UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-03623
Exact name of registrant as specified in charter:	The Prudential Series Fund
Address of principal executive offices:	Gateway Center 3,
	100 Mulberry Street,
	Newark, New Jersey 07102
Name and address of agent for service:	Deborah A. Docs
	Gateway Center 3,
	100 Mulberry Street,
	Newark, New Jersey 07102
Registrant’s telephone number, including area code:	973-367-7521
Date of fiscal year end:	12/31/2011
Date of reporting period:	12/31/2011

Item 1 – Reports to Stockholders

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT Ÿ DECEMBER 31, 2011

This report is one of several that provides financial information about certain investment choices available under variable life insurance and variable annuity contracts. Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable life insurance or variable annuity contract prospectus to determine which portfolios are available to you.

Please note that this document may include prospectus supplements that are separate from and not a part of the annual report.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life or annuity contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable annuity contracts should call (888)778-2888, and owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone numbers referenced above, for variable annuity and variable life insurance contract owners.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (888)778-2888.

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.

The Prudential Series Fund Table of Contents Annual Report December 31, 2011

n LETTER TO CONTRACT OWNERS

n MANAGEMENT REVIEW

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
	Conservative Balanced Portfolio	A1
	Diversified Bond Portfolio	A28
	Equity Portfolio	A55
	Flexible Managed Portfolio	A59
	Global Portfolio	A85
	Government Income Portfolio	A93
	High Yield Bond Portfolio	A100
	Jennison Portfolio	A117
	Money Market Portfolio	A121
	Natural Resources Portfolio	A126
	Small Capitalization Stock Portfolio	A131
	Stock Index Portfolio	A142
	Value Portfolio	A151
Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.

The Prudential Series Fund Letter to Contract Owners Annual Report December 31, 2011

n DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

Stephen Pelletier

President,

The Prudential Series Fund January 31, 2012

PRESIDENT

STEPHEN PELLETIER

The Prudential Series Fund, Conservative Balanced Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		4.60	%		3.19	%		4.55	%
Blended Index		4.47			3.02			4.30
S&P 500 Index		2.09			-0.25			2.92

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the Conservative Balanced Portfolio returned 4.60%.

The Portfolio’s investment objective is total investment return consistent with a conservatively managed, diversified portfolio. It invests in stocks, equity-related securities, debt obligations, and money market instruments. The Portfolio is subadvised by Prudential Investment Management, Inc. and Quantitative Management Associates LLC.

The Portfolio’s gain for the year reflected slightly positive equity returns and solid fixed income returns. The Portfolio marginally outperformed the 4.47% return of its benchmark, the Blended Index (defined below). The Portfolio benefited from tactical asset allocation positioning in which it had a larger exposure to stocks than its guideline weight of 50% early in 2011 as the equity market rose. A strategic retreat from equities in May, as stocks pulled back, and a more aggressive stance toward year-end after stocks again rallied, helped performance. The Portfolio uses equity futures contracts to enhance liquidity, and a well-timed purchase of equity futures made a small positive contribution to its performance in 2011.

The U.S. equity market gained early in the period, reaching a peak for the year in April, as measured by the S&P 500 Index. Stocks then declined for five consecutive months due to investor anxiety over the global economic outlook and a worsening sovereign-debt crisis in the euro zone. Yet signs of improving economic conditions in the United States and renewed hopes for a solution to the euro zone turmoil sent stock prices higher in the fourth quarter, enabling the S&P 500 Index to deliver a modest gain for the year including dividends.

In the U.S. bond market, all sectors ended 2011 in the black, although the year was marked by sharp shifts in investor willingness to assume risk. An upbeat first quarter in which risky debt securities performed well gave way to a summer of anxiety that reflected concerns over the global economic outlook and the euro zone crisis. This fueled heavy investor demand for safe haven assets, particularly U.S. Treasury securities. Meanwhile, after efforts to stabilize the U.S. government debt trajectory failed, Standard & Poor’s lowered the long-term U.S. credit rating to AA+ from AAA in August.

Despite the rating cut, investors continued to flee to Treasury securities, driving Treasury yields lower and Treasury prices higher, as bond prices move inversely to yields. The Federal Reserve (the Fed) also tried to apply downward pressure on rates to boost economic growth. For example, it began to sell shorter-term Treasury securities and buy their longer-term counterparts in October. Fed action, coupled with continued strong investor demand for safe haven assets, ultimately helped push Treasury yields back down during the fourth quarter, even as better economic conditions in the United States and renewed hopes for a solution to the euro zone crisis stoked investor appetite for risky assets.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

Blended Index consists of S&P 500 Index (50%), Barclays Capital U.S. Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

Prudential Investment Management, Inc., and Quantitative Management Associates LLC are registered investment advisors and Prudential Financial companies.

The Prudential Series Fund, Diversified Bond Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		7.51	%		7.89	%		6.77	%
Barclays Capital U.S. Aggregate Bond Index		7.84			6.50			5.78

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the Diversified Bond Portfolio returned 7.51%.

The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital. The subadviser for the Portfolio is Prudential Investment Management, Inc.

The Portfolio’s gain reflected a favorable environment for investing in bonds. However, the U.S. fixed income market endured sharp shifts in investor willingness to assume risk that largely occurred due to developments in Europe and the United States. Risky debt securities, particularly high yield corporate bonds commonly known as “junk” bonds, performed well for the first quarter, but they soon fell out of favor. An upbeat start to the second quarter gave way to increasing anxiety that turned into a panic in the third quarter, which favored U.S. Treasury securities. This occurred as a prolonged sovereign-debt crisis in the euro zone worsened. In the United States, economic data turned soft. Also a battle over the national budget and debt ceiling produced insufficient savings to stabilize the government debt trajectory. Consequently, Standard & Poor’s lowered the long-term U.S. credit rating to AA+ from AAA in August.

Despite the rating cut, investors continued to flee to the relative safety of Treasury securities, driving Treasury yields lower and Treasury prices higher, as bond prices move inversely to yields. The Federal Reserve also tried to put downward pressure on rates to boost economic growth. For example, it began “Operation Twist” in October in which it sold short-term Treasury securities and purchased their long-term counterparts. Its purchases, along with continued strong investor demand for safe-haven assets, ultimately helped push Treasury yields back down to generational lows late in the year, even as improving economic conditions and renewed hope for a resolution to the euro zone crisis stoked investor appetite for risky assets. All sectors of the U.S. fixed income market finished the year in the black.

The Portfolio slightly lagged its benchmark, the Barclays Capital U.S. Aggregate Bond Index (the Index), which returned 7.84%. It utilized Treasury futures contracts to help position its duration in the U.S. Treasury market longer than that of the Index. Duration measures the approximate price volatility of a bond portfolio for a given change in interest rates and is expressed in years. A longer duration enabled the Portfolio to derive greater benefit as falling rates drove prices of Treasury securities higher. However, tactical bond trading had a net negative impact overall on the Portfolio’s return for the year.

The net impact of its foreign exchange strategy was slightly negative for the year. Compared to the Index, it had an underweight exposure to the U.S. dollar during the third and fourth quarters of 2011 that detracted from its return, as did a non-benchmark exposure to the euro during the final two quarters of the year.

The combined impact of sector allocation and security selection was a net positive overall for the Portfolio’s return in 2011. At the sector-specific level, however, the impact was mixed. The combined effect of sector allocation and security selection in high yield corporate bonds and commercial mortgage-backed securities added to the Portfolio’s return. But, in mortgage-backed securities and emerging market bonds, it detracted from results.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

Barclays Capital U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Equity Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		-3.47	%		0.18	%		3.59	%
Portfolio: Class II		-3.87			-0.22			3.18
Russell 1000® Index		1.50			-0.02			3.34
S&P 500 Index		2.09			-0.25			2.92

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS¹

The Russell 1000^® Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

For the year ended December 31, 2011, the Equity Portfolio Class I shares declined 3.47% and Class II shares declined 3.87%.

The Portfolio’s investment objective is long-term growth of capital. The Portfolio is subadvised by Jennison Associates LLC (Jennison).

After reaching a high in April, U.S. equity markets declined for five consecutive months. But double-digit performance in the fourth quarter drove the S&P 500 Index to a 2.09% gain. Seven out of 10 S&P 500 sectors advanced, although industrials, materials, and financials declined. The Russell 1000^® Index (the Index) returned 1.50% for the year, as seven out of the 10 major sectors in the Index also advanced. The exceptions were financials, materials, and industrials. There was, however, significant disparity among sector performance, with utilities climbing nearly 19.0% and financials losing 17.0%.

The Portfolio posted a loss and underperformed the Index largely because of stock selection, most particularly in energy, consumer discretionary, and materials.

Financials and materials sector holdings ranked among the most notable detractors for the year. Concerns about potential litigation against Goldman Sachs related to allegations it misled clients by not disclosing its proprietary interest in certain collateralized debt transactions weighed on its share price. More recently, an unexpectedly large loss in its Investing and Lending Segment and S&P’s downgrade of Goldman’s credit rating caused investor unease. Jennison continues to view Goldman as best in class and, at its current valuation, Jennison believes it offers a compelling risk/reward opportunity amid a lackluster financial market landscape.

A strengthening dollar hurt gold mining stocks in general especially toward the end of the period; Freeport-McMoRan Copper and Gold and Kinross Gold declined in tandem. Jennison continues to like Freeport for its strong management team that has executed well throughout the ups and downs of volatile commodity markets. Jennison likes Kinross for its diverse production base.

Another noteworthy detractor, telecommunications services firm NII Holdings, suffered outsized losses primarily stemming from fears of increasing competition in Brazil, one of its key markets, and ambiguity around its 3G rollout. While Jennison is following recent competitive developments closely, it continues to believe NII has strong long-term growth prospects and very capable management.

Information technology dominated the Portfolio’s key contributors for the year. MasterCard’s revenues and earnings during the reporting period often exceeded consensus forecasts. The company received an additional boost mid-year when the U.S. Federal Reserve decided to limit debit-transaction fees charged by banks less onerously than had been feared. Apple’s financial results beat consensus projections owing in large part to strong sales of iPhones, iPads, and Mac personal computers. IBM climbed on better-than-expected revenue and earnings, including growth across global geographies, and strong cash flow.

Strong gains in healthcare holdings Pfizer and Shire also made noteworthy contributions.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

¹  The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares.

Russell 1000^® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

Jennison Associates LLC is a registered investment advisor and a Prudential Financial company.

The Prudential Series Fund, Flexible Managed Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		4.34	%		2.31	%		4.59	%
Blended Index		4.28			2.58			4.20
S&P 500 Index		2.09			-0.25			2.92

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the Flexible Managed Portfolio returned 4.34%.

The Portfolio’s investment objective is total return consistent with an aggressively managed, diversified portfolio. It invests in stocks, equity-related securities, debt obligations, and money market obligations. The Portfolio is subadvised by Prudential Investment Management, Inc. and Quantitative Management Associates LLC.

The Portfolio’s gain for the year reflected slightly positive equity returns and solid fixed income returns. The Portfolio marginally outperformed the 4.28% return of its benchmark, the Blended Index (described below). It benefited from tactical asset allocation positioning in which it had a larger exposure to stocks than its 60% guideline weight for about the first 4.5 months of 2011. A strategic retreat from equities in mid-year was another positive as stocks pulled back. Also, the Portfolio used equity futures contracts to manage liquidity, and a well-timed purchase of equity futures made a small positive contribution to its performance in 2011.

The U.S. equity market gained early in the period, reaching a peak for the year in April, as measured by the S&P 500 Index. Stocks then declined for five consecutive months due to investor anxiety over the global economic outlook and a worsening sovereign-debt crisis in the euro zone. Yet signs of improving economic conditions in the United States and renewed hopes for a solution to the euro zone turmoil sent stock prices higher in the fourth quarter, enabling the S&P 500 Index to deliver a modest gain for the year including dividends.

In the U.S. bond market, all sectors ended 2011 in the black, although the year was marked by sharp shifts in investor willingness to assume risk. An upbeat first quarter in which risky debt securities performed well gave way to a summer of anxiety that reflected concerns over the global economic outlook and the euro zone crisis. This fueled heavy investor demand for safe haven assets, particularly U.S. Treasury securities. Meanwhile, after efforts to stabilize the U.S. government debt trajectory failed, Standard & Poor’s lowered the long-term U.S. credit rating to AA+ from AAA in August.

Despite the rating cut, investors continued to flee to Treasury securities, driving Treasury yields lower and Treasury prices higher, as bond prices move inversely to yields. The Federal Reserve (the Fed) also tried to apply downward pressure on rates to boost economic growth. For example, it began to sell shorter-term Treasury securities and buy their longer-term counterparts in October. Fed action, coupled with continued strong investor demand for safe haven assets, ultimately helped push Treasury yields back down during the fourth quarter, even as better economic conditions in the United States and renewed hopes for a solution to the euro zone crisis stoked investor appetite for risky assets.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

Blended Index consists of S&P 500 Index (60%), Barclays Capital U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Global Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		-6.97	%		-2.77	%		2.87	%
MSCI World Index (GD)		-5.02			-1.82			4.15

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the Global Portfolio declined by 6.97%.

The investment objective of the Portfolio is long-term growth of capital. The Portfolio is co-managed by four subadvisers: Marsico Capital Management, LLC (U.S. growth stocks), T. Rowe Price Associates, Inc. (U.S. value stocks), William Blair & Company LLC (international growth stocks), and LSV Asset Management (international value stocks). The Portfolio seeks long-term growth of capital by investing in stocks, with about half of its assets invested in companies in the United States and half in companies located abroad.

The Portfolio underperformed its benchmark, the MSCI World Index during the period, largely due to the underperformance of the segments managed by Marsico Capital Management and T. Rowe Price Associates.

Marsico’s large cap segment lagged behind the Russell 1000 Growth Index largely due to the underperformance of positions in the financial services and energy sectors. Within financials, the top detractors were Citigroup, Goldman Sachs, PNC Financial, and Itau Unibanco. Within energy the top detractors were an overweight to Schlumberger and not owning Exxon Mobil, which is held in the Russell 1000 Growth Index. These outweighed the positive impact of the manager’s stock selection in the consumer discretionary sector, where a position in Starbucks contributed meaningfully to results.

T. Rowe Price’s segment underperformed the Russell 1000 Value Index due to negative stock selection in a number of sectors including utilities, consumer staples, telecommunications services, and healthcare. Conversely, the portfolio benefited from an underweight to the bottom-performing financial services sector.

Both of the international subadvisers, William Blair and LSV, outperformed the MSCI EAFE Index during the period. William Blair benefited from strong security selection in the consumer discretionary and financials sectors, while LSV modestly outperformed the index target due to strong stock selection within financial services and overweighting the telecommunications services, sector, which fell significantly less than the overall international market.

The use of derivative instruments is not a principal strategy of the four subadvisers with regard to the Portfolio. The types of derivatives employed most often are equity futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of currency exposure in the Portfolio). Currency hedging in the segment managed by William Blair had a modestly positive impact on performance during 2011.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

MSCI World Index (GD) - The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Government Income Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		7.63	%		6.46	%		5.58	%
Barclays Capital Government Bond Index		7.69			6.42			5.59

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the Government Income Portfolio returned 7.63%.

The investment objective of the Portfolio is a high level of income over a longer term while providing reasonable safety of capital. The Portfolio subadviser is Prudential Investment Management, Inc.

The Portfolio gained in what proved to be a favorable year for U.S. government securities as well as the remainder of the U.S. fixed income market. However, the market endured sharp shifts in investor willingness to assume risk that occurred largely due to developments in Europe and the United States. Risky debt securities performed well for the first quarter, but they soon fell out of favor. An upbeat start to the second quarter gave way to increasing anxiety that turned into a panic in the third quarter, which heavily favored U.S. Treasury securities.

This flight to quality occurred as a prolonged sovereign-debt crisis in the euro zone went from bad to worse, threatening financial stability in the region, in spite of efforts by European policymakers to improve government finances. In the United States, economic data turned decidedly soft. Also a battle over the national budget and debt ceiling produced insufficient savings to stabilize the government debt trajectory. Consequently, Standard & Poor’s lowered the long-term U.S. credit rating to AA+ from AAA in August.

Despite the rating cut, investors continued to flee from risky assets to the relative safety of Treasury securities, driving Treasury yields sharply lower and Treasury prices higher, as bond prices move inversely to yields. The Federal Reserve (the Fed) also tried to keep downward pressure on rates to boost economic growth. For example, it began “Operation Twist” in October in which it sold short-term Treasury securities and purchased their long-term counterparts. Its purchases, along with continued strong investor demand for safe-haven assets, ultimately helped push Treasury yields back down towards generational lows late in the year, even as improving economic conditions and renewed hope for a resolution to the euro zone crisis stoked investor appetite for risky assets. All sectors of the U.S. fixed income market finished the year in the black.

The largest contributor to the Portfolio’s performance was favorable security selection, particularly among commercial mortgage-backed securities (CMBS) and Treasury securities. Selection in the CMBS sector had a net positive impact, even as a bias in favor of higher-quality CMBS, which helped performance in the third quarter, detracted in the fourth quarter as the sector rallied broadly late in the year. Favorable selection among residential mortgage-backed securities of federal agencies was also a positive for the Portfolio.

The Portfolio used interest-rate swaps and futures contracts to position its duration, a measure of the approximate price volatility of a bond portfolio for a given change in interest rates. The Portfolio’s duration strategy enabled it to benefit moderately as declining bond yields pushed bond prices higher.

During the year, long-term bond yields declined considerably more than short-term bond yields, causing the slope of the Treasury yield curve to flatten. (A yield curve shows the relationship between yields on bonds from the shortest to the longest maturities.) The Portfolio was positioned to benefit from the flattening in the Treasury yield curve.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

Barclays Capital Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the U.S. Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, High Yield Bond Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		5.10	%		7.07	%		8.43	%
Barclays Capital U.S. High Yield 1% Issuer Capped Index		4.98			7.66			9.01

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the High Yield Bond Portfolio returned 5.10%.

The Portfolio’s objective is high total return. The Portfolio subadviser is Prudential Investment Management, Inc.

The Portfolio delivered a gain as nearly all sectors and industries in the U.S. high yield bond arena ended the year in positive territory. High yield bonds benefited from the generally solid credit metrics of companies that issue below investment-grade debt securities, which are commonly called “junk” bonds. Yet high yield bonds and the remainder of the U.S. fixed income market endured sharp shifts in investor willingness to assume risk that were largely driven by developments in Europe and the United States.

High yield bonds performed well in the first quarter as companies reported stronger earnings and many reduced their interest expenses by issuing new high yield bonds with lower rates to refinance existing bonds. The second quarter also began on an upbeat note but soon gave way to investor anxiety that grew increasingly worse during the third quarter. Risk-averse investors fled high yield bonds, driving their prices sharply lower, while prices of ultra-conservative U.S. Treasury securities soared.

The flight to quality occurred as a prolonged sovereign-debt crisis in the euro zone went from bad to worse, threatening financial stability in the region in spite of efforts by European policymakers to improve government finances. In the fourth quarter, however, high yield bond prices began to rebound, as improving economic conditions in the United States and renewed hope for a resolution to the European financial crisis stoked investor appetite for risky assets.

The Portfolio outperformed its benchmark, the Barclays Capital U.S. High Yield 1% Issuer Capped Index (the Index), which returned 4.98% for the year. The Portfolio benefited from strong security selection in the single-B and CCC rating categories of the high yield bond market. Generally, favorable security selection in the metals, capital goods, and media and entertainment industries were the largest drivers of the Portfolio’s performance. But the positive impact was partially offset by poor security selection in the telecommunications industry.

Several holdings materially affected performance. The Portfolio benefited from having larger exposures than the Index to Royalty Pharma AG and HCA, two health care/pharmaceutical companies whose bonds performed well. Also, underweight exposures to Royal Bank of Scotland and Residential Capital aided its performance versus the Index as the euro zone crisis negatively affected the financial sector. However, its overweight positions in Wind Telecom, Hexion LLC, and Alliance Healthcare detracted from performance.

As for sector allocation positioning, the Portfolio benefited from having smaller exposures than the Index to the airline industry and to building materials and construction. Overweight exposures to technology and healthcare were also positives for the Portfolio.

The Portfolio held cash equivalent securities that could be easily sold in order to satisfy shareholder liquidity needs. However, holding these very short-term, low-rate securities detracted from the Portfolio’s performance in a year during which high yield bonds posted mid single-digit returns.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

Barclays Capital U.S. High Yield 1% Issuer Capped Index is an unmanaged index that covers the universe of U.S. dollar denominated, non-convertible, fixed-rate, non-investment-grade debt. Issuers are capped at 1% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Jennison Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		0.30	%		2.44	%		2.64	%
Portfolio: Class II		-0.09			2.04			2.22
Russell 1000® Growth Index		2.64			2.50			2.60
S&P 500 Index		2.09			-0.25			2.92

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS¹

The Russell 1000^® Growth Index is a trademark/service of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

For the year ended December 31, 2011, the Jennison Portfolio Class I shares returned 0.30% and Class II shares declined by 0.09%.

The investment objective of the Portfolio is long-term growth of capital. The Portfolio is built from the bottom up, with stocks selected one at a time, based on fundamental analysis of individual companies. The Portfolio’s subadviser is Jennison Associates LLC (Jennison).

Consumer staples holdings generated the Portfolio’s largest returns, although an underweight position in the sector hurt performance relative to the benchmark. Natural foods retailer Whole Foods Market climbed on strong sales trends and market share gains. Estee Lauder’s strong revenue and earnings were fueled by successful new product launches and increased market penetration, particularly in emerging markets.

An overweight position in consumer discretionary worked well, but stock selection in the sector detracted from relative return, as Marriott International’s decline moderated Starbuck’s strong advance. Marriott, one of the world’s leading hoteliers, was hit by concerns that it would be hurt by anemic economic growth. Starbucks benefited from strong domestic and international growth and enthusiasm about its expanded presence in the premium single-cup coffee market.

Stock selection was detrimental in energy, financials, and healthcare. In energy, oil services company Schlumberger was adversely affected by falling energy prices. It continues to develop new products and technologies, providing dominant market share in what Jennison views as important long-term growth markets. In the financials sector, Goldman Sachs’ decline reflected concerns about potential litigation against the company related to allegations it misled clients by not disclosing its proprietary interest in certain collateralized debt transactions. In healthcare, Illumina was hurt by purchasing delays caused by research funding concerns. It develops genotyping, next-generation sequencing, and gene-expression tools to isolate and analyze genetic information. The commercialization of gene-based medicine is still in its early stages, and the opportunity for growth in Illumina’s core business should remain strong despite near-term headwinds.

Stock selection benefited relative return in industrials, where Precision Castparts rose on an improved outlook for its industrial gas turbine operations and solid growth in its investment in cast products and forged products aerospace business.

Several information technology holdings posted substantial gains. MasterCard’s revenues and earnings exceeded consensus forecasts; the company received an additional boost when the Federal Reserve limited debit-transaction fees charged by banks less onerously than had been feared. Apple’s financial results beat consensus forecasts, as sales of iPhones and iPads continued to impress. Detractors of note in the information technology sector included internet protocol routing company Juniper Networks, which was hurt by a deteriorating economy. NetApp’s earnings were in line with consensus projections, but revenues were shy of estimates, and sales guidance came in below consensus forecasts.

The Portfolio no longer holds a position in Marriott International.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

¹  The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares.

Russell 1000 Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Money Market Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	7-Day* Current Net Yield			1-Year			5-Year			10-Year
Portfolio		0.02	%		0.02	%		1.61	%		1.90	%
Lipper (VIP) Money Market Funds Avg.		N/A			-0.03			1.42			1.72

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

7-DAY CURRENT NET YIELD*

For the year ended December 31, 2011, the Money Market Portfolio returned 0.02%.

The Portfolio performed in line with the return of the Lipper (VIP) Money Market Funds Average in 2011. On December 27, 2011, the Portfolio’s seven-day current yield was 0.02%, compared with 0.02% on December 28, 2010.

The Portfolio’s investment objective is to seek maximum income, stability of capital, and maintenance of liquidity through investment in high quality, short-term debt instruments. The Portfolio is subadvised by Prudential Fixed Income, a unit of Prudential Investment Management, Inc.

The seven-day current yield and total return of the Portfolio remained slightly above zero throughout the period. Yields on all money market funds in the United States were at historically low levels as the Federal Reserve (the Fed) kept its target for the federal funds rate between zero and a quarter percentage point in an effort to help stimulate economic growth in the United States. Moreover, Fed policymakers signaled in August their intent to keep short-term rates near zero at least through mid-2013. (Shortly after the reporting period ended, the Fed announced it expects economic conditions will likely warrant that the federal funds rate remains at exceptionally low levels through at least late 2014.)

The investment environment was largely dominated by growing concerns about an ongoing sovereign-debt crisis in the euro zone rather than developments in the United States, where the economy began to show modest signs of improvement late in the year. Despite repeated efforts, the European Union, European Central Bank, and International Monetary Fund failed to come up with a viable solution to the euro zone crisis, which worsened during the summer of 2011.

The Portfolio adopted an increasingly conservative investment strategy, especially as it pertained to European banks, in which it largely limited its purchases to money market securities that matured in three months or less. It boosted its participation in very short-term transactions known as repurchase agreements, which are collateralized by U.S. Treasury securities or federal agency securities. It also increased its outright purchases of U.S. government securities. Standard & Poor’s affirmed the short-term credit rating of the United States at A-1+ but it downgraded the nation’s long-term rating to AA+ from AAA in August. This occurred after a battle over the budget and debt ceiling produced insufficient savings to stabilize the government debt trajectory.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

* Source: iMoneyNet, Inc. based on 311 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/27/2011.

The Lipper Variable Insurance Products (VIP) Funds Average is calculated by Lipper Analytical Services, Inc., and reflects the investment return of certain portfolios underlying variable life and annuity products. These returns are net of investment fees and fund expenses, but not product charges. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.

An investment in a Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Portfolio.

The Prudential Series Fund, Natural Resources Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year			Since Inception
Portfolio: Class I		-19.03	%		5.05	%		17.56	%		N/A
Portfolio: Class II		-19.35			4.63			N/A			13.27	%
Lipper (VUF) Natural Resources Funds Index		-13.07			2.14			N/A			9.57
S&P 500 Index		2.09			-0.25			2.92			3.40

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio (Class II) inception: 4/28/2005. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II). Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2011, the Natural Resources Portfolio Class I shares declined by 19.03% and Class II shares declined by 19.35%.

The Portfolio’s subadviser is Jennison Associates LLC (Jennison). The Portfolio’s investment objective is long-term growth of capital.

The Portfolio underperformed the broad market indexes as well the Lipper (VUF) Natural Resources Fund Index (Index), which declined by 13.07%. After reaching a high in April, U.S. equity markets declined for five consecutive months. But double-digit performance in the fourth quarter drove the S&P 500 Index to a 2.09% gain. Seven out of 10 S&P 500 sectors advanced, although industrials, materials, and financials declined.

Much of the Portfolio’s underperformance relative to the broader market reflected the year’s extraordinary commodity price volatility, largely attributable to investor anxiety over the global economic outlook. Performance relative to the Index was hurt by a stock allocation away from the more defensive, large-cap integrated oil and gas producers and a greater weighting in the materials sector.

Among the Portfolio’s detractors for the period, energy sector holdings outnumbered materials sector detractors. Two of the Portfolio’s energy exploration and production (E&P) holdings suffered from unexpected reserve problems. Pacific Rubiales, a Canada-based developer of heavy crude oil and natural gas in Colombia and Peru, faced challenges after disappointing drilling results in the spring. Shares of OGXPetroleo e Gas Participacoes, Brazil’s largest independent E&P Company, suffered as the company fell short of expectations. Nevertheless, Jennison believes the company is on the verge of a multi-year growth trajectory that is currently underappreciated. Alpha Natural Resources, another E&P detractor, experienced merger integration problems from its acquisition of coal-mining giant Massy Energy.

Falling metals prices and a strengthening dollar hurt metals and mining stocks in general, especially toward the end of the period. Freeport-McMoRan Copper & Gold declined in tandem. Jennison continues to like Freeport for its strong management team that has executed well through volatile commodity markets.

Energy names dominated the year’s key contributors, which included E&P names, such as Cabot Oil & Gas and Noble Energy, as well as Petrohawk Energy, a U.S.-based independent natural gas producer acquired for a significant premium by Anglo-Australian mining giant BHP Billiton. Jennison believes Cabot Oil & Gas has a high-quality asset base and further upside potential from its Marcellus Shale holdings. Independent oil and gas company Noble Energy is now the largest natural gas producer in Israel, in addition to onshore U.S. operations and deepwater development projects around the world. Jennison sees Noble as a multi-year growth story with strong prospects.

Randgold Resources, a gold producer, was the only non-energy name among the year’s noteworthy contributors. Jennison regards the company’s successful weathering of a coup in the Ivory Coast as evidence of its solid management.

The Portfolio no longer holds a position in Petrohawk Energy.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

¹  The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares.

The Lipper Variable Underlying Funds (VUF) Natural Resources Funds Index is calculated by Lipper Analytical Services, Inc. and consists of an equal dollar-weighted composite of the 10 largest funds in the Lipper VUF Natural Resources Fund classification. The index is rebalanced quarterly. Natural Resources Funds are deemed as funds that invest primarily in the equity securities of domestic and foreign companies engaged in natural resources. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns are net of investment fees and fund expenses, but not product charges. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Small Capitalization Stock Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		0.56	%		1.69	%		6.74	%
S&P SmallCap 600 Index		1.02			1.94			7.09

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the Small Capitalization Stock Portfolio returned 0.56%.

The Portfolio’s investment objective is long-term growth of capital. Quantitative Management Associates LLC (QMA) manages the Portfolio, which is an index fund that uses a risk-controlled quantitative approach that seeks to effectively track the performance of its benchmark, the S&P SmallCap 600 Index (the Index). The Index, and therefore the Portfolio, invests in small capitalization stocks which are more volatile than those of large, well-established companies.

The Portfolio’s nearly flat return for 2011, which slightly underperformed the Index, reflected the challenging environment for investing in stocks. The broad U.S. equity market gained early in the period, reaching a peak for the year in April, as measured by the S&P 500 Index. Stocks then declined for five consecutive months due to investor anxiety over the global economic outlook and a worsening sovereign-debt crisis in the euro zone. Yet signs of improving economic conditions in the United States and renewed hopes for a solution to the euro zone turmoil sent stock prices higher in the fourth quarter, enabling the S&P 500 Index to deliver a modest gain for the year including dividends.

In a year marked by economic and political uncertainty, risk-averse investors generally eschewed small- and mid-cap companies for large, well-established companies with strong capital positions, attractive dividend streams, and earnings growth. When stocks surged in the fourth quarter, small-cap stocks led the way. However, for the 12-month period, small-cap stocks underperformed large-caps but outperformed mid-cap stocks, according to the S&P family of indexes.

During the year, the Portfolio had a small exposure to derivative instruments to enhance its liquidity, but the position did not have a material impact on its performance.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Stock Index Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		1.95	%		-0.48	%		2.65	%
S&P 500 Index		2.09			-0.25			2.92

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the Stock Index Portfolio returned 1.95%.

The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly-traded common stocks. Quantitative Management Associates, LLC (QMA) manages the Portfolio, which is an index fund that uses a risk-controlled quantitative approach that seeks to effectively track the performance of its benchmark, the S&P 500 Index. While Prudential is one of the components of the S&P 500, the Portfolio cannot hold shares of Prudential Financial, Inc. because of compliance restrictions.

Potential tracking error differences, brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the S&P 500 Index. It underperformed the S&P 500 Index by a modest amount in 2011.

The U.S. equity market gained early in the period, reaching a peak for the year in April, as measured by the S&P 500 Index. Stocks then declined for five consecutive months due to investor anxiety over the global economic outlook and a worsening sovereign-debt crisis in the euro zone. Yet signs of improving economic conditions in the United States and renewed hopes for a solution to the euro zone turmoil sent stock prices higher in the fourth quarter, enabling the S&P 500 Index to deliver a modest gain for the year including dividends.

In the flight to safety that ensued in 2011, investors favored larger companies with strong capital positions, attractive dividend streams, and continued earnings growth. This preference helped the S&P 500 Index achieve a positive return despite global financial market turbulence. Within the S&P 500 Index, less economically sensitive sectors, including utilities, consumer staples, and healthcare enjoyed double-digit returns. The more economically sensitive sectors, including financials and materials, were the weakest performing with double-digit losses.

The Portfolio uses derivative instruments, though not as a principal investment strategy. It had a small position in futures contracts on the S&P 500 Index to enhance the liquidity of the Portfolio. This exposure did not have a material impact on its performance.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Value Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		-5.58	%		-1.90	%		3.98	%
Portfolio: Class II		-5.89			-2.28			3.57
Russell 1000® Value Index		0.39			-2.64			3.89
S&P 500 Index		2.09			-0.25			2.92

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The Russell 1000^® Value Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2011, the Value Portfolio Class I shares declined 5.58% and Class II shares declined 5.89%.

The Portfolio’s investment objective is capital appreciation. The Portfolio is subadvised by Jennison Associates LLC (Jennison).

2011 ended on a slightly upward note and pushed most market indexes into positive territory. During the year, large-cap growth companies did the best, while smaller cap and value stocks lagged. For its part, the Russell 1000^® Value Index (the Index) had a return of 0.39%. Within the Index, sector disparity was wide, with the defensive utilities, consumer staples, and healthcare sectors doing the best, and materials and financials faring the worst. The Portfolio trailed the Index for the full year largely due to investors seeking the perceived safety of utilities and mega-cap stocks over company fundamentals. Stock selection hindered results in the energy and telecommunications services sectors, but helped results relative to the Index in financials.

Concerns about potential litigation against Goldman Sachs related to allegations it misled clients by not disclosing its proprietary interest in certain collateralized debt transactions weighed on its share price. More recently, an unexpectedly large loss in its Investing and Lending Segment and S&P’s downgrade of Goldman’s credit rating caused investor unease. Jennison continues to view Goldman as best in class and, at its current valuation, offers a compelling risk/reward opportunity amid a lackluster financial market landscape.

Other financial holdings with large declines during the year included Morgan Stanley and Citigroup.

Telecommunications services stock NII Holdings was a notable detractor for the year primarily due to fears of increasing competition in Brazil, one of its key markets, as well as ambiguity concerning its 3G rollout. Jennison has been following recent competitive developments closely, and likes NII’s continued strong growth, and very capable management.

Information technology holding Flextronics and General Motors suffered outsized losses.

Key contributors were found across a diverse group of securities. Tech stock IAC/InterActive led results. The internet company has surpassed consensus expectations on a fairly regular basis and enjoyed faster growth than industry peers.

Within consumer staples, Smithfield Foods and CVS Caremark boosted relative performance, as did energy stock Williams Companies and healthcare position Pfizer.

The Portfolio no longer holds a position in IAC/InterActive.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

¹  The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares.

Russell 1000 Value Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund Presentation of Portfolio Holdings — unaudited December 31, 2011

Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Exxon Mobil Corp.	1.9%
Apple, Inc.	1.8%
International Business Machines Corp.	1.0%
Chevron Corp.	1.0%
Microsoft Corp.	0.9%

Diversified Bond
Allocation	(% of Net Assets	)
Corporate Bonds	44.7%
Commercial Mortgage-Backed Securities	17.9%
Non-Residential Mortgage-Backed Securities	7.8%
Mortgage-Backed Securities	7.2%
Residential Mortgage-Backed Securities	4.0%

Equity
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.4%
Anadarko Petroleum Corp.	2.4%
American Express Co.	2.2%
National Oilwell Varco, Inc.	2.2%
Google, Inc. (Class A Stock)	1.9%

Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.4%
Exxon Mobil Corp.	2.4%
Chevron Corp.	1.6%
Microsoft Corp.	1.3%
AT&T, Inc.	1.3%

Global
Top Five Countries	(% of Net Assets	)
United States	46.9%
United Kingdom	13.5%
Japan	6.5%
France	5.0%
Germany	4.7%

Government Income
Allocation	(% of Net Assets	)
Mortgage-Backed Securities	41.3%
U.S. Treasury Securities	41.3%
Commercial Mortgage-Backed Securities	10.5%
Collateralized Mortgage Obligations	1.9%
U.S. Government Agency Obligations	1.8%

High Yield Bond
Allocation	(% of Net Assets	)
Corporate Bonds	91.2%
Bank Loans	3.1%
Collateralized Mortgage Obligations	0.1%
Common Stocks	0.1%
Asset-Backed Securities	0.1%

Jennison
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	6.1%
Amazon.com, Inc.	3.7%
Mastercard, Inc. (Class A Stock)	3.0%
Google, Inc. (Class A Stock)	2.6%
Precision Castparts Corp.	2.5%

Natural Resources
Five Largest Holdings	(% of Net Assets	)
Noble Energy, Inc.	2.8%
National Oilwell Varco, Inc.	2.8%
Concho Resources, Inc.	2.7%
Cameron International Corp.	2.5%
Schlumberger Ltd.	2.3%

Small Capitalization Stock
Five Largest Holdings	(% of Net Assets	)
Healthspring, Inc.	0.8%
Salix Pharmaceuticals Ltd.	0.6%
BioMed Realty Trust, Inc.	0.6%
Questcor Pharmaceuticals, Inc.	0.6%
iShares S&P SmallCap 600 Index Fund	0.5%

Stock Index
Five Largest Holdings	(% of Net Assets	)
Exxon Mobil Corp.	3.5%
Apple, Inc.	3.2%
International Business Machines Corp.	1.9%
Chevron Corp.	1.8%
Microsoft Corp.	1.7%

Value
Five Largest Holdings	(% of Net Assets	)
Liberty Global, Inc., Ser. C	3.2%
Comcast Corp. (Class A Stock)	3.1%
CA, Inc.	2.8%
Mylan, Inc.	2.5%
Wells Fargo & Co.	2.5%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

The Prudential Series Fund Fees and Expenses — unaudited December 31, 2011

As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2011 through December 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2011		Ending Account Value December 31, 2011		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	998.80		0.60	%	$	3.02
	Hypothetical	$	1,000.00	$	1,022.18		0.60	%	$	3.06
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,030.30		0.42	%	$	2.15
	Hypothetical	$	1,000.00	$	1,023.09		0.42	%	$	2.14
Equity (Class I)	Actual	$	1,000.00	$	905.00		0.48	%	$	2.30
	Hypothetical	$	1,000.00	$	1,022.79		0.48	%	$	2.45
Equity (Class II)	Actual	$	1,000.00	$	903.20		0.88	%	$	4.22
	Hypothetical	$	1,000.00	$	1,020.77		0.88	%	$	4.48
Flexible Managed (Class I)	Actual	$	1,000.00	$	987.00		0.63	%	$	3.16
	Hypothetical	$	1,000.00	$	1,022.03		0.63	%	$	3.21
Global (Class I)	Actual	$	1,000.00	$	884.10		0.86	%	$	4.08
	Hypothetical	$	1,000.00	$	1,020.87		0.86	%	$	4.38
Government Income (Class I)	Actual	$	1,000.00	$	1,049.50		0.44	%	$	2.27
	Hypothetical	$	1,000.00	$	1,022.99		0.44	%	$	2.24
High Yield Bond (Class I)	Actual	$	1,000.00	$	1,006.40		0.58	%	$	2.93
	Hypothetical	$	1,000.00	$	1,022.28		0.58	%	$	2.96
Jennison (Class I)	Actual	$	1,000.00	$	926.00		0.64	%	$	3.11
	Hypothetical	$	1,000.00	$	1,021.98		0.64	%	$	3.26
Jennison (Class II)	Actual	$	1,000.00	$	924.10		1.04	%	$	5.04
	Hypothetical	$	1,000.00	$	1,019.96		1.04	%	$	5.30
Money Market (Class I)	Actual	$	1,000.00	$	1,000.10		0.15	%	$	0.76
	Hypothetical	$	1,000.00	$	1,024.45		0.15	%	$	0.77

The Prudential Series Fund Fees and Expenses — unaudited (continued) December 31, 2011

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2011		Ending Account Value December 31, 2011		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Natural Resources (Class I)	Actual	$	1,000.00	$	818.50		0.51	%	$	2.34
	Hypothetical	$	1,000.00	$	1,022.63		0.51	%	$	2.60
Natural Resources (Class II)	Actual	$	1,000.00	$	816.90		0.91	%	$	4.17
	Hypothetical	$	1,000.00	$	1,020.62		0.91	%	$	4.63
Small Capitalization Stock (Class I)	Actual	$	1,000.00	$	937.20		0.50	%	$	2.44
	Hypothetical	$	1,000.00	$	1,022.68		0.50	%	$	2.55
Stock Index (Class I)	Actual	$	1,000.00	$	962.70		0.33	%	$	1.63
	Hypothetical	$	1,000.00	$	1,023.54		0.33	%	$	1.68
Value (Class I)	Actual	$	1,000.00	$	889.00		0.44	%	$	2.09
	Hypothetical	$	1,000.00	$	1,022.99		0.44	%	$	2.24
Value (Class II)	Actual	$	1,000.00	$	887.70		0.84	%	$	4.00
	Hypothetical	$	1,000.00	$	1,020.97		0.84	%	$	4.28

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2011, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2011 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	CONSERVATIVE BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 92.6%
COMMON STOCKS — 54.7%	Shares		Value (Note 2)
Aerospace & Defense — 1.4%
BAE Systems PLC (United Kingdom)		32,880	$	145,578
Boeing Co. (The)		75,400		5,530,590
European Aeronautic Defence and Space Co. NV (Netherlands)		3,474		108,584
General Dynamics Corp.		38,000		2,523,580
Goodrich Corp.		12,800		1,583,360
Honeywell International, Inc.		80,312		4,364,957
L-3 Communications Holdings, Inc.		10,800		720,144
Lockheed Martin Corp.(a)		28,300		2,289,470
Northrop Grumman Corp.		28,262		1,652,762
Precision Castparts Corp.		14,700		2,422,413
Raytheon Co.		36,400		1,761,032
Rockwell Collins, Inc.(a)		16,300		902,531
Safran SA (France)		2,868		86,135
Textron, Inc.(a)		28,200		521,418
United Technologies Corp.		93,500		6,833,915
				31,446,469
Air Freight & Logistics — 0.6%
C.H. Robinson Worldwide, Inc.(a)		16,600		1,158,348
Deutsche Post AG (Germany)		8,206		126,173
Expeditors International of Washington, Inc.		21,700		888,832
FedEx Corp.		32,200		2,689,022
United Parcel Service, Inc. (Class B Stock)		100,700		7,370,233
				12,232,608
Airlines
All Nippon Airways Co. Ltd. (Japan)		27,000		75,419
Deutsche Lufthansa AG (Germany)		1,159		13,778
Southwest Airlines Co.		83,700		716,472
				805,669
Auto Components — 0.1%
BorgWarner, Inc.*(a)		8,300		529,042
Bridgestone Corp. (Japan)		1,400		31,740
CIE Generale des Etablissements Michelin (France) (Class B Stock)		1,285		75,962
Continental AG (Germany)*		572		35,605
Goodyear Tire & Rubber Co. (The)*		28,000		396,760
Johnson Controls, Inc.		69,300		2,166,318
				3,235,427
Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		832		55,736
Daimler AG (Germany)		2,422		106,328
Ford Motor Co.*(a)		387,785		4,172,566
Harley-Davidson, Inc.		25,700		998,959
Isuzu Motors Ltd. (Japan)		9,000		41,627
Nissan Motor Co. Ltd. (Japan)		7,700		69,227
Peugeot SA (France)		1,176		18,432
Toyota Motor Corp. (Japan)		3,100		103,306
Volkswagen AG (Germany)		68		9,122
				5,575,303

COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages — 1.5%
Anheuser-Busch InBev NV (Belgium)		3,767	$	230,632
Beam, Inc.		16,300		835,049
Brown-Forman Corp. (Class B Stock)		10,700		861,457
Carlsberg A/S (Denmark) (Class B Stock)		55		3,878
Coca-Cola Amatil Ltd. (Australia)		2,410		28,372
Coca-Cola Co. (The)		234,800		16,428,956
Coca-Cola Enterprises, Inc.		33,200		855,896
Constellation Brands, Inc. (Class A Stock)*		17,200		355,524
Diageo PLC (United Kingdom)		6,018		131,450
Dr Pepper Snapple Group, Inc.		23,300		919,884
Heineken NV (Netherlands)		1,486		68,795
Molson Coors Brewing Co. (Class B Stock)		16,300		709,702
PepsiCo, Inc.		161,407		10,709,354
Pernod-Ricard SA (France)		992		92,004
SABMiller PLC (United Kingdom)		399		14,044
				32,244,997
Biotechnology — 0.7%
Amgen, Inc.		79,287		5,091,018
Biogen Idec, Inc.*		24,690		2,717,135
Celgene Corp.*		47,800		3,231,280
Gilead Sciences, Inc.*		80,400		3,290,772
				14,330,205
Building Products
Asahi Glass Co. Ltd. (Japan)		6,000		50,357
ASSA Abloy AB (Sweden) (Class B Stock)		374		9,380
Masco Corp.		33,500		351,080
TOTO Ltd. (Japan)		14,000		108,042
				518,859
Capital Markets — 1.0%
3i Group PLC (United Kingdom)		8,093		22,749
Ameriprise Financial, Inc.		24,720		1,227,101
Bank of New York Mellon Corp. (The)		128,258		2,553,617
BlackRock, Inc. (Class A Stock)		10,200		1,818,048
Charles Schwab Corp. (The)(a)		104,550		1,177,233
Credit Suisse Group AG (Switzerland)		3,142		73,825
Deutsche Bank AG (Germany)		3,431		130,708
E*Trade Financial Corp.*(a)		25,520		203,139
Federated Investors, Inc. (Class B Stock)(a)		10,800		163,620
Franklin Resources, Inc.		14,700		1,412,082
Goldman Sachs Group, Inc. (The)		52,900		4,783,747
Invesco Ltd.		47,800		960,302
Legg Mason, Inc.(a)		14,800		355,940
Morgan Stanley		153,180		2,317,613
Northern Trust Corp.		24,700		979,602
Ratos AB (Sweden) (Class B Stock)		4,029		47,274
State Street Corp.		51,500		2,075,965
T. Rowe Price Group, Inc.(a)		26,500		1,509,175
UBS AG (Switzerland)*		9,787		116,489
				21,928,229

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals — 1.2%
Air Products & Chemicals, Inc.		21,600	$	1,840,104
Airgas, Inc.		6,700		523,136
Arkema SA (France)		225		15,929
Asahi Kasei Corp. (Japan)		14,000		84,396
BASF SE (Germany)		3,137		218,796
CF Industries Holdings, Inc.		7,300		1,058,354
Dow Chemical Co. (The)		120,031		3,452,092
E.I. du Pont de Nemours & Co.		94,820		4,340,860
Eastman Chemical Co.		13,800		539,028
Ecolab, Inc.		27,800		1,607,118
FMC Corp.		6,900		593,676
Incitec Pivot Ltd. (Australia)		11,411		36,297
International Flavors & Fragrances, Inc.		8,200		429,844
Israel Chemicals Ltd. (Israel)		5,458		56,571
K+S AG (Germany)		658		29,738
Koninklijke DSM NV (Netherlands)		754		34,985
Lanxess AG (Germany)		974		50,424
Monsanto Co.		54,694		3,832,409
Mosaic Co. (The)		30,600		1,543,158
PPG Industries, Inc.(a)		17,000		1,419,330
Praxair, Inc.		31,000		3,313,900
Sherwin-Williams Co. (The)		8,600		767,722
Sigma-Aldrich Corp.		12,400		774,504
Syngenta AG (Switzerland)		366		107,154
Toray Industries, Inc. (Japan)		4,000		28,634
Wacker Chemie AG (Germany)(a)		323		25,981
Yara International ASA (Norway)		1,989		79,815
				26,803,955
Commercial Banks — 1.5%
Aozora Bank Ltd. (Japan)		22,000		60,595
Australia & New Zealand Banking Group Ltd. (Australia)		7,849		164,814
Banco Bilbao Vizcaya Argentaria SA (Spain)		8,066		69,735
Banco Santander SA (Spain)		14,639		111,216
Barclays PLC (United Kingdom)		62,926		172,042
BB&T Corp.(a)		71,100		1,789,587
Bendigo and Adelaide Bank Ltd. (Australia)		6,544		53,746
BNP Paribas SA (France)		3,604		141,567
Comerica, Inc.(a)		19,400		500,520
Commonwealth Bank of Australia (Australia)		2,745		138,189
DnB NOR ASA (Norway)		3,264		31,953
Fifth Third Bancorp		95,721		1,217,571
First Horizon National Corp.(a)		28,587		228,696
HSBC Holdings PLC (United Kingdom)		25,166		191,915
Huntington Bancshares, Inc.		100,136		549,747
KeyCorp		105,200		808,988
M&T Bank Corp.(a)		12,800		977,152
Mitsubishi UFJ Financial Group, Inc. (Japan)		56,300		239,185
Mizrahi Tefahot Bank Ltd. (Israel)		2,697		21,323
Mizuho Financial Group, Inc. (Japan)		59,700		80,665
National Australia Bank Ltd. (Australia)		3,494		83,481

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
Nordea Bank AB (Sweden)		14,649	$	113,347
PNC Financial Services Group, Inc.		53,733		3,098,782
Raiffeisen International Bank Holding AG (Austria)		1,096		28,462
Regions Financial Corp.		142,703		613,623
Resona Holdings, Inc. (Japan)		29,900		131,689
Shinsei Bank Ltd. (Japan)		9,000		9,354
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		13,437		78,275
Societe Generale (France)		2,470		55,001
Sumitomo Mitsui Financial Group, Inc. (Japan)		7,600		211,698
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		29,000		85,150
SunTrust Banks, Inc.		55,200		977,040
Svenska Handelsbanken AB (Sweden) (Class A Stock)		1,740		45,762
Swedbank AB (Sweden) (Class A Stock)		869		11,257
U.S. Bancorp		196,685		5,320,329
Wells Fargo & Co.		542,364		14,947,552
Westpac Banking Corp. (Australia)		4,530		92,665
Zions Bancorporation(a)		22,350		363,858
				33,816,531
Commercial Services & Supplies — 0.2%
Avery Dennison Corp.		10,200		292,536
Cintas Corp.(a)		12,200		424,682
Iron Mountain, Inc.		19,900		612,920
Pitney Bowes, Inc.(a)		20,700		383,778
Republic Services, Inc. (Class A Stock)		32,865		905,431
RR Donnelley & Sons Co.(a)		19,200		277,056
Securitas AB (Sweden) (Class B Stock)		6,636		57,276
Stericycle, Inc.*		9,700		755,824
Waste Management, Inc.(a)		48,042		1,571,454
				5,280,957
Communications Equipment — 1.1%
Cisco Systems, Inc.		564,600		10,207,968
F5 Networks, Inc.*		8,200		870,184
Harris Corp.(a)		12,400		446,896
JDS Uniphase Corp.*		21,475		224,199
Juniper Networks, Inc.*		54,400		1,110,304
Motorola Mobility Holdings, Inc.*		28,778		1,116,586
Motorola Solutions, Inc.		33,289		1,540,948
QUALCOMM, Inc.		172,500		9,435,750
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		1,580		16,163
				24,968,998
Computers & Peripherals — 2.5%
Apple, Inc.*		95,800		38,799,000
Dell, Inc.*		169,400		2,478,322
EMC Corp.*		212,150		4,569,711
Hewlett-Packard Co.		208,348		5,367,044
Lexmark International, Inc. (Class A Stock)		8,733		288,800

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Computers & Peripherals (continued)
NetApp, Inc.*		37,100	$	1,345,617
SanDisk Corp.*(a)		24,700		1,215,487
Toshiba Corp. (Japan)		13,000		53,203
Western Digital Corp.*		26,000		804,700
				54,921,884
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		1,194		35,388
Bouygues SA (France)		623		19,630
Chiyoda Corp. (Japan)		4,000		40,691
Fluor Corp.		17,800		894,450
Jacobs Engineering Group, Inc.*		12,700		515,366
Leighton Holdings, Ltd. (Australia)		2,314		45,063
Quanta Services, Inc.*(a)		22,000		473,880
Vinci SA (France)		583		25,474
				2,049,942
Construction Materials
Imerys SA (France)		303		13,957
Vulcan Materials Co.(a)		13,400		527,290
				541,247
Consumer Finance — 0.4%
American Express Co.		106,800		5,037,756
Capital One Financial Corp.		46,861		1,981,752
Discover Financial Services		56,140		1,347,360
SLM Corp.		54,700		732,980
				9,099,848
Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		17,851		131,640
Ball Corp.		16,200		578,502
Bemis Co., Inc.		11,300		339,904
Owens-Illinois, Inc.*		18,900		366,282
Sealed Air Corp.		17,100		294,291
				1,710,619
Distributors
Genuine Parts Co.		16,100		985,320
Jardine Cycle & Carriage Ltd. (Singapore)		2,000		74,199
				1,059,519
Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*		12,700		684,149
DeVry, Inc.		6,300		242,298
H&R Block, Inc.		35,100		573,183
				1,499,630
Diversified Financial Services — 1.5%
Bank of America Corp.		1,034,621		5,752,493
Citigroup, Inc.		301,385		7,929,439
CME Group, Inc. (Class A Stock)		6,840		1,666,703
Deutsche Boerse AG (Germany)*		460		24,118
Exor SpA (Italy)		1,733		34,878
IntercontinentalExchange, Inc.*		7,500		904,125
Investor AB (Sweden) (Class B Stock)		370		6,903
JPMorgan Chase & Co.		399,045		13,268,246
Leucadia National Corp.		19,700		447,978

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
London Stock Exchange Group PLC (United Kingdom)		3,961	$	48,903
Moody’s Corp.(a)		20,200		680,336
NASDAQ OMX Group, Inc. (The)*		16,600		406,866
NYSE Euronext		28,900		754,290
ORIX Corp. (Japan)		970		80,151
Pohjola Bank PLC (Finland) (Class A Stock)		1,983		19,274
				32,024,703
Diversified Telecommunication Services — 1.6%
AT&T, Inc.		609,168		18,421,240
BT Group PLC (United Kingdom)		36,574		108,429
CenturyLink, Inc.		62,736		2,333,779
France Telecom SA (France)		6,158		96,716
Frontier Communications Corp.(a)		101,590		523,189
Koninklijke KPN NV (Netherlands)		3,071		36,746
Nippon Telegraph & Telephone Corp. (Japan)		2,800		143,147
Swisscom AG (Switzerland)		122		46,226
Telecom Italia SpA (Italy)		50,437		45,172
Telecom Italia SpA (Italy)		53,868		57,936
Telefonica SA (Spain)		8,390		145,344
Verizon Communications, Inc.(a)		288,876		11,589,705
Vivendi SA (France)		8,374		183,379
Windstream Corp.		57,357		673,371
				34,404,379
Electric Utilities — 1.1%
American Electric Power Co., Inc.		49,160		2,030,800
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		4,000		23,434
Duke Energy Corp.(a)		135,924		2,990,328
E.ON AG (Germany)		1,475		31,823
Edison International		33,300		1,378,620
Enel SpA (Italy)		45,121		183,602
Energias de Portugal SA (Portugal)		5,224		16,166
Entergy Corp.		18,500		1,351,425
Exelon Corp.		67,674		2,935,021
FirstEnergy Corp.		43,606		1,931,746
Iberdrola SA (Spain)		29,445		184,410
NextEra Energy, Inc.(a)		43,100		2,623,928
Northeast Utilities		18,200		656,474
Pepco Holdings, Inc.		26,800		544,040
Pinnacle West Capital Corp.		10,500		505,890
PPL Corp.		59,700		1,756,374
Progress Energy, Inc.		30,083		1,685,250
Red Electrica Corp. SA (Spain)		694		29,699
Scottish & Southern Energy PLC (United Kingdom)		3,994		80,076
Southern Co.(a)		86,700		4,013,343
				24,952,449
Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)		2,613		49,183
Cooper Industries PLC (Ireland)		15,300		828,495
Emerson Electric Co.		76,800		3,578,112
Mitsubishi Electric Corp. (Japan)		11,000		105,470
Rockwell Automation, Inc.		15,300		1,122,561

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electrical Equipment (continued)
Roper Industries, Inc.		9,900	$	860,013
Schneider Electric SA (France)		426		22,429
				6,566,263
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		18,600		844,254
Corning, Inc.		160,300		2,080,694
FLIR Systems, Inc.		15,600		391,092
Hamamatsu Photonics KK (Japan)		500		17,494
Hitachi Ltd. (Japan)		32,000		167,961
Jabil Circuit, Inc.		20,000		393,200
Molex, Inc.		13,000		310,180
TE Connectivity Ltd.		43,600		1,343,316
				5,548,191
Energy Equipment & Services — 1.1%
Baker Hughes, Inc.		44,398		2,159,519
Cameron International Corp.*		25,000		1,229,750
Diamond Offshore Drilling, Inc.(a)		7,900		436,554
FMC Technologies, Inc.*		24,400		1,274,412
Halliburton Co.		94,100		3,247,391
Helmerich & Payne, Inc.(a)		10,700		624,452
Nabors Industries Ltd.*		27,700		480,318
National Oilwell Varco, Inc.		43,200		2,937,168
Noble Corp.		25,700		776,654
Petrofac Ltd. (United Kingdom)		2,686		60,109
Rowan Cos., Inc.*		13,200		400,356
Schlumberger Ltd.		138,518		9,462,165
Technip SA (France)		973		91,450
Transocean Ltd. (Switzerland)		816		31,509
				23,211,807
Food & Staples Retailing — 1.3%
Aeon Co. Ltd. (Japan)		8,700		119,474
Costco Wholesale Corp.		44,600		3,716,072
CVS Caremark Corp.		138,448		5,645,909
Jeronimo Martins SGPS SA (Portugal)*		960		15,891
Koninklijke Ahold NV (Netherlands)		3,328		44,817
Kroger Co. (The)		61,946		1,500,332
Safeway, Inc.		39,500		831,080
Seven & I Holdings Co. Ltd. (Japan)		3,100		86,391
SUPERVALU, Inc.(a)		21,410		173,849
Sysco Corp.(a)		58,600		1,718,738
Tesco PLC (United Kingdom)		13,265		83,112
Walgreen Co.(a)		93,500		3,091,110
Wal-Mart Stores, Inc.		183,100		10,942,056
Whole Foods Market, Inc.		16,300		1,134,154
WM Morrison Supermarkets PLC (United Kingdom)		30,201		152,994
Woolworths Ltd. (Australia)		2,982		76,555
				29,332,534
Food Products — 1.1%
Archer-Daniels-Midland Co.		69,626		1,991,304
Aryzta AG (Switzerland)		1,769		85,503
Associated British Foods PLC (United Kingdom)		4,274		73,477
Campbell Soup Co.(a)		18,600		618,264

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
ConAgra Foods, Inc.		43,700	$	1,153,680
Danone (France)		472		29,671
Dean Foods Co.*		20,800		232,960
General Mills, Inc.		65,200		2,634,732
Golden Agri-Resources Ltd. (Singapore)		120,000		66,150
H.J. Heinz Co.(a)		32,900		1,777,916
Hershey Co. (The)(a)		15,700		969,946
Hormel Foods Corp.		14,600		427,634
J.M. Smucker Co. (The)		12,300		961,491
Kellogg Co.(a)		25,600		1,294,592
Kraft Foods, Inc. (Class A Stock)		181,553		6,782,820
Lindt & Spruengli AG (Switzerland)		1		33,418
McCormick & Co., Inc.		12,800		645,376
Mead Johnson Nutrition Co.		20,867		1,434,189
Nestle SA (Switzerland)		6,246		359,080
Sara Lee Corp.		59,700		1,129,524
Suedzucker AG (Germany)		191		6,093
Tyson Foods, Inc. (Class A Stock)		30,600		631,584
Unilever NV CVA (Netherlands)		2,164		74,416
Unilever PLC (United Kingdom)		1,108		37,219
				23,451,039
Gas Utilities — 0.1%
AGL Resources, Inc.		6,939		293,242
Enagas (Spain)		3,593		66,452
Gas Natural SDG SA (Spain)		3,581		61,479
Hong Kong & China Gas Co. Ltd. (Hong Kong)		37,000		85,752
ONEOK, Inc.		10,900		944,921
				1,451,846
Healthcare Equipment & Supplies — 1.0%
Baxter International, Inc.		58,200		2,879,736
Becton Dickinson and Co.		22,300		1,666,256
Boston Scientific Corp.*		157,667		841,942
C.R. Bard, Inc.(a)		9,100		778,050
CareFusion Corp.*		25,375		644,778
Coloplast A/S (Denmark) (Class B Stock)		833		119,802
Covidien PLC		50,600		2,277,506
DENTSPLY International, Inc.		14,400		503,856
Edwards Lifesciences Corp.*		11,700		827,190
Intuitive Surgical, Inc.*(a)		4,000		1,852,040
Medtronic, Inc.		109,200		4,176,900
St. Jude Medical, Inc.		33,600		1,152,480
Stryker Corp.		34,100		1,695,111
Varian Medical Systems, Inc.*(a)		12,000		805,560
Zimmer Holdings, Inc.*		19,600		1,047,032
				21,268,239
Healthcare Providers & Services — 1.1%
Aetna, Inc.		38,400		1,620,096
AmerisourceBergen Corp. (Class A Stock)		28,000		1,041,320
Cardinal Health, Inc.		35,750		1,451,808
CIGNA Corp.		29,300		1,230,600
Coventry Health Care, Inc.*		17,050		517,809
DaVita, Inc.*(a)		9,400		712,614

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services (continued)
Express Scripts, Inc.*(a)		49,600	$	2,216,624
Fresenius Se & Co. KGaA (Germany)		182		16,837
Humana, Inc.		17,200		1,506,892
Laboratory Corp. of America Holdings*(a)		9,600		825,312
McKesson Corp.		25,730		2,004,624
Medco Health Solutions, Inc.*		40,798		2,280,608
Patterson Cos., Inc.(a)		9,000		265,680
Quest Diagnostics, Inc.		16,300		946,378
Tenet Healthcare Corp.*		44,600		228,798
UnitedHealth Group, Inc.		110,600		5,605,208
WellPoint, Inc.		37,200		2,464,500
				24,935,708
Healthcare Technology
Cerner Corp.*		14,800		906,500
Hotels, Restaurants & Leisure — 1.1%
Carnival Corp.		45,600		1,488,384
Chipotle Mexican Grill, Inc.*(a)		3,150		1,063,881
Darden Restaurants, Inc.		13,150		599,377
Galaxy Entertainment Group Ltd. (Hong Kong)*		37,000		67,839
International Game Technology		28,200		485,040
Marriott International, Inc. (Class A Stock)		29,528		861,332
McDonald’s Corp.		105,900		10,624,947
Sands China Ltd. (Hong Kong)*		53,200		150,354
Starbucks Corp.		76,500		3,519,765
Starwood Hotels & Resorts Worldwide, Inc.		19,900		954,603
Wyndham Worldwide Corp.		17,620		666,565
Wynn Macau Ltd. (Macau)		24,400		61,262
Wynn Resorts Ltd.		8,200		906,018
Yum! Brands, Inc.		47,500		2,802,975
				24,252,342
Household Durables — 0.1%
D.R. Horton, Inc.(a)		28,700		361,907
Harman International Industries, Inc.		6,400		243,456
Leggett & Platt, Inc.(a)		17,500		403,200
Lennar Corp. (Class A Stock)(a)		17,200		337,980
Newell Rubbermaid, Inc.		27,314		441,121
Pulte Group, Inc.*(a)		33,522		211,524
Sekisui Chemical Co. Ltd. (Japan)		17,000		140,249
Whirlpool Corp.(a)		7,326		347,619
				2,487,056
Household Products — 1.2%
Clorox Co. (The)(a)		13,600		905,216
Colgate-Palmolive Co.		49,900		4,610,261
Henkel AG & Co. KGaA (Germany)		653		31,608
Kimberly-Clark Corp.		40,100		2,949,756
Procter & Gamble Co. (The)		282,625		18,853,914
Reckitt Benckiser Group PLC (United Kingdom)		1,735		85,683
				27,436,438

