-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, JDvzPXqe2eh0eK3BJPyE+XiXhuRe6HFN1fIdXVoLUeBYZalkS7HsQHs/N6pg0TDO wIjSSbwMbGY1jJ3h6JmqqA== 0000950137-05-014302.txt : 20051128 0000950137-05-014302.hdr.sgml : 20051128 20051128172709 ACCESSION NUMBER: 0000950137-05-014302 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20050930 FILED AS OF DATE: 20051128 DATE AS OF CHANGE: 20051128 EFFECTIVENESS DATE: 20051128 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SBL FUND CENTRAL INDEX KEY: 0000217087 IRS NUMBER: 480873454 STATE OF INCORPORATION: KS FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-02753 FILM NUMBER: 051229217 BUSINESS ADDRESS: STREET 1: SECURITY MANAGEMENT COMPANY, LLC STREET 2: ONE SECURITY BENEFIT PLACE CITY: TOPEKA STATE: KS ZIP: 66636-0001 BUSINESS PHONE: 7854383127 MAIL ADDRESS: STREET 1: SECURITY MANAGEMENT COMPANY, LLC STREET 2: ONE SECURITY BENEFIT PLACE CITY: TOPEKA STATE: KS ZIP: 66636-0001 N-Q 1 c00280nvq.txt FORM N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-02753 SBL FUND (Exact name of registrant as specified in charter) ONE SECURITY BENEFIT PLACE, TOPEKA, KANSAS 66636-0001 (Address of principal executive offices) (Zip code) MICHAEL G. ODLUM, PRESIDENT SBL FUND ONE SECURITY BENEFIT PLACE TOPEKA, KANSAS 66636-0001 (Name and address of agent for service) Registrant's telephone number, including area code: (785) 438-3000 Date of fiscal year end: December 31 Date of reporting period: September 30, 2005 Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. SCHEDULE OF INVESTMENTS. SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES A (EQUITY)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS - 99.2% AEROSPACE & DEFENSE - 5.6% General Dynamics Corporation 106,300 $12,708,165 L-3 Communications Holdings, Inc. 46,000 3,637,220 United Technologies Corporation 194,200 10,067,328 ----------- 26,412,713 ----------- AIR FREIGHT & LOGISTICS - 2.2% FedEx Corporation 119,500 10,412,035 ----------- AIRLINES - 1.2% Southwest Airlines Company 388,600 5,770,710 ----------- ALUMINUM - 0.8% Alcoa, Inc. 160,000 3,907,200 ----------- BIOTECHNOLOGY - 1.0% Amgen, Inc.* 59,450 4,736,382 ----------- BROADCASTING & CABLE TV - 1.2% Univision Communications, Inc.* 205,500 5,451,915 ----------- COMMUNICATIONS EQUIPMENT - 3.3% ADC Telecommunications, Inc.* 252,714 5,777,042 Cisco Systems, Inc.* 533,500 9,565,655 ----------- 15,342,697 ----------- COMPUTER HARDWARE - 0.7% Dell, Inc.* 100,000 3,420,000 ----------- CONSTRUCTION & ENGINEERING - 1.3% Shaw Group, Inc.* 248,200 6,120,612 ----------- CONSUMER FINANCE - 2.5% American Express Company 200,200 11,499,488 ----------- DATA PROCESSING & OUTSOURCED SERVICES - 2.6% First Data Corporation 303,200 12,128,000 ----------- DIVERSIFIED BANKS - 2.3% Wells Fargo & Company 180,000 10,542,600 ----------- DRUG RETAIL - 2.6% CVS Corporation 420,000 12,184,200 ----------- EXCHANGE TRADED FUNDS - 1.9% iShares S&P 500 Index Fund 74,200 9,115,470 ----------- GENERAL MERCHANDISE STORES - 0.7% Target Corporation(1) 63,900 3,318,327 -----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES A (EQUITY)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT - 3.9% Medtronic, Inc. 185,650 $ 9,954,553 Zimmer Holdings, Inc.* 119,400 8,225,466 ----------- 18,180,019 ----------- HEALTH CARE SERVICES - 0.6% Medco Health Soulutions, Inc.* 49,900 2,736,017 ----------- HOME IMPROVEMENT RETAIL - 2.5% Home Depot, Inc. 311,200 11,869,168 ----------- HOTELS, RESORTS & CRUISE LINES - 2.0% Carnival Corporation 189,000 9,446,220 ----------- HOUSEHOLD PRODUCTS - 2.2% Procter & Gamble Company 172,200 10,239,012 ----------- HYPERMARKETS & SUPERCENTERS - 4.6% Costco Wholesale Corporation 219,000 9,436,710 Wal-Mart Stores, Inc. 275,800 12,085,556 ----------- 21,522,266 ----------- INDUSTRIAL CONGLOMERATES - 7.4% 3M Company 56,650 4,155,844 General Electric Company 627,500 21,127,925 Tyco International, Ltd. 334,600 9,318,610 ----------- 34,602,379 ----------- INDUSTRIAL GASES - 1.8% Praxair, Inc. 177,000 8,483,610 ----------- INTEGRATED OIL & GAS - 5.2% Chevron Corporation 134,000 8,673,820 Exxon Mobil Corporation 246,900 15,688,026 ----------- 24,361,846 ----------- INTEGRATED TELECOMMUNICATION SERVICES - 0.7% Verizon Communications, Inc. 100,000 3,269,000 ----------- INTERNET RETAIL - 0.8% eBay, Inc.* 95,000 3,914,000 ----------- IT CONSULTING & OTHER SERVICES - 1.1% Unisys Corporation* 748,850 4,972,364 ----------- MANAGED HEALTH CARE - 4.5% UnitedHealth Group, Inc. 129,700 7,289,140 WellPoint, Inc.* 183,100 13,882,642 ----------- 21,171,782 -----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES A (EQUITY)
NUMBER OF MARKET SHARES VALUE --------- ------------ COMMON STOCKS (CONTINUED) MOVIES & ENTERTAINMENT - 4.1% Time Warner, Inc. 505,000 $ 9,145,550 Viacom, Inc. (Cl.B) 305,900 10,097,759 ------------ 19,243,309 ------------ MULTI-LINE INSURANCE - 4.2% American International Group, Inc. 315,800 19,566,968 ------------ OIL & GAS EQUIPMENT & SERVICES - 3.3% BJ Services Company 147,600 5,312,124 Halliburton Company 149,700 10,257,444 ------------ 15,569,568 ------------ OIL & GAS EXPLORATION & PRODUCTION - 1.5% Anadarko Petroleum Corporation(1) 74,800 7,162,100 ------------ OTHER DIVERSIFIED FINANCIAL SERVICES - 4.8% Citigroup, Inc. 364,600 16,596,592 JP Morgan Chase & Company 165,900 5,628,987 ------------ 22,225,579 ------------ PHARMACEUTICALS - 4.0% Abbott Laboratories 140,000 5,936,000 Johnson & Johnson 201,400 12,744,592 ------------ 18,680,592 ------------ PROPERTY & CASUALTY INSURANCE - 2.0% Berkshire Hathaway, Inc.* 115 9,430,000 ------------ SEMICONDUCTORS - 2.9% Analog Devices, Inc. 120,300 4,467,942 Intel Corporation 369,100 9,098,315 ------------ 13,566,257 ------------ SOFT DRINKS - 1.5% PepsiCo, Inc. 123,350 6,995,178 ------------ SYSTEMS SOFTWARE - 3.7% Microsoft Corporation 670,900 17,262,257 ------------ TOTAL COMMON STOCKS (cost $386,233,180) 464,831,840 ------------
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES A (EQUITY)
PRINCIPAL MARKET AMOUNT VALUE ---------- ------------ COMMERCIAL PAPER - 0.5% FINANCIAL - OTHER - 0.5% Countrywide Financial: 3.82%, 10-03-05 $1,300,000 $ 1,299,718 3.78%, 10-11-05 1,000,000 998,939 ------------ 2,298,657 ------------ TOTAL COMMERCIAL PAPER (cost $2,298,657) 2,298,657 ------------ ASSET BACKED COMMERCIAL PAPER - 1.4% FINANCIAL COMPANIES - MISCELLANEOUS RECEIVABLES - 0.5% Jupiter Securitization Corporation: 3.68%, 10-07-05 700,000 699,571 3.65%, 10-13-05 1,500,000 1,498,175 ------------ 2,197,746 ------------ FINANCIAL COMPANIES - SECURITIES - 0.7% Asset One Securitization: 3.73%, 10-05-05 2,000,000 1,999,171 3.76%, 10-17-05 1,200,000 1,197,995 ------------ 3,197,166 ------------ FINANCIAL COMPANIES - TRADE RECEIVABLES - 0.2% Sheffield Receivables Corporation, 3.75%, 10-20-05 1,000,000 998,021 ------------ TOTAL ASSET BACKED COMMERCIAL PAPER (cost $6,392,933) 6,392,933 ------------ REPURCHASE AGREEMENT - 0.1% United Missouri Bank, 3.42%, dated 9-30-05, matures 10-03-05; repurchase amount of $314,089 (Collateralized by GNMA, 4.00%, 11-16-24 with a value of $320,280) 314,000 314,000 ------------ TOTAL REPURCHASE AGREEMENT (cost $314,000) 314,000 ------------ TOTAL INVESTMENTS - 101.2% (cost $395,238,770) 473,837,430 LIABILITIES, LESS CASH & OTHER ASSETS - (1.2%) (5,185,756) ------------ TOTAL NET ASSETS - 100.0% $468,651,674 ============
The identified cost of investments owned at September 30, 2005 was the same for federal income tax and financial statement purposes. For federal income tax purposes, the net unrealized appreciation on investments amounted to $78,598,660 which consisted of $99,743,401 of aggregate gross unrealized appreciation, and $21,144,741 of aggregate gross unrealized depreciation. * Non-income producing security (1) Security is segregated as collateral for written options contracts. 4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES A (EQUITY)
SBL A Call Options Written Outstanding: Common Stock - # of Expiration Date Exercise Price Contracts Market Value - ------------------------------------ -------------- --------- ------------ Anadarko Petroleum Corporation - 10/21/2005 $95.00 748 $231,880 Target Corporation - 10/21/2005 55.00 639 12,780 ----- -------- Total call options outstanding (premiums received, $283,185) 1,387 $244,660 ===== ========
SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES B (LARGE CAP VALUE)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS - 98.5% AEROSPACE & DEFENSE - 1.9% United Technologies Corporation 151,800 $ 7,869,312 ----------- AGRICULTURAL PRODUCTS - 2.3% Archer-Daniels-Midland Company 381,400 9,405,324 ----------- BROADCASTING & CABLE TV - 2.0% Clear Channel Communications, Inc. 257,600 8,472,464 ----------- COMMUNICATIONS EQUIPMENT - 2.1% 3Com Corporation* 2,103,400 8,581,872 ----------- COMPUTER HARDWARE - 2.3% Hewlett-Packard Company 331,200 9,671,040 ----------- CONSTRUCTION & ENGINEERING - 5.5% McDermott International, Inc.* 341,200 12,491,332 Shaw Group, Inc.* 423,700 10,448,442 ----------- 22,939,774 ----------- DIVERSIFIED CHEMICALS - 3.5% Dow Chemical Company 176,400 7,350,588 E.I. du Pont de Nemours & Company 178,600 6,995,762 ----------- 14,346,350 ----------- DRUG RETAIL - 2.8% CVS Corporation 406,600 11,795,466 ----------- ELECTRIC UTILITIES - 8.2% Edison International(1) 196,300 9,281,064 Entergy Corporation 105,600 7,848,192 Exelon Corporation 157,500 8,416,800 PG&E Corporation 212,400 8,336,700 ----------- 33,882,756 ----------- EXCHANGE TRADED FUNDS - 4.9% iShares Russell 1000 Value Index Fund 148,100 10,198,166 iShares S&P 500/Barra Value Index Fund 158,300 10,151,779 ----------- 20,349,945 ----------- HEALTH CARE EQUIPMENT - 3.0% Fisher Scientific International, Inc.* 198,000 12,285,900 ----------- HEALTH CARE SERVICES - 1.1% Medco Health Soulutions, Inc.* 85,750 4,701,672 ----------- HYPERMARKETS & SUPERCENTERS - 2.0% Costco Wholesale Corporation 191,000 8,230,190 ----------- INDUSTRIAL CONGLOMERATES - 5.6% General Electric Company 351,900 11,848,473 Tyco International, Ltd. 406,600 11,323,810 ----------- 23,172,283 -----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES B (LARGE CAP VALUE)
NUMBER OF MARKET SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) INTEGRATED OIL & GAS - 7.9% Chevron Corporation 151,000 $ 9,774,230 ConocoPhillips 141,400 9,885,274 Exxon Mobil Corporation 204,600 13,000,284 ----------- 32,659,788 ----------- INTEGRATED TELECOMMUNICATION SERVICES - 1.0% Sprint Nextel Corporation 171,400 4,075,892 ----------- IT CONSULTING & OTHER SERVICES - 2.0% Unisys Corporation* 1,273,500 8,456,040 ----------- MANAGED HEALTH CARE - 2.9% WellPoint, Inc.* 160,900 12,199,438 ----------- MOVIES & ENTERTAINMENT - 7.0% News Corporation 488,800 7,620,392 Time Warner, Inc. 712,600 12,905,186 Viacom, Inc. (Cl.B) 244,200 8,061,042 ----------- 28,586,620 ----------- MULTI-LINE INSURANCE - 4.1% American International Group, Inc. 272,600 16,890,296 ----------- OIL & GAS EQUIPMENT & SERVICES - 2.8% Halliburton Company 166,300 11,394,876 ----------- OIL & GAS REFINING & MARKETING - 3.4% Sasol, Ltd. ADR 360,500 13,947,745 ----------- OIL & GAS STORAGE & TRANSPORTATION - 2.6% Williams Companies, Inc. 426,800 10,691,340 ----------- OTHER DIVERSIFIED FINANCIAL SERVICES - 4.4% Citigroup, Inc. 230,300 10,483,256 First Marblehead Corporation 4,350 110,490 JP Morgan Chase & Company 221,700 7,522,281 ----------- 18,116,027 ----------- PACKAGED FOODS & MEATS - 1.9% Tyson Foods, Inc. 441,700 7,972,685 ----------- PROPERTY & CASUALTY INSURANCE - 2.8% Berkshire Hathaway, Inc.* 140 11,480,000 ----------- RAILROADS - 2.1% Union Pacific Corporation 122,800 8,804,760 ----------- SPECIALTY CHEMICALS - 1.7% Rohm & Haas Company 172,200 7,082,586 ----------- TOBACCO - 1.6% Altria Group, Inc. 91,800 6,766,578 -----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES B (LARGE CAP VALUE)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS - 2.2% Hughes Supply, Inc. 285,400 $ 9,304,040 ------------ WIRELESS TELECOMMUNICATION SERVICE - 0.9% Alltel Corporation 59,900 3,900,089 ------------ TOTAL COMMON STOCKS (cost $367,963,341) 408,033,148 ------------ COMMERCIAL PAPER - 0.2% ELECTRIC - 0.2% Southern Company, 3.73%, 10-05-05 $1,000,000 999,586 ------------ TOTAL COMMERCIAL PAPER (cost $999,586) 999,586 ------------ ASSET BACKED COMMERCIAL PAPER - 1.1% FINANCIAL COMPANIES - DIVERSIFIED - 0.3% Amsterdam Funding Corporation, 3.63%, 10-13-05 $1,200,000 1,198,540 ------------ FINANCIAL COMPANIES - SECURITIES - 0.8% Asset One Securitization: 3.79, 10-18-05 $1,500,000 1,497,315 3.79, 10-21-05 $1,800,000 1,796,210 ------------ 3,293,525 ------------ TOTAL ASSET BACKED COMMERCIAL PAPER (cost $4,492,065) 4,492,065 ------------ REPURCHASE AGREEMENT - 0.2% United Missouri Bank, 3.42%, dated 9-30-05, matures 10-03-05; repurchase amount of $713,203 (Collateralized by FNMA, 6.00%, 12-15-05 with a value of $727,360) $ 713,000 713,000 ------------ TOTAL REPURCHASE AGREEMENT (cost $713,000) 713,000 ------------ TOTAL INVESTMENTS - 100.0% (cost $374,167,992) 414,237,799 CASH & OTHER ASSETS, LESS LIABILITIES - 0.0% 121,444 ------------ TOTAL NET ASSETS - 100.0% $414,359,243 ============
For federal income tax purposes the identified cost of investments owned at September 30, 2005 was $374,857,961. For federal income tax purposes, the net unrealized appreciation on investments amounted to $39,379,838, which consisted of $47,846,310 of aggregate gross unrealized appreciation, and $8,466,472 of aggregate gross unrealized depreciation. * Non-income producing security ADR (American Depositary Receipt) (1) Security is segregated as collateral for written options contracts. 3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES B (LARGE CAP VALUE) SBL B Call Options Written Outstanding:
# of Common Stock - Expiration Date Exercise Price Contracts Market Value - ------------------------------ -------------- --------- ------------ Edison International - 10/21/2005 $47.50 1,963 $147,225 ----- -------- Total call options outstanding (premiums received, $173,816) 1,963 $147,225 ===== ========
SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES C (MONEY MARKET)
PRINCIPAL MARKET AMOUNT VALUE ---------- ---------- COMMERCIAL PAPER - 33.0% AUTOMOTIVE - 3.4% American Honda Finance, 3.55%, 10-05-05 $2,800,000 $2,798,896 ---------- BANKING - 8.5% ING (US) Funding LLC, 3.78%, 11-18-05 3,000,000 2,984,880 UBS Finance (DE), Inc.: 3.77%, 11-04-05 1,263,000 1,258,503 3.83%, 11-23-05 2,800,000 2,784,212 ---------- 7,027,595 ---------- BROKERAGE - 6.3% Goldman Sachs Group, Inc., 3.76%, 10-21-05 3,200,000 3,193,316 Morgan Stanley, 3.80%, 10-24-05 2,000,000 1,995,144 ---------- 5,188,460 ---------- FINANCIAL - OTHER - 3.6% Countrywide Financial, 3.82%, 10-03-05 3,000,000 2,999,363 ---------- FINANCIAL COMPANIES - NON CAPTIVE DIVERSIFIED - 3.6% CIT Group, Inc., 3.62%, 10-11-05 3,000,000 2,996,983 ---------- NON U.S. BANKING - 7.6% Bank of Ireland: 3.62%, 10-17-05 1,300,000 1,298,079 3.72%, 11-14-05 1,100,000 1,095,081 Danske Corporation: 3.80%, 11-14-05 2,000,000 1,990,711 3.80%, 11-16-05 1,900,000 1,890,774 ---------- 6,274,645 ---------- TOTAL COMMERCIAL PAPER (cost $27,285,690) 27,285,942 ---------- ASSET BACKED COMMERCIAL PAPER - 37.7% FINANCIAL COMPANIES - CAPTIVE - 4.0% Edison Asset Securitization, 3.63%, 10-19-05 3,300,000 3,294,010 ---------- FINANCIAL COMPANIES - DIVERSIFIED - 9.3% Amstel Funding Corporation: 3.63%, 10-18-05 2,600,000 2,595,883 3.78%, 12-07-05 1,000,000 992,951 Amsterdam Funding Corporation, 3.63%, 10-13-05 3,500,000 3,495,765 Govco, Inc., 3.65%, 10-18-05 600,000 598,969 ---------- 7,683,568 ---------- FINANCIAL COMPANIES - MISCELLANEOUS RECEIVABLES - 7.2% Falcon Asset Securitization Corporation, 3.64%, 10-17-05 2,500,000 2,495,956 Jupiter Securitization Corporation, 3.77%, 10-28-05 3,500,000 3,490,104 ---------- 5,986,060 ---------- FINANCIAL COMPANIES - SECURITIES - 12.7% Asset One Securitization: 3.76%, 10-06-05 1,300,000 1,299,321 3.77%, 10-20-05 2,295,000 2,290,434 Galaxy Funding, Inc., 3.68% - 11-08-05 3,500,000 3,486,634
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES C (MONEY MARKET)
PRINCIPAL MARKET AMOUNT VALUE ---------- ----------- ASSET BACKED COMMERCIAL PAPER (CONTINUED) FINANCIAL COMPANES - SECURITIES (CONTINUED) Perry Global Funding LLC: 3.61%, 10-12-05 $1,000,000 $ 999,050 3.81%, 11-02-05 2,500,000 2,491,533 ----------- 10,566,972 ----------- FINANCIAL COMPANIES - TRADE RECEIVABLES - 4.5% Old Line Funding Corporation, 3.62%, 10-14-05 3,700,000 3,695,163 ----------- TOTAL ASSET BACKED COMMERCIAL PAPER (cost $31,225,064) 31,225,773 ----------- CORPORATE BONDS - 15.4% BROKERAGE - 7.4% Bear Stearns Company, Inc.: 3.689%, 10-28-05(1) 1,475,000 1,475,406 3.93%, 11-28-05(1) 2,200,000 2,199,991 Credit Suisse First Boston USA, 3.579%, 10-05-05(1) 2,485,000 2,486,337 ----------- 6,161,734 ----------- FINANCIAL - OTHER - 1.2% National Rural Utilities, 3.897%, 11-17-05(1) 1,000,000 999,982 ----------- FINANCIAL COMPANIES - NONCAPTIVE CONSUMER - 6.8% American Express Credit, 3.859%, 10-24-05(1) 1,200,000 1,200,162 Student Loan Marketing Assocation: 3.85%, 10-25-05(1) 2,200,000 2,201,060 4.07%, 12-15-05(1) 2,200,000 2,201,760 ----------- 5,602,982 ----------- TOTAL CORPORATE BONDS (cost $12,765,198) 12,764,698 ----------- MISCELLANEOUS ASSETS - 3.6% FUNDING AGREEMENTS - 3.6% United of Omaha Life Insurance Company, 3.743%, 10-01-05(1) 3,000,000 3,000,000 ----------- TOTAL FUNDING AGREEMENTS (cost $3,000,000) 3,000,000 ----------- U.S. GOVERNMENT SPONSORED AGENCIES - 9.5% FEDERAL HOME LOAN BANK - 3.0% 3.00%, 01-18-06 1,500,000 1,495,698 3.25%, 02-28-06 1,000,000 997,063 ----------- 2,492,761 ----------- FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.8% 4.125%, 09-27-06 1,500,000 1,495,486 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.8% 3.668%, 10-07-05(1) 1,500,000 1,499,990 ----------- SMALL BUSINESS ASSOCIATION POOLS - 2.4% #503295, 3.75%, 10-01-05(1) $ 189,915 $ 189,334 #503303, 3.75%, 10-01-05(1) 219,386 218,715
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES C (MONEY MARKET)
PRINCIPAL MARKET AMOUNT VALUE --------- ----------- U.S. GOVERNMENT SPONSORED AGENCIES (CONTINUED) SMALL BUSINESS ASSOCIATION POOLS (CONTINUED) #503308, 4.00%, 10-01-05(1) 157,385 157,385 #503459, 4.00%, 10-01-05(1) 342,029 340,747 #503176, 4.125%, 10-01-05(1) 93,448 93,915 #503343, 4.125%, 10-01-05(1) 251,482 251,482 #503347, 4.125%, 10-01-05(1) 440,439 440,439 #502353, 4.25%, 10-01-05(1) 58,688 58,688 #502163, 4.50%, 10-01-05(1) 245,554 245,554 ----------- 1,996,259 ----------- STUDENT LOAN MARKETING ASSOCATION - 0.5% 1997-4 A2, 4.268% - 2010(1) 400,254 401,108 ----------- TOTAL U.S. GOVERNMENT SPONSORED AGENCIES (cost $7,898,779) 7,885,604 ----------- REPURCHASE AGREEMENT - 1.0% United Missouri Bank, 3.42%, dated 09-30-05, matures 10-03-05; repurchase amount of $864,246 (Collateralized by FNMA, 3.79%, 07-06-07 with a value of $881,881) 864,000 864,000 ----------- TOTAL REPURCHASE AGREEMENT (cost $864,000) 864,000 ----------- TOTAL INVESTMENTS - 100.2% (cost $83,038,731) 83,026,017 LIABILITIES, LESS CASH & OTHER ASSETS - (0.2%) (197,590) ----------- TOTAL NET ASSETS - 100.0% $82,828,427 ===========
The indentified cost of investments owned at September 30, 2005 was the same for federal income tax and financial statement purposes. For federal income tax purposes, the net unrealized depreciation on investments amounted to $12,714, which consisted of $2,053 of aggregate gross unrealized appreciation and $14,767 of aggregate gross unrealized depreciation. (1) Variable rate security. Rate indicated is rate effective at September 30, 2005. Maturity date indicated is next interest reset date. 3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES C (MONEY MARKET) SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES D (GLOBAL)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS - 98.5% AUSTRALIA - 0.6% Australia & New Zealand Banking Group, Ltd. 65,287 $ 1,194,730 Macquarie Airports 652,701 1,632,375 ----------- 2,827,105 ----------- BERMUDA - 0.9% Ace, Ltd. 91,199 4,292,737 ----------- BRAZIL - 1.7% Companhia de Bebidas das Americas ADR 79,556 2,957,892 Empresa Brasileira de Aeronautica S.A. ADR 134,926 5,208,144 ----------- 8,166,036 ----------- CANADA - 2.2% Husky Energy, Inc. 150,100 8,337,167 Manulife Financial Corporation 47,083 2,511,093 ----------- 10,848,260 ----------- FINLAND - 0.5% Fortum Oyj 88,200 1,769,616 Neste Oil OYJ* 15,975 591,709 ----------- 2,361,325 ----------- FRANCE - 7.9% Essilor International S.A. 25,270 2,091,792 European Aeronautic Defence & Space Company 147,290 5,220,226 France Telecom S.A. 128,107 3,675,371 JC Decaux S.A.* 69,960 1,543,180 LVMH Moet Hennessy Louis Vuitton S.A. 67,580 5,569,758 Sanofi-Aventis 97,339 8,039,955 Societe Generale 39,840 4,544,732 Technip S.A. 97,870 5,789,774 Total S.A. 9,343 2,549,162 ----------- 39,023,950 ----------- GERMANY - 2.9% Allianz AG 38,272 5,165,467 SAP AG 29,251 5,053,516 Siemens AG 55,733 4,292,047 ----------- 14,511,030 ----------- HONG KONG - 2.3% HSBC Holdings plc 282,769 4,593,490 Hong Kong & China Gas Company, Ltd. 1,135,700 2,339,027 Hutchison Whampoa, Ltd. 197,918 2,044,476 Television Broadcasts, Ltd. 420,904 2,570,816 ----------- 11,547,809 ----------- INDIA - 3.1% Hindustan Lever, Ltd. 804,300 3,316,088 ICICI Bank, Ltd. ADR 96,850 2,736,013 Infosys Technologies, Ltd. 107,949 6,184,028 Zee Telefilms, Ltd. 719,900 2,830,478 ----------- 15,066,607 -----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES D (GLOBAL)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) IRELAND - 0.5% Anglo Irish Bank Corporation plc 181,084 $ 2,458,400 ----------- ITALY - 0.5% Eni SpA 83,366 2,474,889 ----------- JAPAN - 10.2% Canon, Inc. 29,500 1,593,049 Chugai Pharmaceutical Company, Ltd. 109,200 2,082,703 Credit Saison Company, Ltd. 67,300 2,952,508 Fanuc, Ltd. 17,700 1,431,406 Hoya Corporation 126,400 4,197,930 JGC Corporation 69,000 1,261,287 KDDI Corporation 1,062 5,987,579 Keyence Corporation 9,600 2,413,637 Murata Manufacturing Company, Ltd. 70,100 3,909,025 Nidec Corporation 23,400 1,391,446 Nintendo Company, Ltd. 10,700 1,248,011 Resona Holdings, Inc.* 864 2,230,468 Shionogi & Company, Ltd. 267,000 3,634,013 Shiseido Company, Ltd. 139,000 2,003,295 Sony Corporation 137,200 4,508,268 Square Enix Corporation, Ltd. 54,700 1,513,086 Takeda Pharmaceutical Company, Ltd. 20,800 1,238,673 Toyota Motor Corporation 94,100 4,310,620 Trend Micro, Inc. 48,000 1,518,037 Yahoo Japan Corporation 878 1,028,710 ----------- 50,453,751 ----------- KOREA - 2.6% Hyundai Heavy Industries Company, Ltd. 43,490 3,233,116 Samsung Electronics Company, Ltd. 8,948 5,040,499 SK Telecom Company, Ltd. 8,720 1,691,655 SK Telecom Company, Ltd. ADR 142,300 3,107,832 ----------- 13,073,102 ----------- MEXICO - 1.8% Fomento Economico Mexicano, S.A. de C.V. 405,500 2,833,374 Grupo Modelo, S.A. de C.V. (Cl.C) 555,100 1,795,639 Grupo Televisa S.A. ADR 60,833 4,362,334 ----------- 8,991,347 ----------- NETHERLANDS - 1.1% Koninklijke (Royal) Philips Electronics N.V. 208,400 5,535,801 ----------- NORWAY - 0.5% Tandberg ASA 197,000 2,631,318 ----------- PANAMA - 0.6% Carnival Corporation 57,500 2,873,850 ----------- PORTUGAL - 0.3% Energias de Portugal S.A. 492,790 1,373,548 -----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES D (GLOBAL)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) SINGAPORE - 0.5% Singapore Press Holdings, Ltd. 822,466 $ 2,245,740 ----------- SPAIN - 0.5% Industria de Diseno Textil, S.A. 88,300 2,590,600 ----------- SWEDEN - 5.2% Hennes & Mauritz AB (Cl.B) 254,900 9,091,007 Investor AB (Cl.B)** 112,333 1,745,989 Telefonaktiebolaget LM Ericsson (Cl.B) 4,057,100 14,809,799 ----------- 25,646,795 ----------- SWITZERLAND - 2.8% Credit Suisse Group 111,414 4,932,032 Novartis AG 56,869 2,884,309 Roche Holding AG 43,650 6,063,249 ----------- 13,879,590 ----------- TAIWAN - 0.6% Taiwan Semiconductor Manufacturing Company, Ltd. ADR 351,382 2,888,360 ----------- UNITED KINGDOM - 12.2% 3i Group plc** 154,390 2,139,278 BP plc ADR 71,875 5,092,344 Cadbury Schweppes plc 468,645 4,729,824 DSG International plc 839,933 2,232,171 GUS plc 112,770 1,698,757 Pearson plc 238,440 2,772,167 Peninsular & Oriental Steam Navigation Company 352,364 2,076,292 Prudential plc 363,228 3,294,505 Reckitt Benckiser plc 281,207 8,556,426 Royal Bank of Scotland Group plc 257,622 7,311,969 Smith & Nephew plc 374,565 3,143,110 Vodafone Group plc 5,912,640 15,374,428 WPP Group plc 153,990 1,566,368 ----------- 59,987,639 ----------- UNITED STATES - 36.5% 3M Company 42,200 3,095,792 Adobe Systems, Inc. 88,500 2,641,725 Advanced Micro Devices, Inc.* 330,100 8,318,520 Affymetrix, Inc.* 54,400 2,514,912 Altera Corporation* 58,500 1,117,935 Altria Group, Inc. 18,600 1,371,006 Amazon.com, Inc.* 39,200 1,775,760 American Express Company 82,500 4,738,800 Amgen, Inc.* 64,200 5,114,814 Amylin Pharmaceuticals, Inc.* 22,100 768,859 Berkshire Hathaway, Inc. (Cl.B)* 1,010 2,758,310 Boeing Company 39,500 2,684,025 Boston Scientific Corporation* 96,100 2,245,857 Burlington Resources, Inc. 61,100 4,968,652 Cadence Design Systems, Inc.* 124,000 2,003,840 Chevron Corporation 66,054 4,275,675
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES D (GLOBAL)
NUMBER OF MARKET SHARES VALUE --------- ------------ COMMON STOCKS (CONTINUED) UNITED STATES (CONTINUED) Circuit City Stores, Inc. 19,799 $ 339,751 Cisco Systems, Inc.* 157,400 2,822,182 Citigroup, Inc. 29,233 1,330,686 Coach, Inc.* 82,400 2,584,064 Corning, Inc.* 316,300 6,114,079 Cree, Inc.* 96,300 2,409,426 eBay, Inc.* 162,700 6,703,240 Emerson Electric Company 44,500 3,195,100 Everest Re Group, Ltd. 17,600 1,723,040 Express Scripts, Inc.* 46,100 2,867,420 Eyetech Pharmaceuticals, Inc.* 73,400 1,318,264 Gap, Inc. 75,700 1,319,451 Genentech, Inc.* 36,800 3,098,928 Genzyme Corporation* 34,900 2,500,236 Gilead Sciences, Inc.* 98,600 4,807,736 Gillette Company 68,400 3,980,880 GlobalSantaFe Corporation 105,000 4,790,100 International Business Machines Corporation 47,175 3,784,379 International Game Technology 105,700 2,853,900 International Rectifier Corporation* 45,000 2,028,600 Intuit, Inc.* 49,700 2,227,057 JP Morgan Chase & Company 108,092 3,667,562 Juniper Networks, Inc.* 59,700 1,420,263 Lockheed Martin Corporation 37,700 2,301,208 Medtronic, Inc. 20,700 1,109,934 Microsoft Corporation 268,500 6,908,505 Morgan Stanley 99,200 5,350,848 Nektar Therapeutics*(1,2) 57,268 776,554 Northern Trust Corporation 97,700 4,938,735 Northrop Grumman Corporation 41,900 2,277,265 Novell, Inc.* 380,300 2,833,235 Pfizer, Inc. 92,599 2,312,197 Qualcomm, Inc. 96,540 4,320,165 Quest Diagnostics, Inc. 77,000 3,891,580 Raytheon Company 81,900 3,113,838 Silicon Laboratories, Inc.* 21,900 665,541 Sirius Satellite Radio, Inc.* 902,500 5,911,375 Starbucks Corporation* 47,000 2,354,700 Sun Microsystems, Inc.* 491,400 1,926,288 Tiffany & Company 34,200 1,360,134 Transocean, Inc.* 111,300 6,823,803 Wyeth 51,600 2,387,532 ------------ 179,844,263 ------------ TOTAL COMMON STOCKS (cost $357,341,154) 485,593,852 ------------ PREFERRED STOCKS - 1.1% BRAZIL - 0.6% Contax Participacoes S.A.* 179,988 111,743 Tele Norte Leste Participacoes S.A. 179,988 2,970,919 ------------ 3,082,662 ------------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES D (GLOBAL)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE ---------- ------------ PREFERRED STOCKS (CONTINUED) GERMANY - 0.5% Porsche AG 3,241 $ 2,491,055 ------------ TOTAL PREFERRED STOCKS (cost $4,596,213) 5,573,717 ------------ REPURCHASE AGREEMENT - 0.8% State Street, 1.60%, dated 09-30-05, matures 10-03-05; repurchase amount of $3,953,213 (Collateralized by FNMA, 2.18%, 01-30-06 with a value of $4,036,489) $3,952,686 3,952,686 ------------ TOTAL REPURCHASE AGREEMENT (cost $3,952,686) 3,952,686 ------------ TOTAL INVESTMENTS - 100.4% (cost $365,890,053) 495,120,255 LIABILITIES, LESS CASH & OTHER ASSETS - (0.4%) (2,123,005) ------------ TOTAL NET ASSETS - 100.0% $492,997,250 ============
INVESTMENT CONCENTRATION At September 30, 2005, SBL D's investment concentration by industry was as follows: Aerospace & Defense 1.1% Air Freight & Logistics 3.2% Automobiles 1.4% Beverages 2.5% Biotechnology 3.7% Capital Markets 2.1% Commercial Banks 2.1% Commercial Services & Supplies 0.3% Communications Equipment 5.3% Computers & Peripherals 1.2% Constuction & Engineering 0.3% Consumer Finance 1.6% Diversified Financial Services 6.5% Diversified Telecommunications 3.9% Electric Utilities 0.3% Electrical Equipment 0.6% Electronic Equipment & Instruments 1.6% Energy Equipment & Services 1.2% Gas Utilities 0.5% Health Care Equipment & Services 2.6% Health Care Providers & Services 1.4% Hotels, Restaurants & Leisure Products 1.6% Household Durables 3.5% Household Products 2.4% Industrial Conglomerates 1.5% Insurance 4.0% Internet & Catalog Retail 0.4% Internet Software & Services 2.4% IT Services 1.2% Leisure Equipment & Products 0.2% Machinery 0.9%
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES D (GLOBAL) INVESTMENT CONCENTRATION (CONTINUED) Marine 0.4% Media 4.8% Multiline Retail 0.3% Multi-Utilities & Unregulated Power 0.4% Oil, Gas & Consumable Fuels 7.1% Paper & Forest Products 1.0% Personal Products 1.2% Pharmaceuticals 6.4% Semiconductors & Semiconductor Equipment 3.4% Software 4.1% Specialty Retail 0.3% Textiles, Apparel & Luxury Goods 4.3% Tobacco 0.3% Wireless Telecommunications 4.1% Repurchase agreement 0.8% Liabilities, less cash & other assets -0.4% ----- 100.0% =====
For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $366,703,497. For federal income tax purposes, the net unrealized appreciation on investments amounted to $128,416,758 which consisted of $135,786,642 of aggregate gross unrealized appreciation, and $7,369,884 of aggregate gross unrealized depreciation. * Non-income producing security ** Passive Foreign Investment Company ADR (American Depositary Receipt) plc (public limited company) (1) Security is restricted. The total market value of restricted securities is $776,554 (cost $649,992), or 0.2% of total net assets. The acquisition date was March 25, 2004. (2) Security is fair valued by the Board of Directors. The total market value of fair valued securities amounts to $776,554, or 0.2% of total net assets. SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES E (DIVERSIFIED INCOME)
