the past 5-year period. The Board further noted that the Funds’ longer-term track record is not entirely attributable to the current Sub-Advisors, as RiverSource Investments, LLC and LSV Asset Management were added as a Sub-Advisors in 2005 and 2006, respectively. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners Mid Growth Portfolio (Columbus Circle Investors as Sub-Advisor), the Board noted that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was above the median for their peer universe for the past 1- and 3-year periods and in line with the median for the past 5-year period. The Board considered that the Funds’ longer-term track record is not entirely attributable to the current Sub-Advisor, which took over management of the Portfolio in 2004. The Trustees noted that the Transamerica Partners Fund’s contractual management fees and total expenses were above the median for its peer group. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners Small Value Portfolio (Mesirow Financial Investment Management, Inc. and OFI Institutional Asset Management, Inc. as Sub-Advisors), the Board noted the Portfolio’s inception date was in

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(Unaudited)

2002 and that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was below the median for their peer universe for the past 1- and 3-year periods. The Board further noted that the Funds’ longer-term track record is not entirely attributable to the current Sub-Advisors, as Mesirow Financial Investment Management, Inc. and OFI Institutional Asset Management, Inc. were added as Sub-Advisors in 2006 and 2007, respectively. It was agreed that the Trustees would continue to monitor especially closely the Funds’ performance. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees. The Board also considered that OFI Institutional Asset Management, Inc.’s fee schedule was reduced for 2008 by 5 basis points on each breakpoint.

For Transamerica Partners Small Core Portfolio (INVESCO Institutional (N.A.), Inc., Mazama Capital Management, Inc., RS Investment Management Co. LLC and Wellington Management Company, LLP. as Sub-Advisors), the Board noted that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was below the median for their peer universe for the past 1-, 3- and 5-year periods. The Trustees noted that of the four Sub-Advisors, Mazama Capital Management, Inc. would be replaced as a Sub-Advisor for performance reasons. It was agreed that the Trustees would continue to monitor especially closely the Funds’ performance and the impact of the Sub-Advisor change. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners Small Growth Portfolio (Perimeter Capital Partners, LLC as Sub-Advisor), the Board noted that the Transamerica Partners Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s (which had a later inception date than the Transamerica Partners Fund’s) performance was slightly below the median for its peer universe for the past 1-year period and below the median for the past 3-year period. It was agreed that the Trustees would continue to monitor especially closely the Funds’ performance. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

For Transamerica Partners International Equity Portfolio (LSV Asset Management and Wellington Management Company, LLP as Sub-Advisors), the Board noted that the Transamerica Partners Fund’s and Transamerica Partners Institutional Fund’s performance was below the median for their peer universe for the past 1-year period and slightly below the median for the past 3- and 5-year periods. The Trustees noted that the Portfolio had a different Sub-Advisor prior to March 2004 thus the Funds’ long-term track record is not entirely attributable to the current Sub-Advisors. The Trustees noted that the Transamerica Partners Fund’s contractual management fees were above the median for its peer group and that total expenses were in line with the peer group median. The Trustees further noted that the Transamerica Partners Institutional Fund’s contractual management fees and total expenses were below the median for its peer group, indicating competitive fees.

Approval of New Sub-Advisory Agreement for Transamerica Partners Small Core Portfolio.  As noted above, during the six-month period ended June 30, 2008, TAM appointed a new Sub-Advisor, with the approval of the Board, for Transamerica Partners Small Core Portfolio. At a meeting held on May 15, 2008, the Board

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considered the termination of Mazama Capital Management, Inc. (“Mazama”) as a Sub-Advisor to the Portfolio and the appointment of Fort Washington Investment Advisors, Inc. (“FWIA”) as replacement Sub-Advisor. The Board authorized TAM to terminate the Sub-Advisory Agreement with Mazama and approved the Sub-Advisory Agreement with FWIA with respect to the Portfolio for an initial two-year period (the “FWIA Sub-Advisory Agreement”) following a presentation by TAM. Discussed below are some of the material factors considered by the Board.

TAM reviewed with the Board its search process and criteria for a replacement Sub-Advisor, including its desire to engage a Sub-Advisor with a proactive sell discipline. The Board considered information with respect to FWIA and whether the FWIA Subadvisory Agreement was in the best interests of the Portfolio, the Transamerica Partners Funds and Transamerica Partners Institutional Funds investing in the Portfolio, and the Portfolio’s other investors. As part of their deliberations, the Board took into account the nature and quality of the anticipated services to be provided by FWIA and reviewed and discussed information regarding FWIA’s fees. The Board compared FWIA’s small cap growth composite performance to that of Mazama’s small/mid cap growth composite and the Russell 2000 Growth Index. The Board noted that FWIA’s composite performance exceeded that of Mazama’s small/mid cap growth composite and the Russell 2000 Growth Index over the past 1-, 2- and 3-year periods ended December 31, 2007.