COMMON STOCKS (continued)	Shares		Value (Note 2)
Independent Power Producers & Energy Traders — 0.1%
AES Corp. (The)*		65,000	$	769,600
Constellation Energy Group, Inc.		22,300		884,641
EDP Renovaveis SA (Spain)*		2,684		16,424
NRG Energy, Inc.*		23,200		420,384
				2,091,049
Industrial Conglomerates — 1.4%
3M Co.		72,600		5,933,598
Danaher Corp.		55,900		2,629,536
General Electric Co.		1,085,200		19,435,932
Keppel Corp. Ltd. (Singapore)		7,000		50,191
Siemens AG (Germany)		1,786		170,914
Tyco International Ltd.		47,900		2,237,409
				30,457,580
Insurance — 1.9%
ACE Ltd.		34,500		2,419,140
Aegon NV (Netherlands)*		1,561		6,265
Aflac, Inc.		47,800		2,067,828
Allianz SE (Germany)		1,665		159,270
Allstate Corp. (The)		53,400		1,463,694
American International Group, Inc.*(a)		46,839		1,086,665
Aon Corp.		34,300		1,605,240
Assurant, Inc.		12,300		505,038
Aviva PLC (United Kingdom)		27,910		130,378
AXA SA (France)		6,996		90,953
Berkshire Hathaway, Inc. (Class B Stock)*		178,900		13,650,070
Chubb Corp.		29,800		2,062,756
Cincinnati Financial Corp.		19,237		585,959
Delta Lloyd NV (Netherlands)		5,497		92,488
Genworth Financial, Inc. (Class A Stock)*		63,400		415,270
Gjensidige Forsikring ASA (Norway)		340		3,940
Hannover Rueckversicherung AG (Germany)		864		42,856
Hartford Financial Services Group, Inc. (The)		49,700		807,625
Legal & General Group PLC (United Kingdom)		56,773		90,636
Lincoln National Corp.(a)		36,318		705,296
Loews Corp.		32,875		1,237,744
Mapfre SA (Spain)		4,505		14,314
Marsh & McLennan Cos., Inc.		55,900		1,767,558
MetLife, Inc.		107,900		3,364,322
Muenchener Rueckversicherungs AG (Germany)		107		13,126
Old Mutual PLC (United Kingdom)		76,653		161,301
Principal Financial Group, Inc.		34,800		856,080
Progressive Corp. (The)		68,600		1,338,386
Resolution Ltd. (United Kingdom)		7,378		28,805
RSA Insurance Group PLC (United Kingdom)		42,876		70,048
SCOR SE (France)		1,109		25,922
Swiss Life Holding AG (Switzerland)		579		53,258
Swiss Re AG (Switzerland)		231		11,773
Torchmark Corp.		13,750		596,612

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
Travelers Cos., Inc. (The)		42,735	$	2,528,630
Unum Group		34,410		725,019
XL Group PLC (Class A Stock)		35,200		695,904
Zurich Financial Services AG (Switzerland)*		577		130,536
				41,610,705
Internet & Catalog Retail — 0.4%
Amazon.com, Inc.*		36,700		6,352,770
Expedia, Inc.(a)		11,150		323,573
Netflix, Inc.*(a)		4,600		318,734
priceline.com, Inc.*		5,100		2,385,321
Tripadvisor, Inc.*(a)		11,150		281,091
				9,661,489
Internet Software & Services — 1.1%
Akamai Technologies, Inc.*		19,700		635,916
Dena Co. Ltd. (Japan)		700		20,999
eBay, Inc.*		116,600		3,536,478
Google, Inc. (Class A Stock)*		25,800		16,664,220
Gree, Inc. (Japan)		5,000		172,275
VeriSign, Inc.		16,900		603,668
Yahoo!, Inc.*		131,000		2,113,030
				23,746,586
IT Services — 2.1%
Accenture PLC (Ireland) (Class A Stock)		66,300		3,529,149
Automatic Data Processing, Inc.		51,000		2,754,510
Cognizant Technology Solutions Corp. (Class A Stock)*		32,100		2,064,351
Computer Sciences Corp.		17,000		402,900
Fidelity National Information Services, Inc.		28,700		763,133
Fiserv, Inc.*		15,100		886,974
International Business Machines Corp.		123,100		22,635,628
Mastercard, Inc. (Class A Stock)		11,000		4,101,020
Otsuka Corp. (Japan)		2,100		144,602
Paychex, Inc.		34,000		1,023,740
SAIC, Inc.*(a)		29,000		356,410
Teradata Corp.*		17,200		834,372
Total System Services, Inc.		15,596		305,058
Visa, Inc. (Class A Stock)		52,500		5,330,325
Western Union Co. (The)		64,510		1,177,952
				46,310,124
Leisure Equipment & Products — 0.1%
Hasbro, Inc.		13,600		433,704
Mattel, Inc.(a)		37,051		1,028,536
Namco Bandai Holdings, Inc. (Japan)		3,300		46,990
Nikon Corp. (Japan)		2,700		60,124
				1,569,354
Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.*		35,514		1,240,504
Life Technologies Corp.*		18,301		712,092
PerkinElmer, Inc.		12,600		252,000
Thermo Fisher Scientific, Inc.*		39,100		1,758,327
Waters Corp.*		8,800		651,640
				4,614,563

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery — 1.1%
Caterpillar, Inc.(a)		65,800	$	5,961,480
Cummins, Inc.		19,900		1,751,598
Deere & Co.		42,900		3,318,315
Dover Corp.		19,600		1,137,780
Eaton Corp.		34,800		1,514,844
FANUC Corp. (Japan)		1,400		214,265
Flowserve Corp.		5,700		566,124
Illinois Tool Works, Inc.		51,100		2,386,881
Ingersoll-Rand PLC		33,800		1,029,886
Joy Global, Inc.		10,300		772,191
Kone OYJ (Finland) (Class B Stock)		933		48,422
Metso OYJ (Finland)		1,312		48,649
PACCAR, Inc.(a)		36,943		1,384,254
Pall Corp.		11,700		668,655
Parker Hannifin Corp.		16,565		1,263,081
Snap-on, Inc.		7,000		354,340
Stanley Black & Decker, Inc.		17,197		1,162,517
Sumitomo Heavy Industries Ltd. (Japan)		6,000		35,001
Volvo AB (Sweden) (Class B Stock)		6,299		68,921
Weir Group PLC (The) (United Kingdom)		962		30,358
Xylem, Inc.		14,000		359,660
Yangzijiang Shipbuilding Holdings Ltd. (Singapore)		103,000		72,264
				24,149,486
Marine
AP Moller-Maersk A/S (Denmark) (Class B Stock)		3		19,807
Media — 1.7%
Cablevision Systems Corp. (Class A Stock)		23,500		334,170
CBS Corp. (Class B Stock)		68,334		1,854,585
Comcast Corp. (Class A Stock)		285,190		6,761,855
DIRECTV (Class A Stock)*(a)		77,000		3,292,520
Discovery Communications, Inc. (Class A Stock)*		28,400		1,163,548
Gannett Co., Inc.		24,900		332,913
Interpublic Group of Cos., Inc. (The)		48,331		470,261
ITV PLC (United Kingdom)		59,791		63,281
McGraw-Hill Cos., Inc. (The)		31,400		1,412,058
News Corp. (Class A Stock)		233,300		4,162,072
Omnicom Group, Inc.(a)		28,700		1,279,446
Reed Elsevier NV (Netherlands)		1,732		20,190
Scripps Networks Interactive, Inc. (Class A Stock)(a)		9,200		390,264
Time Warner Cable, Inc.		32,914		2,092,343
Time Warner, Inc.(a)		108,666		3,927,189
Viacom, Inc. (Class B Stock)		59,734		2,712,521
Walt Disney Co. (The)		188,900		7,083,750
Washington Post Co. (The) (Class B Stock)(a)		600		226,086
WPP PLC (United Kingdom)		3,740		39,234
				37,618,286

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.5%
Alcoa, Inc.		108,640	$	939,736
Allegheny Technologies, Inc.		9,900		473,220
Anglo American PLC (United Kingdom)		1,259		46,515
Antofagasta PLC (United Kingdom)		300		5,661
BHP Billiton Ltd. (Australia)		6,906		243,124
BHP Billiton PLC (Australia)		8,584		250,287
Cliffs Natural Resources, Inc.		14,800		922,780
Daido Steel Co. Ltd. (Japan)		1,000		6,275
Freeport-McMoRan Copper & Gold, Inc.		96,688		3,557,152
Fresnillo PLC (United Kingdom)		3,686		87,410
Iluka Resources Ltd. (Australia)		3,366		53,362
Newmont Mining Corp.		50,400		3,024,504
Nippon Steel Corp. (Japan)		25,000		62,362
Nucor Corp.		32,300		1,278,111
OZ Minerals Ltd. (Australia)		2,449		25,073
Randgold Resources Ltd. (United Kingdom)		535		54,711
Rio Tinto Ltd. (Australia)		2,403		148,204
Rio Tinto PLC (United Kingdom)		4,078		197,909
Titanium Metals Corp.		12,900		193,242
United States Steel Corp.(a)		14,700		388,962
Vedanta Resources PLC (India)		5,517		86,964
Voestalpine AG (Austria)		776		21,764
Xstrata PLC (United Kingdom)		1,010		15,340
				12,082,668
Multiline Retail — 0.5%
Big Lots, Inc.*		7,200		271,872
Dollar Tree, Inc.*		10,300		856,033
Family Dollar Stores, Inc.		12,900		743,814
Isetan Mitsukoshi Holdings, Ltd. (Japan)		1,000		10,485
J.C. Penney Co., Inc.(a)		14,400		506,160
Kohl’s Corp.		28,600		1,411,410
Lifestyle International Holdings Ltd. (Hong Kong)		32,500		71,640
Macy’s, Inc.		43,574		1,402,211
Nordstrom, Inc.		17,100		850,041
PPR (France)		235		33,654
Sears Holdings Corp.*(a)		4,442		141,167
Target Corp.		70,400		3,605,888
				9,904,375
Multi-Utilities — 0.8%
Ameren Corp.		25,700		851,441
CenterPoint Energy, Inc.		44,200		887,978
Centrica PLC (United Kingdom)		1,632		7,332
CMS Energy Corp.		29,000		640,320
Consolidated Edison, Inc.(a)		29,900		1,854,697
Dominion Resources, Inc.		58,832		3,122,803
DTE Energy Co.		16,600		903,870
GDF Suez (France)		3,031		82,851
Integrys Energy Group, Inc.		8,120		439,942
National Grid PLC (United Kingdom)		1,959		19,014
NiSource, Inc.		28,000		666,680
PG&E Corp.		40,600		1,673,532

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multi-Utilities (continued)
Public Service Enterprise Group, Inc.		52,000	$	1,716,520
RWE AG (Germany)		2,345		82,401
SCANA Corp.(a)		11,300		509,178
Sempra Energy		24,419		1,343,045
TECO Energy, Inc.		20,500		392,370
Wisconsin Energy Corp.		26,200		915,952
Xcel Energy, Inc.		49,410		1,365,692
				17,475,618
Office Electronics — 0.1%
Canon, Inc. (Japan)		4,000		177,212
Xerox Corp.		143,263		1,140,373
				1,317,585
Oil, Gas & Consumable Fuels — 5.6%
Alpha Natural Resources, Inc.*(a)		21,808		445,537
Anadarko Petroleum Corp.		50,754		3,874,053
Apache Corp.		40,114		3,633,526
BG Group PLC (United Kingdom)		178		3,805
BP PLC (United Kingdom)		49,905		356,896
Cabot Oil & Gas Corp.		10,500		796,950
Chesapeake Energy Corp.(a)		67,200		1,497,888
Chevron Corp.		205,722		21,888,821
ConocoPhillips		140,477		10,236,559
Consol Energy, Inc.		23,100		847,770
Denbury Resources, Inc.*		38,600		582,860
Devon Energy Corp.		43,200		2,678,400
El Paso Corp.		79,036		2,099,987
ENI SpA (Italy)		9,524		197,346
EOG Resources, Inc.		27,400		2,699,174
EQT Corp.		15,300		838,287
Exxon Mobil Corp.		498,299		42,235,823
Hess Corp.		30,900		1,755,120
Idemitsu Kosan Co. Ltd. (Japan)		300		30,947
Japan Petroleum Exploration Co. (Japan)		200		7,821
JX Holdings, Inc. (Japan)		12,400		74,912
Marathon Oil Corp.		72,682		2,127,402
Marathon Petroleum Corp.		36,341		1,209,792
Murphy Oil Corp.		19,800		1,103,652
Newfield Exploration Co.*		13,900		524,447
Noble Energy, Inc.		18,000		1,699,020
Occidental Petroleum Corp.		84,100		7,880,170
Peabody Energy Corp.		27,600		913,836
Pioneer Natural Resources Co.		12,700		1,136,396
QEP Resources, Inc.		19,800		580,140
Range Resources Corp.		17,300		1,071,562
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		9,278		353,588
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		10,290		378,892
Santos Ltd. (Australia)		6,689		83,740
Southwestern Energy Co.*		35,600		1,137,064
Spectra Energy Corp.		66,362		2,040,632
Statoil ASA (Norway)		1,688		43,323
Sunoco, Inc.(a)		11,500		471,730
Tesoro Corp.*(a)		15,000		350,400
Total SA (France)		6,568		335,774

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Valero Energy Corp.		59,400	$	1,250,370
Williams Cos., Inc. (The)		60,100		1,984,502
Woodside Petroleum Ltd. (Australia)		1,220		38,208
				123,497,122
Paper & Forest Products — 0.1%
Holmen AB (Sweden), Ser. B (Class B Stock)		149		4,280
International Paper Co.		46,973		1,390,401
MeadWestvaco Corp.		16,514		494,594
				1,889,275
Personal Products — 0.1%
Avon Products, Inc.		47,100		822,837
Estee Lauder Cos., Inc. (The) (Class A Stock)		11,900		1,336,608
Kao Corp. (Japan)		3,000		81,967
				2,241,412
Pharmaceuticals — 3.5%
Abbott Laboratories		159,800		8,985,554
Allergan, Inc.		31,100		2,728,714
AstraZeneca PLC (United Kingdom)		6,715		310,242
Bayer AG (Germany)		1,889		120,775
Bristol-Myers Squibb Co.		174,170		6,137,751
Eli Lilly & Co.		104,000		4,322,240
Forest Laboratories, Inc.*		29,900		904,774
GlaxoSmithKline PLC (United Kingdom)		10,710		244,747
Hospira, Inc.*		18,460		560,630
Johnson & Johnson		281,448		18,457,360
Merck & Co., Inc.		316,533		11,933,294
Mylan, Inc.*		48,100		1,032,226
Novartis AG (Switzerland)		5,566		318,210
Novo Nordisk A/S (Denmark) (Class B Stock)		1,973		226,730
Orion OYJ (Finland) (Class B Stock)		1,970		38,373
Otsuka Holdings Co. Ltd. (Japan)		200		5,623
Perrigo Co.		7,200		700,560
Pfizer, Inc.		801,870		17,352,467
Roche Holding AG (Switzerland)		1,853		314,061
Sanofi (France)		4,020		295,263
Shire PLC (United Kingdom)		1,057		36,819
Taisho Pharmaceutical Holdings Co. Ltd. (Japan)*		100		7,717
Takeda Pharmaceutical Co. Ltd. (Japan)		1,900		83,435
Teva Pharmaceutical Industries Ltd. (Israel)		1,317		53,012
Watson Pharmaceuticals, Inc.*		12,900		778,386
				75,948,963
Professional Services — 0.1%
Dun & Bradstreet Corp. (The)		4,800		359,184
Equifax, Inc.(a)		12,700		491,998
Robert Half International, Inc.		14,200		404,132
				1,255,314

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts — 1.0%
Apartment Investment & Management Co. (Class A Stock)(a)		13,033	$	298,586
AvalonBay Communities, Inc.		9,075		1,185,195
Boston Properties, Inc.		14,900		1,484,040
Dexus Property Group (Australia)		26,340		22,361
Equity Residential		30,100		1,716,603
GPT Group (Australia)		18,234		57,255
HCP, Inc.(a)		43,400		1,798,062
Health Care REIT, Inc.(a)		19,400		1,057,882
Host Hotels & Resorts, Inc.(a)		74,882		1,106,007
Kimco Realty Corp.		39,000		633,360
Mirvac Group (Australia)		16,340		19,721
Plum Creek Timber Co., Inc.(a)		15,700		573,992
ProLogis, Inc.*		46,377		1,325,918
Public Storage(a)		14,300		1,922,778
Simon Property Group, Inc.		29,943		3,860,850
Stockland (Australia)		33,434		109,086
Ventas, Inc.		29,318		1,616,301
Vornado Realty Trust		18,525		1,423,832
Westfield Retail Trust (Australia)		17,094		43,534
Weyerhaeuser Co.		52,698		983,872
				21,239,235
Real Estate Management & Development
CBRE Group, Inc. (Class A Stock)*		28,100		427,682
Cheung Kong Holdings Ltd. (Hong Kong)		2,000		23,794
Daito Trust Construction Co. Ltd. (Japan)		300		25,725
Daiwa House Industry Co. Ltd. (Japan)		10,000		119,267
IMMOFINANZ AG (Austria)		4,999		15,010
Lend Lease Group (Australia)(b)		10,136		74,228
Tokyu Land Corp. (Japan)		24,000		90,737
UOL Group Ltd. (Singapore)		23,000		70,930
Wheelock & Co. Ltd. (Hong Kong)		11,000		27,250
				874,623
Road & Rail — 0.5%
Central Japan Railway Co. (Japan)		15		126,673
CSX Corp.		112,600		2,371,356
East Japan Railway Co. (Japan)		2,700		171,885
Nippon Express Co. Ltd. (Japan)		8,000		31,181
Norfolk Southern Corp.		36,900		2,688,534
Ryder System, Inc.		4,900		260,386
Union Pacific Corp.		50,100		5,307,594
West Japan Railway Co. (Japan)		1,000		43,458
				11,001,067
Semiconductors & Semiconductor Equipment — 1.3%
Advanced Micro Devices, Inc.*(a)		55,700		300,780
Altera Corp.		33,200		1,231,720
Analog Devices, Inc.		32,400		1,159,272
Applied Materials, Inc.		134,600		1,441,566
Broadcom Corp. (Class A Stock)		48,750		1,431,300
First Solar, Inc.*(a)		5,500		185,680
Intel Corp.		534,600		12,964,050
KLA-Tencor Corp.		17,100		825,075
Linear Technology Corp.		24,400		732,732
LSI Corp.*		65,700		390,915

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Microchip Technology, Inc.(a)		19,400	$	710,622
Micron Technology, Inc.*		87,900		552,891
Novellus Systems, Inc.*		8,800		363,352
NVIDIA Corp.*(a)		61,450		851,697
Teradyne, Inc.*(a)		19,800		269,874
Texas Instruments, Inc.		118,600		3,452,446
Xilinx, Inc.		27,100		868,826
				27,732,798
Software — 1.9%
Adobe Systems, Inc.*		51,500		1,455,905
Autodesk, Inc.*		24,700		749,151
BMC Software, Inc.*		19,900		652,322
CA, Inc.		37,064		749,249
Citrix Systems, Inc.*		19,100		1,159,752
Dassault Systemes SA (France)		120		9,618
Electronic Arts, Inc.*		33,600		692,160
Intuit, Inc.		31,300		1,646,067
Microsoft Corp.		768,000		19,937,280
Nice Systems Ltd. (Israel)*		1,535		52,201
Oracle Corp.		405,800		10,408,770
Red Hat, Inc.*		18,800		776,252
Salesforce.com, Inc.*		12,900		1,308,834
SAP AG (Germany)		3,428		181,238
Symantec Corp.*		77,178		1,207,836
				40,986,635
Specialty Retail — 1.1%
Abercrombie & Fitch Co. (Class A Stock)		8,300		405,372
AutoNation, Inc.*(a)		3,874		142,834
AutoZone, Inc.*		3,000		974,910
Bed Bath & Beyond, Inc.*		25,400		1,472,438
Best Buy Co., Inc.		32,925		769,457
CarMax, Inc.*(a)		24,000		731,520
GameStop Corp. (Class A Stock)*(a)		13,600		328,168
Gap, Inc. (The)		37,900		703,045
Hennes & Mauritz AB (Sweden) (Class B Stock)		362		11,641
Home Depot, Inc. (The)		162,550		6,833,602
Inditex SA (Spain)		1,070		87,633
Kingfisher PLC (United Kingdom)		18,431		71,758
Limited Brands, Inc.(a)		25,706		1,037,237
Lowe’s Cos., Inc.(a)		131,700		3,342,546
Orchard Supply Hardware Stores Corp. (Class A Stock)*		200		449
O’Reilly Automotive, Inc.*		14,600		1,167,270
Ross Stores, Inc.		23,800		1,131,214
Staples, Inc.		74,049		1,028,541
Tiffany & Co.		13,000		861,380
TJX Cos., Inc.		39,100		2,523,905
Urban Outfitters, Inc.*(a)		11,100		305,916
USS Co. Ltd. (Japan)		590		53,351
Yamada Denki Co. Ltd. (Japan)		760		51,740
				24,035,927
Textiles, Apparel & Luxury Goods — 0.4%
Christian Dior SA (France)		168		19,919
Cie Financiere Richemont SA (Switzerland)		1,680		84,975

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods (continued)
Coach, Inc.		30,700	$	1,873,928
LVMH Moet Hennessy Louis Vuitton SA (France)		622		88,069
NIKE, Inc. (Class B Stock)		38,700		3,729,519
Ralph Lauren Corp. (Class A Stock)		6,600		911,328
Swatch Group AG (The) (Bearer Shares) (Switzerland)		106		39,667
Swatch Group AG (The) (Registered Shares) (Switzerland)		883		58,848
V.F. Corp.(a)		8,900		1,130,211
				7,936,464
Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.(a)		49,900		311,875
People’s United Financial, Inc.		36,300		466,455
				778,330
Tobacco — 1.1%
Altria Group, Inc.		213,800		6,339,170
British American Tobacco PLC (United Kingdom)		3,977		188,715
Imperial Tobacco Group PLC (United Kingdom)		4,986		188,547
Lorillard, Inc.		14,647		1,669,758
Philip Morris International, Inc.		181,400		14,236,272
Reynolds American, Inc.		34,800		1,441,416
Swedish Match AB (Sweden)		670		23,783
				24,087,661
Trading Companies & Distributors — 0.1%
Fastenal Co.(a)		30,100		1,312,661
ITOCHU Corp. (Japan)		8,000		81,278
Marubeni Corp. (Japan)		10,000		60,933
Mitsubishi Corp. (Japan)		3,400		68,689
Mitsui & Co. Ltd. (Japan)		3,700		57,541
Sumitomo Corp. (Japan)		7,700		104,241
Toyota Tsusho Corp. (Japan)		2,900		51,278
W.W. Grainger, Inc.		6,200		1,160,578
				2,897,199
Transportation Infrastructure
Atlantia SpA (Italy)		710		11,367
Kamigumi Co. Ltd. (Japan)		3,000		25,880
				37,247
Wireless Telecommunication Services — 0.2%
American Tower Corp. (Class A Stock)		40,500		2,430,405
KDDI Corp. (Japan)		19		122,190
MetroPCS Communications, Inc.*		29,500		256,060
Millicom International Cellular SA (Luxembourg)		185		18,535
Softbank Corp. (Japan)		3,300		97,195
Sprint Nextel Corp.*		322,977		755,766
Vodafone Group PLC (United Kingdom)		112,485		312,517
				3,992,668
TOTAL COMMON STOCKS (cost $840,097,921)				1,199,361,605

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

EXCHANGE TRADED FUND	Shares		Value (Note 2)
iShares MSCI EAFE Index Fund (cost $452,631)		9,100	$	450,723
PREFERRED STOCKS — 0.1%
Automobiles
Bayerische Motoren Werke AG (Germany)		317		14,996
Porsche Automobil Holding SE (Germany)		1,428		76,422
Volkswagen AG (Germany)		821		122,994
				214,412
Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(c)		20,000		521,200

PREFERRED STOCKS (continued)	Shares		Value (Note 2)
Banking (continued)
JPMorgan Chase Capital XXVI, 8.000% (Capital Security, fixed to floating preferred)(c)		28,000	$	725,200
				1,246,400
Household Products
Henkel AG & Co. KGaA (Germany)		145		8,368
Multi-Utilities
RWE AG (Germany)		408		13,431
Specialty Retail
Orchard Supply Hardware Stores Corp., Ser. A*		200		449
TOTAL PREFERRED STOCKS (cost $1,478,911)				1,483,060

ASSET-BACKED SECURITIES — 1.2%	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#
Non-Residential Mortgage-Backed Securities — 0.8%
Apidos CDO (Cayman Islands), Ser. 2006-4A, Class A1, 144A(c)	Aaa		0.672%	10/27/18	$	1,000	$	952,556
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(c)	Aaa		2.066%	05/17/21		500		493,465
BA Credit Card Trust, Ser. 2006-C5, Class C5(c)	A3		0.678%	01/15/16		4,159		4,101,408
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.756%	05/25/17		1,908		1,840,350
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.682%	08/03/19		454		436,765
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(c)	Baa2		0.685%	02/20/15		1,500		1,486,562
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(c)	Aaa		0.772%	07/27/16		49		48,670
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(c)	Aaa		0.666%	07/22/20		817		764,869
Fuel Trust, Sec’d. Notes, 144A	Baa2		3.984%	06/15/16		430		429,942
Fuel Trust, Sec’d. Notes, 144A	Baa2		4.207%	04/15/16		1,440		1,452,224
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.663%	12/15/17		1,139		1,113,531
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(c)	Aaa		0.763%	07/15/16		92		90,879
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(c)	Aaa		0.646%	10/19/20		1,257		1,194,699
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(c)	Aaa		0.787%	06/01/17		500		475,000
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2004-3A, Class A1LA, 144A(c)	Aaa		0.872%	02/15/16		165		165,026
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(c)	Aaa		0.796%	03/15/18		395		378,922
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		224		229,052
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(c)	Aaa		0.679%	11/01/18		2,100		1,994,120
								17,648,040
Residential Mortgage-Backed Securities — 0.4%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(c)	B2		1.944%	03/25/33		533		315,672
CDC Mortgage Capital Trust, Ser. 2003-HE1, Class M2(c)	Ca		3.219%	08/25/33		42		22,861
Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(c)	Baa1		1.044%	03/25/34		3,240		2,284,019
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3	B3		5.120%	07/25/35		395		324,655
Equity One ABS, Inc., Ser. 2004-3, Class M1	Baa1		5.700%	07/25/34		868		688,542
Fremont Home Loan Trust, Ser. 2004-2, Class M1(c)	Aa2		1.149%	07/25/34		506		373,259

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(c)	Aa1		0.775%	01/20/35	$	385	$	333,864
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(c)	B1		0.824%	06/25/34		1,074		764,149
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(c)	Ba2		1.494%	05/25/33		260		196,706
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(c)	Baa2		1.344%	12/27/33		1,468		1,162,585
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(c)	Caa3		1.194%	07/25/32		782		551,063
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(c)	B2		1.569%	09/25/32		913		703,920
Securitized Asset Backed Receivables LLC, Ser. 2004-OP1, Class M1(c)	Ba3		1.059%	02/25/34		1,413		1,036,493
Securitized Asset Backed Receivables LLC, Ser. 2006-FR3, Class A3(c)	Ca		0.544%	05/25/36		1,400		454,089
								9,211,877
TOTAL ASSET-BACKED SECURITIES (cost $29,377,550)								26,859,917
BANK LOANS(c) — 0.2%
Cable
Insight Midwest Holding LLC	Ba3		1.270%	10/06/13		678		669,448
Foods
Del Monte Foods Co.	Ba3		4.500%	03/08/18		1,025		971,045
Healthcare & Pharmaceutical — 0.1%
HCA, Inc.	Ba3		3.688%	05/01/18		370		348,567
HCA, Inc.	Ba3		3.829%	03/31/17		886		839,351
								1,187,918
Technology — 0.1%
First Data Corp.	B1		3.044%	09/24/14		126		113,668
First Data Corp.	B1		3.044%	09/24/14		93		83,357
First Data Corp.	B1		4.294%	03/26/18		2,055		1,717,546
Flextronics International Ltd. (Singapore)	Ba1		2.520%	10/01/14		414		404,983
Flextronics International Ltd. (Singapore)	Ba1		2.546%	10/01/14		119		117,044
								2,436,598
TOTAL BANK LOANS (cost $5,707,415)								5,265,009
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,597		1,849,910
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(c)	B2		2.875%	02/25/35		616		504,363
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(c)	Caa1		2.835%	03/25/35		640		493,754
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(c)	Ba2		2.760%	02/25/37		1,558		1,413,271
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		858		874,160
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(c)	B1		2.782%	07/25/35		982		864,207
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		223		228,328
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(c)	Baa1		2.480%	02/25/34		691		616,250
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(d)		5.000%	03/25/20		568		505,907
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $8,703,512)								7,350,150
COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.0%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		3,680		3,800,785
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		2,000		2,033,582
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(c)	Aaa		5.622%	06/10/49		3,779		3,816,463

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45	$	3,400	$	3,586,306
Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11, Class A4(c)	AAA(d)		5.441%	03/11/39		1,200		1,330,325
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(c)	Aaa		5.344%	01/15/46		1,000		1,081,202
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A(c)	AA-(d)		5.440%	09/15/30		714		742,481
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(c)	AAA(d)		5.751%	06/10/46		4,000		4,416,992
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		2,161		2,167,505
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		900		947,458
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(c)	AAA(d)		5.419%	02/15/39		4,330		4,791,963
CS First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4	Aaa		4.283%	10/15/39		107		107,664
CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4	AAA(d)		5.100%	08/15/38		3,000		3,284,139
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(c)	AAA(d)		5.816%	05/15/46		2,100		2,221,498
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(d)		4.697%	05/10/43		2,610		2,824,002
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(c)	Aaa		5.224%	04/10/37		1,400		1,498,956
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,107		3,124,200
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(c)	Aaa		5.778%	08/10/45		2,004		2,037,302
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB(c)	Aaa		4.853%	03/15/46		2,094		2,177,785
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42		452		455,835
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,035,081
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		3,803		3,956,429
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(c)	Aa2		4.999%	10/15/42		1,170		1,230,867
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		1,861		1,990,103
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP6, Class A4(c)	Aaa		5.475%	04/15/43		2,436		2,679,710
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A2(c)	Aaa		5.802%	06/15/49		1,991		2,013,217
JPMorgan Chase Commercial Mortgage Securities Corp. I/O, Ser. 2006-LDP6, Class X2(c)	Aaa		0.223%	04/15/43		101,779		123,866
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(c)	AAA(d)		4.826%	08/15/29		4,614		4,691,923
LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5	Aaa		4.739%	07/15/30		695		750,183
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(c)	AA(d)		5.263%	11/15/40		1,390		1,468,114
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(d)		5.084%	02/15/31		3,037		3,068,088
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,773
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(c)	Aaa		5.661%	03/15/39		1,630		1,791,740
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		1,900		2,002,136
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(c)	AAA(d)		5.666%	05/12/39		3,400		3,791,507
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4	Aaa		5.878%	06/12/46		2,210		2,466,733
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-5, Class A3	Aaa		5.364%	08/12/48		440		455,499
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		4,460		4,472,390
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(c)	Aaa		5.417%	03/12/44		1,500		1,642,807

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(c)	AAA(d)		5.728%	10/15/42	$	2,600	$	2,870,876
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(d)		5.332%	12/15/43		4,080		4,560,424
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		4,400		4,610,074
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(c)	AAA(d)		5.638%	06/11/42		1,040		1,099,864
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(c)	Aaa		5.418%	01/15/45		1,300		1,416,229
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(c)	Aaa		5.737%	05/15/43		5,188		5,741,260
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		2,000		2,108,744
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $99,671,124)								108,539,080
CORPORATE BONDS — 10.7%
Aerospace & Defense
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		475		469,324
Airlines — 0.2%
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. 01A1(e)	Baa2		6.703%	06/15/21		128		129,633
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. 981A	Baa2		6.648%	09/15/17		215		219,513
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. A(a)	Baa2		4.750%	01/12/21		735		746,025
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. A	Baa2		7.250%	11/10/19		672		715,651
Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-thru Certs., Ser. A(a)	Baa2		5.300%	04/15/19		1,140		1,151,400
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. 071A	Baa1		6.821%	08/10/22		378		394,696
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. 2A(a)	Baa2		4.950%	05/23/19		662		670,768
Southwest Airlines Co., Sr. Unsec’d. Notes	Baa3		6.500%	03/01/12		965		972,742
								5,000,428
Automotive
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN.	Baa1		5.750%	12/15/14		495		534,392
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		235		262,941
								797,333
Banking — 3.0%
American Express Co., Sr. Unsec’d. Notes	A3		8.125%	05/20/19		2,000		2,585,742
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%	09/19/16		1,210		1,215,929
Banco Bradesco SA (Brazil), Sub. Notes	A2		8.750%	10/24/13		1,690		1,850,550
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(c)	Ba3		8.000%	12/29/49		2,100		1,880,424
Bank of America Corp., Sr. Unsec’d. Notes	Baa1		4.500%	04/01/15		185		178,522
Bank of America Corp., Sr. Unsec’d. Notes(f)	Baa1		6.000%	09/01/17		1,330		1,298,915
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa1		3.750%	07/12/16		790		731,476
Bank of America Corp., Sr. Unsec’d. Notes, Ser. L, MTN	Baa1		5.650%	05/01/18		105		100,039
Bank of America NA, Sub. Notes	A3		5.300%	03/15/17		850		766,624
Bank of America NA, Sub. Notes	A3		6.000%	10/15/36		805		669,546
Bank of Montreal (Canada), Covered Notes, 144A	Aaa		1.300%	10/31/14		3,000		2,994,852
Bank of Nova Scotia (Canada), Covered Notes, 144A	Aaa		1.250%	11/07/14		2,750		2,738,381
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	Aa3		5.300%	10/30/15		550		591,464
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	Aa3		6.400%	10/02/17		270		301,652
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	Aa3		7.250%	02/01/18		1,135		1,330,618
Capital One Bank Corp., Sub. Notes	Baa1		6.500%	06/13/13		10		10,548
Capital One Capital V, Ltd. Gtd. Notes	Baa3		10.250%	08/15/39		555		575,813
Capital One Capital VI, Ltd. Gtd. Notes	Baa3		8.875%	05/15/40		1,130		1,172,817
Citigroup, Inc., Sr. Unsec’d. Notes	A3		4.500%	01/14/22		2,125		2,044,299

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Citigroup, Inc., Sr. Unsec’d. Notes(a)	A3		5.375%	08/09/20	$	595	$	611,821
Citigroup, Inc., Sr. Unsec’d. Notes	A3		6.875%	03/05/38		320		351,556
Citigroup, Inc., Sr. Unsec’d. Notes	A3		8.125%	07/15/39		850		1,040,682
Citigroup, Inc., Sub. Notes(a)	Baa1		5.625%	08/27/12		1,900		1,928,696
Citigroup, Inc., Sub. Notes	Baa1		6.125%	08/25/36		725		627,132
Citigroup, Inc., Unsec’d. Notes(a)	A3		8.500%	05/22/19		1,195		1,406,618
Countrywide Financial Corp., Gtd. Notes, MTN(a)(e)	Baa1		5.800%	06/07/12		1,160		1,162,441
DEPFA ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%	03/16/37		1,325		947,201
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		485		507,440
Discover Bank, Sub. Notes	Ba1		8.700%	11/18/19		900		1,026,167
Goldman Sachs Group, Inc. (The), Sr. Notes	A1		6.250%	02/01/41		220		215,826
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.250%	07/27/21		2,305		2,248,620
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.450%	11/01/12		580		589,848
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, MTN	A1		6.000%	06/15/20		700		717,053
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		5.625%	01/15/17		765		750,153
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.450%	05/01/36		1,770		1,597,108
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.750%	10/01/37		113		105,148
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa2		4.875%	01/14/22		1,730		1,828,425
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa2		5.100%	04/05/21		920		977,586
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		150		170,000
JPMorgan Chase & Co., Ser. 1(a)(c)	Baa1		7.900%	04/29/49		2,000		2,129,380
JPMorgan Chase & Co., Sr. Unsec’d. Notes	Aa3		3.150%	07/05/16		1,935		1,944,056
JPMorgan Chase & Co., Sr. Unsec’d. Notes	Aa3		4.250%	10/15/20		2,360		2,376,574
JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA	A2		7.000%	11/01/39		1,500		1,509,375
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A1		5.800%	01/13/20		1,770		1,680,399
Morgan Stanley, Sr. Unsec’d. Notes(a)	A2		5.300%	03/01/13		30		30,367
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.500%	07/28/21		635		587,143
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.625%	09/23/19		2,110		1,954,027
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.950%	12/28/17		495		471,604
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		6.625%	04/01/18		100		98,744
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	A2		5.450%	01/09/17		2,530		2,435,793
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes.(c)	Ba1		6.346%	07/25/49		800		812,513
National Bank of Canada (Canada), Covered Notes, 144A	Aaa		2.200%	10/19/16		1,045		1,053,652
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		925		941,627
PNC Funding Corp., Gtd. Notes.	A3		6.700%	06/10/19		390		475,816
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	A3		6.400%	10/21/19		1,775		1,661,734
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A2		3.400%	08/23/13		95		92,422
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A(a)	Aaa		1.625%	09/14/16		2,600		2,565,776
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39		755		767,050
								65,435,784
Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		5.250%	02/06/12		1,850		474,062
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		6.875%	05/02/18		700		185,500
								659,562
Cable — 0.4%
Charter Communications Operating LLC, Sec’d. Notes, 144A	Ba2		8.000%	04/30/12		1,940		1,978,800
Comcast Cable Holdings LLC, Gtd. Notes	Baa1		9.875%	06/15/22		1,440		2,063,991
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		310		372,444
Comcast Corp., Gtd. Notes	Baa1		6.950%	08/15/37		290		368,969
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		605		623,709
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		171,744
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		4.750%	10/01/14		1,755		1,895,690
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		386,281
								7,861,628

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods — 0.2%
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $459,646; purchased 10/10/07)(e)(h)	Baa1		5.800%	10/15/12	$	460	$	475,896
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(e)(h)	Baa1		6.375%	10/15/17		1,198		1,384,352
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(e)(h)	Baa1		7.000%	10/15/37		390		469,199
General Electric Co., Sr. Unsec’d. Notes	Aa2		5.250%	12/06/17		320		367,284
Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A	A1		4.875%	09/15/41		180		204,811
United Technologies Corp., Sr. Unsec’d. Notes	A2		5.375%	12/15/17		515		609,207
Xylem, Inc., Gtd. Notes, 144A	Baa2		4.875%	10/01/21		1,060		1,123,341
								4,634,090
Chemicals — 0.2%
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		7.600%	05/15/14		1,600		1,809,309
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		35		52,609
Ecolab, Inc., Sr. Unsec’d. Notes(a)	Baa1		5.500%	12/08/41		290		321,361
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		780		825,863
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		135		156,350
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.500%	06/01/25		500		590,116
								3,755,608
Consumer — 0.2%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,600		1,818,712
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		1,104		1,206,120
VF Corp., Sr. Unsec’d. Notes	A3		3.500%	09/01/21		520		540,176
								3,565,008
Electric — 0.8%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa2		6.250%	08/01/16		170		199,499
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa2		6.350%	10/01/36		530		669,447
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		1,070		1,123,086
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		300		409,107
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		145		176,788
Consumers Energy Co., First Mtge. Bonds, Ser. D	A3		5.375%	04/15/13		435		457,710
Duke Energy Carolinas LLC, First Mtge. Bonds(a)	A1		6.050%	04/15/38		530		693,840
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		845		997,848
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,160		1,382,285
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	A3		6.000%	10/07/39		1,260		1,014,106
Exelon Corp., Sr. Unsec’d. Notes	Baa1		4.900%	06/15/15		195		210,108
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	A3		6.250%	10/01/39		1,375		1,675,427
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		380		486,009
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		470		557,706
Iberdrola International BV (Netherlands), Gtd. Notes	A3		6.750%	09/15/33		140		148,858
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		575		626,721
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		325		384,054
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa2		6.500%	05/15/18		1,210		1,451,849
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		545		609,462
NSTAR, Sr. Unsec’d. Notes	A2		4.500%	11/15/19		605		669,338
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(a)	Baa1		6.375%	01/15/15		465		531,347
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa1		7.000%	09/01/22		30		38,429
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		135		157,805
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN.	A2		5.800%	05/01/37		515		660,358
Southern California Edison Co., Ser. 04-F	A1		4.650%	04/01/15		610		673,871
Xcel Energy, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.800%	09/15/41		480		523,071
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		263		298,301
								16,826,430

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20	$	480	$	528,658
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		960		1,029,661
								1,558,319
Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.375%	09/15/17		1,070		1,240,273
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.450%	09/15/36		305		347,731
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.950%	06/15/19		225		268,610
Nabors Industries, Inc., Gtd. Notes, 144A	Baa2		4.625%	09/15/21		890		903,977
Pioneer Natural Resources Co., Sr. Unsec’d. Notes(a)	Ba1		6.875%	05/01/18		1,450		1,639,915
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		140		155,516
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		685		711,837
Weatherford International Ltd. (Bermuda), Gtd. Notes	Baa2		6.500%	08/01/36		25		27,227
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,660		1,740,308
								7,035,394
Foods — 0.4%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		8.000%	11/15/39		1,160		1,797,468
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		8.200%	01/15/39		230		362,611
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		650		666,250
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		708		774,155
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,000		1,048,853
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		860		1,046,826
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $646,913; purchased 11/19/07)(e)(h)	A2		6.000%	11/27/17		650		766,273
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		460		540,649
J.M. Smucker Co. (The), Gtd. Notes	A3		3.500%	10/15/21		410		419,450
Kroger Co. (The), Gtd. Notes	Baa2		6.750%	04/15/12		215		218,581
Safeway, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	12/01/21		480		491,694
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		695		807,937
Tyson Foods, Inc., Gtd. Notes(a)	Ba1		6.850%	04/01/16		785		861,537
								9,802,284
Healthcare & Pharmaceutical — 0.3%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,590		1,648,328
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,060		2,084,975
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes	A1		6.450%	09/15/37		480		647,435
Genentech, Inc., Sr. Unsec’d. Notes	AA-(d)		4.750%	07/15/15		270		301,169
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		470		520,367
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		560		623,418
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		205		256,842
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	08/15/19		440		517,462
								6,599,996
Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		480		596,106
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		540		571,332
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		640		686,524
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,200		1,313,755
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		115		135,262
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		400		508,734
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		410		526,370
WellPoint, Inc., Sr. Unsec’d. Notes	Baa1		5.000%	12/15/14		1,085		1,185,458
								5,523,541
Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		480		480,866
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		655		654,103
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		910		918,399
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		900		952,651

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Axis Specialty Finance LLC, Gtd. Notes	Baa1		5.875%	06/01/20	$	990	$	1,017,820
Chubb Corp. (The)(a)(c)	A3		6.375%	03/29/67		1,260		1,244,250
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		910		966,953
Lincoln National Corp.(c)	Ba1		6.050%	04/20/67		250		208,125
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		476		490,494
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		660		746,155
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		505		614,261
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		960		1,071,499
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		85		100,478
MetLife, Inc., Sr. Unsec’d. Notes(a)	A3		6.750%	06/01/16		270		311,050
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		650		830,015
Northwestern Mutual Life Insurance, Notes, 144A(a)	Aa2		6.063%	03/30/40		350		420,151
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.350%	04/01/13		1,000		1,044,837
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		640		695,992
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		870		1,158,552
Progressive Corp. (The)(c)	A2		6.700%	06/15/37		715		722,150
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,430		1,835,265
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		315		324,346
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		705		747,931
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		575		605,513
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		110		116,327
								18,278,183
Lodging — 0.2%
Host Marriott LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		750		763,125
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Ba1		6.250%	02/15/13		1,585		1,636,512
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)	Ba1		6.750%	05/15/18		2,700		3,051,000
								5,450,637
Media & Entertainment — 0.4%
Gannett Co., Inc., Sr. Unsec’d. Notes	Ba2		6.375%	04/01/12		2,500		2,512,500
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		250		273,278
News America, Inc., Gtd. Notes(a)	Baa1		6.150%	02/15/41		475		547,481
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		35		40,459
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,265		1,527,843
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		175		206,133
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		495		593,481
Time Warner, Inc., Gtd. Notes	Baa2		7.250%	10/15/17		745		892,679
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		155		200,087
Time Warner, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		625		854,912
Viacom, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	10/05/37		420		521,216
								8,170,069
Metals — 0.3%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a)	Baa3		6.125%	06/01/18		860		849,303
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		125		148,002
Peabody Energy Corp., Sr. Unsec’d. Notes, 144A	Ba1		6.000%	11/15/18		1,275		1,300,500
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(d)		4.500%	05/15/13		255		265,635
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		120		131,076
Steel Dynamics, Inc., Gtd. Notes	Ba2		7.375%	11/01/12		900		937,125
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes(a)	Baa2		6.875%	11/10/39		745		853,323
Xstrata Canada Financial Corp. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		995		1,000,082
								5,485,046
Non-Captive Finance — 0.5%
CIT Group, Inc., Sec’d. Notes, 144A	B2		7.000%	05/04/15		250		250,313
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN.	Aa2		5.875%	01/14/38		970		1,027,799
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(i)	Aa2		6.000%	08/07/19		3,010		3,457,370

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance (continued)
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	Aa2		6.875%	01/10/39	$	730	$	874,563
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		5.750%	05/15/16		230		213,335
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	B1		6.375%	03/25/13		1,750		1,741,250
SLM Corp., Sr. Notes, MTN.	Ba1		6.250%	01/25/16		365		354,955
SLM Corp., Sr. Unsec’d. Notes, MTN(a)	Ba1		8.000%	03/25/20		1,000		1,010,000
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,025		1,055,750
								9,985,335
Packaging
Sealed Air Corp., Sr. Unsec’d. Notes, 144A	B1		6.875%	07/15/33		450		393,750
Paper — 0.2%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(e)(h)	Baa3		5.400%	11/01/20		275		304,603
International Paper Co., Sr. Unsec’d. Notes(a)	Baa3		6.000%	11/15/41		740		803,354
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		615		748,596
Rock-Tenn Co., Gtd. Notes	Ba2		9.250%	03/15/16		1,530		1,621,800
								3,478,353
Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		610		597,554
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		500		553,828
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		130		153,741
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		80		83,779
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		3,310		3,753,288
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		205		214,915
								5,357,105
Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		735		937,359
CSX Corp., Sr. Unsec’d. Notes	Baa3		6.150%	05/01/37		690		829,759
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		630		727,744
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		7.800%	05/15/27		24		33,965
								2,528,827
Real Estate Investment Trusts — 0.3%
Brandywine Operating Partnership LP, Gtd. Notes	Baa3		5.750%	04/01/12		391		393,491
HCP, Inc., Sr. Unsec’d. Notes(a)	Baa2		2.700%	02/01/14		670		669,026
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		685		816,267
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		5.450%	06/01/12		545		551,860
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		6.300%	06/01/13		650		679,333
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		68		75,502
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		550		561,788
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		2,700		3,099,613
								6,846,880
Retailers — 0.2%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		335		407,656
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		345		423,964
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1		5.350%	03/15/12		330		332,263
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Ba1		5.875%	01/15/13		2,000		2,059,098
Nordstrom, Inc., Sr. Unsec’d. Notes	Baa1		4.000%	10/15/21		220		229,335
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(a)	Aa2		5.625%	04/15/41		650		840,061
								4,292,377
Technology — 0.2%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		370		370,476
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		330		336,004
Intuit, Inc., Sr. Unsec’d. Notes	Baa1		5.400%	03/15/12		575		579,859

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology (continued)
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14	$	1,225	$	1,385,781
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,650		2,793,090
								5,465,210
Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		560		665,816
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		18		25,426
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		323		363,343
AT&T, Inc., Sr. Unsec’d. Notes(a)	A2		5.550%	08/15/41		1,195		1,407,013
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,115		1,418,324
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		350		493,255
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		2,400		3,239,280
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/12/06)(e)(h)	Baa3		7.082%	06/01/16		325		352,282
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,667,844; purchased 05/12/06-04/10/07)(e)(h)	Baa3		7.995%	06/01/36		1,645		1,704,529
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		170		163,299
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.175%	06/18/19		440		412,328
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		1,260		1,040,694
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		5.877%	07/15/19		325		321,187
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		7.045%	06/20/36		210		204,765
US Cellular Corp., Sr. Unsec’d. Notes	Baa2		6.700%	12/15/33		255		256,038
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.400%	02/15/38		55		69,817
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		700		749,000
								12,886,396
Tobacco — 0.3%
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		3,040		4,090,056
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		130		197,728
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		850		1,322,702
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		290		345,447
Reynolds American, Inc., Gtd. Notes	Baa3		7.250%	06/15/37		285		330,591
								6,286,524
TOTAL CORPORATE BONDS (cost $221,611,277)								234,429,421
MORTGAGE-BACKED SECURITIES — 11.9%
Federal Home Loan Mortgage Corp.(c)			2.386%	06/01/36		680		711,127
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		1,500		1,548,281
Federal Home Loan Mortgage Corp.			3.500%	TBA 15 YR		1,000		1,042,344
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		7,366		7,762,682
Federal Home Loan Mortgage Corp.			4.000%	TBA 30 YR		2,500		2,621,875
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		27,358		29,021,481
Federal Home Loan Mortgage Corp.			4.500%	TBA 30 YR		1,000		1,059,531
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-05/01/34		5,920		6,400,299
Federal Home Loan Mortgage Corp.			5.000%	TBA 30 YR		8,000		8,596,249
Federal Home Loan Mortgage Corp.(c)			5.227%	12/01/35		1,325		1,412,073
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-05/01/38		5,453		5,938,975
Federal Home Loan Mortgage Corp.			5.500%	TBA 30 YR		8,500		9,222,500
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-12/01/33		1,427		1,591,577
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		3,000		3,294,375
Federal Home Loan Mortgage Corp.			6.500%	12/01/14-09/01/16		104		108,988
Federal Home Loan Mortgage Corp.			7.000%	05/01/31-10/01/32		735		843,533
Federal National Mortgage Association(c)			2.016%	07/01/33		619		647,352
Federal National Mortgage Association			3.500%	06/01/39		1,882		1,937,215

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

MORTGAGE-BACKED SECURITIES (continued)		Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Association			3.500%	TBA 15 YR	$	5,000	$	5,228,125
Federal National Mortgage Association			4.000%	TBA 30 YR		7,500		7,878,516
Federal National Mortgage Association			4.000%	TBA 30 YR		5,000		5,239,063
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		19,683		21,097,923
Federal National Mortgage Association			5.000%	10/01/18-05/01/36		9,020		9,757,074
Federal National Mortgage Association			5.000%	TBA 30 YR		3,000		3,234,375
Federal National Mortgage Association			5.500%	03/01/16-04/01/37		18,078		19,785,800
Federal National Mortgage Association(c)			5.545%	07/01/37		778		828,263
Federal National Mortgage Association(c)			5.581%	06/01/37		212		226,167
Federal National Mortgage Association			6.000%	04/01/13-06/01/38		16,081		17,853,199
Federal National Mortgage Association			6.000%	TBA 30 YR		1,000		1,101,094
Federal National Mortgage Association			6.500%	07/01/17-01/01/37		6,133		6,921,884
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		471		547,713
Federal National Mortgage Association			7.500%	05/01/12-05/01/32		149		176,740
Government National Mortgage Association			3.500%	TBA 30 YR		4,500		4,683,515
Government National Mortgage Association			4.000%	05/20/41		424		454,779
Government National Mortgage Association			4.000%	TBA 30 YR		18,500		19,844,140
Government National Mortgage Association			4.000%	TBA 30 YR		5,000		5,347,656
Government National Mortgage Association			4.500%	01/20/41		2,807		3,067,595
Government National Mortgage Association			4.500%	TBA 30 YR		17,250		18,745,897
Government National Mortgage Association			4.500%	TBA 30 YR		1,500		1,634,297
Government National Mortgage Association			5.000%	TBA 30 YR		6,000		6,633,750
Government National Mortgage Association			5.000%	TBA 30 YR		4,500		4,985,157
Government National Mortgage Association			5.500%	08/15/33-04/15/36		5,321		6,015,950
Government National Mortgage Association			6.000%	11/15/23-07/15/34		1,752		1,994,548
Government National Mortgage Association			6.500%	10/15/23-09/15/36		3,346		3,843,736
Government National Mortgage Association			8.000%	01/15/24-07/15/24		48		56,206
TOTAL MORTGAGE-BACKED SECURITIES (cost $250,615,644)								260,943,619
	Moody’s Ratings (Unaudited)†
MUNICIPAL BONDS — 0.6%
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,305		1,695,704
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		970		1,186,242
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		945		1,133,735
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,000		1,426,270
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,100		1,294,084
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		415		475,984
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		275		310,819
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		425		520,009
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		505		574,094
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		625		812,138
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		1,250		1,489,312
State of California, General Obligation Unlimited, BABs	A1		7.500%	04/01/34		350		418,842
State of California, General Obligation Unlimited, BABs	A1		7.550%	04/01/39		245		299,821
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		205		253,591
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		305		355,066
TOTAL MUNICIPAL BONDS (cost $10,072,626)								12,245,711

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

NON-CORPORATE FOREIGN AGENCIES — 0.7%	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Commonwealth Bank of Australia (Australia), 144A	Aaa		2.700%	11/25/14	$	7,220	$	7,501,392
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		800		862,976
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes	Aaa		2.375%	08/25/21		730		729,072
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		439,250
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,100		2,097,375
Export Development Canada (Canada)	Aaa		1.250%	10/26/16		1,530		1,547,341
Export-Import Bank of Korea (South Korea)	A1		4.000%	01/29/21		460		443,912
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		5.125%	06/29/20		365		382,174
Qatar Government International Bond (Qatar), 144A	Aa2		5.250%	01/20/20		285		312,788
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		6.400%	01/20/40		180		211,500
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $14,109,531)								14,527,780
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Federal Home Loan Banks			5.500%	07/15/36		950		1,232,252
Federal Home Loan Mortgage Corp.(a)			5.125%	11/17/17		420		505,718
Resolution Funding Corp. Interest Strip, Bonds(j)			1.620%	04/15/18		2,645		2,396,714
Tennessee Valley Authority			5.880%	04/01/36		85		115,923
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $3,692,072)								4,250,607
U.S. GOVERNMENT TREASURY OBLIGATIONS — 7.0%
U.S. Treasury Bonds(a)			3.750%	08/15/41		55		64,685
U.S. Treasury Bonds			4.250%	11/15/40		175		223,180
U.S. Treasury Bonds			4.375%	05/15/40		3,605		4,683,118
U.S. Treasury Bonds			4.750%	02/15/41		8,755		12,065,484
U.S. Treasury Bonds			6.500%	11/15/26		1,395		2,116,477
U.S. Treasury Bonds			4.375%	05/15/41		2,780		3,622,254
U.S. Treasury Inflation Indexed Note			1.375%	01/15/20		9,032		10,283,797
U.S. Treasury Notes			1.875%	09/30/17		5,650		5,907,340
U.S. Treasury Notes			1.875%	10/31/17		11,550		12,076,068
U.S. Treasury Notes			3.250%	12/31/16		7,220		8,061,578
U.S. Treasury Notes			3.500%	02/15/18		6,000		6,840,468
U.S. Treasury Notes			4.250%	11/15/17		6,475		7,648,089
U.S. Treasury Notes			4.625%	11/15/16		4,135		4,883,179
U.S. Treasury Notes			4.750%	08/15/17		2,110		2,540,571
U.S. Treasury Notes(a)			0.250%	12/15/14		4,335		4,320,777
U.S. Treasury Notes			2.000%	11/15/21		4,515		4,566,498
U.S. Treasury Notes			3.250%	03/31/17		1,420		1,589,957
U.S. Treasury Strips Coupon(k)			1.530%	02/15/19		9,905		8,918,521
U.S. Treasury Strips Coupon(k)			2.480%	05/15/24		16,380		12,080,741
U.S. Treasury Strips Coupon(k)			2.510%	08/15/24		11,695		8,531,994
U.S. Treasury Strips Coupon(k)			2.520%	11/15/24		4,145		2,995,969
U.S. Treasury Strips Coupon(k)			2.740%	11/15/23		12,715		9,563,091
U.S. Treasury Strips Coupon(k)			2.780%	02/15/24		10,000		7,448,860
U.S. Treasury Strips Coupon(k)			3.040%	05/15/25		6,000		4,247,490
U.S. Treasury Strips Coupon(k)			3.380%	05/15/27		2,280		1,493,747
U.S. Treasury Strips Coupon(k)			4.130%	08/15/33		8,260		4,332,593
U.S. Treasury Strips Principal(j)			0.390%	11/15/14		2,150		2,126,036
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $139,508,328)								153,232,562
TOTAL LONG-TERM INVESTMENTS (cost $1,625,098,542)								2,028,939,244

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

SHORT-TERM INVESTMENTS — 18.5%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. GOVERNMENT TREASURY OBLIGATION — 0.2%
U.S. Treasury Bill (cost $3,849,098)(i)(l)		0.047%	06/28/12	$	3,850	$	3,848,864
				Shares
AFFILIATED MUTUAL FUNDS — 18.3%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $124,974,009) (Note 4)(m)					12,896,102		114,259,463
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $287,158,467; includes $134,741,536 of cash collateral received for securities on loan) (Note 4)(m)(n)					287,158,467		287,158,467
TOTAL AFFILIATED MUTUAL FUNDS (cost $412,132,476)							401,417,930
TOTAL SHORT-TERM INVESTMENTS (cost $415,981,574)							405,266,794
TOTAL INVESTMENTS — 111.1% (cost $2,041,080,116)							2,434,206,038
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (11.1)%							(242,591,242	)
NET ASSETS — 100.0%						$	2,191,614,796

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
BABs	Build America Bonds
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
I/O	Interest Only
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
NR	Not Rated by Moody’s or Standard & Poor’s
TBA	To Be Announced

* Non-income producing security.

# Principal amount shown in U.S. dollars unless otherwise stated.

† The ratings reflected are as of December 31, 2011. Ratings of certain bonds may have changed subsequent to that date.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $131,130,353; cash collateral of $134,741,536 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Stapled Security — A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

(c) Indicates a variable rate security. The interest rate shown reflects the rate in effect at December 31, 2011.

(d) Standard & Poor’s Rating.

(e) Indicates a security that has been deemed illiquid.

(f) Represents security, or a portion thereof, segregated as collateral for swap agreements.

(g) Represents issuer in default on interest payments and/or principal repayment; non-income producing security.

(h) Indicates a restricted security; the aggregate original cost of such securities is $4,997,696. The aggregate value of $5,457,134 is approximately 0.2% of net assets.

(i) Represents security, or a portion thereof, segregated as collateral for futures contracts.

(j) Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2011.

(k) Rate shown reflects the effective yield at December 31, 2011.

(l) Rate quoted represents yield-to-maturity as of purchase date.

(m) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

(n) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

(o) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Long Positions:
272	2 Year U.S. Treasury Notes		Mar. 2012	$	60,001,397	$	59,988,750	$	(12,647	)
397	5 Year U.S. Treasury Notes		Mar. 2012		48,704,931		48,933,352		228,421
405	S&P 500 E-mini		Mar. 2012		24,864,218		25,365,150		500,932
96	S&P 500 Index		Mar. 2012		29,411,501		30,062,400		650,899
6	U.S. Ultra Bond		Mar. 2012		943,273		961,125		17,852
									1,385,457
Short Positions:
164	10 Year U.S. Treasury Notes		Mar. 2012		21,446,298		21,504,500		(58,202	)
251	U.S. Long Bond		Mar. 2012		35,992,824		36,347,938		(355,114	)
									(413,316	)
								$	972,141

Interest rate swap agreements outstanding at December 31, 2011:

Counterparty	Termination Date		Notional Amount (000)#		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Over-the-Counter Swap Agreements:
Morgan Stanley Capital Services, Inc.		11/01/14	$	2,750		0.784%	3 month LIBOR(2)	$	(61,101	)	$	—	$	(61,101	)
Barclays Bank PLC		05/31/16		5,400		1.175%	3 month LIBOR(1)		10,969			—		10,969
Barclays Bank PLC		05/31/16		5,400		1.180%	3 month LIBOR(1)		11,935			—		11,935
Barclays Bank PLC		05/31/16		1,360		1.220%	3 month LIBOR(1)		5,251			—		5,251
Deutsche Bank AG		09/14/16		2,860		1.206%	3 month LIBOR(2)		(15,652	)		—		(15,652	)
Citibank, NA		07/20/21		5,155		3.035%	3 month LIBOR(1)		546,324			—		546,324
Citibank, NA		11/23/21		4,650		2.148%	3 month LIBOR(2)		(466	)		—		(466	)
								$	497,260		$	—	$	497,260

(1) Portfolio pays the floating rate and receives the fixed rate.

(2) Portfolio pays the fixed rate and receives the floating rate.

# Notional amount is shown in U.S. dollars unless otherwise stated.

Credit default swap agreements outstanding at December 31, 2011:

Counterparty	Termination Date		Notional Amount (000)#(2)		Fixed Rate		Reference Entity/Obligation	Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Over-the-Counter Credit Default Swaps on Corporate Issues—Buy Protection(1):
JPMorgan Chase Bank		06/20/14	$	1,110		0.650%	Bunge Ltd. Finance Corp.	$	20,579		$	—		$	20,579
Deutsche Bank AG		03/20/12		2,000		5.000%	Gannett Co., Inc.		(21,836	)		(4,759	)		(17,077	)
Morgan Stanley Capital Services, Inc.		03/20/12		500		5.000%	Gannett Co., Inc.		(5,459	)		(1,720	)		(3,739	)
Deutsche Bank AG		12/20/12		2,000		1.000%	Macy’s Retail Holdings, Inc.		(11,444	)		24,323			(35,767	)
Morgan Stanley Capital Services, Inc.		06/20/18		1,600		1.000%	Newell Rubbermaid, Inc.		49,252			—			49,252
Morgan Stanley Capital Services, Inc.		06/20/18		2,700		0.970%	Simon Property Group LP		78,221			—			78,221
Deutsche Bank AG		06/20/18		2,800		1.150%	Spectra Energy Capital LLC		61,105			—			61,105
Deutsche Bank AG		03/20/14		1,585		7.050%	Starwood Hotels & Resorts Worldwide, Inc.		(207,576	)		—			(207,576	)
Merrill Lynch Capital Services, Inc.		06/20/18		2,700		1.450%	Starwood Hotels & Resorts Worldwide, Inc.		68,334			—			68,334
								$	31,176		$	17,844		$	13,332

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

# Notional amount is shown in U.S. dollars unless otherwise stated.

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which are traded at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,199,361,156	$	—	$	449
Exchange Traded Fund		450,723		—		—
Preferred Stocks		1,482,611		—		449
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—		17,173,040		475,000
Residential Mortgage-Backed Securities		—		9,211,877		—
Bank Loans		—		5,265,009		—
Collateralized Mortgage Obligations		—		7,350,150		—
Commercial Mortgage-Backed Securities		—		108,539,080		—
Corporate Bonds		—		234,429,421		—
Mortgage-Backed Securities		—		260,943,619		—
Municipal Bonds		—		12,245,711		—
Non-Corporate Foreign Agencies		—		14,527,780		—
U.S. Government Agency Obligations		—		4,250,607		—
U.S. Government Treasury Obligations		—		157,081,426		—
Affiliated Mutual Funds		401,417,930		—		—
Other Financial Instruments*
Futures Contracts		972,141		—		—
Interest Rate Swap Agreements		—		497,260		—
Credit Default Swap Agreements		—		13,332		—
Total	$	1,603,684,561	$	831,528,312	$	475,898

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Affiliated Mutual Fund (including 6.1% of collateral received for securities on loan)	18.3	%
Mortgage-Backed Securities	11.9
U.S. Government Treasury Obligations	7.2
Oil, Gas & Consumable Fuels	5.6
Commercial Mortgage-Backed Securities	5.0
Pharmaceuticals	3.5
Banking	3.1
Insurance	2.7
Computers & Peripherals	2.5
IT Services	2.1
Software	1.9

Media	1.7	%
Diversified Telecommunication Services	1.6
Beverages	1.5
Commercial Banks	1.5
Diversified Financial Services	1.5
Aerospace & Defense	1.4
Chemicals	1.4
Industrial Conglomerates	1.4
Tobacco	1.4
Food & Staples Retailing	1.3
Real Estate Investment Trusts	1.3
Semiconductors & Semiconductor Equipment	1.3
Household Products	1.2
Communications Equipment	1.1
Electric Utilities	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A24

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Energy Equipment & Services	1.1	%
Food Products	1.1
Healthcare Providers & Services	1.1
Hotels, Restaurants & Leisure	1.1
Internet Software & Services	1.1
Machinery	1.1
Specialty Retail	1.1
Capital Markets	1.0
Healthcare Equipment & Supplies	1.0
Electric	0.8
Multi-Utilities	0.8
Non-Residential Mortgage-Backed Securities	0.8
Biotechnology	0.7
Non-Corporate Foreign Agencies	0.7
Air Freight & Logistics	0.6
Municipal Bonds	0.6
Telecommunications	0.6
Metals & Mining	0.5
Multiline Retail	0.5
Non-Captive Finance	0.5
Road & Rail	0.5
Cable	0.4
Consumer Finance	0.4
Foods	0.4
Healthcare & Pharmaceutical	0.4
Internet & Catalog Retail	0.4
Media & Entertainment	0.4
Residential Mortgage-Backed Securities	0.4
Textiles, Apparel & Luxury Goods	0.4
Automobiles	0.3
Collateralized Mortgage Obligations	0.3
Electrical Equipment	0.3
Electronic Equipment, Instruments & Components	0.3
Energy – Other	0.3

Healthcare Insurance	0.3	%
Metals	0.3
Technology	0.3
Airlines	0.2
Capital Goods	0.2
Commercial Services & Supplies	0.2
Consumer	0.2
Life Sciences Tools & Services	0.2
Lodging	0.2
Paper	0.2
Pipelines & Other	0.2
Retailers	0.2
U.S. Government Agency Obligations	0.2
Wireless Telecommunication Services	0.2
Auto Components	0.1
Construction & Engineering	0.1
Containers & Packaging	0.1
Diversified Consumer Services	0.1
Energy – Integrated	0.1
Gas Utilities	0.1
Household Durables	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Office Electronics	0.1
Paper & Forest Products	0.1
Personal Products	0.1
Professional Services	0.1
Railroads	0.1
Trading Companies & Distributors	0.1
	111.1
Liabilities in excess of other assets	(11.1	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premium paid for swap agreements	$	24,323		Premium received for swap agreements	$	6,479
Credit contracts	Unrealized appreciation on swap agreements		277,491		Unrealized depreciation on swap agreements		264,159
Equity contracts	Due to broker — variation margin		1,151,831	*	—		—
Interest rate contracts	Unrealized appreciation on swap agreements		574,479		Unrealized depreciation on swap agreements		77,219
Interest rate contracts	Due to broker — variation margin		246,273	*	Due to broker — variation margin		425,963	*
Total		$	2,274,397			$	773,820

* Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

SEE NOTES TO FINANCIAL STATEMENTS.