PRINCIPAL MARKET AMOUNT VALUE ---------- ---------- CORPORATE BONDS - 31.8% AIRLINES - 0.5% Southwest Airlines Company, 7.875% - 2007 $ 700,000 $ 737,472 ---------- AUTOMOTIVE - 0.8% Ford Motor Credit Company, 6.50% - 2007 650,000 650,756 Johnson Controls, Inc., 4.875% - 2013 600,000 591,717 ---------- 1,242,473 ---------- BANKING - 4.0% BCH Cayman Islands, Ltd., 7.70% - 2006 700,000 716,579 Bank of America Corporation, 7.80% - 2010 650,000 725,463 BankBoston Capital Trust, 4.39% - 2028 (3) 1,200,000 1,161,737 Chase Capital III, 4.42% - 2027 (3) 1,200,000 1,136,802 Danske Bank A/S, 7.40% - 2010 (1, 3) 800,000 834,110 Regions Financial Corporation, 7.00% - 2011 1,000,000 1,100,409 US Central Credit Union, 2.70% - 2009 511,364 487,279 ---------- 6,162,379 ---------- BROKERAGE - 1.3% Credit Suisse First Boston USA, 6.125% - 2011 600,000 637,440 Legg Mason, Inc., 6.75% - 2008 650,000 684,728 Waddell & Reed Financial, Inc., 7.50% - 01/18/2006 650,000 655,359 ---------- 1,977,527 ---------- BUILDING MATERIALS - 0.4% CRH America, Inc., 6.95% - 2012 600,000 659,319 ---------- CHEMICALS - 0.5% PPG Industries, Inc., 7.40% - 2019 650,000 785,362 ---------- DIVERSIFIED MANUFACTURING - 2.8% General Electric Company, 5.00% - 2013 600,000 604,988 Leggett & Platt, 5.00% - 2015 2,925,000 2,902,630 Tyco International Group, 7.00% - 2028 650,000 751,286 ---------- 4,258,904 ---------- ELECTRIC - 1.8% Arizona Public Service Company, 6.375% - 2011 600,000 646,411 Cincinnati Gas & Electric Company, 5.70% - 2012 600,000 622,301 East Coast Power LLC: 6.737% - 2008 61,076 62,061 7.066% - 2012 140,866 147,200 Kansas Gas & Electric, 5.647% - 2021 (1) 650,000 643,266 Oncor Electric Delivery Company, 6.375% - 2015 600,000 647,735 ---------- 2,768,974 ---------- ENERGY - INDEPENDENT - 1.0% Devon Financing Corporation, ULC, 6.875% - 2011 600,000 659,531 Pancanadian Petroleum, 6.30% - 2011 750,000 802,997 ---------- 1,462,528 ---------- ENERGY - INTEGRATED - 0.5% Conoco, Inc., 6.95% - 2029 650,000 791,236 ----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES E (DIVERSIFIED INCOME)
PRINCIPAL MARKET AMOUNT VALUE ---------- ---------- CORPORATE BONDS (CONTINUED) FINANCIAL - OTHER - 1.2% Abbey National plc, 6.69% - 2005 $ 725,000 $ 725,649 Willis Group North America, 5.625% - 2015 1,200,000 1,192,280 ---------- 1,917,929 ---------- FINANCIAL COMPANIES - CAPTIVE - 1.6% CIT Group Company of Canada, 4.65% - 2010 (1) 1,800,000 1,779,469 General Motors Acceptance Corporation, 6.125% - 2006 650,000 652,064 ---------- 2,431,533 ---------- FINANCIAL COMPANIES - NONCAPTIVE CONSUMER - 1.3% Capital One Financial, 4.738% - 2007 650,000 649,739 Countrywide Capital, 8.00% - 2026 700,000 719,125 SLM Corporation, 5.05% - 2014 600,000 601,172 ---------- 1,970,036 ---------- FINANCIAL COMPANIES - NONCAPTIVE DIVERSIFIED - 0.5% General Electric Capital Corporation, 5.875% - 2012 600,000 630,384 General Motors Acceptance Corporation, 6.311% - 2007 105,000 101,483 ---------- 731,867 ---------- GAMING - 0.2% Park Place Entertainment, 7.875% - 2005 300,000 301,875 ---------- HEALTH CARE - 0.4% Anthem, Inc., 6.80% - 2012 600,000 661,698 ---------- HOME CONSTRUCTION - 0.8% KB Home, 6.25% - 2015 1,250,000 1,212,111 ---------- INDUSTRIAL - OTHER - 0.4% Eaton Corporation, 5.75% - 2012 625,000 656,684 ---------- INSURANCE - LIFE - 0.9% AIG Sunamerica Global Financing X, 6.90% - 2032 (1) 1,200,000 1,413,856 ---------- INSURANCE - PROPERTY & CASUALTY - 1.3% Liberty Mutual Group, 5.75% - 2014 (1) 1,250,000 1,221,405 Nationwide Mutual Insurance Company, 8.25% - 2031 (1) 650,000 814,340 ---------- 2,035,745 ---------- MEDIA - CABLE - 1.1% Comcast Corporation, 5.30% - 2014 625,000 623,374 Jones Intercable, Inc., 7.625% - 2008 500,000 530,928 Lenfest Communications, Inc., 10.50% - 2006 500,000 517,576 ---------- 1,671,878 ---------- MEDIA - NONCABLE - 0.4% New York Times Company, 4.50% - 2010 650,000 648,760 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES E (DIVERSIFIED INCOME)
PRINCIPAL MARKET AMOUNT VALUE ---------- ----------- CORPORATE BONDS (CONTINUED) PACKAGING - 0.4% Bemis Company, Inc., 4.875% - 2012 $ 650,000 $ 639,184 ----------- PHARMACEUTICALS - 0.5% Eli Lilly & Company, 7.125% - 2025 650,000 793,711 ----------- PIPELINES - 0.7% Consolidated Natural Gas Company, 6.625% - 2013 600,000 657,945 Express Pipeline LP, 6.47% - 2013 (1) 386,400 392,223 ----------- 1,050,168 ----------- RAILROADS - 0.9% Canadian National Railway Company, 6.25% - 2034 1,200,000 1,329,451 ----------- REAL ESTATE INVESTMENT TRUSTS - 1.9% Berkshire Hathaway, 4.75% - 2012 (1) 1,800,000 1,779,710 Reckson Operating Partnership, 5.15% - 2011 1,200,000 1,191,071 ----------- 2,970,781 ----------- SERVICES - 0.1% American Eco Corporation, 9.625% - 2008 * (4, 5) 500,000 -- MasTec, Inc., 7.75% - 2008 200,000 200,000 ----------- 200,000 ----------- TECHNOLOGY - 1.6% Affiliated Computer Services, 5.20% - 2015 1,200,000 1,169,721 Pitney Bowes, Inc., 5.875% - 2006 650,000 654,163 Science Applications International Corporation, 7.125% - 2032 600,000 710,498 ----------- 2,534,382 ----------- TELECOMMUNICATIONS - WIRELESS - 0.8% Nextel Communications, 6.875 - 2013 1,200,000 1,273,744 ----------- TRANSPORTATION SERVICES - 1.2% Erac USA Finance Company: 7.35% - 2008 (1) 600,000 635,989 6.70% - 2034 (1) 600,000 643,283 TTX Company, 4.90% - 2015 (1) 650,000 631,842 ----------- 1,911,114 ----------- TOTAL CORPORATE BONDS (cost $48,380,985) 49,202,681 ----------- MORTGAGE BACKED SECURITIES - 44.8% U.S. GOVERNMENT AGENCIES - 39.8% Federal Home Loan Mortgage Corporation: #E01378, 5.00% - 2018 2,484,496 2,479,714 #E01488, 5.00% - 2018 2,216,621 2,212,355 #E01538, 5.00% - 2018 2,284,188 2,279,792 FHR #188 H CMO, 7.00% - 2021 2,712 2,706 #C44050, 7.00% - 2030 57,996 60,605
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES E (DIVERSIFIED INCOME)
PRINCIPAL MARKET AMOUNT VALUE ---------- ---------- MORTGAGE BACKED SECURITIES (CONTINUED) U.S. GOVERNMENT AGENCIES (CONTINUED) #C01079, 7.50% - 2030 $ 36,586 $ 38,795 #C01172, 6.50% - 2031 112,543 115,736 #C01210, 6.50% - 2031 129,665 133,559 #C50964, 6.50% - 2031 112,846 116,048 #C50967, 6.50% - 2031 36,870 37,977 #C01277, 7.00% - 2031 190,664 199,209 #C01292, 6.00% - 2032 490,640 499,490 #C62801, 6.00% - 2032 218,852 222,800 #C01287, 6.50% - 2032 294,768 303,132 #C76358, 5.00% - 2033 2,729,545 2,678,558 #C78238, 5.50% - 2033 2,696,557 2,699,372 #A16943, 6.00% - 2033 1,673,627 1,703,008 #G08014, 5.00% - 2034 2,745,974 2,691,479 #G08015, 5.50% - 2034 2,577,273 2,578,782 #A17903, 6.00% - 2034 1,772,120 1,803,256 Federal National Mortgage Association: #254473, 5.50% - 2017 2,324,037 2,359,032 #720714, 4.50% - 2018 2,335,934 2,291,474 FNR 2005-46 TW, 5.00% - 2018 3,000,000 2,989,678 #555549, 5.00% - 2018 2,643,104 2,637,038 #750465, 5.00% - 2018 2,239,548 2,235,197 #780952, 4.00% - 2019 2,717,384 2,616,694 FNR 1990-68 J, 6.95% - 2020 7,206 7,479 FNR 1990-103 K, 7.50% - 2020 2,031 2,064 #252806, 7.50% - 2029 111,344 117,928 #252874, 7.50% - 2029 41,013 43,438 #535277, 7.00% - 2030 74,760 78,250 #551262, 7.50% - 2030 26,414 27,958 #190307, 8.00% - 2030 48,487 51,840 #253356, 8.00% - 2030 57,352 61,318 #541735, 8.00% - 2030 50,968 54,492 #585348, 6.50% - 2031 96,526 99,355 #535838, 6.50% - 2031 98,389 101,273 #591381, 6.50% - 2031 170,564 175,564 #254477, 5.50% - 2032 1,300,545 1,300,383 #254198, 6.00% - 2032 495,109 503,495 #254377, 6.00% - 2032 815,735 829,581 #254478, 6.00% - 2032 400,309 407,103 #666750, 6.00% - 2032 839,342 853,559 #254346, 6.50% - 2032 239,574 246,596 #545691, 6.50% - 2032 361,127 371,712 #659790, 6.50% - 2032 291,047 299,885 #702879, 5.00% - 2033 1,644,573 1,613,741 #709805, 5.00% - 2033 2,296,677 2,253,618 #658077, 5.50% - 2033 1,425,055 1,425,817 #688328, 5.50% - 2033 1,395,492 1,396,139 #689108, 5.50% - 2033 1,320,891 1,321,598 #709748, 5.50% - 2033 2,322,592 2,323,835 #713971, 5.50% - 2033 2,206,618 2,207,641 #754903, 5.50% - 2033 1,539,479 1,538,730
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES E (DIVERSIFIED INCOME)
PRINCIPAL MARKET AMOUNT VALUE ---------- ----------- MORTGAGE BACKED SECURITIES (CONTINUED) U.S. GOVERNMENT AGENCIES (CONTINUED) #725033, 6.00% - 2034 $1,279,275 $ 1,300,865 #255554, 5.50% - 2035 2,667,114 2,667,307 ----------- 61,668,050 ----------- U.S. GOVERNMENT SPONSORED SECURITIES - 1.7% Government National Mortgage Association: #301465, 9.00% - 2021 22,408 24,741 #305617, 9.00% - 2021 25,091 27,704 #313107, 7.00% - 2022 153,508 161,405 #352022, 7.00% - 2023 95,442 100,352 #369303, 7.00% - 2023 115,834 121,793 #780454, 7.00% - 2026 165,744 174,270 #462680, 7.00% - 2028 90,041 94,673 #482668, 7.00% - 2028 79,259 83,337 #518436, 7.25% - 2029 41,056 43,334 #494109, 7.50% - 2029 77,056 81,814 #510704, 7.50% - 2029 43,275 45,948 #781079, 7.50% - 2029 36,987 39,271 #479229, 8.00% - 2030 20,409 21,852 #479232, 8.00% - 2030 26,101 27,947 #508342, 8.00% - 2030 68,920 73,792 #538285, 6.50% - 2031 127,066 132,213 #561561, 6.50% - 2031 233,941 243,480 #564472, 6.50% - 2031 311,448 324,147 #781414, 5.50% - 2032 444,906 449,283 #552324, 6.50% - 2032 238,638 248,304 II #181907, 9.50% - 2020 19,089 21,316 II #2445, 8.00% - 2027 65,572 69,880 II #2909, 8.00% - 2030 39,235 41,813 ----------- 2,652,669 ----------- NON-AGENCY SECURITIES - 3.3% Chase Commercial Mortgage Securities Corporation: 1997-1B, 7.37% - 2029 1,500,000 1,548,795 1998-1B, 6.56% - 2030 500,000 521,835 Credit-Based Asset Servicing & Securitization, 2004-CB5 AV2, 4.09% - 2035 (3) 3,000,000 2,999,921 Global Rate Eligible Asset Trust 1998-A, 7.33% - 2006 (5, 6) 796,598 -- ----------- 5,070,551 ----------- TOTAL MORTGAGE BACKED SECURITIES (cost $70,797,349) 69,391,270 ----------- U.S. AGENCY BONDS & NOTES - 7.7% Federal Home Loan Bank, 6.375% - 2006 900,000 914,973 Federal Home Loan Mortgage Corporation, 2.85% - 2007 3,000,000 2,939,427
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES E (DIVERSIFIED INCOME)
PRINCIPAL MARKET AMOUNT VALUE ---------- ----------- U.S. AGENCY BONDS & NOTES (CONTINUED) Federal National Mortgage Association: 4.00% - 2007 $3,000,000 $ 2,977,731 6.00% - 2008 850,000 882,637 5.00% - 2013 (2) 1,935,000 1,921,914 6.625% - 2030 750,000 925,826 7.125% - 2030 1,000,000 1,298,972 ----------- TOTAL U.S. AGENCY BONDS & NOTES (cost $9,857,828) 11,861,480 ----------- U.S. GOVERNMENT SECURITIES - 6.3% U.S. Treasury Bond: 4.25% - 2015 650,000 645,937 5.375% - 2031 2,000,000 2,240,624 U.S. Treasury Notes: 3.375% - 2007 4,000,000 3,956,248 3.75% - 2007 600,000 596,156 6.25% - 2007 1,750,000 1,799,424 4.00% - 2010 600,000 594,539 ----------- TOTAL U.S. GOVERNMENT SECURITIES (cost $11,550,852) 9,832,928 ----------- COMMERCIAL PAPER - 5.9% BANKING - 1.3% UBS Finance (DE), Inc., 3.76%, 10-03-05 2,000,000 1,999,582 ----------- BROKERAGE - 2.3% Morgan Stanley: 3.62%, 10-05-05 1,600,000 1,599,323 3.75%, 10-07-05 2,000,000 1,997,083 ----------- 3,596,406 ----------- FINANCIAL - OTHER - 2.3% Countrywide Financial: 3.81%, 10-04-05 1,500,000 1,499,524 3.78%, 10-11-05 2,000,000 1,997,878 ----------- 3,497,402 ----------- TOTAL COMMERCIAL PAPER (cost $9,093,390) 9,093,390 ----------- ASSET BACKED COMMERCIAL PAPER - 2.6% FINANCIAL COMPANIES - SECURITIES - 2.6% Asset One Securitization: 3.76%, 10-06-05 2,000,000 1,998,950 3.78%, 10-13-05 2,000,000 1,997,480 ----------- 3,996,430 ----------- TOTAL ASSET BACKED COMMERCIAL PAPER (cost $3,996,430) 3,996,430 -----------
6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES E (DIVERSIFIED INCOME)
PRINCIPAL MARKET AMOUNT VALUE --------- ------------ REPURCHASE AGREEMENT - 0.2% United Missouri Bank, 3.42%, dated 9-30-05, matures 10-03-05; repurchase amount of $383,109 (Collateralized by GNMA, 3.50%, 10-20-27 with a value of $100,434 and by) U.S. Treasury Notes, 2.75%, 06-30-06 with a value of $290,283) $383,000 $ 383,000 ------------ TOTAL REPURCHASE AGREEMENT (cost $383,000) 383,000 ------------ TOTAL INVESTMENTS - 99.3% (cost $154,059,834) 153,761,179 CASH AND OTHER ASSETS, LESS LIABILITIES - 0.7% 1,158,400 ------------ TOTAL NET ASSETS - 100.0% $154,919,579 ============
For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $156,115,853. For federal income tax purposes, the net unrealized depreciation on investments amounted to $2,354,674 which consisted of $326,387 of aggregate gross unrealized appreciation, and $2,681,061 of aggregate gross unrealized depreciation. * Non-income producing security CMO (Collateralized Mortgage Obligation) plc (public limited company) (1) Security is a 144A series. The total market value of 144A securities is $10,789,493 (cost $10,632,263), or 7.0% of total net assets. (2) Security is a step bond. Rate indicated is rate effective at September 30, 2005. (3) Variable rate security. Rate indicated is rate effective September 30, 2005. (4) Security is in default and illiquid. The total market value of illiquid securities is $0, or 0.0% of total net assets (5) Security is fair valued by the Board of Directors. The total market value of fair valued securities amounts to $0, or 0.0% or net assets. SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on 7 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES E (DIVERSIFIED INCOME) other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 8 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES G (LARGE CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS - 96.5% AEROSPACE & DEFENSE - 4.2% General Dynamics Corporation 7,500 $ 896,625 United Technologies Corporation 19,600 1,016,064 ---------- 1,912,689 ---------- AIR FREIGHT & LOGISTICS - 3.3% FedEx Corporation 17,400 1,516,062 ---------- AIRLINES - 1.5% Southwest Airlines Company 46,000 683,100 ---------- BIOTECHNOLOGY - 1.5% Amgen, Inc.* 8,700 693,129 ---------- BROADCASTING & CABLE TV - 3.8% Univision Communications, Inc.* 65,300 1,732,409 ---------- COMMUNICATIONS EQUIPMENT - 8.2% 3Com Corporation* 116,000 473,280 ADC Telecommunications, Inc.* 47,229 1,079,645 Cisco Systems, Inc.* 73,500 1,317,855 Qualcomm, Inc. 19,500 872,625 ---------- 3,743,405 ---------- COMPUTER HARDWARE - 1.0% Dell, Inc.* 13,500 461,700 ---------- CONSUMER FINANCE - 2.8% American Express Company 22,500 1,292,400 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 3.4% First Data Corporation 39,300 1,572,000 ---------- DRUG RETAIL - 3.6% CVS Corporation 57,400 1,665,174 ---------- ELECTRICAL COMPONENTS & EQUIPMENT - 1.2% Power-One, Inc.* 100,100 554,554 ---------- EXCHANGE TRADED FUNDS - 2.7% iShares Russell 1000 Growth Index Fund 25,200 1,254,204 ---------- GENERAL MERCHANDISE STORES - 0.9% Target Corporation 8,000 415,440 ---------- HEALTH CARE EQUIPMENT - 6.5% Medtronic, Inc. 30,000 1,608,600 Zimmer Holdings, Inc.* 20,000 1,377,800 ---------- 2,986,400 ---------- HEALTH CARE SERVICES - 2.2% Covance, Inc.* 20,600 988,594 ----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES G (LARGE CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) HOME IMPROVEMENT RETAIL - 2.8% Home Depot, Inc. 33,200 $1,266,248 ---------- HOTELS, RESORTS & CRUISE LINES - 3.0% Carnival Corporation 27,800 1,389,444 ---------- HOUSEHOLD PRODUCTS - 2.2% Procter & Gamble Company 17,000 1,010,820 ---------- HYPERMARKETS & SUPERCENTERS - 3.1% Wal-Mart Stores, Inc. 32,600 1,428,532 ---------- INDUSTRIAL CONGLOMERATES - 5.5% 3M Company 6,200 454,832 General Electric Company 60,700 2,043,769 ---------- 2,498,601 ---------- INTERNET RETAIL - 0.7% eBay, Inc.* 8,200 337,840 ---------- MANAGED HEALTH CARE - 2.3% UnitedHealth Group, Inc. 18,800 1,056,560 ---------- MOVIES & ENTERTAINMENT - 3.0% Viacom, Inc. (Cl.B) 41,200 1,360,012 ---------- MULTI-LINE INSURANCE - 4.4% American International Group, Inc. 32,800 2,032,288 ---------- OIL & GAS EQUIPMENT & SERVICES - 3.4% BJ Services Company 43,600 1,569,164 ---------- OTHER DIVERSIFIED FINANCIAL SERVICES - 2.0% Citigroup, Inc. 20,200 919,504 ---------- PHARMACEUTICALS - 3.0% Johnson & Johnson 21,400 1,354,192 ---------- SEMICONDUCTORS - 5.3% Analog Devices, Inc. 22,700 843,078 Applied Micro Circuits Corporation* 154,300 462,900 Intel Corporation 44,400 1,094,460 ---------- 2,400,438 ---------- SOFT DRINKS - 1.2% PepsiCo, Inc. 9,300 527,403 ---------- SYSTEMS SOFTWARE - 4.0% Microsoft Corporation 71,000 1,826,830 ---------- TRADING COMPANIES & DISTRIBUTORS - 0.6% W.W. Grainger, Inc. 4,600 289,432 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES G (LARGE CAP GROWTH)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) TRUCKING - 3.2% J.B. Hunt Transport Services, Inc. 77,000 $ 1,463,770 ----------- TOTAL COMMON STOCKS (cost $41,063,341) 44,202,338 ----------- COMMERCIAL PAPER - 2.0% FINANCIAL - OTHER - 2.0% Countrywide Financial, 3.85%, 10-06-05 $900,000 899,519 ----------- TOTAL COMMERCIAL PAPER (cost $899,519) 899,519 ----------- TOTAL INVESTMENTS - 98.5% (cost $41,962,860) 45,101,857 CASH & OTHER ASSETS, LESS LIABILITIES - 1.5% 682,610 ----------- TOTAL NET ASSETS - 100.0% $45,784,467 ===========
For federal income tax purposes the identified cost of investments owned at September 30, 2005 was $42,838,285. For federal income tax purposes, the net unrealized appreciation on investments amounted to $2,263,572, which consisted of $3,881,245 of aggregate gross unrealized appreciation, and $1,617,673 of aggregate gross unrealized depreciation. * Non-income producing security SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
NUMBER OF MARKET SHARES VALUE --------- -------- COMMON STOCKS - 96.0% ADVERTISING - 0.1% Omnicom Group, Inc. 400 $ 33,452 -------- AEROSPACE & DEFENSE - 2.0% Boeing Company 2,700 183,465 Lockheed Martin Corporation 3,300 201,432 Northrop Grumman Corporation 1,500 81,525 Raytheon Company 4,300 163,486 Rockwell Colllins, Inc. 2,100 101,472 United Technologies Corporation 900 46,656 -------- 778,036 -------- AGRICULTURAL PRODUCTS - 0.5% Archer-Daniels-Midland Company 7,700 189,882 -------- AIR FREIGHT & LOGISTICS - 1.1% FedEx Corporation 1,300 113,269 United Parcel Service, Inc. (Cl.B) 4,500 311,085 -------- 424,354 -------- APPAREL RETAIL - 0.7% Gap, Inc. 1,800 31,374 Limited Brands, Inc. 7,400 151,182 TJX Companies, Inc. 4,900 100,352 -------- 282,908 -------- APPAREL, ACCESSORIES & LUXURY GOODS - 0.2% Jones Apparel Group, Inc. 2,500 71,250 -------- APPLICATION SOFTWARE - 0.7% Autodesk, Inc. 500 23,220 Citrix Systems, Inc.* 5,700 143,298 Mercury Interactive Corporation* 2,200 87,120 Parametric Technology Corporation* 3,700 25,789 -------- 279,427 -------- ASSET MANAGEMENT & CUSTODY BANKS - 0.7% Bank of New York Company, Inc. 100 2,941 Franklin Resources, Inc. 2,100 176,316 Mellon Financial Corporation 3,000 95,910 -------- 275,167 -------- AUTOMOTIVE RETAIL - 0.4% AutoNation, Inc.* 6,800 135,796 -------- BIOTECHNOLOGY - 1.4% Amgen, Inc.* 4,600 366,482 Applera Corporation - Applied Biosystems Group 1,800 41,832 Biogen Idec, Inc.* 3,000 118,440 -------- 526,754 -------- BROADCASTING & CABLE TV - 0.9% Comcast Corporation* 11,300 331,994 --------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) BUILDING PRODUCTS - 0.4% American Standard Companies, Inc. 1,000 $ 46,550 Masco Corporation 3,800 116,584 ---------- 163,134 ---------- CASINOS & GAMING - 0.0% International Game Technology 100 2,700 ---------- COMMERCIAL PRINTING - 0.1% R.R. Donnelley & Sons Company 900 33,363 ---------- COMMUNICATIONS EQUIPMENT - 2.5% Avaya, Inc.* 4,800 49,440 Cisco Systems, Inc.* 28,400 509,212 Comverse Technology, Inc.* 1,900 49,913 Corning, Inc.* 1,600 30,928 Motorola, Inc. 2,800 61,852 Qualcomm, Inc. 2,400 107,400 Tellabs, Inc.* 15,000 157,800 ---------- 966,545 ---------- COMPUTER HARDWARE - 3.2% Apple Computer, Inc.* 3,900 209,079 Dell, Inc.* 8,500 290,700 Hewlett-Packard Company 4,800 140,160 International Business Machines Corporation 6,200 497,364 NCR Corporation* 2,100 67,011 ---------- 1,204,314 ---------- COMPUTER STORAGE & PERIPHERALS - 0.6% EMC Corporation* 10,300 133,282 Network Appliance, Inc.* 4,600 109,204 ---------- 242,486 ---------- CONSTRUCTION & FARM MACHINERY - 0.4% Paccar, Inc. 2,400 162,936 ---------- CONSUMER FINANCE - 1.7% American Express Company 5,100 292,944 MBNA Corporation 6,900 170,016 Providian Financial Corporation* 9,329 164,937 ---------- 627,897 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 0.9% Automatic Data Processing, Inc. 1,300 55,952 Computer Sciences Corporation* 3,200 151,392 Convergys Corporation* 500 7,185 Fiserv, Inc.* 1,400 64,218 Sabre Holdings Corporation 3,600 73,008 ---------- 351,755 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) DEPARTMENT STORES - 0.7% Federated Department Stores, Inc. 1,500 $ 100,305 J.C. Penney Company, Inc. 3,400 161,228 ---------- 261,533 ---------- DISTILLERS & VINTNERS - 0.2% Brown-Forman Corporation (Cl.B) 1,500 89,310 ---------- DIVERSIFIED BANKS - 4.1% Bank of America Corporation 16,364 688,924 Comerica, Inc. 1,800 106,020 U.S. Bancorp 3,700 103,896 Wachovia Corporation 5,500 261,745 Wells Fargo & Company 6,500 380,705 ---------- 1,541,290 ---------- DIVERSIFIED CHEMICALS - 0.6% Dow Chemical Company 400 16,668 E.I. du Pont de Nemours & Company 1,800 70,506 Eastman Chemical Company 1,400 65,758 Engelhard Corporation 2,100 58,611 ---------- 211,543 ---------- DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 0.0% Cendant Corporation 800 16,512 ---------- DIVERSIFIED METALS & MINING - 0.3% Phelps Dodge Corporation 800 103,944 ---------- DRUG RETAIL - 0.1% Walgreen Company 600 26,070 ---------- ELECTRIC UTILITIES - 2.3% Allegheny Energy, Inc.* 1,900 58,368 CenterPoint Energy, Inc. 6,600 98,142 Edison International 3,100 146,568 Entergy Corporation 1,700 126,344 PG&E Corporation 3,100 121,675 Progress Energy, Inc. 2,400 107,400 Progress Energy, Inc. - Contingent Value Obligation*,(2) 700 56 Southern Company 4,500 160,920 Teco Energy, Inc. 3,000 54,060 ---------- 873,533 ---------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.2% Emerson Electric Company 1,000 71,800 ---------- ELECTRONIC EQUIPMENT MANUFACTURERS - 0.0% Symbol Technologies, Inc. 1,271 12,303 ---------- ELECTRONIC MANUFACTURING SERVICES - 0.0% Jabil Circuit, Inc.* 200 6,184 Molex, Inc. 400 10,672 ---------- 16,856 ----------
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
NUMBER OF MARKET SHARES VALUE --------- -------- COMMON STOCKS (CONTINUED) ENVIRONMENTAL & FACILITIES SERVICES - 0.3% Waste Management, Inc. 4,400 $125,884 -------- FOOD RETAIL - 0.3% Supervalu, Inc. 4,000 124,480 -------- FOOTWEAR - 0.2% Nike, Inc. (Cl.B) 1,000 81,680 -------- FOREST PRODUCTS - 0.2% Louisiana-Pacific Corporation 3,100 85,839 -------- GAS UTILITIES - 0.3% KeySpan Corporation 2,300 84,594 Nicor, Inc. 400 16,812 -------- 101,406 -------- GENERAL MERCHANDISE STORES - 0.6% Dollar General Corporation 4,600 84,364 Family Dollar Stores, Inc. 5,900 117,233 Target Corporation 700 36,351 -------- 237,948 -------- HEALTH CARE DISTRIBUTORS - 0.0% Cardinal Health, Inc. 200 12,688 -------- HEALTH CARE EQUIPMENT - 1.4% Baxter International, Inc. 100 3,987 Becton, Dickinson & Company 3,200 167,776 Guidant Corporation 100 6,889 Medtronic, Inc. 4,400 235,928 PerkinElmer, Inc. 3,500 71,295 Thermo Electron Corporation* 200 6,180 Waters Corporation* 3 125 Zimmer Holdings, Inc.* 800 55,112 -------- 547,292 -------- HEALTH CARE FACILITIES - 1.1% HCA, Inc. 4,100 196,472 Manor Care, Inc. 2,000 76,820 Tenet Healthcare Corporation* 12,800 143,744 -------- 417,036 -------- HEALTH CARE SERVICES - 0.6% Caremark Rx, Inc.* 1,600 79,888 Laboratory Corporation of America Holdings* 2,500 121,775 Medco Health Soulutions, Inc.* 500 27,415 -------- 229,078 -------- HOME FURNISHINGS - 0.2% Leggett & Platt, Inc. 3,300 66,660 --------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) HOME IMPROVEMENT RETAIL - 1.1% Home Depot, Inc. 10,100 $ 385,214 Lowe's Companies, Inc. 600 38,640 ---------- 423,854 ---------- HOMEBUILDING - 0.4% D.R. Horton, Inc. 900 32,598 KB Home 1,600 117,120 ---------- 149,718 ---------- HOTELS, RESORTS & CRUISE LINES - 0.8% Carnival Corporation 400 19,992 Hilton Hotels Corporation 3,400 75,888 Marriott International, Inc. 2,500 157,500 Starwood Hotels & Resorts Worldwide, Inc. 700 40,019 ---------- 293,399 ---------- HOUSEHOLD APPLIANCES - 0.1% Black & Decker Corporation 600 49,254 ---------- HOUSEHOLD PRODUCTS - 0.9% Clorox Company 2,606 144,737 Kimberly-Clark Corporation 3,600 214,308 ---------- 359,045 ---------- HYPERMARKETS & SUPERCENTERS - 1.6% Costco Wholesale Corporation 2,900 124,961 Wal-Mart Stores, Inc. 11,100 486,402 ---------- 611,363 ---------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.0% AES Corporation* 1,500 24,645 Duke Energy Corporation 3,800 110,846 TXU Corporation 2,000 225,760 ---------- 361,251 ---------- INDUSTRIAL CONGLOMERATES - 4.3% 3M Company 3,000 220,080 General Electric Company(1) 32,600 1,097,642 Tyco International, Ltd. 11,100 309,135 ---------- 1,626,857 ---------- INDUSTRIAL GASES - 0.4% Air Products & Chemicals, Inc. 2,400 132,336 ---------- INDUSTRIAL MACHINERY - 0.6% Illinois Tool Works, Inc. 100 8,233 Ingersoll-Rand Company, Ltd. 2,300 87,929 Parker Hannifin Corporation 2,300 147,913 ---------- 244,075 ----------
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) MOTORCYCLE MANUFACTURERS - 0.2% Harley-Davidson, Inc. 1,500 $ 72,660 ---------- MOVIES & ENTERTAINMENT - 2.5% News Corporation 12,800 199,552 Time Warner, Inc. 8,400 152,124 Viacom, Inc. (Cl.B) 9,000 297,090 Walt Disney Company 12,000 289,560 ---------- 938,326 ---------- MULTI-LINE INSURANCE - 1.2% American International Group, Inc. 6,500 402,740 Hartford Financial Services Group, Inc. 500 38,585 Loews Corporation 100 9,241 ---------- 450,566 ---------- MULTI-UTILITIES - 0.3% Dominion Resources, Inc. 1,300 111,982 ---------- OFFICE SERVICES & SUPPLIES - 0.0% Pitney Bowes, Inc. 200 8,348 ---------- OIL & GAS DRILLING - 1.1% Nabors Industries, Ltd.* 2,400 172,392 Noble Corporation 2,100 143,766 Rowan Companies, Inc.* 2,000 70,980 Transocean, Inc.* 300 18,393 ---------- 405,531 ---------- OIL & GAS EQUIPMENT & SERVICES - 0.5% Schlumberger, Ltd. 1,800 151,884 Weatherford International, Ltd.* 500 34,330 ---------- 186,214 ---------- OIL & GAS EXPLORATION & PRODUCTION - 2.3% Anadarko Petroleum Corporation 1,600 153,200 Apache Corporation 100 7,522 Burlington Resources, Inc. 2,600 211,432 Devon Energy Corporation 3,000 205,920 Kerr-McGee Corporation 900 87,399 XTO Energy, Inc. 4,400 199,408 ---------- 864,881 ---------- OIL & GAS STORAGE & TRANSPORTATION - 0.4% El Paso Corporation 10,200 141,780 ---------- OTHER DIVERSIFIED FINANCIAL SERVICES - 3.2% Citigroup, Inc. 16,000 728,320 JP Morgan Chase & Company 11,041 374,621 Principal Financial Group, Inc. 2,700 127,899 ---------- 1,230,840 ----------
6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) PACKAGED FOODS & MEATS - 0.6% ConAgra Foods, Inc. 1,900 $ 47,025 General Mills, Inc. 2,500 120,500 McCormick & Company, Inc. 300 9,789 Sara Lee Corporation 2,400 45,480 Tyson Foods, Inc. 800 14,440 ---------- 237,234 ---------- PERSONAL PRODUCTS - 1.5% Avon Products, Inc. 600 16,200 Gillette Company 9,400 547,080 ---------- 563,280 ---------- PHARMACEUTICALS - 7.1% Abbott Laboratories 7,100 301,040 Bristol-Myers Squibb Company 11,500 276,690 Eli Lilly & Company 3,200 171,264 Hospira, Inc.* 3,700 151,589 Johnson & Johnson 11,900 753,032 Merck & Company, Inc. 7,100 193,191 Pfizer, Inc. 27,500 686,675 Schering-Plough Corporation 800 16,840 Wyeth 2,800 129,556 ---------- 2,679,877 ---------- PROPERTY & CASUALTY INSURANCE - 1.6% Ace, Ltd. 500 23,535 Allstate Corporation 2,900 160,341 Ambac Financial Group, Inc. 100 7,206 Chubb Corporation 200 17,910 Cincinnati Financial Corporation 1,459 61,118 MBIA, Inc. 1,000 60,620 Progressive Corporation 300 31,431 Safeco Corporation 1,100 58,718 St. Paul Travelers Companies, Inc. 3,088 138,559 XL Capital, Ltd. 900 61,227 ---------- 620,665 ---------- PUBLISHING - 0.2% Gannett Company, Inc. 1,000 68,830 ---------- RAILROADS - 0.9% Burlington Northern Santa Fe Corporation 3,400 203,320 CSX Corporation 100 4,648 Norfolk Southern Corporation 2,900 117,624 ---------- 325,592 ---------- REAL ESTATE INVESTMENT TRUSTS - 0.5% Apartment Investment & Management Company 100 3,878 Equity Office Properties Trust 5,200 170,092 Equity Residential 100 3,785 Simon Property Group, Inc. 100 7,412 ---------- 185,167 ----------
7 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) REGIONAL BANKS - 1.5% First Horizon National Corporation 1,900 $ 69,065 KeyCorp 5,200 167,700 National City Corporation 3,900 130,416 North Fork Bancorporation, Inc. 1,700 43,350 Regions Financial Corporation 600 18,672 SunTrust Banks, Inc. 100 6,945 Zions Bancorporation 1,600 113,936 ---------- 550,084 ---------- RESTAURANTS - 0.6% Darden Restaurants, Inc. 4,700 142,739 McDonald's Corporation 2,300 77,027 Yum! Brands, Inc. 400 19,364 ---------- 239,130 ---------- SEMICONDUCTOR EQUIPMENT - 0.4% KLA-Tencor Corporation 3,200 156,032 ---------- SEMICONDUCTORS - 3.0% Advanced Micro Devices, Inc.* 1,700 42,840 Freescale Semiconductor, Inc. (Cl.B)* 6,572 154,968 Intel Corporation 25,400 626,110 LSI Logic Corporation* 1,800 17,730 National Semiconductor Corporation 2,800 73,640 Texas Instruments, Inc. 7,000 237,300 ---------- 1,152,588 ---------- SOFT DRINKS - 2.1% Coca-Cola Company 8,600 371,434 Pepsi Bottling Group, Inc. 2,600 74,230 PepsiCo, Inc. 6,400 362,944 ---------- 808,608 ---------- SPECIALIZED FINANCE - 0.2% CIT Group, Inc. 1,300 58,734 ---------- SPECIALTY CHEMICALS - 0.7% International Flavors & Fragrances, Inc. 400 14,256 Rohm & Haas Company 3,600 148,068 Sigma-Aldrich Corporation 1,400 89,684 ---------- 252,008 ---------- STEEL - 0.3% Nucor Corporation 1,900 112,081 ---------- SYSTEMS SOFTWARE - 3.0% Microsoft Corporation 31,700 815,641 Oracle Corporation* 18,900 234,171 Symantec Corporation* 3,947 89,439 ---------- 1,139,251 ----------