The Board reviewed the qualifications, backgrounds and responsibilities of the senior personnel of FWIA and the portfolio management team that would be primarily responsible for the day-to-day management of FWIA’s allocated portion of the Portfolio. The Board noted that TAM, and not the Portfolio, will pay the sub-advisory fee to FWIA. The Board considered that at current asset levels the sub-advisory fee paid under the Sub-Advisory Agreement with Mazama was higher than the sub-advisory fee to be paid to FWIA. The Board recognized that the FWIA Sub-Advisory Agreement would offer breakpoints which appropriately benefit investors by passing on economies of scale in the form of lower management fees as the level of assets grows.

Based upon its review and the representations made to it and after consideration of the above factors, and such other factors and information as it deemed relevant, the Board, including the independent members of the Board, unanimously approved the FWIA Subadvisory Agreement.

No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the FWIA Subadvisory Agreement, and each Board member attributed different weight to the various factors. The independent Trustees discussed the proposed approval of the FWIA Subadvisory Agreement in private sessions with their independent legal counsel at which no representatives of TAM or FWIA were present.

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TRANSAMERICA FINANCIAL LIFE INSURANCE COMPANY
4 Manhattanville Rd.
Purchase, New York 10577

2875 (8/08)

Item 1: Report(s) to Stockholders.

The Semi-Annual Report is attached.

Item 2: Code of Ethics.

Not applicable for semi-annual reports.

Item 3: Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4: Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5: Audit Committee of Listed Registrant.

Not applicable for semi-annual reports.

Item 6: Investments.

The schedules of investments are included in the Semi-Annual report to shareholders filed under Item 1 of this Form N-CSR.

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

The Registrant’s Nominating Committee’s provisions with respect to nominations of Trustees to its Board are as follows:

A candidate for nomination as Trustee submitted by a shareholder will not be deemed to be properly submitted to the Committee for the Committee’s consideration unless the following requirements have been met and procedures followed:

1. Each eligible shareholder or shareholder group may submit no more than one nominee each calendar year.

2. The nominee must satisfy all qualifications provided herein and in the Funds’ organizational documents, including qualification as a possible Independent Trustee if the nominee is to serve in that capacity.

• The nominee may not be the nominating shareholder, a member of the nominating shareholder group or a member of the immediate family of the nominating shareholder or any member of the nominating shareholder group.¹

• Neither the nominee nor any member of the nominee’s immediate family may be currently employed or employed within the year prior to the nomination by any nominating shareholder entity or entity in a nominating shareholder group.

• Neither the nominee nor any immediate family member of the nominee is permitted to have accepted directly or indirectly, during the year of the election for which the nominee’s name was submitted, during the immediately preceding calendar year, or during the year when the nominee’s name was submitted, any consulting, advisory, or other compensatory fee from the nominating shareholder or any member of a nominating shareholder group.

• The nominee may not be an executive officer, director or person fulfilling similar functions of the nominating shareholder or any member of the nominating shareholder group, or of an affiliate of the nominating shareholder or any such member of the nominating shareholder group.

• The nominee may not control the nominating shareholder or any member of the nominating shareholder group (or, in the case of a holder or member that is a fund, an interested person of such holder or member as defined by Section 2(a)(19) of the 1940 Act).

• A shareholder or shareholder group may not submit for consideration a nominee which has previously been considered by the Committee.

3. In order for the Committee to consider shareholder submissions, the following requirements must be satisfied regarding the shareholder or shareholder group submitting the proposed nominee:

•	Any shareholder or shareholder group submitting a proposed nominee must beneficially own, either individually or in the aggregate, more than 5% of a Fund’s (or a series thereof) securities that are eligible to vote both at the time of submission of the nominee and at the time of the Board member election. Each of the securities used for purposes of calculating this ownership must have been held continuously for at least two years as of the date of the nomination. In addition, such securities must continue to be held through the date of the meeting.
	The nominating shareholder or shareholder group must also bear the economic risk of the investment.
•	The nominating shareholder or shareholder group must also submit a certification which provides the number of shares which the person or group has (a) sole power to vote or direct the vote; (b) shared power to vote or direct the vote; (c) sole power to dispose or direct the disposition of such shares; and (d) shared power to dispose or direct the disposition of such shares. In addition the certification shall provide that the shares have been held continuously for at least two years.