A25

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Swaps			Rights			Warrants			Total
Credit contracts	$	—		$	(84,737	)	$	—		$	—		$	(84,737	)
Equity contracts		8,197,262			—			8,260			(10,424	)		8,195,098
Interest rate contracts		(2,677,107	)		665,039			—			—			(2,012,068	)
Total	$	5,520,155		$	580,302		$	8,260		$	(10,424	)	$	6,098,293
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value							Futures			Swaps			Total
Credit contracts							$	—		$	413,002		$	413,002
Equity contracts								41,827			—			41,827
Interest rate contracts								(1,345,998	)		497,260			(848,738	)
Total							$	(1,304,171	)	$	910,262		$	(393,909	)

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities is as follows:

Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$224,887,814	$82,953,126

Interest Rate Swaps (Notional Amount in USD (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))
$22,826	$23,312

SEE NOTES TO FINANCIAL STATEMENTS.

A26

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $131,130,353:
Unaffiliated investments (cost $1,628,947,640)	$	2,032,788,108
Affiliated investments (cost $412,132,476)		401,417,930
Foreign currency, at value (cost $87,949)		87,875
Cash		80,718
Receivable for investments sold		51,299,662
Dividends and interest receivable		7,178,026
Unrealized appreciation on swap agreements		851,970
Foreign tax reclaim receivable		26,264
Premium paid for swap agreements		24,323
Receivable for Series shares sold		21,935
Prepaid expenses		13,476
Total Assets		2,493,790,287
LIABILITIES
Payable for investments purchased		164,952,661
Collateral for securities on loan		134,741,536
Management fee payable		1,018,412
Payable for Series shares repurchased		532,774
Unrealized depreciation on swap agreements		341,378
Accrued expenses and other liabilities		329,569
Due to broker-variation margin		251,756
Premium received for swap agreements		6,479
Affiliated transfer agent fee payable		926
Total Liabilities		302,175,491
NET ASSETS	$	2,191,614,796
Net assets were comprised of:
Paid-in capital	$	1,819,283,952
Retained earnings		372,330,844
Net assets, December 31, 2011	$	2,191,614,796
Net asset value and redemption price per share, $2,191,614,796 / 134,281,948 outstanding shares of beneficial interest	$	16.32

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Interest	$	33,061,237
Unaffiliated dividend income (net of foreign withholding taxes of $118,149)		24,995,489
Affiliated dividend income		2,065,123
Affiliated income from securities loaned, net		249,253
		60,371,102
EXPENSES
Management fee		12,227,210
Shareholders’ reports		385,000
Custodian’s fees and expenses		360,000
Audit fee		36,000
Trustees’ fees		31,000
Insurance expenses		29,000
Legal fees and expenses		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Commitment fee on syndicated credit agreement		8,000
Miscellaneous		52,379
Total expenses		13,153,589
NET INVESTMENT INCOME		47,217,513
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions (including affiliated: $(1,671,086))		42,989,678
Futures transactions		5,520,155
Swap agreement transactions		580,302
Foreign currency transactions		23,060
		49,113,195
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $(72,670))		5,116,051
Securities sold short		4,542
Futures		(1,304,171	)
Swap agreements		910,262
Foreign currencies		(30,037	)
		4,696,647
NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		53,809,842
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	101,027,355

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	47,217,513		$	50,041,489
Net realized gain on investments, swaps and foreign currencies		49,113,195			26,327,189
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies		4,696,647			163,178,375
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		101,027,355			239,547,053
DISTRIBUTIONS		(50,030,858	)		(52,703,504	)
SERIES SHARE TRANSACTIONS:
Series shares sold [648,345 and 812,903 shares, respectively]		10,475,022			12,182,009
Series shares issued in reinvestment of distributions [3,117,187 and 3,642,260 shares, respectively]		50,030,858			52,703,504
Series shares repurchased [9,540,307 and 10,357,369 shares, respectively]		(154,546,244	)		(155,802,464	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(94,040,364	)		(90,916,951	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(43,043,867	)		95,926,598
NET ASSETS:
Beginning of year		2,234,658,663			2,138,732,065
End of year	$	2,191,614,796		$	2,234,658,663

SEE NOTES TO FINANCIAL STATEMENTS.

A27

	DIVERSIFIED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 91.6% ASSET-BACKED SECURITIES — 11.8%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities — 7.8%
Apidos CDO (Cayman Islands), 144A Ser. 2006-4A, Class A1(a)	Aaa		0.672%	10/27/18	$	2,000	$	1,905,112
Ser. 2011-8A, Class A1(a)	Aaa		2.094%	10/17/21		4,000		3,899,776
ARES CLO Funds (Cayman Islands), 144A Ser. 2004-8A, Class A1A(a)	Aaa		0.942%	02/26/16		583		570,334
Ser. 2005-10A, Class A2(a)	Aaa		0.799%	09/18/17		672		655,572
Ser. 2005-10A, Class A3(a)	Aaa		0.799%	09/18/17		572		555,433
BA Credit Card Trust, Ser. 2006-C5, Class C5(a)	A3		0.678%	01/15/16		5,750		5,670,376
Bank One Issuance Trust, Ser. 2004-C2, Class C2(a)	Baa2		1.078%	02/15/17		2,100		2,079,404
Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.833%	06/20/17		5,121		4,795,703
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.756%	05/25/17		954		920,175
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.682%	08/03/19		4,539		4,367,654
Citibank Credit Card Issuance Trust Ser. 2003-C4, Class C4	Baa2		5.000%	06/10/15		6,500		6,776,743
Ser. 2005-C2, Class C2(a)	Baa2		0.764%	03/24/17		2,320		2,258,517
Ser. 2005-C3, Class C3(a)	Baa2		0.688%	07/15/14		5,280		5,267,845
Ser. 2006-C1, Class C1(a)	Baa2		0.685%	02/20/15		6,320		6,263,379
COA Tempus CLO Ltd., Ser. 2010-1A, Class A1, 144A(a)(b)	Aaa		2.309%	04/20/19		2,000		1,991,870
Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, Class A1A, 144A(a)(b)	Aaa		0.619%	04/20/19		1,900		1,821,169
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(a)	Aaa		0.772%	07/27/16		198		194,680
Four Corners CLO (Cayman Islands), 144A Ser. 2005-1A, Class A3(a)	Aaa		0.874%	03/26/17		1,582		1,519,751
Ser. 2006-3A, Class A(a)	Aaa		0.666%	07/22/20		2,042		1,912,172
Fuel Trust, 144A Sec’d. Notes	Baa2		3.984%	06/15/16		1,050		1,049,858
Sec’d. Notes	Baa2		4.207%	04/15/16		3,925		3,958,320
GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a)	Baa3		1.278%	05/15/34		252		89,261
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.663%	12/15/17		1,495		1,461,510
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a)	Aaa		0.763%	07/15/16		647		636,155
Hewett’s Island CDO Ltd. (Cayman Islands), Ser. 2006-4A, Class A, 144A(a)	Aaa		0.701%	05/09/18		2,764		2,658,309
Katonah Ltd. (Cayman Islands), Ser. 2005-7A, Class A2, 144A(a)	Aaa		0.717%	11/15/17		3,381		3,249,047
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(a)	Aaa		0.646%	10/19/20		1,451		1,378,499
LCM LP (Cayman Islands), 144A Ser. 2004-2A, Class A(a)	Aaa		0.736%	10/22/16		574		550,682
Ser. 2005-3A, Class A(a)	Aaa		0.787%	06/01/17		2,500		2,375,000
Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A	A(c)		3.540%	10/20/32		5,085		5,136,431
MBNA Credit Card Master Note Trust Ser. 2002-C3, Class C3(a)	A3		1.628%	10/15/14		1,900		1,903,589
Ser. 2004-C2, Class C2(a)	A3		1.178%	11/15/16		9,800		9,704,937
Ser. 2006-C1, Class C1(a)	A3		0.698%	07/15/15		16,600		16,465,822
Mountain Capital CLO Ltd. (Cayman Islands), 144A Ser. 2004-3A, Class A1LA(a)	Aaa		0.872%	02/15/16		251		250,840
Ser. 2005-4A, Class A1L(a)	Aaa		0.796%	03/15/18		2,963		2,841,912
North Westerly CLO BV (Netherlands), Ser. II-A, Class A, 144A(a)	Aaa		2.103%	09/14/19	EUR	5,229		6,225,949
Pacifica CDO Ltd. (Cayman Islands), Ser. 2003-2A, Class A1, 144A(a)	Aaa		0.971%	07/10/15		595		585,506
Railcar Leasing LLC, Ser. 1997-1, Class A2, 144A	Aa2		7.125%	01/15/13		961		988,115
Stanfield Vantage CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.867%	03/21/17		1,735		1,659,149

SEE NOTES TO FINANCIAL STATEMENTS.

A28

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(a)	Aaa		0.679%	11/01/18	$	4,500	$	4,273,114
Venture CDO Ltd. (Cayman Islands), Ser. 2003-1A, Class A1, 144A(a)(b)	Aaa		0.912%	01/21/16		1,590		1,550,372
								122,418,042
Residential Mortgage-Backed Securities — 4.0%
ACE Securities Corp., Ser. 2004-FM1, Class M1(a)	Baa3		1.194%	09/25/33		1,841		1,402,114
Ameriquest Mortgage Securities, Inc. Ser. 2001-2, Class M3(a)	Caa2		3.219%	10/25/31		557		402,761
Ser. 2004-R8, Class M1(a)	Baa1		1.254%	09/25/34		950		721,599
Argent Securities, Inc. Ser. 2003-W2, Class M4(a)	Ba2		5.919%	09/25/33		2,400		1,506,230
Ser. 2004-W6, Class M1(a)	Baa1		0.844%	05/25/34		3,532		2,641,941
Ser. 2004-W10, Class A2(a)	Aaa		0.684%	10/25/34		1,802		1,591,236
Asset Backed Funding Certificates, Ser. 2004-OPT1, Class M1(a)	Baa3		1.344%	08/25/33		2,152		1,607,119
Asset Backed Securities Corp. Home Equity Ser. 2003-HE3, Class M1(a)	A3		1.523%	06/15/33		1,706		1,249,749
Ser. 2004-HE1, Class M1(a)	Ba1		1.328%	01/15/34		295		236,260
Ser. 2004-HE5, Class M1(a)	A2		0.894%	08/25/34		2,600		2,007,767
Bear Stearns Asset Backed Securities Trust Ser. 2004-HE2, Class M1(a)	Ba1		1.194%	03/25/34		4,784		3,698,684
Ser. 2004-HE3, Class M2(a)	B1		2.019%	04/25/34		2,207		1,827,048
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M2(a)	C		3.669%	03/25/33		275		28,536
Centex Home Equity, Ser. 2004-B, Class AF6	Aa3		4.186%	03/25/34		1,300		1,210,603
Citigroup Mortgage Loan Trust, Inc., Ser. 2004-RES1, Class M3(a)	C		1.374%	11/25/34		137		64,186
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2002-HE4, Class M2(a)	C		2.544%	08/25/32		125		63,009
Equity One ABS, Inc., Ser. 2004-3, Class M1	Baa1		5.700%	07/25/34		1,099		871,047
FBR Securitization Trust, Ser. 2005-2, Class M1(a)	B2		1.014%	09/25/35		3,600		2,296,051
Fremont Home Loan Trust, Ser. 2003-B, Class M1(a)	Baa3		1.344%	12/25/33		315		226,752
GSAMP Trust, Ser. 2004-FM1, Class M1(a)	Ba3		1.269%	11/25/33		3,254		2,521,708
HSBC Home Equity Loan Trust Ser. 2006-1, Class M1(a)	Aa1		0.565%	01/20/36		850		753,561
Ser. 2006-2, Class A1(a)	Aaa		0.435%	03/20/36		232		214,286
Ser. 2006-2, Class A2(a)	Aaa		0.465%	03/20/36		282		263,226
IXIS Real Estate Capital Trust, Ser. 2006-HE1, Class A4(a)	Ca		0.594%	03/25/36		3,200		1,044,874
Long Beach Mortgage Loan Trust, Ser. 2004-1, Class M1(a)	A3		1.044%	02/25/34		4,250		3,119,798
Mastr Asset Backed Securities Trust, Ser. 2004-WMC1, Class M1(a)	B3		1.074%	02/25/34		3,005		2,198,247
Merrill Lynch Mortgage Investors, Inc. Ser. 2004-HE2, Class M1(a)	A-(c)		1.094%	08/25/35		1,000		635,852
Ser. 2004-OPT1, Class A1A(a)	AAA(c)		0.554%	06/25/35		2,806		2,008,824
Morgan Stanley ABS Capital I Ser. 2002-NC6, Class M2(a)	Ca		3.444%	11/25/32		167		44,177
Ser. 2003-HE1, Class M1(a)	Ba2		1.494%	05/25/33		1,937		1,465,464
Ser. 2003-HE3, Class M1(a)	Ba3		1.314%	10/25/33		1,419		1,031,396
Ser. 2004-NC1, Class M1(a)	Baa2		1.344%	12/27/33		1,193		944,600
Ser. 2004-OP1, Class M1(a)	Aa1		0.874%	11/25/34		3,688		2,666,773
Ser. 2004-WMC1, Class M1(a)	B1		1.224%	06/25/34		2,996		2,195,200
Ser. 2004-WMC2, Class M1(a)	B2		1.209%	07/25/34		2,575		1,898,054
New Century Home Equity Loan Trust Ser. 2003-4, Class M1(a)	A2		1.419%	10/25/33		4,376		3,447,587
Ser. 2004-4, Class M1(a)	Ba1		1.059%	02/25/35		3,048		2,261,709
Residential Asset Mortgage Products, Inc., Ser. 2004-RS12, Class MII2(a)	Aa3		1.094%	12/25/34		916		793,896
Residential Asset Securities Corp., Ser. 2004-KS1, Class AI5	Baa2		5.221%	02/25/34		1,000		944,755
Saxon Asset Securities Trust, Ser. 2002-3, Class M1(a)	Ba2		1.419%	12/25/32		520		403,964

SEE NOTES TO FINANCIAL STATEMENTS.

A29

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Securitized Asset Backed Receivables LLC Trust Ser. 2004-NC1, Class M1(a)	B1		1.074%	02/25/34	$	4,452	$	3,350,933
Ser. 2006-FR1, Class M1(a)	C		0.694%	11/25/35		2,000		241,390
Specialty Underwriting & Residential Finance, Ser. 2004-BC1, Class M1(a)	A1		1.059%	02/25/35		79		64,063
Structured Asset Investment Loan Trust Ser. 2004-2, Class A4(a)	AAA(c)		0.999%	03/25/34		2,297		1,657,407
Ser. 2004-7, Class A8(a)	AAA(c)		1.494%	08/25/34		1,400		1,028,693
Structured Asset Securities Corp., Ser. 2002-HF2, Class M3(a)	CC(c)		3.294%	07/25/32		1,327		1,018,425
								61,871,554
TOTAL ASSET-BACKED SECURITIES (cost $187,078,263)								184,289,596
BANK LOANS — 1.6%
Automotive — 0.2%
Chrysler Group LLC(a)	Ba2		6.000%	05/24/17		2,488		2,348,023
Cable — 0.1%
Insight Midwest Holding LLC(a)	Ba3		1.270%	10/06/13		1,789		1,766,599
Capital Goods — 0.1%
Capital Safety Group Ltd.(a)	B3		2.010%	06/15/15		409		405,156
Capital Safety Group Ltd.(a)	B3		3.014%	06/14/16		1,091		1,079,844
								1,485,000
Consumer
Huish Detergents, Inc.(a)	Ba3		2.260%	04/26/14		201		177,779
Electric — 0.1%
Texas Competitive Electric Holdings Co. LLC(a)	B2		4.891%	10/10/17		1,860		1,175,597
Foods — 0.2%
Del Monte Foods Co.(a)	Ba3		4.500%	03/08/18		1,866		1,767,680
OSI Restaurant Partners, Inc.(a)	B3		2.617%	06/14/13		442		417,474
OSI Restaurant Partners, Inc.(a)	B3		2.743%	06/14/14		1,012		955,781
								3,140,935
Gaming — 0.2%
CCM Merger, Inc.(a)	B3		7.000%	03/01/17		2,880		2,846,339
Healthcare & Pharmaceutical — 0.3%
HCA, Inc.(a)	Ba3		3.688%	05/01/18		462		435,710
HCA, Inc.(a)	Ba3		3.829%	03/31/17		1,108		1,049,188
RPI Finance Trust(a)	Baa2		4.000%	05/09/18		3,980		3,945,175
								5,430,073
Non-Captive Finance — 0.2%
International Lease Finance Corp.(a)	Ba2		6.750%	03/17/15		1,990		1,992,458
International Lease Finance Corp.(a)	Ba3		7.000%	03/17/16		1,460		1,461,805
								3,454,263
Technology — 0.2%
First Data Corp.(a)	B1		3.044%	09/24/14		88		79,567
First Data Corp.(a)	B1		3.044%	09/24/14		168		151,557
First Data Corp.(a)	B1		4.294%	03/26/18		2,411		2,014,814
Flextronics International Ltd. (Singapore)(a)	Ba1		2.522%	10/01/14		410		400,502
Flextronics International Ltd. (Singapore)(a)	Ba1		2.546%	10/01/14		118		115,749
								2,762,189
TOTAL BANK LOANS (cost $26,055,501)								24,586,797

SEE NOTES TO FINANCIAL STATEMENTS.

A30

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19	$	1,062	$	1,081,198
Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		223		228,327
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)	Baa1		2.480%	02/25/34		1,935		1,725,500
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		872		776,108
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $4,125,681)								3,811,133
COMMERCIAL MORTGAGE-BACKED SECURITIES — 17.9%
Banc of America Commercial Mortgage, Inc. Ser. 2006-1, Class A2(a)	Aaa		5.334%	09/10/45		237		238,130
Ser. 2006-5, Class A2	Aaa		5.317%	09/10/47		2,989		3,020,820
Ser. 2006-6, Class A2	Aaa		5.309%	10/10/45		3,458		3,454,837
Ser. 2007-1, Class A2	Aaa		5.381%	01/15/49		2,392		2,389,316
Ser. 2007-1, Class A3	Aaa		5.449%	01/15/49		3,500		3,682,952
Ser. 2007-4, Class A3(a)	AAA(c)		5.791%	02/10/51		6,460		6,801,747
Ser. 2007-5, Class A3	AAA(c)		5.620%	02/10/51		2,445		2,573,739
Bear Stearns Commercial Mortgage Securities Ser. 2005-PWR9, Class A2	Aaa		4.735%	09/11/42		857		871,566
Ser. 2005-T20, Class A2(a)	Aaa		5.127%	10/12/42		1,206		1,205,770
Ser. 2006-PW13, Class A3	AAA(c)		5.518%	09/11/41		4,024		4,221,792
Citigroup Commercial Mortgage Trust Ser. 2006-C5, Class A2	Aaa		5.378%	10/15/49		3,195		3,223,988
Ser. 2007-C6, Class A3(a)	Aaa		5.697%	12/10/49		4,850		5,144,754
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser. 2006-CD2, Class A2	Aaa		5.408%	01/15/46		56		56,033
Ser. 2006-CD2, Class AAB(a)	Aaa		5.374%	01/15/46		2,488		2,569,505
Ser. 2007-CD4, Class A3	Aaa		5.293%	12/11/49		2,515		2,675,075
Commercial Mortgage Pass-Through Certificates Ser. 2006-C7, Class A3(a)	AAA(c)		5.689%	06/10/46		2,703		2,752,525
Ser. 2006-C7, Class A4(a)	AAA(c)		5.751%	06/10/46		4,000		4,416,992
Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		4,325		4,337,328
Credit Suisse Mortgage Capital Certificates Ser. 2006-C1, Class A4(a)	AAA(c)		5.419%	02/15/39		4,400		4,869,432
Ser. 2006-C5, Class A2	Aaa		5.246%	12/15/39		107		106,906
Ser. 2007-C1, Class A2	Aaa		5.268%	02/15/40		2,133		2,130,879
Ser. 2007-C4, Class A2(a)	Aaa		5.795%	09/15/39		416		417,573
Ser. 2007-C4, Class A3(a)	Aaa		5.795%	09/15/39		10,550		10,994,123
DBUBS Mortgage Trust Ser. 2011-LC2A, Class A1, 144A	Aaa		3.527%	07/10/44		5,579		5,785,809
Ser. 2011-LC3A, Class A2	Aaa		3.642%	08/10/44		3,800		4,003,087
GE Capital Commercial Mortgage Corp. Ser. 2006-C1, Class A4(a)	AAA(c)		5.330%	03/10/44		6,700		7,356,030
Ser. 2007-C1, Class A2	Aaa		5.417%	12/10/49		9,765		9,787,958
GMAC Commercial Mortgage Securities, Inc., Ser. 2006-C1, Class A4(a)	AAA(c)		5.238%	11/10/45		1,280		1,378,016
Greenwich Capital Commercial Funding Corp. Ser. 2005-GG3, Class A2	Aaa		4.305%	08/10/42		115		115,307
Ser. 2005-GG5, Class A2	Aaa		5.117%	04/10/37		7,244		7,275,924
Ser. 2005-GG5, Class A5(a)	Aaa		5.224%	04/10/37		4,900		5,246,347
Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,891		3,913,061
GS Mortgage Securities Corp. II Ser. 2006-GG6, Class A4(a)	AA-(c)		5.553%	04/10/38		6,700		7,284,475
Ser. 2006-GG8, Class A2	Aaa		5.479%	11/10/39		1,274		1,277,818
Ser. 2007-GG10, Class A2(a)	Aaa		5.778%	08/10/45		6,605		6,713,395
JPMorgan Chase Commercial Mortgage Securities Corp. Ser. 2005-LDP4, Class AM(a)	Aa2		4.999%	10/15/42		1,820		1,914,682
Ser. 2005-LDP5, Class A4(a)	Aaa		5.206%	12/15/44		3,350		3,705,770

SEE NOTES TO FINANCIAL STATEMENTS.

A31

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Ser. 2006-CB14, Class A4(a)	Aaa		5.481%	12/12/44	$	5,000	$	5,437,410
Ser. 2006-LDP6, Class A4(a)	Aaa		5.475%	04/15/43		1,640		1,804,074
Ser. 2006-LDP7, Class A2(a)	Aaa		5.861%	04/15/45		251		252,091
Ser. 2007-LD11, Class A2(a)	Aaa		5.802%	06/15/49		10,543		10,659,982
Ser. 2007-LD12, Class A3(a)	Aaa		5.986%	02/15/51		9,200		9,788,313
Ser. 2007-LDPX, Class A2	Aaa		5.434%	01/15/49		4,150		4,386,349
LB-UBS Commercial Mortgage Trust Ser. 2004-C8, Class A6(a)	Aaa		4.799%	12/15/29		4,200		4,457,447
Ser. 2005-C7, Class AM(a)	AA(c)		5.263%	11/15/40		2,100		2,218,014
Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		2		1,738
Ser. 2006-C6, Class AAB	Aaa		5.341%	09/15/39		6,766		7,103,436
Ser. 2006-C7, Class A2	AAA(c)		5.300%	11/15/38		1,187		1,189,290
Ser. 2007-C1, Class A2	AAA(c)		5.318%	02/15/40		3,075		3,076,748
Ser. 2007-C6, Class A2	Aaa		5.845%	07/15/40		3,358		3,397,749
Merrill Lynch Mortgage Trust Ser. 2006-C1, Class A4(a)	AAA(c)		5.666%	05/12/39		7,920		8,831,980
Ser. 2007-C1, Class A3(a)	A+(c)		5.834%	06/12/50		690		719,083
Merrill Lynch/Countrywide Commercial Mortgage Trust Ser. 2006-1, Class A4(a)	AAA(c)		5.430%	02/12/39		3,000		3,300,468
Ser. 2006-2, Class A4(a)	Aaa		5.906%	06/12/46		2,625		2,929,944
Ser. 2006-3, Class ASB(a)	Aaa		5.382%	07/12/46		1,987		2,088,330
Ser. 2006-4, Class A2(a)	Aaa		5.112%	12/12/49		1,893		1,891,657
Ser. 2007-7, Class A2(a)	Aaa		5.693%	06/12/50		120		120,424
Ser. 2007-9, Class A2	AAA(c)		5.590%	09/12/49		4,426		4,489,940
Morgan Stanley Capital I Ser. 2006-HQ8, Class A4(a)	Aaa		5.417%	03/12/44		10,000		10,952,050
Ser. 2006-HQ10, Class A4	Aaa		5.328%	11/12/41		2,500		2,729,840
Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		2,475		2,766,434
Ser. 2006-T23, Class A3(a)	AAA(c)		5.811%	08/12/41		1,318		1,350,959
Ser. 2007-IQ14, Class AAB(a)	Aaa		5.654%	04/15/49		6,100		6,480,054
Wachovia Bank Commercial Mortgage Trust Ser. 2003-C9, Class A3	AAA(c)		4.608%	12/15/35		709		717,282
Ser. 2005-C20, Class AMFX(a)	Aa1		5.179%	07/15/42		3,145		3,300,111
Ser. 2006-C23, Class A4(a)	Aaa		5.418%	01/15/45		7,838		8,538,772
Ser. 2006-C24, Class A3(a)	Aaa		5.558%	03/15/45		2,050		2,261,451
Ser. 2006-C25, Class A4(a)	Aaa		5.737%	05/15/43		6,000		6,640,494
Ser. 2006-C28, Class A2	Aaa		5.500%	10/15/48		359		359,375
Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		3,300		3,479,428
Ser. 2007-C33, Class A2(a)	Aaa		5.854%	02/15/51		4,545		4,584,088
Ser. 2007-C33, Class A3(a)	Aaa		5.899%	02/15/51		4,564		4,837,584
Ser. 2007-C34, Class A2	Aaa		5.569%	05/15/46		3,559		3,607,483
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $258,218,705)								278,663,333
CORPORATE BONDS — 44.7%
Aerospace & Defense — 0.2%
BE Aerospace, Inc., Sr. Unsec’d. Notes	Ba2		8.500%	07/01/18		1,480		1,620,600
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		700		691,635
L-3 Communications Corp., Gtd. Notes, Ser. B	Ba1		6.375%	10/15/15		1,420		1,455,500
								3,767,735
Airlines — 0.4%
Continental Airlines 2001-1 Class A-1 Pass Through Trust, Pass-thru Certs., Ser. 01A1(b)	Baa2		6.703%	06/15/21		2		2,446
Continental Airlines 2001-1 Class B Pass Through Trust, Pass-thru Certs., Ser. 011B	Ba1		7.373%	12/15/15		394		384,526
Continental Airlines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A(d)	Baa1		5.983%	04/19/22		1,720		1,790,377

SEE NOTES TO FINANCIAL STATEMENTS.

A32

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Airlines (continued)
Continental Airlines 2010-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A(d)	Baa2		4.750%	01/12/21	$	560	$	568,400
Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A	Baa1		6.821%	08/10/22		1,403		1,464,323
Delta Air Lines 2010-2 Class A Pass Through Trust, Pass-thru Certs., Ser. 2A(d)	Baa2		4.950%	05/23/19		767		776,932
Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-thru Certs., Ser. A	Baa2		5.300%	04/15/19		850		858,500
UAL 2007-1 Pass Through Trust, Pass-thru Certs., Ser. 071A, Class A	Baa2		6.636%	07/02/22		1,041		1,040,949
								6,886,453
Automotive — 0.2%
BorgWarner, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	09/15/20		825		876,661
Delphi Corp., Gtd. Notes, 144A(d)	Ba3		5.875%	05/15/19		1,400		1,428,000
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		660		712,523
								3,017,184
Banking — 8.5%
Alfa MTN Markets Ltd. for ABH Financial Ltd. (Cyprus), Gtd. Notes., 144A, MTN(b)	Ba1		8.200%	06/25/12		1,500		1,513,125
American Express Co., Sr. Unsec’d. Notes(e)	A3		8.125%	05/20/19		2,785		3,600,646
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%	09/19/16		3,570		3,587,493
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(d)	Ba3		8.000%	12/29/49		3,500		3,134,040
Bank of America Corp., Sr. Unsec’d. Notes, MTN	Baa1		5.000%	05/13/21		860		783,318
Bank of America Corp., Sr. Unsec’d. Notes	Baa1		6.000%	09/01/17		4,590		4,482,723
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa1		3.750%	07/12/16		1,340		1,240,731
Bank of America NA, Sub. Notes	A3		5.300%	03/15/17		790		712,510
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		6.750%	05/22/19		1,610		1,784,883
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	Aa3		7.250%	02/01/18		1,575		1,846,453
Capital One Capital V, Ltd. Gtd. Notes	Baa3		10.250%	08/15/39		2,380		2,469,250
Capital One Financial Corp., Sub. Notes	Baa2		6.150%	09/01/16		700		728,372
Citigroup, Inc., Sr. Unsec’d. Notes	A3		4.500%	01/14/22		1,000		962,023
Citigroup, Inc., Sr. Unsec’d. Notes	A3		6.125%	11/21/17		2,050		2,187,824
Citigroup, Inc., Sr. Unsec’d. Notes	A3		6.125%	05/15/18		2,500		2,660,892
Citigroup, Inc., Sr. Unsec’d. Notes	A3		8.125%	07/15/39		4,120		5,044,248
Citigroup, Inc., Unsec’d. Notes(d)	A3		8.500%	05/22/19		1,375		1,618,493
Countrywide Financial Corp., Gtd. Notes, MTN(b)(d)	Baa1		5.800%	06/07/12		3,670		3,677,722
Depfa ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%	03/16/37		3,065		2,191,073
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		2,005		2,097,767
Goldman Sachs Group, Inc. (The), Sr. Notes	A1		6.250%	02/01/41		2,195		2,153,359
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.250%	07/27/21		2,055		2,004,735
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, MTN	A1		6.000%	06/15/20		2,420		2,478,956
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		6.150%	04/01/18		1,355		1,398,480
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		6.250%	09/01/17		3,195		3,340,171
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.750%	10/01/37		440		409,426
Hana Bank (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.500%	10/30/15		4,035		4,136,145
HSBC Holdings PLC (United Kingdom), Sub. Notes	A1		6.500%	05/02/36		995		1,005,354
HSBC Holdings PLC (United Kingdom), Sub. Notes	A1		6.500%	09/15/37		1,625		1,604,023
HSBC Holdings PLC (United Kingdom), Sub. Notes	A1		6.800%	06/01/38		2,650		2,744,727
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		260		294,666
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a)	Ba2		7.250%	08/29/49		2,380		2,070,600
ICICI Bank Ltd. (India), Sr. Unsec’d. Notes, 144A, MTN	Baa2		4.750%	11/25/16		4,000		3,800,564
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)(d)	Baa1		7.900%	04/29/49		6,130		6,526,550
JPMorgan Chase & Co., Sr. Unsec’d. Notes(e)	Aa3		3.150%	07/05/16		4,245		4,264,866
JPMorgan Chase & Co., Sr. Unsec’d. Notes(d)	Aa3		4.250%	10/15/20		600		604,214
JPMorgan Chase & Co., Sr. Unsec’d. Notes(e)	Aa3		4.400%	07/22/20		5,100		5,208,202
KeyCorp, Sr. Unsec’d. Notes, MTN	Baa1		5.100%	03/24/21		1,155		1,199,421

SEE NOTES TO FINANCIAL STATEMENTS.

A33

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a)	B2		7.378%	10/29/49	$	1,590	$	1,472,003
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A1		5.800%	01/13/20		2,650		2,515,852
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(d)	Baa1		6.050%	08/15/12		1,500		1,521,662
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.500%	07/28/21		1,650		1,525,648
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.625%	09/23/19		2,635		2,440,218
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.750%	01/25/21		1,920		1,790,987
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	A2		5.450%	01/09/17		4,035		3,884,753
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		2,325		2,366,792
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A2		3.400%	08/23/13		1,720		1,673,322
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec’d. Notes, MTN	A3		6.400%	10/21/19		1,525		1,427,687
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa1		4.625%	04/19/16		525		504,162
Shinhan Bank (South Korea), Sr. Unsec’d. Notes, 144A(d)	A1		4.125%	10/04/16		2,200		2,215,059
State Street Corp., Jr. Sub. Debs.	Baa1		4.956%	03/15/18		3,025		3,144,249
Turkiye Garanti Bankasi AS (Turkey), Sr. Unsec’d. Notes, 144A	Ba1		6.250%	04/20/21		1,225		1,166,812
US Bancorp, Jr. Sub. Notes	A2		3.442%	02/01/16		4,120		4,255,190
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39		1,975		2,006,521
Wells Fargo & Co., Sr. Unsec’d. Notes(d)	A2		3.676%	06/15/16		7,240		7,565,786
								133,044,748
Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(f)	NR		6.875%	05/02/18		2,740		726,100
Building Materials & Construction — 0.7%
Country Garden Holdings Co. Ltd. (Cayman Islands), Sr. Unsec’d. Notes, 144A	Ba3		11.750%	09/10/14		500		482,500
Country Garden Holdings Co. Ltd. (Cayman Islands), Sr. Unsec’d. Notes, Reg.-S	Ba3		11.750%	09/10/14		3,650		3,522,250
Masco Corp., Sr. Unsec’d. Notes	Ba2		7.125%	08/15/13		2,600		2,706,943
Toll Brothers Finance Corp., Gtd. Notes(d)	Ba1		5.150%	05/15/15		4,695		4,849,987
								11,561,680
Cable — 2.8%
Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A	B3		8.625%	11/15/17		2,300		2,438,000
Charter Communications Operating LLC, Sec’d. Notes, 144A	Ba2		8.000%	04/30/12		11,930		12,168,600
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A	Ba3		6.750%	11/15/21		2,225		2,341,813
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		8.500%	04/15/14		3,025		3,346,406
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		8.625%	02/15/19		1,610		1,855,525
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		2,825		2,912,360
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		275		286,239
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		4.750%	10/01/14		2,800		3,024,462
Echostar DBS Corp., Gtd. Notes	Ba2		6.625%	10/01/14		1,000		1,067,500
Echostar DBS Corp., Gtd. Notes	Ba2		7.000%	10/01/13		2,000		2,135,000
Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, Reg.-S	B1		8.875%	12/01/18	EUR	800		911,150
TCI Communications, Inc., Sr. Unsec’d. Notes	Baa1		7.875%	02/15/26		750		993,315
Time Warner Cable, Inc., Gtd. Notes	Baa2		6.750%	07/01/18		5,520		6,556,187
Time Warner Cable, Inc., Gtd. Notes	Baa2		8.250%	02/14/14		1,115		1,256,779
Videotron Ltee (Canada), Gtd. Notes	Ba1		9.125%	04/15/18		1,996		2,198,095
								43,491,431
Capital Goods — 1.1%
Case New Holland, Inc., Gtd. Notes	Ba2		7.750%	09/01/13		1,000		1,062,500
Clean Harbors, Inc., Sr. Sec’d. Notes	Ba3		7.625%	08/15/16		1,350		1,434,375

SEE NOTES TO FINANCIAL STATEMENTS.

A34

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A	A1		4.875%	09/15/41	$	350	$	398,243
MHP SA (Luxembourg), Gtd. Notes, 144A	B3		10.250%	04/29/15		3,175		2,794,000
Rockwell Automation, Inc., Sr. Unsec’d. Notes	A3		5.200%	01/15/98		6,500		6,361,959
Textron, Inc., Sr. Unsec’d. Notes	Baa3		7.250%	10/01/19		2,350		2,657,871
Xylem, Inc., Gtd. Notes, 144A	Baa2		4.875%	10/01/21		1,960		2,077,122
								16,786,070
Chemicals — 1.3%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		6.125%	01/15/41		450		558,158
Ashland, Inc., Gtd. Notes	Baa3		9.125%	06/01/17		750		836,250
CF Industries, Inc., Gtd. Notes	Ba1		6.875%	05/01/18		785		898,825
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		5.900%	02/15/15		750		834,541
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		7.600%	05/15/14		2,050		2,318,177
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		1,252		1,881,883
Ecolab, Inc., Sr. Unsec’d. Notes(d)	Baa1		5.500%	12/08/41		525		581,775
Lyondell Chemical Co., Sec’d. Notes	Ba2		11.000%	05/01/18		900		983,250
Lyondell Chemical Co., Sr. Sec’d. Notes	Ba2		8.000%	11/01/17		605		660,962
Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes	Ba2		6.500%	01/15/12		1,440		1,440,443
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		350		405,352
Rockwood Specialties Group, Inc., Gtd. Notes	B1		7.500%	11/15/14		5,175		5,239,687
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.875%	04/01/23		3,058		3,668,264
								20,307,567
Consumer — 0.5%
Realogy Corp., Gtd. Notes	Caa3		12.000%	04/15/17		2		1,393
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		5,783		6,317,927
VF Corp., Sr. Unsec’d. Notes	A3		3.500%	09/01/21		1,200		1,246,560
								7,565,880
Electric — 2.0%
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		9.750%	04/15/16		775		887,375
Consumers Energy Co., First Mtge. Bonds, Ser. D	A3		5.375%	04/15/13		1,000		1,052,207
Dubai Electricity & Water Authority (United Arab Emirates), Sr. Unsec’d. Notes, 144A	Ba1		8.500%	04/22/15		1,275		1,377,000
EDP Finance BV (Netherlands), Sr. Unsec’d. Notes, 144A	Baa3		6.000%	02/02/18		600		504,710
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		2,325		2,745,558
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.350%	08/01/13		625		682,826
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	A3		6.000%	10/07/39		3,200		2,575,507
Enersis SA (Chile), Sr. Unsec’d. Notes	Baa2		7.375%	01/15/14		3,700		4,043,271
Exelon Corp., Sr. Unsec’d. Notes	Baa1		4.900%	06/15/15		500		538,739
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	A3		6.200%	10/01/17		1,930		2,216,323
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	A3		6.250%	10/01/39		1,900		2,315,135
Iberdrola International BV (Netherlands), Gtd. Notes	A3		6.750%	06/15/12		750		766,958
Iberdrola International BV (Netherlands), Gtd. Notes	A3		6.750%	09/15/33		1,150		1,222,760
Mirant Mid Atlantic Pass Through Trust A, Pass-thru Certs., Ser. A	Ba1		8.625%	06/30/12		1,178		1,201,108
North American Energy Alliance LLC/North American Energy Alliance Finance Corp., Sec’d. Notes (original cost $1,563,824; purchased 09/30/09)(b)(g)	Ba3		10.875%	06/01/16		1,600		1,696,000
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa1		6.800%	09/01/18		1,460		1,775,504
Star Energy Geothermal Wayang Windu Ltd., Reg.-S (Virgin Islands (US)), Sr. Sec’d. Notes	B2		11.500%	02/12/15		800		860,000
TransAlta Corp. (Canada), Sr. Unsec’d. Notes	Baa2		6.650%	05/15/18		1,953		2,258,578
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		1,947		2,208,334
								30,927,893

SEE NOTES TO FINANCIAL STATEMENTS.

A35

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Integrated — 0.2%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20	$	870	$	958,193
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		1,510		1,619,571
								2,577,764
Energy – Other — 1.4%
Alliance Oil Co. Ltd. (Bermuda), Gtd. Notes, 144A(d)	B+(c)		9.875%	03/11/15		1,685		1,706,063
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.375%	09/15/17		2,515		2,915,222
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.450%	09/15/36		445		507,345
Anadarko Petroleum Corp., Sr. Unsec’d. Notes(d)	Ba1		6.950%	06/15/19		250		298,455
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A	A1		5.888%	06/15/19		2,777		3,013,431
Forest Oil Corp., Gtd. Notes	B1		8.500%	02/15/14		1,000		1,090,000
Nabors Industries, Inc., Gtd. Notes, 144A	Baa2		4.625%	09/15/21		1,650		1,675,913
Newfield Exploration Co., Sr. Sub. Notes	Ba2		6.625%	04/15/16		1,000		1,030,000
Novatek Finance Ltd. (Russia), Sr. Unsec’d. Notes, 144A	Baa3		5.326%	02/03/16		5,175		5,213,812
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Ba1		6.875%	05/01/18		1,750		1,979,208
Precision Drilling Corp. (Canada), Gtd. Notes	Ba1		6.625%	11/15/20		1,000		1,022,500
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		275		305,478
Weatherford International Ltd. (Bermuda), Gtd. Notes(d)	Baa2		5.125%	09/15/20		1,165		1,210,642
								21,968,069
Foods — 2.3%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		6.875%	11/15/19		2,200		2,762,773
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		7.750%	01/15/19		1,640		2,124,061
ARAMARK Corp., Gtd. Notes	B3		5.000%	06/01/12		1,000		1,005,000
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		5,369		5,503,225
ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A	B3		8.625%	05/01/16		1,185		1,220,550
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A	B2		9.000%	02/10/17		1,000		1,022,500
Dole Food Co., Inc., Sec’d. Notes	B2		13.875%	03/15/14		2,600		3,003,000
Ingles Markets, Inc., Sr. Unsec’d. Notes	B1		8.875%	05/15/17		1,500		1,623,750
J.M. Smucker Co. (The), Gtd. Notes	A3		3.500%	10/15/21		775		792,862
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A	B1		7.250%	06/01/21		1,330		1,240,225
Safeway, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	12/01/21		875		896,317
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		4,715		5,481,187
Stater Brothers Holdings, Inc., Gtd. Notes	B2		7.750%	04/15/15		2,200		2,257,750
SUPERVALU, Inc., Sr. Unsec’d. Notes	B2		7.500%	05/15/12		650		658,125
SUPERVALU, Inc., Sr. Unsec’d. Notes(d)	B2		7.500%	11/15/14		2,415		2,457,263
Tyson Foods, Inc., Gtd. Notes	Ba1		6.850%	04/01/16		1,000		1,097,500
Wendy’s/Arby’s Restaurants LLC, Gtd. Notes	B3		10.000%	07/15/16		2,750		3,025,000
								36,171,088
Gaming — 0.8%
Ameristar Casinos, Inc., Gtd. Notes(d)	B3		7.500%	04/15/21		1,550		1,596,500
Marina District Finance Co., Inc., Sr. Sec’d. Notes(d)	B2		9.500%	10/15/15		1,710		1,598,850
MGM Resorts International, Sr. Sec’d. Notes(d)	Ba2		10.375%	05/15/14		1,115		1,273,887
MGM Resorts International, Sr. Sec’d. Notes	Ba2		13.000%	11/15/13		3,875		4,601,563
Pinnacle Entertainment, Inc., Gtd. Notes(d)	B1		8.625%	08/01/17		2,500		2,643,750
Yonkers Racing Corp., Sec’d. Notes, 144A (original cost $1,087,500; purchased 06/22/11)(b)(g)	B1		11.375%	07/15/16		1,000		1,030,000
								12,744,550
Healthcare & Pharmaceutical — 1.0%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		2,920		3,027,117
Apria Healthcare Group, Inc., Sr. Sec’d. Notes(d)	B3		12.375%	11/01/14		1,650		1,513,875
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		3,750		3,795,465
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		825		913,409
HCA, Inc., Gtd. Notes(d)	B3		8.000%	10/01/18		2,250		2,379,375
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		1,000		1,018,750
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		320		333,600
Mylan, Inc., Gtd. Notes, 144A	Ba3		7.625%	07/15/17		2,030		2,215,238
								15,196,829

SEE NOTES TO FINANCIAL STATEMENTS.

A36

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance — 1.1%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	12/15/37	$	1,900	$	2,375,764
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		4.375%	12/15/20		745		761,153
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.375%	03/15/17		2,125		2,327,736
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		750		793,517
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		4,025		4,406,554
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		2,610		3,069,853
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		760		966,594
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		195		250,347
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.875%	02/15/38		2,000		2,682,126
								17,633,644
Insurance — 2.8%
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		5.500%	11/15/20		430		430,775
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		7.500%	08/01/16		2,475		2,793,196
American International Group, Inc., Sr. Unsec’d. Notes(d)	Baa1		4.250%	05/15/13		1,820		1,817,508
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		5.050%	10/01/15		315		304,992
American International Group, Inc., Sr. Unsec’d. Notes, MTN	Baa1		5.850%	01/16/18		3,700		3,618,655
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		950		958,768
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		2,005		2,122,295
Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		5.750%	12/01/14		3,350		3,522,287
Chubb Corp. (The), Jr. Sub. Notes(a)(d)	A3		6.375%	03/29/67		1,775		1,752,813
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		7.000%	07/15/34		1,350		1,367,751
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A	Baa2		6.500%	03/15/35		1,030		1,004,134
Lincoln National Corp., Jr. Sub. Notes(a)	Ba1		6.050%	04/20/67		350		291,375
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		1,265		1,430,129
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		1,265		1,538,694
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A	A1		8.875%	06/01/39		1,200		1,755,310
MetLife, Inc., Sr. Unsec’d. Notes(d)	A3		7.717%	02/15/19		2,000		2,507,892
Northwestern Mutual Life Insurance, Notes, 144A(d)	Aa2		6.063%	03/30/40		500		600,216
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		850		924,364
Progressive Corp. (The), Jr. Sub. Notes(a)	A2		6.700%	06/15/37		1,015		1,025,150
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		2,310		2,964,659
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		500		514,836
Willis Group Holdings PLC (Ireland), Gtd. Notes(d)	Baa3		4.125%	03/15/16		1,280		1,300,015
XL Capital Finance Europe PLC (United Kingdom), Gtd. Notes	Baa2		6.500%	01/15/12		6,820		6,834,097
XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a)	Ba1		6.500%	12/31/49		1,880		1,471,100
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		140		148,052
								42,999,063
Lodging — 0.8%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		3,938		4,312,110
Host Hotels & Resorts LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		4,715		4,797,513
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Ba1		6.250%	02/15/13		980		1,011,850
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		5.750%	02/01/18		2,150		2,276,035
								12,397,508
Media & Entertainment — 2.9%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A	Baa1		6.100%	02/15/18		210		235,233
CBS Corp., Gtd. Notes	Baa2		8.200%	05/15/14		4,800		5,442,254
Gannett Co., Inc., Sr. Unsec’d. Notes	Ba2		6.375%	04/01/12		1,100		1,105,500
Historic TW, Inc., Gtd. Notes	Baa2		6.625%	05/15/29		225		265,234
Intelsat Jackson Holdings SA (Bermuda), Gtd. Notes	Caa2		11.250%	06/15/16		2,000		2,101,250
Liberty Interactive LLC, Sr. Unsec’d. Notes	B3		5.700%	05/15/13		800		825,000
LIN Television Corp., Gtd. Notes(d)	Caa1		6.500%	05/15/13		1,249		1,250,561
LIN Television Corp., Gtd. Notes, Ser. B	Caa1		6.500%	05/15/13		1,840		1,842,300
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		4.375%	04/01/21		1,350		1,424,717
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		460		502,832

SEE NOTES TO FINANCIAL STATEMENTS.

A37

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
News America, Inc., Gtd. Notes(d)	Baa1		6.150%	02/15/41	$	1,430	$	1,648,205
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		65		75,138
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,415		1,709,010
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.500%	05/01/16		2,800		3,206,000
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.625%	02/01/14		1,400		1,608,250
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba1		4.950%	04/01/14		7,000		6,842,500
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba1		8.600%	08/15/16		4,750		4,755,938
Time Warner Cos., Inc., Gtd. Notes	Baa2		6.950%	01/15/28		2,153		2,600,423
Time Warner Cos., Inc., Gtd. Notes	Baa2		7.250%	10/15/17		1,440		1,725,447
Viacom, Inc., Sr. Unsec’d. Notes	Baa1		4.375%	09/15/14		860		921,274
Viacom, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	10/05/37		1,820		2,258,604
Vivendi SA (France), Sr. Unsec’d. Notes, 144A	Baa2		5.750%	04/04/13		2,000		2,089,498
								44,435,168
Metals — 2.2%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d)	Baa3		6.125%	06/01/18		1,585		1,565,286
Bumi Investment Pte Ltd. (Singapore), Sec’d. Notes, MTN, Reg.-S	Ba3		10.750%	10/06/17		2,660		2,660,000
Century Aluminum Co., Sec’d. Notes	B(c)		8.000%	05/15/14		2,100		2,094,750
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes	Baa3		8.375%	04/01/17		2,095		2,225,938
Indo Integrated Energy II BV (Netherlands), Sr. Sec’d. Notes, Reg.-S	B1		9.750%	11/05/16		2,025		2,161,687
Metals USA, Inc., Sr. Sec’d. Notes	B3		11.125%	12/01/15		7,450		7,738,688
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		2,025		2,397,624
Novelis, Inc. (Canada), Gtd. Notes(d)	B2		8.375%	12/15/17		3,525		3,745,313
Peabody Energy Corp., Sr. Unsec’d. Notes, 144A	Ba1		6.000%	11/15/18		4,075		4,156,500
Steel Dynamics, Inc., Gtd. Notes	Ba2		7.375%	11/01/12		1,590		1,655,587
Teck Resources Ltd. (Canada), Sr. Sec’d. Notes	Baa2		10.250%	05/15/16		287		330,050
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes	Baa2		6.875%	11/21/36		690		785,600
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes(d)	Baa2		6.875%	11/10/39		1,400		1,603,560
Xstrata Canada Financial Corp. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,825		1,834,320
								34,954,903
Non-Captive Finance — 2.4%
Bosphorus Financial Services Ltd. (Cayman Islands), Sr. Sec’d. Notes, MTN, Reg.-S(a)	Baa2		2.257%	02/15/12		139		138,926
CIT Group, Inc., Sec’d. Notes, 144A(d)	B2		7.000%	05/04/15		350		350,438
CIT Group, Inc., Sec’d. Notes, 144A(d)	B2		7.000%	05/02/17		3,475		3,470,656
GATX Corp., Sr. Unsec’d. Notes	Baa1		4.750%	10/01/12		1,500		1,530,287
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	Aa2		5.875%	01/14/38		1,675		1,774,808
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(h)	Aa2		6.000%	08/07/19		6,315		7,253,586
General Electric Capital Corp., Sub. Notes	Aa3		5.300%	02/11/21		1,185		1,266,708
HSBC Finance Corp., Sr. Sub. Notes	Baa1		6.676%	01/15/21		295		305,147
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba3		6.500%	09/01/14		2,875		2,939,687
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		5.750%	05/15/16		1,125		1,043,485
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		6.250%	05/15/19		1,400		1,293,306
Nelnet, Inc., Jr. Sub. Notes(a)	Ba2		3.951%	09/29/36		6,100		5,206,216
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(a)(b)	Baa1		1.078%	07/03/33		2,374		1,305,950
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		1,385		1,346,883
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		5.050%	11/14/14		4,150		4,093,145
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		3,200		3,296,000
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN	B3		6.900%	12/15/17		2,000		1,440,000
								38,055,228
Packaging — 0.7%
Greif Luxembourg Finance SCA (Luxembourg), 144A	Ba2		7.375%	07/15/21	EUR	1,470		1,850,223
Greif, Inc., Sr. Unsec’d. Notes	Ba2		7.750%	08/01/19		1,815		1,960,200

SEE NOTES TO FINANCIAL STATEMENTS.

A38

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Packaging (continued)
Sealed Air Corp., Sr. Unsec’d. Notes, 144A	B1		5.625%	07/15/13	$	6,600	$	6,859,123
								10,669,546
Paper — 1.0%
International Paper Co., Sr. Unsec’d. Notes(d)	Baa3		6.000%	11/15/41		675		732,789
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.300%	11/15/39		1,000		1,216,484
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		2,205		2,683,990
MeadWestvaco Corp., Sr. Unsec’d. Notes(d)	Ba1		7.375%	09/01/19		4,400		5,111,511
Rock-Tenn Co., Gtd. Notes	Ba2		9.250%	03/15/16		1,000		1,060,000
Verso Paper Holdings LLC/Verso Paper, Inc., Sr. Sec’d. Notes(d)	Ba2		11.500%	07/01/14		3,863		3,940,260
								14,745,034
Pipelines & Other — 0.8%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		1,065		1,043,270
ENN Energy Holdings Ltd. (Cayman Islands), Sr. Unsec’d. Notes, 144A(d)	Baa3		6.000%	05/13/21		4,750		4,289,293
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		7.300%	08/15/33		1,550		1,810,042
Mega Advance Investments Ltd. (Virgin Islands (BR)), Gtd. Notes, 144A	Baa1		5.000%	05/12/21		1,250		1,271,136
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		1,345		1,489,799
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.500%	06/01/16		2,275		2,653,787
								12,557,327
Railroads — 0.1%
Union Pacific Corp., Sr. Unsec’d. Notes	Baa2		4.163%	07/15/22		1,268		1,376,250
Real Estate Investment Trusts — 1.1%
Hospitality Properties Trust, Sr. Unsec’d. Notes	Baa2		7.875%	08/15/14		2,900		3,151,143
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		5.450%	06/01/12		2,300		2,328,952
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		8		8,883
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		8.625%	01/15/12		3,500		3,507,873
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		100		102,143
Simon Property Group LP, Sr. Unsec’d. Notes	A3		4.200%	02/01/15		765		811,224
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.750%	05/15/14		980		1,079,218
Simon Property Group LP, Sr. Unsec’d. Notes	A3		10.350%	04/01/19		1,685		2,313,000
WEA Finance LLC/WT Finance Aust Pty Ltd., Gtd. Notes, 144A	A2		5.750%	09/02/15		4,000		4,251,648
								17,554,084
Retailers — 1.1%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		2,000		2,433,766
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1		5.350%	03/15/12		1,800		1,812,343
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1		5.875%	01/15/13		7,800		8,030,482
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes	B2		8.500%	05/15/16		2,565		2,766,994
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(d)	Aa2		5.625%	04/15/41		1,190		1,537,957
								16,581,542
Technology — 1.5%
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes	Ba3		8.125%	12/15/17		1,530		1,587,375
Amphenol Corp., Sr. Unsec’d. Notes	Baa2		4.750%	11/15/14		2,475		2,651,888
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		600		600,772
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	10/01/15		195		199,759
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		545		554,915
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A	BB(c)		10.000%	07/15/13		1,789		1,936,593
Seagate HDD Cayman (Cayman Islands), Gtd. Notes	Ba1		6.875%	05/01/20		2,875		2,954,062
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		2,794		3,160,713
SunGard Data Systems, Inc., Gtd. Notes(d)	Caa1		7.625%	11/15/20		1,700		1,746,750
SunGard Data Systems, Inc., Gtd. Notes	Caa1		10.250%	08/15/15		2,610		2,704,613
SunGard Data Systems, Inc., Gtd. Notes	Caa1		10.625%	05/15/15		2,000		2,130,000
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,000		2,107,992

SEE NOTES TO FINANCIAL STATEMENTS.

A39

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology (continued)
Xerox Corp., Sr. Unsec’d. Notes	Baa2		5.500%	05/15/12	$	870	$	884,425
								23,219,857
Telecommunications — 2.3%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		795		945,221
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		103		145,494
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		483		543,327
AT&T, Inc., Sr. Unsec’d. Notes(e)	A2		5.550%	08/15/41		2,410		2,837,575
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,990		2,531,357
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		328		462,250
CC Holdings GS V LLC/Crown Castle GS III Corp., Sr. Sec’d. Notes, 144A	Baa3		7.750%	05/01/17		3,000		3,232,500
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		2,960		3,995,112
Digicel Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A	B1		12.000%	04/01/14		1,910		2,139,200
Embarq Corp., Sr. Unsec’d. Notes (original cost $5,906,280; purchased 05/04/11-05/11/11)(b)(g)	Baa3		7.082%	06/01/16		5,225		5,663,618
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,303,800; purchased 04/22/10)(b)(g)	Baa3		7.995%	06/01/36		1,250		1,295,235
MetroPCS Wireless, Inc., Gtd. Notes(d)	B2		7.875%	09/01/18		775		785,656
Nextel Communications, Inc., Gtd. Notes, Ser. E(d)	B1		6.875%	10/31/13		2,845		2,830,775
Qwest Corp., Sr. Unsec’d. Notes(a)(d)	Baa3		3.796%	06/15/13		3,750		3,760,549
Qwest Corp., Sr. Unsec’d. Notes	Baa3		8.375%	05/01/16		1,100		1,259,910
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		5.134%	04/27/20		1,090		1,023,857
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		7.045%	06/20/36		5		4,875
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Unsec’d. Notes, 144A	Ba3		7.748%	02/02/21		1,500		1,284,375
Wind Acquisition Finance SA (Luxembourg), Gtd. Notes, 144A	B3		11.750%	07/15/17	EUR	450		479,033
								35,219,919
Tobacco — 0.5%
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		3,715		5,650,448
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		515		520,914
Lorillard Tobacco Co., Gtd. Notes(d)	Baa2		8.125%	06/23/19		895		1,066,122
								7,237,484
TOTAL CORPORATE BONDS (cost $668,183,849)								696,377,598
FOREIGN AGENCIES — 2.2%
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		4.125%	09/09/15		2,000		2,050,524
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		4.950%	05/23/16		1,950		1,952,437
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, Reg.-S	Baa1		9.250%	04/23/19		2,055		2,443,189
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		9.250%	04/23/19		3,440		4,089,816
Gazprom International SA For Gazprom (Luxembourg), Gtd. Notes, 144A	BBB+(c)		7.201%	02/01/20		663		700,808
IPIC GMTN Ltd. (Cayman Islands), Gtd. Notes, 144A, MTN	Aa3		5.500%	03/01/22		3,625		3,625,000
Kazmunaygas National Co. (Kazakhstan), Sr. Unsec’d. Notes, 144A, MTN(d)	Baa3		8.375%	07/02/13		1,200		1,257,000
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes(d)	A1		3.875%	05/04/17		1,475		1,456,539
Korea Expressway Corp. (South Korea), Sr. Unsec’d. Notes, Ser. G, 144A, MTN	A1		4.500%	03/23/15		1,785		1,850,501
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes	A1		3.250%	09/20/16		2,250		2,212,434

SEE NOTES TO FINANCIAL STATEMENTS.

A40

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

FOREIGN AGENCIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes	A1		4.625%	11/16/21	$	600	$	595,373
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.750%	07/13/21		1,650		1,672,326
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		2,730		2,944,906
NAK Naftogaz Ukraine (Ukraine), Gtd. Notes	NR		9.500%	09/30/14		3,765		3,529,688
National Agricultural Cooperative Federation (South Korea), Sr. Unsec’d. Notes, 144A, MTN	A1		3.500%	02/08/17		1,575		1,529,224
Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes, Ser. 2014	NR		4.900%	10/28/14		1,735		1,357,638
Qtel International Finance Ltd. (Bermuda), Gtd. Notes, 144A	A2		4.750%	02/16/21		1,295		1,304,712
TOTAL FOREIGN AGENCIES (cost $34,210,380)								34,572,115
MORTGAGE-BACKED SECURITIES — 7.2%
Federal Home Loan Mortgage Corp.			4.500%	TBA 30 YR		8,000		8,476,250
Federal Home Loan Mortgage Corp.			5.000%	07/01/19		401		433,899
Federal Home Loan Mortgage Corp.			5.500%	10/01/33-06/01/34		2,741		3,031,261
Federal Home Loan Mortgage Corp.			5.500%	TBA 30 YR		13,000		14,105,000
Federal Home Loan Mortgage Corp.			6.000%	11/01/33-06/01/34		2,733		3,042,763
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		1,500		1,647,188
Federal Home Loan Mortgage Corp.			6.500%	07/01/32-09/01/32		1,540		1,761,405
Federal Home Loan Mortgage Corp.			7.000%	10/01/32		170		194,803
Federal National Mortgage Association			4.000%	05/01/19		265		282,407
Federal National Mortgage Association			4.500%	12/01/18-02/01/35		2,171		2,337,230
Federal National Mortgage Association			5.500%	03/01/17-09/01/34		7,374		8,079,722
Federal National Mortgage Association			5.500%	TBA 30 YR		7,500		8,166,796
Federal National Mortgage Association			6.000%	09/01/17-11/01/36		5,465		6,079,874
Federal National Mortgage Association			6.000%	TBA 30 YR		12,000		13,213,126
Federal National Mortgage Association			6.500%	12/01/14-11/01/33		3,440		3,890,837
Federal National Mortgage Association			7.000%	05/01/32-06/01/32		244		283,160
Government National Mortgage Association			4.500%	TBA 30 YR		1,000		1,089,531
Government National Mortgage Association			4.500%	TBA 30 YR		19,000		20,647,654
Government National Mortgage Association			5.500%	01/15/33-07/15/35		5,133		5,820,598
Government National Mortgage Association			6.000%	12/15/32-11/15/34		4,214		4,800,403
Government National Mortgage Association			6.500%	09/15/32-11/15/33		3,316		3,838,243
Government National Mortgage Association			7.500%	10/15/25-02/15/26		78		90,923
TOTAL MORTGAGE-BACKED SECURITIES (cost $107,105,186)								111,313,073
MUNICIPAL BONDS — 1.2%
Bay Area Toll Authority, Revenue Bonds, BABs	A1		6.907%	10/01/50		1,125		1,467,000
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		1,380		1,687,643
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,375		1,649,615
New Jersey State Turnpike Authority, Revenue Bonds, Ser. 2010A, BABs	A3		7.102%	01/01/41		1,175		1,614,427
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		2,050		2,923,853
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		695		797,130
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		450		508,613
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		615		752,483
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		800		909,456
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		1,000		1,299,420

SEE NOTES TO FINANCIAL STATEMENTS.

A41

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

MUNICIPAL BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39	$	2,280	$	2,716,506
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		725		896,847
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		425		494,764
University of California, Revenue Bonds, BABs	Aa1		5.770%	05/15/43		1,400		1,608,418
TOTAL MUNICIPAL BONDS (cost $15,530,646)								19,326,175
SOVEREIGNS — 2.4%
Argentine Republic Government International Bond (Argentina), Sr. Unsec’d. Notes	NR		7.820%	12/31/33	EUR	4,437		3,503,083
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Ba1		4.875%	05/05/21		1,600		1,712,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Ba1		7.250%	04/20/15		1,600		1,812,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Ba1		10.375%	05/04/14		1,400		1,636,250
Ireland Government Bond (Ireland), Bonds	Ba1		4.500%	04/18/20	EUR	1,850		1,833,144
Jamaica Government International Bond (Jamaica), Sr. Unsub. Notes	B3		11.000%	07/27/12	EUR	620		810,458
Mexican Bonos (Mexico), Bonds, Ser. M 30	Baa1		10.000%	11/20/36	MXN	567		5,036,070
Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands), Pass-thru Certs., 144A(i)	Baa3		3.350%	05/31/18		1,285		1,054,816
Poland Government International Bond (Poland), Sr. Unsec’d. Notes, Ser. 3BR	A2		1.000%	06/20/12	JPY	500,000		6,449,026
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		815		894,462
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		6.400%	01/20/40		1,090		1,280,750
Republic of Ghana (Ghana), Unsec’d. Notes, 144A(d)	B(c)		8.500%	10/04/17		2,000		2,190,000
South Africa Government Bond (South Africa), Ser. R213	A3		7.000%	02/28/31	ZAR	69,870		7,155,301
Venezuela Government International Bond (Venezuela), Sr. Unsec’d. Notes(d)	B2		9.250%	09/15/27		3,180		2,297,550
TOTAL SOVEREIGNS (cost $39,495,406)								37,664,910
U.S. GOVERNMENT TREASURY SECURITIES — 2.2%
U.S. Treasury Bonds(d)			3.750%	08/15/41		2,295		2,699,136
U.S. Treasury Bonds			6.500%	11/15/26		18,920		28,705,197
U.S. Treasury Notes			0.500%	10/15/14		1,500		1,506,211
U.S. Treasury Notes			2.000%	11/15/21		1,950		1,972,242
TOTAL U.S. GOVERNMENT TREASURY SECURITIES (cost $34,246,467)								34,882,786
					Shares
PREFERRED STOCK — 0.1%
Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(a) (cost $1,125,000)						45,000		1,172,700
TOTAL LONG-TERM INVESTMENTS (cost $1,375,375,084)								1,426,660,216

SEE NOTES TO FINANCIAL STATEMENTS.