8 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE - 0.9% Countrywide Financial Corporation 2,200 $ 72,556 Fannie Mae 700 31,374 Freddie Mac 200 11,292 Golden West Financial Corporation 200 11,878 MGIC Investment Corporation 2,400 154,080 Washington Mutual, Inc. 1,779 69,772 ----------- 350,952 ----------- TIRES & RUBBER - 0.3% Goodyear Tire & Rubber Company* 8,000 124,720 ----------- TOBACCO - 1.4% Altria Group, Inc. 6,400 471,744 UST, Inc. 1,400 58,604 ----------- 530,348 ----------- TOTAL COMMON STOCKS (cost $34,819,477) 36,489,891 ----------- U.S. GOVERNMENT SECURITIES - 0.2% U.S. Treasury Bill, 3.296%, 12-01-05 $ 85,000 84,548 ----------- TOTAL U.S. GOVERNMENT SECURITIES (cost $84,531) 84,548 ----------- REPURCHASE AGREEMENT - 3.6% United Missouri Bank, 3.42%, dated 9-30-05, matures 10-03-05; repurchase amount of $1,378,393 (Collateralized by GNMA, 3.00%, 06-16-27 with a value of $1,405,561) $1,378,000 1,378,000 ----------- TOTAL REPURCHASE AGREEMENT (cost $1,378,000) 1,378,000 ----------- TOTAL INVESTMENTS - 99.8% (cost $36,282,008) 37,952,439 CASH & OTHER ASSETS, LESS LIABILITIES - 0.2% 54,459 ----------- TOTAL NET ASSETS - 100.0% $38,006,898 ===========
For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $37,987,584. For federal income tax purposes, the net unrealized depreciation on investments amounted to $35,145 which consisted of $1,477,794 of aggregate gross unrealized appreciation, and $1,512,939 of aggregate gross unrealized depreciation. * Non-income producing security (1) Security is segregated as collateral for futures contracts. (2) Security is restricted. The total market value of restricted securities is $56 (cost $336), or 0.0% of total net assets. The acquisition dates range from November 8, 1999 to November 2, 2000. 9 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES H (ENHANCED INDEX) OPEN FUTURES CONTRACTS POSITION - S&P 500 E-MINI FUTURES Long NUMBER OF CONTRACTS 24 EXPIRATION DATE 12/16/05 CONTRACT AMOUNT $1,466,856 MARKET VALUE $1,481,100 UNREALIZED GAIN/LOSS $ 14,244
SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 10 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES J (MID CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS - 100.2% APPAREL RETAIL - 0.5% Maidenform Brands, Inc.* 162,500 $ 2,234,375 ----------- APPLICATION SOFTWARE - 2.5% Tibco Software, Inc.* 588,400 4,919,024 Tyler Technologies, Inc.* 640,000 5,299,200 ----------- 10,218,224 ----------- ASSET MANAGEMENT & CUSTODY BANKS - 2.4% Northern Trust Corporation 200,000 10,110,000 ----------- BIOTECHNOLOGY - 4.7% Cell Genesys, Inc.* 111,400 610,472 Charles River Laboratories International, Inc.* 62,000 2,704,440 Human Genome Sciences, Inc.* 310,900 4,225,131 Incyte Corporation* 405,000 1,903,500 Kosan Biosciences, Inc.* 275,900 2,005,793 Novavax, Inc.* 239,900 419,825 SciClone Pharmaceuticals, Inc.* 814,479 4,593,661 Vasogen, Inc.* 556,615 1,174,458 ZymoGenetics, Inc.* 102,100 1,684,650 ----------- 19,321,930 ----------- BROADCASTING & CABLE TV - 0.1% WorldSpace, Inc.* 38,000 535,420 ----------- CASINOS & GAMING - 1.8% GTECH Holdings Corporation 234,000 7,502,040 ----------- COMMUNICATIONS EQUIPMENT - 7.7% ADC Telecommunications, Inc.* 328,571 7,511,133 Adtran, Inc. 273,500 8,615,250 Avici Systems, Inc.* 327,000 1,487,850 Extreme Networks, Inc.* 550,000 2,447,500 Finisar Corporation* 2,924,100 4,006,017 Harris Corporation(1) 90,000 3,762,000 Symmetricom, Inc.* 507,200 3,925,728 ----------- 31,755,478 ----------- COMPUTER STORAGE & PERIPHERALS - 1.4% Mobility Electronics, Inc.* 246,500 2,627,690 M-Systems Flash Disk Pioneers, Ltd.* 100,000 2,992,000 ----------- 5,619,690 ----------- CONSTRUCTION & ENGINEERING - 4.6% Insituform Technologies, Inc.* 276,600 4,782,414 Shaw Group, Inc.* 571,300 14,088,258 ----------- 18,870,672 ----------- CONSTRUCTION MATERIALS - 1.8% Headwaters, Inc.* 200,000 7,480,000 -----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES J (MID CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) DATA PROCESSING & OUTSOURCED SERVICES - 1.2% Hewitt Associates, Inc.* 76,000 $ 2,073,280 Per-Se Technologies, Inc.* 148,450 3,066,977 ----------- 5,140,257 ----------- DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 2.1% ChoicePoint, Inc.* 84,000 3,626,280 Equifax, Inc. 76,600 2,676,404 Navigant Consulting, Inc.* 120,000 2,299,200 ----------- 8,601,884 ----------- ELECTRIC UTILITIES - 8.4% KFx, Inc.* (1) 2,016,000 34,513,920 ----------- ELECTRICAL COMPONENTS & EQUIPMENT - 7.8% Electric City Corporation* (3) 2,214,000 1,904,040 Millennium Cell, Inc.* 262,700 535,908 Plug Power, Inc.* 936,000 6,364,800 Power-One, Inc.* 2,340,000 12,963,600 Roper Industries, Inc. 176,000 6,915,040 UQM Technologies, Inc.* (3) 887,372 3,655,973 ----------- 32,339,361 ----------- ELECTRONIC EQUIPMENT MANUFACTURERS - 3.2% Aeroflex, Inc.* 418,000 3,912,480 Identix, Inc.* 119,000 559,300 Maxwell Technologies, Inc.* (3) 629,100 8,882,892 ----------- 13,354,672 ----------- GENERAL MERCHANDISE STORES - 1.2% Fred's, Inc. 412,000 5,154,120 ----------- HEALTH CARE FACILITIES - 2.7% U.S. Physical Therapy, Inc.* 225,300 4,091,448 United Surgical Partners International, Inc.* 180,000 7,039,800 ----------- 11,131,248 ----------- HEALTH CARE SERVICES - 1.8% NDCHealth Corporation(1) 120,000 2,270,400 Providence Service Corporation* 165,500 5,062,645 ----------- 7,333,045 ----------- HEALTH CARE SUPPLIES - 0.9% Orthovita, Inc.* 875,000 3,745,000 ----------- HOME FURNISHINGS - 0.4% Kirkland's, Inc.* 221,565 1,686,110 ----------- INDUSTRIAL CONGLOMERATE - 0.4% Hydrogen Corporation (3) 58,392 1,731,693 -----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES J (MID CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) INDUSTRIAL MACHINERY - 0.4% Tennant Company 35,500 $ 1,454,790 ----------- INTERNET SOFTWARE & SERVICES - 0.1% Corillian Corporation* 87,225 279,120 ----------- IT CONSULTING & OTHER SERVICES - 2.7% Acxiom Corporation 339,000 6,346,080 Keane, Inc.* (1) 430,400 4,919,472 ----------- 11,265,552 ----------- METAL & GLASS CONTAINERS - 2.0% Pactiv Corporation* 470,000 8,234,400 ----------- MOVIES & ENTERTAINMENT - 1.1% Lions Gate Entertainment Corporation* 498,200 4,752,828 ----------- OIL & GAS DRILLING - 1.7% Ensco International, Inc. 150,000 6,988,500 ----------- OIL & GAS EQUIPMENT & SERVICES - 2.3% BJ Services Company(1) 164,000 5,902,360 Superior Energy Services, Inc.* 160,000 3,694,400 ----------- 9,596,760 ----------- OIL & GAS EXPLORATION & PRODUCTION - 8.2% EOG Resources, Inc.(1) 130,000 9,737,000 Pioneer Natural Resources Company 135,000 7,414,200 Rentech, Inc.* (3) 3,560,000 9,006,800 Syntroleum Corporation* 523,750 7,625,800 ----------- 33,783,800 ----------- OIL & GAS REFINING & MARKETING - 1.8% Western Gas Resources, Inc. 144,800 7,418,104 ----------- OIL & GAS STORAGE & TRANSPORTATION - 1.6% Williams Companies, Inc. 270,000 6,763,500 ----------- PACKAGED FOODS & MEATS - 1.6% Hormel Foods Corporation1 200,000 6,598,000 ----------- PHARMACEUTICALS - 1.8% Hollis-Eden Pharmaceuticals, Inc.* 522,346 3,337,791 Ligand Pharmaceuticals, Inc. (Cl.B)* 389,700 3,950,194 ----------- 7,287,985 ----------- PUBLISHING - 0.8% E.W. Scripps Company 70,000 3,497,900 ----------- RAILROADS - 1.0% Kansas City Southern* 172,100 4,011,651 -----------
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES J (MID CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) REGIONAL BANKS - 1.0% Boston Private Financial Holdings, Inc. 150,000 $ 3,981,000 ------------ SEMICONDUCTOR EQUIPMENT - 1.3% Mindspeed Technologies, Inc.* 2,200,000 5,302,000 ------------ SEMICONDUCTORS - 4.7% Applied Micro Circuits Corporation* 1,300,000 3,900,000 hi/fn, Inc.* 337,200 1,871,460 IXYS Corporation* 841,900 8,890,464 Intersil Corporation 210,000 4,573,800 ------------ 19,235,724 ------------ SPECIALTY STORES - 1.5% Hibbett Sporting Goods, Inc.* 130,500 2,903,625 Tractor Supply Company* 73,500 3,355,275 ------------ 6,258,900 ------------ SYSTEMS SOFTWARE - 1.4% BEA Systems, Inc.* 660,000 5,926,800 ------------ TRADING COMPANIES & DISTRIBUTORS - 1.9% MSC Industrial Direct Company, Inc. 235,000 7,794,950 ------------ TRUCKING - 3.7% J.B. Hunt Transport Services, Inc. 426,000 8,098,260 Old Dominion Freight Line, Inc.* 200,000 6,698,000 Universal Truckload Services, Inc.* 33,300 618,714 ------------ 15,414,974 ------------ TOTAL COMMON STOCKS (cost $318,549,368) 414,226,377 ------------ PREFERRED STOCKS - 0.3% ENVIRONMENTAL & FACILITIES SERVICES - 0.3% ThermoEnergy Corporation PIPE(2,3,4,5) 1,380,000 956,340 ------------ TOTAL PREFERRED STOCKS (cost $1,302,103) 956,340 ------------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES J (MID CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ------------ WARRANTS - 0.2% Bioject Medical Technologies, Inc., $11.00, 05-23-06 16,875 $ 1 Electric City Corporation, $0.40, 03-19-09 (3) 645,750 251,807 Hollis-Eden Pharmaceuticals, Inc., $15.45, 06-19-07 18,126 5,157 Orthovita, Inc., $4.00, 06-26-08 175,000 239,818 Syntroleum Corporation, $7.60, 05-26-08 29,100 234,837 ThermoEnergy Corporation, $1.50, 07-14-08 (3,5) 1,380,000 203,826 ------------ TOTAL WARRANTS (cost $1,414,986) 935,446 ------------ TOTAL INVESTMENTS - 100.7% (cost $321,266,457) 416,118,163 LIABILITIES, LESS CASH & OTHER ASSETS - (0.7%) (2,828,466) ------------ TOTAL NET ASSETS - 100.0% $413,289,697 ============
For federal income tax purposes the identified cost of investments owned at September 30, 2005 was $322,910,591. For federal income tax purposes, the net unrealized appreciation on investments amounted to $93,207,572 which consisted of $131,881,707 of aggregate gross unrealized appreciation, and $38,674,135 of aggregate gross unrealized depreciation. * Non-income producing security PIPE-Private Investment in Puplic Equity - is the term used for stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration in a secondary public offering. (1) Security is segregated as collateral for written options contracts. (2) Security is restricted. The total market value of restricted securities is $2,688,033 (cost $3,234,060), or 0.7% of total net assets. The acquisition date is July 14, 2005. (3) Security is illiquid. The total market value of illiquid securities is $26,593,371 (cost $28,000,407), or 6.4% of total net assets. (4) Security is fair valued by the Board of Directors. The total market value is $956,340 (cost $1,302,103), or 0.3% of total net assets. (5) Affiliated Company; the Series owns 5% or more of the outstanding voting securities of the portfolio company. The total value of affiliated securities amounted to $1,160,166 (cost $1,505,929), or 0.3% of total net assets. SBL J Call Options Written Outstanding:
# of Common Stock - Expiration Date Exercise Price Contracts Market Value - ------------------------------ -------------- --------- ------------ BJ Services Company - 01/20/2006 $30.00 660 $ 468,600 EOG Resources, Inc. - 10/21/2005 65.00 400 404,000 Harris Corporation - 11/18/2005 37.50 900 405,000 KFx, Inc. - 12/16/2005 20.00 651 68,355 NDCHealth Corporation - 02/17/2006 20.00 195 1,950 ----- ---------- Total call options outstanding (premiums received, $747,998) 2,806 $1,347,905 ===== ==========
SBL J Put Options Written Outstanding:
# of Common Stock - Expiration Date Exercise Price Contracts Market Value - ------------------------------ -------------- --------- ------------ Cell Genesys, Inc. - 10/21/2005 $ 5.00 2,250 $11,250 Kansas City Southern - 12/16/2005 20.00 39 780 ----- ------- Total put options outstanding (premiums received, $151,700) 2,289 $12,030 ===== =======
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES J (MID CAP GROWTH) SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS - 56.7% ADVERTISING - 0.2% Lamar Advertising Company* 1,500 $ 68,040 Omnicom Group, Inc. 900 75,267 WPP Group plc ADR 100 5,112 ---------- 148,419 ---------- AEROSPACE & DEFENSE - 1.4% Boeing Company 3,400 231,030 Engineered Support Systems, Inc. 300 12,312 General Dynamics Corporation 2,100 251,055 Goodrich Corporation 2,100 93,114 Honeywell International, Inc. 8,100 303,750 Lockheed Martin Corporation 2,100 128,184 Mercury Computer Systems, Inc.* 500 13,125 Rockwell Colllins, Inc. 1,600 77,312 Triumph Group, Inc.* 300 11,151 United Technologies Corporation 4,400 228,096 ---------- 1,349,129 ---------- AIR FREIGHT & LOGISTICS - 0.2% Expeditors International of Washington, Inc. 200 11,356 UTI Worldwide, Inc. 300 23,310 United Parcel Service, Inc. (Cl.B) 2,800 193,564 ---------- 228,230 ---------- AIRLINES - 0.1% Frontier Airlines, Inc.* 1,150 11,247 SkyWest, Inc. 1,200 32,184 Southwest Airlines Company 6,300 93,555 ---------- 136,986 ---------- ALUMINUM - 0.2% Alcan, Inc. 3,200 101,536 Alcoa, Inc. 2,800 68,376 ---------- 169,912 ---------- APPAREL RETAIL - 0.3% Chico's FAS, Inc.* 900 33,120 Hot Topic, Inc.* 3,700 56,832 Pacific Sunwear of California, Inc.* 600 12,864 Ross Stores, Inc. 3,800 90,060 TJX Companies, Inc. 6,000 122,880 ---------- 315,756 ---------- APPAREL, ACCESSORIES & LUXURY GOODS - 0.0% Fossil, Inc.* 600 10,914 ---------- APPLICATION SOFTWARE - 0.2% Cadence Design Systems, Inc.* 400 6,464 FactSet Research Systems, Inc. 250 8,810 Fair Isaac Corporation 645 28,896 Jack Henry & Associates, Inc. 300 5,820
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) APPLICATION SOFTWARE (CONTINUED) Mercury Interactive Corporation* 3,000 $ 118,800 NetIQ Corporation* 1,800 22,032 Serena Software, Inc.* 400 7,972 ---------- 198,794 ---------- ASSET MANAGEMENT & CUSTODY BANKS - 0.8% Eaton Vance Corporation 700 17,374 Federated Investors, Inc. (Cl.B) 800 26,584 Franklin Resources, Inc. 1,200 100,752 Investors Financial Services Corporation 3,000 98,700 Legg Mason, Inc. 900 98,721 Mellon Financial Corporation 1,600 51,152 Northern Trust Corporation 1,400 70,770 Nuveen Investments 2,500 98,475 State Street Corporation 4,000 195,680 ---------- 758,208 ---------- AUTO PARTS & EQUIPMENT - 0.0% Autoliv, Inc. 500 21,750 Gentex Corporation 700 12,180 ---------- 33,930 ---------- AUTOMOBILE MANUFACTURERS - 0.1% General Motors Corporation 4,200 128,562 ---------- AUTOMOTIVE RETAIL - 0.0% O'Reilly Automotive, Inc.* 1,100 30,998 ---------- BIOTECHNOLOGY - 1.2% Abgenix, Inc.* 900 11,412 Alkermes, Inc.* 800 13,440 Amgen, Inc.* 6,300 501,921 Biogen Idec, Inc.* 2,000 78,960 Celgene Corporation* 1,500 81,480 Cephalon, Inc.* 895 41,546 Charles River Laboratories International, Inc.* 300 13,086 Chiron Corporation* 400 17,448 Digene Corporation* 300 8,550 Genentech, Inc.* 1,600 134,736 Genzyme Corporation* 200 14,328 Gilead Sciences, Inc.* 3,200 156,032 Invitrogen Corporation* 316 23,773 Neurocrine Biosciences, Inc.* 300 14,757 Techne Corporation* 200 11,396 ---------- 1,122,865 ---------- BREWERS - 0.1% Anheuser-Busch Companies, Inc. 2,900 124,816 Boston Beer Company, Inc.* 500 12,500 ---------- 137,316 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) BROADCASTING & CABLE TV - 0.8% Comcast Corporation* 10,800 $317,304 Cox Radio, Inc.* 500 7,600 DirecTV Group, Inc.* 1,940 29,061 Discovery Holding Company* 566 8,179 EchoStar Communications Corporation* 600 17,742 Emmis Communications Corporation* 400 8,836 Liberty Global, Inc.* 303 8,205 Liberty Media Corporation* 16,064 129,315 Radio One, Inc. (Cl.D)* 1,000 13,150 Rogers Communications, Inc. (Cl.B) 2,900 114,405 Univision Communications, Inc.* 3,500 92,855 -------- 746,652 -------- BUILDING PRODUCTS - 0.0% Trex Company, Inc.* 400 9,600 Universal Forest Products, Inc. 100 5,732 -------- 15,332 -------- CASINOS & GAMING - 0.5% Harrah's Entertainment, Inc. 800 52,152 International Game Technology 5,500 148,500 Shuffle Master, Inc.* 400 10,572 Station Casinos, Inc. 400 26,544 WMS Industries, Inc.* 2,200 61,886 Wynn Resorts, Ltd.* 3,000 135,450 -------- 435,104 -------- CATALOG RETAIL - 0.0% Insight Enterprises, Inc.* 600 11,160 -------- COAL & CONSUMABLE FUELS - 0.0% Peabody Energy Corporation 500 42,175 -------- COMMODITY CHEMICALS - 0.2% Lyondell Chemical Company 1,300 37,206 Nova Chemicals Corporation 3,600 132,480 -------- 169,686 -------- COMMUNICATIONS EQUIPMENT - 1.6% Belden CDT, Inc. 300 5,829 Cisco Systems, Inc.* 30,200 541,486 Comverse Technology, Inc.* 1,200 31,524 Corning, Inc.* 6,500 125,645 Dolby Laboratories, Inc.* 400 6,400 F5 Networks, Inc.* 400 17,388 Inter-Tel, Inc. 600 12,600 Juniper Networks, Inc.* 3,300 78,507 Motorola, Inc. 8,500 187,765 Nokia Oyj ADR 6,300 106,533 Plantronics, Inc. 300 9,243 Polycom, Inc.* 800 12,936
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) Qualcomm, Inc. 7,800 $ 349,050 Research In Motion, Ltd.* 100 6,840 ---------- 1,491,746 ---------- COMPUTER & ELECTRONICS RETAIL - 0.1% Best Buy Company, Inc. 2,325 101,207 ---------- COMPUTER HARDWARE - 1.5% Avid Technology, Inc.* 500 20,700 Dell, Inc.* 22,800 779,760 Gateway, Inc.* 15,900 42,930 International Business Machines Corporation 7,500 601,650 ---------- 1,445,040 ---------- COMPUTER STORAGE & PERIPHERALS - 0.3% EMC Corporation* 17,800 230,332 Lexmark International, Inc.* 300 18,315 ---------- 248,647 ---------- CONSTRUCTION & ENGINEERING - 0.0% Insituform Technologies, Inc.* 900 15,561 ---------- CONSTRUCTION & FARM MACHINERY - 0.3% Deere & Company 3,600 220,320 Joy Global, Inc. 400 20,184 Oshkosh Truck Corporation 800 34,528 ---------- 275,032 ---------- CONSUMER ELECTRONICS - 0.0% Digital Theater Systems, Inc.* 200 3,368 Harman International Industries, Inc. 100 10,227 ---------- 13,595 ---------- CONSUMER FINANCE - 0.7% American Express Company 6,200 356,128 Capital One Financial Corporation 1,300 103,376 Jackson Hewitt Tax Service, Inc. 400 9,564 SLM Corporation 2,900 155,556 ---------- 624,624 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 0.4% Automatic Data Processing, Inc. 3,900 167,856 DST Systems, Inc.* 400 21,932 First Data Corporation 4,000 160,000 Fiserv, Inc.* 200 9,174 Global Payments, Inc. 200 15,544 Iron Mountain, Inc.* 750 27,525 ---------- 402,031 ---------- DEPARTMENT STORES - 0.4% Kohl's Corporation* 8,000 401,440 ----------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) DIVERSIFIED BANKS - 1.4% Bank of America Corporation 11,676 $ 491,560 Global Cash Access, Inc.* 400 5,640 Popular, Inc. 1,100 26,642 U.S. Bancorp 8,300 233,064 Wachovia Corporation 5,800 276,022 Wells Fargo & Company 5,200 304,564 ---------- 1,337,492 ---------- DIVERSIFIED CHEMICALS - 0.4% Cabot Corporation 1,800 59,418 Dow Chemical Company 1,700 70,839 E.I. du Pont de Nemours & Company 5,851 229,184 ---------- 359,441 ---------- DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 0.2% Cendant Corporation 6,400 132,096 ChoicePoint, Inc.* 266 11,483 Cintas Corporation 700 28,735 Corporate Executive Board Company 600 46,788 Navigant Consulting, Inc.* 300 5,748 ---------- 224,850 ---------- DIVERSIFIED METALS & MINING - 0.1% BHP Billiton, Ltd. ADR 2,700 92,286 ---------- DRUG RETAIL - 0.4% CVS Corporation 2,900 84,129 Walgreen Company 6,000 260,700 ---------- 344,829 ---------- EDUCATION SERVICES - 0.1% Apollo Group, Inc.* 1,000 66,390 Corinthian Colleges, Inc.* 500 6,635 DeVry, Inc.* 200 3,810 Education Management Corporation* 500 16,120 ---------- 92,955 ---------- ELECTRIC UTILITIES - 1.1% Allegheny Energy, Inc.* 1,000 30,720 Alliant Energy Corporation 700 20,391 Edison International 2,900 137,112 Entergy Corporation 1,900 141,208 Exelon Corporation 4,900 261,856 FPL Group, Inc. 1,500 71,400 FirstEnergy Corporation 3,200 166,784 Great Plains Energy, Inc. 800 23,928 NRG Energy, Inc.* 1,400 59,640 PPL Corporation 1,600 51,728 Pinnacle West Captial Corporation 1,900 83,752 Teco Energy, Inc. 900 16,218 ---------- 1,064,737 ----------
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- -------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT MANUFACTURERS - 0.2% Agilent Technologies, Inc.* 3,800 $124,450 CyberOptics Corporation* 700 9,751 FLIR Systems, Inc.* 600 17,748 Littelfuse, Inc.* 200 5,626 Tektronix, Inc. 600 15,138 -------- 172,713 -------- ELECTRONIC MANUFACTURING SERVICES - 0.2% AVX Corporation 800 10,192 Flextronics International, Ltd.* 5,400 69,390 Jabil Circuit, Inc.* 3,200 98,944 Plexus Corporation* 800 13,672 -------- 192,198 -------- ENVIRONMENTAL & FACILITIES SERVICES - 0.1% Republic Services, Inc. 2,900 102,341 Waste Connections, Inc.* 200 7,016 -------- 109,357 -------- FERTILIZERS & AGRICULTURAL CHEMICALS - 0.1% Monsanto Company 1,600 100,400 Mosaic Company* 800 12,816 -------- 113,216 -------- FOOD DISTRIBUTORS - 0.1% Performance Food Group Company* 300 9,468 Sysco Corporation 2,900 90,973 United Natural Foods, Inc.* 500 17,680 -------- 118,121 -------- FOOD RETAIL - 0.2% Albertson's, Inc. 1,600 41,040 Kroger Company* 4,200 86,478 Safeway, Inc. 1,200 30,720 Whole Foods Market, Inc. 100 13,445 -------- 171,683 -------- FOOTWEAR - 0.1% Nike, Inc. (Cl.B) 1,000 81,680 -------- FOREST PRODUCTS - 0.1% Weyerhaeuser Company 900 61,875 -------- GAS UTILITIES - 0.2% National Fuel Gas Company 700 23,940 NiSource, Inc. 3,000 72,750 OGE Energy Corporation 1,000 28,100 WGL Holdings, Inc. 600 19,278 -------- 144,068 --------
6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) GENERAL MERCHANDISE STORES - 0.4% Dollar Tree Stores, Inc.* 400 $ 8,660 Family Dollar Stores, Inc. 3,600 71,532 Fred's, Inc. 400 5,004 Target Corporation 5,800 301,194 ---------- 386,390 ---------- GOLD - 0.2% Newmont Mining Corporation 3,300 155,661 ---------- HEALTH CARE DISTRIBUTORS - 0.2% AmerisourceBergen Corporation 200 15,460 Cardinal Health, Inc. 2,350 149,084 Patterson Companies, Inc.* 200 8,006 Priority Healthcare Corporation (Cl.B)* 200 5,572 ---------- 178,122 ---------- HEALTH CARE EQUIPMENT - 1.2% Aspect Medical Systems, Inc.* 200 5,926 Becton, Dickinson & Company 1,200 62,916 Biomet, Inc. 900 31,239 Boston Scientific Corporation* 4,900 114,513 C.R. Bard, Inc. 1,000 66,030 Cytyc Corporation* 1,000 26,850 Edwards Lifesciences Corporation* 300 13,323 Guidant Corporation 1,700 117,113 Inamed Corporation* 100 7,568 Medtronic, Inc. 6,300 337,806 Respironics, Inc.* 100 4,218 St. Jude Medical, Inc.* 2,000 93,600 Steris Corporation 700 16,653 Stryker Corporation 1,600 79,088 Thoratec Corporation* 400 7,104 Waters Corporation* 1,200 49,920 Zimmer Holdings, Inc.* 1,200 82,668 ---------- 1,116,535 ---------- HEALTH CARE FACILITIES - 0.2% Community Health Systems, Inc.* 2,700 104,787 Health Management Associates, Inc. 600 14,082 LifePoint Hospitals, Inc.* 100 4,373 Symbion, Inc.* 300 7,761 Triad Hospitals, Inc.* 1,810 81,939 United Surgical Partners International, Inc.* 300 11,733 ---------- 224,675 ---------- HEALTH CARE SERVICES - 0.4% Advisory Board Company* 300 15,612 Caremark Rx, Inc.* 2,700 134,811 Computer Programs & Systems, Inc. 900 31,086 DaVita, Inc.* 950 43,766 Medco Health Solutions, Inc.* 663 36,352
7 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) HEALTH CARE SERVICES (CONTINUED) Omnicare, Inc. 600 $ 33,738 Quest Diagnostics, Inc. 1,100 55,594 ---------- 350,959 ---------- HEALTH CARE SUPPLIES - 0.1% Bausch & Lomb, Inc. 250 20,170 Dentsply International, Inc. 400 21,608 Merit Medical Systems, Inc.* 700 12,418 ---------- 54,196 ---------- HOME ENTERTAINMENT SOFTWARE - 0.1% Activision, Inc.* 1,000 20,450 Electronic Arts, Inc.* 1,500 85,335 ---------- 105,785 ---------- HOME FURNISHINGS - 0.0% Mohawk Industries, Inc.* 200 16,050 ---------- HOME IMPROVEMENT RETAIL - 0.6% Home Depot, Inc. 10,350 394,749 Lowe's Companies, Inc. 3,200 206,080 ---------- 600,829 ---------- HOMEBUILDING - 0.0% Toll Brothers, Inc.* 600 26,802 ---------- HOMEFURNISHING RETAIL - 0.0% Williams-Sonoma, Inc.* 400 15,340 ---------- HOTELS, RESORTS & CRUISE LINES - 0.4% Carnival Corporation 4,100 204,918 Marriott International, Inc. 1,400 88,200 Royal Caribbean Cruises, Ltd. 1,900 82,080 ---------- 375,198 ---------- HOUSEHOLD PRODUCTS - 1.0% Colgate-Palmolive Company 2,500 131,975 Kimberly-Clark Corporation 1,800 107,154 Procter & Gamble Company 12,900 767,034 ---------- 1,006,163 ---------- HOUSEWARES & SPECIALTIES - 0.0% Newell Rubbermaid, Inc. 900 20,385 ---------- HUMAN RESOURCE & EMPLOYMENT SERVICES - 0.1% Manpower, Inc. 200 8,878 Robert Half International, Inc. 1,800 64,062 ---------- 72,940 ---------- HYPERMARKETS & SUPERCENTERS - 0.7% Wal-Mart Stores, Inc. 16,200 709,884 ----------
8 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.5% AES Corporation* 6,000 $ 98,580 Duke Energy Corporation 8,300 242,111 Dynegy, Inc.* 8,400 39,564 TXU Corporation 500 56,440 ---------- 436,695 ---------- INDUSTRIAL CONGLOMERATES - 2.8% General Electric Company 64,200 2,161,614 Teleflex, Inc. 800 56,400 Tyco International, Ltd. 15,600 434,460 ---------- 2,652,474 ---------- INDUSTRIAL MACHINERY - 0.5% Actuant Corporation* 600 28,080 Briggs & Stratton Corporation 300 10,377 Danaher Corporation 6,100 328,363 Harsco Corporation 300 19,671 Nordson Corporation 200 7,606 Pall Corporation 2,200 60,500 ---------- 454,597 ---------- INSURANCE BROKERS - 0.3% Aon Corporation 500 16,040 Arthur J. Gallagher & Company 500 14,405 Marsh & McLennan Companies, Inc. 5,900 179,301 Willis Group Holdings, Ltd. 2,500 93,875 ---------- 303,621 ---------- INTEGRATED OIL & GAS - 3.5% BP plc ADR 400 28,340 Chevron Corporation 10,250 663,482 ConocoPhillips 6,000 419,460 Exxon Mobil Corporation 29,120 1,850,285 Murphy Oil Corporation 2,100 104,727 Occidental Petroleum Corporation 1,400 119,602 Petroleo Brasileiro S.A. ADR 1,200 76,500 Total S.A. ADR 900 122,238 ---------- 3,384,634 ---------- INTEGRATED TELECOMMUNICATION SERVICES - 1.2% BellSouth Corporation 4,700 123,610 Compania de Telecomuniciones de Chile S.A. ADR 800 8,680 Sprint Nextel Corporation 18,775 446,469 Tele Norte Leste Participacoes S.A. ADR 1,100 18,183 Telus Corporation (Non-Voting Shares) 6,100 248,514 Verizon Communications, Inc. 9,734 318,204 ---------- 1,163,660 ---------- INTERNET RETAIL - 0.2% Amazon.com, Inc.* 3,200 144,960 Drugstore.com, Inc.* 1,500 5,550
9 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) INTERNET RETAIL (CONTINUED) Expedia, Inc.* 450 $ 8,915 IAC/InterActiveCorp* 550 13,943 ---------- 173,368 ---------- INTERNET SOFTWARE & SERVICES - 0.6% Blue Coat Systems, Inc.* 200 8,696 CNET Networks, Inc.* 5,700 77,349 CyberSource Corporation* 500 3,290 Digital Insight Corporation* 400 10,424 EarthLink, Inc.* 1,600 17,120 Google, Inc.* 300 94,938 MatrixOne, Inc.* 5,400 28,404 VeriSign, Inc.* 2,400 51,288 Websense, Inc.* 400 20,484 Yahoo!, Inc.* 8,100 274,104 ---------- 586,097 ---------- INVESTMENT BANKING & BROKERAGE - 1.3% Ameritrade Holding Corporation* 6,500 139,620 E*Trade Financial Corporation* 9,500 167,200 Goldman Sachs Group, Inc. 2,200 267,476 Lehman Brothers Holdings, Inc. 1,200 139,776 Merrill Lynch & Company, Inc. 4,700 288,345 Morgan Stanley 5,200 280,488 TradeStation Group, Inc.* 400 4,056 ---------- 1,286,961 ---------- IT CONSULTING & OTHER SERVICES - 0.2% Accenture, Ltd.* 4,700 119,662 CACI International, Inc.* 100 6,060 Cognizant Technology Solutions Corporation* 300 13,977 Inforte Corporation 1,500 6,285 MTC Technologies, Inc.* 300 9,594 SRA International, Inc.* 400 14,192 ---------- 169,770 ---------- LEISURE PRODUCTS - 0.2% Brunswick Corporation 2,400 90,552 DreamWorks Animation SKG, Inc.* 400 11,064 Hasbro, Inc. 1,200 23,580 Marvel Entertainment, Inc.* 600 10,722 Mattel, Inc. 2,100 35,028 SCP Pool Corporation 612 21,377 ---------- 192,323 ---------- LIFE & HEALTH INSURANCE - 0.5% AFLAC, Inc. 2,200 99,660 Genworth Financial, Inc. 4,100 132,184 Lincoln National Corporation 700 36,414 MetLife, Inc. 1,600 79,728 Protective Life Corporation 400 16,472
10 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) LIFE & HEALTH INSURANCE (CONTINUED) Prudential Financial, Inc. 800 $ 54,048 StanCorp Financial Group, Inc. 200 16,840 ---------- 435,346 ---------- MANAGED HEALTH CARE - 0.9% Aetna, Inc. 1,900 163,666 UnitedHealth Group, Inc. 7,100 399,020 WellChoice, Inc.* 200 15,180 WellPoint, Inc.* 3,400 257,788 ---------- 835,654 ---------- MOVIES & ENTERTAINMENT - 0.9% News Corporation 10,500 163,695 Time Warner, Inc. 23,500 425,585 Viacom, Inc. (Cl.B) 9,000 297,090 ---------- 886,370 ---------- MULTI-LINE INSURANCE - 1.1% American International Group, Inc. 13,775 853,499 Hartford Financial Services Group, Inc. 2,500 192,925 ---------- 1,046,424 ---------- MULTI-UTILITIES - 0.2% Dominion Resources, Inc. 1,600 137,824 Energy East Corporation 900 22,671 Sempra Energy 500 23,530 ---------- 184,025 ---------- OFFICE SERVICES & SUPPLIES - 0.1% Avery Dennison Corporation 1,100 57,629 Herman Miller, Inc. 700 21,210 Pitney Bowes, Inc. 900 37,566 ---------- 116,405 ---------- OIL & GAS DRILLING - 0.3% Grey Wolf, Inc.* 2,000 16,860 Helmerich & Payne, Inc. 400 24,156 Nabors Industries, Ltd.* 600 43,098 Patterson-UTI Energy, Inc. 700 25,256 Transocean, Inc.* 2,509 153,827 ---------- 263,197 ---------- OIL & GAS EQUIPMENT & SERVICES - 1.0% BJ Services Company 2,000 71,980 Baker Hughes, Inc. 2,400 143,232 Cooper Cameron Corporation* 200 14,786 FMC Technologies, Inc.* 2,471 104,054 Grant Prideco, Inc.* 2,900 117,885 Halliburton Company 900 61,668 Maverick Tube Corporation* 600 18,000 National-Oilwell Varco, Inc.* 600 39,480
11 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) OIL & GAS EQUIPMENT & SERVICES (CONTINUED) Schlumberger, Ltd. 5,000 $ 421,900 ---------- 992,985 ---------- OIL & GAS EXPLORATION & PRODUCTION - 0.5% Anadarko Petroleum Corporation 1,063 101,782 Comstock Resources, Inc.* 700 22,967 Devon Energy Corporation 1,400 96,096 EOG Resources, Inc. 1,200 89,880 Forest Oil Corporation* 400 20,840 Newfield Exploration Company* 800 39,280 Pioneer Natural Resources Company 700 38,444 XTO Energy, Inc. 2,200 99,704 ---------- 508,993 ---------- OIL & GAS REFINING & MARKETING - 0.2% Sunoco, Inc. 600 46,920 Valero Energy Corporation 1,045 118,114 ---------- 165,034 ---------- OIL & GAS STORAGE & TRANSPORTATION - 0.3% Williams Companies, Inc. 10,400 260,520 ---------- OTHER DIVERSIFIED FINANCIAL SERVICES - 2.3% CapitalSource, Inc.* 3,200 69,760 Citigroup, Inc. 29,273 1,332,507 First Marblehead Corporation 3,000 76,200 Heartland Payment Systems, Inc.* 100 2,386 JP Morgan Chase & Company 20,036 679,821 ---------- 2,160,674 ---------- PACKAGED FOODS & MEATS - 0.6% Campbell Soup Company 3,100 92,225 Dean Foods Company* 550 21,373 General Mills, Inc. 4,000 192,800 H.J. Heinz Company 1,620 59,195 Hershey Company 1,400 78,834 Kellogg Company 2,300 106,099 Kraft Foods, Inc. 600 18,354 McCormick & Company, Inc. 700 22,841 SunOpta, Inc.* 2,500 12,150 Tootsie Roll Industries, Inc. 165 5,239 ---------- 609,110 ---------- PAPER PACKAGING - 0.0% Smurfit-Stone Container Corporation* 500 5,180 ---------- PAPER PRODUCTS - 0.3% Bowater, Inc. 1,600 45,232 International Paper Company 4,100 122,180 MeadWestvaco Corporation 1,300 35,906 Potlatch Corporation 1,000 52,120 ---------- 255,438 ----------