4. Shareholders or shareholder groups submitting proposed nominees must substantiate compliance with the above requirements at the time of submitting their proposed nominee as part of their written submission to the attention of the Funds’ Secretary, who will provide all submissions to the Committee. This submission to the Funds must include:

• the shareholder’s contact information;

• the nominee’s contact information and the number of applicable Fund shares owned by the proposed nominee;

¹ Terms such as “immediate family member” and “control” shall be interpreted in accordance with the federal securities laws.

•	all information regarding the nominee that would be required to be disclosed in solicitations of proxies for elections of directors required by Regulation 14A under the Securities Exchange Act of 1934;
	and
•	a notarized letter executed by the nominee, stating his or her intention to serve as a nominee and be named in a Fund’s proxy statement, if so designated by the Committee and the Funds’ Board.

5. The Committee will consider all submissions meeting the applicable requirements stated herein that are received by December 31 of the most recently completed calendar year.

Item 11: Controls and Procedures.

(a)

The Registrant’s principal executive officer and principal financial officer 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 (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are appropriately designed to ensure that information required to be disclosed by the Registrant in the reports that it files on Form N-CSR (a) is accumulated and communicated to Registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

(b)

The Registrant’s principal executive officer and principal financial officer are aware of no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12: Exhibits.

(a) (1) Not Applicable

(2)	Separate certifications for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the 1940 Act, are attached.
(3)	Not Applicable

(b) A certification for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, is attached. The certification furnished pursuant to this paragraph is not deemed to be “filed” for purposes of Section 18 of the Securities Act of 1934, or otherwise subject to liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates it by reference.

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.

Transamerica Asset Allocation Variable Funds
(Registrant)
By:	/s/ John K. Carter
	John K. Carter
	Chief Executive Officer
Date:	September 5, 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:	September 5, 2008
By:	/s/ Joseph P. Carusone
	Joseph P. Carusone
	Principal Financial Officer
Date:	September 5, 2008

EXHIBIT INDEX

Exhibit No.	Description of Exhibit
12(a)(2)(i)	Section 302 N-CSR Certification of Chief Executive Officer
12(a)(2)(ii)	Section 302 N-CSR Certification of Principal Financial Officer
12(b)	Section 906 N-CSR Certification of Chief Executive Officer and Principal Financial Officer

EX-99.CERT

Exhibit 12 (a)(2)(i)

Section 302 N-CSR Certification of Chief Executive Officer

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
FOR THE PERIOD ENDING JUNE 30, 2008
FORM N-CSR CERTIFICATION PURSUANT TO
SECTION 302 OF THE SARBANES-OXLEY ACT

I, John K. Carter, certify that:

1.	I have reviewed the report on Form N-CSR of Transamerica Asset Allocation 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 officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

a.	designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b.	designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c.	evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d.	disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

5. The Registrant’s other certifying officer and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of Trustees (or persons performing equivalent functions):

a.	all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize and report financial information; and
b.	any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: September 5, 2008	By:	/s/ John K. Carter
		John K. Carter
	Title:	Chief Executive Officer

Exhibit 12 (a)(2)(ii)

Section 302 N-CSR Certification of Principal Financial Officer

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
FOR THE PERIOD ENDING JUNE 30, 2008
FORM N-CSR CERTIFICATION PURSUANT TO
SECTION 302 OF THE SARBANES-OXLEY ACT

I, Joseph P. Carusone, certify that:

1.	I have reviewed the report on Form N-CSR of Transamerica Asset Allocation 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 officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

a.	designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b.	designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c.	evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d.	disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

5. The Registrant’s other certifying officer and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of Trustees (or persons performing equivalent functions):

a.	all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize and report financial information; and
b.	any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: September 5, 2008	By:	/s/ Joseph P. Carusone
		Joseph P. Carusone
	Title:	Principal Financial Officer

EX-99.906CERT

Exhibit 12 (b)

Section 906 N-CSR Certification of Principal Executive Officer and Principal Financial Officer

TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
FOR THE PERIOD ENDING JUNE 30, 2008
FORM N-CSR CERTIFICATION

CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION
906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Certified Shareholder Report of Transamerica Asset Allocation Variable Funds (the “Fund”) on Form N-CSR for the period ended June 30, 2008, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned hereby certifies that, to his knowledge:

(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 presents, in all material respects, the financial condition and results of operations of the Fund.

/s/ John K. Carter	Date: September 5, 2008
John K. Carter
Chief Executive Officer
/s/ Joseph P. Carusone	Date: September 5, 2008
Joseph P. Carusone
Principal Financial Officer

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.