A42

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

SHORT-TERM INVESTMENTS — 17.8%	Shares		Value (Note 2)
AFFILATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (Note 4)(j) (cost $165,711,329)		16,762,945	$	148,519,695
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(j)(k) (cost $128,742,241; includes $87,137,730 of cash collateral received for securities on loan)		128,742,241		128,742,241
TOTAL SHORT-TERM INVESTMENTS (cost $294,453,570)				277,261,936
TOTAL INVESTMENTS — 109.4% (cost $1,669,828,654)				1,703,922,152
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (9.4)%				(147,022,963	)
NET ASSETS — 100.0%			$	1,556,899,189

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
Reg.-S	Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
BABs	Build America Bonds
BTP	Buoni del Tesoro Poliennali — Long Term Treasury Bonds
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
MTN	Medium Term Note
NR	Not Rated by Moody’s or Standard & Poor’s
PIK	Payment in Kind
TBA	To Be Announced
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CLP	Chilean Peso
CNY	Chinese Yuan Renminbi
COP	Colombian Peso
CZK	Czech Koruna
EUR	Euro
GBP	Pound Sterling
HUF	Hungarian Forint
IDR	Indonesian Rupiah
INR	Indian Rupee
JPY	Japanese Yen
KRW	South Korean Won
MXN	Mexican Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
PEN	Peruvian Nuevo Sol
PHP	Philippine Peso
PLN	Polish Zloty
RON	Romanian New Lei
RUB	Russian Rouble
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
TRY	Turkish Lira
TWD	New Taiwan Dollar
ZAR	South African Rand
BBR	New Zealand Bank Bill Rate
BBSW	Australian Bank Bill Rate
LIBOR	London Interbank Offered Rate

SEE NOTES TO FINANCIAL STATEMENTS.

A43

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

† The ratings reflected are as of December 31, 2011. Ratings of certain bonds may have changed subsequent to that date.

# Principal amount is shown in U.S. dollars unless otherwise stated.

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2011.

(b) Indicates a security that has been deemed illiquid.

(c) Standard & Poor’s Rating.

(d) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $85,497,038; cash collateral of $87,137,730 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(e) Represents security, or a portion thereof, segregated as collateral for swap agreements.

(f) Represents issuer in default on interest payments and/or principal repayment; non-income producing security.

(g) Indicates a restricted security; the aggregate original cost of such securities is $9,861,404. The aggregate value of $9,684,853 is approximately 0.6% of net assets.

(h) Represents security, or a portion thereof, segregated as collateral for futures contracts.

(i) Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2011.

(j) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

(k) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(l) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Long Positions:
925	2 Year U.S. Treasury Notes		Mar. 2012	$	204,078,543	$	204,005,859	$	(72,684	)
879	5 Year U.S. Treasury Notes		Mar. 2012		107,751,108		108,343,617		592,509
64	10 Year Euro-BTP		Mar. 2012		7,821,277		7,588,222		(233,055	)
24	10 Year Euro-Bund		Mar. 2012		4,157,530		4,318,850		161,320
246	U.S. Ultra Bond		Mar. 2012		38,594,115		39,406,125		812,010
411	U.S. Long Bond		Mar. 2012		58,139,085		59,517,938		1,378,853
									2,638,953
Short Position:
108	10 Year U.S. Treasury Notes		Mar. 2012		14,161,367		14,161,500		(133	)
								$	2,638,820

Forward currency contracts outstanding at December 31, 2011:

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 01/19/12	Citibank NA	AUD	9,222	$	9,278,004	$	9,409,806	$	131,802
Australian Dollar expiring 01/19/12	Citibank NA	AUD	802		814,300		817,857		3,557
Australian Dollar expiring 01/19/12	Goldman Sachs Group LP	AUD	3,881		3,871,000		3,960,006		89,006
Australian Dollar expiring 01/19/12	Goldman Sachs Group LP	AUD	3,841		3,885,100		3,919,255		34,155
Australian Dollar expiring 01/19/12	JPMorgan Chase & Co.	AUD	158		155,000		161,483		6,483
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	4,657		4,632,300		4,752,007		119,707
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	3,883		3,885,300		3,962,055		76,755
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	2,262		2,316,000		2,308,512		(7,488	)
Australian Dollar expiring 01/19/12	UBS AG	AUD	4,679		4,632,300		4,774,770		142,470
Australian Dollar expiring 01/20/12	Citibank NA	AUD	311		309,800		317,633		7,833
Australian Dollar expiring 01/20/12	Morgan Stanley	AUD	3,095		3,107,400		3,157,317		49,917
Brazilian Real expiring 01/19/12	Citibank NA	BRL	8,681		4,632,300		4,631,294		(1,006	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	7,258		3,872,200		3,872,392		192
Brazilian Real expiring 01/19/12	Citibank NA	BRL	5,782		3,102,600		3,084,546		(18,054	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	5,644		3,064,800		3,010,994		(53,806	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	5,498		3,134,700		2,933,335		(201,365	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	5,440		3,065,100		2,902,382		(162,718	)

SEE NOTES TO FINANCIAL STATEMENTS.

A44

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,314	$	2,330,600	$	2,301,496	$	(29,104	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,212		2,316,000		2,246,922		(69,078	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,186		2,317,300		2,233,347		(83,953	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,937		1,547,000		1,566,884		19,884
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,922		1,560,500		1,558,912		(1,588	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,881		1,537,300		1,536,966		(334	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,874		1,537,300		1,533,275		(4,025	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,859		1,552,700		1,525,027		(27,673	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,842		1,532,400		1,516,125		(16,275	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,839		1,542,600		1,514,695		(27,905	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,719		1,539,900		1,450,428		(89,472	)
Brazilian Real expiring 01/19/12	Morgan Stanley	BRL	5,336		3,107,900		2,846,576		(261,324	)
Canadian Dollar expiring 01/18/12	Citibank NA	CAD	3,273		3,200,400		3,211,174		10,774
Canadian Dollar expiring 01/18/12	Citibank NA	CAD	3,188		3,091,600		3,128,299		36,699
Canadian Dollar expiring 01/18/12	Citibank NA	CAD	1,583		1,547,000		1,553,180		6,180
Canadian Dollar expiring 01/18/12	JPMorgan Chase & Co.	CAD	2,353		2,317,300		2,308,290		(9,010	)
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	6,315		6,160,651		6,196,128		35,477
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	4,783		4,632,300		4,692,805		60,505
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	2,457		2,366,500		2,411,152		44,652
Canadian Dollar expiring 01/18/12	UBS AG	CAD	3,903		3,843,200		3,829,109		(14,091	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	2,404,986		4,632,100		4,622,985		(9,115	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,584,700		3,092,400		3,046,190		(46,210	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,214,121		2,298,600		2,333,843		35,243
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,198,932		2,317,000		2,304,646		(12,354	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,190,465		2,327,400		2,288,372		(39,028	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,182,503		2,298,800		2,273,066		(25,734	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,179,191		2,323,300		2,266,700		(56,600	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	823,070		1,537,300		1,582,147		44,847
Chilean Peso expiring 01/09/12	Citibank NA	CLP	814,769		1,537,300		1,566,190		28,890
Chilean Peso expiring 01/09/12	Citibank NA	CLP	810,180		1,532,400		1,557,368		24,968
Chilean Peso expiring 01/09/12	Citibank NA	CLP	792,639		1,533,300		1,523,651		(9,649	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	771,875		1,539,900		1,483,736		(56,164	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	49,235		7,782,400		7,800,350		17,950
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	100,235		15,790,000		15,880,203		90,203
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	98,787		15,496,000		15,650,809		154,809
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	24,658		3,895,900		3,906,614		10,714
Chinese Yuan Renminbi expiring 10/29/12	Morgan Stanley	CNY	14,861		2,351,100		2,352,652		1,552
Colombian Peso expiring 03/06/12	Citibank NA	COP	8,988,214		4,633,100		4,648,201		15,101
Colombian Peso expiring 03/06/12	Citibank NA	COP	7,482,062		3,871,000		3,869,304		(1,696	)
Czech Koruna expiring 01/20/12	Citibank NA	CZK	44,350		2,358,331		2,245,071		(113,260	)
Czech Koruna expiring 01/20/12	Citibank NA	CZK	44,078		2,331,400		2,231,337		(100,063	)
Czech Koruna expiring 01/20/12	Citibank NA	CZK	43,665		2,331,200		2,210,400		(120,800	)
Czech Koruna expiring 01/20/12	Goldman Sachs Group LP	CZK	59,145		3,088,200		2,994,037		(94,163	)
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	88,896		4,632,300		4,500,119		(132,181	)
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	59,956		3,097,800		3,035,108		(62,692	)
Czech Koruna expiring 01/20/12	UBS AG	CZK	86,501		4,632,100		4,378,889		(253,211	)
Euro expiring 01/23/12	Morgan Stanley	EUR	116		154,400		149,528		(4,872	)
Euro expiring 01/23/12	UBS AG	EUR	2,319		3,099,400		3,001,841		(97,559	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	1,036,868		4,634,500		4,251,206		(383,294	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	712,426		3,107,400		2,920,977		(186,423	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	536,116		2,331,400		2,198,098		(133,302	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	529,225		2,328,000		2,169,845		(158,155	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	526,451		2,331,200		2,158,472		(172,728	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	526,356		2,316,000		2,158,083		(157,917	)

SEE NOTES TO FINANCIAL STATEMENTS.

A45

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	351,169	$	1,544,800	$	1,439,810		$   (104,990	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	346,546		1,550,600		1,420,854		(129,746	)
Indian Rupee expiring 03/05/12	UBS AG	INR	240,299		4,634,500		4,466,777		(167,723	)
Indonesian Rupiah expiring 01/19/12	UBS AG	IDR	41,664,155		4,634,500		4,585,599		(48,901	)
Indonesian Rupiah expiring 01/19/12	UBS AG	IDR	21,132,792		2,327,400		2,325,896		(1,504	)
Indonesian Rupiah expiring 01/19/12	UBS AG	IDR	21,052,671		2,317,300		2,317,078		(222	)
Indonesian Rupiah expiring 01/20/12	UBS AG	IDR	25,434,020		2,821,300		2,798,988		(22,312	)
Malaysian Ringgit expiring 03/01/12	UBS AG	MYR	14,759		4,637,500		4,639,116		1,616
Malaysian Ringgit expiring 03/01/12	UBS AG	MYR	9,719		3,088,000		3,055,103		(32,897	)
Malaysian Ringgit expiring 03/01/12	UBS AG	MYR	9,667		3,088,000		3,038,602		(49,398	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	65,222		4,632,300		4,666,224		33,924
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	62,740		4,634,500		4,488,641		(145,859	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	50,940		3,731,506		3,644,426		(87,080	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	31,678		2,335,500		2,266,380		(69,120	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	21,339		1,545,800		1,526,647		(19,153	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	2,974		214,987		212,757		(2,230	)
Mexican Nuevo Peso expiring 01/18/12	JPMorgan Chase & Co.	MXN	43,454		3,100,800		3,108,838		8,038
Mexican Nuevo Peso expiring 01/18/12	JPMorgan Chase & Co.	MXN	2,177		155,000		155,731		731
Mexican Nuevo Peso expiring 01/18/12	Morgan Stanley	MXN	42,038		3,091,600		3,007,578		(84,022	)
New Taiwan Dollar expiring 03/02/12	UBS AG	TWD	92,794		3,088,000		3,068,283		(19,717	)
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	6,101		4,637,500		4,742,306		104,806
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	5,141		3,872,200		3,995,688		123,488
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	4,020		3,094,600		3,125,052		30,452
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	2,972		2,316,000		2,310,487		(5,513	)
New Zealand Dollar expiring 01/19/12	Goldman Sachs Group LP	NZD	6,146		4,632,300		4,777,390		145,090
New Zealand Dollar expiring 01/19/12	Goldman Sachs Group LP	NZD	1,052		814,300		818,034		3,734
New Zealand Dollar expiring 01/19/12	Morgan Stanley	NZD	3,449		2,639,052		2,680,991		41,939
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	36,242		6,183,300		6,055,435		(127,865	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	23,089		3,871,000		3,857,867		(13,133	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	22,431		3,885,300		3,747,866		(137,434	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	18,211		3,099,400		3,042,841		(56,559	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	14,034		2,329,600		2,344,774		15,174
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	13,492		2,328,000		2,254,227		(73,773	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	4,877		814,300		814,859		559
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	926		154,900		154,691		(209	)
Norwegian Krone expiring 01/20/12	Goldman Sachs Group LP	NOK	17,848		3,101,200		2,982,160		(119,040	)
Norwegian Krone expiring 01/20/12	Goldman Sachs Group LP	NOK	8,949		1,552,400		1,495,222		(57,178	)
Norwegian Krone expiring 01/20/12	Morgan Stanley	NOK	1,776		307,061		296,795		(10,266	)
Norwegian Krone expiring 01/20/12	UBS AG	NOK	66,384		11,437,624		11,091,664		(345,960	)
Peruvian Nuevo Sol expiring 01/13/12	Citibank NA	PEN	8,411		3,081,100		3,115,679		34,579
Peruvian Nuevo Sol expiring 01/13/12	Citibank NA	PEN	4,291		1,537,300		1,589,573		52,273
Philippine Peso expiring 01/06/12	Morgan Stanley	PHP	99,619		2,310,800		2,270,924		(39,876	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	133,340		3,088,000		3,039,640		(48,360	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	100,610		2,298,600		2,293,518		(5,082	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	100,092		2,299,900		2,281,708		(18,192	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	99,515		2,298,800		2,268,564		(30,236	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	67,349		1,537,300		1,535,303		(1,997	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	15,999		4,646,600		4,627,174		(19,426	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	15,719		4,632,300		4,546,226		(86,074	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	15,413		4,634,500		4,457,627		(176,873	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	15,328		4,655,800		4,433,301		(222,499	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,905		2,321,000		2,286,346		(34,654	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,821		2,317,200		2,261,895		(55,305	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,636		2,331,200		2,208,411		(122,789	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	5,166		1,544,800		1,494,005		(50,795	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	539		154,900		155,765		865
Polish Zloty expiring 01/20/12	JPMorgan Chase & Co.	PLN	7,734		2,317,300		2,236,708		(80,592	)
Pound Sterling expiring 01/23/12	Citibank NA	GBP	2,458		3,885,300		3,817,058		(68,242	)
Pound Sterling expiring 01/23/12	Goldman Sachs Group LP	GBP	1,485		2,327,400		2,305,035		(22,365	)

SEE NOTES TO FINANCIAL STATEMENTS.

A46

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Pound Sterling expiring 01/23/12	Morgan Stanley	GBP	2,972	$	4,632,300	$	4,614,747	$	(17,553	)
Romanian New Lei expiring 01/20/12	Citibank NA	RON	7,418		2,276,438		2,212,863		(63,575	)
Russian Rouble expiring 02/06/12	Citibank NA	RUB	143,549		4,632,100		4,433,417		(198,683	)
Russian Rouble expiring 02/06/12	Citibank NA	RUB	95,966		3,134,700		2,963,843		(170,857	)
Russian Rouble expiring 02/06/12	Citibank NA	RUB	95,935		3,089,700		2,962,900		(126,800	)
Russian Rouble expiring 02/06/12	UBS AG	RUB	73,158		2,321,000		2,259,438		(61,562	)
Singapore Dollar expiring 01/19/12	Goldman Sachs Group LP	SGD	17,929		13,878,771		13,821,717		(57,054	)
Singapore Dollar expiring 01/19/12	Goldman Sachs Group LP	SGD	6,002		4,637,500		4,627,284		(10,216	)
Singapore Dollar expiring 01/19/12	Goldman Sachs Group LP	SGD	5,035		3,871,000		3,881,963		10,963
Singapore Dollar expiring 01/19/12	JPMorgan Chase & Co.	SGD	6,015		4,632,300		4,637,013		4,713
Singapore Dollar expiring 01/19/12	UBS AG	SGD	3,963		3,089,700		3,055,504		(34,196	)
Singapore Dollar expiring 01/19/12	UBS AG	SGD	2,970		2,317,300		2,289,527		(27,773	)
South African Rand expiring 01/30/12	Citibank NA	ZAR	25,411		3,094,600		3,131,012		36,412
South African Rand expiring 01/30/12	Goldman Sachs Group LP	ZAR	18,925		2,316,000		2,331,852		15,852
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	38,953		4,632,300		4,799,578		167,278
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	37,364		4,634,500		4,603,760		(30,740	)
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	18,856		2,317,300		2,323,268		5,968
South African Rand expiring 01/30/12	UBS AG	ZAR	31,663		3,885,100		3,901,317		16,217
South Korean Won expiring 02/07/12	UBS AG	KRW	3,504,707		3,134,100		3,033,794		(100,306	)
South Korean Won expiring 02/27/12	UBS AG	KRW	5,417,635		4,659,530		4,683,876		24,346
South Korean Won expiring 02/27/12	UBS AG	KRW	5,314,575		4,637,500		4,594,774		(42,726	)
South Korean Won expiring 02/27/12	UBS AG	KRW	3,489,440		3,088,000		3,016,834		(71,166	)
South Korean Won expiring 02/27/12	UBS AG	KRW	2,677,268		2,331,100		2,314,662		(16,438	)
South Korean Won expiring 02/27/12	UBS AG	KRW	2,616,501		2,316,000		2,262,125		(53,875	)
Swedish Krona expiring 01/20/12	Citibank NA	SEK	48,900		7,192,284		7,097,641		(94,643	)
Swedish Krona expiring 01/20/12	Citibank NA	SEK	32,246		4,632,300		4,680,380		48,080
Swedish Krona expiring 01/20/12	Citibank NA	SEK	32,120		4,632,300		4,662,191		29,891
Swedish Krona expiring 01/20/12	Citibank NA	SEK	20,879		3,088,000		3,030,542		(57,458	)
Swedish Krona expiring 01/20/12	Citibank NA	SEK	15,733		2,331,100		2,283,663		(47,437	)
Swedish Krona expiring 01/20/12	Goldman Sachs Group LP	SEK	26,754		3,871,000		3,883,307		12,307
Thai Baht expiring 02/07/12	UBS AG	THB	120,607		3,917,600		3,812,079		(105,521	)
Turkish Lira expiring 01/30/12	JPMorgan Chase & Co.	TRY	8,711		4,632,300		4,565,883		(66,417	)
Turkish Lira expiring 01/30/12	JPMorgan Chase & Co.	TRY	4,282		2,316,000		2,244,278		(71,722	)
Turkish Lira expiring 01/30/12	UBS AG	TRY	4,286		2,317,300		2,246,515		(70,785	)
				$	535,854,639	$	530,006,156	$	(5,848,483	)
Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 01/19/12	Citibank NA	AUD	3,106	$	3,108,400	$	3,168,955	$	(60,555	)
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	7,972		7,891,300		8,134,727		(243,427	)
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	7,842		7,736,500		8,001,788		(265,288	)
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	6,260		6,217,100		6,388,101		(171,001	)
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	3,975		3,880,000		4,055,931		(175,931	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	15,572		8,208,778		8,307,721		(98,943	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	8,678		4,787,600		4,629,477		158,123
Brazilian Real expiring 01/19/12	Citibank NA	BRL	6,863		3,724,800		3,661,394		63,406
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,272		2,187,910		2,279,064		(91,154	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,173		2,316,600		2,226,493		90,107
Brazilian Real expiring 01/19/12	Citibank NA	BRL	3,971		2,152,867		2,118,516		34,351
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,812		1,544,700		1,500,275		44,425
Brazilian Real expiring 01/19/12	UBS AG	BRL	7,288		3,872,700		3,888,387		(15,687	)
Brazilian Real expiring 01/19/12	UBS AG	BRL	5,671		3,093,600		3,025,260		68,340
Brazilian Real expiring 01/19/12	UBS AG	BRL	4,348		2,313,900		2,319,570		(5,670	)
Brazilian Real expiring 01/19/12	UBS AG	BRL	4,003		2,230,023		2,135,551		94,472
Canadian Dollar expiring 01/18/12	Citibank NA	CAD	4,813		4,647,200		4,722,227		(75,027	)
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	7,318		6,973,700		7,180,501		(206,801	)
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	4,798		4,662,800		4,707,993		(45,193	)

SEE NOTES TO FINANCIAL STATEMENTS.

A47

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	3,662,800	$	7,162,300	$	7,040,818	$	121,482
Chilean Peso expiring 01/09/12	Citibank NA	CLP	3,595,451		6,893,781		6,911,357		(17,576	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	3,485,391		6,675,076		6,699,793		(24,717	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	3,223,788		6,187,100		6,196,927		(9,827	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	67,431		10,630,850		10,683,159		(52,309	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	14,789		2,317,300		2,343,020		(25,720	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	67,442		10,630,850		10,684,844		(53,994	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	24,844		3,881,800		3,935,955		(54,155	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	19,758		3,142,200		3,130,281		11,919
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	14,634		2,331,500		2,318,408		13,092
Czech Koruna expiring 01/20/12	Goldman Sachs Group LP	CZK	79,464		4,189,400		4,022,659		166,741
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	153,189		7,736,500		7,754,754		(18,254	)
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	134,233		6,973,700		6,795,162		178,538
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	59,705		3,033,286		3,022,385		10,901
Euro expiring 01/23/12	Citibank NA	EUR	4,425		5,987,825		5,728,223		259,602
Euro expiring 01/23/12	Citibank NA	EUR	3,933		5,269,000		5,091,112		177,888
Euro expiring 01/23/12	Citibank NA	EUR	387		521,751		501,359		20,392
Euro expiring 01/23/12	Morgan Stanley	EUR	3,477		4,649,100		4,500,344		148,756
Euro expiring 01/23/12	Morgan Stanley	EUR	2,104		2,790,100		2,723,212		66,888
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	747,705		3,174,023		3,065,621		108,402
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	728,888		3,094,600		2,988,475		106,125
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	544,586		2,324,600		2,232,828		91,772
Hungarian Forint expiring 01/20/12	Goldman Sachs Group LP	HUF	1,480,469		6,350,400		6,069,987		280,413
Hungarian Forint expiring 01/20/12	Goldman Sachs Group LP	HUF	532,432		2,325,600		2,182,995		142,605
Hungarian Forint expiring 01/20/12	JPMorgan Chase & Co.	HUF	531,077		2,325,600		2,177,438		148,162
Indian Rupee expiring 03/05/12	UBS AG	INR	240,299		4,454,102		4,466,777		(12,675	)
Indonesian Rupiah expiring 01/20/12	UBS AG	IDR	25,434,020		2,752,600		2,798,989		(46,389	)
Japanese Yen expiring 06/20/12	Barclays Bank PLC	JPY	500,000		6,456,287		6,521,063		(64,776	)
Malaysian Ringgit expiring 03/01/12	UBS AG	MYR	9,456		2,939,900		2,972,343		(32,443	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	97,319		6,962,900		6,962,572		328
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	52,338		3,724,800		3,744,418		(19,618	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	44,037		3,099,400		3,150,598		(51,198	)
Mexican Nuevo Peso expiring 01/18/12	JPMorgan Chase & Co.	MXN	107,100		7,771,300		7,662,336		108,964
Mexican Nuevo Peso expiring 01/18/12	JPMorgan Chase & Co.	MXN	32,521		2,317,200		2,326,683		(9,483	)
New Taiwan Dollar expiring 03/02/12	UBS AG	TWD	92,794		3,074,087		3,068,283		5,804
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	50		38,961		38,865		96
New Zealand Dollar expiring 01/19/12	Goldman Sachs Group LP	NZD	15,614		11,724,300		12,136,447		(412,147	)
New Zealand Dollar expiring 01/19/12	Morgan Stanley	NZD	4,271		3,263,800		3,319,499		(55,699	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	54,593		9,129,100		9,121,613		7,487
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	50,774		8,703,900		8,483,447		220,453
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	35,505		6,043,800		5,932,237		111,563
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	27,256		4,647,200		4,553,978		93,222
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	23,128		3,871,480		3,864,303		7,177
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	18,094		3,108,400		3,023,190		85,210
Peruvian Nuevo Sol expiring 01/13/12	Citibank NA	PEN	12,703		4,626,762		4,705,252		(78,490	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	234,355		5,382,526		5,342,404		40,122
Philippine Peso expiring 01/06/12	UBS AG	PHP	133,340		3,008,570		3,039,640		(31,070	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	131,993		3,107,900		3,008,926		98,974
Philippine Peso expiring 01/06/12	UBS AG	PHP	100,836		2,350,500		2,298,686		51,814
Polish Zloty expiring 01/20/12	Citibank NA	PLN	18,498		5,266,800		5,349,902		(83,102	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	18,437		5,366,700		5,332,406		34,294
Polish Zloty expiring 01/20/12	Citibank NA	PLN	14,966		4,496,200		4,328,580		167,620
Polish Zloty expiring 01/20/12	Citibank NA	PLN	13,372		3,885,700		3,867,353		18,347

SEE NOTES TO FINANCIAL STATEMENTS.

A48

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,998	$	2,329,600	$	2,313,326	$	16,274
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,890		2,331,100		2,282,086		49,014
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,779		2,331,300		2,249,853		81,447
Pound Sterling expiring 01/23/12	Citibank NA	GBP	1,481		2,321,000		2,300,026		20,974
Pound Sterling expiring 01/23/12	Morgan Stanley	GBP	2,481		3,876,000		3,852,412		23,588
Pound Sterling expiring 01/23/12	UBS AG	GBP	2,993		4,657,300		4,646,438		10,862
Romanian New Lei expiring 01/20/12	JPMorgan Chase & Co.	RON	7,418		2,239,599		2,212,863		26,736
Russian Rouble expiring 02/06/12	Citibank NA	RUB	122,381		3,881,100		3,779,657		101,443
Russian Rouble expiring 02/06/12	Citibank NA	RUB	117,103		3,678,152		3,616,661		61,491
Russian Rouble expiring 02/06/12	Citibank NA	RUB	95,966		3,004,938		2,963,843		41,095
Russian Rouble expiring 02/06/12	Citibank NA	RUB	73,158		2,317,214		2,259,438		57,776
Singapore Dollar expiring 01/19/12	JPMorgan Chase & Co.	SGD	5,996		4,654,900		4,622,497		32,403
Singapore Dollar expiring 01/19/12	Morgan Stanley	SGD	6,044		4,662,600		4,659,364		3,236
Singapore Dollar expiring 01/19/12	Morgan Stanley	SGD	2,028		1,547,300		1,563,639		(16,339	)
Singapore Dollar expiring 01/19/12	UBS AG	SGD	12,007		9,143,200		9,256,542		(113,342	)
South African Rand expiring 01/30/12	Citibank NA	ZAR	13,142		1,547,300		1,619,310		(72,010	)
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	61,271		7,099,964		7,549,442		(449,478	)
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	38,304		4,667,000		4,719,517		(52,517	)
South African Rand expiring 01/30/12	UBS AG	ZAR	38,898		4,667,000		4,792,743		(125,743	)
South Korean Won expiring 02/07/12	UBS AG	KRW	3,504,707		3,070,265		3,033,794		36,471
South Korean Won expiring 02/27/12	Morgan Stanley	KRW	5,417,635		4,644,152		4,683,876		(39,724	)
South Korean Won expiring 02/27/12	UBS AG	KRW	7,228,708		6,123,429		6,249,659		(126,230	)
South Korean Won expiring 02/27/12	UBS AG	KRW	6,869,076		5,879,800		5,938,736		(58,936	)
Swedish Krona expiring 01/19/12	Goldman Sachs Group LP	SEK	21,244		3,108,400		3,083,659		24,741
Swedish Krona expiring 01/20/12	Citibank NA	SEK	13,772		2,015,500		1,998,922		16,578
Swedish Krona expiring 01/20/12	UBS AG	SEK	46,780		6,653,400		6,789,910		(136,510	)
Swedish Krona expiring 01/20/12	UBS AG	SEK	32,532		4,647,200		4,721,971		(74,771	)
Swedish Krona expiring 01/20/12	UBS AG	SEK	14,067		2,015,100		2,041,769		(26,669	)
Thai Baht expiring 02/07/12	UBS AG	THB	120,607		3,859,432		3,812,079		47,353
Turkish Lira expiring 01/30/12	Goldman Sachs Group LP	TRY	5,599		2,943,200		2,934,623		8,577
Turkish Lira expiring 01/30/12	JPMorgan Chase & Co.	TRY	5,875		3,096,800		3,079,501		17,299
Turkish Lira expiring 01/30/12	UBS AG	TRY	5,784		3,104,800		3,031,807		72,993
				$	455,841,940	$	455,333,800		508,140
								$	(5,340,343	)

Interest rate swap agreements outstanding at December 31, 2011:

Counterparty	Termination Date		Notional Amount (000)#		Fixed Rate	Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Over-the-counter swap agreements:
Barclays Bank PLC		05/31/16	$	19,585	1.175%	3 month LIBOR(a)	$	39,784		$	—	$	39,784
Barclays Bank PLC		05/31/16		19,585	1.180%	3 month LIBOR(a)		43,288			—		43,288
Barclays Bank PLC		05/31/16		4,815	1.220%	3 month LIBOR(a)		18,590			—		18,590
Citibank NA		09/07/21	AUD	8,000	4.945%	6 month BBSW(a)		237,136			—		237,136
Barclays Bank PLC		07/05/13	MXN	199,700	5.480%	28 day Mexican Interbank Rate(a)		124,231			—		124,231
Barclays Bank PLC		12/15/16	MXN	100,000	5.750%	28 day Mexican Interbank Rate(a)		(34,792	)		—		(34,792	)
Barclays Bank PLC		09/20/21	MXN	58,400	6.790%	28 day Mexican Interbank Rate(a)		17,020			—		17,020
Citibank NA		08/18/16	NZD	13,400	4.173%	3 month BBR(a)		564,207			—		564,207
							$	1,009,464		$	—	$	1,009,464

(a) Portfolio pays the floating rate and receives the fixed rate.

# Notional amount is shown in U.S. dollars unless otherwise stated.

SEE NOTES TO FINANCIAL STATEMENTS.

A49

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Credit default swap agreements outstanding at December 31, 2011:

Counterparty	Termination Date		Notional Amount (000)#(2)		Fixed Rate		Reference Entity/Obligation	Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
Deutsche Bank AG		03/20/18	$	3,700		3.700%	American International Group, Inc.	$	187,228		$	—		$	187,228
Citibank NA		06/20/14		4,800		1.000%	CBS Corp.		(45,599	)		186,220			(231,819	)
Credit Suisse International		06/20/14		2,500		1.000%	Centex Corp.		115,164			(8,600	)		123,764
Goldman Sachs International, Inc.		03/20/14		3,400		0.700%	Duke Energy Corp.		(26,934	)		—			(26,934	)
Deutsche Bank AG		03/20/12		1,100		5.000%	Gannett Co., Inc.		(12,010	)		(2,618	)		(9,392	)
Credit Suisse International		12/20/12		1,500		1.000%	GATX Financial Corp.		(3,752	)		4,876			(8,628	)
Deutsche Bank AG		12/20/12		7,800		1.000%	Macy’s Retail Holdings, Inc.		(44,630	)		95,840			(140,470	)
Deutsche Bank AG		09/20/13		2,600		1.000%	Masco Corp.		48,673			42,294			6,379
Deutsche Bank AG		06/20/13		3,750		1.000%	Qwest Corp.		(901	)		27,692			(28,593	)
Deutsche Bank AG		06/20/14		7,000		1.000%	R.R. Donnelley & Sons Co.		678,809			278,463			400,346
JPMorgan Chase Bank		09/20/16		4,750		1.000%	R.R. Donnelley & Sons Co.		1,006,320			398,727			607,593
Deutsche Bank AG		06/20/13		6,600		1.000%	Sealed Air Corp.		(26,072	)		41,428			(67,500	)
JPMorgan Chase Bank		06/20/14		4,150		5.000%	SLM Corp.		11,605			399,788			(388,183	)
Deutsche Bank AG		03/20/14		980		7.050%	Starwood Hotels & Resorts Holdings, Inc.		(128,344	)		—			(128,344	)
Credit Suisse International		03/20/15		4,695		1.000%	Toll Brothers Financial Corp.		40,681			23,586			17,095
JPMorgan Chase Bank		09/20/19		4,400		1.000%	Westvaco Corp.		213,835			66,852			146,983
Citibank NA		03/20/12		6,900		5.000%	XL Group PLC		(80,672	)		(30,277	)		(50,395	)
Over-the-counter credit default swap on credit index—Buy Protection(1):
Morgan Stanley Capital Services, Inc.		06/20/13	EUR	3,700		1.650%	Itraxx Euro Ser. 9		1,235			(51,845	)		53,080
								$	1,934,636		$	1,472,426		$	462,210

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

# Notional amount is shown in U.S. dollars unless otherwise stated.

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A50

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities	$	—	$	112,828,978		$	9,589,064
Residential Mortgage-Backed Securities		—		61,871,554			—
Bank Loans		—		24,586,797			—
Collateralized Mortgage Obligations		—		3,811,133			—
Commercial Mortgage-Backed Securities		—		278,663,333			—
Corporate Bonds		—		696,377,598			—
Foreign Agencies		—		34,572,115			—
Mortgage-Backed Securities		—		111,313,073			—
Municipal Bonds		—		19,326,175			—
Sovereigns		—		37,664,910			—
U.S. Government Treasury Securities		—		34,882,786			—
Preferred Stock		1,172,700		—			—
Affiliated Mutual Funds		277,261,936		—			—
Other Financial Instruments*
Futures Contracts		2,638,820		—			—
Forward Currency Contracts		—		(5,340,343	)		—
Interest Rate Swap Agreements		—		1,009,464			—
Credit Default Swap Agreements		—		489,144			(26,934	)
Total	$	281,073,456	$	1,412,056,717		$	9,562,130

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

	Non-Residential Mortgage-Backed Securities			Bank Loans			Sovereigns			Credit Default Swaps
Balance as of 12/31/10	$	55,732,296		$	7,221,737		$	1,185,799		$	(47,359	)
Realized gain (loss)		102,207			335,280			—			—	**
Change in unrealized appreciation (depreciation)***		(1,011,867	)		(173,080	)		—			20,425
Purchases		6,956,783			—			—			—
Sales		(9,170,510	)		(4,282,200	)		—			—
Accrued discount/premium		104,490			—			—			—
Transfers into Level 3		—			—			—			—
Transfers out of Level 3		(43,124,335	)		(3,101,737	)		(1,185,799	)		—
Balance as of 12/31/11	$	9,589,064		$	—		$	—		$	(26,934	)

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

** The realized loss incurred during the period for other financial instruments was $(24,131).

*** Of which, $(765,531) was included in Net Assets relating to securities held at the reporting period end.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, there were 19 non-residential mortgage-backed securities, 3 bank loans and 1 sovereign transferred from Level 3 into Level 2 as a result of no longer using a single broker quote.

SEE NOTES TO FINANCIAL STATEMENTS.

A51

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Commercial Mortgage-Backed Securities	17.9	%
Affiliated Mutual Funds (including 5.6% of collateral received for securities on loan)	17.8
Banking	8.6
Non-Residential Mortgage-Backed Securities	7.8
Mortgage-Backed Securities	7.2
Residential Mortgage-Backed Securities	4.0
Cable	2.9
Media & Entertainment	2.9
Insurance	2.8
Non-Captive Finance	2.6
Foods	2.5
Sovereigns	2.4
Telecommunications	2.3
Foreign Agencies	2.2
Metals	2.2
U.S. Government Treasury Securities	2.2
Electric	2.1
Technology	1.7
Energy – Other	1.4
Chemicals	1.3
Healthcare & Pharmaceutical	1.3
Capital Goods	1.2
Municipal Bonds	1.2
Healthcare Insurance	1.1
Real Estate Investment Trusts	1.1
Retailers	1.1
Gaming	1.0
Paper	1.0
Lodging	0.8
Pipelines & Other	0.8
Building Materials & Construction	0.7
Packaging	0.7
Consumer	0.5
Tobacco	0.5
Airlines	0.4
Automotive	0.4
Collateralized Mortgage Obligations	0.3
Aerospace & Defense	0.2
Energy – Integrated	0.2
Railroads	0.1
	109.4
Liabilities in excess of other assets	(9.4	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A52

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The Portfolio Invested in derivative instruments during the Period. The types of risk associated with these derivative instruments are credit risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial performance as reflected in the Statements of Assets and liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premium paid for swap agreements	$	1,565,766		Premium received for swap agreements	$	93,340
Credit contracts	Unrealized appreciation on swap agreements		1,542,468		Unrealized depreciation on swap agreements		1,080,258
Foreign exchange contracts	Unrealized appreciation on forward currency contracts		6,678,348		Unrealized depreciation on forward currency contracts		12,018,691
Interest rate contracts	Due from broker-variation margin		2,944,692	*	Due from broker-variation margin		305,872	*
Interest rate contracts	Unrealized appreciation on swap agreements		1,044,256		Unrealized depreciation on swap agreements		34,792
Total		$	13,775,530			$	13,532,953

* Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Purchased Options			Written Options			Futures		Forward Currency Contracts			Swaps		Total
Credit contracts	$	—		$	—		$	—	$	—		$	100,536	$	100,536
Foreign exchange contracts		—			—			—		818,563			—		818,563
Interest rate contracts		(87,617	)		1,333,657			31,855,652		—			6,881,630		39,983,323
Total	$	(87,617	)	$	1,333,657		$	31,855,652	$	818,563		$	6,982,166	$	40,902,422
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Purchased Options			Written Options			Futures		Forward Currency Contracts			Swaps		Total
Credit contracts	$	—		$	—		$	—	$	—		$	3,346,193	$	3,346,193
Foreign exchange contracts		—			—			—		(7,482,695	)		—		(7,482,695	)
Interest rate contracts		(53,547	)		(1,287,923	)		3,151,001		—			751,426		2,560,957
Total	$	(53,547	)	$	(1,287,923	)	$	3,151,001	$	(7,482,695	)	$	4,097,619	$	(1,575,545	)

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities is as follows:

Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)	Forward Currency Contracts—Purchased (Value at Settlement Date Payable)	Forward Currency Contracts—Sold (Value at Settlement Date Receivable)
$392,483,669	$34,658,184	$324,436,949	$213,696,603

Interest Rate Swaps (Notional Amount in USD (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))
$109,413	$105,990

SEE NOTES TO FINANCIAL STATEMENTS.

A53

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $85,497,038:
Unaffiliated investments (cost $1,375,375,084)	$	1,426,660,216
Affiliated investments (cost $294,453,570)		277,261,936
Cash		350,286
Foreign currency, at value (cost $850,759)		852,765
Receivable for investments sold		22,651,648
Dividends and interest receivable		15,225,257
Unrealized appreciation on forward currency contracts		6,678,348
Unrealized appreciation on swap agreements		2,586,724
Premium paid for swap agreements		1,565,766
Due from broker—variation margin		477,663
Receivable for Series shares sold		107,097
Prepaid expenses		9,142
Total Assets		1,754,426,848
LIABILITIES
Payable for investments purchased		96,034,975
Collateral for securities on loan		87,137,730
Unrealized depreciation on forward currency contracts		12,018,691
Unrealized depreciation on swap agreements		1,115,050
Management fee payable		525,963
Payable for Series shares repurchased		379,701
Accrued expenses and other liabilities		216,855
Premium received for swap agreements		93,340
Deferred trustees’ fees		4,428
Affiliated transfer agent fee payable		926
Total Liabilities		197,527,659
NET ASSETS	$	1,556,899,189
Net assets were comprised of:
Paid-in capital	$	1,449,765,514
Retained earnings		107,133,675
Net assets, December 31, 2011	$	1,556,899,189
Net asset value and redemption price per share, $1,556,899,189 / 132,666,123 outstanding shares of beneficial interest	$	11.74

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Interest	$	77,511,985
Affiliated dividend income		2,072,619
Affiliated income from securities loaned, net		153,894
Unaffiliated dividend income		94,746
		79,833,244
EXPENSES
Management fee		6,161,929
Custodian’s fees and expenses		200,000
Shareholders’ reports		65,000
Audit fee		36,000
Trustees’ fees		24,000
Insurance expenses		17,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Legal fees and expenses		8,000
Commitment fee on syndicated credit agreement		7,000
Miscellaneous		5,531
Total expenses		6,536,460
NET INVESTMENT INCOME		73,296,784
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		20,453,007
Futures transactions		31,855,652
Swap agreement transactions		6,982,166
Foreign currency transactions		(1,040,636	)
Written options transactions		1,333,657
		59,583,846
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $(2,170,220))		(20,973,312	)
Futures		3,151,001
Swap agreements		4,097,619
Foreign currencies		(7,498,502	)
Written options		(1,287,923	)
		(22,511,117	)
NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		37,072,729
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	110,369,513

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	73,296,784		$	65,361,314
Net realized gain on investments, swaps and foreign currencies		59,583,846			35,344,819
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies		(22,511,117	)		44,388,675
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		110,369,513			145,094,808
DISTRIBUTIONS		(101,657,374	)		(80,204,850	)
SERIES SHARE TRANSACTIONS:
Series shares sold [2,282,678 and 10,945,584 shares, respectively]		26,944,061			126,200,132
Series shares issued in reinvestment of distributions [8,678,375 and 7,014,688 shares, respectively]		101,657,374			80,204,850
Series shares repurchased [8,765,284 and 9,638,967 shares, respectively]		(103,339,982	)		(111,838,362	)
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		25,261,453			94,566,620
TOTAL INCREASE IN NET ASSETS		33,973,592			159,456,578
NET ASSETS:
Beginning of year		1,522,925,597			1,363,469,019
End of year	$	1,556,899,189		$	1,522,925,597

SEE NOTES TO FINANCIAL STATEMENTS.

A54

	EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 98.3%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 5.0%
Boeing Co. (The)		553,955	$	40,632,599
Northrop Grumman Corp.		567,924		33,212,195
Precision Castparts Corp.(a)		282,338		46,526,479
United Technologies Corp.		414,629		30,305,234
				150,676,507
Airlines — 0.7%
United Continental Holdings, Inc.*(a)		1,102,273		20,799,891
Auto Components — 1.6%
BorgWarner, Inc.*(a)		259,174		16,519,751
Lear Corp.		800,756		31,870,089
				48,389,840
Automobiles — 1.1%
General Motors Co.*		1,156,694		23,446,187
Tesla Motors, Inc.*(a)		326,715		9,330,981
				32,777,168
Biotechnology — 1.2%
Celgene Corp.*		535,902		36,226,975
Capital Markets — 2.2%
Bank of New York Mellon Corp. (The)		678,574		13,510,408
Goldman Sachs Group, Inc. (The)(a)		267,715		24,209,468
Morgan Stanley(a)		1,810,439		27,391,942
				65,111,818
Chemicals — 2.7%
Monsanto Co.		584,920		40,985,344
Mosaic Co. (The)		798,881		40,287,569
				81,272,913
Commercial Banks — 2.2%
PNC Financial Services Group, Inc.		515,210		29,712,161
Wells Fargo & Co.		1,303,960		35,937,137
				65,649,298
Communications Equipment — 1.8%
QUALCOMM, Inc.		986,421		53,957,229
Computers & Peripherals — 5.4%
Apple, Inc.*		251,491		101,853,855
EMC Corp.*(a)		1,740,542		37,491,275
NetApp, Inc.*		600,781		21,790,327
				161,135,457
Consumer Finance — 2.2%
American Express Co.		1,404,966		66,272,246
Diversified Financial Services — 1.8%
Citigroup, Inc.		975,066		25,653,986
JPMorgan Chase & Co.		829,000		27,564,250
				53,218,236
Electric Utilities — 1.0%
Exelon Corp.		692,182		30,019,933
Electronic Equipment & Instruments — 1.3%
Flextronics International Ltd. (Singapore)*		6,579,992		37,242,755

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services — 4.6%
Halliburton Co.		887,495	$	30,627,452
National Oilwell Varco, Inc.		960,396		65,297,324
Schlumberger Ltd. (Curacao)		603,792		41,245,032
				137,169,808
Food & Staples Retailing — 3.7%
Costco Wholesale Corp.		486,995		40,576,423
CVS Caremark Corp.		817,329		33,330,677
Wal-Mart Stores, Inc.		594,221		35,510,647
				109,417,747
Food Products — 6.1%
Bunge Ltd. (Bermuda)		633,757		36,250,900
Kraft Foods, Inc. (Class A Stock)		922,233		34,454,625
Mead Johnson Nutrition Co.		497,814		34,214,756
Smithfield Foods, Inc.*(a)		1,548,970		37,608,992
Tyson Foods, Inc. (Class A Stock)		2,001,905		41,319,319
				183,848,592
Hotels, Restaurants & Leisure — 2.3%
Chipotle Mexican Grill, Inc.*(a)		76,583		25,865,142
Starbucks Corp.(a)		949,002		43,663,582
				69,528,724
Independent Power Producers & Energy Traders — 1.3%
Calpine Corp.*		2,454,230		40,077,576
Insurance — 1.0%
MetLife, Inc.		973,474		30,352,919
Internet & Catalog Retail — 1.9%
Amazon.com, Inc.*		328,207		56,812,632
Internet Software & Services — 3.7%
Baidu, Inc., ADR (Cayman Islands)*		376,795		43,885,314
Google, Inc. (Class A Stock)*		90,025		58,147,147
LinkedIn Corp. (Class A Stock)*(a)		153,891		9,696,672
				111,729,133
IT Services — 3.1%
International Business Machines Corp.		203,637		37,444,772
MasterCard, Inc. (Class A Stock)		149,027		55,560,246
				93,005,018
Life Sciences Tools & Services — 0.8%
Agilent Technologies, Inc.*		677,664		23,670,804
Machinery — 0.9%
Ingersoll-Rand PLC (Ireland)(a)		924,080		28,156,718
Media — 4.4%
Comcast Corp. (Class A Stock)		1,976,764		46,869,075
Liberty Global, Inc. (Class C Stock)*		792,756		31,329,717
Viacom, Inc. (Class B Stock)		710,213		32,250,772
Walt Disney Co. (The)(a)		569,326		21,349,725
				131,799,289
Metals & Mining — 2.3%
Freeport-McMoRan Copper & Gold, Inc.		847,809		31,190,893
Goldcorp, Inc. (Canada)		351,066		15,534,671
Kinross Gold Corp. (Canada)		1,983,500		22,611,900
				69,337,464

SEE NOTES TO FINANCIAL STATEMENTS.

A55

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels — 8.5%
Anadarko Petroleum Corp.		950,490	$	72,550,902
Marathon Oil Corp.		970,005		28,392,046
Marathon Petroleum Corp.		379,315		12,627,396
Noble Energy, Inc.(a)		422,056		39,837,866
Occidental Petroleum Corp.		442,150		41,429,455
Southwestern Energy Co.*		819,620		26,178,663
Suncor Energy, Inc. (Canada)		1,181,729		34,080,194
				255,096,522
Personal Products — 1.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		301,449		33,858,752
Pharmaceuticals — 7.1%
Allergan, Inc.		413,621		36,291,107
Bristol-Myers Squibb Co.		920,327		32,432,323
Novo Nordisk A/S, ADR (Denmark)		319,952		36,877,668
Pfizer, Inc.		1,798,734		38,924,604
Sanofi, ADR (France)		660,780		24,144,901
Shire PLC, ADR (United Kingdom)		413,775		42,991,222
				211,661,825
Road & Rail — 0.2%
Union Pacific Corp.		64,962		6,882,074
Semiconductors & Semiconductor Equipment — 1.0%
Avago Technologies Ltd. (Singapore)		516,432		14,904,227
Maxim Integrated Products, Inc.		593,721		15,460,495
				30,364,722
Software — 5.5%
CA, Inc.		1,982,675		40,079,775
Oracle Corp.		1,735,358		44,511,933
Red Hat, Inc.*		430,059		17,757,136
salesforce.com, Inc.*(a)		265,202		26,907,395
VMware, Inc. (Class A Stock)*(a)		427,042		35,525,624
				164,781,863
Specialty Retail — 1.0%
Staples, Inc.		2,120,704		29,456,579
Textiles, Apparel & Luxury Goods — 4.5%
Coach, Inc.		486,948		29,723,306
Lululemon Athletica, Inc.*(a)		323,300		15,085,178
LVMH Moet Hennessy Louis Vuitton SA, ADR (France)		479,609		13,477,013
NIKE, Inc. (Class B Stock)		477,275		45,994,992
Ralph Lauren Corp.		230,405		31,814,322
				136,094,811
Wireless Telecommunication Services — 3.1%
American Tower Corp. (Class A Stock)		537,230		32,239,172
MetroPCS Communications, Inc.*		3,646,134		31,648,443
NII Holdings, Inc.*(a)		1,354,933		28,860,073
				92,747,688
TOTAL LONG-TERM INVESTMENTS (cost $2,451,647,418)				2,948,601,526

SHORT-TERM INVESTMENT — 8.7%
	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $261,297,640; includes $204,399,512 of cash collateral for securities on loan)(b)(w) (Note 4)		261,297,640	$	261,297,640
TOTAL INVESTMENTS — 107.0% (cost $2,712,945,058)				3,209,899,166
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.0)%				(210,437,929	)
NET ASSETS — 100.0%			$	2,999,461,237

The following abbreviation is used in the Portfolio description:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $198,456,005; cash collateral of $204,399,512 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,948,601,526	$	—	$	—
Affiliated Money Market Mutual Fund		261,297,640		—		—
Total	$	3,209,899,166	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A56

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Affiliated Money Market Mutual Fund (6.8% represents investments purchased with collateral from securities on loan)	8.7	%
Oil, Gas & Consumable Fuels	8.5
Pharmaceuticals	7.1
Food Products	6.1
Software	5.5
Computers & Peripherals	5.4
Aerospace & Defense	5.0
Energy Equipment & Services	4.6
Textiles, Apparel & Luxury Goods	4.5
Media	4.4
Internet Software & Services	3.7
Food & Staples Retailing	3.7
IT Services	3.1
Wireless Telecommunication Services	3.1
Chemicals	2.7
Hotels, Restaurants & Leisure	2.3
Metals & Mining	2.3
Consumer Finance	2.2

Commercial Banks	2.2	%
Capital Markets	2.2
Internet & Catalog Retail	1.9
Communications Equipment	1.8
Diversified Financial Services	1.8
Auto Components	1.6
Independent Power Producers & Energy Traders	1.3
Electronic Equipment & Instruments	1.3
Biotechnology	1.2
Personal Products	1.1
Automobiles	1.1
Semiconductors & Semiconductor Equipment	1.0
Insurance	1.0
Electric Utilities	1.0
Specialty Retail	1.0
Machinery	0.9
Life Sciences Tools & Services	0.8
Airlines	0.7
Road & Rail	0.2
	107.0
Liabilities in excess of other assets	(7.0	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A57

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments at value, including securities on loan of $198,456,005:
Unaffiliated investments (cost $2,451,647,418)	$	2,948,601,526
Affiliated investments (cost $261,297,640)		261,297,640
Cash		170
Dividends receivable		2,368,520
Receivable for investments sold		708,606
Receivable for Series shares sold		8,816
Prepaid expenses		20,985
Total Assets		3,213,006,263
LIABILITIES
Collateral for securities on loan		204,399,512
Payable for investments purchased		6,906,087
Management fee payable		1,156,413
Payable for Series shares repurchased		793,374
Accrued expenses and other liabilities		286,551
Deferred trustees’ fees		1,187
Affiliated transfer agent fees payable		926
Administration fee payable		533
Distribution fee payable		443
Total Liabilities		213,545,026
NET ASSETS	$	2,999,461,237
Net assets were comprised of:
Paid-in capital	$	2,837,948,450
Retained earnings		161,512,787
Net assets, December 31, 2011	$	2,999,461,237
Class I:
Net asset value and redemption price per share, $2,997,491,601 / 126,293,929 outstanding shares of beneficial interest	$	23.73
Class II:
Net asset value and redemption price per share, $1,969,636 / 82,097 outstanding shares of beneficial interest	$	23.99

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of $217,045 foreign withholding tax)	$	33,936,619
Affiliated income from securities lending, net		438,214
Affiliated dividend income		110,893
		34,485,726
EXPENSES
Management fee		14,621,455
Distribution fee—Class II		5,594
Administration fee—Class II		3,356
Shareholders’ reports		487,000
Custodian’s fees and expenses		390,000
Trustees’ fees		42,000
Insurance expenses		35,000
Audit fee		23,000
Legal fees and expenses		15,000
Commitment fee on syndicated credit agreement		14,000
Transfer agent’s fees and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Miscellaneous		15,490
Total expenses		15,663,895
NET INVESTMENT INCOME		18,821,831
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		204,340,790
Foreign currency transactions		(88,228	)
		204,252,562
Net change in unrealized appreciation (depreciation) on:
Investments		(327,808,310	)
Foreign currencies		(782	)
		(327,809,092	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(123,556,530	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(104,734,699	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	18,821,831		$	22,114,154
Net realized gain on investment and foreign currency transactions		204,252,562			255,826,765
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(327,809,092	)		77,326,344
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(104,734,699	)		355,267,263
DISTRIBUTIONS
Class I		(22,097,344	)		(24,392,657	)
Class II		(4,010	)		(1,854	)
TOTAL DISTRIBUTIONS		(22,101,354	)		(24,394,511	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		19,970,190			22,052,724
Series shares issued in reinvestment of distributions		22,101,354			24,394,511
Series shares repurchased		(242,019,698	)		(246,614,547	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(199,948,154	)		(200,167,312	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(326,784,207	)		130,705,440
NET ASSETS:
Beginning of year		3,326,245,444			3,195,540,004
End of year	$	2,999,461,237		$	3,326,245,444

SEE NOTES TO FINANCIAL STATEMENTS.

A58

	FLEXIBLE MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 97.7%
COMMON STOCKS — 64.8%	Shares		Value (Note 2)
Aerospace & Defense — 1.5%
Alliant Techsystems, Inc.		17,900	$	1,023,164
BAE Systems PLC (United Kingdom)		33,670		149,076
European Aeronautic Defense and Space Co. NV (Netherlands)		3,410		106,583
Exelis, Inc.		203,800		1,844,390
General Dynamics Corp.		213,700		14,191,817
HEICO Corp.		6,900		403,512
L-3 Communications Holdings, Inc.		41,400		2,760,552
Northrop Grumman Corp.		149,200		8,725,216
Precision Castparts Corp.		11,300		1,862,127
Raytheon Co.		28,700		1,388,506
Safran SA (France)		2,930		87,997
United Technologies Corp.		174,300		12,739,587
				45,282,527
Air Freight & Logistics — 0.4%
Deutsche Post AG (Germany)		9,688		148,959
United Parcel Service, Inc. (Class B Stock)		149,200		10,919,948
				11,068,907
Airlines
Deutsche Lufthansa AG (Germany)		2,088		24,821
Auto Components — 0.2%
Bridgestone Corp. (Japan)		3,300		74,815
Cie Generale des Etablissements Michelin (France) (Class B Stock)		1,604		94,820
Lear Corp.		14,700		585,060
NHK Spring Co. Ltd. (Japan)		2,000		17,721
Pirelli & C SpA (Italy)		7,621		64,162
Toyota Industries Corp. (Japan)		200		5,444
TRW Automotive Holdings Corp.*		114,000		3,716,400
				4,558,422
Automobiles — 0.6%
Bayerische Motoren Werke AG (Germany)		1,332		89,231
Daimler AG (Germany)		2,116		92,894
Ford Motor Co.*(a)		809,000		8,704,840
General Motors Co.*(a)		410,900		8,328,943
Isuzu Motors Ltd. (Japan)		2,000		9,251
Nissan Motor Co. Ltd. (Japan)		9,400		84,511
Toyota Motor Corp. (Japan)		3,500		116,636
Volkswagen AG (Germany)		89		11,939
				17,438,245
Beverages — 1.7%
Anheuser-Busch InBev NV (Belgium)		4,410		269,999
Coca-Cola Amatil Ltd. (Australia)		6,750		79,464
Coca-Cola Co. (The)		231,800		16,219,046
Coca-Cola Enterprises, Inc.		361,100		9,309,158
Constellation Brands, Inc. (Class A Stock)*		79,100		1,634,997
Diageo PLC (United Kingdom)		7,089		154,843
Dr Pepper Snapple Group, Inc.(a)		47,200		1,863,456
Heineken NV (Netherlands)		1,755		81,248
Molson Coors Brewing Co. (Class B Stock)		189,600		8,255,184

COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages (continued)
Monster Beverage Corp.*		23,100	$	2,128,434
PepsiCo, Inc.		162,420		10,776,567
SABMiller PLC (United Kingdom)		1,781		62,689
				50,835,085
Biotechnology — 1.1%
Alexion Pharmaceuticals, Inc.*		6,500		464,750
Amgen, Inc.		180,708		11,603,261
Biogen Idec, Inc.*		52,600		5,788,630
Celgene Corp.*		226,400		15,304,640
				33,161,281
Building Products — 0.1%
Armstrong World Industries, Inc.*(a)		11,600		508,892
Asahi Glass Co. Ltd. (Japan)		5,000		41,964
Geberit AG (Switzerland)		51		9,828
Lennox International, Inc.		21,600		729,000
Owens Corning*		76,400		2,194,208
				3,483,892
Capital Markets — 1.4%
3i Group PLC (United Kingdom)		7,016		19,721
Bank of New York Mellon Corp. (The)		672,200		13,383,502
Deutsche Bank AG (Germany)		4,113		156,690
E*Trade Financial Corp.*(a)		43,200		343,872
Goldman Sachs Group, Inc. (The)		184,200		16,657,206
Morgan Stanley		878,690		13,294,580
Ratos AB (Sweden) (Class B Stock)		4,758		55,828
UBS AG (Switzerland)*		10,434		124,190
				44,035,589
Chemicals — 1.1%
Arkema SA (France)		1,694		119,927
Asahi Kasei Corp. (Japan)		13,000		78,368
BASF SE (Germany)		3,028		211,194
Celanese Corp., Ser. A		12,300		544,521
CF Industries Holdings, Inc.		63,400		9,191,732
Eastman Chemical Co.		187,300		7,315,938
Israel Chemicals Ltd. (Israel)		4,244		43,988
K+S AG (Germany)		692		31,275
Koninklijke DSM NV (Netherlands)		890		41,295
Kuraray Co. Ltd. (Japan)		5,500		78,245
Lanxess AG (Germany)		779		40,329
LSB Industries, Inc.*		23,500		658,705
LyondellBasell Industries NV (Class A Stock)		35,900		1,166,391
Mitsubishi Chemical Holdings Corp. (Japan)		15,500		85,384
Mosaic Co. (The)		248,400		12,526,812
Rockwood Holdings, Inc.*		31,900		1,255,903
Syngenta AG (Switzerland)		557		163,074
Ube Industries Ltd. (Japan)		13,000		35,637
Wacker Chemie AG (Germany)(a)		264		21,235
Yara International ASA (Norway)		1,593		63,924
				33,673,877
Commercial Banks — 2.3%
Aozora Bank Ltd. (Japan)		27,000		74,367
Australia & New Zealand Banking Group Ltd. (Australia)		11,893		249,730

SEE NOTES TO FINANCIAL STATEMENTS.

A59

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
Banco Bilbao Vizcaya Argentaria SA (Spain)		10,939	$	94,574
Banco Santander SA (Spain)		17,191		130,604
Barclays PLC (United Kingdom)		71,618		195,806
Bendigo and Adelaide Bank Ltd. (Australia)		5,887		48,350
BNP Paribas SA (France)		3,043		119,530
Commonwealth Bank of Australia (Australia)		4,299		216,421
DBS Group Holdings Ltd. (Singapore)		2,000		17,763
DnB NOR ASA (Norway)		2,889		28,282
Fifth Third Bancorp		404,200		5,141,424
HSBC Holdings PLC (United Kingdom)		26,175		199,609
Huntington Bancshares, Inc.		606,300		3,328,587
KeyCorp		82,000		630,580
Mitsubishi UFJ Financial Group, Inc. (Japan)		65,500		278,271
Mizuho Financial Group, Inc. (Japan)		53,500		72,288
National Australia Bank Ltd. (Australia)		3,655		87,327
Natixis (France)		33,612		84,568
Nordea Bank AB (Sweden)		15,256		118,044
PNC Financial Services Group, Inc.		247,100		14,250,257
Resona Holdings, Inc. (Japan)		36,500		160,757
Shinsei Bank Ltd. (Japan)		21,000		21,827
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		12,757		74,313
Societe Generale (France)		2,470		55,001
Sumitomo Mitsui Financial Group, Inc. (Japan)		9,100		253,481
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		41,000		120,385
SunTrust Banks, Inc.		166,000		2,938,200
Svenska Handelsbanken AB (Sweden) (Class A Stock)		1,613		42,422
Swedbank AB (Sweden) (Class A Stock)		1,662		21,529
U.S. Bancorp		196,232		5,308,076
Wells Fargo & Co.		1,255,912		34,612,935
Westpac Banking Corp. (Australia)		6,709		137,239
				69,112,547
Commercial Services & Supplies
Babcock International Group PLC (United Kingdom)		4,836		55,238
Copart, Inc.*		11,200		536,368
Securitas AB (Sweden) (Class B Stock)		2,798		24,150
				615,756
Communications Equipment — 1.8%
Cisco Systems, Inc.		1,313,900		23,755,312
Motorola Solutions, Inc.		154,000		7,128,660
QUALCOMM, Inc.		439,000		24,013,300

COMMON STOCKS (continued)	Shares		Value (Note 2)
Communications Equipment (continued)
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		1,413	$	14,454
				54,911,726
Computers & Peripherals — 3.2%
Apple, Inc.*		182,000		73,710,000
Dell, Inc.*		740,200		10,829,126
EMC Corp.*		337,800		7,276,212
Hewlett-Packard Co.		100,265		2,582,827
SanDisk Corp.*		21,600		1,062,936
Toshiba Corp. (Japan)		10,000		40,925
Western Digital Corp.*		82,500		2,553,375
				98,055,401
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		4,596		136,217
Balfour Beatty PLC (United Kingdom)		12,829		52,757
Chiyoda Corp. (Japan)		5,000		50,864
KBR, Inc.		24,400		680,028
URS Corp.*		46,400		1,629,568
Vinci SA (France)		465		20,318
				2,569,752
Consumer Finance — 0.3%
Discover Financial Services		173,000		4,152,000
SLM Corp.		477,500		6,398,500
				10,550,500
Containers & Packaging — 0.2%
Amcor Ltd. (Australia)		17,581		129,649
Crown Holdings, Inc.*		9,300		312,294
Owens-Illinois, Inc.*		115,500		2,238,390
Sealed Air Corp.		219,700		3,781,037
				6,461,370
Distributors — 0.3%
Genuine Parts Co.		120,100		7,350,120
Jardine Cycle & Carriage Ltd. (Singapore)		2,000		74,199
LKQ Corp.*		19,500		586,560
				8,010,879
Diversified Consumer Services — 0.1%
Benesse Holdings, Inc. (Japan)		1,700		82,272
Capella Education Co.*		17,300		623,665
DeVry, Inc.		91,500		3,519,090
				4,225,027
Diversified Financial Services — 1.6%
Bank of America Corp.		704,482		3,916,920
Citigroup, Inc.		667,050		17,550,085
Deutsche Boerse AG (Germany)*		543		28,469
Exor SpA (Italy)		2,198		44,236
First Pacific Co. Ltd. (Hong Kong)		4,000		4,161
Groupe Bruxelles Lambert SA (Belgium)		216		14,400
JPMorgan Chase & Co.		822,594		27,351,251
Kinnevik Investment AB (Sweden) (Class B Stock)		1,159		22,584
ORIX Corp. (Japan)		880		72,714
				49,004,820

SEE NOTES TO FINANCIAL STATEMENTS.