12 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS - 0.4% Avon Products, Inc. 2,200 $ 59,400 Estee Lauder Companies, Inc. 400 13,932 Gillette Company 5,000 291,000 ---------- 364,332 ---------- PHARMACEUTICALS - 3.2% Abbott Laboratories 6,200 262,880 AstraZeneca plc ADR 400 18,840 Bristol-Myers Squibb Company 1,500 36,090 Elan Corporation plc ADR* 2,100 18,606 Eli Lilly & Company 5,300 283,656 Forest Laboratories, Inc.* 1,100 42,867 GlaxoSmithKline plc ADR 100 5,128 Johnson & Johnson 13,788 872,505 Martek Biosciences Corporation* 200 7,026 Medicis Pharmaceutical Corporation 300 9,768 Merck & Company, Inc. 8,900 242,169 Noven Pharmaceuticals, Inc.* 600 8,400 Pfizer, Inc. 31,373 783,384 Schering-Plough Corporation 6,100 128,405 Sepracor, Inc.* 600 35,394 Watson Pharmaceuticals, Inc.* 800 29,288 Wyeth 6,500 300,755 ---------- 3,085,161 ---------- PROPERTY & CASUALTY INSURANCE - 0.7% Allstate Corporation 600 33,174 Ambac Financial Group, Inc. 700 50,442 Assurant, Inc. 400 15,224 Axis Capital Holdings, Ltd. 2,200 62,722 Infinity Property & Casualty Corporation 200 7,018 Markel Corporation* 70 23,135 Mercury General Corporation 200 11,998 Ohio Casualty Corporation 100 2,712 ProAssurance Corporation* 100 4,667 Progressive Corporation 1,600 167,632 Safeco Corporation 400 21,352 Selective Insurance Group, Inc. 100 4,890 St. Paul Travelers Companies, Inc. 5,114 229,465 Triad Guaranty, Inc.* 400 15,688 ---------- 650,119 ---------- PUBLISHING - 0.4% Dow Jones & Company, Inc. 700 26,733 E.W. Scripps Company 600 29,982 Gannett Company, Inc. 1,300 89,479 Getty Images, Inc.* 400 34,416 McGraw-Hill Companies, Inc. 2,400 115,296 Meredith Corporation 300 14,967 Scholastic Corporation* 400 14,784 Tribune Company 1,500 50,835 Washington Post Company (Cl.B) 39 31,297 ---------- 407,789 ----------
13 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) RAILROADS - 0.3% Norfolk Southern Corporation 3,100 $ 125,736 Union Pacific Corporation 2,200 157,740 ---------- 283,476 ---------- REAL ESTATE INVESTMENT TRUSTS - 0.6% Archstone-Smith Trust 3,200 127,584 Arden Realty, Inc. 800 32,936 Boston Properties, Inc. 400 28,360 Camden Property Trust 500 27,875 CarrAmerica Realty Corporation 2,600 93,470 Duke Realty Corporation 500 16,940 EastGroup Properties, Inc. 300 13,125 LaSalle Hotel Properties 800 27,560 Mills Corporation 500 27,540 ProLogis 1 39 Reckson Associates Realty Corporation 400 13,820 Redwood Trust, Inc. 200 9,722 Regency Centers Corporation 500 28,725 SL Green Realty Corporation 400 27,272 Simon Property Group, Inc. 1,100 81,532 Weingarten Realty Investors 600 22,710 ---------- 579,210 ---------- REGIONAL BANKS - 1.2% City National Corporation 100 7,009 Commerce Bancshares, Inc. 422 21,725 East West Bancorp, Inc. 500 17,020 Fifth Third Bancorp 12,900 473,817 First Horizon National Corporation 2,800 101,780 Huntington Bancshares, Inc. 400 8,988 Mercantile Bankshares Corporation 400 21,552 National City Corporation 4,200 140,448 SunTrust Banks, Inc. 1,200 83,340 Synovus Financial Corporation 7,300 202,356 TCF Financial Corporation 300 8,025 Texas Regional Bancshares, Inc. 817 23,521 UCBH Holdings, Inc. 1,500 27,480 Wilmington Trust Corporation 500 18,225 ---------- 1,155,286 ---------- REINSURANCE - 0.0% RenaissanceRe Holdings, Ltd. 100 4,373 ---------- RESTAURANTS - 0.3% CEC Entertainment, Inc.* 300 9,528 California Pizza Kitchen, Inc.* 300 8,772 Cheesecake Factory, Inc.* 100 3,124 Outback Steakhouse, Inc. 2,400 87,840 P.F. Chang's China Bistro, Inc.* 200 8,966 Panera Bread Company* 1,100 56,298 Sonic Corporation* 600 16,410 Starbucks Corporation* 800 40,080 Yum! Brands, Inc. 1,100 53,251 ---------- 284,269 ----------
14 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) SEMICONDUCTOR EQUIPMENT - 0.2% ASML Holding N.V.* 4,600 $ 75,946 ATMI, Inc.* 400 12,400 Advanced Energy Industries, Inc.* 600 6,456 Cymer, Inc.* 300 9,396 Entegris, Inc.* 1,112 12,566 KLA-Tencor Corporation 1,500 73,140 Varian Semiconductor Equipment Associates, Inc.* 200 8,474 ---------- 198,378 ---------- SEMICONDUCTORS - 1.5% Analog Devices, Inc. 9,434 350,379 Intel Corporation 33,600 828,240 Intersil Corporation 800 17,424 Linear Technology Corporation 2,000 75,180 Microchip Technology, Inc. 400 12,048 OmniVision Technologies, Inc.* 600 7,572 Semiconductor Manufacturing International Corporation ADR* 700 6,020 Semtech Corporation* 600 9,882 TTM Technologies, Inc.* 1,000 7,150 Tessera Technologies, Inc.* 400 11,964 Xilinx, Inc. 4,600 128,110 Zoran Corporation* 1,089 15,573 ---------- 1,469,542 ---------- SOFT DRINKS - 1.0% Coca-Cola Company 11,100 479,409 Coca-Cola Enterprises, Inc. 2,200 42,900 PepsiCo, Inc. 8,000 453,680 ---------- 975,989 ---------- SPECIALIZED FINANCE - 0.0% Moody's Corporation 500 25,540 ---------- SPECIALTY CHEMICALS - 0.1% Arch Chemicals, Inc. 600 13,950 Ferro Corporation 1,000 18,320 Minerals Technologies, Inc. 300 17,163 Symyx Technologies, Inc.* 700 18,284 Valspar Corporation 200 4,472 ---------- 72,189 ---------- SPECIALTY STORES - 0.1% A.C. Moore Arts & Crafts, Inc.* 600 11,508 Hibbett Sporting Goods, Inc.* 600 13,350 Petsmart, Inc. 400 8,712 Staples, Inc. 2,850 60,762 ---------- 94,332 ---------- STEEL - 0.2% Nucor Corporation 3,700 218,263 Steel Dynamics, Inc. 600 20,376 ---------- 238,639 ----------
15 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) SYSTEMS SOFTWARE - 1.7% Borland Software Corporation* 1,200 $ 6,984 Macrovision Corporation* 300 5,730 Microsoft Corporation 43,900 1,129,547 Oracle Corporation* 29,400 364,266 Red Hat, Inc.* 2,100 44,499 Symantec Corporation* 2,921 66,190 ----------- 1,617,216 ----------- TECHNOLOGY DISTRIBUTORS - 0.1% CDW Corporation 1,400 82,488 Tech Data Corporation* 400 14,684 ----------- 97,172 ----------- THRIFTS & MORTGAGE FINANCE - 0.4% BankAtlantic Bancorp, Inc. 1,500 25,485 Countrywide Financial Corporation 3,200 105,536 Fannie Mae 2,000 89,640 Golden West Financial Corporation 1,600 95,024 IndyMac Bancorp, Inc. 500 19,790 PMI Group, Inc. 500 19,935 Radian Group, Inc. 300 15,930 Washington Mutual, Inc. 1,200 47,064 ----------- 418,404 ----------- TOBACCO - 1.0% Altria Group, Inc. 13,100 965,601 ----------- TRADING COMPANIES & DISTRIBUTORS - 0.0% Hughes Supply, Inc. 400 13,040 ----------- TRUCKING - 0.0% Dollar Thrifty Automotive Group, Inc.* 600 20,202 Old Dominion Freight Line, Inc.* 500 16,745 ----------- 36,947 ----------- WIRELESS TELECOMMUNICATION SERVICE - 0.6% Alltel Corporation 161 10,483 America Movil S.A. de C.V. ADR 1,700 44,744 American Tower Corporation* 1,430 35,678 Crown Castle International Corporation* 5,400 133,002 NTL, Inc.* 200 13,360 Nextel Partners, Inc.* 5,300 133,030 Telephone & Data Systems, Inc. 200 7,800 Telephone & Data Systems, Inc. (Special Shares) 200 7,510 Vodafone Group plc ADR 5,300 137,641 Wireless Facilities, Inc.* 1,100 6,380 ----------- 529,628 ----------- TOTAL COMMON STOCKS (cost $48,515,253) 54,402,653 -----------
16 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- -------- FOREIGN COMMON STOCKS - 9.1% AUSTRALIA - 0.9% Australia & New Zealand Banking Group, Ltd. 5,933 $108,572 Australian Gas Light Company, Ltd. 1,502 16,973 Babcock & Brown, Ltd. 4,053 65,515 BlueScope Steel, Ltd. 14,481 105,557 Boral, Ltd. 19,019 117,029 CSL, Ltd. 801 23,453 Coles Myer, Ltd. 6,983 54,629 Downer EDI, Ltd. 5,300 24,409 GPT Group** 6,984 20,768 Macquarie Bank, Ltd. 1,755 100,830 National Australia Bank, Ltd. 3,825 96,391 Oil Search, Ltd. 15,173 44,773 Pacific Brands, Ltd. 9,234 20,066 QBE Insurance Group, Ltd. 3,729 53,113 Qantas Airways, Ltd. 6,420 16,497 -------- 868,575 -------- AUSTRIA - 0.1% Bank Austria Creditanstalt 657 73,400 -------- DENMARK - 0.1% TDC A/S 1,820 97,911 -------- FINLAND - 0.1% Neste Oil OYJ* 400 14,816 Nokia Oyj 6,432 107,722 -------- 122,538 -------- FRANCE - 0.9% Axa 2,223 61,000 BNP Paribas S.A. 1,676 127,359 Bouygues S.A. 1,771 82,279 CNP Assurances 954 63,955 Casino Guichard-Perrachon S.A. 464 32,890 Pernod Ricard S.A. 78 13,767 Publicis Groupe 2,960 94,168 Renault S.A. 505 47,809 Sanofi-Aventis 1,232 101,760 Societe Generale 367 41,865 Thomson 2,745 57,054 Total S.A. 571 155,793 -------- 879,699 -------- GERMANY - 0.8% Adidas-Salomon AG 265 46,031 BASF AG 1,266 95,062 Bayerische Motoren Werke (BMW) AG 1,190 55,844 Celesio AG 415 36,322 E.ON AG 1,191 109,363 Hypo Real Estate Holding AG 1,475 74,534 Metro AG 2,155 106,074 Mobilcom AG 1,720 39,572 SAP AG 485 83,790 Siemens AG 1,346 103,657 -------- 750,249 --------
17 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- -------- FOREIGN COMMON STOCKS (CONTINUED) HONG KONG - 0.3% China Overseas Land & Investment, Ltd. 104,000 $ 31,125 China Shenhua Energy Company, Ltd.* 21,000 24,599 China Telecom Corporation, Ltd. 75,000 28,238 China Unicom, Ltd. 12,000 9,963 Espirit Holdings, Ltd. 6,000 44,795 Hong Kong Electric Holdings, Ltd. 5,000 24,908 Hutchison Whampoa, Ltd. 5,700 58,881 Sun Hung Kai Properties, Ltd. 4,000 41,371 -------- 263,880 -------- IRELAND - 0.1% Allied Irish Banks plc 1,295 27,538 Bank of Ireland 2,847 44,979 DCC plc 3,129 62,779 -------- 135,296 -------- ITALY - 0.2% Eni SpA 5,180 153,779 UniCredito Italiano SpA 6,460 36,400 -------- 190,179 -------- JAPAN - 2.0% Aiful Corporation 800 67,022 Aioi Insurance Company, Ltd. 7,000 41,686 Bank of Fukuoka, Ltd. 5,000 36,030 Bank of Yokohama, Ltd. 9,000 68,581 Bridgestone Corporation 2,000 42,814 Canon, Inc. 1,200 64,802 Eisai Company, Ltd. 900 38,453 Fanuc, Ltd. 700 56,609 Goldcrest Company, Ltd. 460 36,025 Hamamatsu Photonics K.K. 800 18,465 Honda Motor Company, Ltd. 700 39,589 Inpex Corporation 3 23,283 KDDI Corporation 9 50,742 Kaneka Corporation 4,000 52,187 Kirin Brewery Company, Ltd. 4,000 44,047 Kobayashi Pharmaceutical Company, Ltd. 1,300 43,977 Kyocera Corporation 500 34,797 Matsumotokiyoshi Company, Ltd. 1,000 32,507 Mitsubishi Corporation 5,900 116,425 Mitsubishi Tokyo Financial Group, Inc. 6 78,756 Mitsui Sumitomo Insurance Company, Ltd. 4,000 46,302 Nikon Corporation 3,000 37,845 Nippon Steel Corporation 31,000 116,337 Nippon Yusen Kabushiki Kaisha 10,000 67,040 Pioneer Corporation 1,900 27,048 Sony Corporation 2,200 72,290 Sumitomo Electric Industries, Ltd. 2,600 35,044 Sumitomo Trust & Banking Company, Ltd. 9,000 74,052 TDK Corporation 400 28,507 Takeda Pharmaceutical Company, Ltd. 1,200 71,462 Tokyo Electric Power Company, Inc. 3,200 80,906 Toshiba Corporation 13,000 57,261 Toyota Motor Corporation 3,400 155,750
18 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
NUMBER MARKET OF SHARES VALUE --------- ---------- FOREIGN COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Uniden Corporation 1,000 $ 14,641 Yamato Transport Company, Ltd. 2,000 32,877 ---------- 1,904,159 ---------- MEXICO - 0.2% Cemex S.A. de C.V. 8,048 41,968 Grupo Financiero Banorte S.A. de C.V. 8,504 75,981 Organizacion Soriana S.A. de C.V. (Cl B)* 3,900 16,371 Wal-Mart de Mexico S.A. de C.V. 7,200 36,703 ---------- 171,023 ---------- NETHERLANDS - 0.1% ABN Amro Holding N.V. 2,047 49,014 ING Groep N.V. 1,912 56,922 Koninklijke (Royal) Philips Electronics N.V. 1,099 29,193 ---------- 135,129 ---------- NORWAY - 0.2% Statoil ASA 4,147 102,869 Telenor ASA 9,614 85,854 Yara International ASA 2,032 36,680 ---------- 225,403 ---------- SINGAPORE - 0.1% DBS Group Holdings, Ltd. 5,000 46,690 SembCorp Industries, Ltd. 30,900 54,787 StarHub, Ltd. 24,000 28,652 ---------- 130,129 ---------- SPAIN - 0.3% Acciona S.A. 1,137 130,113 Banco Santander Central Hispano S.A. 5,213 68,454 Gestevision Telecinco S.A. 862 18,020 Iberdrola S.A. 2,886 80,615 ---------- 297,202 ---------- SWEDEN - 0.4% Nordea Bank AB 11,195 111,911 SSAB Svenskt Stal AB 2,753 83,271 Skandinaviska Enskilda Banken AB 3,844 70,407 Svenska Handelsbanken AB 3,539 81,939 ---------- 347,528 ---------- SWITZERLAND - 0.4% Credit Suisse Group 2,002 88,624 Holcim, Ltd. 540 35,857 Nestle S.A. 336 98,381 Novartis AG 3,538 179,442 ---------- 402,304 ---------- UNITED KINGDOM - 1.9% Aegis Group plc 28,130 69,426 Anglo American plc 1,999 59,485 Arriva plc 6,008 62,225 AstraZeneca plc 1,127 52,332
19 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL AMOUNT OR NUMBER MARKET OF SHARES VALUE --------- ---------- FOREIGN COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Aviva plc 3,508 $ 38,497 BAE Systems plc 7,410 44,904 BP plc 13,726 163,091 Barclays plc 16,823 169,935 Bradford & Bingley plc 7,340 44,124 Centrica plc 17,440 75,555 DS Smith plc 15,100 39,996 Diageo plc 2,013 28,922 Friends Provident plc 6,880 22,681 GKN plc 5,475 28,401 GlaxoSmithKline plc 5,174 131,528 HBOS plc 6,150 92,535 HSBC Holdings plc 2,777 44,892 Persimmon plc 2,747 41,574 RHM plc* 6,500 35,379 Rolls-Royce Group plc* 5,790 38,098 Royal Bank of Scotland Group plc 4,174 118,469 Royal Dutch Shell plc (Cl. B) 4,091 141,140 Tesco plc 8,955 48,781 Unilever plc 8,664 90,267 Vodafone Group plc 13,782 35,837 WPP Group plc 7,046 71,671 ---------- 1,789,745 ---------- TOTAL FOREIGN COMMON STOCKS (cost $6,380,585) 8,784,349 ---------- PREFERRED STOCKS - 0.0% APPAREL, ACCESSORIES & LUXURY GOODS - 0.0% Anvil Holdings, Inc. (Cl.B) (7) 469 2,345 ---------- TOTAL PREFERRED STOCKS (cost $6,135) 2,345 ---------- WARRANTS - 0.0% Travelcenters of America, $0.001, 05-01-09* (7) 150 187 ---------- TOTAL WARRANTS (cost $2) 187 ---------- MUNICIPAL BONDS - 0.3% GEORGIA - 0.1% Atlanta, GA Airport Passenger Facility Charge, 5.00% - 2033 $90,000 93,550 ---------- KANSAS - 0.0% Kansas State Financial Authority Revenue, 5.501% - 2034 $30,000 31,034 ---------- NEW YORK - 0.1% New York, NY General Obligation, 5.00% - 2015 $60,000 64,140 ----------
20 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- --------- MUNICIPAL BONDS (CONTINUED) OREGON - 0.0% Oregon State Taxable Pension, 5.892% - 2027 $ 15,000 $ 16,271 -------- TEXAS - 0.1% Houston Texas Utility Systems Revenue, 5.25% - 2016 70,000 76,327 -------- TOTAL MUNICIPAL BONDS (cost $280,042) 281,322 -------- CORPORATE BONDS - 7.7% AEROSPACE & DEFENSE - 0.1% BE Aerospace, Inc., 8.875% - 2011 25,000 26,250 United Technologies Corporation, 5.40% - 2035 40,000 39,964 -------- 66,214 -------- AUTOMOTIVE - 0.3% Adesa, Inc., 7.625% - 2012 25,000 25,000 DaimlerChrysler N.A. Holdings, 6.50% - 2013 50,000 52,864 Erac USA Finance Company, 5.60% - 2015 (1, 7) 40,000 40,414 Ford Motor Credit Company: 4.74% - 2006 (3) 25,000 24,912 5.80% - 2009 120,000 111,970 -------- 255,160 -------- BANKING - 0.8% ABN Amro Bank N.V., 7.125% - 2007 60,000 62,431 BAC Capital Trust VI, 5.625% - 2035 50,000 48,701 BB&T Corporation, 6.50% - 2011 45,000 48,648 Bank of America Corporation, 4.875% - 2012 55,000 54,986 Bank One Corporation, 5.25% - 2013 75,000 75,616 Capital One Bank, 6.50% - 2013 65,000 69,727 Countrywide Home Loan, 4.125% - 2009 65,000 63,124 First Union Corporation, 6.40% - 2008 20,000 20,799 HSBC Finance Corporation, 5.00% - 2015 50,000 49,174 Huntington National Bank, 4.375% - 2010 45,000 44,282 Merrill Lynch & Company, Inc., 4.25% - 2010 45,000 43,992 Northern Trust Company, 4.60% - 2013 25,000 24,635 U.S. Bancorp, 4.50% - 2010 60,000 59,409 Wachovia Corporation, 5.50% - 2035 25,000 24,390 Webster Financial Corporation, 5.125% - 2014 45,000 44,404 Wells Fargo & Company, 4.02% - 2007 (3) 55,000 55,041 -------- 789,359 -------- BROKERAGE - 0.3% Citigroup, Inc., 5.00% - 2014 60,000 59,676 Franklin Resources, Inc., 3.70% - 2008 15,000 14,651 Goldman Sachs Group, Inc., 6.345% - 2034 90,000 93,774 Legg Mason, Inc., 6.75% - 2008 20,000 21,069 Lehman Brothers Holdings, Inc., 3.50% - 2008 65,000 63,038 -------- 252,208 -------- BUILDING MATERIALS - 0.1% Celulosa Arauco y Constitucion S.A., 5.125% - 2013 40,000 38,672 Centex Corporation, 5.45% - 2012 40,000 39,536 -------- 78,208 --------
21 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- -------- CORPORATE BONDS (CONTINUED) CHEMICALS - 0.2% ARCO Chemical Company, 9.80% - 2020 $25,000 $ 28,219 Crystal US Holdings/US Sub3, 0.00% - 2014 (2) 16,000 11,200 Dow Chemical Company, 6.125% - 2011 30,000 31,970 Huntsman LLC, 11.625% - 2010 33,000 37,703 IMC Global, Inc., 10.875% - 2013 25,000 29,500 Resolution Performance, 9.50% - 2010 25,000 25,813 -------- 164,405 -------- COMMUNICATIONS - OTHER - 0.1% Belo Corporation, 8.00% - 2008 5,000 5,367 CanWest Media, Inc., 8.00% - 2012 34,875 37,011 News America, Inc., 6.20% - 2034 25,000 25,038 -------- 67,416 -------- CONSUMER PRODUCTS - 0.1% Bunge, Ltd. Finance Corporation, 4.375% - 2008 50,000 49,281 Josten's IH Corporation, 7.625% - 2012 25,000 25,250 Sealy Mattress Company, 8.25% - 2014 25,000 25,125 -------- 99,656 -------- DISTRIBUTORS - 0.0% Atmos Energy Corporation, 4.00% - 2009 45,000 43,401 -------- DIVERSIFIED MANUFACTURING - 0.1% Hawk Corporation, 8.75% - 2014 (7) 25,000 25,250 JLG Industries, Inc., 8.375% - 2012 16,000 16,960 Valmont Industries, Inc., 6.875% - 2014 25,000 25,500 -------- 67,710 -------- ELECTRIC - 0.5% AES Corporation, 9.00% - 2015 (1, 7) 25,000 27,438 Alabama Power Company, 4.026% - 2009 (3) 60,000 60,162 Black Hills Corporation, 6.50% - 2013 40,000 41,433 CE Electric UK Funding Company, 6.995% - 2007 (1, 7) 35,000 36,145 Centerpoint Energy, Inc., 7.25% - 2010 25,000 27,143 Exelon Generation Company LLC, 5.35% - 2014 35,000 35,048 Firstenergy Corporation, 6.45% - 2011 40,000 42,591 PPL Capital Funding, 4.33% - 2009 45,000 44,113 Pacific Gas & Electric Company, 6.05% - 2034 35,000 36,414 Pinnacle West Capital Corporation, 6.40% - 2006 40,000 40,353 Progress Energy, Inc., 6.75% - 2006 25,000 25,223 Public Service Company of New Mexico, 4.40% - 2008 40,000 39,366 Westar Energy, Inc., 5.10% - 2020 25,000 24,296 Western Power Distributors Holdings, 6.875% - 2007 (1, 7) 25,000 25,768 -------- 505,493 -------- ENERGY - INDEPENDENT - 0.1% Devon Financing Corporation, ULC, 6.875% - 2011 55,000 60,457 Forest Oil Corporation, 8.00% - 2011 25,000 27,625 -------- 88,082 --------
22 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- -------- CORPORATE BONDS (CONTINUED) ENERGY - INTEGRATED - 0.1% Amerada Hess Corporation, 7.875% - 2029 $ 30,000 $ 36,795 ConocoPhillips, 5.90% - 2032 40,000 43,305 Petro Canada, 5.95% - 2035 40,000 40,003 -------- 120,103 -------- ENERGY - OTHER - 0.0% Dresser-Rand Group, Inc., 7.375% - 2014 (1, 7) 22,000 22,825 -------- ENTERTAINMENT - 0.1% AMF Bowling Worldwide, 10.00% - 2010 25,000 24,875 International Speedway Corporation, 4.20% - 2009 20,000 19,508 K2, Inc., 7.375% - 2014 25,000 25,000 LCE Acquisition Corporation, 9.00% - 2014 (1) 25,000 24,313 Six Flags, Inc., 8.875% - 2010 25,000 24,750 -------- 118,446 -------- ENVIRONMENTAL - 0.1% Allied Waste North America, 7.875% - 2013 25,000 25,500 Casella Waste Systems, Inc., 9.75% - 2013 25,000 27,000 -------- 52,500 -------- FINANCIAL - OTHER - 0.1% Dollar Financial Group, Inc., 9.75% - 2011 25,000 26,000 Encana Holdings Financial Corporation, 5.80% - 2014 45,000 47,393 Orion Power Holdings, Inc., 12.00% - 2010 25,000 30,125 Residential Capital Corporation, 6.375% - 2010 (1, 7) 15,000 15,196 -------- 118,714 -------- FINANCIAL COMPANIES - NONCAPTIVE CONSUMER - 0.2% General Motors Acceptance Corporation, 8.00% - 2031 30,000 26,195 International Lease Finance Corporation, 6.375% - 2009 40,000 41,905 SLM Corporation: 3.711% - 2009 (3) 35,000 34,470 3.85% - 2009 (3) 55,000 55,117 -------- 157,687 -------- FINANCIAL COMPANIES - NONCAPTIVE DIVERSIFIED - 0.3% CIT Group, Inc., 5.00% - 2015 70,000 68,965 General Electric Capital Corporation, 6.00% - 2012 100,000 106,443 John Deere Capital Corporation, 7.00% - 2012 45,000 50,217 MBNA America Bank, 4.625% - 2009 45,000 44,906 -------- 270,531 -------- FOOD & BEVERAGE - 0.3% Agrilink Foods, Inc., 11.875% - 2008 (7) 6,000 6,135 B&G Foods Holding Corporation, 8.00% - 2011 25,000 25,313 Eircom Funding, 8.25% - 2013 25,000 27,125 Kraft Foods, Inc., 5.625% - 2011 45,000 46,495 Kroger Company, 8.05% - 2010 45,000 49,592 Le-Nature's, Inc., 9.00% - 2013 (1, 7) 25,000 27,000 McCormick & Company, Inc., 6.40% - 2006 65,000 65,448
23 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- -------- CORPORATE BONDS (CONTINUED) FOOD & BEVERAGE (CONTINUED) Pantry, Inc., 7.75% - 2014 $25,000 $ 25,000 W.M. Wrigley Jr. Company, 4.65% - 2015 15,000 14,745 -------- 286,853 -------- GAMING - 0.1% GTECH Holdings Corporation, 4.50%, 2009 45,000 41,457 Harrah's Operating Company, Inc., 5.50% - 2010 45,000 45,425 -------- 86,882 -------- HEALTH CARE - 0.2% Amgen, Inc., 4.00% - 2009 25,000 24,442 Concentra Operating Corporation, 9.125% - 2012 25,000 26,000 Genentech, Inc., 4.75% - 2015 (1, 7) 35,000 34,327 Genesis HealthCare Corporation, 8.00% - 2013 25,000 26,938 Highmark, Inc., 6.80% - 2013 (1, 7) 30,000 32,659 Medtronic, Inc., 4.75% - 2015 (1, 7) 55,000 54,143 Vanguard Health Holdings II, 9.00% - 2014 25,000 26,625 -------- 225,134 -------- HOME CONSTRUCTION - 0.2% Lennar Corporation, 5.60% - 2015 (1, 7) 60,000 58,779 M.D.C. Holdings, Inc., 5.50% - 2013 55,000 54,088 NVR, Inc., 5.00% - 2010 30,000 29,445 Pulte Homes, Inc., 7.875% - 2011 35,000 39,009 WCI Communities, Inc.: 10.625% - 2011 25,000 26,562 9.125% - 2012 25,000 25,750 -------- 233,633 -------- INDUSTRIAL - OTHER - 0.0% Brand Intermediate Holding, 13.00% - 2013 (1, 6, 7) 28,355 29,489 -------- INSURANCE - LIFE - 0.5% Allstate Financial Global Funding, 5.25% - 2007 (1, 7) 45,000 45,279 Genworth Financial, Inc., 5.75% - 2014 40,000 41,917 Hartford Financial Services Group, Inc., 4.75% - 2014 55,000 53,634 John Hancock Global Funding II, 5.625% - 2006 (1, 7) 65,000 65,507 MetLife, Inc., 6.125% - 2011 50,000 53,156 NLV Financial Corporation, 7.50% - 2033 (1, 7) 30,000 32,770 Nationwide Financial Services, Inc., 5.90% - 2012 50,000 52,295 Principal Life Global, 5.125% - 2013 (1, 7) 45,000 45,635 Prudential Financial, Inc., 3.75% - 2008 60,000 59,103 Transamerica Capital II, 7.65% - 2026 (1, 7) 20,000 23,340 -------- 472,636 -------- INSURANCE - PROPERTY & CASUALTY - 0.1% Ace INA Holdings, Inc., 5.875% - 2014 35,000 35,605 Fund American Companies, Inc., 5.875% - 2013 45,000 45,008 Nationwide Mutual Insurance Company, 6.60% - 2034 (1, 7) 25,000 25,257 -------- 105,870 --------
24 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- -------- CORPORATE BONDS (CONTINUED) MEDIA - CABLE - 0.1% Charter Communications Opt LLC/Cap, 8.00% - 2012 (1, 7) $25,000 $ 25,188 Comcast Cable Communications Holdings, 8.375% - 2013 45,000 53,243 Rogers Cable, Inc., 5.50% - 2014 40,000 36,900 -------- 115,331 -------- MEDIA - NONCABLE - 0.4% AOL Time Warner, Inc., 7.625% - 2031 65,000 76,149 Advanstar Communications, Inc., 10.75% - 2010 25,000 27,937 Affinity Group, Inc., 9.00% - 2012 25,000 25,000 CanWest Media, Inc., 10.625% - 2011 25,000 27,187 Clear Channel Communications, 7.65% - 2010 40,000 43,418 Coinmach Corporation, 9.00% - 2010 17,000 17,382 Dex Media Finance/East LLC: 9.875% - 2009 25,000 27,187 12.125% - 2012 32,000 37,440 Fisher Communications, Inc., 8.625% - 2014 25,000 26,688 Houghton Mifflin Company, 9.875% - 2013 25,000 26,500 Warner Music Group, 7.375% - 2014 25,000 25,062 XM Satellite Radio, Inc., 12.00% - 2010 13,000 14,820 -------- 374,770 -------- METALS & MINING - 0.3% Alcan, Inc., 5.00% - 2015 55,000 54,088 Autocam Corporation, 10.875% - 2014 25,000 16,750 Freeport McMoran Resource Partners, 7.00% - 2008 75,000 76,688 Luscar Coal, Ltd., 9.75% - 2011 25,000 27,000 Newmont Mining Corporation, 5.875% - 2035 50,000 49,005 Russel Metals, Inc., 6.375% - 2014 25,000 24,375 -------- 247,906 -------- OIL FIELD SERVICES - 0.3% Baker Hughes, Inc., 6.875% - 2029 55,000 66,001 Diamond Offshore Drilling, Inc., 5.15% - 2014 25,000 24,963 Halliburton Company, 5.50% - 2010 60,000 61,959 Hilcorp Energy/Finance, 10.50% - 2010 (1, 7) 50,000 55,000 Pemex Project Funding Master Trust: 5.17% - 2010 (1, 3, 7) 45,000 46,822 7.375% - 2014 30,000 33,300 -------- 288,045 -------- PACKAGING - 0.1% BWAY Corporation, 10.00% - 2010 25,000 26,500 Graphic Packaging International Corporation, 8.50% - 2011 25,000 24,500 Owens-Brockway Glass Containers: 8.875% - 2009 25,000 26,250 8.75% - 2012 25,000 27,000 Owens-Illinois, Inc., 7.35% - 2008 25,000 25,500 -------- 129,750 -------- PAPER - 0.1% Boise Cascade LLC, 7.125% - 2014 25,000 23,687 Sealed Air Corporation, 5.375% - 2008 (1, 7) 40,000 40,196 -------- 63,883 --------
25 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- -------- CORPORATE BONDS (CONTINUED) PHARMACEUTICALS - 0.0% VWR International, Inc., 6.875% - 2012 $ 25,000 $ 24,688 -------- PIPELINES - 0.2% ANR Pipeline Company, 8.875% - 2010 25,000 27,023 Duke Capital LLC: 4.302% - 2006 25,000 24,984 6.25% - 2013 40,000 42,074 Dynegy-Roseton Danskamme, 7.27% - 2010 25,000 24,875 Kaneb Pipe Line Operating Partnership LP, 7.75% - 2012 20,000 22,278 Panhandle Eastern Pipe Line Company, 4.80% - 2008 20,000 19,957 TGT Pipeline LLC, 5.50% - 2017 (1) 10,000 9,974 Williams Companies, Inc.: 7.75% - 2031 25,000 27,062 8.75% - 2032 25,000 29,500 -------- 227,727 -------- RAILROADS - 0.1% Canadian National Railway Company, 6.25% - 2034 45,000 49,854 Norfolk Southern Corporation, 6.00%, 2008 50,000 51,310 -------- 101,164 -------- REAL ESTATE INVESTMENT TRUSTS - 0.2% Archstone-Smith Operating Trust, 5.25% - 2015 40,000 39,806 Developers Diversified Realty Corporation, 3.875% - 2009 35,000 33,745 EOP Operating LP, 4.65% - 2010 35,000 34,419 iStar Financial, Inc., 5.125% - 2011 40,000 39,399 Simon Property Group, LP, 3.75% - 2009 45,000 43,433 -------- 190,802 -------- REFINING - 0.1% Denbury Resources, Inc., 7.50% - 2013 25,000 26,250 Diamond Offshore Drilling, Inc., 4.875% - 2015 (1, 7) 30,000 29,304 -------- 55,554 -------- RETAILERS - 0.1% Jean Coutu Group (PJC), Inc., 7.625% - 2012 25,000 25,437 Wal-Mart Stores, Inc., 5.25% - 2035 45,000 43,548 Yum! Brands, Inc., 7.70% - 2012 45,000 51,624 -------- 120,609 -------- SERVICES - 0.1% Brickman Group, Ltd., 11.75% - 2009 25,000 28,000 Petroleum Helicopters, Inc., 9.375% - 2009 25,000 26,562 -------- 54,562 -------- TECHNOLOGY - 0.0% Freescale Semiconductor, 7.125% - 2014 25,000 26,625 Stats Chippac, Ltd., 6.75% - 2011 25,000 24,250 -------- 50,875 -------- TELECOMMUNICATIONS - WIRELESS - 0.5% AT&T Wireless, 8.75% - 2031 35,000 47,243 America Movil S.A. de C.V., 5.50% - 2014 50,000 49,435 Centennial Communications, 8.125% - 2014 25,000 26,438 Rogers Wireless Communications, Inc., 9.625% - 2011 100,000 115,500
26 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- ---------- CORPORATE BONDS (CONTINUED) TELECOMMUNICATIONS - WIRELESS (CONTINUED) Sprint Capital Corporation, 6.875% - 2028 $ 60,000 $ 66,281 Telus Corporation, 8.00% - 2011 55,000 62,922 Time Warner Telecom LLC, 9.75% - 2008 25,000 25,312 Ubiquitel Operating Company, 9.875% - 2011 25,000 27,750 Verizon Global Funding Corporation, 7.75% - 2030 40,000 48,731 ---------- 469,612 ---------- TELECOMMUNICATIONS - WIRELINES - 0.1% Telecom Italia Capital, 5.25% - 2013 40,000 39,716 Telefonos de Mexico S.A. de C.V., 5.50% - 2015 30,000 29,505 ---------- 69,221 ---------- TEXTILE - 0.0% Collins & Aikman Floor Cover, 9.75% - 2010 25,000 24,125 ---------- TOTAL CORPORATE BONDS (cost $7,304,105) 7,387,239 ---------- FOREIGN BONDS - 0.1% CAYMAN ISLANDS - 0.0% Transocean, Inc., 7.50% - 2031 30,000 37,837 ---------- FRANCE - 0.0% France Telecom S.A., 8.00% - 2011 (2) 40,000 45,419 ---------- LUXEMBOURG - 0.1% Tyco International Group S.A., 6.375% - 2011 50,000 53,294 ---------- UNITED KINGDOM - 0.0% HBOS plc, 6.00% - 2033 (1, 7) 40,000 42,255 ---------- TOTAL FOREIGN BONDS (cost $172,393) 178,805 ---------- FOREIGN GOVERNMENT BONDS - 0.1% MEXICO - 0.0% United Mexican States, 6.375% - 2013 45,000 47,880 ---------- SOUTH AFRICA - 0.1% Republic of South Africa, 6.50% - 2014 65,000 71,012 ---------- TOTAL FOREIGN GOVERNMENT BONDS (cost $112,787) 118,892 ---------- MORTGAGE BACKED SECURITIES - 7.3% U.S GOVERNMENT SPONSORED AGENCIES - 6.0% Federal Home Loan Mortgage Corporation: #M80714, 5.00% - 2008 35,699 35,904 #E81544, 6.00% - 2009 255,120 258,983 FHR 2631 IG, 4.50% - 2011 (5, 7) 164,000 11,103 FHR 2614 IH, 4.50% - 2016 (5, 7) 102,000 14,646 #B10343, 5.00% - 2018 9,634 9,616 #E99933, 5.00% - 2018 6,199 6,187 #E99966, 5.00% - 2018 35,042 34,974 #E01341, 5.50% - 2018 11,611 11,784 #G11759, 5.50% - 2018 298,611 303,095 FHR 2681 PC, 5.00% - 2019 100,000 100,155 #B19214, 5.50% - 2020 37,000 37,551
27 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- -------- MORTGAGE BACKED SECURITIES (CONTINUED) U.S GOVERNMENT SPONSORED AGENCIES (CONTINUED) Federal Home Loan Mortgage Corporation (continued) #J02272, 5.50% - 2020 $100,000 $101,489 #J02554, 5.50% - 2020 100,000 101,489 FHR 2882 YB, 5.00% - 2027 50,000 49,965 FHR 2890 PB, 5.00% - 2027 150,000 149,696 #1B0527, 4.549% - 2032 (3) 21,458 21,504 #C72128, 6.00% - 2032 91,739 93,356 #C68205, 7.00% - 2032 12,723 13,295 #A12118, 5.00% - 2033 65,944 64,692 #A15852, 5.00% - 2033 24,054 23,598 #A15907, 5.00% - 2033 34,204 33,555 #D86309, 5.00% - 2033 38,578 37,845 #G01628, 6.00% - 2033 185,282 188,534 #A21263, 4.50% - 2034 156,185 148,762 #G01805, 4.50% - 2035 360,163 342,695 Federal National Mortgage Association: FNR 2003-92 NM, 3.50% - 2013 75,000 73,467 #323322, 6.00% - 2013 77,879 80,123 FNR 2002-74 PJ, 5.00% - 2015 150,000 150,383 #254140, 5.50% - 2017 8,049 8,173 #254234, 5.50% - 2017 7,750 7,869 #625931, 5.50% - 2017 7,185 7,295 #357280, 6.50% - 2017 32,345 33,458 #254720, 4.50% - 2018 147,365 144,560 #555345, 5.50% - 2018 8,020 8,143 #555446, 5.50% - 2018 12,608 12,798 #555526, 5.50% - 2018 180,481 183,198 #555693, 5.50% - 2018 108,881 110,521 #357475, 4.50% - 2019 183,606 180,112 #725528, 5.50% - 2019 18,342 18,615 #789885, 5.50% - 2019 22,013 22,341 #735439, 6.00%, 2019 229,054 235,656 FNR 2003-40 NI, 5.50% - 2028 (5, 7) 35,425 2,179 #254514, 5.50% - 2032 4,185 4,187 #254550, 6.50% - 2032 30,206 31,123 #545759, 6.50% - 2032 178,390 183,619 #650075, 6.50% - 2032 30,626 31,556 #254767, 5.50% - 2033 205,870 205,966 #254983, 5.50% - 2033 97,699 97,744 #744692, 5.50% - 2033 48,352 48,374 #744750, 5.50% - 2033 22,086 22,096 #747387, 5.50% - 2033 28,406 28,420 #747549, 5.50% - 2033 9,569 9,573 #750362, 5.50% - 2033 40,819 40,838 #756190, 5.50% - 2033 49,355 49,378 #555417, 6.00% - 2033 120,426 122,513 #725232, 5.00% - 2034 28,574 28,038 #255028, 5.50% - 2034 24,031 24,028 #725424, 5.50% - 2034 458,848 459,060 #762076, 5.50% - 2034 57,514 57,540 #789293, 5.50% - 2034 176,276 176,412 #796104, 5.50% - 2034 47,622 47,625 #804395, 5.50% - 2034 139,028 139,038 #255459, 6.00% - 2034 62,001 63,051 #725162, 6.00% - 2034 115,981 117,939 #725690, 6.00% - 2034 64,433 65,524 #725704, 6.00% - 2034 66,871 67,999 #357883, 5.00% - 2035 38,564 37,841 #830880, 5.00% - 2035 88,898 87,042