A60

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Telecommunication Services — 2.1%
AT&T, Inc.		1,284,147	$	38,832,605
BT Group PLC (United Kingdom)		55,796		165,416
CenturyLink, Inc.		320,400		11,918,880
France Telecom SA (France)		4,928		77,398
Koninklijke KPN NV (Netherlands)		7,737		92,576
Nippon Telegraph & Telephone Corp. (Japan)		3,300		168,709
Swisscom AG (Switzerland)		98		37,132
Telecom Italia SpA (Italy) (Risparmio Shares)		58,776		52,641
Telecom Italia SpA (Italy)		86,491		93,023
Telefonica SA (Spain)		9,951		172,386
Verizon Communications, Inc.(a)		218,288		8,757,714
Vivendi SA (France)		9,224		201,993
Windstream Corp.		173,300		2,034,542
				62,605,015
Electric Utilities — 0.9%
American Electric Power Co., Inc.		90,200		3,726,162
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		2,000		11,717
Duke Energy Corp.(a)		236,800		5,209,600
E.ON AG (Germany)		1,741		37,562
El Paso Electric Co.		15,100		523,064
Enel SpA (Italy)		45,657		185,783
Energias de Portugal SA (Portugal)		7,446		23,042
Entergy Corp.		79,700		5,822,085
Exelon Corp.		19,300		837,041
FirstEnergy Corp.		4,700		208,210
Iberdrola SA (Spain)		17,342		108,611
NextEra Energy, Inc.(a)		94,000		5,722,720
NV Energy, Inc.		212,300		3,471,105
PPL Corp.		28,300		832,586
Red Electrica Corp. SA (Spain)		2,320		99,283
Scottish & Southern Energy PLC (United Kingdom)		6,364		127,592
Terna Rete Elettrica Nazionale SpA (Italy)		14,113		47,564
				26,993,727
Electrical Equipment — 0.6%
ABB Ltd. (Switzerland)		2,988		56,242
AMETEK, Inc.		38,600		1,625,060
Babcock & Wilcox Co. (The)*		9,200		222,088
Emerson Electric Co.		333,500		15,537,765
EnerSys*		29,000		753,130
Mitsubishi Electric Corp. (Japan)		10,000		95,882
Schneider Electric SA (France)		525		27,641
				18,317,808
Electronic Equipment, Instruments & Components — 0.4%
Arrow Electronics, Inc.*		18,600		695,826
Avnet, Inc.*		30,100		935,809
Corning, Inc.		416,200		5,402,276
Hamamatsu Photonics KK (Japan)		1,100		38,486
Hitachi Ltd. (Japan)		45,000		236,196
Ingram Micro, Inc.*		25,400		462,026
Jabil Circuit, Inc.		41,400		813,924

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components (continued)
Keyence Corp. (Japan)		200	$	48,227
TE Connectivity Ltd.		68,100		2,098,161
Tech Data Corp.*		22,100		1,091,961
				11,822,892
Energy Equipment & Services — 1.0%
Halliburton Co.		459,000		15,840,090
Helmerich & Payne, Inc.(a)		10,900		636,124
National Oilwell Varco, Inc.		79,800		5,425,602
Oceaneering International, Inc.(a)		23,800		1,097,894
RPC, Inc.(a)		110,900		2,023,925
SBM Offshore NV (Netherlands)		1,543		31,793
Schlumberger Ltd.		90,500		6,182,055
Technip SA (France)		1,091		102,541
Transocean Ltd.		963		37,185
WorleyParsons Ltd. (Australia)		3,377		88,664
				31,465,873
Food & Staples Retailing — 1.9%
Aeon Co. Ltd. (Japan)		8,300		113,981
Casino Guichard Perrachon SA (France)		87		7,328
CVS Caremark Corp.		402,000		16,393,560
Delhaize Group SA (Belgium)		1,820		102,242
Koninklijke Ahold NV (Netherlands)		2,756		37,114
Kroger Co. (The)		518,200		12,550,804
Seven & I Holdings Co. Ltd. (Japan)		4,300		119,832
Tesco PLC (United Kingdom)		25,624		160,548
Walgreen Co.(a)		52,700		1,742,262
Wal-Mart Stores, Inc.		442,500		26,443,800
Wesfarmers Ltd. (Australia)		2,047		61,763
Woolworths Ltd. (Australia)		1,311		33,656
				57,766,890
Food Products — 1.4%
Archer-Daniels-Midland Co.		343,000		9,809,800
Aryzta AG (Switzerland)		2,288		110,588
Associated British Foods PLC (United Kingdom)		3,426		58,898
Bunge Ltd.		136,900		7,830,680
Corn Products International, Inc.		97,500		5,127,525
Danone SA (France)		396		24,893
Diamond Foods, Inc.(a)		53,500		1,726,445
Golden Agri-Resources Ltd. (Singapore)		142,000		78,278
Hormel Foods Corp.		19,600		574,084
J.M. Smucker Co. (The)		16,800		1,313,256
Kellogg Co.(a)		19,500		986,115
Lindt & Spruengli AG (Switzerland)		2		66,837
Nestle SA (Switzerland)		7,375		423,986
Smithfield Foods, Inc.*		109,100		2,648,948
Suedzucker AG (Germany)		1,982		63,232
Tyson Foods, Inc. (Class A Stock)		495,300		10,222,992
Unilever NV (Netherlands)		2,831		97,353
Unilever PLC (United Kingdom)		1,672		56,164
				41,220,074

SEE NOTES TO FINANCIAL STATEMENTS.

A61

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Gas Utilities
Enagas (Spain)		2,924	$	54,079
Gas Natural SDG SA (Spain)		4,504		77,325
Hong Kong & China Gas Co. Ltd. (Hong Kong)		31,000		71,846
				203,250
Healthcare Equipment & Supplies — 1.3%
Baxter International, Inc.		158,700		7,852,476
Becton, Dickinson & Co.		66,100		4,938,992
C.R. Bard, Inc.(a)		10,000		855,000
CareFusion Corp.*		50,600		1,285,746
Coloplast A/S (Denmark) (Class B Stock)		983		141,375
Covidien PLC		225,200		10,136,252
Getinge AB (Sweden) (Class B Stock)		740		18,752
Hill-Rom Holdings, Inc.		83,800		2,823,222
Stryker Corp.		178,600		8,878,206
Zimmer Holdings, Inc.*(a)		57,900		3,093,018
				40,023,039
Healthcare Providers & Services — 1.6%
Aetna, Inc.		284,400		11,998,836
CIGNA Corp.		47,400		1,990,800
Fresenius SE & Co. KGaA (Germany)		137		12,674
Humana, Inc.		4,100		359,201
Ramsay Health Care Ltd. (Australia)		110		2,169
UnitedHealth Group, Inc.		419,000		21,234,920
WellPoint, Inc.		205,700		13,627,625
				49,226,225
Hotels, Restaurants & Leisure — 0.8%
Brinker International, Inc.(a)		43,600		1,166,736
Carnival Corp.		73,500		2,399,040
Cracker Barrel Old Country Store, Inc.		11,800		594,838
Darden Restaurants, Inc.(a)		52,600		2,397,508
Galaxy Entertainment Group Ltd. (Hong Kong)*		42,000		77,007
McDonald’s Corp.		88,700		8,899,271
Panera Bread Co. (Class A Stock)*		9,400		1,329,630
Sands China Ltd. (Hong Kong)*		33,200		93,830
Wyndham Worldwide Corp.		150,500		5,693,415
Yum! Brands, Inc.		50,900		3,003,609
				25,654,884
Household Durables — 0.3%
Blyth, Inc.(a)		8,900		505,520
Harman International Industries, Inc.		74,900		2,849,196
Jarden Corp.		31,700		947,196
Newell Rubbermaid, Inc.		27,900		450,585
Sekisui House Ltd. (Japan)		6,000		53,242
Whirlpool Corp.(a)		111,200		5,276,440
				10,082,179
Household Products — 1.0%
Colgate-Palmolive Co.		56,400		5,210,796
Henkel AG & Co. KGaA (Germany)		925		44,774
Kimberly-Clark Corp.		72,100		5,303,676
Procter & Gamble Co. (The)		298,905		19,939,953

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Products (continued)
Reckitt Benckiser Group PLC (United Kingdom)		2,452	$	121,092
Spectrum Brands Holdings, Inc.*		19,000		520,600
				31,140,891
Independent Power Producers & Energy Traders — 0.4%
AES Corp. (The)*		820,600		9,715,904
NRG Energy, Inc.*		177,200		3,210,864
				12,926,768
Industrial Conglomerates — 1.2%
3M Co.		15,200		1,242,296
General Electric Co.		1,953,000		34,978,230
Keppel Corp. Ltd. (Singapore)		3,000		21,510
Siemens AG (Germany)		2,139		204,695
Wendel SA (France)		458		30,528
				36,477,259
Insurance — 1.9%
ACE Ltd.		51,800		3,632,216
Aflac, Inc.		285,200		12,337,752
Allianz SE (Germany)		1,601		153,148
American Financial Group, Inc.		51,400		1,896,146
Assurant, Inc.		76,900		3,157,514
Aviva PLC (United Kingdom)		32,330		151,026
AXA SA (France)		11,999		155,996
Berkshire Hathaway, Inc. (Class B Stock)*		147,100		11,223,730
Delta Lloyd NV (Netherlands)		5,697		95,853
Genworth Financial, Inc. (Class A Stock)*		155,000		1,015,250
Hannover Rueckversicherung AG (Germany)		1,013		50,247
HCC Insurance Holdings, Inc.		78,400		2,156,000
Legal & General Group PLC (United Kingdom)		100,022		159,682
Loews Corp.		62,600		2,356,890
Mapfre SA (Spain)		24,688		78,443
MetLife, Inc.		93,400		2,912,212
Muenchener Rueckversicherungs AG (Germany)		141		17,296
Old Mutual PLC (United Kingdom)		86,392		181,795
Primerica, Inc.		18,900		439,236
Principal Financial Group, Inc.		19,800		487,080
Reinsurance Group of America, Inc.		7,600		397,100
RSA Insurance Group PLC (United Kingdom)		34,553		56,451
Sampo OYJ (Finland) (Class A Stock)		180		4,466
Swiss Life Holding AG (Switzerland)		558		51,327
Swiss Re AG (Switzerland)		241		12,282
Symetra Financial Corp.		77,600		703,832
Travelers Cos., Inc. (The)		45,400		2,686,318
Unum Group		193,200		4,070,724
XL Group PLC		313,300		6,193,941
Zurich Financial Services AG (Switzerland)		512		115,831
				56,949,784

SEE NOTES TO FINANCIAL STATEMENTS.

A62

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet & Catalog Retail — 0.2%
Amazon.com, Inc.*		1,000	$	173,100
HSN, Inc.		52,600		1,907,276
Liberty Interactive Corp., (Class A Stock)*		14,800		239,982
priceline.com, Inc.*		10,400		4,864,184
				7,184,542
Internet Software & Services — 0.9%
Akamai Technologies, Inc.*		218,800		7,062,864
Dena Co. Ltd. (Japan)		600		17,999
Dice Holdings, Inc.*		30,500		252,845
Digital River, Inc.*		26,800		402,536
eBay, Inc.*		14,800		448,884
Google, Inc. (Class A Stock)*		21,500		13,886,850
Gree, Inc. (Japan)		5,000		172,275
Liquidity Services, Inc.*		7,500		276,750
Yahoo!, Inc.*		214,400		3,458,272
				25,979,275
IT Services — 2.5%
Accenture PLC (Class A Stock)		193,100		10,278,713
Fidelity National Information Services, Inc.		35,500		943,945
Fiserv, Inc.*(a)		27,700		1,627,098
International Business Machines Corp.		137,100		25,209,948
Mastercard, Inc. (Class A Stock)		49,300		18,380,026
Otsuka Corp. (Japan)		1,900		130,830
SAIC, Inc.*(a)		14,100		173,289
Unisys Corp.*		12,800		252,288
Visa, Inc. (Class A Stock)		183,000		18,579,990
				75,576,127
Leisure Equipment & Products — 0.2%
Hasbro, Inc.		77,500		2,471,475
Mattel, Inc.(a)		40,800		1,132,608
Namco Bandai Holdings, Inc. (Japan)		12,200		173,720
Nikon Corp. (Japan)		3,100		69,032
Polaris Industries, Inc.		42,700		2,390,346
Sturm Ruger & Co., Inc.		29,700		993,762
				7,230,943
Life Sciences Tools & Services — 0.5%
Life Technologies Corp.*		84,100		3,272,331
PerkinElmer, Inc.		198,500		3,970,000
Thermo Fisher Scientific, Inc.*		198,400		8,922,048
				16,164,379
Machinery — 1.8%
AGCO Corp.*		44,100		1,894,977
Cummins, Inc.		135,500		11,926,710
Deere & Co.		164,800		12,747,280
Eaton Corp.		186,700		8,127,051
FANUC Corp. (Japan)		1,600		244,875
Illinois Tool Works, Inc.		28,100		1,312,551
ITT Corp.		101,900		1,969,727
Kennametal, Inc.(a)		11,900		434,588
Kone OYJ (Finland) (Class B Stock)		1,101		57,141
MAN SE (Germany)		429		38,145
Metso OYJ (Finland)		1,816		67,338

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Nabtesco Corp. (Japan)		1,300	$	23,696
Parker Hannifin Corp.		159,000		12,123,750
SKF AB (Sweden) (Class B Stock)		871		18,427
Sumitomo Heavy Industries Ltd. (Japan)		10,000		58,334
Volvo AB (Sweden) (Class B Stock)		6,288		68,800
Weir Group PLC (The) (United Kingdom)		555		17,514
Xylem, Inc.		89,500		2,299,255
Yangzijiang Shipbuilding Holdings Ltd. (Singapore)		126,000		88,401
				53,518,560
Marine
AP Moeller-Maersk A/S (Denmark) (Class A Stock)		11		68,644
AP Moeller-Maersk A/S (Denmark) (Class B Stock)		2		13,205
Orient Overseas International Ltd. (Hong Kong)		7,500		43,793
				125,642
Media — 1.8%
Comcast Corp. (Class A Stock)		47,173		1,118,472
DIRECTV (Class A Stock)*(a)		347,100		14,841,996
Hakuhodo DY Holdings, Inc. (Japan)		1,670		95,899
ITV PLC (United Kingdom)		73,350		77,631
Liberty Media Corp.—Liberty Starz (Class A Stock)*		41,376		3,229,397
News Corp. (Class A Stock)		604,300		10,780,712
Reed Elsevier NV (Netherlands)		2,813		32,792
Time Warner, Inc.		104,500		3,776,630
Viacom, Inc. (Class B Stock)		323,200		14,676,512
Walt Disney Co. (The)		154,600		5,797,500
WPP PLC (United Kingdom)		2,996		31,429
				54,458,970
Metals & Mining — 1.0%
Alcoa, Inc.		462,400		3,999,760
Anglo American PLC (United Kingdom)		1,625		60,037
BHP Billiton Ltd. (Australia)		8,316		292,762
BHP Billiton PLC (United Kingdom)		9,685		282,389
Coeur d’Alene Mines Corp.*		142,600		3,442,364
Daido Steel Co. Ltd. (Japan)		4,000		25,101
Freeport-McMoRan Copper & Gold, Inc.		364,300		13,402,597
Iluka Resources Ltd. (Australia)		3,980		63,096
Nippon Steel Corp. (Japan)		32,000		79,823
Randgold Resources Ltd. (United Kingdom)		571		58,393
Reliance Steel & Aluminum Co.		26,300		1,280,547
Rio Tinto Ltd. (Australia)		2,589		159,676
Rio Tinto PLC (United Kingdom)		6,181		299,969
Salzgitter AG (Germany)		134		6,699
Schnitzer Steel Industries, Inc. (Class A Stock)		8,300		350,924
Steel Dynamics, Inc.		526,900		6,928,735

SEE NOTES TO FINANCIAL STATEMENTS.

A63

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
Voestalpine AG (Austria)		2,517	$	70,593
Xstrata PLC (United Kingdom)		2,192		33,293
				30,836,758
Multiline Retail — 0.3%
Dollar Tree, Inc.*		26,400		2,194,104
Isetan Mitsukoshi Holdings, Ltd. (Japan)		700		7,339
Lifestyle International Holdings Ltd. (Hong Kong)		39,000		85,968
Next PLC (United Kingdom)		3,754		159,565
PPR (France)		288		41,244
Target Corp.		112,500		5,762,250
				8,250,470
Multi-Utilities — 0.6%
Centrica PLC (United Kingdom)		1,869		8,397
Dominion Resources, Inc.		8,500		451,180
GDF Suez (France)		2,315		63,279
National Grid PLC (United Kingdom)		7,973		77,387
PG&E Corp.		226,100		9,319,842
Public Service Enterprise Group, Inc.		85,000		2,805,850
RWE AG (Germany)		2,763		97,089
Sempra Energy		117,900		6,484,500
				19,307,524
Office Electronics — 0.2%
Canon, Inc. (Japan)		4,100		181,642
Xerox Corp.		573,200		4,562,672
				4,744,314
Oil, Gas & Consumable Fuels — 7.2%
Apache Corp.		165,500		14,990,990
BG Group PLC (United Kingdom)		211		4,511
BP PLC (United Kingdom)		58,161		415,939
Chevron Corp.		448,456		47,715,718
ConocoPhillips		332,834		24,253,614
Consol Energy, Inc.		56,700		2,080,890
CVR Energy, Inc.*		27,000		505,710
Devon Energy Corp.		106,100		6,578,200
ENI SpA (Italy)		7,801		161,644
Exxon Mobil Corp.		866,416		73,437,420
Hess Corp.		190,400		10,814,720
HollyFrontier Corp.		22,200		519,480
Idemitsu Kosan Co. Ltd. (Japan)		200		20,631
Japan Petroleum Exploration Co. (Japan)		400		15,643
JX Holdings, Inc. (Japan)		7,900		47,726
Marathon Oil Corp.		299,400		8,763,438
Marathon Petroleum Corp.		62,800		2,090,612
Murphy Oil Corp.		118,500		6,605,190
Occidental Petroleum Corp.		110,900		10,391,330
Peabody Energy Corp.		92,900		3,075,919
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		12,090		445,170
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		10,065		383,580
Santos Ltd. (Australia)		8,704		108,966
Southwestern Energy Co.*		50,300		1,606,582

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Statoil ASA (Norway)		5,217	$	133,896
Total SA (France)		7,887		403,205
Valero Energy Corp.		97,100		2,043,955
				217,614,679
Paper & Forest Products
Holmen AB (Sweden) (Class B Stock)		397		11,405
OJI Paper Co. Ltd. (Japan)		5,000		25,659
				37,064
Personal Products — 0.3%
Avon Products, Inc.		339,700		5,934,559
Herbalife Ltd.		36,200		1,870,454
				7,805,013
Pharmaceuticals — 3.6%
Abbott Laboratories		403,300		22,677,559
AstraZeneca PLC (United Kingdom)		7,123		329,093
Bayer AG (Germany)		2,257		144,303
Bristol-Myers Squibb Co.(a)		103,300		3,640,292
Eli Lilly & Co.		223,800		9,301,128
GlaxoSmithKline PLC (United Kingdom)		21,453		490,249
Hospira, Inc.*		18,600		564,882
Johnson & Johnson		290,198		19,031,185
Merck & Co., Inc.		644,600		24,301,420
Mylan, Inc.*		51,700		1,109,482
Novartis AG (Switzerland)		6,572		375,723
Novo Nordisk A/S (Denmark) (Class B Stock)		1,864		214,204
Orion OYJ (Finland) (Class B Stock)		1,742		33,931
Par Pharmaceutical Cos., Inc.*		45,900		1,502,307
Pfizer, Inc.		1,002,997		21,704,855
Roche Holding AG (Switzerland)		1,889		320,163
Sanofi (France)		5,254		385,899
Shire PLC (United Kingdom)		853		29,713
Taisho Pharmaceutical Holdings Co. Ltd. (Japan)*		100		7,717
Takeda Pharmaceutical Co. Ltd. (Japan)		1,600		70,261
Teva Pharmaceutical Industries Ltd. (Israel)		1,101		44,317
Warner Chilcott PLC (Class A Stock)*		112,500		1,702,125
Watson Pharmaceuticals, Inc.*		15,300		923,202
				108,904,010
Professional Services — 0.1%
Manpower, Inc.		50,600		1,808,950
Real Estate Investment Trusts — 0.6%
Annaly Capital Management, Inc.		499,800		7,976,808
Ashford Hospitality Trust, Inc.		29,400		235,200
Chimera Investment Corp.(a)		375,600		942,756
CommonWealth REIT		111,000		1,847,040
Corporate Office Properties Trust		14,200		301,892
First Industrial Realty Trust, Inc.*		33,600		343,728
GPT Group (Australia)		14,547		45,678
Hospitality Properties Trust		187,800		4,315,644

SEE NOTES TO FINANCIAL STATEMENTS.

A64

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Invesco Mortgage Capital, Inc.		53,200	$	747,460
Link REIT (The) (Hong Kong)		42,000		154,662
Mack-Cali Realty Corp.		16,800		448,392
MFA Financial, Inc.		78,100		524,832
Redwood Trust, Inc.		24,900		253,482
Simon Property Group, Inc.		2,000		257,880
Stockland (Australia)		26,528		86,554
Unibail-Rodamco SE (France)		401		72,088
Westfield Group (Australia)		4,010		32,032
Winthrop Realty Trust		31,300		318,321
				18,904,449
Real Estate Management & Development — 0.1%
Cheung Kong Holdings Ltd. (Hong Kong)		1,000		11,897
Daito Trust Construction Co. Ltd. (Japan)		2,000		171,495
Daiwa House Industry Co. Ltd. (Japan)		14,000		166,974
Immofinanz AG (Austria)		7,734		23,223
Jones Lang LaSalle, Inc.(a)		44,700		2,738,322
Kerry Properties Ltd. (Hong Kong)		13,500		44,672
Sun Hung Kai Properties Ltd. (Hong Kong)		4,000		50,138
Tokyu Land Corp. (Japan)		25,000		94,517
				3,301,238
Road & Rail — 1.1%
Asciano Ltd. (Australia)		21,370		98,358
Central Japan Railway Co. (Japan)		18		152,007
CSX Corp.		455,000		9,582,300
East Japan Railway Co. (Japan)		2,800		178,251
Norfolk Southern Corp.		144,200		10,506,412
Union Pacific Corp.		110,300		11,685,182
West Japan Railway Co. (Japan)		300		13,038
				32,215,548
Semiconductors & Semiconductor Equipment — 1.1%
Applied Materials, Inc.		414,300		4,437,153
ARM Holdings PLC (United Kingdom)		3,580		32,913
ASM Pacific Technology Ltd. (Hong Kong)		6,200		69,571
Intel Corp.		1,205,600		29,235,800
				33,775,437
Software — 2.7%
Activision Blizzard, Inc.(a)		82,900		1,021,328
BMC Software, Inc.*		89,000		2,917,420
CA, Inc.		174,000		3,517,410
FactSet Research Systems, Inc.		4,600		401,488
Intuit, Inc.		123,200		6,479,088
Konami Corp. (Japan)		500		14,973
Microsoft Corp.		1,519,700		39,451,412
Oracle Corp.		859,300		22,041,045
SAP AG (Germany)		4,011		212,062
Symantec Corp.*		326,000		5,101,900
				81,158,126

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail — 1.5%
ANN, Inc.*		15,100	$	374,178
Ascena Retail Group, Inc.*(a)		82,900		2,463,788
Bed Bath & Beyond, Inc.*		38,500		2,231,845
Express, Inc.*		70,400		1,403,776
Finish Line, Inc. (The) (Class A Stock)		62,600		1,207,241
Guess?, Inc.		52,900		1,577,478
Hennes & Mauritz AB (Sweden) (Class B Stock)		977		31,417
Home Depot, Inc. (The)		283,950		11,937,258
Inditex SA (Spain)		1,190		97,461
Kingfisher PLC (United Kingdom)		14,618		56,913
Limited Brands, Inc.(a)		47,000		1,896,450
PetSmart, Inc.		34,100		1,748,989
Ross Stores, Inc.		116,400		5,532,492
TJX Cos., Inc.		186,300		12,025,665
USS Co. Ltd. (Japan)		700		63,297
Williams-Sonoma, Inc.		73,300		2,822,050
Yamada Denki Co. Ltd. (Japan)		1,190		81,013
				45,551,311
Textiles, Apparel & Luxury Goods — 0.5%
Burberry Group PLC (United Kingdom)		2,698		49,651
Christian Dior SA (France)		183		21,697
Cie Financiere Richemont SA (Switzerland)		1,096		55,436
Coach, Inc.		209,600		12,793,984
Crocs, Inc.*		87,100		1,286,467
LVMH Moet Hennessy Louis Vuitton SA (France)		83		11,752
Swatch Group AG (The) (Bearer Shares) (Switzerland)		264		98,793
Swatch Group AG (The) (Registered Shares) (Switzerland)		1,111		74,043
True Religion Apparel, Inc.*		49,600		1,715,168
				16,106,991
Tobacco — 0.8%
British American Tobacco PLC (United Kingdom)		5,133		243,569
Imperial Tobacco Group PLC (United Kingdom)		5,142		194,446
Japan Tobacco, Inc. (Japan)		1		4,703
Lorillard, Inc.		74,200		8,458,800
Philip Morris International, Inc.		173,200		13,592,736
Reynolds American, Inc.		64,800		2,684,016
Swedish Match AB (Sweden)		1,767		62,725
				25,240,995
Trading Companies & Distributors — 0.1%
ITOCHU Corp. (Japan)		11,000		111,758
Marubeni Corp. (Japan)		8,000		48,746
Mitsubishi Corp. (Japan)		4,100		82,831
Mitsui & Co. Ltd. (Japan)		5,100		79,313
Sumitomo Corp. (Japan)		10,600		143,500
Toyota Tsusho Corp. (Japan)		4,100		72,497
W.W. Grainger, Inc.		16,400		3,069,916
				3,608,561

SEE NOTES TO FINANCIAL STATEMENTS.

A65

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Transportation Infrastructure
Atlantia SpA (Italy)		567	$	9,078
Kamigumi Co. Ltd. (Japan)		2,000		17,253
Transurban Group (Australia)(b)		9,401		54,038
				80,369
Water Utilities — 0.2%
American Water Works Co., Inc.		162,400		5,174,064
Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		2		12,862
MetroPCS Communications, Inc.*		284,900		2,472,932
Millicom International Cellular SA (Luxembourg)		219		21,941
Mobistar SA (Belgium)		112		5,869
Softbank Corp. (Japan)		6,200		182,609
StarHub Ltd. (Singapore)		3,000		6,731
Vodafone Group PLC (United Kingdom)		131,333		364,882
				3,067,826
TOTAL COMMON STOCKS (cost $1,734,201,909)				1,967,689,117

EXCHANGE TRADED FUND	Shares		Value (Note 2)
iShares MSCI EAFE Index Fund (cost $534,053)		10,700	$	529,971
PREFERRED STOCKS — 0.1%
Automobiles
Porsche Automobil Holding SE (Germany)		1,769		94,672
Volkswagen AG (Germany)		961		143,966
				238,638
Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(c)		22,000		573,320
JPMorgan Chase Capital XXVI, 8.000% (Capital Security, fixed to floating preferred)(c)		28,000		725,200
				1,298,520
Household Products
Henkel AG & Co. KGaA (Germany)		620		35,781
Multi-Utilities
RWE AG (Germany)		1,313		43,223
TOTAL PREFERRED STOCKS (cost $1,618,614)				1,616,162

ASSET-BACKED SECURITIES — 1.0%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#
Non-Residential Mortgage-Backed Securities — 0.8%
Apidos CDO (Cayman Islands), Ser. 2006-4A, Class A1, 144A(c)	Aaa		0.672%	10/27/18	$	1,000	952,556
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(c)	Aaa		2.066%	05/17/21		500	493,465
BA Credit Card Trust, Ser. 2006-C5, Class C5(c)	A3		0.678%	01/15/16		3,209	3,164,563
Bank One Issuance Trust, Ser. 2003-C3, Class C3	Baa2		4.770%	02/16/16		5,200	5,418,881
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.756%	05/25/17		1,908	1,840,350
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.682%	08/03/19		454	436,765
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(c)	Baa2		0.685%	02/20/15		1,350	1,337,905
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(c)	Aaa		0.772%	07/27/16		49	48,670
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(c)	Aaa		0.666%	07/22/20		1,225	1,147,303
Fuel Trust, Sec’d. Notes, 144A	Baa2		3.984%	06/15/16		415	414,944
Fuel Trust, Sec’d. Notes, 144A	Baa2		4.207%	04/15/16		1,655	1,669,049
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.663%	12/15/17		1,139	1,113,532
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(c)	Aaa		0.763%	07/15/16		92	90,879
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(c)	Aaa		0.646%	10/19/20		1,161	1,102,800
LCM LP (Cayman Islands), Ser. 2004-2A, Class A, 144A(c)	Aaa		0.736%	10/22/16		574	550,682
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(c)	Aaa		0.787%	06/01/17		500	475,000
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2004-3A, Class A1LA, 144A(c)	Aaa		0.872%	02/15/16		165	165,026
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(c)	Aaa		0.796%	03/15/18		593	568,382
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		179	183,241
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(c)	Aaa		0.679%	11/01/18		2,500	2,373,953
							23,547,946

SEE NOTES TO FINANCIAL STATEMENTS.

A66

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities — 0.2%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(c)	B2		1.944%	03/25/33	$	423	$	250,565
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3	B3		5.120%	07/25/35		318		261,216
Equity One ABS, Inc., Ser. 2004-3, Class M1	Baa1		5.700%	07/25/34		670		530,924
GSAMP Trust, Ser. 2004-HE2, Class A3C(c)	Aaa		0.874%	09/25/34		674		512,720
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(c)	Aa1		0.775%	01/20/35		311		269,660
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(c)	B1		0.824%	06/25/34		1,074		764,149
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(c)	Ba2		1.494%	05/25/33		650		491,766
Morgan Stanley ABS Capital I, Ser. 2004-HE5, Class M1(c)	B3		1.239%	06/25/34		1,232		884,813
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(c)	Baa2		1.344%	12/27/33		1,193		944,600
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(c)	Caa3		1.194%	07/25/32		720		507,558
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC2, Class M2, 144A(c)	B(d)		2.619%	04/25/32		261		112,280
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(c)	B2		1.569%	09/25/32		696		536,320
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(c)	Ba3		1.059%	02/25/34		1,128		826,832
Securitized Asset Backed Receivables LLC Trust, Ser. 2006-FR3, Class A3(c)	Ca		0.544%	05/25/36		1,100		356,784
								7,250,187
TOTAL ASSET-BACKED SECURITIES (cost $32,987,959)								30,798,133
BANK LOANS — 0.2%
Cable
Insight Midwest Holdings LLC(c)	Ba3		1.270%	10/06/13		678		669,448
Foods
Del Monte Foods Co.(c).	Ba3		4.500%	03/08/18		1,139		1,079,463
Healthcare & Pharmaceutical — 0.1%
HCA, Inc.(c)	Ba3		3.688%	05/01/18		370		348,567
HCA, Inc.(c)	Ba3		3.829%	03/31/17		886		839,351
								1,187,918
Technology — 0.1%
First Data Corp.(c)	B1		3.044%	09/24/14		126		113,668
First Data Corp.(c)	B1		3.044%	09/24/14		101		90,934
First Data Corp.(c)	B1		4.294%	03/26/18		2,134		1,783,606
Flextronics International Ltd. (Singapore)(c)	Ba1		2.520%	10/01/14		539		526,478
Flextronics International Ltd. (Singapore)(c)	Ba1		2.546%	10/01/14		155		152,157
								2,666,843
TOTAL BANK LOANS (cost $6,075,372)								5,603,672
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		3,116		2,219,893
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(c)	B2		2.875%	02/25/35		674		551,436
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(c)	Caa1		2.835%	03/25/35		529		408,170
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(c)	Ba2		2.760%	02/25/37		1,614		1,463,746
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		678		690,126
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(c)	B1		2.782%	07/25/35		1,060		932,747
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		223		228,327
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(c)	Baa1		2.480%	02/25/34		553		493,000
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(d)		5.000%	03/25/20		291		258,703
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $8,451,028)								7,246,148

SEE NOTES TO FINANCIAL STATEMENTS.

A67

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38	$	2,800	$	2,891,902
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		3,700		3,762,127
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(c)	Aaa		5.622%	06/10/49		3,891		3,929,691
Banc of America Commercial Mortgage, Inc., Ser. 2007-5, Class A3	AAA(d)		5.620%	02/10/51		1,920		2,021,096
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,900		4,113,704
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2007-2, Class A3(c)	AAA(d)		5.606%	04/10/49		1,500		1,635,413
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4(c)	AAA(d)		5.405%	12/11/40		2,000		2,201,552
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(c)	Aaa		5.344%	01/15/46		1,200		1,297,442
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A(c)	AA-(d)		5.440%	09/15/30		714		742,481
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(c)	AAA(d)		5.751%	06/10/46		5,450		6,018,151
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		578		579,547
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, Class A4	Aaa		4.835%	07/15/36		631		642,498
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4	Aaa		4.283%	10/15/39		100		100,486
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		1,900		2,000,189
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(c)	AAA(d)		5.419%	02/15/39		2,700		2,988,060
CW Capital Cobalt Ltd., Ser. 2007-C2, Class A2	Aaa		5.334%	04/15/47		513		523,022
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(c)	AAA(d)		5.816%	05/15/46		2,200		2,327,283
GE Capital Commercial Mortgage Corp., Ser. 2005-C4, Class A4(c)	Aaa		5.309%	11/10/45		2,585		2,854,902
GE Capital Commercial Mortgage Corp., Ser. 2006-C1, Class A4(c)	AAA(d)		5.330%	03/10/44		2,060		2,261,705
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(d)		4.697%	05/10/43		2,720		2,943,021
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A3	Aaa		4.569%	08/10/42		992		1,002,959
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(c)	Aaa		5.224%	04/10/37		8,050		8,618,998
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,107		3,124,200
GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB(c)	AAA(d)		5.587%	04/10/38		5,817		6,178,076
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(c)	Aaa		5.778%	08/10/45		2,100		2,134,316
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB(c)	Aaa		4.853%	03/15/46		2,199		2,286,675
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42		543		547,002
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,035,081
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		3,785		3,937,825
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(c)	Aa2		4.999%	10/15/42		1,270		1,336,069
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		3,629		3,880,701
JPMorgan Chase Commercial Mortgage Securities Corp., I/O, Ser. 2006-LDP6, Class X2(c)	Aaa		0.051%	04/15/43		92,527		112,605
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP7, Class A3A(c)	Aaa		5.875%	04/15/45		563		579,019
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD12, Class A2	Aaa		5.827%	02/15/51		2,034		2,073,402
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(c)	AAA(d)		4.826%	08/15/29		3,608		3,669,084

SEE NOTES TO FINANCIAL STATEMENTS.

A68

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(c)	AA(d)		5.263%	11/15/40	$	1,510	$	1,594,857
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(d)		5.084%	02/15/31		3,093		3,125,169
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,773
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(c)	Aaa		5.661%	03/15/39		2,676		2,941,531
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		2,000		2,107,512
Merrill Lynch Mortgage Trust, Ser. 2008-C1, Class A2	Aaa		5.425%	02/12/51		147		149,065
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(c)	Aaa		5.906%	06/12/46		1,795		2,003,523
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		4,955		4,969,322
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(c)	Aaa		5.417%	03/12/44		1,500		1,642,807
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(c)	AAA(d)		5.728%	10/15/42		2,600		2,870,876
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(d)		5.332%	12/15/43		4,720		5,275,785
Morgan Stanley Capital I, Ser. 2007-HQ11, Class A31	Aaa		5.439%	02/12/44		1,230		1,281,535
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		4,600		4,819,622
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(c)	AAA(d)		5.638%	06/11/42		1,105		1,168,606
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(c)	Aaa		5.418%	01/15/45		5,000		5,447,035
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(c)	Aaa		5.737%	05/15/43		1,000		1,106,749
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		2,300		2,425,056
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $121,317,986)								129,334,107
CORPORATE BONDS — 8.9%
Aerospace & Defense
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		515		508,846
Airlines — 0.2%
Continental Airlines 1998-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 981A	Baa2		6.648%	09/15/17		236		240,531
Continental Airlines 2009-2 Class A Pass Through Trust, Pass-thru Certs., Ser. A	Baa2		7.250%	11/10/19		732		779,812
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-A, Class A(a)	Baa2		4.750%	01/12/21		855		867,825
Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A	Baa1		6.821%	08/10/22		393		410,484
Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-thru Certs., Ser. A(a)	Baa2		5.300%	04/15/19		1,485		1,499,850
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-2, Class A(a)	Baa2		4.950%	05/23/19		729		738,327
Southwest Airlines Co., Sr. Unsec’d. Notes	Baa3		6.500%	03/01/12		1,005		1,013,063
								5,549,892
Automotive
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		500		539,790
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		245		274,130
								813,920
Banking — 2.8%
American Express Co., Sr. Unsec’d. Notes	A3		8.125%	05/20/19		1,925		2,488,777
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%	09/19/16		2,030		2,039,947
Banco Bradesco SA (Brazil), Sub. Notes	A2		8.750%	10/24/13		1,760		1,927,200
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(c)	Ba3		8.000%	12/29/49		2,200		1,969,968
Bank of America Corp., Sr. Unsec’d. Notes	Baa1		4.500%	04/01/15		595		574,167
Bank of America Corp., Sr. Unsec’d. Notes, MTN	Baa1		5.000%	05/13/21		630		573,826
Bank of America Corp., Sr. Unsec’d. Notes	Baa1		6.000%	09/01/17		1,060		1,035,226
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa1		3.750%	07/12/16		870		805,550
Bank of America Corp., Sub. Notes	Baa2		5.750%	08/15/16		1,775		1,648,499

SEE NOTES TO FINANCIAL STATEMENTS.

A69

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Bank of America NA, Sub. Notes	A3		5.300%	03/15/17	$	930	$	838,777
Bank of America NA, Sub. Notes	A3		6.000%	10/15/36		410		341,011
Bank of Montreal (Canada), Covered Notes, 144A	Aaa		1.300%	10/31/14		3,500		3,493,994
Bank of Nova Scotia (Canada), Covered Notes, 144A	Aaa		1.250%	11/07/14		3,285		3,271,121
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	Aa3		5.300%	10/30/15		515		553,825
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	Aa3		6.400%	10/02/17		330		368,686
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	Aa3		7.250%	02/01/18		1,175		1,377,512
Capital One Bank USA NA, Sub. Notes	Baa1		6.500%	06/13/13		20		21,096
Capital One Bank USA NA, Sub. Notes	Baa1		8.800%	07/15/19		1,300		1,487,187
Capital One Capital V, Ltd. Gtd. Notes	Baa3		10.250%	08/15/39		620		643,250
Capital One Capital VI, Ltd. Gtd. Notes(a)	Baa3		8.875%	05/15/40		1,080		1,120,922
Citigroup, Inc., Sr. Unsec’d. Notes(a)	A3		3.953%	06/15/16		1,010		1,006,519
Citigroup, Inc., Sr. Unsec’d. Notes	A3		4.500%	01/14/22		1,660		1,596,958
Citigroup, Inc., Sr. Unsec’d. Notes	A3		4.750%	05/19/15		2,265		2,293,899
Citigroup, Inc., Sr. Unsec’d. Notes(a)	A3		5.375%	08/09/20		920		946,009
Citigroup, Inc., Sr. Unsec’d. Notes	A3		6.875%	03/05/38		215		236,202
Citigroup, Inc., Sr. Unsec’d. Notes	A3		8.125%	07/15/39		710		869,276
Citigroup, Inc., Sub. Notes	Baa1		5.000%	09/15/14		454		449,327
Citigroup, Inc., Sub. Notes(a)	Baa1		5.625%	08/27/12		2,800		2,842,288
Citigroup, Inc., Sub. Notes	Baa1		6.125%	08/25/36		570		493,056
Citigroup, Inc., Unsec’d. Notes(a)	A3		8.500%	05/22/19		1,895		2,230,578
Countrywide Financial Corp., Gtd. Notes, MTN(a)(e)	Baa1		5.800%	06/07/12		1,190		1,192,504
Depfa ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%	03/16/37		1,380		986,519
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		570		596,373
Discover Bank, Sub. Notes	Ba1		8.700%	11/18/19		900		1,026,166
Goldman Sachs Group, Inc. (The), Sr. Notes	A1		6.250%	02/01/41		270		264,878
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		3.625%	02/07/16		2,000		1,932,446
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.250%	07/27/21		2,055		2,004,735
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.450%	11/01/12		600		610,187
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		6.000%	06/15/20		1,000		1,024,362
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		5.625%	01/15/17		1,190		1,166,904
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.450%	05/01/36		1,615		1,457,248
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.750%	10/01/37		104		96,773
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa2		4.875%	01/14/22		1,910		2,018,666
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa2		5.100%	04/05/21		1,025		1,089,158
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		170		192,666
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)(c)	Baa1		7.900%	04/29/49		2,000		2,129,380
JPMorgan Chase & Co., Sr. Unsec’d. Notes	Aa3		3.150%	07/05/16		3,210		3,225,023
JPMorgan Chase & Co., Sr. Unsec’d. Notes(a)	Aa3		4.250%	10/15/20		2,930		2,950,577
JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA	A2		7.000%	11/01/39		1,500		1,509,375
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A1		5.800%	01/13/20		1,870		1,775,337
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes.(a)	A1		6.375%	01/21/21		1,400		1,402,989
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(a)	Baa1		6.400%	08/28/17		35		33,891
Morgan Stanley, Sr. Unsec’d. Notes(a)	A2		5.300%	03/01/13		265		268,244
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.500%	07/28/21		760		702,723
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.750%	01/25/21		1,400		1,305,928
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.625%	09/23/19		1,415		1,310,402
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.950%	12/28/17		510		485,895
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		6.625%	04/01/18		105		103,682
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	A2		5.450%	01/09/17		2,345		2,257,682
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes.(c)	Ba1		6.346%	07/25/49		800		812,513
National Bank of Canada (Canada), Covered Notes, 144A	Aaa		2.200%	10/19/16		1,240		1,250,266
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		1,110		1,129,952
PNC Funding Corp., Gtd. Notes.	A3		6.700%	06/10/19		440		536,818
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	A3		6.400%	10/21/19		1,775		1,661,734
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A(a)	Aaa		1.625%	09/14/16		3,000		2,960,511

SEE NOTES TO FINANCIAL STATEMENTS.

A70

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39	$	775	$	787,369
Wells Fargo Bank NA, Sub. Notes, Ser. AI	A1		4.750%	02/09/15		585		610,324
								84,414,853
Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(f)	NR		5.250%	02/06/12		1,715		439,469
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(f)	NR		6.875%	05/02/18		700		185,500
								624,969
Cable — 0.2%
AT&T Broadband LLC, Gtd. Notes	Baa1		9.455%	11/15/22		255		363,349
Charter Communications Operating LLC/Charter Communications Operating Capital, Sec’d. Notes, 144A	Ba2		8.000%	04/30/12		2,130		2,172,600
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		570		684,817
Comcast Corp., Gtd. Notes	Baa1		6.450%	03/15/37		155		187,898
Comcast Corp., Gtd. Notes	Baa1		6.500%	11/15/35		450		542,423
Comcast Corp., Gtd. Notes	Baa1		6.950%	08/15/37		605		769,746
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		920		948,450
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		171,744
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		386,281
								6,227,308
Capital Goods — 0.1%
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $459,646; purchased 10/10/07)(e)(g)	Baa1		5.800%	10/15/12		460		475,896
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(e)(g)	Baa1		6.375%	10/15/17		1,302		1,504,530
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(e)(g)	Baa1		7.000%	10/15/37		380		457,168
General Electric Co., Sr. Unsec’d. Notes	Aa2		5.250%	12/06/17		200		229,552
Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A	A1		4.875%	09/15/41		215		244,635
Xylem, Inc., Gtd. Notes, 144A	Baa2		4.875%	10/01/21		1,260		1,335,293
								4,247,074
Chemicals — 0.1%
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		7.600%	05/15/14		1,800		2,035,473
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		432		649,340
Ecolab, Inc., Sr. Unsec’d. Notes(a)	Baa1		5.500%	12/08/41		345		382,309
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		720		762,335
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		150		173,722
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.500%	06/01/25		460		542,907
								4,546,086
Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,700		1,932,382
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		1,350		1,474,875
VF Corp., Sr. Unsec’d. Notes	A3		3.500%	09/01/21		620		644,056
								4,051,313
Electric — 0.6%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa2		6.250%	08/01/16		175		205,366
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa2		6.350%	10/01/36		550		694,709
Carolina Power & Light Co., First Mtge. Bonds	A1		5.250%	12/15/15		525		601,524
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		740		776,714
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		590		804,577
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		220		268,230
Consumers Energy Co., First Mtge. Bonds, Ser. D	A3		5.375%	04/15/13		325		341,967
Duke Energy Carolinas LLC, First Mtge. Bonds(a)	A1		6.050%	04/15/38		550		720,022
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		670		791,193

SEE NOTES TO FINANCIAL STATEMENTS.

A71

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15	$	1,295	$	1,543,154
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	A3		6.000%	10/07/39		1,280		1,030,203
Exelon Corp., Sr. Unsec’d. Notes	Baa1		4.900%	06/15/15		155		167,009
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	A3		6.250%	10/01/39		1,425		1,736,351
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		295		377,296
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		495		587,371
Iberdrola International BV (Netherlands), Gtd. Notes	A3		6.750%	09/15/33		145		154,174
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		460		501,377
Midamerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		300		354,512
National Rural Utilities Cooperative Finance Corp., Sr. Unsec’d. Notes, Ser. C, MTN	A2		7.250%	03/01/12		62		62,652
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa2		6.500%	05/15/18		1,260		1,511,843
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		610		682,150
NSTAR, Sr. Unsec’d. Notes	A2		4.500%	11/15/19		615		680,402
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(a)	Baa1		6.375%	01/15/15		345		394,225
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa1		7.000%	09/01/22		110		140,908
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		140		163,650
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A2		5.800%	05/01/37		535		686,003
Xcel Energy, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.800%	09/15/41		480		523,071
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		199		225,711
								16,726,364
Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		535		589,233
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		1,040		1,115,467
								1,704,700
Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.375%	09/15/17		1,195		1,385,165
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.450%	09/15/36		325		370,533
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.950%	06/15/19		250		298,455
Cameron International Corp., Sr. Unsec’d. Notes	Baa1		4.500%	06/01/21		2,200		2,361,676
Nabors Industries, Inc., Gtd. Notes, 144A	Baa2		4.625%	09/15/21		1,070		1,086,804
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Ba1		6.875%	05/01/18		1,500		1,696,464
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		170		188,841
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		810		841,734
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,315		1,378,617
								9,608,289
Foods — 0.4%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		8.000%	11/15/39		1,285		1,991,160
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		8.200%	01/15/39		250		394,143
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		850		871,250
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		727		794,930
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,040		1,090,807
Bunge Ltd. Finance Corp., Gtd. Notes(a)	Baa2		8.500%	06/15/19		985		1,198,981
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $666,818; purchased 11/19/07)(e)(g)	A2		6.000%	11/27/17		670		789,850
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		480		564,155
J.M. Smucker Co. (The), Gtd. Notes	A3		3.500%	10/15/21		490		501,294
Kroger Co. (The), Gtd. Notes	Baa2		6.750%	04/15/12		45		45,750
Safeway, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	12/01/21		570		583,886
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		1,321		1,535,662
Tyson Foods, Inc., Gtd. Notes	Ba1		6.850%	04/01/16		735		806,663
								11,168,531
Gaming
MGM Resorts International, Sr. Sec’d. Notes	Ba2		13.000%	11/15/13		1,260		1,496,250

SEE NOTES TO FINANCIAL STATEMENTS.

A72

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical — 0.2%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41	$	1,910	$	1,980,066
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,460		2,489,825
Genentech, Inc., Sr. Unsec’d. Notes	AA-(d)		4.750%	07/15/15		280		312,324
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		565		625,547
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		580		645,683
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		165		206,726
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	08/15/19		445		523,342
Wyeth, Gtd. Notes	A1		6.450%	02/01/24		60		78,395
								6,861,908
Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.500%	09/15/18		1,570		1,915,664
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		515		639,572
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		650		687,715
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		670		718,704
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,290		1,412,287
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		5.950%	02/15/41		730		897,501
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		195		229,357
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		420		534,171
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		420		539,208
WellPoint, Inc., Sr. Unsec’d. Notes	Baa1		5.000%	12/15/14		860		939,626
								8,513,805
Insurance — 0.7%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		525		525,947
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		580		579,206
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		1,055		1,064,738
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		990		1,047,916
AON Corp., Sr. Unsec’d. Notes	Baa2		3.125%	05/27/16		2,655		2,685,147
Axis Specialty Finance LLC, Gtd. Notes	Baa1		5.875%	06/01/20		1,030		1,058,944
Chubb Corp. (The), Jr. Sub. Notes(c)	A3		6.375%	03/29/67		1,300		1,283,750
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		850		903,198
Lincoln National Corp., Jr. Sub. Notes(c)	Ba1		6.050%	04/20/67		260		216,450
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		492		506,981
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		705		797,029
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		605		735,897
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		835		931,981
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		400		472,837
MetLife, Inc., Sr. Unsec’d. Notes(a)	A3		6.750%	06/01/16		430		495,376
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		660		842,784
Northwestern Mutual Life Insurance, Notes, 144A(a)	Aa2		6.063%	03/30/40		370		444,160
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.350%	04/01/13		1,120		1,170,217
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		680		739,491
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		995		1,325,011
Progressive Corp. (The), Jr. Sub. Notes(c)	A2		6.700%	06/15/37		735		742,350
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,450		1,860,933
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		350		360,385
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		555		588,797
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		460		484,410
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		85		89,889
								21,953,824
Lodging — 0.2%
Host Marriott LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		750		763,125
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Ba1		6.250%	02/15/13		1,645		1,698,463
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)	Ba1		6.750%	05/15/18		2,800		3,164,000
								5,625,588

SEE NOTES TO FINANCIAL STATEMENTS.

A73

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment — 0.3%
Gannett Co., Inc., Sr. Unsec’d. Notes	Ba2		6.375%	04/01/12	$	2,500	$	2,512,500
Historic TW, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		505		690,769
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		620		677,730
News America, Inc., Gtd. Notes(a)	Baa1		6.150%	02/15/41		1,315		1,515,657
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		90		104,037
Time Warner Cos., Inc., Gtd. Notes	Baa2		7.250%	10/15/17		790		946,599
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		210		247,360
Time Warner, Inc., Gtd. Notes(a)	Baa2		6.250%	03/29/41		1,465		1,756,463
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		180		232,359
Viacom, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	10/05/37		430		533,626
								9,217,100
Metals — 0.2%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a)	Baa3		6.125%	06/01/18		1,030		1,017,189
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		880		1,041,931
Peabody Energy Corp., Gtd. Notes, 144A	Ba1		6.000%	11/15/18		1,525		1,555,500
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(d)		4.500%	05/15/13		115		119,796
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		125		136,538
Steel Dynamics, Inc., Gtd. Notes	Ba2		7.375%	11/01/12		1,085		1,129,756
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes(a)	Baa2		6.875%	11/10/39		815		933,501
Xstrata Canada Financial Corp. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,185		1,191,052
								7,125,263
Non-Captive Finance — 0.4%
CIT Group, Inc., Sec’d. Notes, 144A(a)	B2		7.000%	05/04/15		350		350,438
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	Aa2		4.650%	10/17/21		1,272		1,327,544
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	Aa2		5.875%	01/14/38		1,060		1,123,162
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(h)	Aa2		6.000%	08/07/19		920		1,056,738
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(a)(h)	Aa2		6.875%	01/10/39		1,625		1,946,802
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		5.750%	05/15/16		375		347,828
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		6.375%	03/25/13		1,850		1,840,750
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		570		554,313
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.000%	03/25/20		1,050		1,060,500
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,070		1,102,100
								10,710,175
Packaging
Sealed Air Corp., Sr. Unsec’d. Notes, 144A	B1		6.875%	07/15/33		515		450,625
Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(e)(g)	Baa3		5.400%	11/01/20		290		321,218
International Paper Co., Sr. Unsec’d. Notes(a)	Baa3		6.000%	11/15/41		885		960,767
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		685		833,802
Rock-Tenn Co., Gtd. Notes	Ba2		9.250%	03/15/16		1,840		1,950,400
								4,066,187
Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		675		661,227
NiSource Finance Corp., Gtd. Notes	Baa3		5.250%	09/15/17		245		270,446
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		350		387,680
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		145		171,480
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		90		94,251
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		3,190		3,617,218
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		235		246,366
								5,448,668
Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		670		854,463
CSX Corp., Sr. Unsec’d. Notes	Baa3		6.150%	05/01/37		715		859,822

SEE NOTES TO FINANCIAL STATEMENTS.

A74

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Railroads (continued)
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25	$	525	$	606,454
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		7.800%	05/15/27		18		25,474
								2,346,213
Real Estate Investment Trusts — 0.2%
Brandywine Operating Partnership LP, Gtd. Notes	Baa3		5.750%	04/01/12		361		363,300
HCP, Inc., Sr. Unsec’d. Notes(a)	Baa2		2.700%	02/01/14		750		748,910
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		765		911,597
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		5.450%	06/01/12		435		440,476
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		6.300%	06/01/13		660		689,784
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		72		79,943
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		690		704,788
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		2,800		3,214,414
								7,153,212
Retailers — 0.2%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		515		626,695
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		385		473,120
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1		5.350%	03/15/12		390		392,674
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1		5.875%	01/15/13		2,000		2,059,098
Nordstrom, Inc., Sr. Unsec’d. Notes	Baa1		4.000%	10/15/21		260		271,033
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(a)	Aa2		5.625%	04/15/41		720		930,529
								4,753,149
Technology — 0.2%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		400		400,515
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		340		346,186
Intuit, Inc., Sr. Unsec’d. Notes	Baa1		5.400%	03/15/12		600		605,070
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		1,500		1,696,875
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,720		2,866,869
								5,915,515
Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		590		701,485
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		7		9,888
AT&T Mobility LLC, Sr. Unsec’d. Notes	A-(d)		7.125%	12/15/31		405		524,132
AT&T, Inc., Sr. Unsec’d. Notes(a)	A2		5.550%	08/15/41		1,070		1,259,836
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,720		2,187,907
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		400		563,720
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(e)(g)	Baa3		7.082%	06/01/16		325		352,282
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,626,279; purchased 05/12/06-04/10/07)(e)(g)	Baa3		7.995%	06/01/36		1,600		1,657,901
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		320		307,387
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.175%	06/18/19		445		417,013
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		1,030		850,726
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		5.877%	07/15/19		390		385,425
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		7.045%	06/20/36		210		204,765
United States Cellular Corp., Sr. Unsec’d. Notes	Baa2		6.700%	12/15/33		275		276,119
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)	A3		6.100%	04/15/18		3,165		3,802,320
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		1,000		1,070,000
								14,570,906
Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes	Baa1		4.750%	05/05/21		1,000		1,101,038
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		1,215		1,634,677
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		140		212,937

SEE NOTES TO FINANCIAL STATEMENTS.

A75

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Tobacco (continued)
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39	$	790	$	1,229,335
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		465		470,340
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		325		387,139
Reynolds American, Inc., Gtd. Notes	Baa3		7.250%	06/15/37		320		371,190
								5,406,656
TOTAL CORPORATE BONDS (cost $257,958,889)								271,807,189
MORTGAGE-BACKED SECURITIES — 10.4%
Federal Home Loan Mortgage Corp.(c)			2.386%	06/01/36		1,021		1,066,690
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		2,500		2,580,469
Federal Home Loan Mortgage Corp.			3.500%	TBA 15 YR		1,000		1,042,344
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		7,833		8,257,566
Federal Home Loan Mortgage Corp.			4.000%	TBA 30 YR		3,000		3,146,250
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		31,978		33,918,768
Federal Home Loan Mortgage Corp.			4.500%	TBA 30 YR		2,000		2,119,062
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-05/01/34		4,807		5,197,561
Federal Home Loan Mortgage Corp.			5.000%	TBA 30 YR		11,000		11,819,843
Federal Home Loan Mortgage Corp.(c)			5.227%	12/01/35		1,231		1,311,659
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-05/01/38		5,832		6,353,906
Federal Home Loan Mortgage Corp.			5.500%	TBA 30 YR		12,000		13,020,000
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-12/01/33		1,427		1,591,577
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		5,500		6,039,688
Federal Home Loan Mortgage Corp.			6.500%	12/01/14		81		84,167
Federal Home Loan Mortgage Corp.			7.000%	01/01/31-10/01/32		692		795,704
Federal National Mortgage Association(c)			2.016%	07/01/33		507		530,434
Federal National Mortgage Association			3.000%	TBA 15 YR		3,000		3,097,969
Federal National Mortgage Association			3.000%	TBA 15 YR		500		514,766
Federal National Mortgage Association			3.500%	06/01/39		2,352		2,421,518
Federal National Mortgage Association			3.500%	TBA 15 YR		8,000		8,365,000
Federal National Mortgage Association			4.000%	TBA 30 YR		5,000		5,252,344
Federal National Mortgage Association			4.000%	TBA 30 YR		4,500		4,715,156
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		25,602		27,425,561
Federal National Mortgage Association			5.000%	10/01/18-02/01/36		15,142		16,378,122
Federal National Mortgage Association			5.000%	TBA 30 YR		4,500		4,851,562
Federal National Mortgage Association			5.500%	03/01/16-08/01/37		20,732		22,699,491
Federal National Mortgage Association(c)			5.581%	06/01/37		394		420,607
Federal National Mortgage Association			6.000%	04/01/13-05/01/38		16,612		18,421,389
Federal National Mortgage Association			6.000%	TBA 30 YR		2,000		2,202,188
Federal National Mortgage Association			6.500%	07/01/17-09/01/37		6,396		7,209,387
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		440		512,070
Federal National Mortgage Association			7.500%	06/01/12-05/01/32		139		166,305
Government National Mortgage Association			3.500%	TBA 30 YR		5,500		5,724,297
Government National Mortgage Association			4.000%	05/20/41		1,904		2,039,756
Government National Mortgage Association			4.000%	TBA 30 YR		22,000		23,598,436
Government National Mortgage Association			4.000%	TBA 30 YR		4,500		4,812,890
Government National Mortgage Association			4.500%	01/20/41		3,743		4,090,126
Government National Mortgage Association			4.500%	TBA 30 YR		19,500		21,191,014
Government National Mortgage Association			4.500%	TBA 30 YR		2,000		2,179,062
Government National Mortgage Association			5.000%	TBA 30 YR		7,000		7,739,374
Government National Mortgage Association			5.000%	TBA 30 YR		5,500		6,092,970
Government National Mortgage Association			5.500%	11/15/32-02/15/36		6,293		7,108,821
Government National Mortgage Association			6.000%	02/15/33-10/15/34		2,731		3,107,965
Government National Mortgage Association			6.500%	10/15/23-07/15/35		2,877		3,306,642
Government National Mortgage Association			8.000%	01/15/24-04/15/25		79		92,858
TOTAL MORTGAGE-BACKED SECURITIES (cost $303,254,736)								314,613,334

SEE NOTES TO FINANCIAL STATEMENTS.

A76

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

MUNICIPAL BONDS — 0.4%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49	$	1,325	$	1,721,692
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		1,030		1,259,618
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,000		1,199,720
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,070		1,526,109
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,130		1,329,377
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		455		521,862
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		300		339,075
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		445		544,480
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		550		625,251
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		680		883,605
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		1,270		1,513,142
State of California, General Obligation Unlimited, BABs	A1		7.500%	04/01/34		475		568,428
State of California, General Obligation Unlimited, BABs	A1		7.550%	04/01/39		245		299,821
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		215		265,961
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		335		389,990
TOTAL MUNICIPAL BONDS (cost $10,685,018)								12,988,131
NON-CORPORATE FOREIGN AGENCIES — 0.5%
Commonwealth Bank of Australia (Australia), Gov’t. Gtd., 144A	Aaa		2.700%	11/25/14		7,435		7,724,772
Export Development Canada (Canada), Sr. Unsec’d. Notes	Aaa		1.250%	10/26/16		1,830		1,850,741
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		4.000%	01/29/21		515		496,988
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		5.125%	06/29/20		400		418,821
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		1,000		1,078,720
Kreditanstalt Fuer Wiederaufbau (Germany), Gov’t. Gtd. Notes	Aaa		2.375%	08/25/21		880		878,882
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		439,250
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,190		2,187,262
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $14,656,348)								15,075,436
NON-CORPORATE SOVEREIGN
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		315		345,713
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		6.400%	01/20/40		215		252,625
TOTAL NON-CORPORATE SOVEREIGN (cost $565,133)								598,338
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.3%
Federal Home Loan Banks			5.500%	07/15/36		1,080		1,400,876
Federal Home Loan Mortgage Corp.(a)			5.125%	11/17/17		630		758,578
Federal National Mortgage Association(a)			1.375%	11/15/16		1,970		1,987,399
Resolution Funding Corp. Interest Strip, Bonds(i)			1.620%	04/15/18		2,615		2,369,530
Western Corporate Federal Credit Union, Gtd. Notes.			1.750%	11/02/12		2,610		2,642,690
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $8,515,166)								9,159,073
U.S. GOVERNMENT TREASURY OBLIGATIONS — 6.6%
U.S. Treasury Bonds			3.125%	11/15/41		505		529,066
U.S. Treasury Bonds(a)			3.750%	08/15/41		1,920		2,258,100
U.S. Treasury Bonds(j)			4.250%	11/15/40		570		726,928
U.S. Treasury Bonds			4.375%	05/15/40		1,260		1,636,818
U.S. Treasury Bonds			4.375%	05/15/41		3,320		4,325,857

SEE NOTES TO FINANCIAL STATEMENTS.

A77

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

U.S. GOVERNMENT TREASURY OBLIGATIONS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
U.S. Treasury Bonds		4.750%		02/15/41	$	10,465	$	14,422,078
U.S. Treasury Bonds		6.500%		11/15/26		1,670		2,533,704
U.S. Treasury Inflation Indexed Bonds		1.375%		01/15/20		5,822		6,629,323
U.S. Treasury Notes		0.125%		08/31/13		610		608,928
U.S. Treasury Notes(a)		0.250%		12/15/14		4,930		4,913,825
U.S. Treasury Notes		1.875%		09/30/17		6,760		7,067,898
U.S. Treasury Notes		1.875%		10/31/17		6,975		7,292,690
U.S. Treasury Notes(a)		2.000%		11/15/21		5,345		5,405,965
U.S. Treasury Notes		2.250%		11/30/17		11,795		12,583,791
U.S. Treasury Notes		2.750%		02/15/19		7,385		8,088,303
U.S. Treasury Notes		3.000%		09/30/16		6,525		7,193,304
U.S. Treasury Notes		3.250%		12/31/16		4,730		5,281,338
U.S. Treasury Notes		3.250%		03/31/17		7,685		8,604,802
U.S. Treasury Notes		3.500%		02/15/18		6,500		7,410,507
U.S. Treasury Notes		4.250%		11/15/17		7,015		8,285,922
U.S. Treasury Notes		4.625%		11/15/16		7,655		9,040,080
U.S. Treasury Notes		4.750%		08/15/17		2,525		3,040,257
U.S. Treasury Strips Coupon(k)		1.570%		08/15/19		7,740		6,870,024
U.S. Treasury Strips Coupon(k)		2.480%		05/15/24		18,495		13,640,617
U.S. Treasury Strips Coupon(k)		2.510%		08/15/24		6,520		4,756,614
U.S. Treasury Strips Coupon(k)		2.520%		11/15/24		4,590		3,317,611
U.S. Treasury Strips Coupon(k)		2.550%		02/15/25		4,500		3,219,574
U.S. Treasury Strips Coupon(k)		2.610%		08/15/25		1,055		739,850
U.S. Treasury Strips Coupon(k)		2.740%		11/15/23		10,490		7,889,644
U.S. Treasury Strips Coupon(k)		2.780%		02/15/24		10,000		7,448,860
U.S. Treasury Strips Coupon(k)		3.040%		05/15/25		5,000		3,539,575
U.S. Treasury Strips Coupon(k)		3.380%		05/15/27		2,280		1,493,747
U.S. Treasury Strips Coupon(k)		3.450%		11/15/27		9,450		6,073,713
U.S. Treasury Strips Coupon(k)		4.130%		08/15/33		10,730		5,628,175
U.S. Treasury Strips Principal(i)		0.390%		11/15/14		7,500		7,416,405
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $186,201,487)								199,913,893
TOTAL LONG-TERM INVESTMENTS (cost $2,687,023,698)								2,966,972,704
SHORT-TERM INVESTMENTS — 10.6%
U.S. GOVERNMENT TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill(l) (cost $1,599,801)		0.025%		06/28/12		1,600		1,599,528
					Shares
AFFILIATED MUTUAL FUNDS — 10.5%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $144,213,940)(m)						14,599,845		129,354,630
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $190,849,047; includes $121,894,849 of cash collateral received for securities on loan)(m)(n)						190,849,047		190,849,047
TOTAL AFFILIATED MUTUAL FUNDS (cost $335,062,987)								320,203,677
TOTAL SHORT-TERM INVESTMENTS (cost $336,662,788)								321,803,205
TOTAL INVESTMENTS — 108.3% (cost $3,023,686,486)								3,288,775,909
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (8.3)%								(251,974,519	)
NET ASSETS — 100.0%							$	3,036,801,390

SEE NOTES TO FINANCIAL STATEMENTS.

A78

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ABS	Asset-Backed Security
BABs	Build America Bonds
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
I/O	Interest Only
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
NR	Not Rated by Moody’s or Standard & Poor’s
TBA	To Be Announced

# Principal amount is shown in U.S. dollars unless otherwise stated.

† The ratings reflected are as of December 31, 2011. Ratings of certain bonds may have changed subsequent to that date.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $119,082,965; cash collateral of $121,894,849 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Stapled Security — A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2011.

(d) Standard & Poor’s Rating.

(e) Indicates a security that has been deemed illiquid.

(f) Represents issuer in default on interest payments and/or principal repayment; non-income producing security.

(g) Indicates a restricted security; the aggregate original cost of such securities is $5,084,852. The aggregate value of $5,558,845 is approximately 0.2% of net assets.

(h) Represents security, or a portion thereof, segregated as collateral for futures contracts.

(i) Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2011.

(j) Represents security, or a portion thereof, segregated as collateral for swap agreements.

(k) Rate shown reflects the effective yield at December 31, 2011.

(l) Rate quoted represents yield-to-maturity as of purchase date.

(m) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

(n) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(o) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Long Positions:
304	2 Year U.S. Treasury Notes		Mar. 2012	$	67,056,311	$	67,046,250	$	(10,061	)
205	5 Year U.S. Treasury Notes		Mar. 2012		25,173,100		25,267,851		94,751
1	U.S. Ultra Bond		Mar. 2012		160,157		160,187		30
269	S&P 500 E-mini		Mar. 2012		16,532,659		16,847,470		314,811
									399,531
Short Positions:
116	10 Year U.S. Treasury Notes		Mar. 2012		15,172,201		15,210,500		(38,299	)
262	U.S. Long Bond		Mar. 2012		37,578,489		37,940,875		(362,386	)
									(400,685	)
								$	(1,154	)

SEE NOTES TO FINANCIAL STATEMENTS.

A79

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Interest rate swap agreements outstanding at December 31, 2011:

Counterparty	Termination Date		Notional Amount (000)#		Fixed Rate		Floating Rate	Fair Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Over-the-Counter Swap Agreements:
Morgan Stanley Capital Services		11/01/14	$	3,285		0.784%	3 month LIBOR(2)	$	(556	)	$	—	$	(556	)
Barclays Bank PLC		05/31/16		6,455		1.175%	3 month LIBOR(1)		13,112			—		13,112
Barclays Bank PLC		05/31/16		6,455		1.180%	3 month LIBOR(1)		14,267			—		14,267
Barclays Bank PLC		05/31/16		1,605		1.220%	3 month LIBOR(1)		6,197			—		6,197
Deutsche Bank AG		09/14/16		3,300		1.206%	3 month LIBOR(2)		(18,061	)		—		(18,061	)
Citibank, NA		07/20/21		6,335		3.035%	3 month LIBOR(1)		671,380			—		671,380
Citibank, NA		11/23/21		5,570		2.148%	3 month LIBOR(2)		(73,191	)		—		(73,191	)
								$	613,148		$	—	$	613,148

(1) Portfolio pays the floating rate and receives the fixed rate.

(2) Portfolio pays the fixed rate and receives the floating rate.

# Notional amount is shown in U.S. dollars unless otherwise stated.

Credit default swap agreements outstanding at December 31, 2011:

Counterparty	Termination Date		Notional Amount (000)#(2)		Fixed Rate		Reference Entity/Obligation	Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Over-the-Counter Credit Default Swaps—Buy Protection(1):
JPMorgan Chase Bank		06/20/14	$	1,150		0.650%	Bunge Ltd. Finance Corp.	$	21,321		$	—		$	21,321
Deutsche Bank AG		03/20/12		2,000		5.000%	Gannett Co., Inc.		(21,836	)		(6,671	)		(15,165	)
Morgan Stanley Capital Services, Inc.		03/20/12		500		5.000%	Gannett Co., Inc.		(5,459	)		(1,720	)		(3,739	)
Deutsche Bank AG		12/20/12		2,000		1.000%	Macy’s Retail Holdings, Inc.		(11,444	)		23,182			(34,626	)
Morgan Stanley Capital Services, Inc.		06/20/18		1,700		1.000%	Newell Rubbermaid, Inc.		52,330			—			52,330
Morgan Stanley Capital Services, Inc.		06/20/18		2,800		0.970%	Simon Property Group L.P.		81,118			—			81,118
Deutsche Bank AG		06/20/18		2,200		1.150%	Spectra Energy Capital LLC		48,011			—			48,011
Merrill Lynch Capital Services, Inc.		06/20/18		500		1.130%	Spectra Energy Capital LLC		11,508			—			11,508
Deutsche Bank AG		03/20/14		1,645		7.050%	Starwood Hotels & Resorts Worldwide		(215,434	)		—			(215,434	)
Merrill Lynch Capital Services, Inc.		06/20/18		2,800		1.450%	Starwood Hotels & Resorts Worldwide, Inc.		70,865			—			70,865
								$	30,980		$	14,791		$	16,189

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

# Notional amount is shown in U.S. dollars unless otherwise stated.

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A80

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	1,967,689,117		$	—	$	—
Exchange Traded Fund		529,971
Preferred Stocks		1,616,162			—		—
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—			23,072,946		475,000
Residential Mortgage-Backed Securities		—			7,250,187		—
Bank Loans		—			5,603,672		—
Collateralized Mortgage Obligations		—			7,246,148		—
Commercial Mortgage-Backed Securities		—			129,334,107		—
Corporate Bonds		—			271,807,189		—
Mortgage-Backed Securities		—			314,613,334		—
Municipal Bonds		—			12,988,131		—
Non-Corporate Foreign Agencies		—			15,075,436		—
Non-Corporate Sovereign		—			598,338		—
U.S. Government Agency Obligations		—			9,159,073		—
U.S. Government Treasury Obligations		—			201,513,421		—
Affiliated Mutual Funds		320,203,677			—		—
Other Financial Instruments*
Futures Contracts		(1,154	)		—		—
Interest Rate Swap Agreements		—			613,148		—
Credit Default Swap Agreements		—			16,189		—
Total	$	2,290,037,773		$	998,891,319	$	475,000

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 was as follows:

Affiliated Mutual Funds (including 4.0% of collateral received for securities on loan)	10.5	%
Mortgage-Backed Securities	10.4
Oil, Gas & Consumable Fuels	7.2
U.S. Government Treasury Obligations	6.7
Commercial Mortgage-Backed Securities	4.3
Pharmaceuticals	3.6
Computers & Peripherals	3.2
Banking	2.9
Software	2.7
Insurance	2.6
IT Services	2.5
Commercial Banks	2.3
Diversified Telecommunication Services	2.1
Food & Staples Retailing	1.9
Communications Equipment	1.8
Machinery	1.8
Media	1.8
Beverages	1.7
Diversified Financial Services	1.6
Healthcare Providers & Services	1.6
Aerospace & Defense	1.5
Specialty Retail	1.5
Capital Markets	1.4
Food Products	1.4
Healthcare Equipment & Supplies	1.3
Chemicals	1.2
Industrial Conglomerates	1.2

Biotechnology	1.1	%
Road & Rail	1.1
Semiconductors & Semiconductor Equipment	1.1
Energy Equipment & Services	1.0
Household Products	1.0
Metals & Mining	1.0
Tobacco	1.0
Electric Utilities	0.9
Internet Software & Services	0.9
Hotels, Restaurants & Leisure	0.8
Non-Residential Mortgage-Backed Securities	0.8
Real Estate Investment Trusts	0.8
Automobiles	0.6
Electric	0.6
Electrical Equipment	0.6
Multi-Utilities	0.6
Life Sciences Tools & Services	0.5
Non-Corporate Foreign Agencies	0.5
Telecommunications	0.5
Textiles, Apparel & Luxury Goods	0.5
Air Freight & Logistics	0.4
Electronic Equipment, Instruments & Components	0.4
Foods	0.4
Independent Power Producers & Energy Traders	0.4
Municipal Bonds	0.4
Non-Captive Finance	0.4
Consumer Finance	0.3
Distributors	0.3
Energy – Other	0.3

SEE NOTES TO FINANCIAL STATEMENTS.

A81

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Healthcare & Pharmaceutical	0.3	%
Healthcare Insurance	0.3
Household Durables	0.3
Media & Entertainment	0.3
Multiline Retail	0.3
Personal Products	0.3
Technology	0.3
U.S. Government Agency Obligations	0.3
Airlines	0.2
Auto Components	0.2
Cable	0.2
Collateralized Mortgage Obligations	0.2
Containers & Packaging	0.2
Internet & Catalog Retail	0.2
Leisure Equipment & Products	0.2
Lodging	0.2
Metals	0.2
Office Electronics	0.2
Pipelines & Other	0.2

Residential Mortgage-Backed Securities	0.2	%
Retailers	0.2
Water Utilities	0.2
Building Products	0.1
Capital Goods	0.1
Construction & Engineering	0.1
Consumer	0.1
Diversified Consumer Services	0.1
Energy – Integrated	0.1
Paper	0.1
Professional Services	0.1
Railroads	0.1
Real Estate Management & Development	0.1
Trading Companies & Distributors	0.1
Wireless Telecommunication Services	0.1
	108.3
Liabilities in excess of other assets	(8.3	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premium paid for swap agreements	$	23,182		Premium received for swap agreements	$	8,391
Credit contracts	Unrealized appreciation on swap agreements		285,153		Unrealized depreciation on swap agreements		268,964
Interest rate contracts	Unrealized appreciation on swap agreements		704,956		Unrealized depreciation on swap agreements		91,808
Equity contracts	Due to broker — variation margin		314,811	*	—		—
Interest rate contracts	Due to broker — variation margin		94,781	*	Due to broker — variation margin		410,746	*
Total		$	1,422,883			$	779,909

* Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures		Swaps			Rights		Total
Credit contracts	$	—	$	(58,151	)	$	—	$	(58,151	)
Equity contracts		6,526,248		—			9,676		6,535,924
Interest rate contracts		1,170,844		840,476			—		2,011,320
Total	$	7,697,092	$	782,325		$	9,676	$	8,489,093

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Swaps		Total
Credit contracts	$	—		$	405,233	$	405,233
Equity contracts		(432,789	)		—		(432,789	)
Interest rate contracts		(2,341,562	)		613,148		(1,728,414	)
Total	$	(2,774,351	)	$	1,018,381	$	(1,755,970	)

SEE NOTES TO FINANCIAL STATEMENTS.

A82

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities is as follows:

Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$202,131,587	$86,517,452

Interest Rate Swaps (Notional Amount in USD (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))
$27,719	$23,702

SEE NOTES TO FINANCIAL STATEMENTS.

A83

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $119,082,965:
Unaffiliated investments (cost $2,688,623,499)	$	2,968,572,232
Affiliated investments (cost $335,062,987)		320,203,677
Cash		120,788
Foreign currency, at value (cost $93,163)		93,088
Receivable for investments sold		60,802,601
Dividends and interest receivable		9,374,757
Unrealized appreciation on swap agreements		990,109
Foreign tax reclaim receivable		25,606
Premium paid for swap agreements		23,182
Prepaid expenses		18,808
Receivable for Series shares sold		1,514
Total Assets		3,360,226,362
LIABILITIES
Payable for investments purchased		198,771,855
Collateral for securities on loan		121,894,849
Management fee payable		1,538,487
Payable for Series shares repurchased		372,874
Unrealized depreciation on swap agreements		360,772
Accrued expenses and other liabilities		342,491
Due to broker—variation margin		134,327
Premium received for swap agreements		8,391
Affiliated transfer agent fee payable		926
Total Liabilities		323,424,972
NET ASSETS	$	3,036,801,390
Net assets were comprised of:
Paid-in capital	$	2,925,314,753
Retained earnings		111,486,637
Net assets, December 31, 2011	$	3,036,801,390
Net asset value and redemption price per share, $3,036,801,390 / 189,970,031 outstanding shares of beneficial interest	$	15.99

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $115,211)	$	42,076,259
Interest		36,812,500
Affiliated dividend income		2,231,464
Affiliated income from securities loaned, net		177,258
		81,297,481
EXPENSES
Management fee		18,493,636
Custodian’s fees and expenses		410,000
Shareholders’ reports		290,000
Trustees’ fees		39,000
Insurance expenses		37,000
Audit fee		36,000
Legal fees and expenses		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Commitment fee on syndicated credit agreement		10,000
Miscellaneous		56,690
Total expenses		19,396,326
NET INVESTMENT INCOME		61,901,155
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions (including affiliated: $(2,057,740))		194,355,716
Futures transactions		7,697,092
Swap agreement transactions		782,325
Foreign currency transactions		27,065
		202,862,198
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $51,883)		(133,376,770	)
Futures		(2,774,351	)
Swap agreements		1,018,381
Foreign currencies		(48,734	)
		(135,181,474	)
NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		67,680,724
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	129,581,879

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	61,901,155		$	60,267,161
Net realized gain on investment, swap agreement and foreign currency transactions		202,862,198			164,747,735
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies		(135,181,474	)		111,985,470
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		129,581,879			337,000,366
DISTRIBUTIONS		(60,257,696	)		(65,760,146	)
SERIES SHARE TRANSACTIONS:
Series shares sold [664,274 and 965,601 shares, respectively]		10,513,628			14,188,409
Series shares issued in reinvestment of distributions [3,811,366 and 4,680,438 shares, respectively]		60,257,696			65,760,146
Series shares repurchased [11,331,831 and 12,309,724 shares, respectively]		(180,636,555	)		(179,839,115	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(109,865,231	)		(99,890,560	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(40,541,048	)		171,349,660
NET ASSETS:
Beginning of year		3,077,342,438			2,905,992,778
End of year	$	3,036,801,390		$	3,077,342,438

SEE NOTES TO FINANCIAL STATEMENTS.

A84

	GLOBAL PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 97.1%
COMMON STOCKS — 96.8%	Shares		Value (Note 2)
Australia — 2.4%
Bendigo and Adelaide Bank Ltd.		103,400	$	849,231
BHP Billiton PLC		122,408		3,569,093
BlueScope Steel Ltd.		218,400		90,469
Caltex Australia Ltd.		34,900		420,138
Challenger Ltd.		204,700		864,685
Downer EDI Ltd.*		214,250		701,231
Goodman Fielder Ltd.		628,858		279,790
Metcash Ltd.		175,000		723,118
National Australia Bank Ltd.		62,400		1,490,896
OneSteel Ltd.		447,200		320,177
Pacific Brands Ltd.		460,600		259,105
Qantas Airways Ltd.*		419,500		626,433
Rio Tinto Ltd.		13,100		807,939
TABCORP Holdings Ltd.		99,800		278,666
Telstra Corp. Ltd.		282,900		963,534
Westpac Banking Corp.		55,600		1,137,352
				13,381,857
Austria — 0.3%
OMV AG		32,300		979,890
Voestalpine AG		14,500		406,672
				1,386,562
Belgium — 0.2%
AGFA-Gevaert NV*		86,100		137,065
Delhaize Group SA		18,200		1,022,418
				1,159,483
Brazil — 0.6%
Petroleo Brasileiro SA		267,200		3,294,786
Canada — 0.8%
Brookfield Asset Management, Inc. (Class A Stock)		93,105		2,558,525
Canadian Pacific Railway Ltd.		24,400		1,651,148
Lululemon Athletica, Inc.*(a)		11,244		524,645
				4,734,318
China — 1.2%
Baidu, Inc., ADR*		39,408		4,589,850
Industrial & Commercial Bank of China (Class H Stock)		2,469,000		1,465,518
Youku, Inc., ADR*(a)		39,903		625,280
				6,680,648
Denmark — 0.7%
H Lundbeck A/S		49,400		928,943
Novo Nordisk A/S (Class B Stock)		26,751		3,074,132
				4,003,075
Finland — 0.2%
Nokia OYJ		83,800		409,103
Tieto OYJ		56,200		800,104
				1,209,207
France — 5.0%
Arkema SA		18,857		1,334,987
AXA SA		47,100		612,334
BNP Paribas SA		117,864		4,629,745
CIE de Saint-Gobain		40,591		1,558,444

COMMON STOCKS
(continued)	Shares		Value (Note 2)
France (continued)
CIE Generale des Etablissements Michelin (Class B Stock)		24,312	$	1,437,197
CIE Generale d’Optique Essilor International SA		32,411		2,288,255
Ciments Francais SA		5,200		402,459
Credit Agricole SA		105,684		596,366
Dassault Systemes SA		26,596		2,131,742
France Telecom SA		31,800		499,441
Rallye SA		10,700		299,196
Renault SA		12,300		426,635
Sanofi		41,490		3,047,379
SCOR SE		22,000		514,230
Societe Generale		14,658		326,397
Thales SA		14,269		450,610
Total SA		43,500		2,223,840
Total SA, ADR(a)		52,400		2,678,164
Valeo SA		17,300		687,611
Vivendi SA		86,100		1,885,475
				28,030,507
Germany — 4.7%
Allianz SE		12,600		1,205,288
Aurubis AG		6,200		330,602
BASF SE		14,400		1,004,356
Bayer AG		80,535		5,149,070
Bayerische Motoren Werke AG		41,376		2,771,788
Brenntag AG		14,105		1,313,473
Daimler AG		16,000		702,414
Deutsche Bank AG		26,100		994,310
E.ON AG		26,300		567,425
Fresenius Medical Care AG & Co. KGaA		41,668		2,831,256
Hannover Rueckversicherung AG		11,800		585,304
Merck KGaA		13,600		1,355,863
Metro AG		21,300		777,402
Muenchener Rueckversicherungs AG		7,200		883,215
Rheinmetall AG		13,300		589,304
RWE AG		21,600		758,998
SAP AG		71,681		3,789,774
ThyssenKrupp AG		36,700		841,917
				26,451,759
Greece
Alpha Bank AE*		15,700		10,932
Hong Kong — 1.3%
Cathay Pacific Airways Ltd.		440,000		754,616
Chaoda Modern Agriculture Holdings Ltd.		966,070		1,244
First Pacific Co. Ltd.		1,227,000		1,276,512
Hutchison Port Holdings Trust (Class U Stock)		2,393,000		1,483,660
Jardine Cycle & Carriage Ltd.		47,000		1,743,680
Kingboard Chemical Holdings Ltd.		180,000		533,052
Li & Fung Ltd.		612,000		1,133,129
Singamas Container Holdings Ltd.		2,676,000		506,492
				7,432,385

SEE NOTES TO FINANCIAL STATEMENTS.

A85

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Indonesia — 0.3%
Bank Rakyat Indonesia Persero Tbk PT		2,555,000	$	1,901,985
Ireland — 0.6%
Accenture PLC (Class A Stock)		67,800		3,608,994
Allied Irish Banks PLC*		42,100		3,760
Bank of Ireland (Governor & Co.)*		83,300		8,840
Irish Life & Permanent Group Holdings PLC*		51,300		1,593
				3,623,187
Israel — 0.8%
Bank Hapoalim BM		176,900		576,515
Check Point Software Technologies Ltd.*(a)		59,054		3,102,697
Elbit Systems Ltd.		11,400		468,145
Teva Pharmaceutical Industries Ltd.		12,500		503,149
				4,650,506
Italy — 0.8%
Banco Popolare SC		38,200		49,440
Enel SpA		323,000		1,314,323
ENI SpA		88,000		1,823,439
Finmeccanica SpA		43,100		159,425
Fondiaria-Sai SpA*		19,900		15,968
Telecom Italia SpA		796,300		856,436
				4,219,031
Japan — 6.5%
Alpine Electronics, Inc.		22,700		244,489
Aoyama Trading Co. Ltd.		52,100		978,779
Circle K Sunkus Co. Ltd.		46,900		776,894
COMSYS Holdings Corp.		72,800		764,225
Daito Trust Construction Co. Ltd.		13,500		1,157,594
Fast Retailing Co. Ltd.		15,200		2,764,714
Fukuoka Financial Group, Inc.		158,000		663,038
Hitachi Capital Corp.		49,400		684,810
ITOCHU Corp.		87,400		887,967
Itochu Techno-Solutions Corp.		12,500		561,095
JX Holdings, Inc.		101,400		612,589
KDDI Corp.		230		1,479,148
Keihin Corp.		44,800		742,689
K’s Holdings Corp.		19,700		780,629
Kurabo Industries Ltd.		173,100		328,343
Kyowa Exeo Corp.		81,900		771,437
Marubeni Corp.		176,000		1,072,418
Mitsubishi Corp.		34,500		696,992
Mitsubishi UFJ Financial Group, Inc.		140,200		595,627
Mitsui & Co. Ltd.		56,300		875,550
Mizuho Financial Group, Inc.		801,800		1,083,373
Nichii Gakkan Co.		3,200		39,039
Nichirei Corp.		83,000		402,222
Nippon Electric Glass Co. Ltd.		54,000		534,598
Nippon Shokubai Co. Ltd.		68,000		730,622
Nippon Telegraph & Telephone Corp.		37,000		1,891,581
Nissan Shatai Co. Ltd.		90,000		874,627
NTT DoCoMo, Inc.		900		1,654,541
ORIX Corp.		30,420		2,513,592
Sankyu, Inc.		210,000		793,946
Seino Holdings Corp.		65,000		504,157

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Shimachu Co. Ltd.		30,700	$	703,982
Softbank Corp.		53,300		1,569,847
Sumitomo Corp.		126,900		1,717,939
Sumitomo Mitsui Financial Group, Inc.		59,300		1,651,802
Sumitomo Mitsui Trust Holdings, Inc.		64,070		188,123
Toagosei Co. Ltd.		147,000		603,508
Toyo Suisan Kaisha Ltd.		15,000		363,453
Toyota Tsusho Corp.		34,300		606,500
Yokohama Rubber Co. Ltd. (The)		100,000		561,258
				36,427,737
Liechtenstein
Verwaltungs-und Privat-Bank AG		2,578		227,802
Netherlands — 2.1%
Aegon NV*		56,800		227,965
ASM Pacific Technology Ltd.		203,700		2,285,743
ASML Holding NV		58,200		2,446,185
ING Groep NV CVA*		119,400		859,204
Koninklijke Ahold NV		85,400		1,150,051
Koninklijke DSM NV		20,400		946,535
Koninklijke KPN NV		82,600		988,335
Unilever NV CVA		86,345		2,969,244
				11,873,262
New Zealand
Air New Zealand Ltd.		737,900		516,942
Norway — 0.3%
DnB ASA		54,100		529,616
Statoil ASA		45,100		1,157,503
				1,687,119
Peru — 0.4%
Credicorp Ltd.		21,000		2,298,870
Portugal
Banco Espirito Santo SA		43,600		76,179
Singapore — 0.1%
CapitaMalls Asia Ltd.		378,000		329,317
South Africa — 0.2%
Truworths International Ltd.		147,200		1,346,628
South Korea — 0.9%
Samsung Electronics Co. Ltd.		5,276		4,845,493
Spain — 1.0%
Banco Bilbao Vizcaya Argentaria SA		60,800		525,651
Banco Espanol de Credito SA		79,800		384,721
Banco Santander Chile, ADR(a)		15,611		1,181,753
Banco Santander SA		186,100		1,413,845
Repsol YPF SA		57,200		1,757,124
Telefonica SA		25,100		434,820
				5,697,914
Sweden — 0.8%
Atlas Copco AB (Class A Stock)		112,841		2,426,670
Boliden AB		91,200		1,331,812
Electrolux AB (Class B Stock)		25,100		400,094
NCC AB (Class B Stock)		15,700		276,037
				4,434,613

SEE NOTES TO FINANCIAL STATEMENTS.

A86

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland — 4.5%
Baloise Holding AG		13,000	$	891,302
CIE Financiere Richemont SA		38,454		1,945,012
CIE Financiere Richemont SA, ADR		619,111		3,107,937
Clariant AG*		42,200		416,474
Credit Suisse Group AG*		36,700		862,311
Georg Fischer AG*		2,000		683,488
Glencore International PLC		395,914		2,410,211
Julius Baer Group Ltd.		56,849		2,223,605
Kuehne + Nagel International AG		10,762		1,208,763
Novartis AG		28,700		1,640,786
Partners Group Holding AG		11,595		2,023,231
Roche Holding AG		10,000		1,694,879
Sika AG		366		689,684
Swiss Re AG*		19,300		983,595
Syngenta AG		10,096		2,955,818
UBS AG*		32,000		380,879
Zurich Financial Services AG		6,700		1,515,756
				25,633,731
United Kingdom — 13.5%
AMEC PLC		122,127		1,721,180
AstraZeneca PLC		55,900		2,582,658
Aviva PLC		144,400		674,548
Babcock International Group PLC		159,884		1,826,231
BAE Systems PLC		256,400		1,135,229
Barclays PLC		332,700		909,614
Beazley PLC		286,700		597,960
Berendsen PLC		24,300		164,234
Berkeley Group Holdings PLC*		76,699		1,519,877
BG Group PLC		109,722		2,345,514
BP PLC		288,000		2,059,635
British American Tobacco PLC		77,341		3,669,950
British Sky Broadcasting Group PLC		157,176		1,787,977
BT Group PLC		602,100		1,785,018
Burberry Group PLC		93,972		1,729,358
Cable & Wireless Communications PLC		28,000		16,611
Centrica PLC		512,815		2,303,972
Compass Group PLC		346,240		3,285,387
Cookson Group PLC		104,200		823,671
Drax Group PLC		63,400		536,604
DS Smith PLC		199,700		614,061
GlaxoSmithKline PLC		48,600		1,110,618
Home Retail Group PLC		259,200		335,714
J Sainsbury PLC		204,700		962,909
Johnson Matthey PLC		85,034		2,424,562
Kesa Electricals PLC		365,500		382,006
Legal & General Group PLC		483,800		772,373
Logica PLC*		583,800		559,393
Marks & Spencer Group PLC		182,600		881,920
Marston’s PLC		339,130		483,215
Mondi PLC		105,500		745,473
Next PLC		48,519		2,062,314
Old Mutual PLC		411,400		865,708
Pearson PLC		157,307		2,955,980
Petrofac Ltd.		122,762		2,747,236
Premier Foods PLC*		1,525,600		137,653
Prudential PLC		394,113		3,907,957

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
Rexam PLC		125,100	$	685,415
Rolls-Royce Holdings PLC*		301,026		3,489,811
Royal Bank of Scotland Group PLC*		263,527		82,587
Royal Dutch Shell PLC (Class B Stock)		122,300		4,660,893
Royal Dutch Shell PLC, ADR(a)		32,950		2,408,316
RSA Insurance Group PLC		300,200		490,450
SSE PLC		136,003		2,726,734
Standard Chartered PLC		136,419		2,985,066
Thomas Cook Group PLC		164,000		37,567
Tullow Oil PLC		94,229		2,051,638
Vodafone Group PLC		411,600		1,143,546
WM Morrison Supermarkets PLC		320,700		1,624,617
				75,810,960
United States — 46.6%
3M Co.		31,600		2,582,668
Allergan, Inc.		27,613		2,422,765
Allstate Corp. (The)		50,800		1,392,428
AMC Networks, Inc. (Class A Stock)*		10,700		402,106
American Express Co.		38,650		1,823,121
Ameriprise Financial, Inc.		18,000		893,520
Amgen, Inc.		25,300		1,624,513
Apple, Inc.*		16,019		6,487,695
AT&T, Inc.		114,100		3,450,384
AutoZone, Inc.*		1,860		604,444
Avon Products, Inc.		59,300		1,035,971
Baker Hughes, Inc.		38,100		1,853,184
Bank of America Corp.		273,400		1,520,104
Beam, Inc.		13,650		699,290
Biogen Idec, Inc.*		35,717		3,930,656
Boeing Co. (The)		12,450		913,207
Bristol-Myers Squibb Co.		73,598		2,593,593
Cablevision Systems Corp. (Class A Stock)		37,900		538,938
Chevron Corp.		48,300		5,139,120
Cisco Systems, Inc.		94,800		1,713,984
Coach, Inc.		46,789		2,856,001
Cognizant Technology Solutions Corp. (Class A Stock)*		3,611		232,223
Comcast Corp. (Class A Stock)		46,600		1,104,886
Continental Resources, Inc.*(a)		8,794		586,648
Covidien PLC		36,600		1,647,366
Cummins, Inc.		28,191		2,481,372
Danaher Corp.		59,910		2,818,166
Deckers Outdoor Corp.*		7,179		542,517
Dell, Inc.*		73,400		1,073,842
Dollar Tree, Inc.*		9,623		799,768
Dow Chemical Co. (The)		63,599		1,829,107
Eaton Corp.		57,110		2,485,998
Entergy Corp.		27,650		2,019,833
EQT Corp.		10,550		578,034
Estee Lauder Cos., Inc. (The) (Class A Stock)		33,011		3,707,796
Exelon Corp.		57,600		2,498,112
Exxon Mobil Corp.		51,300		4,348,188
Fifth Third Bancorp		91,800		1,167,696
General Electric Co.		161,100		2,885,301

SEE NOTES TO FINANCIAL STATEMENTS.

A87

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
General Motors Co.*(a)		78,100	$	1,583,087
Goldman Sachs Group, Inc. (The)		6,450		583,273
Google, Inc. (Class A Stock)*		6,701		4,328,176
H&R Block, Inc.		69,000		1,126,770
Halliburton Co.		125,322		4,324,862
Hewlett-Packard Co.		26,500		682,640
Home Depot, Inc. (The)		61,800		2,598,072
Honeywell International, Inc.		23,900		1,298,965
Illinois Tool Works, Inc.		46,400		2,167,344
Ingersoll-Rand PLC(a)		24,600		749,562
International Business Machines Corp.		14,125		2,597,305
International Paper Co.		67,800		2,006,880
Johnson & Johnson		43,150		2,829,777
JPMorgan Chase & Co.		109,100		3,627,575
Kellogg Co.(a)		25,700		1,299,649
KeyCorp		151,700		1,166,573
Kimberly-Clark Corp.		13,400		985,704
Kohl’s Corp.		27,400		1,352,190
Liberty Media Corp.—Liberty Starz, Ser. A (Class A Stock)*		7,358		574,292
Lockheed Martin Corp.(a)		9,200		744,280
Lowe’s Cos., Inc.(a)		74,800		1,898,424
Madison Square Garden, Inc. (Class A Stock)*		13,500		386,640
Marsh & McLennan Cos., Inc.		82,500		2,608,650
McDonald’s Corp.		49,352		4,951,486
Mead Johnson Nutrition Co.		65,807		4,522,915
Merck & Co., Inc.		91,800		3,460,860
MetLife, Inc.		22,600		704,668
Microsoft Corp.		132,500		3,439,700
Monsanto Co.		61,925		4,339,085
Morgan Stanley		141,100		2,134,843
Murphy Oil Corp.		38,650		2,154,351
National Oilwell Varco, Inc.		47,352		3,219,463
Newfield Exploration Co.*		25,800		973,434
NIKE, Inc. (Class B Stock)		50,954		4,910,437
NiSource, Inc.		26,900		640,489
NRG Energy, Inc.*		76,700		1,389,804
Nucor Corp.		18,200		720,174
Occidental Petroleum Corp.		49,179		4,608,072
O’Reilly Automotive, Inc.*		31,316		2,503,714
PepsiCo, Inc.		18,550		1,230,792
Pfizer, Inc.		183,400		3,968,776
PPG Industries, Inc.		18,971		1,583,889
Praxair, Inc.		47,158		5,041,190
Precision Castparts Corp.		21,628		3,564,078
priceline.com, Inc.*		10,046		4,698,614
Procter & Gamble Co. (The)		26,750		1,784,492
QUALCOMM, Inc.		54,720		2,993,184
Raytheon Co.		26,550		1,284,489
Rockwell Automation, Inc.(a)		20,547		1,507,533
Schlumberger Ltd.		9,450		645,530
SLM Corp.		75,600		1,013,040
Sotheby’s		8,730		249,067
Southwest Airlines Co.		226,500		1,938,840
Spectra Energy Corp.		82,200		2,527,650

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Sprint Nextel Corp.*		263,500	$	616,590
St Joe Co. (The)*(a)		45,500		667,030
Starbucks Corp.		118,344		5,445,007
State Street Corp.		33,300		1,342,323
TE Connectivity Ltd.		34,500		1,062,945
Thermo Fisher Scientific, Inc.*		28,450		1,279,396
Tiffany & Co.		12,342		817,781
Time Warner, Inc.(a)		219,686		7,939,452
Time Warner Cable, Inc.		34,950		2,221,772
TJX Cos., Inc.		112,242		7,245,221
U.S. Bancorp		173,888		4,703,670
Union Pacific Corp.		70,701		7,490,064
United States Steel Corp.(a)		14,700		388,962
Visa, Inc. (Class A Stock)		46,501		4,721,247
Vulcan Materials Co.(a)		40,000		1,574,000
Wal-Mart Stores, Inc.		27,700		1,655,352
Wells Fargo & Co.		108,896		3,001,174
Western Union Co. (The)		96,100		1,754,786
Weyerhaeuser Co.		100,700		1,880,069
Wynn Resorts Ltd.		39,849		4,402,916
Yum! Brands, Inc.		82,484		4,867,381
				262,587,032
TOTAL COMMON STOCKS (cost $539,731,617)				545,963,827
PREFERRED STOCK — 0.3%
United States
Wells Fargo & Co. (cost $1,510,954)		63,000		1,791,090
TOTAL LONG-TERM INVESTMENTS (cost $541,242,571)				547,754,917
SHORT-TERM INVESTMENTS — 8.1%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $45,663,701; includes $27,538,119 of cash collateral received for securities on loan) (Note 4)(b)(c)		45,663,701		45,663,701
	Principal Amount (000)
U.S. Government Obligation
U.S. Treasury Bill, 0.077%, 08/23/12 (cost $149,925)(d)	$	150		149,932
TOTAL SHORT-TERM INVESTMENTS (cost $45,813,626)				45,813,633
TOTAL INVESTMENTS — 105.2% (cost $587,056,197)				593,568,550
LIABILITIES IN EXCESS OF OTHER ASSETS(e) — (5.2)%				(29,390,127	)
NET ASSETS — 100.0%			$	564,178,423

SEE NOTES TO FINANCIAL STATEMENTS.

A88

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The following abbreviations are used in portfolio descriptions:

ADR	American Depositary Receipt
CVA	Certificate Van Aandelen (Bearer)
JPY	Japanese Yen

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $26,693,249; cash collateral of $27,538,119 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

(d) Rate quoted represents yield-to-maturity as of purchase date.

(e) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at the reporting period end:

Forward foreign currency contracts outstanding at December 31, 2011:

Purchase Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date Payable		Value at December 31, 2011		Unrealized Appreciation
Japanese Yen expiring 03/22/12		Bank of New York		JPY	41,808	$	543,759	$	544,008	$	249
Japanese Yen expiring 03/22/12		Bank of New York		JPY	37,662		482,784		490,060		7,276
						$	1,026,543	$	1,034,068	$	7,525
Sale Contract	Counterparty		Notional Amount (000)			Value at Settlement Date Receivable		Value at December 31, 2011		Unrealized Depreciation
Japanese Yen expiring 03/22/12		Bank of New York		JPY	310,463	$	3,998,802	$	4,039,763	$	(40,961	)
										$	(33,436	)

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

Level 1—quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	13,381,857	$	—	$	—
Austria		1,386,562		—		—
Belgium		1,159,483		—		—
Brazil		3,294,786		—		—
Canada		4,734,318		—		—
China		6,680,648		—		—
Denmark		4,003,075		—		—
Finland		1,209,207		—		—
France		28,030,507		—		—
Germany		26,451,759		—		—
Greece		10,932		—		—
Hong Kong		7,431,141		—		1,244
Indonesia		1,901,985		—		—
Ireland		3,623,187		—		—
Israel		4,650,506		—		—
Italy		4,219,031		—		—
Japan		36,427,737		—		—
Liechtenstein		227,802		—		—
Netherlands		11,873,262		—		—
New Zealand		516,942		—		—
Norway		1,687,119		—		—
Peru		2,298,870		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A89

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

	Level 1		Level 2			Level 3
Portugal	$	76,179	$	—		$	—
Singapore		329,317		—			—
South Africa		1,346,628		—			—
South Korea		4,845,493		—			—
Spain		5,697,914		—			—
Sweden		4,434,613		—			—
Switzerland		25,633,731		—			—
United Kingdom		75,810,960		—			—
United States		262,587,032		—			—
Preferred Stock
United States		1,791,090		—			—
U.S. Government Obligation		—		149,932			—
Affiliated Money Market Mutual Fund		45,663,701		—			—
Other Financial Instruments*
Forward Foreign Currency Contracts		—		(33,436	)		—
Total	$	593,417,374	$	116,496		$	1,244

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 was as follows:

Oil, Gas & Consumable Fuels	8.7	%
Affiliated Money Market Mutual Fund (including 4.9% of collateral received for securities on loan)	8.1
Commercial Banks	7.0
Pharmaceuticals	6.4
Chemicals	4.2
Hotels, Restaurants & Leisure	4.2
Specialty Retail	4.0
Insurance	3.4
Media	3.2
Textiles, Apparel & Luxury Goods	2.8
Energy Equipment & Services	2.6
IT Services	2.6
Aerospace & Defense	2.4
Diversified Telecommunication	2.3
Software	2.2
Capital Markets	2.1
Machinery	2.0
Metals & Mining	2.0
Diversified Financial Services	1.9
Road & Rail	1.9
Food Products	1.8
Industrial Conglomerates	1.7
Internet Software & Services	1.7
Semiconductors & Semiconductor Equipment	1.7
Electric Utilities	1.6
Food & Staples Retailing	1.6
Computers & Peripherals	1.5
Trading Companies & Distributors	1.3
Wireless Telecommunication Services	1.1
Automobiles	1.0
Biotechnology	1.0
Communications Equipment	0.9

Internet & Catalog Retail	0.9	%
Multiline Retail	0.9
Auto Components	0.8
Personal Products	0.8
Real Estate Management & Development	0.8
Airlines	0.7
Healthcare Equipment & Supplies	0.7
Multi-Utilities	0.7
Tobacco	0.7
Consumer Finance	0.6
Distributors	0.6
Commercial Services & Supplies	0.5
Healthcare Providers & Services	0.5
Household Products	0.5
Paper & Forest Products	0.5
Construction Materials	0.4
Electronic Equipment & Instruments	0.4
Household Durables	0.4
Beverages	0.3
Building Products	0.3
Construction & Engineering	0.3
Electrical Equipment	0.3
Independent Power Producers & Energy Traders	0.3
Real Estate Investment Trusts	0.3
Transportation Infrastructure	0.3
Containers & Packaging	0.2
Diversified Consumer Services	0.2
Life Sciences Tools & Services	0.2
Marine	0.2
	105.2
Liabilities in excess of other assets	(5.2	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A90

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments are equity risk and foreign exchange risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Foreign exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	7,525	Unrealized depreciation on forward foreign currency exchange contracts	$	40,961

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights			Forward Currency Contracts			Futures			Total
Equity contracts	$	(270,750	)	$	—		$	(41,519	)	$	(312,269	)
Foreign exchange contracts		—			(854,350	)		—			(854,350	)
Total	$	(270,750	)	$	(854,350	)	$	(41,519	)	$	(1,166,619	)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Forward Currency Contracts
Foreign exchange contracts	$	(33,436	)

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities are as follows:

Forward Currency Contracts—Purchased (Value at Settlement Date Payable)	Forward Currency Contracts—Sold (Value at Settlement Date Receivable)	Futures Long Position (Value at Trade Date)
$2,525,966	$19,949,102	$1,655,359

SEE NOTES TO FINANCIAL STATEMENTS.

A91

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $26,693,249:
Unaffiliated investments (cost $541,392,496)	$	547,904,849
Affiliated investments (cost $45,663,701)		45,663,701
Foreign currency, at value (cost $2,804,879)		2,744,038
Receivable for investments sold		1,455,928
Dividends and interest receivable		676,369
Foreign tax reclaim receivable		459,477
Unrealized appreciation on forward foreign currency exchange contracts		7,525
Prepaid expenses		3,934
Receivable for Series shares sold		2,264
Total Assets		598,918,085
LIABILITIES
Collateral for securities on loan		27,538,119
Payable for investments purchased		6,339,899
Management fee payable		358,632
Accrued expenses and other liabilities		276,712
Payable for Series shares repurchased		184,413
Unrealized depreciation on forward foreign currency exchange contracts		40,961
Affiliated transfer agent fee payable		926
Total Liabilities		34,739,662
NET ASSETS	$	564,178,423
Net assets were comprised of:
Paid-in capital	$	656,083,801
Retained earnings		(91,905,378	)
Net assets, December 31, 2011	$	564,178,423
Net asset value and redemption price per share, $564,178,423 / 33,304,164 outstanding shares of beneficial interest	$	16.94

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $1,686,418)	$	14,548,956
Affiliated income from securities loaned, net		249,701
Affiliated dividend income		35,346
Interest		726
		14,834,729
EXPENSES
Management fee		4,669,105
Custodian’s fees and expenses		325,000
Shareholders’ reports		146,000
Audit fee		24,000
Trustees’ fees		16,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Legal fees and expenses		10,000
Insurance expenses		7,000
Commitment fee on syndicated credit agreement		3,000
Loan interest expense (Note 8)		20
Miscellaneous		41,734
Total expenses		5,253,859
NET INVESTMENT INCOME		9,580,870
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		26,652,934
Futures transactions		(41,519	)
Foreign currency transactions		(436,928	)
		26,174,487
Net change in unrealized appreciation (depreciation) on:
Investments		(78,218,824	)
Foreign currencies		(290,483	)
		(78,509,307	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(52,334,820	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(42,753,950	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	9,580,870		$	9,687,610
Net realized gain on investments and foreign currencies		26,174,487			34,990,328
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(78,509,307	)		29,124,838
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(42,753,950	)		73,802,776
DISTRIBUTIONS		(9,684,066	)		(9,476,827	)
SERIES SHARE TRANSACTIONS:
Series shares sold [843,518 and 619,301 shares, respectively]		15,384,776			10,445,077
Series shares issued in reinvestment of distributions [525,167 and 613,784 shares, respectively]		9,684,066			9,476,827
Series shares repurchased [3,129,794 and 3,317,264 shares, respectively]		(56,971,187	)		(55,260,539	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(31,902,345	)		(35,338,635	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(84,340,361	)		28,987,314
NET ASSETS:
Beginning of year		648,518,784			619,531,470
End of year	$	564,178,423		$	648,518,784

SEE NOTES TO FINANCIAL STATEMENTS.

A92

	GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 99.2%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Asset-Backed Securities — 1.2%
Citibank Credit Card Issuance Trust, Ser. 2007-A8, Class A8		5.650%	09/20/19	$	1,500	$	1,800,166
Small Business Administration Participation Certificates, Ser. 1996-20J, Class 1		7.200%	10/01/16		1,059		1,148,262
Ser. 1997-20A, Class 1		7.150%	01/01/17		742		810,785
Ser. 1997-20G, Class 1		6.850%	07/01/17		411		447,819
Ser. 1998-20I, Class 1		6.000%	09/01/18		940		1,021,333
							5,228,365
Collateralized Mortgage Obligations — 1.9%
Federal Home Loan Mortgage Corp., Ser. 2002-2496, Class PM		5.500%	09/15/17		1,420		1,527,435
Ser. 2002-2501, Class MC		5.500%	09/15/17		499		533,992
Ser. 2002-2513, Class HC		5.000%	10/15/17		2,339		2,522,569
Ser. 2002-2518, Class PV		5.500%	06/15/19		1,117		1,127,876
Federal National Mortgage Association, Ser. 2002-18, Class PC		5.500%	04/25/17		1,067		1,104,958
Ser. 2002-57, Class ND		5.500%	09/25/17		568		607,949
Merrill Lynch Mortgage Investors, Inc., Ser. 2003-E, Class A1(a)		0.914%	10/25/28		92		79,979
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)		2.480%	02/25/34		318		283,475
							7,788,233
Commercial Mortgage-Backed Securities — 10.5%
Banc of America Commercial Mortgage, Inc., Ser. 2007-1, Class A2		5.381%	01/15/49		1,201		1,199,437
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4(a)		5.405%	12/11/40		2,000		2,201,552
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2007-CD4, Class A3		5.293%	12/11/49		1,800		1,914,566
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(a)		5.942%	06/10/46		2,000		2,208,496
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4		4.832%	04/15/37		2,700		2,842,374
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(a)		6.010%	05/15/46		1,300		1,375,213
Federal Home Loan Mortgage Corp., Ser. 2010-K005, Class A2		4.317%	11/25/19		2,600		2,886,905
Ser. 2010-K007, Class A2		4.224%	03/25/20		3,600		3,986,129
Ser. 2010-K009, Class A2		3.808%	08/25/20		2,900		3,147,477
Ser. 2011-K013, Class A2(a)		3.974%	01/25/21		3,400		3,738,181
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2		5.381%	03/10/39		1,876		1,886,236
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(a)		5.778%	08/10/45		1,909		1,940,288
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A3(a)		6.005%	06/15/49		1,000		1,052,854
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(a)		5.854%	05/12/39		2,000		2,230,298
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-9, Class A2		5.590%	09/12/49		2,452		2,487,501
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4		5.332%	12/15/43		1,800		2,011,952
NCUA Gtd. Notes, Ser. 2010-C1, Class A2		2.900%	10/29/20		2,000		2,111,624
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(a)		5.922%	05/15/43		2,000		2,213,498
Ser. 2006-C27, Class A3(a)		5.765%	07/15/45		2,000		2,212,996
							43,647,577
Corporate Bonds — 1.0%
Export Development Canada (Canada)		1.250%	10/26/16		760		768,614
DEPFA ACS Bank (Ireland), Covered Notes, 144A		5.125%	03/16/37		1,520		1,086,601
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes		2.375%	08/25/21		660		659,161
National Bank of Canada (Canada), Covered Notes, 144A		2.200%	10/19/16		460		463,808
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A(b)		1.625%	09/14/16		1,200		1,184,205
							4,162,389
Mortgage-Backed Securities — 41.3%
Federal Home Loan Mortgage Corp.(a)		2.479%	05/01/34		728		769,892
Federal Home Loan Mortgage Corp.		4.000%	06/01/26-12/01/40		4,110		4,321,805
Federal Home Loan Mortgage Corp.(c)		4.500%	TBA 30 Year		9,000		9,535,781

SEE NOTES TO FINANCIAL STATEMENTS.

A93

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Mortgage-Backed Securities (continued)
Federal Home Loan Mortgage Corp.		5.000%	06/01/33-05/01/34	$	4,800	$	5,183,305
Federal Home Loan Mortgage Corp.		5.500%	05/01/37-05/01/38		2,002		2,175,670
Federal Home Loan Mortgage Corp.		5.500%	TBA 30 Year		3,000		3,255,000
Federal Home Loan Mortgage Corp.		6.000%	09/01/34		253		282,178
Federal Home Loan Mortgage Corp.(c)		6.000%	TBA 30 Year		2,000		2,196,250
Federal Home Loan Mortgage Corp.		6.500%	03/01/12-09/01/32		195		219,961
Federal Home Loan Mortgage Corp.		7.000%	09/01/12-10/01/32		78		89,922
Federal National Mortgage Association(a)		2.231%	07/01/33		2,308		2,426,066
Federal National Mortgage Association(a)		2.287%	04/01/34		268		281,714
Federal National Mortgage Association(a)		2.356%	06/01/34		623		656,962
Federal National Mortgage Association(a)		2.393%	08/01/33		1,352		1,420,691
Federal National Mortgage Association(a)		2.410%	04/01/34		529		557,327
Federal National Mortgage Association		3.000%	TBA 15 Year		1,500		1,544,297
Federal National Mortgage Association		3.000%	TBA 15 Year		10,500		10,842,890
Federal National Mortgage Association		3.500%	06/01/39		941		968,608
Federal National Mortgage Association		3.500%	TBA 15 Year		4,500		4,705,313
Federal National Mortgage Association		3.500%	TBA 30 Year		2,500		2,571,094
Federal National Mortgage Association		4.000%	TBA 30 Year		18,000		18,908,438
Federal National Mortgage Association		4.000%	TBA 30 Year		2,000		2,095,625
Federal National Mortgage Association		4.500%	05/01/40		8,498		9,121,761
Federal National Mortgage Association		4.500%	TBA 30 Year		500		532,031
Federal National Mortgage Association		5.000%	07/01/18-05/01/36		9,089		9,826,618
Federal National Mortgage Association		5.000%	TBA 30 Year		4,000		4,312,500
Federal National Mortgage Association		5.500%	01/01/17-11/01/35		17,359		19,099,484
Federal National Mortgage Association		6.000%	11/01/14-05/01/38		5,620		6,225,587
Federal National Mortgage Association		6.000%	TBA 30 Year		1,500		1,651,641
Federal National Mortgage Association		6.500%	01/01/15-10/01/37		3,262		3,685,776
Federal National Mortgage Association		7.000%	12/01/31-01/01/36		581		672,153
Federal National Mortgage Association		7.500%	06/01/12-07/01/12		3		3,015
Federal National Mortgage Association		8.000%	03/01/22-02/01/26		22		22,930
Federal National Mortgage Association		9.000%	02/01/25-04/01/25		92		107,061
Government National Mortgage Association(c)		3.500%	TBA 30 Year		500		520,391
Government National Mortgage Association		4.000%	TBA 30 Year		13,000		13,944,530
Government National Mortgage Association		4.000%	TBA 30 Year		4,000		4,278,125
Government National Mortgage Association(c)		4.500%	TBA 30 Year		7,500		8,171,484
Government National Mortgage Association		4.500%	TBA 30 Year		6,000		6,520,312
Government National Mortgage Association		5.000%	07/15/33-04/15/34		1,978		2,204,576
Government National Mortgage Association		5.000%	TBA 30 Year		2,000		2,211,250
Government National Mortgage Association		5.500%	03/15/34-03/15/36		1,713		1,932,496
Government National Mortgage Association		6.500%	07/15/32-08/15/32		422		489,466
Government National Mortgage Association		7.000%	03/15/23-08/15/28		999		1,155,675
Government National Mortgage Association		7.500%	12/15/25-02/15/26		182		213,117
Government National Mortgage Association		8.500%	09/15/24-04/15/25		254		304,893
							172,215,661
Municipal Bond — 0.2%
State of Utah, BABs, Ser. D		4.554%	07/01/24		630		742,972
U.S. Government Agency Obligations — 1.8%
Federal Home Loan Mortgage Corp.(b)		5.125%	11/17/17		1,270		1,529,197
Federal National Mortgage Association(b)		1.375%	11/15/16		785		791,933
Financing Corp. FICO, Ser. 1P(d)		1.780%	05/11/18		4,000		3,581,296
Tennessee Valley Authority		5.250%	09/15/39		870		1,110,565
Tennessee Valley Authority		5.500%	06/15/38		465		606,918
							7,619,909
U.S. Treasury Securities — 41.3%
U.S. Treasury Bonds(b)		3.750%	08/15/41		770		905,592
U.S. Treasury Bonds		3.875%	08/15/40		2,245		2,691,194

SEE NOTES TO FINANCIAL STATEMENTS.

A94

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. Treasury Securities (continued)
U.S. Treasury Bonds		4.375%	05/15/40	$	2,120	$	2,754,011
U.S. Treasury Bonds		4.375%	05/15/41		1,360		1,772,038
U.S. Treasury Bonds(e)		4.750%	02/15/41		7,285		10,039,641
U.S. Treasury Bonds		6.500%	11/15/26		860		1,304,782
U.S. Treasury Bonds		9.250%	02/15/16		2,925		3,948,522
U.S. Treasury Notes		2.000%	11/15/21		90		91,026
U.S. Treasury Notes		3.000%	09/30/16		2,680		2,954,491
U.S. Treasury Notes		3.125%	10/31/16		12,000		13,305,936
U.S. Treasury Notes		3.125%	04/30/17		4,500		5,011,875
U.S. Treasury Notes		3.125%	08/31/13		3,155		3,305,355
U.S. Treasury Notes(e)		3.125%	05/15/21		17		18,982
U.S. Treasury Notes		3.250%	06/30/16		13,400		14,881,330
U.S. Treasury Notes		3.250%	03/31/17		9,175		10,273,137
U.S. Treasury Notes		3.500%	05/31/13		9,720		10,168,034
U.S. Treasury Notes		4.250%	11/15/17		3,725		4,399,866
U.S. Treasury Notes		4.250%	08/15/15		21,475		24,335,534
U.S. Treasury Notes		4.625%	11/15/16		5,660		6,684,109
U.S. Treasury Notes		4.750%	08/15/17		4,025		4,846,349
U.S. Treasury Strips Coupon(f)		0.550%	05/15/15		12,430		12,202,693
U.S. Treasury Strips Coupon(f)		2.480%	05/15/24		12,105		8,927,801
U.S. Treasury Strips Coupon(f)		2.510%	08/15/24		10,095		7,364,726
U.S. Treasury Strips Coupon(f)		2.520%	11/15/24		1,835		1,326,321
U.S. Treasury Strips Coupon(f)		2.780%	02/15/24		6,500		4,841,759
U.S. Treasury Strips Coupon(f)		3.040%	05/15/25		5,815		4,116,526
U.S. Treasury Strips Coupon(f)		3.380%	05/15/27		5,240		3,432,996
U.S. Treasury Strips Coupon(f)		3.450%	11/15/27		3,700		2,378,068
U.S. Treasury Strips Coupon(b)(f)		3.660%	08/15/29		3,700		2,235,991
U.S. Treasury Strips Coupon(f)		4.130%	08/15/33		2,725		1,429,336
							171,948,021
TOTAL LONG-TERM INVESTMENTS (cost $394,072,166)							413,353,127
				Shares
SHORT-TERM INVESTMENTS — 25.6%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $53,181,499)(g)					5,389,666		47,752,437
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $58,761,472; includes $6,793,055 of cash collateral received for securities on loan) (Note 4)(g)(h)					58,761,472		58,761,472
TOTAL AFFILIATED MUTUAL FUNDS (cost $111,942,971)							106,513,909
TOTAL INVESTMENTS — 124.8% (cost $506,015,137)							519,867,036
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (24.8)%							(103,213,110	)
NET ASSETS — 100.0%						$	416,653,926

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
BABs	Build America Bonds
FICO	Financing Corp.
TBA	To Be Announced

# Principal amount shown in U.S. dollars unless otherwise stated.

(a) Indicted a variable rate security. The interest rate shown reflects the rate in effect at December 31, 2011.

SEE NOTES TO FINANCIAL STATEMENTS.

A95

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $6,661,741; cash collateral of $6,793,055 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c) All or partial principal amount totaling $19,000,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement.

(d) Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2011.

(e) Represents security, or a portion thereof, segregated as collateral for futures contracts.

(f) Rate shown reflects the effective yield at December 31, 2011.

(g) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

(h) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(i) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Futures contracts outstanding at December 31, 2011:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized (Depreciation)
Long Position:
162	2 Year U.S. Treasury Notes		Mar. 2012	$	35,736,871	$	35,728,594	$	(8,277	)
Short Positions:
100	5 Year U.S. Treasury Notes		Mar. 2012		12,294,088		12,325,781		(31,693	)
158	10 Year U.S. Treasury Notes		Mar. 2012		20,655,477		20,717,750		(62,273	)
197	U.S. Long Bond		Mar. 2012		28,258,683		28,528,063		(269,380	)
									(363,346	)
								$	(371,623	)

Interest rate swap agreements outstanding at December 31, 2011:

Counterparty	Termination Date	Notional Amount (000)#		Fixed Rate		Floating Rate	Fair Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Over-the-counter swap agreements:
Barclays Bank PLC	05/31/16		5,255		1.180%	3 month LIBOR(1)	$	11,615		$	—	$	11,615
Barclays Bank PLC	05/31/16		5,255		1.175%	3 month LIBOR(1)		10,675			—		10,675
Barclays Bank PLC	05/31/16		1,360		1.220%	3 month LIBOR(1)		5,251			—		5,251
Deutsche Bank AG	09/14/16		1,320		1.206%	3 month LIBOR(1)		(7,224	)		—		(7,224	)
Citibank, NA	07/20/21		4,550		3.035%	3 month LIBOR(2)		482,206			—		482,206
Citibank, NA	11/23/21		4,560		2.148%	3 month LIBOR(2)		(59,919	)		—		(59,919	)
							$	442,604		$	—	$	442,604

# Notional amount is shown in U.S. dollars unless otherwise stated.

LIBOR London Interbank Offered Rate

(1) Portfolio pays the floating rate and receives the fixed rate.

(2) Portfolio pays the fixed rate and receives the floating rate.

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which are traded at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A96

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Asset-Backed Securities	$	—		$	5,228,365	$	—
Collateralized Mortgage Obligations		—			7,788,233		—
Commercial Mortgage-Backed Securities		—			43,647,577		—
Corporate Bonds		—			4,162,389		—
Mortgage-Backed Securities		—			172,215,661		—
Municipal Bond		—			742,972		—
U.S. Government Agency Obligations		—			7,619,909		—
U.S. Treasury Securities		—			171,948,021		—
Affiliated Mutual Funds		106,513,909			—		—
Other Financial Instruments*
Futures Contracts		(371,623	)		—		—
Interest Rate Swaps		—			442,604		—
Total	$	106,142,286		$	413,795,731	$	—

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Mortgage-Backed Securities	41.3	%
U.S. Treasury Securities	41.3
Affiliated Mutual Funds (including 1.6% of collateral received for securities on loan)	25.6
Commercial Mortgage-Backed Securities	10.5
Collateralized Mortgage Obligations	1.9
U.S. Government Agency Obligations	1.8
Asset-Backed Securities	1.2
Corporate Bonds	1.0
Municipal Bond	0.2
	124.8
Liabilities in excess of other assets	(24.8	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate risk. Detailed discussion about these risks can be found in the Notes to the Financial Statements. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Interest rate contracts	Due to broker — variation margin	$	—	*	Due to broker — variation margin	$	(371,623	)*
Interest rate contracts	Unrealized appreciation on swap agreements		509,747		Unrealized depreciation on swap agreements		67,143
Total		$	509,747			$	(304,480	)

* Includes cumulative appreciation/depreciation of futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

SEE NOTES TO FINANCIAL STATEMENTS.

A97

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Swaps		Total
Interest rate contracts	$	(5,713,637	)	$	762,245	$	(4,951,392	)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Swaps		Total
Interest rate contracts	$	(2,309,044	)	$	497,543	$	(1,811,501	)

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities are as follows:

Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)	Interest Rate Swaps (Notional Amount in USD (000))
$88,500,853	$92,673,681	$27,949

SEE NOTES TO FINANCIAL STATEMENTS.

A98

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $6,661,741:
Unaffiliated investments (cost $394,072,166)	$	413,353,127
Affiliated investments (cost $111,942,971)		106,513,909
Cash		49,355
Receivable for investments sold		93,521,597
Dividends and interest receivable		2,141,035
Unrealized appreciation on swap agreements		509,747
Prepaid expenses		2,396
Receivable for Series shares sold		1,116
Total Assets		616,092,282
LIABILITIES
Payable for investments purchased		192,009,459
Collateral for securities on loan		6,793,055
Payable for Series shares repurchased		200,320
Management fee payable		140,611
Due to broker—variation margin		115,071
Accrued expenses and other liabilities		109,862
Unrealized depreciation on swap agreements		67,143
Deferred trustees’ fees		1,909
Affiliated transfer agent fee payable		926
Total Liabilities		199,438,356
NET ASSETS	$	416,653,926
Net assets were comprised of:
Paid-in capital	$	389,440,503
Retained earnings		27,213,423
Net assets, December 31, 2011	$	416,653,926
Net asset value and redemption price per share, $416,653,926 / 33,690,740 outstanding shares of beneficial interest	$	12.37

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Interest	$	11,090,912
Affiliated dividend income		770,462
Affiliated income from securities loaned, net		36,358
		11,897,732
EXPENSES
Management fee		1,620,279
Custodian’s fees and expenses		92,000
Shareholders’ reports		51,000
Audit fee		29,000
Trustees’ fees		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Legal fees and expenses		9,000
Insurance expenses		5,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		9,700
Total expenses		1,845,979
NET INVESTMENT INCOME		10,051,753
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		17,444,972
Foreign currency transactions		(11	)
Futures transactions		(5,713,637	)
Swap agreement transactions		762,245
		12,493,569
Net change in unrealized appreciation (depreciation) on: Investments (including affiliated: $(697,772))		9,185,328
Futures		(2,309,044	)
Swap agreements		497,543
		7,373,827
NET GAIN ON INVESTMENTS		19,867,396
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,919,149

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	10,051,753		$	11,481,089
Net realized gain on investments		12,493,569			8,366,571
Net change in unrealized appreciation (depreciation) on investments		7,373,827			6,702,759
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		29,919,149			26,550,419
DISTRIBUTIONS		(18,318,094	)		(21,211,457	)
SERIES SHARE TRANSACTIONS:
Series shares sold [2,166,785 and 3,844,283 shares, respectively]		26,321,036			46,399,951
Series shares issued in reinvestment of distributions [1,519,181 and 1,770,163 shares, respectively]		18,318,094			21,211,457
Series shares repurchased [3,193,994 and 4,057,749 shares, respectively]		(38,827,001	)		(49,100,020	)
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		5,812,129			18,511,388
TOTAL INCREASE IN NET ASSETS		17,413,184			23,850,350
NET ASSETS:
Beginning of year		399,240,742			375,390,392
End of year	$	416,653,926		$	399,240,742

SEE NOTES TO FINANCIAL STATEMENTS.

A99

	HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 94.6% ASSET-BACKED SECURITIES — 0.1%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Security
Primus CLO Ltd. (Cayman Islands), Ser. 2007-2A, Class A, 144A(a)	Aa1		0.636%	07/15/21	$	478	$	433,607
Residential Mortgage-Backed Securities — 0.1%
Argent Securities, Inc., Ser. 2003-W8, Class M1(a)	B2		1.344%	12/25/33		137		104,188
Credit-Based Asset Servicing and Securitization LLC, Ser. 2007-CB1, Class AF2	Ca		5.721%	01/25/37		583		209,075
Morgan Stanley ABS Capital I, Ser. 2007-HE6, Class A2(a)	Ca		0.434%	05/25/37		100		28,605
Morgan Stanley Mortgage Loan Trust, Ser. 2006-12XS, Class A6A	Caa3		5.726%	10/25/36		436		224,438
Structured Asset Securities Corp., Ser. 2005-9XS, Class 2A1(a)	Caa2		0.594%	06/25/35		388		230,809
								797,115
TOTAL ASSET-BACKED SECURITIES (cost $1,390,847)								1,230,722
BANK LOANS — 3.1%
Automotive — 0.5%
Chrysler Group LLC(a)	Ba2		6.000%	05/24/17		11,045		10,425,224
Capital Goods — 0.1%
Capital Safety Group Ltd.(a)	B3		2.010%	06/15/15		176		174,357
Capital Safety Group Ltd.(a)	B3		3.014%	06/14/16		924		914,643
								1,089,000
Consumer — 0.3%
Realogy Corp.(a)	Caa2		13.500%	10/15/17		4,700		4,694,125
Visant Corp.(a)	Ba3		5.250%	12/22/16		2,271		2,121,697
								6,815,822
Electric — 0.3%
Texas Competitive Electric Holdings Co. LLC(a)	B2		3.746%	10/10/14		4,187		2,913,955
Texas Competitive Electric Holdings Co. LLC(a)	B2		4.891%	10/10/17		7,221		4,563,197
								7,477,152
Foods — 0.1%
BJ’s Wholesale Club, Inc.(a)	B3		10.000%	03/30/19		3,000		3,007,500
Gaming — 0.3%
CCM Merger, Inc.(a)	B3		7.000%	03/01/17		5,190		5,129,819
MGM Mirage(a)(b)	NR		0.000%	02/21/14		2,000		1,956,250
								7,086,069
Technology — 1.5%
Blackboard, Inc.(a)	B1		7.500%	10/04/18		9,425		8,930,188
First Data Corp.(a)	B1		3.044%	09/24/14		207		186,072
First Data Corp.(a)	B1		3.044%	09/24/14		2,462		2,215,098
First Data Corp.(a)	B1		3.044%	09/24/14		3,421		3,081,391
First Data Corp.(a)	B1		4.294%	03/26/18		12,432		10,389,549
Interactive Data Corp.(a)	Ba3		4.500%	02/09/18		4,084		4,022,704
NXP BV(a)	B2		5.500%	03/03/17		1,995		1,930,162
Sensata Technologies, Inc.(a)	Ba3		4.000%	05/12/18		488		482,195
								31,237,359
TOTAL BANK LOANS (cost $70,291,878)								67,138,126
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1%
Adjustable Rate Mortgage Trust, Ser. 2005-7, Class 1A1(a)	Ca		2.760%	10/25/35		116		76,470
American Home Mortgage Assets LLC, Ser. 2006-4, Class 1A12(a)	Ca		0.504%	10/25/46		54		21,931
American Home Mortgage Assets LLC, Ser. 2006-5, Class A1(a)	Caa3		1.128%	11/25/46		436		159,630
American Home Mortgage Assets LLC, Ser. 2007-3, Class 22A1	Ca		6.250%	06/25/37		176		76,791
American Home Mortgage Investment Trust, Ser. 2005-2, Class 4A1(a)	Ba3		2.301%	09/25/45		30		21,817
Banc of America Alternative Loan Trust, Ser. 2005-4, Class CB6(a)	Caa1		0.694%	05/25/35		80		51,816

SEE NOTES TO FINANCIAL STATEMENTS.