28 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE --------- ---------- MORTGAGE BACKED SECURITIES (CONTINUED) U.S GOVERNMENT SPONSORED AGENCIES (CONTINUED) Fannie Mae Strip, #3192, 6.50% -2032(5,7) $ 21,355 $ 4,421 Fannie Mae Whole Loan, FNW 2003-W16 AF3, 2.91% - 2033 8,470 8,445 ---------- 5,732,754 ---------- U.S. GOVERNMENT SPONSORED SECURITIES - 1.3% Government National Mortgage Association: #780766, 7.00% - 2013 11,605 11,957 #781312, 7.00% - 2013 38,752 40,633 #67365, 11.50% - 2013 2,845 3,151 2004-23 B, 2.946% - 2019 55,000 52,538 #427029, 8.50% - 2026 10,521 11,450 #604639, 5.00% - 2033 94,409 93,573 #612919, 5.00% - 2033 270,889 268,490 #615278, 5.00% - 2033 114,405 113,392 II #2102, 8.00% - 2025 1,822 1,944 II #3442, 5.00% - 2033 224,772 222,080 II #3458, 5.00% - 2033 63,612 62,851 II TBA, 5.50% - 2033(4) 126,000 126,984 II #3490, 6.50% - 2033 17,648 18,275 II #3513, 5.00% - 2034 80,302 79,266 II #3529, 5.00% - 2034 20,325 20,063 II #3517, 6.00% - 2034 55,491 56,678 II #3612, 6.50% - 2034 31,970 33,103 ---------- 1,216,428 ---------- NON-AGENCY SECURITIES - 0.0% WFS Financial Owner Trust, 2004-1 A4, 2.81% - 2011 40,000 39,120 ---------- TOTAL MORTGAGE BACKED SECURITIES (cost $7,055,177) 6,988,302 ---------- U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES - 1.5% Federal Home Loan Bank, 5.75% - 2012 10,000 10,631 5.25% - 2014 135,000 140,961 Federal Home Loan Mortgage Corporation, 2.75% - 2008 70,000 67,415 4.125% - 2010 145,000 142,359 Federal National Mortgage Association: 3.25% - 2008 690,000 668,056 3.375% - 2008 185,000 179,085 6.00% - 2011 112,000 119,821 4.375% - 2012 105,000 103,906 ---------- TOTAL U.S. GOVERNMENT SPONSORED AGENCY BONDS & NOTES (cost $1,444,423) 1,432,234 ---------- U.S. GOVERNMENT SECURITIES - 11.5% U.S. Treasury Bonds: 3.50% - 2010 835,000 811,091 4.25% - 2013 395,000 393,287 4.25% - 2014 190,000 188,642 7.50% - 2016 230,000 291,112 8.50% - 2020 355,000 501,285 6.25% - 2023 210,000 251,106
29 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL MARKET AMOUNT VALUE ---------- ----------- U.S. GOVERNMENT SECURITIES (CONTINUED) U.S. Treasury Bonds (continued) 6.00% - 2026 $ 115,000 $ 135,628 6.375% - 2027 85,000 105,334 5.50% - 2028 325,000 365,168 6.25% - 2030 25,000 31,042 5.375% - 2031 30,000 33,609 U.S. Treasury Notes: 1.875% - 2005 610,000 608,522 1.50% - 2006 50,000 49,412 3.50% - 2006 685,000 680,264 3.00% - 2007 700,000 683,593 3.25% - 2007 445,000 437,769 3.62% - 2007 320,000 316,950 3.375% - 2008 555,000 541,754 4.00% - 2009 705,000 700,153 5.75% - 2010(9) 1,445,000 1,541,126 5.00% - 2011 1,460,000 1,517,089 4.75% - 2014 35,000 36,058 4.125% - 2015 110,000 108,105 Treasury Inflation Index, 3.625% - 2008 61,903 65,526 1.875% - 2013 132,599 134,381 2.00% - 2014 262,112 267,754 2.375% - 2025 231,199 247,347 ----------- TOTAL U.S. GOVERNMENT SECURITIES (cost $11,087,373) 11,043,107 ----------- ASSET BACKED SECURITIES - 2.7% AUTO - 0.1% Chase Manhattan Auto Owner Trust, 2003-A A4, 2.06% - 2009 70,000 68,018 Harley-Davidson Motorcycle Trust, 2001-1 B, 5.29% - 2009 11,839 11,845 ----------- 79,863 ----------- CREDIT CARDS - 0.3% Capital One Multi-Asset Execution Trust, 2005-A7 A7, 4.70% - 2015 70,000 70,160 Chase Insurance Trust, 2005-A7 A7, 4.55% - 2013 80,000 79,865 Citibank Credit Card Issuance Trust: 2000-A1 A1, 6.90% - 2007 50,000 50,063 4.178% -2014(3) 55,000 55,190 MBNA Credit Card Master Note Trust, 4.50% - 2013 50,000 49,824 ----------- 305,102 ----------- HOME EQUITY LOANS - 2.0% Bank of America Commercial Mortgage, Inc.: 2004-A 2A2, 4.184% - 2034(3) 73,391 72,129 2004-D 2A2, 4.230% - 2034(3) 5,500 5,411 2003-L 2A2, 4.347% - 2034(3) 127,904 126,126 2004-H, 2A2, 4.817% - 2034(3) 34,730 34,503 2004-I, 3A2, 5.008% - 2034(3) 34,180 33,795 2003-1 A2, 4.648% - 2036 75,000 73,785 2004-6 A1, 3.801% - 2042 17,698 17,396 BankBoston Home Equity Loan Trust, 1998-1 A6, 6.35% - 2013 46,074 46,629
30 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE ---------- ----------- ASSET BACKED SECURITIES (CONTINUED) HOME EQUITY LOANS (CONTINUED) Bear Stearns Commercial Mortgage Securities, Inc.: 2004-PWR6 A1, 3.688% - 2041 $ 14,343 $ 14,106 2005-PWR8 A4, 4.674% - 2041 $ 125,000 121,847 Capital One Multi-Asset Execution Trust, 2004-A8 A8, 3.898% - 2014(3) $ 225,000 225,800 Chase Funding Mortgage Loan, 2002-2 1M1, 5.599% - 2031 $ 12,872 12,905 Citigroup Commercial Mortgage Trust, 2004-C2 A1, 3.787% - 2041 $ 13,377 13,144 Commercial Mortgage, 2005-LP5 A1, 4.235% - 2043 $ 93,652 92,729 Countrywide Asset-Backed Certificates, 2003-5 AF3, 3.613% - 2030 $ 22,724 22,641 DLJ Commercial Mortgage Corporation, 1999-CG2 A1B, 7.30% - 2032 $ 75,000 81,058 GMAC Commercial Mortgage Securities, Inc.: 2001-C2 A1, 6.25% - 2034 $ 828 851 2001-C2 A2, 6.70% - 2034 $ 125,000 135,738 Greenwich Capital Commercial Funding Corporation, 2004-GG1 A2, 3.835% - 2036 $ 81,643 80,382 JP Morgan Chase Commercial Mortgage Securities Corporation: 2001-CIBC A3, 6.26% - 2033 $ 105,000 111,663 2001-CIB2 A2, 6.244% - 2035 $ 71,933 74,003 2005-LDP4 ASB, 4.82% - 2042 $ 75,000 74,578 LB-UBS Commercial Mortgage Trust, 2004-C4 A2, 4.567% - 2029 $ 75,000 74,589 Morgan Stanley Dean Witter Capital, 2002-TOP7 A2, 5.98% - 2039 $ 200,000 211,575 New Century Home Equity Loan Trust: 2005-A A6, 4.954% - 2035(2) $ 50,000 49,118 2005-A M2, 5.34 - 2035 $ 45,000 44,362 Washington Mutual, 2004-AR1 A, 4.229% - 2034 $ 39,488 38,805 ----------- 1,889,668 ----------- OTHER - 0.3% Centerpoint Energy Transition Bond Company, LLC, 2001-1 A4, 5.63% - 2015 $ 75,000 78,221 GE Equipment Small Ticket, 2005-1A A4, 4.51% - 2014(1,7,8) $ 100,000 99,375 Peco Energy Transition Trust, 2001-A A1, 6.52% - 2010 $ 100,000 107,687 ----------- 285,283 ----------- TOTAL ASSET BACKED SECURITIES (cost $2,588,289) 2,559,916 ----------- SHORT TERM INVESTMENTS - 2.8% State Street GA Money Market Fund 159,509 159,509 T. Rowe Price Reserve Investment Fund 2,506,344 2,506,344 ----------- TOTAL SHORT TERM INVESTMENTS (cost $2,665,853) 2,665,853 ----------- TOTAL INVESTMENTS - 99.8% (cost $87,612,417) 95,845,204 CASH AND OTHER ASSETS, LESS LIABILITIES - 0.2% 169,709 ----------- TOTAL NET ASSETS - 100.0% $96,014,913 ===========
31 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES N (MANAGED ASSET ALLOCATION) For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $88,387,953. For federal income tax purposes, the net unrealized appreciation on investments amounted to $7,457,251 which consisted of $10,164,851 of aggregate gross unrealized appreciation, and $2,707,600 of aggregate gross unrealized depreciation. * Non-income producing security ** Passive Foreign Investment Company ADR (American Depositary Receipt) LP (Limited Partnership) plc (public limited company) (1) Security is a 144A series. The total market value of 144A securities is $1,014,396 (cost $1,002,634), or 1.1% of total net assets. (2) Security is a step bond. Rate indicated is rate effective at September 30, 2005. (3) Variable rate security. Rate indicated is rate effective at September 30, 2005. (4) Securities represent a "when issued" investment. (5) Interest only security. (6) Security is a Pay-in-Kind (7) Security is an illiquid security. The total market value of illiquid securities is $1,046,377 (cost $1,052,676), or 1.1% of total net assets (8) Security is a Private Placement (9) Security is segregated as collateral for 'when issued' investments. SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 32 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES O (EQUITY INCOME)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE --------- ---------- CONVERTIBLE BOND - 0.4% COMMUNICATIONS - 0.4% Lucent Technologies, Inc., 8.00% - 2031 $895,000 $ 924,088 ---------- TOTAL CONVERTIBLE BOND (cost $651,094) 924,088 ---------- PREFERRED STOCK - 0.2% LIFE & HEALTH INSURANCE - 0.2% UnumProvident Corporation 20,500 661,125 ---------- TOTAL PREFERRED STOCK (cost $512,500) 661,125 ---------- COMMON STOCKS - 94.4% AEROSPACE & DEFENSE - 3.2% Honeywell International, Inc. 95,400 3,577,500 Lockheed Martin Corporation 39,800 2,429,392 Raytheon Company 56,400 2,144,328 ---------- 8,151,220 ---------- ALUMINUM - 0.6% Alcoa, Inc. 63,700 1,555,554 ---------- ASSET MANAGEMENT & CUSTODY BANKS - 2.4% Janus Capital Group, Inc. 28,600 413,270 Mellon Financial Corporation 80,900 2,586,373 Northern Trust Corporation 17,300 874,515 State Street Corporation 48,500 2,372,620 ---------- 6,246,778 ---------- AUTOMOBILE MANUFACTURERS - 0.2% General Motors Corporation 16,100 492,821 ---------- BIOTECHNOLOGY - 0.8% MedImmune, Inc.* 58,500 1,968,525 ---------- BREWERS - 1.2% Anheuser-Busch Companies, Inc. 72,100 3,103,184 ---------- BROADCASTING & CABLE TV - 1.3% Comcast Corporation* 94,692 2,782,051 EchoStar Communications Corporation* 21,100 623,927 ---------- 3,405,978 ---------- COMMUNICATIONS EQUIPMENT - 2.0% Cisco Systems, Inc.* 51,100 916,223 Lucent Technologies, Inc.* 145,100 471,575 Motorola, Inc. 98,000 2,164,820 Nokia Oyj ADR 99,700 1,685,927 ---------- 5,238,545 ---------- COMPUTER & ELECTRONICS RETAIL - 0.4% RadioShack Corporation 43,100 1,068,880 ----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES O (EQUITY INCOME)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) COMPUTER HARDWARE - 2.4% Hewlett-Packard Company 95,699 $2,794,411 International Business Machines Corporation 41,500 3,329,130 ---------- 6,123,541 ---------- CONSTRUCTION & FARM MACHINERY - 0.8% Deere & Company 34,900 2,135,880 ---------- CONSTRUCTION MATERIALS - 0.6% Vulcan Materials Company 20,100 1,491,621 ---------- CONSUMER FINANCE - 0.6% American Express Company 25,600 1,470,464 ---------- DISTRIBUTORS - 0.6% Genuine Parts Company 38,500 1,651,650 ---------- DIVERSIFIED BANKS - 1.2% Bank of America Corporation 44,688 1,881,365 Wells Fargo & Company 18,600 1,089,402 ---------- 2,970,767 ---------- DIVERSIFIED CHEMICALS - 1.1% E.I. du Pont de Nemours & Company 57,100 2,236,607 Hercules, Inc.* 54,700 668,434 ---------- 2,905,041 ---------- DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 0.4% Cendant Corporation 47,500 980,400 ---------- DIVERSIFIED METALS & MINING - 0.2% Inco, Ltd.* 8,600 407,210 ---------- ELECTRIC UTILITIES - 2.2% FirstEnergy Corporation 32,757 1,707,295 Progress Energy, Inc. 41,700 1,866,075 Teco Energy, Inc. 24,300 437,886 Xcel Energy, Inc. 83,700 1,641,357 ---------- 5,652,613 ---------- ELECTRICAL COMPONENTS & EQUIPMENT - 1.3% Cooper Industries, Ltd. 29,888 2,066,456 Emerson Electric Company 12,600 904,680 Rockwell Automation, Inc. 6,200 327,980 ---------- 3,299,116 ---------- ELECTRONIC EQUIPMENT MANUFACTURERS - 0.3% Agilent Technologies, Inc.* 19,700 645,175 ---------- ENVIRONMENTAL & FACILITIES SERVICES - 0.8% Waste Management, Inc. 69,922 2,000,468 ---------- FOOD DISTRIBUTORS - 0.1% Sysco Corporation 9,600 301,152 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES O (EQUITY INCOME)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) GAS UTILITIES - 1.1% NiSource, Inc. 112,400 $ 2,725,700 ----------- HEALTH CARE EQUIPMENT - 1.0% Baxter International, Inc. 41,500 1,654,605 Boston Scientific Corporation* 44,200 1,032,954 ----------- 2,687,559 ----------- HOME IMPROVEMENT RETAIL - 0.5% Home Depot, Inc. 34,900 1,331,086 ----------- HOUSEHOLD PRODUCTS - 1.9% Colgate-Palmolive Company 58,800 3,104,052 Kimberly-Clark Corporation 30,800 1,833,524 ----------- 4,937,576 ----------- HOUSEWARES & SPECIALTIES - 1.5% Fortune Brands, Inc. 21,000 1,707,930 Newell Rubbermaid, Inc. 100,300 2,271,795 ----------- 3,979,725 ----------- HYPERMARKETS & SUPERCENTERS - 1.2% Wal-Mart Stores, Inc. 70,100 3,071,782 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.1% Duke Energy Corporation 99,600 2,905,332 ----------- INDUSTRIAL CONGLOMERATES - 2.6% General Electric Company 187,800 6,323,226 Tyco International, Ltd. 16,200 451,170 ----------- 6,774,396 ----------- INDUSTRIAL MACHINERY - 0.9% Eaton Corporation 12,900 819,795 Pall Corporation 58,400 1,606,000 ----------- 2,425,795 ----------- INSURANCE BROKERS - 1.7% Marsh & McLennan Companies, Inc. 146,400 4,449,096 ----------- INTEGRATED OIL & GAS - 7.8% Amerada Hess Corporation 24,300 3,341,250 BP plc ADR 34,884 2,471,531 Chevron Corporation 78,432 5,076,903 Exxon Mobil Corporation 83,768 5,322,619 Royal Dutch Petroleum Company 61,600 3,868,480 ----------- 20,080,783 ----------- INTEGRATED TELECOMMUNICATION SERVICES - 4.4% AT&T Corporation 79,610 1,576,278 Qwest Communications International, Inc.* 418,701 1,716,674 SBC Communications, Inc. 83,352 1,997,948 Sprint Nextel Corporation 112,000 2,663,360 Telus Corporation (Non-Voting Shares) 15,600 635,544
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES O (EQUITY INCOME)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) INTEGRATED TELECOMMUNICATION SERVICES (CONTINUED) Telus Corporation (Voting Shares) 10,600 $ 443,052 Verizon Communications, Inc. 73,136 2,390,816 ----------- 11,423,672 ----------- INVESTMENT BANKING & BROKERAGE - 2.3% Charles Schwab Corporation 184,600 2,663,778 Morgan Stanley 61,200 3,301,128 ----------- 5,964,906 ----------- LEISURE PRODUCTS - 0.9% Mattel, Inc. 133,000 2,218,440 ----------- LIFE & HEALTH INSURANCE - 1.6% Lincoln National Corporation 39,324 2,045,635 UnumProvident Corporation 94,900 1,945,450 ----------- 3,991,085 ----------- MOVIES & ENTERTAINMENT - 3.5% Time Warner, Inc. 191,500 3,468,065 Viacom, Inc. (Cl.B) 103,000 3,400,030 Walt Disney Company 91,400 2,205,482 ----------- 9,073,577 ----------- MULTI-LINE INSURANCE - 0.8% American International Group, Inc. 32,200 1,995,112 ----------- OFFICE SERVICES & SUPPLIES - 0.8% Avery Dennison Corporation 38,200 2,001,298 ----------- OIL & GAS EQUIPMENT & SERVICES - 0.6% Schlumberger, Ltd. 16,800 1,417,584 ----------- OIL & GAS EXPLORATION & PRODUCTION - 0.8% Anadarko Petroleum Corporation 22,500 2,154,375 ----------- OTHER DIVERSIFIED FINANCIAL SERVICES - 2.6% Citigroup, Inc. 31,433 1,430,830 JP Morgan Chase & Company 152,662 5,179,822 ----------- 6,610,652 ----------- PACKAGED FOODS & MEATS - 2.3% Campbell Soup Company 64,100 1,906,975 ConAgra Foods, Inc. 30,200 747,450 General Mills, Inc. 47,700 2,299,140 McCormick & Company, Inc. 25,200 822,276 Sara Lee Corporation 11,200 212,240 ----------- 5,988,081 ----------- PAPER PRODUCTS - 1.8% International Paper Company 114,820 3,421,636 MeadWestvaco Corporation 42,300 1,168,326 ----------- 4,589,962 -----------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES O (EQUITY INCOME)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS - 0.5% Avon Products, Inc. 51,800 $ 1,398,600 ----------- PHARMACEUTICALS - 6.5% Abbott Laboratories 36,300 1,539,120 Bristol-Myers Squibb Company 122,600 2,949,756 Johnson & Johnson 50,200 3,176,656 Merck & Company, Inc. 113,600 3,091,056 Pfizer, Inc. 47,900 1,196,063 Schering-Plough Corporation 85,100 1,791,355 Wyeth 65,800 3,044,566 ----------- 16,788,572 ----------- PHOTOGRAPHIC PRODUCTS - 0.7% Eastman Kodak Company 73,500 1,788,255 ----------- PROPERTY & CASUALTY INSURANCE - 2.0% Chubb Corporation 18,900 1,692,495 Safeco Corporation 22,100 1,179,698 St. Paul Travelers Companies, Inc. 51,184 2,296,626 ----------- 5,168,819 ----------- PUBLISHING - 3.3% Dow Jones & Company, Inc. 58,800 2,245,572 Knight-Ridder, Inc. 20,500 1,202,940 New York Times Company 101,800 3,028,550 Tribune Company 61,000 2,067,290 ----------- 8,544,352 ----------- RAILROADS - 2.1% Norfolk Southern Corporation 46,600 1,890,096 Union Pacific Corporation 47,200 3,384,240 ----------- 5,274,336 ----------- REAL ESTATE INVESTMENT TRUSTS - 0.5% Simon Property Group, Inc. 16,336 1,210,824 ----------- REGIONAL BANKS - 2.5% Fifth Third Bancorp 57,300 2,104,629 Mercantile Bankshares Corporation 18,500 996,780 National City Corporation 27,300 912,912 SunTrust Banks, Inc. 28,600 1,986,270 Wilmington Trust Corporation 8,400 306,180 ----------- 6,306,771 ----------- RESTAURANTS - 0.6% McDonald's Corporation 47,300 1,584,077 ----------- SEMICONDUCTORS - 1.8% Analog Devices, Inc. 44,800 1,663,872 Intel Corporation 54,500 1,343,425 Texas Instruments, Inc. 51,000 1,728,900 ----------- 4,736,197 -----------
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES O (EQUITY INCOME)
NUMBER OF MARKET SHARES VALUE --------- ------------- COMMON STOCKS (CONTINUED) SOFT DRINKS - 1.3% Coca-Cola Company 74,800 $ 3,230,612 ------------ SPECIALTY CHEMICALS - 0.9% Chemtura Corporation 39,900 495,558 International Flavors & Fragrances, Inc. 48,100 1,714,284 ------------ 2,209,842 ------------ SYSTEMS SOFTWARE - 1.2% Microsoft Corporation 124,400 3,200,812 ------------ THRIFTS & MORTGAGE FINANCE - 0.5% Fannie Mae 25,700 1,151,874 ------------ TOBACCO - 0.5% UST, Inc. 29,400 1,230,684 ------------ WIRELESS TELECOMMUNICATION SERVICE - 1.1% Alltel Corporation 41,400 2,695,554 ------------ TOTAL COMMON STOCK (cost $220,366,770) 242,584,338 ------------ FOREIGN STOCKS - 1.1% IRELAND - 0.4% Bank of Ireland 63,500 999,399 ------------ JAPAN - 0.5% Sony Corporation 38,400 1,261,789 ------------ NETHERLANDS - 0.2% Unilever N.V 8,300 589,830 ------------ TOTAL FOREIGN STOCKS (cost $2,771,817) 2,851,018 ------------ TEMPORARY CASH INVESTMENTS - 4.0% State Street General Account Money Market Fund 339,945 339,945 T. Rowe Price Reserve Investment Fund 9,970,096 9,970,096 ------------ TOTAL TEMPORARY CASH INVESTMENTS (cost $10,310,041) 10,310,041 ------------ TOTAL INVESTMENTS - 100.1% (cost $234,612,222) 257,330,610 LIABILITIES, LESS CASH & OTHER ASSETS - (0.1%) (365,603) ------------ TOTAL NET ASSETS - 100.0% $256,965,007 ============
For federal income tax purposes the identified cost of investments owned at September 30, 2005 was $236,529,077. For federal income tax purposes, the net unrealized appreciation on investments amounted to $20,801,533, which consisted of $38,318,911 of aggregate gross unrealized appreciation and $17,517,378 of aggregate gross unrealized depreciation. ADR (American Depositary Receipt) plc (public limited company) 6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES O (EQUITY INCOME) SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 7 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD)
PRINCIPAL AMOUNT OR NUMBER MARKET OF SHARES VALUE --------- ---------- CONVERTIBLE BONDS - 4.4% AUTOMOTIVE - 0.9% Sonic Automotive, Inc., 5.25% - 2009 $650,000 $ 636,187 ---------- CONSTRUCTION MACHINERY - 1.4% United Rentals, Inc., 1.875% - 2023 $925,000 979,344 ---------- MEDIA-CABLE - 1.0% Mediacom Communications Corporation, 5.25% - 2006 $675,000 671,625 ---------- TELECOMMUNICATIONS-WIRELESS - 1.1% Nextel Communications, Inc., 5.25% - 2010 $750,000 755,625 ---------- TOTAL CONVERTIBLE BONDS (cost $2,846,817) 3,042,781 ---------- PREFERRED STOCK - 0.0% STEEL - 0.0% Weirton Steel Corporation (Cl.C) (3, 6) 315 -- ---------- TOTAL PREFERRED STOCK (cost $264) -- ---------- COMMON STOCK - 0.5% BROADCASTING & CABLE TV - 0.0% Classic Holdco, LLC*(3, 6) 79 -- ---------- ELECTRONIC MANUFACTURING SERVICES - 0.0% Viasystems Group, Inc.*(3, 6) 1,207 -- ---------- HEALTH CARE EQUIPMENT - 0.0% Mediq, Inc.*, 3, 6 92 -- ---------- HOUSEHOLD PRODUCTS - 0.0% WKI Holding Company, Inc.*, (3, 6) 202 -- ---------- REAL ESTATE INVESTMENT TRUSTS - 0.5% Bimini Mortgage Management, Inc. 30,450 344,085 ---------- TOTAL COMMON STOCK (cost $566,600) 344,085 ---------- FOREIGN BONDS - 1.6% CHILE - 0.2% Republic of Chile: 5.625% - 2007 $100,000 101,650 7.125% - 2012 $ 25,000 28,145 ---------- 129,795 ---------- MEXICO - 0.5% United Mexican States: 8.375% - 2011 $ 85,000 97,750 7.50% - 2012 $200,000 224,400 ---------- 322,150 ----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD)
PRINCIPAL MARKET AMOUNT VALUE --------- ---------- FOREIGN BONDS (CONTINUED) PERU - 0.2% Republic of Peru, 5.00% - 2017(2) $112,700 $ 109,319 ---------- PHILIPPINES - 0.1% Republic of Philippines, 8.375% - 2009 30,000 31,762 ---------- RUSSIA - 0.3% Russia Finance Ministry, 3.00% - 2011 80,000 71,208 Russian Federation: 10.00% - 2007 100,000 108,820 8.25% - 2010(5) 36,500 39,397 ---------- 219,425 ---------- SOUTH AFRICA - 0.2% Republic of South Africa: 9.125% - 2009 95,000 108,063 7.375% - 2012 35,000 39,375 ---------- 147,438 ---------- TUNISIA - 0.1% Banque Centrale de Tunisie, 7.375% - 2012 80,000 90,400 ---------- UKRAINE - 0.0% Ukraine Government, 11.00% - 2007 21,002 22,199 ---------- TOTAL FOREIGN BONDS (cost $929,439) 1,072,488 ---------- CORPORATE BONDS - 89.9% AEROSPACE & DEFENSE - 3.1% Esterline Technologies Corporation, 7.75% - 2013 610,000 643,550 L-3 Communications Corporation, 7.625% - 2012 100,000 105,000 Sequa Corporation: 8.875% - 2008 280,000 291,200 9.00% - 2009 200,000 212,000 Vought Aircraft Industries, Inc., 8.00% - 2011 900,000 855,000 ---------- 2,106,750 ---------- AIRLINES - 1.1% American Commercial Lines, Inc., 9.50% - 2015 225,000 243,000 Delta Air Lines, Inc., 7.90% - 2009 75,000 13,500 Northwest Airlines, Inc., 9.875% - 2007(4, 6) 10,000 2,875 Pegasus Aviation Lease Securitization, 8.42% - 2030(3, 6) 489,231 -- United Air Lines, Inc., 7.73% - 2010 499,617 477,415 ---------- 736,790 ---------- AUTOMOTIVE - 3.9% Allied Holdings, Inc., 8.625% - 2007(4, 6) 655,000 353,700 Briggs & Stratton Corporation, 8.875% - 2011 350,000 400,750 Dura Operating Corporation, 8.625% - 2012 10,000 8,900 Group 1 Automotive, Inc., 8.25% - 2013 400,000 392,000 Sonic Automotive, Inc., 8.625% - 2013 600,000 594,000
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD)
PRINCIPAL MARKET AMOUNT VALUE --------- ---------- CORPORATE BONDS (CONTINUED) AUTOMOTIVE (CONTINUED) TRW Automotive, Inc., 9.375% - 2013 $312,000 $ 338,520 United Rentals NA, Inc., 7.00% - 2014 625,000 579,688 ---------- 2,667,558 ---------- BANKING - 2.9% Cardtronics, Inc., 9.25% - 2013(5) 900,000 920,250 Doral Financial Corporation, 4.45% - 2007(1) 625,000 586,673 E*Trade Financial Corporation, 8.00% - 2011 300,000 309,750 FCB/NC Capital Trust I, 8.05% - 2028 75,000 79,818 Popular North America, Inc., 6.125% - 2006 60,000 60,630 Western Financial Bank, 9.625% - 2012 5,000 5,725 ---------- 1,962,846 ---------- BUILDING MATERIALS - 2.1% Building Materials Corporation: 8.00% - 2007 550,000 566,500 8.00% - 2008 825,000 837,375 ---------- 1,403,875 ---------- CHEMICALS - 1.2% IMC Global, Inc., 11.25% - 2011 5,000 5,500 ISP Holdings, Inc., 10.625% - 2009 800,000 846,000 Methanex Corporation, 8.75% - 2012 5,000 5,706 ---------- 857,206 ---------- CONSTRUCTION MACHINERY - 1.8% Case New Holland, 9.25% - 2011 650,000 687,375 Navistar International Corporation: 9.375% - 2006 45,000 45,900 6.25% - 2012 525,000 498,750 NMHG Holding Company, 10.00% - 2009 5,000 5,350 ---------- 1,237,375 ---------- CONSUMER PRODUCTS - 0.9% Del Laboratories, Inc., 8.00% - 2012 575,000 472,938 Hasbro, Inc., 6.15% - 2008 56,000 57,815 Icon Health & Fitness, 11.25% - 2012 25,000 19,875 WH Holdings/ WH Capital, 9.50% - 2011 60,000 64,650 ---------- 615,278 ---------- DIVERSIFIED MANUFACTURING - 1.4% Bombardier, Inc., 6.75% - 2012(5) 950,000 885,875 Numatics, Inc., 9.625% - 2008 50,000 50,802 ---------- 936,677 ---------- ELECTRIC - 3.7% AES Corporation, 9.50% - 2009 750,000 817,500 Avista Corporation, 9.75% - 2008 50,000 55,259 CMS Energy Corporation: 9.875% - 2007 10,000 10,875 7.50% - 2009 610,000 638,975
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD)
PRINCIPAL MARKET AMOUNT VALUE ---------- ---------- CORPORATE BONDS (CONTINUED) ELECTRIC (CONTINUED) East Coast Power LLC: 6.737% - 2008 $ 36,645 $ 37,237 7.066% - 2012 84,520 88,320 Edison Mission Energy, 10.00% - 2008 550,000 609,125 Texas Genco LLC, 6.875% - 2014(5) 175,000 178,063 UCAR Finance, Inc., 10.25% - 2012 15,000 16,088 Western Resources, Inc., 7.125% - 2009 90,000 95,466 ---------- 2,546,908 ---------- ENERGY - INDEPENDENT - 3.7% Clayton William Energy, 7.75% - 2013(5) 325,000 317,687 El Paso Production Holding Company, 7.75% - 2013 250,000 261,250 Forest Oil Corporation, 8.00% - 2008 15,000 15,919 Houston Exploration Company, 7.00% - 2013 450,000 459,000 Magnum Hunter Resources, Inc., 9.60% - 2012 793,000 860,405 Plains E&P Company, 8.75% - 2012 40,000 43,200 Range Resources Corporation, 7.375% - 2013 75,000 79,500 TransMontaigne, Inc., 9.125% - 2010 500,000 525,000 ---------- 2,561,961 ---------- ENERGY - INTEGRATED - 1.4% Petrobras International Finance Company: 9.00% - 2008(2) 425,000 490,875 9.125% - 2013 425,000 495,125 ---------- 986,000 ---------- ENTERTAINMENT - 3.3% Blockbuster, Inc., 9.50% - 2012(2, 5) 1,000,000 825,000 Cinemark USA, Inc., 9.00% - 2013 400,000 413,000 Marquee Holdings, Inc., 0.00% - 2014(2) 1,750,000 1,050,000 ---------- 2,288,000 ---------- ENVIRONMENTAL - 1.2% Allied Waste North America: 8.50% - 2008 20,000 20,850 8.875% - 2008 385,000 401,362 Casella Waste Systems, Inc., 9.75% - 2013 400,000 432,000 ---------- 854,212 ---------- FINANCIAL COMPANIES - NONCAPTIVE DIVERSIFIED - 1.4% AMR Real Estate Partners, 8.125% - 2012 550,000 577,500 American Real Estate Partners, 7.125% - 2013(5) 400,000 400,000 ---------- 977,500 ---------- FOOD & BEVERAGE - 4.3% Bear Creek Corporation, 9.00% - 2013(5) 250,000 258,750 Canandaigua Brands, Inc., 8.625% - 2006 200,000 205,000 Dean Foods Company, 8.15% - 2007 350,000 364,875 Dole Foods Company, Inc.: 7.25% - 2010 400,000 398,000 8.875% - 2011 200,000 207,500
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD)
PRINCIPAL MARKET AMOUNT VALUE ---------- ---------- CORPORATE BONDS (CONTINUED) FOOD & BEVERAGE (CONTINUED) Land O' Lakes, Inc., 8.75% - 2011 $1,025,000 $1,073,688 Merisant Company, 9.50% - 2013(5) 625,000 425,000 ---------- 2,932,813 ---------- GAMING - 2.9% American Casino & Entertainment, 7.85% - 2012 300,000 309,375 MGM Mirage, Inc.: 8.50% - 2010 15,000 16,313 8.375% - 2011 55,000 59,125 6.75% - 2012 625,000 635,156 Mandalay Resort Group: 10.25% - 2007 45,000 48,375 6.50% - 2009 300,000 301,500 Park Place Entertainment, 7.875% - 2005 300,000 301,875 Station Casinos, Inc., 6.00% - 2012 300,000 299,625 ---------- 1,971,344 ---------- HEALTH CARE - 4.1% Coventry Health Care, Inc., 6.125% - 2015 575,000 589,375 HCA, Inc., 6.375% - 2015 300,000 296,805 Healthsouth Corporation, 8.50% - 2008 775,000 755,625 Johnsondiversey, Inc., 9.625% - 2012 5,000 4,988 Radiologix, Inc., 10.50% - 2008 45,000 47,925 U.S. Oncology Holding, Inc., 9.264% - 2015(1, 5) 1,150,000 1,126,747 ---------- 2,821,465 ---------- HOME CONSTRUCTION - 0.4% KB Home, 9.50% - 2011 35,000 37,045 Stanley-Martin, 9.75% - 2015(5) 250,000 244,375 ---------- 281,420 ---------- INDUSTRIAL - OTHER - 4.9% Anixter International, Inc., 5.95% - 2015 250,000 242,672 Coleman Cable, Inc., 9.875% - 2012 150,000 132,187 Corrections Corporation of America, 7.50% - 2011 200,000 206,250 Iron Mountain, Inc.: 8.25% - 2011 800,000 812,000 7.75% - 2015 475,000 482,125 USEC, Inc., 6.625% - 2006 1,511,000 1,503,445 ---------- 3,378,679 ---------- INSURANCE - LIFE - 0.4% Genamerica Capital, Inc., 8.525% - 2027(5) 175,000 191,397 Torchmark Corporation, 6.25% - 2006 75,000 76,172 ---------- 267,569 ---------- INSURANCE - PROPERTY & CASUALTY - 2.3% Fairfax Financial Holdings, 7.75% - 2012 1,675,000 1,608,000 ---------- LODGING - 0.9% Starwood Hotels & Resorts, 7.375% - 2007(2) 600,000 618,750 ----------
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD)
PRINCIPAL MARKET AMOUNT VALUE ---------- ---------- CORPORATE BONDS (CONTINUED) MEDIA - CABLE - 2.0% CSC Holdings, Inc.: 7.25% - 2008 $ 375,000 $ 376,406 8.125% - 2009 10,000 10,075 8.125% - 2009 25,000 25,187 6.75% - 20125 325,000 307,125 FrontierVision Holdings, 11.875% - 2007(4, 6) 20,000 25,600 Jones Intercable, Inc., 7.625% - 2008 200,000 212,371 Shaw Communications, Inc., 7.25% - 2011 375,000 396,094 ---------- 1,352,858 ---------- MEDIA - NONCABLE - 4.1% Corus Entertainment, Inc., 8.75% - 2012 30,000 32,137 EchoStar DBS Corporation, 9.125% - 2009 10,000 10,525 Fisher Communications, Inc., 8.625% - 2014 250,000 266,875 Intelsat, Ltd., 7.625% - 2012 1,875,000 1,570,313 RH Donnelley Finance Corporation: 8.875% - 2010 550,000 589,875 10.875% - 2012 125,000 140,313 Time Warner, Inc., 9.125% - 2013 30,000 36,631 USA Networks, Inc., 6.75% - 2005 175,000 175,369 ---------- 2,822,038 ---------- METALS & MINING - 4.5% AK Steel Corporation, 7.875% - 2009 1,495,000 1,450,150 Arch Western Finance, 6.75% - 2013 200,000 204,000 Asarco, Inc., 7.875% - 2013(4, 6) 200,000 116,000 Asia Aluminum Holdings, 8.00% - 2011(5) 800,000 805,000 Bulong Operations, 12.50% - 2008(3, 4, 6) 185,000 -- National Steel Corporation, 9.875% - 2009(3, 4, 6) 15,915 -- Noble Group, Ltd., 6.625% - 2015(5) 550,000 507,735 Steel Dynamics, Inc., 9.50% - 2009 5,000 5,313 ---------- 3,088,198 ---------- OIL FIELD SERVICES - 3.7% Key Energy Services, Inc., 8.375% - 2008 800,000 825,000 Parker Drilling Company, 8.62% - 2010(1) 675,000 695,250 Pemex Project Funding Master Trust: 8.50% - 2008 30,000 32,400 7.875% - 2009 35,000 37,887 9.125% - 2010 40,000 46,800 Petroleum Geo-Services: 8.00% - 2006 105,000 106,155 10.00% - 2010 700,000 784,000 ---------- 2,527,492 ---------- PACKAGING - 2.4% Ball Corporation, 6.875% - 2012 250,000 255,000 Owens-Brockway Glass Containers, 7.75% - 2011 200,000 208,000