A100

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COLLATERALIZED MORTGAGE OBLIGATIONS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banc of America Funding Corp., Ser. 2006-B, Class 2A1(a)	Caa2		2.866%	03/20/36	$	199	$	127,154
Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2005-10, Class A2(a)	CCC(c)		2.706%	10/25/35		500		465,739
Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2007-3, Class 1A1(a)	CCC(c)		5.131%	05/25/47		62		37,467
Citigroup Mortgage Loan Trust, Inc., Ser. 2007-10, Class 22AA(a)(h)	D(c)		5.611%	09/25/37		119		67,242
Countrywide Alternative Loan Trust, Ser. 2005-43, Class 4A3(a)(h)	D(c)		5.302%	10/25/35		46		26,712
Countrywide Alternative Loan Trust, Ser. 2005-62, Class 2A1(a)	Caa3		1.208%	12/25/35		106		57,176
Countrywide Alternative Loan Trust, Ser. 2006-HY13, Class 4A1(a)	CCC(c)		4.796%	02/25/37		55		31,606
Countrywide Alternative Loan Trust, Ser. 2006-OA1, Class 2A1(a)	Ca		0.495%	03/20/46		47		22,884
Countrywide Alternative Loan Trust, Ser. 2006-OA9, Class 2A1A(a)	Ca		0.495%	07/20/46		56		18,970
Countrywide Alternative Loan Trust, Ser. 2006-OA11, Class A1B(a)	Ca		0.484%	09/25/46		67		30,752
Countrywide Home Loan Mortgage Pass-Through Trust, Ser. 2005-2, Class 2A1(a)	Caa2		0.614%	03/25/35		142		79,861
Downey Savings & Loan Association Mortgage Loan Trust, Ser. 2005-AR1, Class 2A1A(a)	Caa1		0.535%	03/19/45		17		10,046
First Horizon Alternative Mortgage Securities, Ser. 2006-FA2, Class 1A5	Caa3		6.000%	05/25/36		101		70,917
Harborview Mortgage Loan Trust, Ser. 2006-1, Class 2A1A(a)	Caa3		0.525%	03/19/36		435		226,552
Harborview Mortgage Loan Trust, Ser. 2006-5, Class 2A1A(a)	Caa3		0.465%	07/19/46		59		29,616
Harborview Mortgage Loan Trust, Ser. 2006-7, Class 2A1B(a)	C		0.535%	09/19/46		388		58,903
IndyMac Index Mortgage Loan Trust, Ser. 2005-AR13, Class 4A1(a)	Caa3		2.442%	08/25/35		98		64,914
IndyMac Index Mortgage Loan Trust, Ser. 2006-AR12, Class A1(a)	Caa2		0.484%	09/25/46		47		24,079
JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A96	CC(c)		6.000%	08/25/37		56		46,516
JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A97	CCC(c)		6.000%	08/25/37		112		93,033
MASTR Adjustable Rate Mortgages Trust, Ser. 2006-OA1, Class 1A1(a)	Caa2		0.504%	04/25/46		33		15,443
Residential Accredit Loans, Inc., Ser. 2006-QA2, Class 3A1(a)	Ca		5.500%	02/25/36		305		156,691
Residential Accredit Loans, Inc., Ser. 2007-QS4, Class 2A1(a)	Ca		0.624%	03/25/37		215		55,376
Residential Asset Securitization Trust, Ser. 2007-A5, Class 2A3	Caa2		6.000%	05/25/37		103		71,368
Structured Asset Mortgage Investments, Inc., Ser. 2006-AR6, Class 2A1(a)	Caa3		0.484%	07/25/46		61		30,296
SunTrust Alternative Loan Trust, Ser. 2006-1F, Class 3A(a)	Ca		0.644%	04/25/36		155		48,533
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY1, Class 2A3(a)	CCC(c)		5.446%	02/25/37		52		34,553
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY1, Class 4A1(a)	CCC(c)		2.610%	02/25/37		59		39,072
WaMu Mortgage Pass-Through Certificates, Ser. 2007-OA3, Class 2A1A(a)	CCC(c)		0.968%	04/25/47		60		37,748
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $2,908,702)								2,487,674
CORPORATE BONDS — 91.2%
Aerospace & Defense — 2.3%
Alliant Techsystems, Inc., Gtd. Notes	Ba3		6.875%	09/15/20		2,375		2,422,500
BE Aerospace, Inc., Sr. Unsec’d. Notes	Ba2		8.500%	07/01/18		10,650		11,661,750
Colt Defense LLC/Colt Finance Corp., Gtd. Notes(d)(e)	Caa1		8.750%	11/15/17		4,325		2,962,625
Esterline Technologies Corp., Gtd. Notes	Ba3		6.625%	03/01/17		750		776,250
Esterline Technologies Corp., Gtd. Notes	Ba3		7.000%	08/01/20		5,400		5,697,000
Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Notes Co., Gtd. Notes(e)	Ca		8.500%	04/01/15		2,525		467,125
Moog, Inc., Sr. Sub. Notes	Ba3		6.250%	01/15/15		2,500		2,525,000
Moog, Inc., Sr. Sub. Notes	Ba3		7.250%	06/15/18		4,525		4,773,875
Sterling Merger, Inc., Sr. Unsec’d. Notes, 144A(e)	Caa1		11.000%	10/01/19		4,250		4,143,750
TransDigm, Inc., Gtd. Notes	B3		7.750%	12/15/18		12,625		13,571,875
								49,001,750

SEE NOTES TO FINANCIAL STATEMENTS.

A101

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Automotive — 1.2%
Chrysler Group LLC, Sr. Sec’d. Notes, 144A(e)	B2		8.250%	06/15/21	$	3,350		$	3,048,500
Dana Holding Corp., Sr. Unsec’d. Notes(e)	B2		6.500%	02/15/19		2,600			2,626,000
Delphi Corp., Gtd. Notes, 144A(e)	Ba3		5.875%	05/15/19		1,500			1,530,000
Delphi Corp., Gtd. Notes, 144A(e)	Ba3		6.125%	05/15/21		200			206,000
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(e)	Ba1		7.000%	04/15/15		2,950			3,171,250
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(e)	Ba1		8.000%	12/15/16		1,300			1,474,992
Lear Corp., Gtd. Notes	Ba2		7.875%	03/15/18		5,075			5,493,687
Lear Corp., Gtd. Notes(e)	Ba2		8.125%	03/15/20		2,075			2,282,500
Navistar International Corp., Gtd. Notes(e)	B1		8.250%	11/01/21		3,641			3,873,114
TRW Automotive, Inc., Gtd. Notes, 144A	Ba2		8.875%	12/01/17		2,025			2,197,125
									25,903,168
Banking — 0.6%
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(e)	Ba3		8.000%	12/29/49		8,845			7,920,167
BankAmerica Capital II, Ltd. Gtd. Notes, Ser. 2	Ba1		8.000%	12/15/26		1,000			900,000
HBOS PLC (United Kingdom), Sub. Notes, Ser. G, 144A, MTN	Baa3		6.750%	05/21/18		400			320,717
MBNA Capital A, Ltd. Gtd. Notes, Ser. A	Ba1		8.278%	12/01/26		2,750			2,550,625
Merrill Lynch & Co., Inc., Sub. Notes(e)	Baa2		7.750%	05/14/38		1,090			1,035,633
									12,727,142
Building Materials & Construction — 0.8%
Building Materials Corp. of America, Sr. Notes, 144A (original cost $1,488,750; purchased 09/27/10)(d)(g)	Ba3		6.875%	08/15/18		1,500			1,575,000
Building Materials Corp. of America, Sr. Sec’d. Notes, 144A (original cost $5,975,750; purchased 02/02/10-04/27/11)(d)(g)	Ba1		7.000%	02/15/20		5,825			6,261,875
D.R. Horton, Inc., Gtd. Notes	Ba3		6.500%	04/15/16		900			932,625
K Hovnanian Enterprises, Inc., Gtd. Notes	Caa3		11.875%	10/15/15		4,575			2,470,500
Standard Pacific Corp., Gtd. Notes(e)	B3		8.375%	05/15/18		925			878,750
Standard Pacific Corp., Gtd. Notes	B3		8.375%	01/15/21		525			494,156
Standard Pacific Corp., Gtd. Notes(e)	B3		10.750%	09/15/16		3,875			4,068,750
									16,681,656
Cable — 4.2%
AT&T Broadband LLC, Gtd. Notes	Baa1		8.375%	03/15/13		100	(f)		109
Bresnan Broadband Holdings LLC, Gtd. Notes, 144A	B3		8.000%	12/15/18		1,625			1,690,000
Cablevision Systems Corp., Sr. Unsec’d. Notes(e)	B1		7.750%	04/15/18		1,975			2,093,500
Cablevision Systems Corp., Sr. Unsec’d. Notes(e)	B1		8.625%	09/15/17		5,025			5,565,187
CCH II LLC/CCH II Capital Corp., Gtd. Notes	B2		13.500%	11/30/16		1,519			1,754,241
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e)	B1		7.875%	04/30/18		1,350			1,439,438
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e)	B1		8.125%	04/30/20		1,600			1,752,000
Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A	B3		8.625%	11/15/17		6,975			7,393,500
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A	Ba3		6.750%	11/15/21		4,375			4,604,687
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		7.625%	07/15/18		1,850			2,035,000
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		7.875%	02/15/18		850			941,375
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		8.500%	04/15/14		3,500			3,871,875
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		8.625%	02/15/19		1,105			1,273,513
DISH DBS Corp., Gtd. Notes(e)	Ba2		6.750%	06/01/21		825			888,937
Echostar DBS Corp., Gtd. Notes	Ba2		6.625%	10/01/14		4,925			5,257,438
Echostar DBS Corp., Gtd. Notes	Ba2		7.000%	10/01/13		7,075			7,552,562
Echostar DBS Corp., Gtd. Notes	Ba2		7.750%	05/31/15		25			27,500
ONO Finance II PLC (Ireland), Gtd. Notes, 144A(e)	Caa1		10.875%	07/15/19		1,625			1,446,250
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes	B1		7.750%	03/15/16		1,130			1,161,075
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes(e)	B1		7.750%	03/15/16		1,550			1,592,625
UPC Holding BV (Netherlands), Sec’d. Notes, 144A	B2		9.875%	04/15/18		16,600			17,699,750
UPCB Finance V Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A	Ba3		7.250%	11/15/21		2,450			2,480,625
Videotron Ltee (Canada), Gtd. Notes	Ba1		6.375%	12/15/15		3,450			3,510,375
Videotron Ltee (Canada), Gtd. Notes	Ba1		6.875%	01/15/14		153			153,382

SEE NOTES TO FINANCIAL STATEMENTS.

A102

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable (continued)
Videotron Ltee (Canada), Gtd. Notes	Ba1		9.125%	04/15/18	$	9,200	$	10,131,500
Virgin Media Finance PLC (United Kingdom), Gtd. Notes, Ser. 1	Ba2		9.500%	08/15/16		3,700		4,153,250
								90,469,694
Capital Goods — 6.9%
Actuant Corp., Gtd. Notes	Ba3		6.875%	06/15/17		4,845		4,990,350
Aguila 3 SA (Luxembourg), Sr. Sec’d. Notes, 144A	B2		7.875%	01/31/18		1,725		1,673,250
Altra Holdings, Inc., Sec’d. Notes	B1		8.125%	12/01/16		3,800		4,037,500
Amsted Industries, Inc., Sr. Notes, 144A (original cost $4,517,240; purchased 03/12/10)(d)(e)(g)	B1		8.125%	03/15/18		4,550		4,823,000
Ashtead Capital, Inc., Sec’d. Notes, 144A	B2		9.000%	08/15/16		10,664		11,117,220
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes	B2		8.250%	01/15/19		1,125		1,116,562
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes	B2		9.750%	03/15/20		3,850		3,955,875
Case New Holland, Inc., Gtd. Notes	Ba2		7.875%	12/01/17		4,150		4,689,500
Clean Harbors, Inc., Sr. Sec’d. Notes	Ba3		7.625%	08/15/16		5,950		6,321,875
Dycom Investments, Inc., Gtd. Notes	Ba3		7.125%	01/15/21		3,000		3,030,000
Griffon Corp., Gtd. Notes	B1		7.125%	04/01/18		3,775		3,737,250
Hertz Corp. (The), Gtd. Notes	B2		6.750%	04/15/19		7,225		7,243,063
Hertz Corp. (The), Gtd. Notes	B2		7.500%	10/15/18		2,825		2,952,125
Interline Brands, Inc., Gtd. Notes(e)	B2		7.000%	11/15/18		8,270		8,559,450
NES Rentals Holdings, Inc., Sec’d. Notes, 144A (original cost $2,972,490; purchased 04/01/10)(d)(g)	Caa2		12.250%	04/15/15		3,000		2,535,000
Park-Ohio Industries, Inc., Gtd. Notes	B3		8.125%	04/01/21		3,175		3,127,375
RBS Global, Inc./Rexnord LLC, Gtd. Notes(e)	Caa1		8.500%	05/01/18		8,800		9,328,000
RBS Global, Inc./Rexnord LLC, Gtd. Notes(e)	Caa2		11.750%	08/01/16		1,100		1,155,000
RSC Equipment Rental, Inc./RSC Holdings III LLC, Gtd. Notes(e)	Caa1		8.250%	02/01/21		3,600		3,645,000
RSC Equipment Rental, Inc./RSC Holdings III LLC, Gtd. Notes	Caa1		10.250%	11/15/19		2,425		2,643,250
RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Sec’d. Notes, 144A	B1		10.000%	07/15/17		3,987		4,644,855
RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Unsec’d. Notes(e)	Caa1		9.500%	12/01/14		1,796		1,845,390
SPX Corp., Gtd. Notes(e)	Ba2		6.875%	09/01/17		4,925		5,319,000
SPX Corp., Sr. Unsec’d. Notes(e)	Ba2		7.625%	12/15/14		10,280		11,308,000
Stena AB (Sweden), Sr. Unsec’d. Notes	Ba3		7.000%	12/01/16		250		230,625
Terex Corp., Sr. Sub. Notes(e)	Caa1		8.000%	11/15/17		6,405		6,276,900
Trimas Corp., Sec’d. Notes	B2		9.750%	12/15/17		5,375		5,831,875
United Rentals North America, Inc., Gtd. Notes(e)	Caa1		8.375%	09/15/20		3,725		3,631,875
United Rentals North America, Inc., Gtd. Notes(e)	B3		10.875%	06/15/16		5,950		6,604,500
WireCo WorldGroup, Inc., Gtd. Notes, 144A	B2		10.000%	05/15/17		12,975		13,039,875
								149,413,540
Chemicals — 3.8%
CF Industries, Inc., Gtd. Notes	Ba1		6.875%	05/01/18		3,925		4,494,125
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sec’d. Notes(e)	Caa1		9.000%	11/15/20		14,850		12,251,250
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sr. Sec’d. Notes(e)	B3		8.875%	02/01/18		1,000		937,500
Huntsman International LLC, Gtd. Notes(e)	B1		5.500%	06/30/16		2,175		2,131,500
Huntsman International LLC, Gtd. Notes(e)	B3		8.625%	03/15/21		1,000		1,060,000
Kinove German Bondco GmbH (Germany), Sr. Sec’d. Notes, 144A	B2		9.625%	06/15/18		4,950		4,702,500
Koppers, Inc., Gtd. Notes	B1		7.875%	12/01/19		5,075		5,379,500
Lyondell Chemical Co., Sec’d. Notes	Ba2		11.000%	05/01/18		7,984		8,722,615
LyondellBasell Industries NV (Netherlands), Gtd. Notes, 144A(e)	Ba2		6.000%	11/15/21		3,225		3,345,938
Momentive Performance Materials, Inc., Sec’d. Notes(e)	Caa1		9.000%	01/15/21		3,719		2,826,440
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., Sr. Sub. Notes, 144A
(original cost $8,408,563; purchased 02/23/11-11/28/11)(d)(g)	B3		8.375%	03/01/18		8,360		8,318,200
Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes	Ba2		8.375%	11/01/16		8,756		9,544,040

SEE NOTES TO FINANCIAL STATEMENTS.

A103

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Chemicals (continued)
Rhodia SA (France), Sr. Unsec’d. Notes, 144A	Baa2		6.875%	09/15/20	$	5,720	$	6,234,800
Rockwood Specialties Group, Inc., Gtd. Notes	B1		7.500%	11/15/14		1,225		1,240,312
Solutia, Inc., Gtd. Notes(e)	B1		7.875%	03/15/20		4,825		5,247,187
Solutia, Inc., Gtd. Notes	B1		8.750%	11/01/17		1,150		1,256,375
Texas Petrochemical, Sr. Sec’d. Notes	B1		8.250%	10/01/17		4,550		4,550,000
								82,242,282
Consumer — 2.4%
American Achievement Corp., Sec’d. Notes, 144A (original cost $3,617,500; purchased 10/21/10-04/06/11)(d)(g)	B3		10.875%	04/15/16		3,625		2,791,250
Goodman Networks, Inc., Sr. Sec’d. Notes, 144A	B2		12.125%	07/01/18		3,650		3,485,750
Mac-Gray Corp., Gtd. Notes	B3		7.625%	08/15/15		5,943		6,084,146
Phillips-Van Heusen Corp., Sr. Unsec’d. Notes	Ba3		7.375%	05/15/20		2,108		2,287,180
Realogy Corp., Gtd. Notes	Caa3		12.000%	04/15/17		520		400,298
Realogy Corp., Gtd. Notes	CC(c)		13.375%	04/15/18		900		543,375
Scotts Miracle-Gro Co. (The), Gtd. Notes	B1		7.250%	01/15/18		2,600		2,730,000
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		4,738		5,176,265
Service Corp. International, Sr. Unsec’d. Notes	Ba3		7.000%	06/15/17		4,143		4,495,155
Service Corp. International, Sr. Unsec’d. Notes	Ba3		7.000%	05/15/19		3,125		3,289,063
Spectrum Brands Holdings, Inc., Sr. Sec’d. Notes	B1		9.500%	06/15/18		1,500		1,640,625
Stewart Enterprises, Inc., Gtd. Notes	B1		6.500%	04/15/19		5,690		5,718,450
Visant Corp., Gtd. Notes(e)	Caa1		10.000%	10/01/17		15,269		13,971,135
								52,612,692
Electric — 3.4%
AES Corp. (The), Sr. Unsec’d. Notes, 144A(e)	Ba3		7.375%	07/01/21		4,075		4,390,813
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		7.750%	10/15/15		9,265		10,075,687
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		8.000%	10/15/17		550		605,000
AES Corp. (The), Sr. Unsec’d. Notes(e)	Ba3		8.000%	06/01/20		1,800		1,980,000
AES Eastern Energy LP, Pass-thru Certs., Ser. 99-A(d)(h)	Caa2		9.000%	01/02/17		2,384		917,879
AES Red Oak LLC, Sr. Sec’d. Notes, Ser. A (original cost $1,476,319; purchased 10/31/03-03/03/09)(d)(g)	B2		8.540%	11/30/19		1,501		1,546,003
Calpine Corp., Sr. Sec’d. Notes, 144A(e)	B1		7.250%	10/15/17		2,025		2,126,250
Calpine Corp., Sr. Sec’d. Notes, 144A(e)	B1		7.500%	02/15/21		14,225		15,220,750
Covanta Holding Corp., Sr. Unsec’d. Notes	Ba3		7.250%	12/01/20		3,055		3,211,291
Energy Future Holdings Corp., Sr. Sec’d. Notes	Caa3		9.750%	10/15/19		425		425,000
Mirant Corp., Sr. Notes, 144A(d)	NR		7.400%	07/15/49		1,825		1,825
Mirant Mid Atlantic Pass Through Trust A, Pass-thru Certs., Ser. A	Ba1		8.625%	06/30/12		43		43,440
Mirant Mid Atlantic Pass Through Trust B, Pass-thru Certs., Ser. B	Ba1		9.125%	06/30/17		8,763		8,960,498
North American Energy Alliance LLC/North American Energy Alliance Finance Corp., Sec’d. Notes (original cost $953,933; purchased 09/30/09)(d)(g)	Ba3		10.875%	06/01/16		976		1,034,560
NRG Energy, Inc., Gtd. Notes(e)	B1		7.375%	01/15/17		925		959,688
NRG Energy, Inc., Gtd. Notes(e)	B1		7.625%	01/15/18		8,125		8,125,000
NRG Energy, Inc., Gtd. Notes, 144A(e)	B1		7.625%	05/15/19		1,950		1,911,000
NRG Energy, Inc., Gtd. Notes, 144A	B1		7.875%	05/15/21		200		195,000
NRG Energy, Inc., Gtd. Notes(e)	B1		8.250%	09/01/20		7,175		7,210,875
NSG Holdings LLC/NSG Holdings, Inc., Sr. Sec’d. Notes, 144A	Ba2		7.750%	12/15/25		595		609,875
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., Ser. B(d)(e)	Ba1		9.237%	07/02/17		4,120		4,037,824
								73,588,258
Energy – Other — 6.1%
Cie Generale de Geophysique-Veritas (France), Gtd. Notes(e)	Ba3		7.750%	05/15/17		2,150		2,176,875
Cie Generale de Geophysique-Veritas (France), Gtd. Notes	Ba3		9.500%	05/15/16		4,300		4,644,000
CITIC Resources Finance 2007 Ltd. (Virgin Islands (BR)), Gtd. Notes, 144A	Ba3		6.750%	05/15/14		25		25,438
Clayton Williams Energy, Inc., Gtd. Notes, 144A	Caa1		7.750%	04/01/19		4,475		4,273,625

SEE NOTES TO FINANCIAL STATEMENTS.

A104

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
Denbury Resources, Inc., Gtd. Notes(e)	B1		6.375%	08/15/21	$	4,000	$	4,180,000
Denbury Resources, Inc., Gtd. Notes	B1		8.250%	02/15/20		4,043		4,518,053
Denbury Resources, Inc., Gtd. Notes	B1		9.750%	03/01/16		4,050		4,465,125
Forest Oil Corp., Gtd. Notes(e)	B1		7.250%	06/15/19		7,325		7,471,500
Harvest Operations Corp. (Canada), Gtd. Notes, 144A	Ba1		6.875%	10/01/17		11,000		11,385,000
Key Energy Services, Inc., Gtd. Notes(e)	B1		6.750%	03/01/21		1,175		1,175,000
Linn Energy LLC/Linn Energy Finance Corp., Gtd. Notes, 144A	B2		6.500%	05/15/19		7,900		7,840,750
McMoRan Exploration Co., Gtd. Notes	Caa1		11.875%	11/15/14		6,975		7,393,500
MEG Energy Corp. (Canada), Gtd. Notes, 144A	B3		6.500%	03/15/21		5,275		5,393,687
Newfield Exploration Co., Sr. Sub. Notes	Ba2		6.625%	04/15/16		3,435		3,538,050
Newfield Exploration Co., Sr. Sub. Notes(e)	Ba2		6.875%	02/01/20		1,635		1,749,450
Newfield Exploration Co., Sr. Sub. Notes	Ba2		7.125%	05/15/18		325		346,937
Parker Drilling Co., Gtd. Notes(e)	B1		9.125%	04/01/18		875		920,937
Petrohawk Energy Corp., Gtd. Notes	Baa3		7.250%	08/15/18		800		900,000
Petrohawk Energy Corp., Gtd. Notes	Baa3		7.875%	06/01/15		3,775		4,020,375
Petroplus Finance Ltd. (Bermuda), Sr. Sec’d. Notes, 144A(e)	Caa2		6.750%	05/01/14		2,935		1,746,325
Pioneer Natural Resources Co., Gtd. Notes	Ba1		5.875%	07/15/16		1,950		2,122,171
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Ba1		6.650%	03/15/17		7,100		7,855,909
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Ba1		6.875%	05/01/18		4,840		5,473,924
Pioneer Natural Resources Co., Sr. Unsec’d. Notes(e)	Ba1		7.500%	01/15/20		3,950		4,632,722
Plains Exploration & Production Co., Gtd. Notes	B1		6.750%	02/01/22		2,825		2,959,188
Plains Exploration & Production Co., Gtd. Notes	B1		7.000%	03/15/17		615		636,525
Plains Exploration & Production Co., Gtd. Notes	B1		7.625%	06/01/18		2,900		3,074,000
Plains Exploration & Production Co., Gtd. Notes	B1		10.000%	03/01/16		2,300		2,547,250
Precision Drilling Corp. (Canada), Gtd. Notes	Ba1		6.625%	11/15/20		2,500		2,556,250
Precision Drilling Corp. (Canada), Gtd. Notes, 144A	Ba1		6.500%	12/15/21		1,075		1,096,500
Range Resources Corp., Gtd. Notes	Ba3		5.750%	06/01/21		4,175		4,519,437
Range Resources Corp., Gtd. Notes	Ba3		6.750%	08/01/20		2,100		2,331,000
Range Resources Corp., Gtd. Notes	Ba3		7.500%	10/01/17		3,450		3,665,625
Range Resources Corp., Gtd. Notes	Ba3		8.000%	05/15/19		1,623		1,809,645
WPX Energy, Inc., Sr. Unsec’d. Notes, 144A	Ba1		5.250%	01/15/17		3,700		3,718,500
WPX Energy, Inc., Sr. Unsec’d. Notes, 144A	Ba1		6.000%	01/15/22		5,150		5,272,313
								132,435,586
Foods — 5.3%
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		12,840		13,161,000
ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A(e)	B3		8.625%	05/01/16		9,945		10,243,350
BI-LO LLC/BI-LO Finance Corp., Sr. Sec’d. Notes, 144A(e)	B2		9.250%	02/15/19		4,475		4,609,250
Bumble Bee Acquisition Corp., Sr. Sec’d. Notes, 144A	B2		9.000%	12/15/17		10,324		10,478,860
Darling International, Inc., Gtd. Notes	Ba3		8.500%	12/15/18		4,575		5,078,250
Dave & Buster’s, Inc., Gtd. Notes	Caa1		11.000%	06/01/18		2,450		2,486,750
Del Monte Corp., Gtd. Notes	B3		7.625%	02/15/19		3,450		3,312,000
DineEquity, Inc., Gtd. Notes(e)	B3		9.500%	10/30/18		1,500		1,610,625
Fiesta Restaurant Group, Sec’d. Notes, 144A	B2		8.875%	08/15/16		4,725		4,748,625
Ingles Markets, Inc., Sr. Unsec’d. Notes	B1		8.875%	05/15/17		9,745		10,548,963
JBS USA LLC/JBS USA Finance, Inc., Gtd. Notes(d)	B1		11.625%	05/01/14		5,100		5,782,125
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A	B1		7.250%	06/01/21		5,000		4,662,500
Michael Foods, Inc., Gtd. Notes	Caa1		9.750%	07/15/18		11,175		11,761,687
OSI Restaurant Partners LLC, Gtd. Notes	Caa3		10.000%	06/15/15		4,000		4,135,000
Pilgrim’s Pride Corp., Gtd. Notes	Caa1		7.875%	12/15/18		875		822,500
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		7,640		8,881,500
Stater Brothers Holdings, Inc., Gtd. Notes(e)	B2		7.375%	11/15/18		1,025		1,081,375
Stater Brothers Holdings, Inc., Gtd. Notes(e)	B2		7.750%	04/15/15		1,750		1,795,937
SUPERVALU, Inc., Sr. Unsec’d. Notes(e)	B2		7.500%	11/15/14		6,299		6,409,233
Wendy’s/Arbys’ Restaurants LLC, Gtd. Notes	B3		10.000%	07/15/16		2,100		2,310,000
								113,919,530

SEE NOTES TO FINANCIAL STATEMENTS.

A105

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Gaming — 6.0%
Boyd Gaming Corp., Gtd. Notes(e)	B3		9.125%	12/01/18	$	2,000	$	1,900,000
Caesars Entertainment Operating Co., Inc., Sec’d. Notes	Caa3		12.750%	04/15/18		12,101		9,620,295
CCM Merger, Inc., Notes, 144A (original cost $16,528,063; purchased 07/14/05-09/19/11)(d)(e)(g)	Caa3		8.000%	08/01/13		18,270		17,630,550
Harrah’s Operating Co., Inc., Sec’d. Notes(e)	CCC(c)		10.000%	12/15/18		3,213		2,088,450
Harrah’s Operating Co., Inc., Sr. Sec’d. Notes	B3		11.250%	06/01/17		6,645		7,052,006
Isle of Capri Casinos, Inc., Gtd. Notes(e)	Caa1		7.000%	03/01/14		2,500		2,337,500
Isle of Capri Casinos, Inc., Gtd. Notes(e)	B3		7.750%	03/15/19		9,005		8,239,575
Marina District Finance Co., Inc., Sr. Sec’d. Notes, 144A(e)	B2		9.500%	10/15/15		7,250		6,778,750
Marina District Finance Co., Inc., Sr. Sec’d. Notes, 144A(e)	B2		9.875%	08/15/18		4,717		4,304,263
MGM Resorts International, Gtd. Notes	B3		6.750%	09/01/12		400		405,000
MGM Resorts International, Gtd. Notes(e)	B3		6.750%	04/01/13		4,000		4,025,000
MGM Resorts International, Gtd. Notes(e)	B3		7.625%	01/15/17		2,050		1,952,625
MGM Resorts International, Sr. Sec’d. Notes	Ba2		9.000%	03/15/20		2,665		2,951,488
MGM Resorts International, Sr. Sec’d. Notes(e)	Ba2		10.375%	05/15/14		3,415		3,901,638
MGM Resorts International, Sr. Sec’d. Notes	Ba2		11.125%	11/15/17		5,370		6,121,800
MGM Resorts International, Sr. Sec’d. Notes(e)	Ba2		13.000%	11/15/13		14,085		16,725,937
MTR Gaming Group, Inc., Sec’d. Notes, PIK, 144A(e)	B3		11.500%	08/01/19		4,025		3,431,312
Peninsula Gaming LLC, Gtd. Notes	Caa1		10.750%	08/15/17		630		659,925
Peninsula Gaming LLC, Sec’d. Notes	Ba3		8.375%	08/15/15		3,500		3,710,000
Pinnacle Entertainment, Inc., Gtd. Notes(e)	B1		8.625%	08/01/17		4,300		4,547,250
Scientific Games Corp., Gtd. Notes	B1		8.125%	09/15/18		1,925		1,973,125
Scientific Games International, Inc., Gtd. Notes(e)	B1		9.250%	06/15/19		5,130		5,437,800
Seminole Indian Tribe of Florida, Notes, 144A	Ba1		7.750%	10/01/17		1,925		2,002,000
Station Casinos, Inc., Sr. Sub. Notes(d)(h)	NR		6.500%	02/01/14		3,650		365
Station Casinos, Inc., Sr. Sub. Notes(d)(h)	NR		6.625%	03/15/18		2,200		220
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sec’d. Notes, 144A	B3		8.625%	04/15/16		6,125		6,278,125
Yonkers Racing Corp., Sec’d. Notes, 144A (original cost $5,493,500; purchased 07/13/09-07/08/11)(d)(g)	B1		11.375%	07/15/16		5,069		5,221,070
								129,296,069
Healthcare & Pharmaceutical — 9.4%
Acadia Healthcare Co., Inc., Gtd. Notes, 144A	B3		12.875%	11/01/18		3,750		3,712,500
Accellent, Inc., Gtd. Notes	Caa2		10.000%	11/01/17		10,050		8,140,500
Accellent, Inc., Sr. Sec’d. Notes(e)	B1		8.375%	02/01/17		5,850		5,733,000
Alliance Healthcare Services, Inc., Sr. Unsec’d. Notes	B-(c)		8.000%	12/01/16		11,915		8,310,712
Apria Healthcare Group, Inc., Sr. Sec’d. Notes	Ba3		11.250%	11/01/14		390		402,675
Apria Healthcare Group, Inc., Sr. Sec’d. Notes(e)	B3		12.375%	11/01/14		5,025		4,610,437
Biomet, Inc., Gtd. Notes(e)	B3		10.000%	10/15/17		1,324		1,429,920
Biomet, Inc., Gtd. Notes, PIK	B3		10.375%	10/15/17		2,850		3,085,125
Biomet, Inc., Gtd. Notes(e)	Caa1		11.625%	10/15/17		1,860		2,018,100
Capella Healthcare, Inc., Gtd. Notes (original cost $12,175,463; purchased 06/28/10-12/14/11)(d)(g)	B3		9.250%	07/01/17		11,905		12,083,575
Community Health Systems, Inc., Gtd. Notes, 144A(e)	B3		8.000%	11/15/19		7,450		7,524,500
Community Health Systems, Inc., Gtd. Notes	B3		8.875%	07/15/15		5,514		5,693,205
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A(d)	Caa1		10.500%	12/15/18		12,025		10,732,312
DaVita, Inc., Gtd. Notes(e)	B2		6.375%	11/01/18		2,655		2,718,056
ENDO Pharmaceuticals Holdings, Inc., Gtd. Notes(e)	Ba3		7.000%	07/15/19		525		559,125
ENDO Pharmaceuticals Holdings, Inc., Gtd. Notes	Ba3		7.250%	01/15/22		1,725		1,834,969
ExamWorks Group, Inc., Gtd. Notes, 144A(e)	B3		9.000%	07/15/19		1,900		1,719,500
HCA, Inc., Gtd. Notes(e)	B3		7.500%	02/15/22		3,250		3,323,125
HCA, Inc., Gtd. Notes(e)	B3		8.000%	10/01/18		11,800		12,478,500
HCA, Inc., Sr. Unsec’d. Notes	B3		5.750%	03/15/14		6,830		6,966,600
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		7,425		7,564,219
HCA, Inc., Sr. Unsec’d. Notes(e)	B3		6.500%	02/15/16		4,310		4,374,650
HCA, Inc., Sr. Unsec’d. Notes	B3		7.190%	11/15/15		706		706,000
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		4,365		4,550,512

SEE NOTES TO FINANCIAL STATEMENTS.

A106

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical (continued)
Healthsouth Corp., Gtd. Notes(e)	B2		7.250%	10/01/18	$	7,850	$	7,791,125
Healthsouth Corp., Gtd. Notes(e)	B2		7.750%	09/15/22		2,200		2,164,250
Kindred Healthcare, Inc., Gtd. Notes	B3		8.250%	06/01/19		6,405		5,380,200
Kinetic Concepts, Inc./KCI USA, Inc., Gtd. Notes, 144A(e)	B3		10.500%	11/01/18		5,800		5,684,000
MedAssets, Inc., Gtd. Notes	B3		8.000%	11/15/18		2,250		2,205,000
Mylan, Inc., Gtd. Notes, 144A	Ba3		7.625%	07/15/17		5,975		6,520,219
Radnet Management, Inc., Gtd. Notes	Caa1		10.375%	04/01/18		3,750		3,300,000
Res-Care, Inc., Gtd. Notes	B-(c)		10.750%	01/15/19		4,300		4,439,750
Skilled Healthcare Group, Inc., Gtd. Notes	Caa1		11.000%	01/15/14		1,794		1,794,000
STHI Holding Corp., Sec’d. Notes, 144A	B2		8.000%	03/15/18		1,225		1,258,688
Surgical Care Affiliates, Inc., Sr. Sub. Notes, 144A (original cost $6,934,250; purchased 06/21/07-01/18/11)(d)(g)	Caa1		10.000%	07/15/17		8,200		7,872,000
Tenet Healthcare Corp., Sr. Sec’d. Notes, 144A	B1		6.250%	11/01/18		4,775		4,858,563
Valeant Pharmaceuticals International, Gtd. Notes, 144A	B1		6.500%	07/15/16		6,125		6,117,344
Valeant Pharmaceuticals International, Gtd. Notes, 144A	B1		6.750%	10/01/17		1,400		1,398,250
Valeant Pharmaceuticals International, Gtd. Notes, 144A(e)	B1		6.875%	12/01/18		3,500		3,491,250
Valeant Pharmaceuticals International, Gtd. Notes, 144A	B1		7.000%	10/01/20		3,250		3,209,375
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, Gtd. Notes	B3		7.750%	09/15/18		14,575		14,884,719
								202,640,550
Lodging — 1.0%
Felcor Lodging LP, Sr. Sec’d. Notes(e)	B2		6.750%	06/01/19		3,750		3,600,000
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		2,564		2,807,580
Host Hotels & Resorts LP, Gtd. Notes(e)	Ba1		6.000%	11/01/20		850		869,125
Host Hotels & Resorts LP, Gtd. Notes	BB+(c)		6.875%	11/01/14		540		550,800
Host Hotels & Resorts LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		8,750		8,903,125
Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes	Ba2		7.250%	03/15/18		3,700		3,875,750
Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes	Ba2		11.875%	07/15/15		1,350		1,593,000
								22,199,380
Media & Entertainment — 5.9%
AMC Entertainment, Inc., Gtd. Notes(e)	Caa1		8.000%	03/01/14		675		666,563
AMC Entertainment, Inc., Gtd. Notes	Caa1		9.750%	12/01/20		10,125		9,618,750
AMC Networks, Inc., Gtd. Notes, 144A(e)	B2		7.750%	07/15/21		4,100		4,458,750
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes	B2		9.125%	08/01/18		4,125		4,485,938
Cengage Learning Acquisitions, Inc., Gtd. Notes, 144A	Caa2		10.500%	01/15/15		5,975		4,287,062
Clear Channel Communications, Inc., Gtd. Notes(e)	Ca		10.750%	08/01/16		2,075		1,390,250
Clear Channel Communications, Inc., Sr. Sec’d. Notes	Caa1		9.000%	03/01/21		2,225		1,874,562
Clear Channel Communications, Inc., Sr. Unsec’d. Notes	Ca		5.500%	12/15/16		2,325		1,075,312
Clear Channel Communications, Inc., Sr. Unsec’d. Notes(e)	Ca		6.875%	06/15/18		625		282,812
Clear Channel Worldwide Holdings, Inc., Gtd. Notes(e)	B2		9.250%	12/15/17		2,900		3,117,500
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, Ser. B(e)	B2		9.250%	12/15/17		1,700		1,836,000
Cumulus Media, Inc., Gtd. Notes, 144A	B3		7.750%	05/01/19		400		355,000
Entercom Radio LLC, Gtd. Notes, 144A	Caa1		10.500%	12/01/19		4,525		4,525,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes, 144A(e)	B3		7.250%	04/01/19		4,150		4,212,250
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes, 144A	B3		7.500%	04/01/21		4,175		4,221,969
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(e)	B3		8.500%	11/01/19		5,375		5,697,500
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes	Caa2		11.250%	06/15/16		2,750		2,889,219
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes(e)	Caa3		11.250%	02/04/17		7,650		7,401,375
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes, PIK, 144A	Caa3		11.500%	02/04/17		17,375		16,766,875
Lamar Media Corp., Gtd. Notes	Ba3		9.750%	04/01/14		4,800		5,376,000
LIN Television Corp., Gtd. Notes(e)	Caa1		6.500%	05/15/13		693		693,866
LIN Television Corp., Gtd. Notes, Ser. B	Caa1		6.500%	05/15/13		2,718		2,721,398
Morris Publishing Group LLC, Sec’d. Notes	NR		10.000%	09/01/14		269		228,704
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		7.750%	10/15/18		3,425		3,699,000
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.625%	02/01/14		3,553		4,081,509
Salem Communications Corp., Sec’d. Notes	B2		9.625%	12/15/16		3,533		3,727,315

SEE NOTES TO FINANCIAL STATEMENTS.

A107

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Media & Entertainment (continued)
Sinclair Television Group, Inc., Sec’d. Notes, 144A	B1		9.250%	11/01/17	$	5,200		$	5,668,000
SSI Investments II/SSI Co.-Issuer LLC, Gtd. Notes	Caa1		11.125%	06/01/18		4,275			4,520,812
Universal City Development Partners Ltd./UCDP Finance, Inc., Gtd. Notes	Baa2		8.875%	11/15/15		126			139,545
Univision Communications, Inc., Gtd. Notes, 144A(e)	Caa2		8.500%	05/15/21		925			841,750
Vail Resorts, Inc., Gtd. Notes	Ba3		6.500%	05/01/19		2,000			2,040,000
WMG Acquisition Corp., Gtd. Notes, 144A(e)	B3		11.500%	10/01/18		5,575			5,533,188
WMG Acquisition Corp., Sr. Sec’d. Notes, 144A	Ba2		9.500%	06/15/16		1,850			2,007,250
WMG Acquisition Corp., Sr. Sec’d. Notes	Ba2		9.500%	06/15/16		6,775			7,350,875
									127,791,899
Metals — 4.8%
AK Steel Corp., Gtd. Notes(e)	B2		7.625%	05/15/20		2,500			2,350,000
Arch Coal, Inc., Gtd. Notes, 144A(e)	B1		7.000%	06/15/19		2,950			3,009,000
Arch Coal, Inc., Gtd. Notes, 144A(e)	B1		7.250%	06/15/21		2,950			3,031,125
Arch Coal, Inc., Gtd. Notes(e)	B1		8.750%	08/01/16		2,900			3,168,250
Calcipar SA (Luxembourg), Sr. Sec’d. Notes, 144A (original cost $6,738,375; purchased 04/18/11-09/20/11)(d)(g)	B1		6.875%	05/01/18		6,750			6,075,000
Consol Energy, Inc., Gtd. Notes	B1		8.000%	04/01/17		1,575			1,724,625
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A	B1		6.375%	02/01/16		2,200			2,134,000
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		6.875%	02/01/18		2,275			2,178,312
FMG Resources (August 2006) Pty Ltd. (Australia), Sr. Notes, 144A(e)	B1		8.250%	11/01/19		10,850			11,039,875
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes	Baa3		8.375%	04/01/17		4,370			4,643,125
JMC Steel Group, Sr. Notes, 144A (original cost $6,375,000; purchased 03/04/11)(d)(g)	B3		8.250%	03/15/18		6,375			6,215,625
Metals USA, Inc., Sr. Sec’d. Notes	B3		11.125%	12/01/15		13,065			13,571,269
Novelis, Inc. (Canada), Gtd. Notes	B2		8.750%	12/15/20		8,562			9,182,745
Optima Specialty Steel, Inc., Sr. Sec’d. Notes, 144A	B2		12.500%	12/15/16		3,700			3,672,250
Peabody Energy Corp., Sr. Unsec’d. Notes, 144A	Ba1		6.000%	11/15/18		10,800			11,016,000
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., Gtd. Notes	B2		8.250%	04/15/18		1,475			1,482,375
Rain CII Carbon LLC and CII Carbon Corp., Sec’d. Notes, 144A(d)	B1		8.000%	12/01/18		3,000			3,007,500
Steel Dynamics, Inc., Gtd. Notes	Ba2		7.375%	11/01/12		1,939			2,018,984
Thompson Creek Metals Co., Inc. (Canada), Gtd. Notes	B3		7.375%	06/01/18		6,750			6,007,500
Westmoreland Coal Co./Westmoreland Partners, Sr. Sec’d. Notes	Caa2		10.750%	02/01/18		7,850			7,693,000
									103,220,560
Non-Captive Finance — 4.4%
ACE Cash Express, Inc., Sr. Sec’d. Notes, 144A	B3		11.000%	02/01/19		3,800			3,486,500
Ally Financial, Inc., Gtd. Notes(e)	B1		8.300%	02/12/15		1,425			1,503,375
American General Finance Corp., Sr. Unsec’d. Notes, Ser. H, MTN(e)	B3		5.375%	10/01/12		8,225			7,772,625
American General Finance Corp., Sr. Unsec’d. Notes, Ser. I, MTN	B3		5.400%	12/01/15		750			545,625
CIT Group, Inc., Sec’d. Notes	B2		7.000%	05/01/15		600			601,200
CIT Group, Inc., Sec’d. Notes, 144A	B2		7.000%	05/04/15		1,825			1,827,281
CIT Group, Inc., Sec’d. Notes, Ser. A	B2		7.000%	05/01/16		990	(f)		990
CIT Group, Inc., Sec’d. Notes, 144A(e)	B2		7.000%	05/02/16		15,543			15,523,571
CIT Group, Inc., Sec’d. Notes(e)	B2		7.000%	05/01/17		588	(f)		588
CIT Group, Inc., Sec’d. Notes, 144A(e)	B2		7.000%	05/02/17		17,951			17,928,561
Community Choice Financial, Inc., Sr. Sec’d. Notes, 144A	B3		10.750%	05/01/19		2,890			2,861,100
GMAC, Inc., Gtd. Notes(e)	B1		6.875%	08/28/12		4,925			4,986,562
GMAC, Inc., Gtd. Notes, Ser. 8(e)	B1		6.750%	12/01/14		5,400			5,427,000
HSBC Finance Capital Trust IX, Ltd. Gtd. Notes(a)	Baa1		5.911%	11/30/35		100			83,000
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba3		6.500%	09/01/14		3,125			3,195,312
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba3		6.750%	09/01/16		175			179,375
International Lease Finance Corp., Sr. Sec’d. Notes, 144A(e)	Ba3		7.125%	09/01/18		525			543,375
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		5.750%	05/15/16		1,075			997,108

SEE NOTES TO FINANCIAL STATEMENTS.

A108

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance (continued)
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		6.250%	05/15/19	$	4,125	$	3,810,634
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	B1		6.375%	03/25/13		5,400		5,373,000
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN(e)	B1		6.625%	11/15/13		1,200		1,194,000
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	B1		8.250%	12/15/20		1,000		1,010,000
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	B1		8.625%	09/15/15		810		830,250
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	B1		8.750%	03/15/17		2,000		2,060,000
Jet Equipment Trust, Ser. 94-A, 144A(d)	NR		10.000%	06/15/12		96		72,162
Jet Equipment Trust, Sr. Unsec’d. Notes, Ser. 95-B, 144A(d)(h)	NR		7.630%	08/15/12		11		8
KKR Group Finance Co., Gtd. Notes, 144A	A-(c)		6.375%	09/29/20		6,000		6,161,634
Speedy Cash, Inc., Sr. Sec’d. Notes, 144A	B3		10.750%	05/15/18		975		979,875
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN(e)	B3		5.850%	06/01/13		1,287		1,132,560
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN	B3		6.900%	12/15/17		8,400		6,048,000
								96,135,271
Packaging — 2.6%
Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A(d)(e)	B3		9.125%	10/15/20		5,450		5,395,500
Berry Plastics Corp., Sec’d. Notes(a)	Caa1		4.421%	09/15/14		2,025		1,903,500
Berry Plastics Corp., Sr. Sec’d. Notes(e)	Caa1		9.750%	01/15/21		4,875		4,862,813
BWAY Holding Co., Gtd. Notes(e)	B3		10.000%	06/15/18		1,000		1,065,000
BWAY Parent Co., Inc., Sr. Unsec’d. Notes, PIK	Caa1		10.125%	11/01/15		4,982		4,832,553
Exopack Holding Corp., Gtd. Notes, 144A	Caa1		10.000%	06/01/18		4,100		4,100,000
Greif, Inc., Sr. Unsec’d. Notes	Ba2		6.750%	02/01/17		4,970		5,193,650
Plastipak Holdings, Inc., Gtd. Notes, 144A (original cost $3,201,500; purchased 03/31/10-05/21/10)(d)(e)(g)	B3		8.500%	12/15/15		3,175		3,238,500
Plastipak Holdings, Inc., Sr. Notes, 144A (original cost $1,993,876; purchased 07/23/09)(d)(g)	B3		10.625%	08/15/19		2,040		2,254,200
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes, 144A(e)	Caa1		8.250%	02/15/21		4,450		3,938,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes, 144A	Ba3		6.875%	02/15/21		1,575		1,567,125
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes, 144A(e)	Ba3		7.875%	08/15/19		1,500		1,567,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes, 144A	Ba3		8.750%	10/15/16		6,175		6,499,187
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Unsec’d. Notes, 144A(e)	Caa1		9.875%	08/15/19		6,525		6,329,250
Sealed Air Corp., Gtd. Notes, 144A(e)	B1		8.375%	09/15/21		2,300		2,541,500
								55,288,528
Paper — 0.9%
Cascades, Inc. (Canada), Gtd. Notes	Ba3		7.750%	12/15/17		185		183,150
Domtar Corp., Gtd. Notes(e)	Baa3		10.750%	06/01/17		1,125		1,417,500
Graphic Packaging International, Inc., Gtd. Notes	B2		7.875%	10/01/18		1,375		1,464,375
Graphic Packaging International, Inc., Gtd. Notes	B2		9.500%	06/15/17		6,201		6,790,095
Longview Fibre Paper & Packaging, Inc., Sr. Sec’d. Notes, 144A (original cost $2,736,155; purchased 05/17/11-09/22/11)(d)(g)	B2		8.000%	06/01/16		2,760		2,760,000
Rock-Tenn Co., Gtd. Notes	Ba2		9.250%	03/15/16		1,295		1,372,700
Sappi Papier Holding GmbH (Austria), Sr. Sec’d. Notes, 144A(e)	Ba2		6.625%	04/15/21		1,050		900,375
Verso Paper Holdings LLC/Verso Paper, Inc., Sec’d. Notes(e)	B2		8.750%	02/01/19		1,850		1,128,500
Verso Paper Holdings LLC/Verso Paper, Inc., Sr. Sec’d. Notes	Ba2		11.500%	07/01/14		3,771		3,846,420
								19,863,115
Pipelines & Other — 1.6%
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes	Ba3		6.500%	05/20/21		2,600		2,554,500
Energy Transfer Equity LP, Sr. Sec’d. Notes(e)	Ba2		7.500%	10/15/20		4,300		4,697,750
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes	B2		8.625%	06/15/20		3,659		3,540,082
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Gtd. Notes(e)	Ba3		6.500%	08/15/21		7,125		7,418,906

SEE NOTES TO FINANCIAL STATEMENTS.

A109

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Pipelines & Other (continued)
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A	B1		6.875%	02/01/21	$	7,000	$	7,087,500
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes	Ba3		7.875%	10/15/18		4,350		4,589,250
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes	B1		8.250%	07/01/16		4,625		4,844,688
								34,732,676
Real Estate Investment Trusts — 2.0%
AVIV Healthcare Properties LP/AVIV Healthcare Capital Corp., Gtd. Notes	B1		7.750%	02/15/19		7,125		6,982,500
CNL Lifestyle Properties, Inc., Gtd. Notes	Ba3		7.250%	04/15/19		5,400		4,995,000
Kennedy-Wilson, Inc., Gtd. Notes, 144A	B1		8.750%	04/01/19		4,075		3,973,125
Omega Healthcare Investors, Inc., Gtd. Notes(e)	Ba2		6.750%	10/15/22		475		477,375
Omega Healthcare Investors, Inc., Gtd. Notes	Ba2		7.000%	01/15/16		3,155		3,218,100
Omega Healthcare Investors, Inc., Gtd. Notes	Ba2		7.500%	02/15/20		825		878,625
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		6.750%	04/15/20		1,875		1,910,842
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		6.750%	12/15/21		7,250		7,368,429
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		8.625%	01/15/12		13,191		13,220,671
								43,024,667
Retailers — 1.6%
Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A(e)	Caa1		9.250%	08/01/19		4,000		3,950,000
Burlington Coat Factory Warehouse Corp., Gtd. Notes(e)	Caa1		10.000%	02/15/19		2,250		2,199,375
Neiman Marcus Group, Inc., Gtd. Notes	Caa1		10.375%	10/15/15		2,000		2,077,520
Pantry, Inc., Gtd. Notes(e)	Caa1		7.750%	02/15/14		11,550		11,463,375
QVC, Inc., Sr. Sec’d. Notes, 144A	Ba2		7.125%	04/15/17		3,510		3,720,600
QVC, Inc., Sr. Sec’d. Notes, 144A	Ba2		7.375%	10/15/20		1,525		1,627,937
Rite Aid Corp., Sec’d. Notes	Caa2		7.500%	03/01/17		1,465		1,463,169
Rite Aid Corp., Sec’d. Notes(e)	Caa2		10.375%	07/15/16		355		377,188
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes	B2		8.500%	05/15/16		5,496		5,928,810
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes	Ba1		8.500%	12/01/17		1,831		1,895,085
								34,703,059
Technology — 9.4%
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes(e)	Ba3		7.750%	08/01/20		1,500		1,541,250
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes	Ba3		8.125%	12/15/17		2,475		2,567,813
Anixter, Inc., Gtd. Notes	Ba2		5.950%	03/01/15		2,500		2,531,250
Avaya, Inc., Gtd. Notes	Caa2		9.750%	11/01/15		8,475		7,627,500
Avaya, Inc., Gtd. Notes, PIK(e)	Caa2		10.125%	11/01/15		5,095		4,585,500
CDW LLC/CDW Finance Corp., Gtd. Notes	Caa1		8.500%	04/01/19		12,950		13,047,125
CDW LLC/CDW Finance Corp., Gtd. Notes	Caa1		11.000%	10/12/15		238		249,900
CDW LLC/CDW Finance Corp., Gtd. Notes(e)	CCC+(c)		12.535%	10/12/17		13,780		13,848,900
Commscope, Inc., Gtd. Notes, 144A	B3		8.250%	01/15/19		16,535		16,535,000
CoreLogic, Inc., Gtd. Notes, 144A	Ba3		7.250%	06/01/21		5,050		4,835,375
DuPont Fabros Technology LP, Gtd. Notes	Ba1		8.500%	12/15/17		6,400		6,848,000
First Data Corp., Gtd. Notes	Caa1		12.625%	01/15/21		11,932		10,380,840
Freescale Semiconductor, Inc., Gtd. Notes(e)	Caa1		8.050%	02/01/20		8,010		7,529,400
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A	Ba3		9.250%	04/15/18		7,225		7,721,719
Interactive Data Corp., Gtd. Notes	Caa1		10.250%	08/01/18		8,125		8,815,625
Iron Mountain, Inc., Gtd. Notes(e)	B1		7.750%	10/01/19		2,375		2,508,594
Lender Processing Services, Inc., Gtd. Notes(e)	Ba2		8.125%	07/01/16		1,936		1,902,120
Nortel Networks Ltd. (Canada), Gtd. Notes(h)	NR		10.125%	07/15/13		3,050		3,332,125
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A	B2		9.750%	08/01/18		13,075		14,251,750
Seagate HDD Cayman (Cayman Islands), Gtd. Notes, 144A	Ba1		7.750%	12/15/18		1,325		1,409,469
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		10,791		12,207,319
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A(e)	B3		6.500%	05/15/19		1,325		1,308,437
Spansion LLC, Gtd. Notes	B3		7.875%	11/15/17		2,175		1,979,250

SEE NOTES TO FINANCIAL STATEMENTS.

A110

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology (continued)
SunGard Data Systems, Inc., Gtd. Notes(e)	Caa1		10.250%	08/15/15	$	16,450	$	17,046,312
SunGard Data Systems, Inc., Gtd. Notes	Caa1		10.625%	05/15/15		12,150		12,939,750
Syniverse Holdings, Inc., Gtd. Notes(e)	Caa1		9.125%	01/15/19		5,730		6,045,150
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes(e)	B3		11.375%	06/15/18		8,825		10,082,562
Unisys Corp., Sr. Sec’d. Notes, 144A	Ba1		12.750%	10/15/14		1,929		2,191,826
Unisys Corp., Sr. Unsec’d. Notes	B2		12.500%	01/15/16		6,250		6,671,875
								202,541,736
Telecommunications — 4.6%
Brightstar Corp., Gtd. Notes, 144A	B1		9.500%	12/01/16		3,775		3,850,500
Clearwire Communications LLC/Clearwire Finance, Inc., Sr. Sec’d. Notes, 144A	B3		12.000%	12/01/15		2,300		2,202,250
Clearwire Communications LLC/Clearwire Finance, Inc., Sr. Sec’d. Notes, 144A(e)	B3		12.000%	12/01/15		12,480		11,949,600
Cricket Communications, Inc., Gtd. Notes	B3		7.750%	10/15/20		525		459,375
Frontier Communications Corp., Sr. Unsec’d. Notes	Ba2		8.250%	05/01/14		400		417,000
Frontier Communications Corp., Sr. Unsec’d. Notes	Ba2		8.250%	04/15/17		175		178,938
Frontier Communications Corp., Sr. Unsec’d. Notes(e)	Ba2		8.500%	04/15/20		1,075		1,100,531
Frontier Communications Corp., Sr. Unsec’d. Notes	Ba2		8.750%	04/15/22		5,875		5,816,250
Level 3 Escrow, Inc., Gtd. Notes, 144A(e)	B3		8.125%	07/01/19		1,275		1,255,875
Level 3 Financing, Inc., Gtd. Notes	B3		9.250%	11/01/14		6,593		6,741,342
Level 3 Financing, Inc., Gtd. Notes	B3		9.375%	04/01/19		500		521,875
MetroPCS Wireless, Inc., Gtd. Notes	B2		6.625%	11/15/20		350		326,375
MetroPCS Wireless, Inc., Gtd. Notes(e)	B2		7.875%	09/01/18		4,350		4,409,812
NII Capital Corp., Gtd. Notes(e)	B2		7.625%	04/01/21		6,058		6,012,565
Northwestern Bell Telephone, Sr. Unsec’d. Notes	Baa3		7.750%	05/01/30		750		823,905
Qwest Communications International, Inc., Gtd. Notes	Baa3		7.125%	04/01/18		1,450		1,508,000
Qwest Communications International, Inc., Gtd. Notes, Ser. B(e)	Baa3		7.500%	02/15/14		3,000		3,011,325
Qwest Corp., Sr. Unsec’d. Notes(e)	Baa3		7.625%	06/15/15		3,444		3,816,338
SBA Telecommunications, Inc., Gtd. Notes	B1		8.000%	08/15/16		1,335		1,438,462
SBA Telecommunications, Inc., Gtd. Notes	B1		8.250%	08/15/19		1,335		1,451,813
Sprint Capital Corp., Gtd. Notes(e)	B3		6.875%	11/15/28		1,500		1,070,625
Sprint Capital Corp., Gtd. Notes(e)	B3		6.900%	05/01/19		3,925		3,228,312
Sprint Nextel Corp., Gtd. Notes, 144A(e)	Ba3		9.000%	11/15/18		2,275		2,388,750
Sprint Nextel Corp., Sr. Unsec’d. Notes(e)	B3		6.000%	12/01/16		1,645		1,365,350
Wind Acquisition Finance SA (Luxembourg), Gtd. Notes, 144A(e)	B3		11.750%	07/15/17		10,110		9,048,450
Wind Acquisition Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A(e)	Ba3		7.250%	02/15/18		4,400		4,004,000
Wind Acquisition Holdings Finance SA (Luxembourg), Sr. Sec’d. Notes, PIK, 144A	Caa1		12.250%	07/15/17		7,512		5,502,469
Windstream Corp., Gtd. Notes	Ba3		7.000%	03/15/19		850		858,500
Windstream Corp., Gtd. Notes, 144A(e)	Ba3		7.500%	06/01/22		4,675		4,663,313
Windstream Corp., Gtd. Notes(e)	Ba3		7.500%	04/01/23		5,600		5,530,000
Windstream Corp., Gtd. Notes(e)	Ba3		7.750%	10/15/20		2,525		2,610,219
Windstream Corp., Gtd. Notes	Ba3		7.875%	11/01/17		1,640		1,775,300
								99,337,419
TOTAL CORPORATE BONDS (cost $1,954,759,220)								1,969,770,227
					Shares
COMMON STOCKS — 0.1%
Cable
Adelphia Recovery Trust*(d)						500,000		500
Electric
GenOn Energy, Inc.*						6,350		16,573

SEE NOTES TO FINANCIAL STATEMENTS.

A111

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)		Shares		Value (Note 2)
Media & Entertainment
Dex One Corp.*(e)			182,429	$	302,832
Virgin Media, Inc.(e)			8,521		182,179
					485,011
Pipelines & Other
SemGroup Corp. (Class A Stock)*			3,493		91,028
Technology — 0.1%
Xerox Corp.			137,561		1,094,986
Telecommunications
Netia SA (Poland)*			238,168		365,796
TOTAL COMMON STOCKS (cost $27,553,962)					2,053,894
PREFERRED STOCKS
Building Materials & Construction
New Millenium Homes LLC (cost $0; purchased 09/25/00)*(d)(g)			3,000		75,000
Cable
Adelphia Communications Corp., PIK, 13.000%*(d)			5,000		5
TOTAL PREFERRED STOCKS (cost $4,765)					75,005
	Expiration Date	Units
WARRANTS
Media & Entertainment
MediaNews Group, Inc. (cost $0; purchased 06/30/11)*(d)(g)	03/19/17		5,557		56
Pipelines & Other
SemGroup Corp.*	11/30/14		3,676		9,778
Telecommunications
Hawaiian Telcom Holdco, Inc.*	10/28/15		19,187		57,561
TOTAL WARRANTS (cost $320,316)					67,395
TOTAL LONG-TERM INVESTMENTS (cost $2,057,229,690)					2,042,823,043
		Shares
SHORT-TERM INVESTMENTS — 22.3%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (Note 4)(i)			513,556		4,550,105
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $475,637,076; includes $407,227,152 of cash collateral received for securities on loan) (Note 4)(i)(j)			475,637,076		475,637,076
TOTAL SHORT-TERM INVESTMENTS (cost $480,517,809)					480,187,181
TOTAL INVESTMENTS — 116.9% (cost $2,537,747,499)					2,523,010,224
LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (16.9)%					(364,610,525	)
NET ASSETS — 100.0%				$	2,158,399,699

SEE NOTES TO FINANCIAL STATEMENTS.

A112

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ABS	Asset-Backed Security
CLO	Collateralized Loan Obligation
MTN	Medium Term Note
NR	Not Rated by Moody’s or Standard & Poor’s
PIK	Payment-in-Kind

* Non-income producing security.

† The ratings reflected are as of December 31, 2011. Ratings of certain bonds may have changed subsequent to that date.

# Principal amount is shown in U.S. dollars unless otherwise stated.

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2011.

(b) Rate shown reflects the effective yield at December 31, 2011. Rate will be available based on 3 month LIBOR + 500 basis points upon settlement date.

(c) Standard & Poor’s Rating.

(d) Indicates a security that has been deemed illiquid.

(e) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $398,054,308; cash collateral of $407,227,152 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(f) Amount is actual; not rounded to thousands.

(g) Indicates a restricted security; the aggregate original cost of such securities is $91,586,727. The aggregate value of $92,310,464 is approximately 4.3% of net assets.

(h) Represents issuer in default on interest payments and/or principal repayment; non-income producing security.