6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD)
PRINCIPAL MARKET AMOUNT VALUE ---------- ---------- CORPORATE BONDS (CONTINUED) PACKAGEING (CONTINUED) Owens-Illinois, Inc.: 8.10% - 2007 $ 575,000 $ 589,375 7.50% - 2010 30,000 30,450 Solo Cup Company, 8.50% - 2014 625,000 553,125 ---------- 1,635,950 ---------- PAPER - 1.4% Appleton Papers, Inc., 8.125% - 2011 300,000 294,000 Longview Fibre Company, 10.00% - 2009 10,000 10,550 Sino-Forest Corporation, 9.125% - 2011(5) 625,000 675,000 ---------- 979,550 ---------- PHARMACEUTICALS - 0.9% Elan Financial Corporation, 7.75% - 2011(5) 700,000 616,000 ---------- PIPELINES - 1.6% Sonat, Inc., 7.625% - 2011 1,050,000 1,065,750 ---------- REAL ESTATE INVESTMENT TRUSTS - 0.8% iStar Financial, Inc., 7.00% - 2008 500,000 521,609 ---------- REFINING - 0.7% Citgo Petroleum Corporation, 6.00% - 2011 150,000 150,000 Frontier Oil Corporation, 6.625% - 2011 300,000 309,375 ---------- 459,375 ---------- RESTAURANTS - 0.4% Tricon Global Restaurants, 8.50% - 2006 290,000 295,933 ---------- RETAILERS - 0.1% Ames Department Stores, Inc., 10.00% - 2006(3, 4, 6) 300,000 -- JC Penney Company, Inc., 7.375% - 2008 40,000 42,300 PCA Finance Corporation, 11.875% - 2009 30,000 7,875 ---------- 50,175 ---------- SERVICES - 1.3% American Eco Corporation, 9.625% - 2008 (*3, 4, 6) 200,000 -- Mail-Well Corporation, 9.625% - 2012 10,000 10,725 MasTec, Inc., 7.75% - 2008 900,000 900,000 ---------- 910,725 ---------- SUPERMARKETS - 0.5% Fleming Companies, Inc., 9.875% - 2012(3, 4, 6) 400,000 -- Roundy's, Inc., 8.875% - 2012 300,000 331,500 ---------- 331,500 ---------- TECHNOLOGY - 2.0% Hewlett-Packard Company, 5.75% - 2006 110,000 111,522 Telecordia Technologies, 10.00% - 2013(5) 500,000 472,500 Worldspan LP/WS Fin Corporation, 10.04% - 2011(1, 5) 900,000 792,000 ---------- 1,376,022 ----------
7 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD)
PRINCIPAL MARKET AMOUNT VALUE ---------- ----------- CORPORATE BONDS (CONTINUED) TELECOMMUNICATIONS - WIRELESS - 3.4% iPCS, Inc., 11.50% - 2012 $ 500,000 $ 577,500 Rural Cellular Corporation, 9.75% - 2010 1,175,000 1,186,750 Ubiquitel Operating Company, 9.875% - 2011 500,000 555,000 ----------- 2,319,250 ----------- TELECOMMUNICATIONS - WIRELINES - 4.0% Exodus Communications, Inc., 11.625% - 2010(3, 4, 6) 344,194 -- LCI International, Inc., 7.25% - 2007 2,675,000 2,608,125 Qwest Corporation, 7.875% - 2011 150,000 156,375 Telecommunications Technique, 9.75% - 2008(3, 4, 6) 30,000 -- ----------- 2,764,500 ----------- TEXTILE - 0.4% Invista, 9.25% - 2012(5) 250,000 271,875 ----------- TRANSPORTATION SERVICES - 2.4% Greenbrier Companies, Inc., 8.375% - 2015 700,000 728,000 Overseas Shipholding Group, Inc., 8.25% - 2013 400,000 430,000 Stena AB, 9.625% - 2012 425,000 461,125 Teekay Shipping Corporation, 8.32% - 2008 11,000 11,124 ----------- 1,630,249 ----------- TOTAL CORPORATE BONDS (cost $62,465,023) 61,638,025 ----------- REPURCHASE AGREEMENT - 1.9% United Missouri Bank, 3.42%, dated 09-30-05, matures 10-03-05; repurchase amount of $1,291,368 (Collateralized by U.S. Treasury Note, 4.625%, 05-15-06 with a value of $1,317,172) 1,291,000 1,291,000 ----------- TOTAL REPURCHASE AGREEMENT (cost $1,291,000) 1,291,000 ----------- TOTAL INVESTMENTS - 98.3% (cost $68,099,143) 67,388,379 CASH & OTHER ASSETS, LESS LIABILITIES - 1.7% 1,144,685 ----------- TOTAL NET ASSETS - 100.0% $68,533,064 ===========
For federal income tax purposes the identified cost of investments owned at September 30, 2005 was $67,459,138. For federal income tax purposes, the net unrealized depreciation on investments amounted to $70,759, which consisted of $3,071,101 of aggregate gross unrealized appreciation and $3,141,860 of aggregate gross unrealized depreciation. * Non-income producing security (1) Variable rate security. Rate indicated is rate effective at September 30, 2005 (2) Security is a step bond. Rate indicated is rate effective at September 30, 2005 (3) Security is fair valued by the Board of Directors. The total market value of fair valued securities amounts to $0, or 0.0% of total net assets. (4) Security is in default (5) Security is a 144A series. The total market value of 144A securities is $10,259,776 (cost $10,454,653), or 15.0% of total net assets. (6) Security is illiquid. The total market value of illiquid securities is $498,175 (cost $2,512,830), or 0.7% or total net assets. 8 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES P (HIGH YIELD) SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 9 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS - 88.3% ADVERTISING - 1.1% R.H. Donnelley Corporation*(1) 23,300 $1,473,958 ---------- AEROSPACE & DEFENSE - 0.6% Armor Holdings, Inc.*(1) 19,400 834,394 ---------- AIR FREIGHT & LOGISTICS - 0.6% EGL, Inc.*(1) 31,500 855,225 ---------- AIRLINES - 0.9% Lan Airlines S.A. ADR 38,800 1,204,352 ---------- APPAREL RETAIL - 1.2% Bakers Footwear Group, Inc.* 11,600 174,000 Foot Locker, Inc.(1) 28,965 635,492 Payless ShoeSource, Inc.* 14,200 247,080 Too, Inc.* 19,800 543,114 ---------- 1,599,686 ---------- APPLICATION SOFTWARE - 0.6% Evans & Sutherland Computer Corporation* 51,500 306,940 JDA Software Group, Inc.*(1) 35,570 539,953 ---------- 846,893 ---------- AUTOMOBILE MANUFACTURERS - 0.6% Fleetwood Enterprises, Inc.*(1) 69,800 858,540 ---------- BIOTECHNOLOGY - 2.2% Applera Corporation - Applied Biosystems Group(1) 37,400 869,176 CV Therapeutics, Inc.*(1) 40,400 1,080,700 Covalent Group, Inc.* 60,400 155,832 OraSure Technologies, Inc.*(1) 96,740 912,258 ---------- 3,017,966 ---------- BROADCASTING & CABLE TV - 0.3% Discovery Holding Company* 30,300 437,532 ---------- BUILDING PRODUCTS - 1.4% Royal Group Technologies, Ltd.* 121,000 1,216,050 York International Corporation(1) 12,200 684,054 ---------- 1,900,104 ---------- COMMODITY CHEMICALS - 0.6% Calgon Carbon Corporation 101,750 803,825 ---------- COMMUNICATIONS EQUIPMENT - 0.3% ADC Telecommunications, Inc.* -- 7 C-COR, Inc.* 38,200 257,850 Nortel Networks Corporation* 45,100 147,026 ---------- 404,883 ----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) COMPUTER HARDWARE - 0.1% Cray, Inc.* 196,860 $ 181,111 ---------- COMPUTER STORAGE & PERIPHERALS - 0.5% QLogic Corporation* 18,300 625,860 ---------- CONSTRUCTION & ENGINEERING - 3.2% Chicago Bridge & Iron Company N.V.(1) 121,900 3,789,871 Matrix Service Company*(1) 77,912 627,192 ---------- 4,417,063 ---------- CONSTRUCTION MATERIALS - 0.3% Headwaters, Inc.*(1) 3,300 123,420 U.S. Concrete, Inc.* 37,110 286,118 ---------- 409,538 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 0.8% Lightbridge, Inc.* 129,200 1,043,936 ---------- DISTRIBUTORS - 0.4% Prestige Brands Holdings, Inc.* 45,490 560,437 ---------- DIVERSIFIED CHEMICALS - 0.1% Ashland, Inc.(1) 3,200 176,768 ---------- DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 1.4% Geo Group, Inc.* 47,970 1,271,205 Healthcare Services Group, Inc. 34,012 654,731 ---------- 1,925,936 ---------- DIVERSIFIED METALS & MINING - 1.6% Apex Silver Mines, Ltd.*(1) 141,900 2,229,249 ---------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.4% Encore Wire Corporation* 37,350 607,311 ---------- ELECTRONIC EQUIPMENT MANUFACTURERS - 2.3% Coherent, Inc.*(1) 11,100 325,008 Newport Corporation* 15,200 211,736 OSI Systems, Inc.*(1) 41,500 655,700 Richardson Electronics, Ltd. 38,800 293,328 Symbol Technologies, Inc.(1) 127,800 1,237,104 Vishay Intertechnology, Inc.* 33,100 395,545 ---------- 3,118,421 ---------- ELECTRONIC MANUFACTURING SERVICES - 0.7% Celestica, Inc.* 85,700 969,267 ---------- ENVIRONMENTAL & FACILITIES SERVICES - 1.8% ABM Industries, Inc. 47,000 978,070 Layne Christensen Company* 63,200 1,488,360 ---------- 2,466,430 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
NUMBER MARKET OF SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) GOLD - 7.4% Glamis Gold, Ltd.*(1) 142,400 $ 3,147,040 Goldcorp, Inc.(1) 98,600 1,975,944 Harmony Gold Mining Company, Ltd. ADR* 128,900 1,410,166 Meridian Gold, Inc.*(1) 66,500 1,457,015 Randgold Resources, Ltd. ADR*(1) 136,800 2,150,496 ----------- 10,140,661 ----------- HEALTH CARE EQUIPMENT - 0.2% Allied Healthcare Products, Inc.* 54,000 287,820 ----------- HEALTH CARE FACILITIES - 2.3% Beverly Enterprises, Inc.* 185,500 2,272,375 Manor Care, Inc.(1) 24,350 935,284 ----------- 3,207,659 ----------- HEALTH CARE SERVICES - 2.4% Cross Country Healthcare, Inc.* 28,885 536,106 Gentiva Health Services, Inc.*(1) 53,650 972,138 IDX Systems Corporation*(1) 36,200 1,563,116 Omnicare, Inc.(1) 3,000 168,690 ----------- 3,240,050 ----------- HUMAN RESOURCE & EMPLOYMENT SERVICES - 1.2% CDI Corporation 12,900 381,066 Kforce, Inc.* 104,800 1,079,440 Watson Wyatt & Company Holdings 4,600 123,970 ----------- 1,584,476 ----------- INDUSTRIAL MACHINERY - 2.0% Robbins & Myers, Inc. 15,500 348,440 Unova, Inc.*(1) 68,500 2,396,130 ----------- 2,744,570 ----------- INTEGRATED TELECOMMUNICATION SERVICES - 0.5% Cincinnati Bell, Inc.* 160,500 707,805 ----------- INTERNET RETAIL - 0.0% Stamps.com, Inc.*(1) 2,200 37,862 ----------- INTERNET SOFTWARE & SERVICES - 1.0% EarthLink, Inc.*(1) 62,110 664,577 Net2Phone, Inc.* 81,500 142,625 Vignette Corporation* 35,880 570,851 ----------- 1,378,053 ----------- IT CONSULTING & OTHER SERVICES - 1.0% MPS Group, Inc.* 76,275 900,045 Tier Technologies, Inc. (Cl.B)* 46,925 405,901 ----------- 1,305,946 -----------
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
NUMBER MARKET OF SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) METAL & GLASS CONTAINERS - 0.9% Constar International, Inc.* 44,500 $ 89,890 Intertape Polymer Group, Inc.* 159,400 1,139,710 ----------- 1,229,600 ----------- OIL & GAS DRILLING - 3.6% Grey Wolf, Inc.* 87,600 738,468 Helmerich & Payne, Inc.(1) 19,300 1,165,527 Parker Drilling Company* 61,600 571,032 Pride International, Inc.*(1) 52,916 1,508,635 Transocean, Inc.*(1) 15,400 944,174 ----------- 4,927,836 ----------- OIL & GAS EQUIPMENT & SERVICES - 12.2% BJ Services Company(1) 25,000 899,750 Global Industries, Ltd.*(1) 431,800 6,364,732 Hydril*(1) 4,000 274,560 Input/Output, Inc.* 99,850 796,803 Key Energy Services, Inc.* 175,750 2,604,615 Newpark Resources, Inc.* 192,650 1,622,113 Oceaneering International, Inc.*(1) 30,100 1,607,641 Petroleum Helicopters, Inc. (Non-Voting)* 31,370 973,097 Petroleum Helicopters, Inc. (Voting)* 5,900 195,491 Smith International, Inc.(1) 16,000 532,960 Willbros Group, Inc.* 57,600 912,960 ----------- 16,784,722 ----------- OIL & GAS EXPLORATION & PRODUCTION - 12.3% Forest Oil Corporation*(1) 43,300 2,255,930 McMoRan Exploration Company* 84,985 1,652,108 Newfield Exploration Company*(1) 17,500 859,250 Noble Energy, Inc.(1) 35,400 1,660,260 PetroQuest Energy, Inc.*(1) 54,100 564,804 Petrowawk Energy Corporation* 64,700 932,327 Pioneer Natural Resources Company(1) 16,900 928,148 Range Resources Corporation(1) 165,845 6,403,275 Remington Oil & Gas Corporation* 23,500 975,250 Stone Energy Corporation*(1) 6,000 366,240 Toreador Resources Corporation*(1) 10,000 354,000 ----------- 16,951,592 ----------- OIL & GAS STORAGE & TRANSPORTATION - 0.0% El Paso Corporation 2,100 29,190 ----------- PACKAGED FOODS & MEATS - 1.1% Del Monte Foods Company* 141,660 1,520,012 ----------- PAPER PACKAGING - 0.3% Chesapeake Corporation 20,700 380,673 ----------- PAPER PRODUCTS - 0.8% Wausau Paper Corporation 90,600 1,133,406 -----------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS - 0.2% Discovery Partners International* 96,400 $ 310,408 ---------- PROPERTY & CASUALTY INSURANCE - 2.7% Argonaut Group, Inc.* 42,400 1,145,224 Donegal Group, Inc. 11,339 246,056 EMC Insurance Group, Inc. 9,200 166,060 Endurance Specialty Holdings, Ltd.(1) 22,300 760,653 Mercury General Corporation 22,700 1,361,773 ---------- 3,679,766 ---------- REAL ESTATE INVESTMENT TRUSTS - 0.6% American Financial Realty Trust 35,400 502,680 Government Properties Trust, Inc. 29,700 291,060 ---------- 793,740 ---------- REGIONAL BANKS - 0.5% Colonial BancGroup, Inc. 31,500 705,600 ---------- REINSURANCE - 0.6% Montpelier Re Holdings, Ltd. 22,550 560,367 PXRE Group, Ltd. 23,800 320,348 ---------- 880,715 ---------- SEMICONDUCTOR EQUIPMENT - 0.5% Credence Systems Corporation* 83,600 667,128 Kulicke & Soffa Industries, Inc.* 9,600 69,600 ---------- 736,728 ---------- SEMICONDUCTORS - 0.6% Stats ChipPAC, Ltd. ADR* 109,233 685,983 TriQuint Semiconductor, Inc.* 49,100 172,832 ---------- 858,815 ---------- SPECIALTY CHEMICALS - 1.3% H.B. Fuller Company(1) 2,500 77,700 OM Group, Inc.* 34,750 699,518 PolyOne Corporation* 169,500 1,027,170 ---------- 1,804,388 ---------- SPECIALTY STORES - 0.4% Barbeques Galore, Ltd. ADR* 28,126 270,614 Sharper Image Corporation*(1) 26,600 335,160 ---------- 605,774 ---------- STEEL - 7.3% Carpenter Technology Corporation1 20,200 1,183,922 GrafTech International, Ltd.* 235,655 1,279,607 Ipsco, Inc.(1) 41,100 2,938,239 Roanoke Electric Steel Corporation 22,500 450,675 Steel Dynamics, Inc.(1) 50,800 1,725,168
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
PRINCIPAL AMOUNT OR NUMBER MARKET OF SHARES VALUE ----------- ------------- COMMON STOCKS (CONTINUED) STEEL (CONTINUED) United States Steel Corporation(1) 50,140 $ 2,123,429 Webco Industries, Inc.* 4,740 355,500 ------------ 10,056,540 ------------ TRUCKING - 0.4% Covenant Transport, Inc.* 40,400 488,840 ------------ TOTAL COMMON STOCK (cost $86,959,470) 121,481,932 ------------ FOREIGN STOCKS - 0.2% CANADA - 0.2% Eldorado Gold Corporation* 6,000 21,213 Intertape Polymer Group, Inc.*(2) 3,000 21,419 Quadra Mining, Ltd.* 50,250 233,419 Southwestern Resources Corporation* 550 5,029 ------------ 281,080 ------------ TOTAL FOREIGN STOCKS (cost $282,318) 281,080 ------------ REPURCHASE AGREEMENT - 13.1% StateStreet, 1.60%, dated 09-30-05, matures 10-03-05; repurchase amount $17,992,639 (Collateralized by FHLB, 2.50%, 12-15-05 with a value of $18,350,732) $17,990,241 17,990,241 ------------ TOTAL REPURCHASE AGREEMENT (cost $17,990,241) 17,990,241 ------------ TOTAL INVESTMENTS - 101.6% (cost $105,232,029) 139,753,253 LIABILITIES, LESS CASH & OTHER ASSETS - (1.6%) (2,229,265) ------------ TOTAL NET ASSETS - 100.0% $137,523,988 ============
For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $105,899,031. For federal income tax purposes, the net unrealized appreciation on investments amounted to $33,854,222, which consisted of $38,477,013 of aggregate gross unrealized appreciation, and $4,622,791 of aggregate gross unrealized depreciation. * Non-income producing security ADR (American Depositary Receipt) (1) Security underlying outstanding written options contracts. (2) Security is a private placement. The following call options written were outstanding for Series Q as of September 30, 2005:
EXPIRATION EXERCISE NUMBER OF MARKET COMMON STOCK DATE PRICE CONTRACTS VALUE - ------------ ---------- -------- --------- ------ Apex Silver Mines, Ltd. 10/24/2005 $15.00 15 $1,575 Apex Silver Mines, Ltd. 01/23/2006 15.00 5 1,150 Apex Silver Mines, Ltd. 01/23/2006 17.50 30 2,700 Applera Corporation - Applied Biosystems Group 12/19/2005 22.50 20 2,700
6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
EXPIRATION EXERCISE NUMBER OF MARKET COMMON STOCK (CONTINUED) DATE PRICE CONTRACTS VALUE - ------------------------ ---------- -------- --------- -------- Armor Holdings, Inc. 11/21/2005 $40.00 10 $ 3,800 Armor Holdings, Inc. 11/21/2005 45.00 10 1,200 Ashland, Inc. 11/21/2005 50.00 5 2,950 Ashland, Inc. 11/21/2005 55.00 25 6,250 BJ Services Company 10/24/2005 32.50 55 19,800 BJ Services Company 01/23/2006 27.50 60 53,400 BJ Services Company 01/23/2006 30.00 80 168,000 BJ Services Company 01/23/2006 32.50 55 26,400 Carpenter Technology Corporation 10/24/2005 60.00 25 3,250 Carpenter Technology Corporation 12/19/2005 60.00 90 27,900 Carpenter Technology Corporation 12/19/2005 65.00 50 7,750 Chicago Bridge & Iron Company N.V. 10/24/2005 22.50 30 25,200 Chicago Bridge & Iron Company N.V. 10/24/2005 25.00 35 20,650 Chicago Bridge & Iron Company N.V. 10/24/2005 30.00 25 4,875 Chicago Bridge & Iron Company N.V. 01/23/2006 25.00 20 13,000 Chicago Bridge & Iron Company N.V. 01/23/2006 30.00 35 9,800 Coherent, Inc. 11/21/2005 30.00 25 2,500 Coherent, Inc. 11/21/2005 35.00 5 50 Coherent, Inc. 02/20/2006 30.00 5 1,050 CV Therapeutics, Inc. 10/24/2005 25.00 65 11,700 CV Therapeutics, Inc. 01/23/2006 30.00 5 700 CV Therapeutics, Inc. 01/23/2006 35.00 5 175 EarthLink, Inc. 01/23/2006 10.00 10 1,200 EGL, Inc. 11/21/2005 20.00 10 7,000 EGL, Inc. 11/21/2005 22.50 40 18,800 EGL, Inc. 11/21/2005 25.00 25 7,250 Endurance Specialty Holdings, Ltd. 01/23/2006 40.00 5 175 Fleetwood Enterprises, Inc. 02/20/2006 12.50 10 1,400 Foot Locker, Inc. 11/21/2005 22.50 5 275 Forest Oil Corporation 11/21/2005 40.00 35 42,000 Forest Oil Corporation 11/21/2005 45.00 60 45,600 Forest Oil Corporation 11/21/2005 50.00 65 24,050 Forest Oil Corporation 01/23/2006 50.00 40 20,400 Forest Oil Corporation 01/23/2006 55.00 60 15,000 Gentiva Health Services, Inc. 11/21/2005 20.00 15 300 Glamis Gold, Ltd. 11/21/2005 20.00 45 12,375 Glamis Gold, Ltd. 11/21/2005 22.50 10 1,300 Glamis Gold, Ltd. 02/20/2006 22.50 25 5,750 Global Industries, Ltd. 12/19/2005 12.50 115 29,325 Global Industries, Ltd. 12/19/2005 15.00 270 27,000 Goldcorp, Inc. 10/24/2005 17.50 5 1,500 Goldcorp, Inc. 10/24/2005 20.00 5 375 Goldcorp, Inc. 01/23/2006 20.00 15 3,075 Goldcorp, Inc. 01/23/2006 22.50 10 1,100 H.B. Fuller Company 11/21/2005 25.00 20 11,400 Headwaters, Inc. 11/21/2005 30.00 30 22,500 Helmerich & Payne, Inc. 10/24/2005 60.00 15 2,850 Helmerich & Payne, Inc. 12/19/2005 45.00 15 22,950 Helmerich & Payne, Inc. 12/19/2005 50.00 45 51,300 Helmerich & Payne, Inc. 12/19/2005 55.00 25 18,750 Helmerich & Payne, Inc. 12/19/2005 60.00 45 17,100 Hydril 10/24/2005 65.00 5 2,350 Hydril 12/19/2005 60.00 10 11,500 Hydril 12/19/2005 65.00 25 19,750 IDX Systems Corporation 11/21/2005 40.00 50 16,000
7 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
EXPIRATION EXERCISE NUMBER OF MARKET COMMON STOCK (CONTINUED) DATE PRICE CONTRACTS VALUE - ------------------------ ---------- -------- --------- -------- Ipsco, Inc. 10/24/2005 $65.00 5 $ 2,900 Ipsco, Inc. 11/21/2005 65.00 5 4,050 Ipsco, Inc. 12/19/2005 55.00 40 68,400 Ipsco, Inc. 12/19/2005 60.00 100 131,000 Ipsco, Inc. 12/19/2005 65.00 35 32,200 Ipsco, Inc. 12/19/2005 70.00 30 18,000 Ipsco, Inc. 01/23/2006 60.00 25 30,500 Ipsco, Inc. 01/23/2006 65.00 45 44,550 Ipsco, Inc. 01/23/2006 70.00 15 10,350 JDA Software Group, Inc. 10/24/2005 12.50 15 3,975 Manor Care, Inc. 11/21/2005 35.00 5 1,800 Manor Care, Inc. 11/21/2005 40.00 10 600 Matrix Service Company 02/20/2005 7.50 35 5,600 Matrix Service Company 11/21/2005 7.50 10 1,050 Meridian Gold, Inc. 10/24/2005 20.00 25 5,125 Meridian Gold, Inc. 10/24/2005 22.50 10 800 Meridian Gold, Inc. 01/23/2006 22.50 25 5,125 Newfield Exploration Company 12/19/2005 40.00 85 81,600 Newfield Exploration Company 12/19/2005 45.00 90 43,200 Noble Energy, Inc. 10/24/2005 40.00 50 37,000 Noble Energy, Inc. 11/21/2005 35.00 30 34,800 Noble Energy, Inc. 11/21/2005 37.50 90 83,700 Noble Energy, Inc. 11/21/2005 40.00 120 92,400 Noble Energy, Inc. 11/21/2005 42.50 40 22,400 Oceaneering International, Inc. 01/23/2005 50.00 25 14,250 Oceaneering International, Inc. 01/23/2006 45.00 20 18,800 Oceaneering International, Inc. 01/23/2006 55.00 20 6,200 Omnicare, Inc. 10/24/2005 50.00 10 6,300 Omnicare, Inc. 12/19/2005 45.00 15 17,550 OraSure Technologies, Inc. 10/24/2005 10.00 25 375 OSI Systems, Inc. 10/24/2005 15.00 5 450 OSI Systems, Inc. 01/23/2006 15.00 5 850 PetroQuest Energy, Inc. 11/21/2005 10.00 25 3,125 PetroQuest Energy, Inc. 01/23/2006 10.00 25 4,125 Pioneer Natural Resources Company 10/24/2005 45.00 5 4,850 Pioneer Natural Resources Company 10/24/2005 50.00 10 5,200 Pioneer Natural Resources Company 10/24/2005 55.00 10 2,000 Pioneer Natural Resources Company 12/19/2005 40.00 10 14,500 Pioneer Natural Resources Company 12/19/2005 45.00 45 51,300 Pioneer Natural Resources Company 12/19/2005 50.00 30 19,500 Pioneer Natural Resources Company 12/19/2005 55.00 15 5,550 Pride International, Inc. 10/24/2005 25.00 25 8,500 R.H. Donnelley Corporation 11/21/2005 60.00 5 2,000 R.H. Donnelley Corporation 11/21/2005 65.00 40 4,000 R.H. Donnelley Corporation 11/21/2005 70.00 5 150 R.H. Donnelley Corporation 01/23/2006 60.00 5 2,600 Randgold Resources, Ltd. ADR 12/19/2005 15.00 60 9,900 Range Resources Corporation 03/20/2005 35.00 15 9,150 Range Resources Corporation 10/24/2005 35.00 25 9,500 Range Resources Corporation 12/19/2005 25.00 5 6,850 Range Resources Corporation 12/19/2005 30.00 165 143,550 Range Resources Corporation 12/19/2005 35.00 190 96,900 Range Resources Corporation 12/19/2005 40.00 70 14,700 Sharper Image Corporation 11/21/2005 12.50 10 1,300 Smith International, Inc. 10/24/2005 30.00 20 6,800
8 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Q (SMALL CAP VALUE)
EXPIRATION EXERCISE NUMBER OF MARKET COMMON STOCK (CONTINUED) DATE PRICE CONTRACTS VALUE - ------------------------ ---------- -------- --------- ---------- Smith International, Inc. 10/24/2005 $32.50 80 $ 11,600 Smith International, Inc. 10/24/2005 35.00 60 2,400 Stamps.com, Inc. 11/21/2005 15.00 22 5,720 Steel Dynamics, Inc. 11/21/2005 30.00 25 11,750 Steel Dynamics, Inc. 11/21/2005 35.00 5 825 Stone Energy Corporation 12/19/2005 50.00 50 58,000 Stone Energy Corporation 12/19/2005 55.00 5 3,850 Stone Energy Corporation 12/19/2005 60.00 5 2,200 Symbol Technologies, Inc. 01/23/2005 10.00 25 2,000 Toreador Resources Corporation 12/19/2005 22.50 60 73,200 Toreador Resources Corporation 12/19/2005 25.00 40 40,000 Transocean, Inc. 10/24/2005 60.00 10 3,000 Transocean, Inc. 11/21/2005 55.00 15 11,400 Transocean, Inc. 11/21/2005 60.00 60 26,400 Transocean, Inc. 11/21/2005 65.00 25 5,375 Transocean, Inc. 01/23/2006 60.00 5 3,100 Transocean, Inc. 01/23/2006 65.00 20 8,200 Transocean, Inc. 01/23/2006 70.00 5 1,275 United States Steel Corporation 10/24/2005 35.00 5 3,700 United States Steel Corporation 10/24/2005 40.00 60 18,000 United States Steel Corporation 10/24/2005 45.00 40 2,400 United States Steel Corporation 01/23/2006 40.00 15 7,650 United States Steel Corporation 01/23/2006 45.00 15 4,050 Unova, Inc. 10/24/2005 35.00 5 675 Unova, Inc. 12/19/2005 25.00 10 10,000 Unova, Inc. 12/19/2005 30.00 70 40,600 Unova, Inc. 12/19/2005 35.00 60 15,600 Unova, Inc. 03/20/2006 35.00 25 6,750 York International Corporation 11/21/2005 55.00 25 3,250 ----- ---------- Total call options outstanding (premiums received $1,436,463) 4,682 $2,515,145 ==========
SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 9 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES S (SOCIAL AWARENESS)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS - 98.6% AIR FREIGHT & LOGISTICS - 3.3% FedEx Corporation 36,300 $3,162,819 ---------- AIRLINES - 1.9% Southwest Airlines Company 125,500 1,863,675 ---------- BIOTECHNOLOGY - 1.6% Amgen, Inc.* 18,750 1,493,812 ---------- BROADCASTING & CABLE TV - 3.7% Comcast Corporation* 21,507 631,876 Univision Communications, Inc.* 109,300 2,899,729 ---------- 3,531,605 ---------- COMMUNICATIONS EQUIPMENT - 5.4% ADC Telecommunications, Inc.* 102,285 2,338,235 Cisco Systems, Inc.* 155,000 2,779,150 ---------- 5,117,385 ---------- COMPUTER HARDWARE - 0.9% Dell, Inc.* 25,000 855,000 ---------- CONSTRUCTION & ENGINEERING - 2.7% Shaw Group, Inc.* 105,800 2,609,028 ---------- CONSUMER FINANCE - 2.8% American Express Company 46,300 2,659,472 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 2.6% First Data Corporation 61,200 2,448,000 ---------- DIVERSIFIED BANKS - 3.1% Wells Fargo & Company 50,000 2,928,500 ---------- DRUG RETAIL - 3.2% CVS Corporation 105,600 3,063,456 ---------- ELECTRICAL COMPONENTS & EQUIPMENT - 1.6% Power-One, Inc.* 285,400 1,581,116 ---------- GENERAL MERCHANDISE STORES - 1.4% Target Corporation 25,500 1,324,215 ---------- HEALTH CARE EQUIPMENT - 7.9% Fisher Scientific International, Inc.* 30,500 1,892,525 Medtronic, Inc. 56,400 3,024,168 Zimmer Holdings, Inc.* 37,900 2,610,931 ---------- 7,527,624 ---------- HEALTH CARE SERVICES - 2.0% Covance, Inc.* 39,000 1,871,610 ----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES S (SOCIAL AWARENESS)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) HOME IMPROVEMENT RETAIL - 3.2% Home Depot, Inc. 79,500 $3,032,130 ---------- HOUSEHOLD PRODUCTS - 3.1% Procter & Gamble Company 50,500 3,002,730 ---------- HYPERMARKETS & SUPERCENTERS - 2.0% Costco Wholesale Corporation 44,000 1,895,960 ---------- INDUSTRIAL CONGLOMERATES - 1.5% 3M Company 20,000 1,467,200 ---------- INDUSTRIAL GASES - 2.0% Praxair, Inc. 39,200 1,878,856 ---------- INTEGRATED TELECOMMUNICATION SERVICES - 2.0% Verizon Communications, Inc. 58,800 1,922,172 ---------- INTERNET RETAIL - 0.8% eBay, Inc.* 18,800 774,560 ---------- IT CONSULTING & OTHER SERVICES - 1.1% Unisys Corporation* 153,900 1,021,896 ---------- MANAGED HEALTH CARE - 4.8% UnitedHealth Group, Inc. 36,200 2,034,440 WellPoint, Inc.* 34,100 2,585,462 ---------- 4,619,902 ---------- MOVIES & ENTERTAINMENT - 5.9% Time Warner, Inc. 167,500 3,033,425 Viacom, Inc. (Cl.B) 79,800 2,634,198 ---------- 5,667,623 ---------- MULTI-LINE INSURANCE - 4.4% American International Group, Inc. 67,899 4,207,022 ---------- OIL & GAS EQUIPMENT & SERVICES - 1.8% BJ Services Company 48,000 1,727,520 ---------- OIL & GAS EXPLORATION & PRODUCTION - 0.3% Anadarko Petroleum Corporation 3,000 287,250 ---------- OIL & GAS STORAGE & TRANSPORTATION - 1.4% Williams Companies, Inc. 55,800 1,397,790 ---------- OTHER DIVERSIFIED FINANCIAL SERVICES - 1.4% JP Morgan Chase & Company 40,000 1,357,200 ---------- PHARMACEUTICALS - 2.9% Johnson & Johnson 43,364 2,744,074 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES S (SOCIAL AWARENESS)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS - 4.9% Analog Devices, Inc. 48,900 $ 1,816,146 Intel Corporation 115,400 2,844,610 ----------- 4,660,756 ----------- SOFT DRINKS - 5.0% Coca-Cola Company 56,050 2,420,800 PepsiCo, Inc. 41,000 2,325,110 ----------- 4,745,910 ----------- SYSTEMS SOFTWARE - 3.9% Microsoft Corporation 144,600 3,720,558 ----------- TRUCKING - 2.1% J.B. Hunt Transport Services, Inc. 105,000 1,996,050 ----------- TOTAL COMMON STOCKS (cost $92,073,250) 94,164,476 ----------- COMMERCIAL PAPER - 1.4% FOOD & BEVERAGE - 1.4% PepsiCo, Inc., 3.66%, 10-05-05 $1,300,000 1,299,471 ----------- TOTAL COMMERCIAL PAPER (cost $1,299,471) 1,299,471 ----------- U. S. GOVERNMENT SPONSORED AGENCIES - 1.6% Federal Home Loan Bank, 3.43%, 10-03-05 $ 700,000 699,867 ----------- Federal Home Loan Mortgage Corporation, 3.66%, 10-18-05 $ 800,000 798,617 ----------- TOTAL U.S. GOVERNMENT SPONSORED AGENCIES (cost $1,498,484) 1,498,484 ----------- TOTAL INVESTMENTS - 101.6% (cost $94,871,205) 96,962,431 LIABILITIES, LESS CASH AND OTHER ASSETS - (1.6%) (1,517,293) ----------- TOTAL NET ASSETS - 100.0% $95,445,138 ===========
For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $94,876,993. For federal income tax purposes, the net unrealized appreciation on investments amounted to $2,085,438 which consisted of $15,531,769 of aggregate gross unrealized appreciation, and $13,446,331 of aggregate gross unrealized depreciation. * Non-income producing security 3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES S (SOCIAL AWARENESS) SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES V (MID CAP VALUE)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE ---------- ----------- CONVERTIBLE BOND - 0.4% PHARMACEUTICALS - 0.4% Ligand Pharmaceuticals, Inc., 6.00% - 2007(2) $1,000,000 $ 1,422,500 ----------- TOTAL CONVERTIBLE BONDS (cost $1,000,000) 1,422,500 ----------- PREFERRED STOCKS - 0.4% DIVERSIFIED METALS & MINING - 0.2% Arch Coal, Inc. 5,200 849,940 ----------- ENVIRONMENTAL & FACILITIES SERVICES - 0.2% ThermoEnergy Corporation PIPE(3,4,5) 1,130,000 783,090 ----------- TOTAL PREFERRED STOCKS (cost $1,326,215) 1,633,030 ----------- COMMON STOCKS - 99.4% AEROSPACE & DEFENSE - 2.3% Curtiss-Wright Corporation 54,000 3,332,340 Orbital Sciences Corporation* 402,500 5,031,250 ----------- 8,363,590 ----------- AGRICULTURAL PRODUCTS - 2.6% Archer-Daniels-Midland Company 240,000 5,918,400 Corn Products International, Inc. 174,000 3,509,580 ----------- 9,427,980 ----------- AIR FREIGHT & LOGISTICS - 0.4% AirNet Systems, Inc.* 182,000 864,500 Stonepath Group, Inc.* 520,000 525,200 ----------- 1,389,700 ----------- APPAREL, ACCESSORIES & LUXURY GOODS - 0.8% Kellwood Company 110,000 2,843,500 ----------- APPLICATION SOFTWARE - 1.3% Epiq Systems, Inc.* 139,300 3,039,526 Plato Learning, Inc.* 200,000 1,522,000 ----------- 4,561,526 ----------- BUILDING PRODUCTS - 0.1% Aaon, Inc.* 14,150 260,077 ----------- COAL & CONSUMABLE FUELS - 3.2% Arch Coal, Inc. 125,000 8,437,500 Consol Energy, Inc. 40,100 3,058,427 ----------- 11,495,927 -----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES V (MID CAP VALUE)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT - 3.6% 3Com Corporation* 2,100,000 $ 8,568,000 Avanex Corporation* 2,691,000 2,610,270 Oplink Communications, Inc.* 1,024,100 1,556,632 ----------- 12,734,902 ----------- COMPUTER STORAGE & PERIPHERALS - 1.2% Hutchinson Technology, Inc.* 160,000 4,179,200 ----------- CONSTRUCTION & ENGINEERING - 13.9% Dycom Industries, Inc.* 142,000 2,871,240 Granite Construction, Inc. 56,700 2,168,208 MasTec, Inc.*(1) 446,400 4,865,760 McDermott International, Inc.* 332,000 12,154,520 Quanta Services, Inc.* 663,700 8,468,812 Shaw Group, Inc.* 790,000 19,481,400 ----------- 50,009,940 ----------- DATA PROCESSING & OUTSOURCED SERVICES - 2.2% Computer Sciences Corporation* 165,000 7,806,150 ----------- DIVERSIFIED COMMERCIAL SERVICES - 1.9% FTI Consulting, Inc.* 267,000 6,744,420 ----------- DIVERSIFIED METALS & MINING - 3.8% Inco, Ltd.*(1) 188,000 8,901,800 Usec, Inc.(1) 413,100 4,610,196 ----------- 13,511,996 ----------- ELECTRIC UTILITIES - 6.2% Cinergy Corporation(1) 88,000 3,908,080 Great Plains Energy, Inc. 60,000 1,794,600 KFx Inc.* 958,000 16,400,960 ----------- 22,103,640 ----------- ELECTRICAL COMPONENTS & EQUIPMENT - 2.7% Electric City Corporation*(4) 1,200,000 1,032,000 Power-One, Inc.* 925,000 5,124,500 Preformed Line Products Company 1,400 66,080 Thomas & Betts Corporation* 100,000 3,441,000 ----------- 9,663,580 ----------- ELECTRONIC EQUIPMENT MANUFACTURERS - 2.9% Maxwell Technologies, Inc.*(4) 343,200 4,845,984 Merix Corporation* 611,400 3,423,840 Powell Industries, Inc.* 101,700 2,226,213 ----------- 10,496,037 ----------- GAS UTILITIES - 0.6% Southern Union Company* 78,000 2,010,060 -----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES V (MID CAP VALUE)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) HEALTH CARE FACILITIES - 2.7% Community Health Systems, Inc.* 90,000 $3,492,900 Triad Hospitals, Inc.* 60,000 2,716,200 Universal Health Services, Inc. (Cl.B.) 70,000 3,334,100 ---------- 9,543,200 ---------- HEALTH CARE SERVICES - 1.2% Hooper Holmes, Inc. 807,700 3,174,261 NDCHealth Corporation(1) 66,000 1,248,720 ---------- 4,422,981 ---------- HOUSEWARES & SPECIALTIES - 0.4% Newell Rubbermaid, Inc. 62,000 1,404,300 ---------- INDUSTRIAL CONGLOMERATES - 1.3% Alleghany Corporation* 10,716 3,279,096 Hydrogen Corporation(4) 47,815 1,418,018 ---------- 4,697,114 ---------- INDUSTRIAL MACHINERY - 0.7% Capstone Turbine Corporation* 105,100 373,105 Quixote Corporation 97,200 2,079,108 ---------- 2,452,213 ---------- INSURANCE BROKERS - 0.3% Hub International, Ltd. 45,700 1,036,476 ---------- INTEGRATED OIL & GAS - 2.0% Murphy Oil Corporation 144,000 7,181,280 ---------- INTEGRATED TELECOMMUNICATION SERVICE - 0.3% Global Crossing, Ltd.* 75,000 1,103,250 ---------- IT CONSULTING & OTHER SERVICES - 0.3% Keane, Inc.* 100,000 1,143,000 ---------- MARINE - 0.7% Frontline, Ltd. 60,700 2,678,084 ---------- MULTI-LINE INSURANCE - 1.2% American Financial Group, Inc.(1) 132,000 4,478,760 ---------- OIL & GAS DRILLING - 1.8% Grey Wolf, Inc.* 493,600 4,161,048 Nabors Industries, Ltd.*(1) 30,000 2,154,900 ---------- 6,315,948 ---------- OIL & GAS EQUIPMENT & SERVICES - 1.6% Key Energy Services, Inc.* 382,000 5,661,240 ---------- OIL & GAS EXPLORATION & PRODUCTION - 1.2% Pioneer Natural Resources Company 80,396 4,415,348 ----------
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES V (MID CAP VALUE)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) OIL & GAS STORAGE & TRANSPORTATION - 3.6% Williams Companies, Inc. 520,000 $13,026,000 ----------- OTHER DIVERSIFIED FINANCIAL SERVICES - 0.7% First Marblehead Corporation 97,500 2,476,500 ----------- PACKAGED FOODS & MEATS - 3.5% Hain Celestial Group, Inc.* 75,000 1,455,000 Hormel Foods Corporation(1) 185,000 6,103,150 Tyson Foods, Inc. 270,000 4,873,500 ----------- 12,431,650 ----------- PAPER PACKAGING - 1.6% Bemis Company, Inc. 100,000 2,470,000 Sonoco Products Company 125,000 3,413,750 ----------- 5,883,750 ----------- PHARMACEUTICALS - 0.6% Hollis-Eden Pharmaceuticals, Inc.*(1) 193,803 1,238,401 Ligand Pharmaceuticals, Inc. (Cl. B)* 77,600 786,593 ----------- 2,024,994 ----------- PROPERTY & CASUALTY INSURANCE - 4.5% First American Corporation 160,000 7,307,200 North Pointe Holdings Corporation* 165,700 2,062,965 United America Indemnity, Ltd.* 83,000 1,523,050 W. R. Berkley Corporation 130,000 5,132,400 ----------- 16,025,615 ----------- REAL ESTATE INVESTMENT TRUSTS - 3.2% Bimini Mortgage Management, Inc. 414,700 4,686,110 HomeBanc Corporation 321,600 2,482,752 MortgageIT Holdings, Inc. 300,000 4,266,000 ----------- 11,434,862 ----------- REGIONAL BANKS - 2.0% Mercantile Bankshares Corporation 50,000 2,694,000 Wilmington Trust Corporation 64,200 2,340,090 Zions Bancorporation 32,000 2,278,720 ----------- 7,312,810 ----------- REINSURANCE - 0.4% RenaissanceRe Holdings Ltd. 36,200 1,583,026 ----------- SEMICONDUCTOR EQUIPMENT - 1.5% Ultratech, Inc.* 343,300 5,352,047 ----------- SEMICONDUCTORS - 2.1% Applied Micro Circuits Corporation* 550,000 1,650,000 IXYS Corporation* 437,200 4,616,832 Stats ChipPAC, Ltd. ADR* 217,500 1,365,900 ----------- 7,632,732 -----------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES V (MID CAP VALUE)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE ---------- ------------ COMMON STOCKS (CONTINUED) SPECIALTY CHEMICALS - 1.0% H.B. Fuller Company 58,000 $ 1,802,640 Material Sciences Corporation* 57,000 858,990 Minerals Technologies, Inc. 15,000 858,150 ------------ 3,519,780 ------------ SPECIALTY STORES - 1.6% Bombay Company, Inc.* 670,000 2,954,700 Borders Group, Inc. 126,000 2,793,420 ------------ 5,748,120 ------------ TIRES & RUBBER - 1.8% Bandag, Inc. 153,000 6,557,580 ------------ TRADING COMPANIES & DISTRIBUTORS - 4.6% Hughes Supply, Inc. 290,000 9,454,000 United Rentals, Inc.* 366,000 7,213,860 ------------ 16,667,860 ------------ TRUCKING - 0.8% SCS Transportation, Inc.* 11,000 172,810 Werner Enterprises, Inc. 157,000 2,714,530 ------------ 2,887,340 ------------ WIRELESS TELECOMMUNICATION SERVICES - 0.5% Wireless Facilities, Inc.* 296,400 1,719,120 ------------ TOTAL COMMON STOCKS (cost $259,809,888) 356,419,205 ------------ WARRANTS - 0.1% Electric City Corporation, $0.40, 03-19-09(4, 5) 350,000 136,481 ThermoEnergy Corporation, $1.50, 07-14-08(3, 4, 5) 1,130,000 166,901 ------------ TOTAL WARRANTS (cost $617,504) 303,382 ------------ COMMERCIAL PAPER - 0.3% FINANCIAL COMPANIES - CAPTIVE - 0.3% General Electric Capital Corporation, 3.75%, 10-03-05 $1,000,000 999,791 ------------ TOTAL COMMERCIAL PAPER (cost $999,792) 999,791 ------------ REPURCHASE AGREEMENT - 0.2% United Missouri Bank, 3.42%, dated 09-30-05, matures 10-03-05; repurchase amount of $778,222 (Collateralized by GNMA, 3.50%, 02-20-27 with a value of $793,560) $ 778,000 778,000 ------------ TOTAL REPURCHASE AGREEMENT (cost $778,000) 778,000 ------------ TOTAL INVESTMENTS (cost $264,531,399) - 100.8% 361,555,908 LIABILITIES, LESS CASH & OTHER ASSETS - (0.8%) (2,960,251) ------------ TOTAL NET ASSETS - 100.0% $358,595,657 ============
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES V (MID CAP VALUE) The identified cost of investments owned at September 30, 2005 was the same for federal income tax and financial statement purposes. For federal income tax purposes, the net unrealized appreciation on investments amounted to $97,024,509 which consisted of $109,361,254 of aggregate gross unrealized appreciation and $12,336,745 of aggregate gross unrealized depreciation. * Non-income producing security ADR (American Depositary Receipt) PIPE-Private Investment in Public Equity - is the term used for stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration on a secondary public offering. (1) Security is segregated as collateral for written option contracts. (2) Security is a 144A Series. The total market value of 144A securities is $1,422,500 (cost $1,000,000), or 0.4% of total net assets. (3) Security is restricted. The total market value of restricted securities is $949,991 (cost $1,356,000), or 0.3% of total net assets. (4) Security is illiquid. The total market value of illiquid securities is $8,382,474 (cost $10,778,893), or 2.3% of total net assets. (5) Security is fair valued by the Board of Directors. The total market value of fair valued securities is $1,086,472 (cost $1,683,719), or 0.3% of total net assets. The following options written were outstanding for Series V as of September 30, 2005: SERIES V CALL OPTIONS WRITTEN OUTSTANDING
EXPIRATION EXERCISE NUMBER OF MARKET COMMON STOCK DATE PRICE CONTRACTS VALUE - ------------ ---------- -------- --------- -------- Cinergy Corporation 01/23/06 $45.00 565 $ 59,325 Hollis Eden Pharmaceuticals, Inc. 12/19/05 12.50 953 4,765 Inco, Ltd. 10/24/05 40.00 400 300,000 Inco, Ltd. 01/23/06 45.00 400 188,000 MasTec, Inc. 01/23/06 12.50 960 43,200 Nabors Industries, Ltd. 12/19/05 65.00 300 285,000 NDCHealth Corporation 02/21/06 20.00 107 1,070 Usec, Inc. 10/24/05 17.50 940 9,400 ----- -------- Total call options outstanding (premiums received, $766,344) 4,625 $890,760 ===== ========
SERIES V PUT OPTIONS WRITTEN OUTSTANDING
EXPIRATION EXERCISE NUMBER OF MARKET COMMON STOCK DATE PRICE CONTRACTS VALUE - ------------ ---------- -------- --------- -------- Frontline, Ltd. 11/21/05 $35.00 329 $ 4,935 Phelps Dodge Corporation 10/24/05 85.00 200 1,000 Power-One, Inc. 10/24/05 5.00 747 7,470 Usec, Inc. 01/23/06 10.00 1,329 73,095 ----- ------- Total put options outstanding (premiums received, $337,144) 2,605 $86,500 ===== =======
6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES V (MID CAP VALUE) SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 7 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS - 97.4% ADVERTISING - 0.0% Arbitron, Inc. 100 $ 3,984 Catalina Marketing Corporation 100 2,274 ---------- 6,258 ---------- AEROSPACE & DEFENSE - 2.6% Boeing Company 5,200 353,340 General Dynamics Corporation 1,100 131,505 Goodrich Corporation 500 22,170 Honeywell International, Inc. 1,700 63,750 Lockheed Martin Corporation 3,100 189,224 Northrop Grumman Corporation 3,600 195,660 Precision Castparts Corporation 800 42,480 Raytheon Company 2,900 110,258 Rockwell Colllins, Inc. 600 28,992 United Technologies Corporation 5,800 300,672 ---------- 1,438,051 ---------- AGRICULTURAL PRODUCTS - 0.4% Archer-Daniels-Midland Company 8,000 197,280 ---------- AIR FREIGHT & LOGISTICS - 0.3% FedEx Corporation 1,300 113,269 United Parcel Service, Inc. (Cl.B) 500 34,565 ---------- 147,834 ---------- AIRLINES - 0.0% Alaska Air Group, Inc.* 300 8,718 ---------- ALUMINUM - 0.0% Alcoa, Inc. 200 4,884 ---------- APPAREL RETAIL - 0.4% Abercrombie & Fitch Company 200 9,970 American Eagle Outfitters, Inc. 900 21,177 bebe Stores, Inc. 125 2,188 Children's Place Retail Stores, Inc.* 200 7,128 Gap, Inc. 3,800 66,234 Limited Brands, Inc. 100 2,043 Men's Wearhouse, Inc.* 450 12,015 Pacific Sunwear of California, Inc.* 600 12,864 TJX Companies, Inc. 2,800 57,344 Too, Inc.* 200 5,486 ---------- 196,449 ---------- APPAREL, ACCESSORIES & LUXURY GOODS - 0.1% Coach, Inc.* 2,500 78,400 ---------- APPLICATION SOFTWARE - 0.2% Autodesk, Inc. 300 13,932 Cadence Design Systems, Inc.* 100 1,616 Compuware Corporation* 1,200 11,400
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- -------- COMMON STOCKS (CONTINUED) APPLICATION SOFTWARE (CONTINUED) Fair Isaac Corporation 200 $ 8,960 Parametric Technology Corporation* 2,100 14,637 Synopsys, Inc.* 1,700 32,130 -------- 82,675 -------- ASSET MANAGEMENT & CUSTODY BANKS - 0.5% Bank of New York Company, Inc. 2,300 67,643 Franklin Resources, Inc. 1,700 142,732 Legg Mason, Inc. 300 32,907 Mellon Financial Corporation 500 15,985 Northern Trust Corporation 400 20,220 -------- 279,487 -------- AUTO PARTS & EQUIPMENT - 0.0% Autoliv, Inc. 100 4,350 -------- AUTOMOBILE MANUFACTURERS - 0.2% Ford Motor Company 13,474 132,854 -------- AUTOMOTIVE RETAIL - 0.1% Advance Auto Parts, Inc.* 600 23,208 AutoNation, Inc.* 1,000 19,970 -------- 43,178 -------- BIOTECHNOLOGY - 1.0% Amgen, Inc.* 4,600 366,482 Applera Corporation - Applied Biosystems Group 1,100 25,564 Genentech, Inc.* 1,200 101,052 Gilead Sciences, Inc.* 1,100 53,636 Invitrogen Corporation* 100 7,523 -------- 554,257 -------- BREWERS - 0.1% Anheuser-Busch Companies, Inc. 1,300 55,952 -------- BROADCASTING & CABLE TV - 0.4% Comcast Corporation* 6,131 180,129 Discovery Holding Company* 170 2,455 Liberty Media Corporation* 2,700 21,735 -------- 204,319 -------- BUILDING PRODUCTS - 0.3% American Standard Companies, Inc. 1,100 51,205 Masco Corporation 2,500 76,700 USG Corporation* 400 27,488 -------- 155,393 -------- CASINOS & GAMING - 0.3% International Game Technology 800 21,600 MGM Mirage* 3,400 148,818 Penn National Gaming, Inc.* 400 12,444 -------- 182,862 --------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) COAL & CONSUMABLE FUELS - 0.1% Consol Energy, Inc. 200 $ 15,254 Peabody Energy Corporation 100 8,435 ---------- 23,689 ---------- COMMERCIAL PRINTING - 0.1% R.R. Donnelley & Sons Company 600 22,242 ---------- COMMUNICATIONS EQUIPMENT - 2.4% Adtran, Inc. 300 9,450 Brocade Communications Systems, Inc.* 3,100 12,648 Cisco Systems, Inc.* 38,200 684,926 Corning, Inc.* 4,600 88,918 Motorola, Inc. 15,900 351,231 Qualcomm, Inc. 3,600 161,100 ---------- 1,308,273 ---------- COMPUTER & ELECTRONICS RETAIL - 0.3% Best Buy Company, Inc. 2,400 104,472 Circuit City Stores, Inc. 1,100 18,876 Electronics Boutique Holdings Corporation* 200 12,568 ---------- 135,916 ---------- COMPUTER HARDWARE - 3.7% Apple Computer, Inc.* 6,900 369,909 Dell, Inc.* 19,700 673,740 Hewlett-Packard Company 12,600 367,920 International Business Machines Corporation 7,500 601,650 NCR Corporation* 900 28,719 Palm, Inc.* 100 2,833 ---------- 2,044,771 ---------- COMPUTER STORAGE & PERIPHERALS - 0.3% EMC Corporation* 10,000 129,400 Western Digital Corporation* 2,400 31,032 ---------- 160,432 ---------- CONSTRUCTION & ENGINEERING - 0.0% Washington Group International, Inc.* 200 10,778 ---------- CONSTRUCTION & FARM MACHINERY - 0.7% Caterpillar, Inc. 4,200 246,750 Cummins, Inc. 200 17,598 Deere & Company 400 24,480 Joy Global, Inc. 300 15,138 Paccar, Inc. 900 61,101 Terex Corporation* 100 4,943 Toro Company 700 25,732 ---------- 395,742 ---------- CONSTRUCTION MATERIALS - 0.2% Eagle Materials, Inc. 100 12,137 Eagle Materials, Inc. (Cl.B) 278 32,165
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS (CONTINUED) Martin Marietta Materials, Inc. 300 $ 23,538 Vulcan Materials Company 200 14,842 ---------- 82,682 ---------- CONSUMER FINANCE - 1.3% American Express Company 4,400 252,736 AmeriCredit Corporation* 1,200 28,644 Capital One Financial Corporation 1,900 151,088 MBNA Corporation 5,800 142,912 PHH Corporation* 175 4,805 Providian Financial Corporation* 600 10,608 SLM Corporation 1,800 96,552 ---------- 687,345 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 0.3% Automatic Data Processing, Inc. 300 12,912 Ceridian Corporation* 100 2,075 Electronic Data Systems Corporation 2,400 53,856 First Data Corporation 1,800 72,000 Fiserv, Inc.* 400 18,348 Paychex, Inc. 400 14,832 ---------- 174,023 ---------- DEPARTMENT STORES - 0.7% Dillard's, Inc. 600 12,528 Federated Department Stores, Inc. 2,400 160,488 J.C. Penney Company, Inc. 3,100 147,002 Nordstrom, Inc. 2,600 89,232 ---------- 409,250 ---------- DISTILLERS & VINTNERS - 0.0% Brown-Forman Corporation (Cl.B) 100 5,954 ---------- DISTRIBUTORS - 0.0% Genuine Parts Company 400 17,160 ---------- DIVERSIFIED BANKS - 4.7% Bank of America Corporation 24,684 1,039,196 Comerica, Inc. 1,500 88,350 Toronto-Dominion Bank 282 13,908 U.S. Bancorp 14,333 402,471 Wachovia Corporation 11,400 542,526 Wells Fargo & Company 8,200 480,274 ---------- 2,566,725 ---------- DIVERSIFIED CHEMICALS - 1.0% Ashland, Inc. 200 11,048 Dow Chemical Company 4,400 183,348 E.I. du Pont de Nemours & Company 4,800 188,016 Eastman Chemical Company 400 18,788 Engelhard Corporation 300 8,373 FMC Corporation* 400 22,888
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) DIVERSIFIED CHEMICALS (CONTINUED) PPG Industries, Inc. 1,600 $ 94,704 ---------- 527,165 ---------- DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 0.1% Cendant Corporation 2,800 57,792 Equifax, Inc. 300 10,482 ---------- 68,274 ---------- DIVERSIFIED METALS & MINING - 0.2% Freeport-McMoRan Copper & Gold, Inc. (Cl.B) 100 4,859 Phelps Dodge Corporation 1,000 129,930 ---------- 134,789 ---------- DRUG RETAIL - 0.3% Longs Drug Stores Corporation 200 8,578 Walgreen Company 3,100 134,695 ---------- 143,273 ---------- EDUCATION SERVICES - 0.0% Apollo Group, Inc.* 300 19,917 ---------- ELECTRIC UTILITIES - 2.1% American Electric Power Company, Inc. 4,200 166,740 CenterPoint Energy, Inc. 1,200 17,844 Cinergy Corporation 300 13,323 Edison International 4,200 198,576 Entergy Corporation 1,300 96,616 Exelon Corporation 4,000 213,760 FPL Group, Inc. 2,400 114,240 FirstEnergy Corporation 1,500 78,180 NRG Energy, Inc.* 500 21,300 PG&E Corporation 3,900 153,075 PPL Corporation 1,600 51,728 Progress Energy, Inc. 200 8,950 Progress Energy, Inc. - Contingent Value Obligation* (1) 400 32 Southern Company 1,100 39,336 ---------- 1,173,700 ---------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.2% Emerson Electric Company 1,200 86,160 Rockwell Automation, Inc. 400 21,160 Thomas & Betts Corporation* 100 3,441 Wesco International, Inc.* 300 10,161 ---------- 120,922 ---------- ELECTRONIC EQUIPMENT MANUFACTURERS - 0.1% Agilent Technologies, Inc.* 900 29,475 Amphenol Corporation 900 36,306 ---------- 65,781 ----------
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- -------- COMMON STOCKS (CONTINUED) ENVIRONMENTAL & FACILITIES SERVICES - 0.1% Republic Services, Inc. 600 $ 21,174 Waste Management, Inc. 2,000 57,220 -------- 78,394 -------- EXCHANGE TRADED FUNDS - 0.8% S & P Depositary Receipts Trust 3,600 442,368 -------- FERTILIZERS & AGRICULTURAL CHEMICALS - 0.1% Agrium, Inc. 700 15,379 Monsanto Company 700 43,925 -------- 59,304 -------- FOOD DISTRIBUTORS - 0.0% Sysco Corporation 400 12,548 -------- FOOD RETAIL - 0.3% 7-Eleven, Inc.* 300 10,683 Albertson's, Inc. 800 20,520 Kroger Company* 3,000 61,770 Safeway, Inc. 2,600 66,560 Supervalu, Inc. 700 21,784 -------- 181,317 -------- FOOTWEAR - 0.1% Nike, Inc. (Cl.B) 300 24,504 Timberland Company* 600 20,268 -------- 44,772 -------- FOREST PRODUCTS - 0.1% Louisiana-Pacific Corporation 600 16,614 Weyerhaeuser Company 100 6,875 -------- 23,489 -------- GAS UTILITIES - 0.1% Atmos Energy Corporation 600 16,950 Oneok, Inc. 400 13,608 UGI Corporation 200 5,630 -------- 36,188 -------- GENERAL MERCHANDISE STORES - 0.6% Target Corporation 6,100 316,773 -------- HEALTH CARE DISTRIBUTORS - 0.4% AmerisourceBergen Corporation 300 23,190 Cardinal Health, Inc. 900 57,096 McKesson Corporation 3,300 156,585 -------- 236,871 -------- HEALTH CARE EQUIPMENT - 1.3% Baxter International, Inc. 3,000 119,610 Becton, Dickinson & Company 2,900 152,047 Boston Scientific Corporation* 2,300 53,751
6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- -------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT (CONTINUED) Edwards Lifesciences Corporation* 200 $ 8,882 Guidant Corporation 1,100 75,779 Medtronic, Inc. 5,800 310,996 Mentor Corporation 200 11,002 Thermo Electron Corporation* 200 6,180 -------- 738,247 -------- HEALTH CARE FACILITIES - 0.5% Beverly Enterprises, Inc.* 200 2,450 Community Health Systems, Inc.* 100 3,881 Genesis HealthCare Corporation* 200 8,064 HCA, Inc. 4,600 220,432 Kindred Healthcare, Inc.* 400 11,920 LCA-Vision, Inc. 250 9,280 Sunrise Senior Living, Inc.* 100 6,674 Triad Hospitals, Inc.* 300 13,581 VCA Antech, Inc.* 100 2,552 -------- 278,834 -------- HEALTH CARE SERVICES - 0.7% American Healthways, Inc.* 300 12,720 Caremark Rx, Inc.* 2,000 99,860 Express Scripts, Inc.* 400 24,880 Lincare Holdings, Inc.* 400 16,420 Medco Health Soulutions, Inc.* 2,547 139,652 Pediatrix Medical Group, Inc.* 100 7,682 Quest Diagnostics, Inc. 1,900 96,026 -------- 397,240 -------- HEALTH CARE SUPPLIES - 0.0% Bausch & Lomb, Inc. 100 8,068 Haemonetics Corporation* 100 4,753 -------- 12,821 -------- HOME ENTERTAINMENT SOFTWARE - 0.0% Activision, Inc.* 500 10,225 -------- HOME IMPROVEMENT RETAIL - 1.1% Building Materials Holding Corporation 100 9,319 Home Depot, Inc. 10,600 404,284 Lowe's Companies, Inc. 3,100 199,640 Sherwin-Williams Company 200 8,814 -------- 622,057 -------- HOMEBUILDING - 0.5% Cavco Industries, Inc.* 120 4,354 Centex Corporation 300 19,374 D.R. Horton, Inc. 3,000 108,660 KB Home 200 14,640 Lennar Corporation 800 47,808 M.D.C. Holdings, Inc. 100 7,889 Pulte Homes, Inc. 600 25,752
7 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) HOMEBUILDING (CONTINUED) Ryland Group, Inc. 400 $ 27,368 Standard-Pacific Corporation 200 8,302 Toll Brothers, Inc.* 200 8,934 ---------- 273,081 ---------- HOMEFURNISHING RETAIL - 0.2% Bed Bath & Beyond, Inc.* 2,500 100,450 ---------- HOTELS, RESORTS & CRUISE LINES - 0.4% Choice Hotels International, Inc. 100 6,464 Hilton Hotels Corporation 1,000 22,320 Marriott International, Inc. 1,500 94,500 Starwood Hotels & Resorts Worldwide, Inc. 1,300 74,321 ---------- 197,605 ---------- HOUSEHOLD APPLIANCES - 0.1% Black & Decker Corporation 200 16,418 Whirlpool Corporation 200 15,154 ---------- 31,572 ---------- HOUSEHOLD PRODUCTS - 1.4% Colgate-Palmolive Company 1,100 58,069 Energizer Holdings, Inc.* 500 28,350 Kimberly-Clark Corporation 1,600 95,248 Procter & Gamble Company 9,700 576,762 ---------- 758,429 ---------- HOUSEWARES & SPECIALTIES - 0.0% American Greetings Corporation 400 10,960 Tupperware Corporation 200 4,556 ---------- 15,516 ---------- HUMAN RESOURCE & EMPLOYMENT SERVICES - 0.0% Labor Ready, Inc.* 100 2,565 Robert Half International, Inc. 200 7,118 ---------- 9,683 ---------- HYPERMARKETS & SUPERCENTERS - 0.8% Costco Wholesale Corporation 900 38,781 Wal-Mart Stores, Inc. 9,400 411,908 ---------- 450,689 ---------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.7% Constellation Energy Group 1,200 73,920 Duke Energy Corporation 4,900 142,933 TXU Corporation 1,600 180,608 ---------- 397,461 ---------- INDUSTRIAL CONGLOMERATES - 4.1% 3M Company 5,100 374,136 General Electric Company 51,800 1,744,106 Textron, Inc. 1,200 86,064
8 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) INDUSTRIAL CONGLOMERATES (CONTINUED) Tyco International, Ltd. 1,700 $ 47,345 ---------- 2,251,651 ---------- INDUSTRIAL GASES - 0.2% Air Products & Chemicals, Inc. 1,200 66,168 Praxair, Inc. 300 14,379 ---------- 80,547 ---------- INDUSTRIAL MACHINERY - 0.3% Flowserve Corporation* 200 7,270 Harsco Corporation 200 13,114 ITT Industries, Inc. 300 34,080 Ingersoll-Rand Company, Ltd. 2,000 76,460 Mueller Industries, Inc. 100 2,777 Pall Corporation 100 2,750 SPX Corporation 400 18,380 ---------- 154,831 ---------- INSURANCE BROKERS - 0.1% Aon Corporation 400 12,832 Marsh & McLennan Companies, Inc. 300 9,117 ---------- 21,949 ---------- INTEGRATED OIL & GAS - 8.1% Amerada Hess Corporation 800 110,000 Chevron Corporation 13,622 881,752 ConocoPhillips 8,666 605,840 Exxon Mobil Corporation 36,500 2,319,210 Marathon Oil Corporation 3,400 234,362 Murphy Oil Corporation 1,000 49,870 Occidental Petroleum Corporation 2,900 247,747 Tesoro Corporation 500 33,620 ---------- 4,482,401 ---------- INTEGRATED TELECOMMUNICATION SERVICES - 3.1% AT&T Corporation 6,900 136,620 BellSouth Corporation 8,300 218,290 CenturyTel, Inc. 1,100 38,478 SBC Communications, Inc. 10,400 249,288 Sprint Nextel Corporation 18,648 443,449 Verizon Communications, Inc. 19,600 640,724 ---------- 1,726,849 ---------- INTERNET RETAIL - 0.0% eBay, Inc.* 500 20,600 ---------- INTERNET SOFTWARE & SERVICES - 0.8% EarthLink, Inc.* 1,700 18,190 Google, Inc.* 800 253,168 Internet Security Systems, Inc.* 500 12,005 United Online, Inc. 1,250 17,313 Websense, Inc.* 300 15,363
9 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) Yahoo!, Inc.* 4,200 $ 142,128 ---------- 458,167 ---------- INVESTMENT BANKING & BROKERAGE - 3.0% American Capital Strategies, Ltd. 700 25,662 Bear Sterns Companies, Inc. 1,600 175,600 Charles Schwab Corporation 13,000 187,590 Goldman Sachs Group, Inc. 1,700 206,686 Lehman Brothers Holdings, Inc. 2,500 291,200 Merrill Lynch & Company, Inc. 6,700 411,045 Morgan Stanley 7,000 377,580 ---------- 1,675,363 ---------- LEISURE PRODUCTS - 0.0% Marvel Entertainment, Inc.* 400 7,148 Nautilus, Inc. 300 6,621 ---------- 13,769 ---------- LIFE & HEALTH INSURANCE - 1.0% AFLAC, Inc. 1,000 45,300 AmerUs Group Company* 500 28,685 Jefferson-Pilot Corporation 100 5,117 Lincoln National Corporation 200 10,404 MetLife, Inc. 4,100 204,303 Protective Life Corporation 200 8,236 Prudential Financial, Inc. 3,400 229,704 StanCorp Financial Group, Inc. 200 16,840 Universal American Financial Corporation* 200 4,548 ---------- 553,137 ---------- MANAGED HEALTH CARE - 2.2% Aetna, Inc. 1,800 155,052 Cigna Corporation 1,700 200,362 Health Net, Inc.* 300 14,196 Humana, Inc.* 800 38,304 PacifiCare Health Systems, Inc.* 400 31,912 Sierra Health Services, Inc.* 100 6,887 UnitedHealth Group, Inc. 9,314 523,447 WellChoice, Inc.* 300 22,770 WellPoint, Inc.* 3,000 227,460 ---------- 1,220,390 ---------- METAL & GLASS CONTAINERS - 0.1% Crown Holdings, Inc.* 900 14,346 Owens-Illinois, Inc.* 1,400 28,868 Pactiv Corporation* 100 1,752 ---------- 44,966 ---------- MOTORCYCLE MANUFACTURERS - 0.0% Harley-Davidson, Inc. 400 19,376 ----------
10 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) MOVIES & ENTERTAINMENT - 1.3% Time Warner, Inc. 21,500 $ 389,365 Viacom, Inc. (Cl.B) 6,204 204,794 Walt Disney Company 4,800 115,824 ---------- 709,983 ---------- MULTI-LINE INSURANCE - 1.9% American International Group, Inc. 11,237 696,244 HCC Insurance Holdings, Inc. 600 17,118 Hartford Financial Services Group, Inc. 2,500 192,925 Loews Corporation 1,800 166,338 ---------- 1,072,625 ---------- MULTI-UTILITIES - 0.6% CMS Energy Corporation* 700 11,515 Dominion Resources, Inc. 1,300 111,982 Energy East Corporation 200 5,038 Public Service Enterprise Group, Inc. 2,200 141,592 Sempra Energy 1,500 70,590 ---------- 340,717 ---------- OFFICE SERVICES & SUPPLIES - 0.0% Pitney Bowes, Inc. 200 8,348 ---------- OIL & GAS DRILLING - 0.3% Diamond Offshore Drilling, Inc. 500 30,625 GlobalSantaFe Corporation 400 18,248 Helmerich & Payne, Inc. 400 24,156 Transocean, Inc.* 1,700 104,227 ---------- 177,256 ---------- OIL & GAS EQUIPMENT & SERVICES - 0.2% Baker Hughes, Inc. 900 53,712 Cal Dive International, Inc.* 300 19,023 Halliburton Company 300 20,556 Universal Compression Holdings, Inc.* 100 3,977 ---------- 97,268 ---------- OIL & GAS EXPLORATION & PRODUCTION - 2.9% Anadarko Petroleum Corporation 2,500 239,375 Apache Corporation 2,500 188,050 Burlington Resources, Inc. 3,900 317,148 Cabot Oil & Gas Corporation 100 5,051 Chesapeake Energy Corporation 2,300 87,975 Devon Energy Corporation 4,000 274,560 EOG Resources, Inc. 2,500 187,250 Forest Oil Corporation* 200 10,420 Houston Exploration Company* 200 13,450 Kerr-McGee Corporation 1,495 145,179 Newfield Exploration Company* 600 29,460 Noble Energy, Inc. 400 18,760 Pogo Producing Company 200 11,788 Remington Oil & Gas Corporation* 100 4,150
11 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) OIL & GAS EXPLORATION & PRODUCTION (CONTINUED) St. Mary Land & Exploration Company 100 $ 3,660 Stone Energy Corporation* 100 6,104 Swift Energy Company* 200 9,150 Vintage Petroleum, Inc. 500 22,830 ---------- 1,574,360 ---------- OIL & GAS REFINING & MARKETING - 0.5% Frontier Oil Corporation 300 13,305 Holly Corporation 100 6,398 Sunoco, Inc. 700 54,740 Valero Energy Corporation 1,834 207,363 ---------- 281,806 ---------- OIL & GAS STORAGE & TRANSPORTATION - 0.4% Kinder Morgan, Inc. 800 76,928 Williams Companies, Inc. 4,900 122,745 ---------- 199,673 ---------- OTHER DIVERSIFIED FINANCIAL SERVICES - 3.8% CB Richard Ellis Group, Inc.* 200 9,840 Citigroup, Inc. 28,631 1,303,283 JP Morgan Chase & Company 18,428 625,262 Principal Financial Group, Inc. 3,800 180,006 ---------- 2,118,391 ---------- PACKAGED FOODS & MEATS - 0.5% Campbell Soup Company 300 8,925 Chiquita Brands International, Inc. 400 11,180 Dean Foods Company* 200 7,772 General Mills, Inc. 2,400 115,680 Hershey Company 1,900 106,989 Kellogg Company 100 4,613 Pilgrim's Pride Corporation 600 21,840 Sara Lee Corporation 500 9,475 Treehouse Foods, Inc.* 40 1,075 ---------- 287,549 ---------- PAPER PRODUCTS - 0.0% Potlatch Corporation 200 10,424 ---------- PERSONAL PRODUCTS - 0.9% Avon Products, Inc. 800 21,600 Gillette Company 7,900 459,780 ---------- 481,380 ---------- PHARMACEUTICALS - 6.8% Abbott Laboratories 7,300 309,520 Allergan, Inc. 1,300 119,106 Barr Pharmaceuticals, Inc.* 700 38,444 Bristol-Myers Squibb Company 8,400 202,104 Eli Lilly & Company 2,100 112,392 Johnson & Johnson 17,886 1,131,826
12 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) Medicis Pharmaceutical Corporation 300 $ 9,768 Merck & Company, Inc. 18,600 506,106 Pfizer, Inc. 40,365 1,007,914 Wyeth 6,600 305,382 ---------- 3,742,562 ---------- PHOTOGRAPHIC PRODUCTS - 0.0% Eastman Kodak Company 600 14,598 ---------- PROPERTY & CASUALTY INSURANCE - 2.0% Ace, Ltd. 1,600 75,312 Allstate Corporation 5,200 287,508 Assurant, Inc. 600 22,836 Chubb Corporation 2,100 188,055 Cincinnati Financial Corporation 10 419 Fidelity National Financial, Inc. 990 44,075 First American Corporation 800 36,536 LandAmerica Financial Group, Inc. 300 19,395 MBIA, Inc. 300 18,186 Old Republic International Corporation 400 10,668 Progressive Corporation 1,400 146,678 Safeco Corporation 800 42,704 St. Paul Travelers Companies, Inc. 4,400 197,428 W.R. Berkley Corporation 400 15,792 ---------- 1,105,592 ---------- PUBLISHING - 0.2% Gannett Company, Inc. 300 20,649 Getty Images, Inc.* 100 8,604 McGraw-Hill Companies, Inc. 2,100 100,884 ---------- 130,137 ---------- RAILROADS - 0.7% Burlington Northern Santa Fe Corporation 3,200 191,360 CSX Corporation 1,800 83,664 Laidlaw International, Inc.* 600 14,502 Norfolk Southern Corporation 2,700 109,512 ---------- 399,038 ---------- REGIONAL BANKS - 2.2% AmSouth Bancorporation 900 22,734 BB&T Corporation 2,600 101,530 Compass Bancshares, Inc. 300 13,749 Fifth Third Bancorp 1,200 44,076 Hibernia Corporation 600 18,024 Huntington Bancshares, Inc. 200 4,494 KeyCorp 4,800 154,800 M&T Bank Corporation 1,300 137,423 Marshall & Ilsley Corporation 1,200 52,212 National City Corporation 4,400 147,136 PNC Financial Services Group, Inc. 2,400 139,248 Regions Financial Corporation 2,464 76,680
13 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) REGIONAL BANKS (CONTINUED) SVB Financial Group* 300 $ 14,592 SunTrust Banks, Inc. 2,400 166,680 UnionBanCal Corporation 800 55,776 Zions Bancorporation 500 35,605 ---------- 1,184,759 ---------- REINSURANCE - 0.0% PartnerRe, Ltd. 100 6,405 ---------- RESTAURANTS - 0.6% CBRL Group, Inc. 200 6,732 CEC Entertainment, Inc.* 300 9,528 CKE Restaurants, Inc. 300 3,954 Darden Restaurants, Inc. 900 27,333 Jack in the Box, Inc.* 100 2,991 McDonald's Corporation 4,600 154,054 Starbucks Corporation* 100 5,010 Wendy's International, Inc. 400 18,060 Yum! Brands, Inc. 2,600 125,866 ---------- 353,528 ---------- SEMICONDUCTOR EQUIPMENT - 0.3% Applied Materials, Inc. 6,600 111,936 Cymer, Inc.* 100 3,132 MEMC Electronic Materials, Inc.* 1,400 31,906 Photronics, Inc.* 200 3,880 ---------- 150,854 ---------- SEMICONDUCTORS - 3.0% Broadcom Corporation* 800 37,528 Freescale Semiconductor, Inc. (Cl.B)* 583 13,747 Intel Corporation 42,400 1,045,160 Intersil Corporation 400 8,712 LSI Logic Corporation* 1,100 10,835 Micrel, Inc.* 500 5,615 NVIDIA Corporation* 100 3,428 National Semiconductor Corporation 800 21,040 Texas Instruments, Inc. 14,800 501,720 ---------- 1,647,785 ---------- SOFT DRINKS - 1.8% Coca-Cola Company 10,800 466,452 Coca-Cola Enterprises, Inc. 300 5,850 Pepsi Bottling Group, Inc. 1,200 34,260 PepsiCo, Inc. 8,720 494,511 ---------- 1,001,073 ---------- SPECIALIZED FINANCE - 0.2% CIT Group, Inc. 800 36,144 Moody's Corporation 1,400 71,512 ---------- 107,656 ----------
14 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) SPECIALTY CHEMICALS - 0.2% Rohm & Haas Company 2,500 $ 102,825 Valspar Corporation 200 4,472 ---------- 107,297 ---------- SPECIALTY STORES - 0.3% Barnes & Noble, Inc.* 300 11,310 Blockbuster, Inc. (Cl.B) 1,507 6,751 Borders Group, Inc. 300 6,651 Michael's Stores, Inc. 800 26,448 Movie Gallery, Inc. 300 3,117 Office Depot, Inc.* 900 26,730 Staples, Inc. 2,950 62,894 Tiffany & Company 400 15,908 Weight Watchers International, Inc.* 200 10,316 Zale Corporation* 400 10,872 ---------- 180,997 ---------- STEEL - 0.1% Carpenter Technology Corporation 200 11,722 Nucor Corporation 600 35,394 Quanex Corporation 200 13,244 Reliance Steel & Aluminum Company 200 10,586 ---------- 70,946 ---------- SYSTEMS SOFTWARE - 3.3% McAfee, Inc.* 800 25,136 Microsoft Corporation 53,400 1,373,982 Oracle Corporation* 29,300 363,027 Symantec Corporation* 2,161 48,968 ---------- 1,811,113 ---------- THRIFTS & MORTGAGE FINANCE - 1.5% Astoria Financial Corporation 750 19,815 Countrywide Financial Corporation 3,898 128,556 Downey Financial Corporation 200 12,180 Fannie Mae 4,300 192,726 Freddie Mac 3,200 180,672 Fremont General Corporation 300 6,549 Golden West Financial Corporation 1,100 65,329 IndyMac Bancorp, Inc. 700 27,706 MGIC Investment Corporation 200 12,840 PMI Group, Inc. 200 7,974 Radian Group, Inc. 200 10,620 Washington Mutual, Inc. 4,700 184,334 ---------- 849,301 ---------- TOBACCO - 1.6% Altria Group, Inc. 10,400 766,584 Loews Corporation - Carolina Group 300 11,889 Reynolds American, Inc. 1,100 91,322 ---------- 869,795 ----------
15 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME)
NUMBER MARKET OF SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS - 0.0% GATX Corporation 300 $ 11,865 ----------- TRUCKING - 0.1% CNF, Inc. 400 21,000 Swift Transportation Company, Inc.* 400 7,080 Yellow Roadway Corporation* 231 9,568 ----------- 37,648 ----------- WIRELESS TELECOMMUNICATION SERVICE - 0.2% Alltel Corporation 1,600 104,176 ----------- TOTAL COMMON STOCKS (cost $49,918,855) 53,768,839 ----------- FOREIGN STOCKS - 0.7% CANADA - 0.7% Canadian Natural Resources, Ltd. 1,968 88,877 Paramount Resources, Ltd.* 5,300 155,923 Precision Drilling Corporation* 500 24,606 Talisman Energy, Inc. 1,900 92,965 Trilogy Energy Trust 1,800 43,200 ----------- 405,571 ----------- TOTAL FOREIGN STOCKS (cost $97,217) 405,571 ----------- PREFERRED STOCK - 0.0% REGIONAL BANKS - 0.0% Wachovia Corporation (1) 200 1 ----------- TOTAL PREFERRED STOCK (cost $48) 1 ----------- WARRANT - 0.0% Dime Bancorp, Inc., $1.00, 11-22-05 1,000 160 ----------- TOTAL WARRANT (cost $375) 160 ----------- TOTAL INVESTMENTS - 98.1% (cost $50,016,495) 54,174,571 CASH & OTHER ASSETS, LESS LIABILITIES - 1.9% 1,033,401 ----------- TOTAL NET ASSETS - 100.0% $55,207,972 ===========
For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $50,460,041. For federal income tax purposes, the net unrealized appreciation on investments amounted to $3,714,530 which consisted of $5,719,993 of aggregate gross unrealized appreciation, and $2,005,463 of aggregate gross unrealized depreciation. * Non-income producing security (1) Security is restricted. The total market value of restricted securities is $33 (cost $240), or 0.0% of total net assets. The acquisition dates range from June 16, 2000 to June 6, 2002. 16 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES W (MAIN STREET GROWTH & INCOME) SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 17 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES X (SMALL CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS - 95.3% AEROSPACE & DEFENSE - 3.1% Ceradyne, Inc.* 17,560 $ 644,101 DRS Technologies, Inc. 23,330 1,151,569 Mercury Computer Systems, Inc.* 34,070 894,337 ---------- 2,690,007 ---------- AGRICULTURAL PRODUCTS - 1.4% Central Garden & Pet Company* 27,500 1,244,375 ---------- APPAREL RETAIL - 1.1% Jos. A. Bank Clothiers, Inc.* 21,992 950,494 ---------- APPLICATION SOFTWARE - 7.5% Bottomline Technolgies, Inc.* 65,520 988,697 Concur Technologies, Inc.* 32,800 405,736 Epicor Software Corporation* 75,950 987,350 SafeNet, Inc.* 29,700 1,078,407 Sonic Solutions* 42,840 921,060 Synplicity, Inc.* 114,260 755,259 Ultimate Software Group, Inc.* 16,900 311,298 Witness Systems, Inc.* 53,890 1,125,762 ---------- 6,573,569 ---------- BIOTECHNOLOGY - 2.1% Alexion Pharmaceuticals, Inc.* 20,950 579,896 Illumina, Inc.* 36,490 467,437 Rigel Pharmaceuticals, Inc.* 33,730 801,762 ---------- 1,849,095 ---------- BUILDING PRODUCTS - 0.9% Drew Industries, Inc.* 30,260 781,011 ---------- CASINOS & GAMING - 3.7% Century Casinos, Inc.* 98,370 699,411 Mikohn Gaming Corporation* 55,830 741,981 Scientific Games Corporation* 58,030 1,798,930 ---------- 3,240,322 ---------- COMPUTER STORAGE & PERIPHERALS - 1.2% M-Systems Flash Disk Pioneers, Ltd.* 33,920 1,014,886 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 0.6% TNS, Inc.* 20,200 489,850 ---------- DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 3.0% FirstService Corporation* 57,810 1,326,739 McGrath Rentcorp 47,550 1,347,091 ---------- 2,673,830 ----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES X (SMALL CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) EDUCATION SERVICES - 2.3% Laureate Education, Inc.* 26,480 $1,296,726 Universal Technical Institute, Inc.* 21,110 751,727 ---------- 2,048,453 ---------- ELECTRONIC EQUIPMENT MANUFACTURERS - 1.7% Optimal Group, Inc.* 71,670 1,482,136 ---------- ELECTRONIC MANUFACTURING SERVICES - 1.3% RadiSys Corporation* 59,710 1,158,374 ---------- ENVIRONMENTAL & FACILITIES SERVICES - 1.2% Rollins, Inc. 55,800 1,089,216 ---------- HEALTH CARE EQUIPMENT - 6.9% Encore Medical Corporation* 180,900 850,230 I-Flow Corporation* 50,440 691,532 Intermagnetics General Corporation* 18,300 511,302 Iris International, Inc.* 28,000 516,320 SonoSite, Inc.* 20,080 595,974 Spectranetics Corporation* 93,540 880,211 Symmetry Medical, Inc.* 37,010 877,137 Syneron Medical, Ltd.* 31,880 1,164,895 ---------- 6,087,601 ---------- HEALTH CARE FACILITIES - 1.2% Five Star Quality Care, Inc.* 126,280 871,332 Genomic Health, Inc.* 12,950 149,573 ---------- 1,020,905 ---------- HEALTH CARE SERVICES - 8.6% AMN Healthcare Services, Inc.* 71,700 1,109,199 Amedisys, Inc.* 18,150 707,850 Chemed Corporation 20,500 888,470 LabOne, Inc.* 29,010 1,261,935 Lifeline Systems, Inc.* 33,940 1,134,614 Matria Healthcare, Inc.* 24,520 925,630 Merge Technologies, Inc.* 52,610 899,105 Providence Service Corporation* 20,580 629,542 ---------- 7,556,345 ---------- HEALTH CARE SUPPLIES - 2.2% Orthovita, Inc.* 158,940 680,263 PolyMedica Corporation 36,956 1,291,243 ---------- 1,971,506 ---------- HOME FURNISHINGS - 0.7% Design Within Reach, Inc.* 63,570 574,037 ---------- HOME IMPROVEMENT RETAIL - 0.7% Building Materials Holding Corporation 6,440 600,144 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES X (SMALL CAP GROWTH)
NUMBER OF MARKET SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) HOTELS, RESORTS & CRUISE LINES - 1.3% Steiner Leisure, Ltd.* 34,180 $ 1,161,095 ----------- HOUSEWARES & SPECIALTIES - 1.3% Jarden Corporation* 26,865 1,103,346 ----------- HUMAN RESOURCE & EMPLOYMENT SERVICES - 0.9% Barrett Business Services, Inc.* 35,050 800,893 ----------- INDUSTRIAL MACHINERY - 0.8% Axsys Technologies, Inc.* 36,750 720,667 ----------- INTERNET SOFTWARE & SERVICES - 13.9% aQuantive, Inc.* 24,370 490,568 CyberSource Corporation* 129,020 848,952 Digitas, Inc.* 111,660 1,268,458 Equinix, Inc.* 27,410 1,141,627 InfoSpace, Inc.* 45,940 1,096,588 j2 Global Communications, Inc.* 32,300 1,305,566 Keynote Systems, Inc.* 99,150 1,286,967 Marchex, Inc. (Cl.B)* 66,530 1,101,737 Online Resources Corporation* 122,170 1,292,559 Openwave Systems, Inc.* 31,710 570,146 RADVision, Ltd.* 57,880 791,220 ValueClick, Inc.* 58,950 1,007,455 ----------- 12,201,843 ----------- OIL & GAS DRILLING - 3.2% Grey Wolf, Inc.* 95,920 808,606 Patterson-UTI Energy, Inc. 28,150 1,015,652 Unit Corporation* 17,350 959,108 ----------- 2,783,366 ----------- OIL & GAS EQUIPMENT & SERVICES - 4.1% Hydril* 10,640 730,330 Maverick Tube Corporation* 33,150 994,500 Oil States International, Inc.* 26,190 950,959 Superior Energy Services, Inc.* 40,050 924,754 ----------- 3,600,543 ----------- OTHER DIVERSIFIED FINANCIAL SERVICES - 1.2% Portfolio Recovery Associates, Inc.* 24,420 1,054,456 ----------- PHARMACEUTICALS - 3.0% AtheroGenics, Inc.* 37,840 606,575 First Horizon Pharmaceutical Corporation* 53,320 1,059,468 Salix Pharmaceuticals, Ltd.* 44,300 941,375 ----------- 2,607,418 ----------- PHOTOGRAPHIC PRODUCTS - 0.6% Presstek, Inc.* 42,500 551,650 -----------
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES X (SMALL CAP GROWTH)
PRINCIPAL AMOUNT OR NUMBER OF MARKET SHARES VALUE ---------- ----------- COMMON STOCKS (CONTINUED) PROPERTY & CASUALTY INSURANCE - 1.3% Tower Group, Inc. 73,400 $ 1,109,808 ----------- REAL ESTATE INVESTMENT TRUSTS - 1.3% KKR Financial Corporation 51,090 1,136,241 ----------- REGIONAL BANKS - 2.3% Boston Private Financial Holdings, Inc. 28,680 761,167 PrivateBancorp, Inc. 28,270 969,096 Western Alliance Bancorp* 11,600 325,960 ----------- 2,056,223 ----------- RESTAURANTS - 1.0% Caribou Coffee Company, Inc.* 22,100 250,835 Cosi, Inc.* 64,880 637,121 ----------- 887,956 ----------- SEMICONDUCTOR EQUIPMENT - 1.7% Advanced Analogic Technologies, Inc.* 53,380 597,322 Ultratech, Inc.* 57,070 889,721 ----------- 1,487,043 ----------- SEMICONDUCTORS - 3.3% Microsemi Corporation* 31,450 803,233 O2Micro International, Ltd.* 46,880 737,891 SRS Labs, Inc.* 120,520 776,149 Volterra Semiconductor Corporation* 45,060 552,886 ----------- 2,870,159 ----------- SYSTEMS SOFTWARE - 0.9% WebSideStory, Inc.* 45,480 805,905 ----------- TRUCKING - 1.8% Old Dominion Freight Line, Inc.* 18,390 615,881 Vitran Corporation, Inc.* 60,980 989,095 ----------- 1,604,976 ----------- TOTAL COMMON STOCKS (cost $71,316,784) 83,639,744 ----------- REPURCHASE AGREEMENT - 7.2% United Missouri Bank, 3.42%, dated 09-30-05, matures 10-03-05; repurchase amount of $6,289,792 (Collateralized by GNMA, 5.00%, 08-15-20 with a value of $3,864,476 and GNMA, 4.25%, 07-16-32 with a value of $2,549,285) $6,288,000 6,288,000 ----------- TOTAL REPURCHASE AGREEMENT (cost $6,288,000) 6,288,000 -----------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES X (SMALL CAP GROWTH)
MARKET VALUE ------------ TOTAL INVESTMENTS - 102.5% (cost $77,604,784) $89,927,744 LIABILITIES, LESS CASH & OTHER ASSETS - (2.5%) (2,203,225) ----------- TOTAL NET ASSETS - 100.0% $87,724,519 ===========
For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $77,678,707. For federal income tax purposes, the net unrealized appreciation on investments amounted to $12,249,037 which consisted of $14,525,332 of aggregate gross unrealized appreciation, and $2,276,295 of aggregate gross unrealized depreciation. * Non-income producing security SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Y (SELECT 25)
NUMBER MARKET OF SHARES VALUE --------- ---------- COMMON STOCKS - 96.4% AEROSPACE & DEFENSE - 5.2% L-3 Communications Holdings, Inc. 21,300 $1,684,191 ---------- AIR FREIGHT & LOGISTICS - 4.9% FedEx Corporation 18,200 1,585,766 ---------- BIOTECHNOLOGY - 2.7% Amgen, Inc.* 10,800 860,436 ---------- BROADCASTING & CABLE TV - 2.4% Univision Communications, Inc.* 29,000 769,370 ---------- COMMUNICATIONS EQUIPMENT - 9.2% 3Com Corporation* 177,000 722,160 ADC Telecommunications, Inc.* 54,742 1,251,402 Cisco Systems, Inc.* 55,300 991,529 ---------- 2,965,091 ---------- CONSTRUCTION & ENGINEERING - 7.4% Shaw Group, Inc.* 96,500 2,379,690 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 3.5% First Data Corporation 28,500 1,140,000 ---------- ELECTRIC UTILITIES - 6.3% KFx, Inc.* 118,700 2,032,144 ---------- HEALTH CARE EQUIPMENT - 4.0% Medtronic, Inc. 23,900 1,281,518 ---------- HOME IMPROVEMENT RETAIL - 2.5% Home Depot, Inc. 21,200 808,568 ---------- HOTELS, RESORTS & CRUISE LINES - 4.2% Carnival Corporation 27,300 1,364,454 ---------- HYPERMARKETS & SUPERCENTERS - 3.1% Wal-Mart Stores, Inc. 22,900 1,003,478 ---------- INDUSTRIAL GASES - 4.2% Praxair, Inc. 28,400 1,361,212 ---------- MOVIES & ENTERTAINMENT - 3.7% Viacom, Inc. (Cl.B) 36,200 1,194,962 ---------- MULTI-LINE INSURANCE - 4.1% American International Group, Inc. 21,300 1,319,748 ---------- OIL & GAS EQUIPMENT & SERVICES - 7.6% BJ Services Company 68,000 2,447,320 ----------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Y (SELECT 25)
PRINCIPAL AMOUNT OR NUMBER MARKET OF SHARES VALUE --------- ----------- COMMON STOCKS (CONTINUED) OIL & GAS STORAGE & TRANSPORTATION - 8.3% Williams Companies, Inc. 106,500 $ 2,667,825 ----------- OTHER DIVERSIFIED FINANCIAL SERVICES - 4.1% Citigroup, Inc. 29,000 1,320,080 ----------- PHARMACEUTICALS - 4.0% Johnson & Johnson 20,600 1,303,568 ----------- SEMICONDUCTOR EQUIPMENT - 1.1% Mindspeed Technologies, Inc.* 145,000 349,450 ----------- SOFT DRINKS - 2.0% PepsiCo, Inc. 11,700 663,507 ----------- TRUCKING - 1.9% J.B. Hunt Transport Services, Inc. 32,500 617,825 ----------- TOTAL COMMON STOCKS (cost $24,295,379) 31,120,203 ----------- COMMERCIAL PAPER - 2.2% FINANCIAL - OTHER - 2.2% Countrywide Financial, 3.85%, 10-05-05 $700,000 699,701 ----------- TOTAL COMMERCIAL PAPER (cost $699,701) 699,701 ----------- REPURCHASE AGREEMENT - 1.0% United Missouri Bank, 3.42%, dated 09-30-05, matures 10-03-05; repurchase amount of $333,095 (Collateralized by FHLMC, 4.50% 04-15-25 with a value of $339,660) $333,000 333,000 ----------- TOTAL REPURCHASE AGREEMENT (cost $333,000) 333,000 ----------- TOTAL INVESTMENTS - 99.6% (cost $25,328,080) 32,152,904 CASH & OTHER ASSETS, LESS LIABILITIES - 0.4% 113,296 ----------- TOTAL NET ASSETS - 100.0% $32,266,200 ===========
The identified cost of investments owned at September 30, 2005 was the same for federal income tax and financial statement purposes. For federal income tax purposes, the net unrealized appreciation on investments amounted to $6,824,824 which consisted of $8,243,004 of aggregate gross unrealized appreciation, and $1,418,180 of aggregate gross unrealized depreciation. * Non-Income producing security. 2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Y (SELECT 25) SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Z (ALPHA OPPORTUNITY)
NUMBER OF MARKET SHARES VALUE --------- -------- COMMON STOCKS - 59.3% AEROSPACE & DEFENSE - 0.9% United Technologies Corporation 4,400 $228,096 -------- AGRICULTURAL PRODUCTS - 0.2% Archer-Daniels-Midland Company 2,300 56,718 -------- AIR FREIGHT & LOGISTICS - 0.3% UTI Worldwide, Inc. 1,100 85,470 -------- AIRLINES - 1.4% Continental Airlines, Inc. (Cl.B)* 12,000 115,920 Gol - Linhas Aereas Inteligentes S.A. ADR 1,600 51,920 Mesa Air Group, Inc.* 14,900 122,925 Southwest Airlines Company 4,600 68,310 -------- 359,075 -------- APPAREL RETAIL - 0.3% AnnTaylor Stores Corporation* 3,300 87,615 -------- APPAREL, ACCESSORIES & LUXURY GOODS - 0.3% Polo Ralph Lauren Corporation 1,600 80,480 Unifi, Inc.* 600 2,004 -------- 82,484 -------- APPLICATION SOFTWARE - 0.1% Ultimate Software Group, Inc.* 1,400 25,788 -------- ASSET MANAGEMENT & CUSTODY BANKS - 0.7% Affiliated Managers Group, Inc.* 2,400 173,808 -------- AUTOMOTIVE RETAIL - 1.5% CarMax, Inc.* 11,600 362,732 -------- BUILDING PRODUCTS - 1.6% American Standard Companies, Inc. 3,900 181,545 Armstrong Holdings, Inc.* 3,300 7,293 ElkCorp 1,700 60,809 Interline Brands, Inc.* 2,000 42,020 Simpson Manufacturing Company, Inc. 2,600 101,764 -------- 393,431 -------- CASINOS & GAMING - 0.0% Mikohn Gaming Corporation* 1,000 13,290 -------- COMMODITY CHEMICALS - 0.4% Lyondell Chemical Company 3,100 88,722 Valhi, Inc. 500 8,990 -------- 97,712 -------- COMMUNICATIONS EQUIPMENT - 0.3% Motorola, Inc. 3,500 77,315 -------- COMPUTER HARDWARE - 0.2% ENGlobal Corporation* 5,800 46,922 --------
1 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Z (ALPHA OPPORTUNITY)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING - 4.0% Chicago Bridge & Iron Company N.V. 2,600 $ 80,834 Fluor Corporation 6,400 412,032 Granite Construction, Inc. 3,700 141,488 Infrasource Services, Inc.* 4,100 59,655 Perini Corporation* 1,400 25,480 Shaw Group, Inc.* 900 22,194 URS Corporation* 6,100 246,379 ---------- 988,062 ---------- CONSTRUCTION & FARM MACHINERY - 6.4% Cascade Corporation 500 24,350 Caterpillar, Inc. 9,300 546,375 Federal Signal Corporation 3,800 64,942 JLG Industries, Inc. 2,300 84,157 Joy Global, Inc. 2,400 121,104 Lindsay Manufacturing Company 2,500 55,025 Manitowoc Company, Inc. 2,600 130,650 Terex Corporation* 6,200 306,466 Trinity Industries, Inc. 2,600 105,274 Wabtec Corporation 5,500 150,040 ---------- 1,588,383 ---------- CONSTRUCTION MATERIALS - 3.2% Cemex S.A. de C.V. ADR 1,400 73,220 Eagle Materials, Inc. 3,000 364,110 Texas Industries, Inc. 1,900 103,360 Vulcan Materials Company 3,500 259,735 ---------- 800,425 ---------- CONSUMER ELECTRONICS - 1.3% Harman International Industries, Inc. 3,200 327,264 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 0.8% Electronic Data Systems Corporation 8,800 197,472 ---------- DISTRIBUTORS - 0.3% Beacon Roofing Supply, Inc.* 2,000 65,340 ---------- DIVERSIFIED CHEMICALS - 0.6% BASF AG ADR 1,900 143,260 ---------- DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 0.9% Corrections Corporation of America* 3,700 146,890 Ritchie Brothers Auctioneers, Inc. 1,800 79,182 ---------- 226,072 ---------- DIVERSIFIED METALS & MINING - 1.0% Alumina, Ltd ADR 4,900 92,561 Apex Silver Mines, Ltd.* 1,900 29,849 Cameco Corporation 1,400 74,900 Stillwater Mining Company* 7,100 64,965 ---------- 262,275 ----------
2 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Z (ALPHA OPPORTUNITY)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) ELECTRICAL COMPONENTS & EQUIPMENT - 2.7% Cooper Industries, Ltd. 3,700 $255,818 General Cable Corporation* 3,000 50,400 Regal-Beloit Corporation 4,200 136,248 Roper Industries, Inc. 2,600 102,154 Thomas & Betts Corporation* 3,600 123,876 -------- 668,496 -------- ELECTRONIC EQUIPMENT MANUFACTURERS - 0.4% TDK Corporation 900 64,638 Tektronix, Inc. 1,100 27,753 -------- 92,391 -------- ELECTRONIC MANUFACTURING SERVICES - 0.0% Kemet Corporation* 1,600 13,408 -------- ENVIRONMENTAL & FACILITIES SERVICES - 0.4% Allied Waste Industries, Inc.* 8,900 75,205 TRC Companies, Inc.* 1,000 15,600 -------- 90,805 -------- EXCHANGE TRADED FUNDS - 2.1% iShares FTSE/Xinhua China 25 Index Fund* 3,500 224,770 iShares MSCI Hong Kong Index 5,100 69,258 iShares MSCI Singapore Index Fund 5,500 43,890 iShares S&P Europe 350 Index Fund 2,200 176,880 -------- 514,798 -------- FOOD DISTRIBUTORS - 0.1% Premium Standard Farms, Inc. 1,500 22,230 -------- FOOD RETAIL - 0.2% Kroger Company* 2,000 41,180 -------- FOREST PRODUCTS - 1.5% Louisiana-Pacific Corporation 1,100 30,459 Weyerhaeuser Company 5,000 343,750 -------- 374,209 -------- HEALTH CARE EQUIPMENT - 0.8% Foxhollow Technologies, Inc.* 4,100 195,201 -------- HEALTH CARE SERVICES - 0.1% Res-Care, Inc.* 1,500 23,085 -------- HOMEBUILDING - 0.1% Champion Enterprises, Inc.* 1,700 25,126 -------- HOTELS, RESORTS & CRUISE LINES - 0.4% Gaylord Entertainment Company* 2,200 104,830 --------
3 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Z (ALPHA OPPORTUNITY)
NUMBER OF MARKET SHARES VALUE --------- --------- COMMON STOCKS (CONTINUED) INDUSTRIAL CONGLOMERATES - 0.7% ABB, Ltd. ADR* 8,700 $ 64,032 Walter Industries, Inc. 2,300 112,516 --------- 176,548 --------- INDUSTRIAL MACHINERY - 3.1% Flowserve Corporation* 2,000 72,700 Graco, Inc. 1,800 61,704 Idex Corporation 1,300 55,315 Kennametal, Inc. 3,600 176,544 Lincoln Electric Holdings, Inc. 1,700 66,980 Portec Rail Products, Inc. 2,400 33,528 Tennant Company 4,800 196,704 Timken Company 2,000 59,260 Valmont Industries, Inc. 1,500 44,040 --------- 766,775 --------- INTEGRATED OIL & GAS - 0.4% Braskem S.A. ADR 4,500 93,240 --------- INVESTMENT BANKING & BROKERAGE - 0.1% Charles Schwab Corporation 1,700 24,531 --------- LIFE & HEALTH INSURANCE - 0.1% UnumProvident Corporation 900 18,450 --------- MARINE - 0.2% Kirby Corporation* 1,000 49,430 --------- OIL & GAS DRILLING - 1.0% Transocean, Inc.* 4,200 257,502 --------- OIL & GAS EQUIPMENT & SERVICES - 2.0% Schlumberger, Ltd. 5,900 497,842 --------- OTHER DIVERSIFIED FINANCIAL SERVICES - 0.3% Asset Acceptance Capital Corporation* 2,500 74,925 --------- PACKAGED FOODS & MEATS - 0.1% Gold Kist, Inc.* 1,300 25,415 --------- PAPER PACKAGING - 0.9% Temple-Inland, Inc. 5,700 232,845 --------- PAPER PRODUCTS - 0.5% Aracruz Cellulose S.A. ADR 2,300 93,334 Domtar, Inc. 3,400 21,828 --------- 115,162 --------- PHARMACEUTICALS - 0.3% PRA International* 2,300 69,713 ---------
4 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Z (ALPHA OPPORTUNITY)
NUMBER OF MARKET SHARES VALUE --------- ---------- COMMON STOCKS (CONTINUED) RAILROADS - 1.6% Genesee & Wyoming, Inc.* 11,700 $370,890 RailAmerica, Inc.* 1,900 22,610 ---------- 393,500 ---------- REAL ESTATE INVESTMENT TRUSTS - 1.1% Rayonier, Inc. 4,700 270,814 ---------- SEMICONDUCTOR EQUIPMENT - 0.1% Entegris, Inc.* 1,400 15,820 ---------- SEMICONDUCTORS - 2.3% Broadcom Corporation* 3,500 164,185 Texas Instruments, Inc. 12,000 406,800 ---------- 570,985 ---------- SPECIALTY CHEMICALS - 1.5% Chemtura Corporation 4,100 50,922 Sigma-Aldrich Corporation 4,900 313,894 ---------- 364,816 ---------- SPECIALTY STORES - 0.9% OfficeMax, Inc. 1,500 47,505 Tiffany & Company 4,200 167,034 ---------- 214,539 ---------- STEEL - 3.4% Gerdau Ameristeel Corporation 3,500 18,200 Metal Management, Inc. 6,300 159,705 NN, Inc. 7,753 92,959 Nucor Corporation 4,200 247,758 Roanoke Electric Steel Corporation 2,677 53,620 Schnitzer Steel Industries, Inc. 2,300 74,911 Steel Dynamics, Inc. 5,900 200,364 Universal Stainless & Alloy Products, Inc.* 600 10,080 ---------- 857,597 ---------- TECHNOLOGY DISTRIBUTORS - 0.4% Anixter International, Inc.* 1,000 40,330 Ingram Micro, Inc.* 3,200 59,328 ---------- 99,658 ---------- TRADING COMPANIES & DISTRIBUTORS - 2.5% GATX Corporation 9,500 375,725 Hughes Supply, Inc. 4,600 149,960 United Rentals, Inc.* 2,600 51,246 Watsco, Inc. 700 37,177 ---------- 614,108 ---------- WIRELESS TELECOMMUNICATION SERVICE - 0.3% SK Telecom Company, Ltd. ADR 3,000 65,520 ---------- TOTAL COMMON STOCKS (cost $14,532,168) 14,724,503 ----------
5 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Z (ALPHA OPPORTUNITY)
PRINCIPAL MARKET AMOUNT VALUE ---------- ----------- U.S. GOVERNMENT AGENCIES - 37.3% Federal Farm Credit Bank, 3.671%, 11-02-05(1) $ 225,000 $ 224,310 Federal Home Loan Bank: 3.57%, 10-26-05(1) 550,000 548,735 3.756%, 11-30-05(1) 400,000 397,628 3.666%, 12-09-05(1) 600,000 595,790 3.724%, 12-15-05(1) 170,000 168,700 3.87%, 12-28-05(1) 475,000 470,722 Federal Home Loan Mortgage Corporation: 3.488%, 10-11-05(1) 725,000 724,420 3.519%, 10-18-05(1) 1,865,000 1,862,203 3.622%, 11-01-05(1) 400,000 398,814 3.689%, 11-10-05(1) 100,000 99,612 3.716%, 11-22-05(1) 640,000 636,729 3.701%, 11-29-05(1) 239,000 237,607 3.80%, 12-20-05(1) 200,000 198,366 3.928%, 12-28-05(1) 336,000 332,974 Federal National Mortgage Association: 3.472%, 10-05-05(1) 250,000 249,950 3.508%, 10-12-05(1) 100,000 99,910 3.614%, 11-04-05(1) 200,000 199,346 3.696%, 11-16-05(1) 800,000 796,402 3.725%, 11-30-05(1) 525,000 521,887 3.663%, 12-07-05(1) 500,000 496,597 ----------- TOTAL U.S. GOVERNMENT SPONSORED AGENCIES (cost $9,259,624) 9,260,702 ----------- ASSET BACKED SECURITIES - 1.3% OTHER - 1.3% Credit-Based Asset Servicing & Securitization, 313,773 313,810 2005-CB2 AV1, 3.93% - 2036(1, 2) ----------- TOTAL ASSET BACKED SECURITIES (cost $313,773) 313,810 ----------- TOTAL INVESTMENTS - 97.9% (cost $24,105,565) 24,299,015 CASH & OTHER ASSETS, LESS LIABILITIES(1) - 2.1% 512,060 ----------- TOTAL NET ASSETS - 100.0% $24,811,075 ===========
For federal income tax purposes the indentified cost of investments owned at September 30, 2005 was $24,128,296. For federal income tax purposes, the net unrealized appreciation on investments amounted to $170,719, which consisted of $306,384 of aggregate gross unrealized appreciation and $135,665 of aggregate gross unrealized depreciation. * Non-income producing security ADR (American Depositary Receipt) plc (public limited company) (1) Security is segrated as collateral for open futures contracts. (2) Variable rate security. Rate indicated is rate effective at September 30, 2005. 6 SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) SERIES Z (ALPHA OPPORTUNITY) OPEN FUTURES CONTRACTS POSITION - S&P 500 INDEX FUTURES Long NUMBER OF CONTRACTS 33 EXPIRATION DATE 12/16/2005 CONTRACT AMOUNT $10,127,114 MARKET VALUE $10,182,975 UNREALIZED GAIN/LOSS $ 55,861
SECURITY VALUATION - Valuations of the Fund's securities are supplied by pricing services approved by the Board of Directors. The Fund's officers, under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services. Each security owned by a Fund that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. Where the security is listed on more than one exchange, the Fund will use the price of that exchange that it generally considers to be the principal exchange on which the stock is traded. Fund securities listed on the Nasdaq Stock Market, Inc. ("Nasdaq") will be valued at the Nasdaq Official Closing Price. Securities for which market quotations are not readily available are valued by a pricing service considering securities with similar yields, quality, type of issue, coupon, duration and rating. If there is no bid price or if the bid price is deemed to be unsatisfactory by the Board of Directors or by the Fund's investment manager, then the securities are valued in good faith by such method as the Board of Directors determines will reflect the fair value. If events occur that will affect the value of a fund's portfolio securities before the NAV has been calculated (a "significant event"), the security will generally be priced using a fair value procedure. If the Valuation Committee determines a significant event has occurred, it will evaluate the impact of that event on an affected security or securities, to determine whether a fair value adjustment would materially affect the fund's NAV per share. Some of the factors which may be considered by the Board of Directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. The Fund generally will value short-term debt securities at prices based on market quotations for such securities or securities of similar type, yield, quality and duration, except those securities purchased with 60 days or less to maturity are valued on the basis of amortized cost which approximates market value. Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange. The values of foreign securities are determined as of the close of such foreign markets or the close of the New York Stock Exchange, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS. In addition, the Board of Directors has authorized the Valuation Committee and Administrator to use prices and other information supplied by IDC's Fair Value Information Service in valuing such securities. Since foreign securities may be denominated in a foreign currency and involve settlement and pay interest or foreign dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Series to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. Please refer to the Fund's most recent semi-annual or annual financial statements for information regarding the Fund's significant accounting policies. 7 ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's President and Treasurer 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 effective based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-Q. (b) There were no significant changes in the registrant's internal controls, or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 3. EXHIBITS. (a) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached hereto. 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. SBL FUND By: Michael G. Odlum ------------------------------------ Michael G. Odlum, President Date: November 28, 2005 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: Michael G. Odlum ------------------------------------ Michael G. Odlum, President Date: November 28, 2005 By: Brenda M. Harwood ------------------------------------ Brenda M. Harwood, Treasurer Date: November 28, 2005 EX-99.CERT 2 c00280exv99wcert.txt CERTIFICATIONS CERTIFICATIONS I, Michael G. Odlum, certify that: 1. I have reviewed this report on Form N-Q of SBL Fund; 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) 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 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; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. November 28, 2005 Michael G. Odlum Date ---------------------------------------- Michael G. Odlum, President CERTIFICATIONS I, Brenda M. Harwood, certify that: 1. I have reviewed this report on Form N-Q of SBL Fund; 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) 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 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; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. November 28, 2005 Brenda M. Harwood Date ---------------------------------------- Brenda M. Harwood, Treasurer -----END PRIVACY-ENHANCED MESSAGE-----