(i) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

(j) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(k) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Credit default swap agreements outstanding at December 31, 2011:

Counterparty	Termination Date		Notional Amount (000)(3)	Fixed Rate		Reference Entity/Obligation	Implied Credit Spread at December 31, 2011(4) (Unaudited)		Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Over-the-Counter Credit Default Swaps on Corporate Issues—Sell Protection(1):
Deutsche Bank AG		12/20/14	$  9,000		6.500%	Ford Motor Co.		3.070%	$	503,452		$	(1,175,000	)	$	1,678,452
Goldman Sachs International		02/01/14	3,150		7.250%	NRG Energy, Inc.		5.555%		(161,298	)		—			(161,298	)
									$	342,154		$	(1,175,000	)	$	1,517,154
Counterparty	Termination Date		Notional Amount (000)(3)	Fixed Rate		Reference Entity/Obligation			Fair Value(2)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Over-the-Counter Credit Default Swaps on Credit Indices—Sell Protection(1):
JPMorgan Chase Bank		12/20/16	$13,720		5.000%	CDX.NA.HY.17.V1			$	(939,718	)	$	(1,182,397	)	$	242,679
Morgan Stanley Capital Services		12/20/16	9,800		5.000%	CDX.NA.HY.17.V1				(687,561	)		(692,806	)		5,245
Morgan Stanley Capital Services		12/20/16	7,840		5.000%	CDX.NA.HY.17.V1				(536,982	)		(585,278	)		48,296
									$	(2,164,261	)	$	(2,460,481	)	$	296,220

The Portfolio entered into credit default swaps as the protection seller on corporate issues and credit indices to take an active short position with respect to the likelihood of a particular issuer’s default or the referenced entity’s credit soundness.

(1) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

SEE NOTES TO FINANCIAL STATEMENTS.

A113

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

(2) The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occuring as defined under the terms of the agreement.

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Non-Residential Mortgage-Backed Security	$	—	$	—	$	433,607
Residential Mortgage-Backed Securities		—		797,115		—
Bank Loans		—		67,138,126		—
Collateralized Mortgage Obligations		—		2,487,674		—
Corporate Bonds		—		1,969,695,647		74,580
Common Stocks		2,053,394		—		500
Preferred Stocks		—		—		75,005
Warrants		57,561		9,778		56
Affiliated Mutual Funds		480,187,181		—		—
Other Financial Instruments*
Credit Default Swap Agreements		—		1,813,374		—
Total	$	482,298,136	$	2,041,941,714	$	583,748

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

	Non-Residential Mortgage-Backed Security		Bank Loans			Corporate Bonds			Common Stocks			Preferred Stocks			Warrants
Balance as of 12/31/10	$	420,078	$	24,240,043		$	79,016		$	681		$	228,005		$	95,935
Realized gain (loss)		—		1,829,195			(3,948,141	)		(181	)		—			—
Change in unrealized appreciation (depreciation)**		6,283		(738,227	)		3,864,585			—			(153,000	)		56
Purchases		—		—			—			—			—			—
Sales		—		(24,329,360	)		(13,527	)		—			—			—
Accrued discount/premium		7,246		(6,151	)		92,062			—			—			—
Transfers into Level 3		—		—			585			—			—			—
Transfers out of Level 3		—		(995,500	)		—			—			—			(95,935	)
Balance as of 12/31/11	$	433,607	$	—		$	74,580		$	500		$	75,005		$	56

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

** Of which, $(230,000) was included in Net Assets relating to securities held at the reporting period end.

SEE NOTES TO FINANCIAL STATEMENTS.

A114

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, there were 2 corporate bonds transferred from Level 2 into Level 3 as a result of the securities being fair valued in accordance with the Board of Trustees’ approval, 2 bank loans transferred from Level 3 into Level 2 as a result of no longer using a single broker quote and 1 warrant transferred from Level 3 into Level 1 as a result of being priced by the primary vendor valuation source.

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Affiliated Mutual Funds (including 18.9% of collateral received for securities on loan)	22.3	%
Technology	11.0
Healthcare & Pharmaceutical	9.4
Capital Goods	7.0
Gaming	6.3
Energy – Other	6.1
Media & Entertainment	5.9
Foods	5.4
Metals	4.8
Telecommunications	4.6
Non-Captive Finance	4.4
Cable	4.2
Chemicals	3.8
Electric	3.7
Consumer	2.7

Packaging	2.6	%
Aerospace & Defense	2.3
Real Estate Investment Trusts	2.0
Automotive	1.7
Pipelines & Other	1.6
Retailers	1.6
Lodging	1.0
Paper	0.9
Building Materials & Construction	0.8
Banking	0.6
Collateralized Mortgage Obligations	0.1
Residential Mortgage-Backed Securities	0.1
	116.9
Liabilities in excess of other assets	(16.9	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk and equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Credit contracts	—	$	—	Premium received for swap agreements	$	3,635,481
Credit contracts	Unrealized appreciation on swap agreements		1,974,672	Unrealized depreciation on swap agreements		161,298
Equity contracts	Unaffiliated investments		67,395	—		—
Total		$	2,042,067		$	3,796,779

The effects of derivative instruments on the Statement of Operations for the year ended December, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Swaps
Credit contracts	$	(430,582	)
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Swaps			Warrants			Total
Credit contracts	$	265,635		$	—		$	265,635
Equity contracts		—			(44,163	)		(44,163	)
Total	$	265,635		$	(44,163	)	$	221,472

For the year ended December 31, 2011, the Portfolio’s average notional amount for credit default swaps as writer was $18,422,000.

SEE NOTES TO FINANCIAL STATEMENTS.

A115

HIGH YIELD BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $398,054,308:
Unaffiliated investments (cost $2,057,229,690)	$	2,042,823,043
Affiliated investments (cost $480,517,809)		480,187,181
Cash		2,691,383
Dividends and interest receivable		42,923,959
Receivable for investments sold		5,854,132
Unrealized appreciation on swap agreements		1,974,672
Prepaid expenses		14,815
Total Assets		2,576,469,185
LIABILITIES
Collateral for securities on loan		407,227,152
Payable for investments purchased		5,622,494
Premium received for swap agreements		3,635,481
Management fee payable		996,159
Payable for Series shares repurchased		241,379
Accrued expenses and other liabilities		180,499
Unrealized depreciation on swap agreements		161,298
Deferred trustees’ fees		4,098
Affiliated transfer agent fee payable		926
Total Liabilities		418,069,486
NET ASSETS	$	2,158,399,699
Net assets were comprised of:
Paid-in capital	$	2,470,841,419
Retained earnings		(312,441,720	)
Net assets, December 31, 2011	$	2,158,399,699
Net asset value and redemption price per share, $2,158,399,699 / 437,519,749 outstanding shares of beneficial interest	$	4.93

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Interest	$	173,776,503
Affiliated income from securities loaned, net		865,553
Unaffiliated dividend income		556,424
Affiliated dividend income		209,236
		175,407,716
EXPENSES
Management fee		11,893,282
Custodian’s fees and expenses		277,000
Shareholders’ reports		166,000
Audit fee		31,000
Trustees’ fees		29,000
Insurance expenses		25,000
Legal fees and expenses		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		11,000
Commitment fee on syndicated credit agreement		9,000
Miscellaneous		20,802
Total expenses		12,474,084
NET INVESTMENT INCOME		162,933,632
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND SWAPS
Net realized gain (loss) on:
Investment transactions		41,780,936
Swap agreement transactions		(430,582	)
		41,350,354
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $(66,593))		(96,313,144	)
Swap agreements		265,635
		(96,047,509	)
NET LOSS ON INVESTMENTS AND SWAPS		(54,697,155	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	108,236,477

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	162,933,632		$	172,813,833
Net realized gain on investment and swap agreement transactions		41,350,354			103,546,699
Net change in unrealized appreciation (depreciation) on investments and swaps		(96,047,509	)		(9,333,418	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		108,236,477			267,027,114
DISTRIBUTIONS		(162,232,130	)		(170,579,126	)
SERIES SHARE TRANSACTIONS:
Series shares sold [4,310,527 and 7,760,335 shares, respectively]		21,838,181			38,142,981
Series shares issued in reinvestment of distributions [32,541,377 and 34,984,970 shares, respectively]		162,232,130			170,579,126
Series shares repurchased [22,320,117 and 20,666,560 shares, respectively]		(112,834,788	)		(102,302,303	)
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		71,235,523			106,419,804
TOTAL INCREASE IN NET ASSETS		17,239,870			202,867,792
NET ASSETS:
Beginning of year		2,141,159,829			1,938,292,037
End of year	$	2,158,399,699		$	2,141,159,829

SEE NOTES TO FINANCIAL STATEMENTS.

A116

	JENNISON PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 99.5%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 5.2%
Boeing Co. (The)		256,914	$	18,844,642
Precision Castparts Corp.		178,386		29,396,229
United Technologies Corp.		157,643		11,522,127
				59,762,998
Auto Components — 1.0%
BorgWarner, Inc.*(a)		187,277		11,937,036
Automobiles — 1.7%
Bayerische Motoren Werke AG (Germany)		107,503		7,201,650
Harley-Davidson, Inc.		311,132		12,093,701
				19,295,351
Biotechnology — 3.6%
Alexion Pharmaceuticals, Inc.*		140,295		10,031,092
Celgene Corp.*		343,821		23,242,300
Vertex Pharmaceuticals, Inc.*		244,437		8,117,753
				41,391,145
Capital Markets — 0.9%
Goldman Sachs Group, Inc. (The)		117,501		10,625,615
Chemicals — 2.9%
E.I. du Pont de Nemours & Co.(a)		160,091		7,328,966
Monsanto Co.		373,913		26,200,084
				33,529,050
Communications Equipment — 2.3%
Juniper Networks, Inc.*		207,695		4,239,055
QUALCOMM, Inc.		418,649		22,900,100
				27,139,155
Computers & Peripherals — 9.0%
Apple, Inc.*		173,428		70,238,340
EMC Corp.*		979,905		21,107,154
NetApp, Inc.*(a)		358,652		13,008,308
				104,353,802
Consumer Finance — 1.8%
American Express Co.		452,232		21,331,783
Electrical Equipment — 0.3%
Roper Industries, Inc.		34,751		3,018,819
Energy Equipment & Services — 3.0%
National Oilwell Varco, Inc.		202,206		13,747,986
Schlumberger Ltd.		299,392		20,451,468
				34,199,454
Food & Staples Retailing — 3.6%
Costco Wholesale Corp.		278,841		23,233,032
Whole Foods Market, Inc.		259,960		18,088,017
				41,321,049
Food Products — 1.2%
Mead Johnson Nutrition Co.		205,784		14,143,534
Healthcare Providers & Services — 0.9%
Express Scripts, Inc.*(a)		241,803		10,806,176
Hotels, Restaurants & Leisure — 6.2%
Chipotle Mexican Grill, Inc.*(a)		47,772		16,134,515
Dunkin’ Brands Group, Inc.*(a)		233,198		5,825,286
McDonald’s Corp.		215,234		21,594,427

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure (continued)
Starbucks Corp.		607,591	$	27,955,262
				71,509,490
Internet & Catalog Retail — 4.8%
Amazon.com, Inc.*		244,622		42,344,068
priceline.com, Inc.*		27,677		12,944,810
				55,288,878
Internet Software & Services — 5.5%
Baidu, Inc. (China), ADR*		178,679		20,810,743
Google, Inc. (Class A Stock)*		46,238		29,865,124
LinkedIn Corp. (Class A Stock)*(a)		81,435		5,131,220
Tencent Holdings Ltd. (China)		341,852		6,870,844
Youku, Inc. (China), ADR*(a)		57,591		902,451
				63,580,382
IT Services — 7.2%
Cognizant Technology Solutions Corp. (Class A Stock)*		137,923		8,869,828
International Business Machines Corp.		154,907		28,484,299
Mastercard, Inc. (Class A Stock)		92,966		34,659,584
Visa, Inc. (Class A Stock)		114,718		11,647,319
				83,661,030
Life Sciences Tools & Services — 1.7%
Agilent Technologies, Inc.*		398,759		13,928,652
Illumina, Inc.*(a)		203,035		6,188,507
				20,117,159
Media — 1.0%
Walt Disney Co. (The)		323,559		12,133,463
Oil, Gas & Consumable Fuels — 4.2%
Anadarko Petroleum Corp.		165,680		12,646,354
Concho Resources, Inc.*		134,970		12,653,438
EOG Resources, Inc.		106,441		10,485,503
Occidental Petroleum Corp.		139,111		13,034,701
				48,819,996
Personal Products — 1.6%
Estee Lauder Cos., Inc. (The) (Class A Stock)		169,226		19,007,464
Pharmaceuticals — 8.4%
Allergan, Inc.		241,775		21,213,338
Bristol-Myers Squibb Co.		413,044		14,555,671
Johnson & Johnson		204,486		13,410,192
NOVO Nordisk A/S (Denmark), ADR		175,806		20,263,399
Shire PLC (Ireland), ADR		267,421		27,785,042
				97,227,642
Road & Rail — 1.3%
Union Pacific Corp.		145,176		15,379,945
Semiconductors & Semiconductor Equipment — 2.3%
Altera Corp.		200,876		7,452,500
ARM Holdings PLC (United Kingdom), ADR(a)		227,122		6,284,466
Avago Technologies Ltd.		287,482		8,296,730

SEE NOTES TO FINANCIAL STATEMENTS.

A117

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Broadcom Corp. (Class A Stock)		160,702	$	4,718,211
				26,751,907
Software — 6.1%
Oracle Corp.		783,048		20,085,181
Red Hat, Inc.*		267,966		11,064,316
Salesforce.com, Inc.*(a)		206,775		20,979,392
VMware, Inc. (Class A Stock)*		222,331		18,495,716
				70,624,605
Specialty Retail — 3.0%
Bed Bath & Beyond, Inc.*		211,144		12,240,018
Inditex SA (Spain)		93,999		7,698,514
Lowe’s Cos., Inc.		219,264		5,564,920
Tiffany & Co.		133,427		8,840,873
				34,344,325
Textiles, Apparel & Luxury Goods — 6.9%
Burberry Group PLC (United Kingdom)		533,740		9,822,367
Coach, Inc.		199,019		12,148,120
Lululemon Athletica, Inc.*(a)		233,094		10,876,166
LVMH Moet Hennessy Louis Vuitton SA (France)		22,942		3,248,372
NIKE, Inc. (Class B Stock)		254,317		24,508,529
Ralph Lauren Corp.		135,874		18,761,482
				79,365,036
Wireless Telecommunication Services — 1.9%
American Tower Corp. (Class A Stock).		361,664		21,703,457
TOTAL LONG-TERM INVESTMENTS (cost $824,552,980)				1,152,369,746
SHORT-TERM INVESTMENT — 7.7%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $89,179,684; includes $82,366,302 of cash collateral received for securities on loan) (Note 4)(b)(c)		89,179,684		89,179,684
TOTAL INVESTMENTS — 107.2% (cost $913,732,664)				1,241,549,430
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.2)%				(83,289,995	)
NET ASSETS — 100.0%			$	1,158,259,435

The following abbreviation is used in portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $80,293,222; cash collateral of $82,366,302 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investments Portfolios 2 — Prudential Core Taxable Money Market Fund.

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,152,369,746	$	—	$	—
Affiliated Money Market Mutual Fund		89,179,684		—		—
Total	$	1,241,549,430	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A118

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Computers & Peripherals	9.0	%
Pharmaceuticals	8.4
Affiliated Money Market Mutual Fund (including 7.1% of collateral received for securities on loan)	7.7
IT Services	7.2
Textiles, Apparel & Luxury Goods	6.9
Hotels, Restaurants & Leisure	6.2
Software	6.1
Internet Software & Services	5.5
Aerospace & Defense	5.2
Internet & Catalog Retail	4.8
Oil, Gas & Consumable Fuels	4.2
Biotechnology	3.6
Food & Staples Retailing	3.6
Energy Equipment & Services	3.0
Specialty Retail	3.0
Chemicals	2.9
Communications Equipment	2.3
Semiconductors & Semiconductor Equipment	2.3
Wireless Telecommunication Services	1.9
Consumer Finance	1.8
Automobiles	1.7
Life Sciences Tools & Services	1.7
Personal Products	1.6
Road & Rail	1.3
Food Products	1.2
Auto Components	1.0
Media	1.0
Capital Markets	0.9
Healthcare Providers & Services	0.9
Electrical Equipment	0.3
	107.2
Liabilities in excess of other assets	(7.2	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A119

JENNISON PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $80,293,222:
Unaffiliated investments (cost $824,552,980)	$	1,152,369,746
Affiliated investments (cost $89,179,684)		89,179,684
Foreign currency, at value (cost $330,092)		329,558
Cash		54,494
Dividends and interest receivable		829,850
Foreign tax reclaim receivable		56,860
Prepaid expenses		7,811
Receivable for Series shares sold		1,519
Total Assets		1,242,829,522
LIABILITIES
Collateral for securities on loan		82,366,302
Payable for Series shares repurchased		1,102,695
Management fee payable		597,071
Payable for investments purchased		329,558
Accrued expenses and other liabilities		95,882
Shareholder servicing fees payable		65,316
Distribution fee payable		6,962
Administration fee payable		4,177
Deferred trustees’ fees		1,198
Affiliated transfer agent fee payable		926
Total Liabilities		84,570,087
NET ASSETS	$	1,158,259,435
Net assets were comprised of:
Paid-in capital	$	1,516,836,359
Retained earnings		(358,576,924	)
Net assets, December 31, 2011	$	1,158,259,435
Class I:
Net asset value and redemption price per share, $1,126,339,813 / 48,432,567 outstanding shares of beneficial interest	$	23.26
Class II:
Net asset value and redemption price per share, $31,919,622 / 1,394,516 outstanding shares of beneficial interest	$	22.89

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $340,956)	$	10,115,642
Affiliated income from securities loaned, net		151,067
Affiliated dividend income		11,139
		10,277,848
EXPENSES
Management fee		7,727,430
Distribution fee—Class II		84,473
Administration fee—Class II		50,684
Shareholders’ reports		222,000
Custodian’s fees and expenses		151,000
Trustees’ fees		23,000
Audit fee		19,000
Insurance expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		11,000
Legal fees and expenses		11,000
Commitment fee on syndicated credit agreement		8,000
Loan interest expense (Note 8)		2,466
Miscellaneous		19,307
Total expenses		8,343,360
NET INVESTMENT INCOME		1,934,488
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		127,204,474
Foreign currency transactions		(78,769	)
		127,125,705
Net change in unrealized appreciation (depreciation) on:
Investments		(112,345,128	)
Foreign currencies		(320	)
		(112,345,448	)
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		14,780,257
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	16,714,745

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	1,934,488		$	3,611,532
Net realized gain on investments and foreign currencies		127,125,705			114,535,580
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(112,345,448	)		27,395,126
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		16,714,745			145,542,238
DISTRIBUTIONS:
Class I		(3,609,872	)		(5,475,228	)
Class II		—			(5,201	)
TOTAL DISTRIBUTIONS		(3,609,872	)		(5,480,429	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		30,590,229			49,412,042
Series shares issued in reinvestment of distributions		3,609,872			5,480,429
Net asset value of shares issued in merger (Note 10)		—			42,323,832
Series shares repurchased		(284,374,219	)		(160,922,841	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(250,174,118	)		(63,706,538	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(237,069,245	)		76,355,271
NET ASSETS:
Beginning of year		1,395,328,680			1,318,973,409
End of year	$	1,158,259,435		$	1,395,328,680

SEE NOTES TO FINANCIAL STATEMENTS.

A120

	MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

	Interest Rate	Maturity Date		Principal Amount (000)		Value (Note 2)
Certificates of Deposit — 10.0%
Bank of Nova Scotia(a)	0.426%		05/10/12	$	7,000	$	7,000,000
Bank of Tokyo-Mitsubishi UFJ Ltd.	0.380%		01/23/12		5,000		5,000,000
Branch Banking & Trust Co.	0.230%		03/19/12		6,000		6,000,000
Deutsche Bank AG	0.300%		01/03/12		4,000		4,000,000
Deutsche Bank AG	0.390%		01/17/12		5,000		5,000,000
DNB NOR Bank ASA	0.520%		03/12/12		6,000		6,000,000
Nordea Bank Finland PLC	0.510%		03/19/12		2,000		1,999,868
Nordea Bank Finland PLC(a)	0.682%		02/03/12		13,000		13,003,056
Norinchukin Bank	0.310%		01/03/12		5,000		5,000,000
Rabobank Nederland NV	0.570%		04/20/12		4,000		3,999,753
Royal Bank of Canada(a)	0.328%		02/14/12		10,000		10,000,000
Royal Bank of Canada	0.350%		02/22/12		3,000		3,000,000
State Street Bank and Trust Co.	0.120%		01/17/12		3,000		3,000,000
State Street Bank and Trust Co.	0.130%		01/09/12		8,000		8,000,000
Sumitomo Mitsui Banking Corp.	0.210%		01/04/12		1,200		1,199,991
Sumitomo Mitsui Banking Corp.	0.320%		01/17/12		13,000		13,000,000
Svenska Handelsbanken AB	0.380%		02/03/12		6,000		6,000,000
Svenska Handelsbanken AB(a)	0.746%		03/29/12		900		899,959
							102,102,627
Commercial Paper — 24.0%
ABN Amro Funding USA LLC, 144A(b)	0.478%		01/09/12		8,000		7,999,151
AXA Financial, Inc., 144A(b)	0.350%		01/04/12		2,500		2,499,927
Barclays US Funding Corp.(b)	0.090%		01/03/12		12,000		11,999,940
Barclays US Funding Corp.(b)	0.420%		02/10/12		7,000		6,996,733
BHP Billiton Finance (USA) Ltd., 144A(b)	0.200%		02/15/12		11,000		10,997,250
BHP Billiton Finance (USA) Ltd., 144A(b)	0.200%		02/16/12		2,000		1,999,489
BHP Billiton Finance (USA) Ltd., 144A(b)	0.200%		02/17/12		6,000		5,998,433
Cargill Global Funding PLC, 144A (original cost $8,999,240; purchased 12/06/11)(b)(c)	0.080%		01/13/12		9,000		8,999,760
Commonwealth Bank of Australia, 144A(b)	0.300%		01/17/12		9,000		8,998,800
Commonwealth Bank of Australia, 144A	0.612%		06/22/12		4,000		3,998,552
Credit Suisse(b)	0.420%		01/27/12		6,000		5,998,180
DNB Bank ASA, 144A	0.421%		01/19/12		6,000		6,000,363
DNB Bank ASA, 144A(b)	0.521%		03/12/12		4,000		3,995,898
EDF SA, 144A(b)	0.300%		01/05/12		5,000		4,999,833
EDF SA, 144A(b)	0.320%		01/13/12		5,000		4,999,467
GDF Suez, 144A(b)	0.220%		01/06/12		2,000		1,999,939
GDF Suez, 144A(b)	0.220%		01/09/12		2,000		1,999,902
GDF Suez, 144A(b)	0.220%		01/10/12		4,000		3,999,780
HSBC USA, Inc.(b)	0.150%		01/12/12		5,000		4,999,771
IFC(b)	0.060%		02/06/12		20,000		19,998,800
ING (U.S.) Funding LLC(b)	0.260%		01/25/12		7,000		6,998,787
Nestle Finance International Ltd.(b)	0.100%		01/19/12		3,000		2,999,850
New York Life Capital Corp., 144A(b)	0.130%		02/15/12		8,000		7,998,700
Old Line Funding LLC, 144A(b)	0.140%		01/18/12		3,000		2,999,802
Old Line Funding LLC, 144A(b)	0.220%		02/02/12		4,039		4,038,210
Old Line Funding LLC, 144A(b)	0.220%		02/09/12		11,000		10,997,378
Old Line Funding LLC, 144A(b)	0.220%		02/15/12		3,000		2,999,175
Rabobank USA Financial Corp.(b)	0.350%		01/13/12		11,000		10,998,717
Schlumberger Holdings Corp., 144A(b)	0.060%		01/06/12		3,000		2,999,975
Schlumberger Holdings Corp., 144A(b)	0.100%		01/17/12		7,000		6,999,689
Skandinaviska Enskilda Banken AB, 144A(b)	0.581%		03/01/12		5,000		4,995,167
Skandinaviska Enskilda Banken AB, 144A(b)	0.601%		03/15/12		4,000		3,995,067
Standard Chartered Bank, 144A(b)	0.420%		01/17/12		2,000		1,999,627
Standard Chartered Bank, 144A(b)	0.471%		02/10/12		7,000		6,996,344
State Street Corp.(b)	0.200%		01/03/12		2,000		1,999,978
Svenska Handelsbanken, Inc., 144A(b)	0.486%		02/29/12		2,000		1,998,410

SEE NOTES TO FINANCIAL STATEMENTS.

A121

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

	Interest Rate		Maturity Date		Principal Amount (000)		Value (Note 2)
Commercial Paper (continued)
Swedbank AB(b)		0.400%		01/10/12	$	9,000	$	8,999,100
Swedbank AB(b)		0.430%		01/13/12		10,100		10,098,552
US Bank NA(b)		0.150%		01/13/12		6,000		5,999,700
US Bank NA		0.150%		01/17/12		4,000		4,000,000
World Bank(b)		0.060%		02/03/12		3,000		2,999,835
								243,592,031
Other Corporation Obligations — 1.6%
National Australia Bank Ltd., Sr. Unsec’d. Notes, 144A, MTN(a)		0.679%		02/01/12		3,000		3,001,058
New York Life Global Funding, Notes, 144A(a)		0.538%		08/22/12		1,000		1,000,399
Province of Ontario Canada, MTN		2.625%		01/20/12		5,031		5,037,293
Toyota Motor Credit Corp., Notes, MTN(a)		0.650%		11/09/12		3,500		3,500,000
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN(a)		0.603%		10/18/12		3,500		3,500,000
								16,038,750
Other Instruments – Agency Bonds — 2.3%
Bank of America Corp., FDIC Gtd. Notes, MTN		2.100%		04/30/12		2,000		2,013,067
Bank of America Corp., FDIC Gtd. Notes, MTN		2.375%		06/22/12		2,600		2,627,224
Bank of America Corp., FDIC Gtd. Notes, MTN		3.125%		06/15/12		5,000		5,064,887
General Electric Capital Corp., FDIC Gtd. Notes, MTN		2.250%		03/12/12		300		301,252
Morgan Stanley, FDIC Gtd. Notes(a)		0.724%		02/10/12		1,000		1,000,736
Pooled Funding Trust I, FDIC Gtd. Notes, 144A		2.740%		02/15/12		3,000		3,009,597
Pooled Funding Trust II, FDIC Gtd. Notes, 144A		2.625%		03/30/12		9,000		9,055,042
								23,071,805
Time Deposits — 1.8%
Chase Bank USA NA		0.010%		01/03/12		11,000		11,000,000
U.S. Bank National Association		0.150%		01/03/12		7,000		7,000,000
								18,000,000
U.S. Government Agencies — 28.6%
Federal Home Loan Bank(b)		0.020%		03/15/12		4,000		3,999,835
Federal Home Loan Bank(b)		0.030%		01/20/12		4,000		3,999,937
Federal Home Loan Bank(b)		0.030%		02/17/12		6,000		5,999,765
Federal Home Loan Bank(b)		0.030%		03/16/12		4,000		3,999,750
Federal Home Loan Bank(b)		0.030%		03/19/12		3,000		2,999,805
Federal Home Loan Bank(b)		0.050%		01/18/12		7,000		6,999,835
Federal Home Loan Bank(b)		0.100%		04/09/12		25,000		24,993,125
Federal Home Loan Bank(b)		0.110%		08/01/12		9,000		8,994,142
Federal Home Loan Bank		0.120%		01/30/12		4,000		3,999,929
Federal Home Loan Bank(b)		0.160%		05/15/12		10,000		9,994,000
Federal Home Loan Bank(b)		0.160%		06/15/12		11,500		11,491,515
Federal Home Loan Bank		0.200%		05/11/12		9,000		8,999,250
Federal Home Loan Bank		0.625%		01/13/12		15,000		15,002,574
Federal Home Loan Mortgage Corp.(b)		0.030%		04/25/12		5,000		4,999,521
Federal Home Loan Mortgage Corp.(b)		0.040%		05/22/12		10,000		9,998,422
Federal Home Loan Mortgage Corp.(b)		0.065%		06/12/12		6,000		5,998,234
Federal Home Loan Mortgage Corp.(b)		0.080%		07/11/12		4,000		3,998,293
Federal Home Loan Mortgage Corp.(b)		0.090%		01/03/12		20,000		19,999,900
Federal Home Loan Mortgage Corp.(b)		0.100%		04/02/12		20,000		19,994,889
Federal Home Loan Mortgage Corp.(b)		0.100%		06/06/12		4,000		3,998,256
Federal Home Loan Mortgage Corp., MTN(a)		0.243%		02/16/12		9,000		9,000,240
Federal Home Loan Mortgage Corp.		1.750%		06/15/12		15,000		15,110,844
Federal National Mortgage Association(b)		0.030%		04/16/12		11,000		10,999,028
Federal National Mortgage Association(b)		0.060%		05/07/12		6,000		5,998,730
Federal National Mortgage Association(b)		0.100%		02/13/12		10,000		9,998,806
Federal National Mortgage Association(b)		0.100%		03/01/12		6,000		5,999,000
Federal National Mortgage Association(b)		0.100%		06/01/12		15,000		14,993,667
Federal National Mortgage Association(b)		0.101%		04/25/12		11,000		10,996,486

SEE NOTES TO FINANCIAL STATEMENTS.

A122

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

	Interest Rate		Maturity Date	Principal Amount (000)		Value (Note 2)
U.S. Government Agencies (continued)
Federal National Mortgage Association(b)		0.150%	01/17/12	$	20,000	$	19,998,667
Federal National Mortgage Association(a)		0.312%	08/23/12		7,000		7,003,028
							290,559,473
U.S. Treasury Securities — 7.7%
U.S. Treasury Bill(b)		0.033%	01/05/12		23,000		22,999,917
U.S. Treasury Bill(b)		0.050%	01/12/12		5,000		4,999,924
U.S. Treasury Bill(b)		0.060%	01/19/12		10,000		9,999,700
U.S. Treasury Note		0.875%	01/31/12		11,000		11,005,058
U.S. Treasury Note		1.875%	06/15/12		5,000		5,040,606
U.S. Treasury Note		4.125%	08/31/12		15,000		15,398,767
U.S. Treasury Note		4.625%	07/31/12		9,000		9,236,639
							78,680,611
Repurchase Agreements(d) — 23.3%
Barclays Capital, Inc., 0.030%, dated 12/27/11, due 01/03/12 in the amount of $50,000,292 (cost 50,000,000)		0.030%	01/03/12		50,000		50,000,000
BNP Paribas Securities Corp., 0.100%, dated 12/27/11, due 01/03/12 in the amount of $13,000,253 (cost 13,000,000)		0.100%	01/03/12		13,000		13,000,000
Credit Suisse Securities Corp., 0.090%, dated 12/14/11, due 01/04/12 in the amount of $13,000,683 (cost 13,000,000)(e)		0.090%	01/04/12		13,000		13,000,000
Credit Suisse Securities Corp., 0.150%, dated 12/08/11, due 01/05/12 in the amount of $13,001,517 (cost 13,000,000)(e)		0.150%	01/05/12		13,000		13,000,000
Deutsche Bank Securities, Inc., 0.050%, dated 12/28/11, due 01/04/12 in the amount of $7,000,068 (cost 7,000,000)		0.050%	01/04/12		7,000		7,000,000
Deutsche Bank Securities, Inc., 0.060%, dated 12/29/11, due 01/05/12 in the amount of $9,000,105 (cost 9,000,000)		0.060%	01/05/12		9,000		9,000,000
Deutsche Bank Securities, Inc., 0.080%, dated 12/27/11, due 01/03/12 in the amount of $18,000,280 (cost 18,000,000)		0.080%	01/03/12		18,000		18,000,000
Goldman Sachs & Co., 0.090%, dated 12/28/11, due 01/04/12 in the amount of $21,000,368 (cost 21,000,000)		0.090%	01/04/12		21,000		21,000,000
Goldman Sachs & Co., 0.100%, dated 12/30/11, due 01/06/12 in the amount of $25,000,486 (cost 25,000,000)		0.100%	01/06/12		25,000		25,000,000
Goldman Sachs & Co., 0.140%, dated 12/15/11, due 01/05/12 in the amount of $13,001,062 (cost 13,000,000)(e)		0.140%	01/05/12		13,000		13,000,000
HSBC Securities (USA), Inc., 0.050%, dated 12/30/11, due 01/03/12 in the amount of $25,000,139 (cost 25,000,000)		0.050%	01/03/12		25,000		25,000,000
RBS Securities, Inc., 0.040%, dated 12/30/11, due 01/03/12 in the amount of $24,059,107 (cost 24,059,000)		0.040%	01/03/12		24,059		24,059,000
UBS Securities LLC, 0.020%, dated 12/30/11, due 01/03/12 in the amount of $6,000,013 (cost 6,000,000)		0.020%	01/03/12		6,000		6,000,000
							237,059,000
TOTAL INVESTMENTS — 99.3%
(amortized cost $1,009,104,297)							1,009,104,297
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.7%							6,888,378
NET ASSETS — 100.0%						$	1,015,992,675

SEE NOTES TO FINANCIAL STATEMENTS.

A123

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
FDIC	Federal Deposit Insurance Corp.
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GNMA	Government National Mortgage Association
MTN	Medium Term Note

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2011.

(b) Rate quoted represents yield-to-maturity as of purchase date.

(c) Indicates a restricted security; the aggregate original cost of such security is $8,999,240. The aggregate value of $8,999,760 is approximately 0.9% of net assets.

(d) Repurchase agreements are collateralized by FNMA (coupon rates 4.00%-5.50%, maturity dates 10/01/39-09/01/41), FHLMC (coupon rates 4.00%-7.00%, maturity dates 07/01/26-03/01/39), GNMA (coupon rates 3.50%-7.00%, maturity dates 12/15/26-12/15/41) and U.S. Treasury Securities (coupon rates 0.75%-3.63%, maturity dates 10/31/13-01/15/28), with the aggregate value, including accrued interest, of $242,066,064.

(e) Indicates a security that has been deemed illiquid.

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	102,102,627	$	—
Commercial Paper		—		243,592,031		—
Other Corporation Obligations		—		16,038,750		—
Other Instruments – Agency Bonds		—		23,071,805		—
Time Deposits		—		18,000,000		—
U.S. Government Agencies		—		290,559,473		—
U.S. Treasury Securities		—		78,680,611		—
Repurchase Agreements		—		237,059,000		—
Total	$	—	$	1,009,104,297	$	—

The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2011 were as follows:

U.S. Government Agencies	28.6	%
Commercial Paper	24.0
Repurchase Agreements	23.3
Certificates of Deposit	10.0
U.S. Treasury Securities	7.7
Other Instruments – Agency Bonds	2.3
Time Deposits	1.8
Other Corporation Obligations	1.6
	99.3
Other assets in excess of liabilities	0.7
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A124

MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at amortized cost which approximates fair value	$	1,009,104,297
Receivable for Series shares sold		6,734,932
Interest receivable		741,418
Prepaid expenses		6,067
Total Assets		1,016,586,714
LIABILITIES
Payable for Series shares repurchased		329,283
Accrued expenses and other liabilities		148,341
Management fee payable		109,167
Payable to custodian		6,322
Affiliated transfer agent fee payable		926
Total Liabilities		594,039
NET ASSETS	$	1,015,992,675
Net assets were comprised of:
Paid-in capital	$	1,015,992,675
Net assets, December 31, 2011	$	1,015,992,675
Net asset value and redemption price per share, $1,015,992,675 / 101,596,279 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Interest	$	2,142,554
EXPENSES
Management fee		4,244,233
Custodian’s fees and expenses		142,000
Shareholders’ reports		41,000
Trustees’ fees		20,000
Audit fee		19,000
Insurance expenses		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		11,000
Legal fees and expenses		8,000
Miscellaneous		12,445
Total expenses		4,510,678
Less: Management fee waiver (Note 3)		(2,580,455	)
Net expenses		1,930,223
NET INVESTMENT INCOME		212,331
NET REALIZED GAIN ON INVESTMENT TRANSACTIONS		21,156
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	233,487

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	212,331		$	358,857
Net realized gain on investment transactions		21,156			37,109
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		233,487			395,966
DISTRIBUTIONS		(233,487	)		(395,966	)
SERIES SHARE TRANSACTIONS:
Series shares sold [20,814,304 and 30,750,286 shares, respectively]		208,143,040			307,502,858
Series shares issued in reinvestment of distributions [23,339 and 39,595 shares, respectively]		233,487			395,966
Series shares repurchased [31,944,588 and 40,424,384 shares, respectively]		(319,445,880	)		(404,243,840	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(111,069,353	)		(96,345,016	)
CAPITAL CONTRIBUTIONS (Note 7)
Proceeds from regulatory settlement		—			29,738
TOTAL DECREASE IN NET ASSETS		(111,069,353	)		(96,315,278	)
NET ASSETS:
Beginning of year		1,127,062,028			1,223,377,306
End of year	$	1,015,992,675		$	1,127,062,028

SEE NOTES TO FINANCIAL STATEMENTS.

A125

	NATURAL RESOURCES PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 98.2%
COMMON STOCKS — 97.9%	Shares		Value (Note 2)
Chemicals — 1.6%
Celanese Corp., Ser. A		14,925	$	660,730
Mosaic Co. (The)		177,070		8,929,640
Neo Material Technologies, Inc. (Canada)*		277,051		1,993,407
Potash Corp. of Saskatchewan, Inc.		112,897		4,660,388
				16,244,165
Construction Materials — 1.7%
Holcim Ltd. (Switzerland)		22,316		1,193,846
Indocement Tunggal Prakarsa Tbk PT (Indonesia)		3,831,451		7,204,438
Semen Gresik Persero Tbk PT (Indonesia)		6,332,998		7,997,003
Vulcan Materials Co.(a)		4,815		189,470
				16,584,757
Energy Equipment & Services — 22.5%
Baker Hughes, Inc.		21,184		1,030,390
Cameron International Corp.*		497,006		24,447,725
Core Laboratories NV(a)		52,391		5,969,955
Dresser-Rand Group, Inc.*		200,898		10,026,819
Dril-Quip, Inc.*		259,815		17,101,023
Ensco PLC (United Kingdom), ADR		202,429		9,497,969
FMC Technologies, Inc.*(a)		337,035		17,603,338
Halliburton Co.		627,567		21,657,337
Helmerich & Payne, Inc.		195,533		11,411,306
Key Energy Services, Inc.*		671,621		10,389,977
Lufkin Industries, Inc.		129,100		8,689,721
Nabors Industries Ltd.*		330,004		5,722,269
National Oilwell Varco, Inc.		406,837		27,660,848
Noble Corp.		35,922		1,085,563
OSX Brasil SA (Brazil), 144A*		409,350		2,523,804
Patterson-UTI Energy, Inc.		536,451		10,718,291
Rowan Cos., Inc.*		315,790		9,577,911
Saipem SpA (Italy)		31,679		1,346,865
Schlumberger Ltd.		341,201		23,307,440
Technip SA (France)		13,999		1,315,741
Tenaris SA (Luxembourg), ADR		32,067		1,192,251
Weatherford International Ltd.*		77,771		1,138,567
				223,415,110
Food Products — 0.2%
Adecoagro SA*		256,842		2,124,083
Agrenco Ltd. (Brazil), 144A*		1,166,700		93,824
				2,217,907
Metals & Mining — 27.1%
African Rainbow Minerals Ltd. (South Africa)		302,040		6,398,082
Agnico-Eagle Mines Ltd.		36,091		1,310,825
Alacer Gold Corp.*		818,604		8,429,110
Alamos Gold, Inc. (Canada)		385,128		6,634,598
Alcoa, Inc.		106,847		924,227
AXMIN, Inc. (Canada)*		1,556,200		68,740
Barrick Gold Corp.		27,131		1,227,678
BHP Billiton Ltd. (Australia), ADR(a)		197,177		13,926,612
Cia de Minas Buenaventura SA (Peru), ADR		302,482		11,597,160
Cliffs Natural Resources, Inc.		296,419		18,481,725

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Metals & Mining (continued)
Detour Gold Corp. (Canada),*		153,028	$	3,777,820
Eldorado Gold Corp. (Canada)		1,158,821		15,947,652
European Goldfields Ltd. (Canada)*		529,054		6,169,484
First Quantum Minerals Ltd. (Canada)		951,315		18,722,813
First Uranium Corp. (South Africa), 144A*		400,000		64,785
First Uranium Corp. (South Africa)*		61,100		9,896
Freeport-McMoRan Copper & Gold, Inc.		437,303		16,088,377
Gabriel Resources Ltd. (Canada)*(a)		600,701		3,702,972
Gold Reserve, Inc. (NYSE)*		121,100		339,080
Gold Reserve, Inc. (TSX)*		124,300		348,955
Goldcorp, Inc.		26,892		1,189,971
Highland Gold Mining Ltd. (United Kingdom)		195,600		571,077
Iamgold Corp. (Canada)		70,974		1,127,224
Iluka Resources Ltd. (Australia)		68,939		1,092,916
Impala Platinum Holdings Ltd. (South Africa), ADR		341,190		7,031,926
Kinross Gold Corp.		825,171		9,406,949
Nevsun Resources Ltd. (Canada)		989,556		5,497,803
Newcrest Mining Ltd. (Australia)		304,977		9,233,126
Newmont Mining Corp.		17,803		1,068,358
Northern Dynasty Minerals Ltd.*(a)		399,636		2,413,801
Nucor Corp.		30,099		1,191,017
Pan American Silver Corp. (Canada)		118,954		2,601,517
Pan American Silver Corp.		262,519		5,725,539
Pilot Gold, Inc. (Canada)*		110,875		140,396
Platinum Group Metals Ltd.*		1,234,422		1,073,947
Platmin Ltd., Private Placement (South Africa), 144A (original cost $1,102,975; purchased 11/27/2007)*(b)(c)		129,100		17,108
Quadra FNX Mining Ltd. (Canada)*		222,658		3,295,885
Randgold Resources Ltd. (Jersey Islands), ADR		203,703		20,798,076
Reliance Steel & Aluminum Co.		175,677		8,553,713
Rio Tinto PLC (United Kingdom), ADR(a)		224,655		10,990,123
Seabridge Gold, Inc.*(a)		123,150		1,983,946
SEMAFO, Inc. (Canada), 144A		1,126,530		7,298,256
Silver Wheaton Corp.		312,448		9,048,494
Southern Copper Corp.		162,388		4,900,870
Tahoe Resources, Inc., 144A*		116,000		2,013,134
Tahoe Resources, Inc.*		54,907		952,889
Teck Resources Ltd. (Canada)		8,313		293,026
United States Steel Corp.(a)		34,287		907,234
Vedanta Resources PLC (United Kingdom)		9,960		156,998
Walter Energy, Inc.		16,130		976,833
Western Areas NL (Australia)		354,812		1,847,166
Xstrata PLC (Switzerland)		740,408		11,245,481
Yamana Gold, Inc.		70,750		1,039,317
				269,854,707

SEE NOTES TO FINANCIAL STATEMENTS.

A126

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels — 44.8%
Adaro Energy TBK PT (Indonesia)		32,472,696	$	6,338,756
Advantage Oil & Gas Ltd. REG D (Canada)*		332,000		1,381,772
Anadarko Petroleum Corp.		299,291		22,844,882
Apache Corp.		165,409		14,982,747
Arch Coal, Inc.		51,431		746,264
Bankers Petroleum Ltd. (Canada)*(a)		1,036,124		4,515,721
BG Group PLC (United Kingdom)		608,421		13,006,142
Bill Barrett Corp.*		205,774		7,010,720
Bonavista Energy Corp. (Canada)		173,994		4,452,538
Cabot Oil & Gas Corp.		211,260		16,034,634
Cairn Energy PLC (United Kingdom)*		1,212,864		4,997,093
Cameco Corp. (Canada)		39,474		713,341
Canadian Oil Sands Ltd. (Canada)		48,946		1,117,050
Carrizo Oil & Gas, Inc.*(a)		250,899		6,611,189
Chesapeake Energy Corp.		42,582		949,153
Cimarex Energy Co.		190,876		11,815,224
Cobalt International Energy, Inc.*		522,811		8,114,027
Concho Resources, Inc.*		283,963		26,621,531
Consol Energy, Inc.		298,790		10,965,593
Denbury Resources, Inc.*(a)		692,281		10,453,443
Devon Energy Corp.		19,705		1,221,710
Energy XXI Bermuda Ltd.*(a)		148,738		4,741,767
EOG Resources, Inc.		144,800		14,264,248
EQT Corp.		19,910		1,090,869
Far East Energy Corp.*		4,866,388		1,021,941
FX Energy, Inc.*		199,243		956,366
Hess Corp.		172,087		9,774,542
HollyFrontier Corp.		600,973		14,062,768
HRT Participacoes EM Petroleo SA (Brazil)*		2,476		753,984
HRT Particpacoes EM Petroleo SA (Brazil), 144A*		3,700		1,126,712
Kodiak Oil & Gas Corp.*		725,650		6,893,675
Kosmos Energy Ltd.*		194,768		2,387,856
Laredo Petroleum Holdings, Inc.*		118,753		2,648,192
Linc Energy Ltd. (Australia), 144A*		1,570,292		1,766,701
Marathon Petroleum Corp.		387,176		12,889,089
MEG Energy Corp. (Canada), 144A*		131,600		5,369,926
Murphy Oil Corp.		24,339		1,356,656
Newfield Exploration Co.*		184,639		6,966,429
Niko Resources Ltd. (Canada)		70,958		3,359,317
Noble Energy, Inc.		297,508		28,081,780
Occidental Petroleum Corp.		221,374		20,742,744
OGX Petroleo e Gas Participacoes SA (Brazil)*		1,813,217		13,240,057
Oil Search Ltd. (Papua New Guinea)		1,026,146		6,559,627
Pacific Rubiales Energy Corp. (Canada)		589,576		10,839,518
Pioneer Natural Resources Co.		12,948		1,158,587
Plains Exploration & Production Co.*		35,493		1,303,303
QGEP Participacoes SA (Brazil)(b)		156,526		1,384,629

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
QGEP Participacoes SA (Brazil), 144A(b)		413,300	$	3,656,051
Quicksilver Resources, Inc.*(a)		657,812		4,413,919
Range Resources Corp.		17,214		1,066,235
Rosetta Resources, Inc.*		206,491		8,982,359
Sanchez Energy Corp.*(a)		147,400		2,544,124
Southwestern Energy Co.*		496,262		15,850,608
Suncor Energy, Inc.		429,597		12,385,282
Sunoco, Inc.		28,793		1,181,089
Talisman Energy, Inc.		979,875		12,493,406
Trident Resources Corp., Private Placement (original cost $9,770,532; purchased 6/30/2010)*(b)(c)		24,233		11,941,108
Ultra Petroleum Corp.*		34,840		1,032,309
Whiting Petroleum Corp.*		304,504		14,217,292
Williams Cos., Inc. (The)		8,718		287,868
Woodside Petroleum Ltd. (Australia)		27,885		873,305
Zodiac Exploration, Inc. (Canada)*(b)		4,820,909		1,514,297
Zodiac Exploration, Inc.—D Shares (Canada)*(b)		11,600,000		3,643,681
				445,717,746
TOTAL COMMON STOCKS (cost $732,033,341)				974,034,392
PREFERRED STOCK — 0.3%
Metals & Mining
Iron Co./Manabi, Private Placement, 144A (original cost $3,660,000; purchased 05/25/2011)*(b)(c)		3,660		3,180,742
	Units
RIGHT
Oil, Gas & Consumable Fuels
Trident Resources Corp. CVR, Private Placement (original cost $0; purchased 06/30/2010)*(b)(c)		9,007		—
WARRANT
Metals & Mining
Crystallex International Corp. (Canada), Private Placement expiring 11/04/14 (original cost $0; purchased 11/04/2009)*(b)(c)		221,350		—
TOTAL LONG-TERM INVESTMENTS (cost $735,693,341)				977,215,134

SEE NOTES TO FINANCIAL STATEMENTS.

A127

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

SHORT-TERM INVESTMENT — 6.2%	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $61,182,312; includes $43,202,233 of cash collateral received for securities on loan) (Note 4)(d)(e)		61,182,312	$	61,182,312
TOTAL INVESTMENTS — 104.4% (cost $796,875,653)				1,038,397,446
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.4)%				(43,911,158	)
NET ASSETS — 100.0%			$	994,486,288

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR	American Depositary Receipt
CVR	Contingent Value Rights
NYSE	New York Stock Exchange
TSX	Toronto Stock Exchange

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $42,183,720; cash collateral of $43,202,233 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Indicates a security that has been deemed illiquid.

(c) Indicates a restricted security; the aggregate original cost of such securities is $14,533,507. The aggregate value of $15,138,958 is approximately 1.5% of net assets.

(d) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(e) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2-Prudential Core Taxable Money Market Fund.

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

Level 1—quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which are trade at daily net asset value.

Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	962,076,176	$	—	$	11,958,216
Preferred Stock		—		—		3,180,742
Right		—		—		—
Warrant		—		—		—
Affiliated Money Market Mutual Fund		61,182,312		—		—
Total	$	1,023,258,488	$	—	$	15,138,958

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

	Common Stocks			Preferred Stocks
Balance as of 12/31/10	$	14,313,416		$	—
Realized gain (loss)		—			—
Change in unrealized appreciation (depreciation)*		(1,658,285	)		(479,258	)
Purchases		—			3,660,000
Sales		—			—
Transfers into Level 3		115,558			—
Transfers out of Level 3		(812,473	)		—
Balance as of 12/31/11	$	11,958,216		$	3,180,742

* Of which $(3,124,960) was included in Net Assets relating to securities held at the reporting period end.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, there was one common stock security transferred from Level 3 into Level 1 as a result of the resumption of pricing available on a major exchange and there was one common stock security transferred into Level 3 as a result of the security being delisted from a major exchange.

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Oil, Gas & Consumable Fuels	44.8	%
Metals & Mining	27.4
Energy Equipment & Services	22.5
Affiliated Money Market Mutual Fund (including 4.3% of collateral received for securities on loan)	6.2
Construction Materials	1.7
Chemicals	1.6
Food Products	0.2
	104.4
Liabilities in excess of other assets	(4.4	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A128

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative Instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts	Unaffiliated investments	$	—	—	$	—

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights
Equity contracts	$	—

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Warrants
Equity contracts	$	—	*

* Less than $0.50.

SEE NOTES TO FINANCIAL STATEMENTS.

A129

NATURAL RESOURCES PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $42,183,720:
Unaffiliated investments (cost $735,693,341)	$	977,215,134
Affiliated investments (cost $61,182,312)		61,182,312
Foreign currency, at value (cost $9)		9
Dividends and interest receivable		394,210
Receivable for Series shares sold		39,002
Foreign tax reclaim receivable		34,657
Prepaid expenses		7,611
Total Assets		1,038,872,935
LIABILITIES
Collateral for securities on loan		43,202,233
Payable for Series shares repurchased		571,097
Management fee payable		388,273
Accrued expenses and other liabilities		190,098
Distribution fee payable		14,819
Payable to custodian		10,304
Administration fee payable		8,897
Affiliated transfer agent fee payable		926
Total Liabilities		44,386,647
NET ASSETS	$	994,486,288
Net assets were comprised of:
Paid-in capital	$	696,324,948
Retained earnings		298,161,340
Net assets, December 31, 2011	$	994,486,288
Class I:
Net asset value and redemption price per share, $926,581,473 / 24,221,965 outstanding shares of beneficial interest	$	38.25
Class II:
Net asset value and redemption price per share, $67,904,815 / 1,792,278 outstanding shares of beneficial interest	$	37.89

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $482,016)	$	10,200,496
Affiliated income from securities loaned, net		245,184
Affiliated dividend income		40,158
		10,485,838
EXPENSES
Management fee		5,483,148
Distribution fee—Class II		220,893
Administration fee—Class II		132,536
Custodian’s fees and expenses		295,000
Shareholders’ reports		212,000
Trustees’ fees		23,000
Audit fee		19,000
Insurance expenses		13,000
Legal fees and expenses		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Commitment fee on syndicated credit agreement		8,000
Miscellaneous		18,999
Total expenses		6,450,576
NET INVESTMENT INCOME		4,035,262
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		115,643,731
Foreign currency transactions		(700,994	)
		114,942,737
Net change in unrealized appreciation (depreciation) on:
Investments		(360,408,467	)
Foreign currencies		(1,130	)
		(360,409,597	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(245,466,860	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(241,431,598	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	4,035,262		$	2,137,937
Net realized gain on investments and foreign currencies		114,942,737			26,702,014
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(360,409,597	)		265,699,126
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(241,431,598	)		294,539,077
DISTRIBUTIONS:
Class I		(2,137,134	)		(4,476,261	)
Class II		—			(63,676	)
TOTAL DISTRIBUTIONS		(2,137,134	)		(4,539,937	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		55,798,740			59,180,958
Series shares issued in reinvestment of distributions		2,137,134			4,539,937
Series shares repurchased		(181,286,548	)		(164,454,211	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(123,350,674	)		(100,733,316	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(366,919,406	)		189,265,824
NET ASSETS:
Beginning of year		1,361,405,694			1,172,139,870
End of year	$	994,486,288		$	1,361,405,694

SEE NOTES TO FINANCIAL STATEMENTS.

A130

	SMALL CAPITALIZATION STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 98.8%
COMMON STOCKS — 98.3%	Shares		Value (Note 2)
Aerospace & Defense — 2.3%
AAR Corp.		45,071	$	864,011
Aerovironment, Inc.*		20,614		648,723
American Science & Engineering, Inc.		10,416		709,434
Ceradyne, Inc.*		28,305		758,008
Cubic Corp.		18,473		805,238
Curtiss-Wright Corp.		54,602		1,929,089
GenCorp, Inc.*(a)		68,675		365,351
Moog, Inc. (Class A Stock)*		52,794		2,319,240
National Presto Industries, Inc.(a)		5,699		533,426
Orbital Sciences Corp.*		68,240		991,527
Teledyne Technologies, Inc.*		43,196		2,369,301
				12,293,348
Air Freight & Logistics — 0.5%
Forward Air Corp.		33,356		1,069,060
HUB Group, Inc. (Class A Stock)*		43,870		1,422,704
				2,491,764
Airlines — 0.3%
Allegiant Travel Co.*(a)		17,594		938,464
SkyWest, Inc.		59,160		744,824
				1,683,288
Auto Components — 0.3%
Drew Industries, Inc.*(a)		22,089		541,843
Spartan Motors, Inc.		37,683		181,255
Standard Motor Products, Inc.		22,499		451,105
Superior Industries International, Inc.		27,518		455,148
				1,629,351
Automobiles — 0.1%
Winnebago Industries, Inc.*		33,331		245,983
Beverages — 0.2%
Boston Beer Co., Inc. (The) (Class A Stock)*(a)		9,825		1,066,602
Biotechnology — 0.7%
ArQule, Inc.*		61,401		346,302
Cubist Pharmaceuticals, Inc.*(a)		71,969		2,851,412
Emergent Biosolutions, Inc.*		28,757		484,268
Savient Pharmaceuticals, Inc.*(a)		80,958		180,536
				3,862,518
Building Products — 1.3%
A.O. Smith Corp.		45,484		1,824,818
AAON, Inc.		21,884		448,403
Apogee Enterprises, Inc.		33,038		405,046
Gibraltar Industries, Inc.*		35,368		493,737
Griffon Corp.		53,429		487,807
NCI Building Systems, Inc.*		22,418		243,683
Quanex Building Products Corp.		42,788		642,676
Simpson Manufacturing Co., Inc.		47,283		1,591,546
Universal Forest Products, Inc.		22,764		702,725
				6,840,441
Capital Markets — 1.0%
Calamos Asset Management, Inc. (Class A Stock)		23,500		293,985
Financial Engines, Inc.*(a)		45,800		1,022,714

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Capital Markets (continued)
Investment Technology Group, Inc.*		46,166	$	499,054
Piper Jaffray Cos.*		17,965		362,893
Prospect Capital Corp.(a)		127,400		1,183,546
Stifel Financial Corp.*		62,630		2,007,292
SWS Group, Inc.		32,826		225,515
				5,594,999
Chemicals — 2.2%
A. Schulman, Inc.		34,166		723,636
American Vanguard Corp.		26,548		354,150
Balchem Corp.		33,883		1,373,617
Calgon Carbon Corp.*		65,854		1,034,566
Hawkins, Inc.(a)		10,500		387,030
HB Fuller Co.		57,218		1,322,308
Koppers Holdings, Inc.		24,100		828,076
Kraton Performance Polymers, Inc.*		37,300		757,190
LSB Industries, Inc.*		21,700		608,251
OM Group, Inc.*		37,756		845,357
PolyOne Corp.		105,302		1,216,238
Quaker Chemical Corp.		15,098		587,161
Stepan Co.		9,685		776,350
Tredegar Corp.		27,135		602,940
Zep, Inc.		25,207		352,394
				11,769,264
Commercial Banks — 5.5%
Bank of The Ozarks, Inc.		33,236		984,783
BBCN Bancorp, Inc.*		90,482		855,055
Boston Private Financial Holdings, Inc.		89,302		709,058
City Holding Co.(a)		17,244		584,399
Columbia Banking System, Inc.		46,208		890,428
Community Bank System, Inc.		43,096		1,198,069
First Bancorp (Puerto Rico)*		23,372		81,568
First Commonwealth Financial Corp.		120,010		631,253
First Financial Bancorp		67,803		1,128,242
First Financial Bankshares, Inc.(a)		36,639		1,224,842
First Midwest Bancorp, Inc.		86,540		876,650
FNB Corp.		161,200		1,823,172
Glacier Bancorp, Inc.(a)		83,573		1,005,383
Hanmi Financial Corp.*(a)		35,335		261,479
Home Bancshares, Inc.		26,152		677,598
Independent Bank Corp.(a)		25,006		682,414
National Penn Bancshares, Inc.		143,076		1,207,561
NBT Bancorp, Inc.(a)		38,510		852,226
Old National Bancorp		110,247		1,284,378
PacWest Bancorp		39,000		739,050
Pinnacle Financial Partners, Inc.*(a)		39,771		642,302
PrivateBancorp, Inc.		69,249		760,354
S&T Bancorp, Inc.		32,873		642,667
Simmons First National Corp. (Class A Stock)		20,178		548,640
Sterling Bancorp		35,154		303,731
Susquehanna Bancshares, Inc.		182,509		1,529,425
Texas Capital Bancshares, Inc.*(a)		43,800		1,340,718
Tompkins Financial Corp.		9,664		372,161
UMB Financial Corp.		37,772		1,407,007
Umpqua Holdings Corp.		133,470		1,653,693
United Bankshares, Inc.(a)		52,697		1,489,744

SEE NOTES TO FINANCIAL STATEMENTS.

A131

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Commercial Banks (continued)
United Community Banks, Inc.*(a)		21,587	$	150,893
Wilshire Bancorp, Inc.*		67,813		246,161
Wintrust Financial Corp.(a)		42,013		1,178,465
				29,963,569
Commercial Services & Supplies — 2.5%
ABM Industries, Inc.		56,003		1,154,782
Consolidated Graphics, Inc.*		10,457		504,864
Encore Capital Group, Inc.*		25,500		542,130
G&K Services, Inc. (Class A Stock)		21,919		638,062
Geo Group, Inc. (The)*		72,873		1,220,623
Healthcare Services Group, Inc.		77,776		1,375,857
Interface, Inc. (Class A Stock)		66,802		770,895
Mobile Mini, Inc.*		40,697		710,163
Portfolio Recovery Associates, Inc.*		20,019		1,351,683
Standard Register Co. (The)		13,932		32,462
Sykes Enterprises, Inc.*		46,370		726,154
Tetra Tech, Inc.*		73,088		1,577,970
Unifirst Corp.		17,930		1,017,348
United Stationers, Inc.		49,842		1,622,855
Viad Corp.		23,447		409,854
				13,655,702
Communications Equipment — 1.9%
Arris Group, Inc.*		137,511		1,487,869
Bel Fuse, Inc. (Class B Stock)		11,822		221,662
Black Box Corp.		20,593		577,428
Blue Coat Systems, Inc.*		50,050		1,273,772
Comtech Telecommunications Corp.		23,859		682,845
Digi International, Inc.*		28,964		323,238
Harmonic, Inc.*		134,624		678,505
NETGEAR, Inc.*		43,946		1,475,267
Oplink Communications, Inc.*		22,300		367,281
PC-Tel, Inc.		20,884		142,847
Symmetricom, Inc.*		48,447		261,129
Tekelec*		71,527		781,790
ViaSat, Inc.*		49,415		2,279,020
				10,552,653
Computers & Peripherals — 0.6%
Avid Technology, Inc.*		33,147		282,744
Intermec, Inc.*		57,976		397,715
Intevac, Inc.*		25,744		190,506
Novatel Wireless, Inc.*		36,516		114,295
Stratasys, Inc.*(a)		24,698		751,066
Super Micro Computer, Inc.*		32,200		504,896
Synaptics, Inc.*		37,579		1,133,007
				3,374,229
Construction & Engineering — 0.8%
Aegion Corp.*		45,237		693,936
Comfort Systems USA, Inc.		42,784		458,644
Dycom Industries, Inc.*		39,331		822,805
EMCOR Group, Inc.		77,825		2,086,488
Orion Marine Group, Inc.*		30,100		200,165
				4,262,038
Construction Materials — 0.5%
Eagle Materials, Inc.		52,472		1,346,431

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Construction Materials (continued)
Headwaters, Inc.*		69,568	$	154,441
Texas Industries, Inc.(a)		32,623		1,004,136
				2,505,008
Consumer Finance — 1.0%
Cash America International, Inc.		34,244		1,596,798
Ezcorp, Inc. (Class A Stock)*		51,211		1,350,434
First Cash Financial Services, Inc.*		35,225		1,236,045
World Acceptance Corp.*(a)		17,052		1,253,322
				5,436,599
Containers & Packaging — 0.1%
Myers Industries, Inc.		38,720		477,805
Distributors — 0.3%
Pool Corp.		55,555		1,672,205
VOXX International Corp.*		21,457		181,312
				1,853,517
Diversified Consumer Services — 1.1%
American Public Education, Inc.*(a)		20,933		905,980
Capella Education Co.*		16,786		605,135
Career Education Corp.*		69,300		552,321
Coinstar, Inc.*(a)		36,031		1,644,455
Corinthian Colleges, Inc.*(a)		95,200		206,584
Hillenbrand, Inc.		73,048		1,630,431
Lincoln Educational Services Corp.		25,500		201,450
School Specialty, Inc.*(a)		18,097		45,243
Universal Technical Institute, Inc.*		24,506		313,187
				6,104,786
Diversified Financial Services — 0.1%
Interactive Brokers Group, Inc. (Class A Stock)		45,000		672,300
Diversified Telecommunication Services — 0.5%
Atlantic Tele-Network, Inc.		10,800		421,740
Cbeyond, Inc.*		35,137		281,447
Cincinnati Bell, Inc.*		225,800		684,174
General Communication, Inc. (Class A Stock)*		40,424		395,751
Lumos Networks Corp.		17,321		265,704
Neutral Tandem, Inc.*		36,552		390,741
				2,439,557
Electric Utilities — 1.4%
ALLETE, Inc.		37,897		1,590,916
Central Vermont Public Service Corp.		15,678		550,298
El Paso Electric Co.		47,008		1,628,357
UIL Holdings Corp.		58,811		2,080,145
Unisource Energy Corp.		43,151		1,593,135
				7,442,851
Electrical Equipment — 1.7%
AZZ, Inc.		14,721		668,922
Belden, Inc.		54,412		1,810,831
Brady Corp. (Class A Stock)		61,122		1,929,622
Encore Wire Corp.		22,331		578,373
EnerSys*		55,600		1,443,932
Franklin Electric Co., Inc.		22,000		958,320
II-VI, Inc.*		63,762		1,170,670

SEE NOTES TO FINANCIAL STATEMENTS.

A132

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Electrical Equipment (continued)
Powell Industries, Inc.*		10,472	$	327,564
Vicor Corp.		22,231		176,959
				9,065,193
Electronic Equipment, Instruments & Components — 4.2%
Agilysys, Inc.*		17,232		136,994
Anixter International, Inc.*		32,364		1,930,189
Badger Meter, Inc.		17,707		521,117
Benchmark Electronics, Inc.*		67,010		902,625
Brightpoint, Inc.*		79,231		852,526
Checkpoint Systems, Inc.*		46,839		512,419
Cognex Corp.		49,040		1,755,142
CTS Corp.		39,164		360,309
Daktronics, Inc.		42,508		406,802
DTS, Inc.*		19,385		528,047
Electro Scientific Industries, Inc.*		27,641		400,242
FARO Technologies, Inc.*		19,484		896,264
FEI Co.*(a)		43,912		1,790,731
Insight Enterprises, Inc.*		50,935		778,796
Littelfuse, Inc.		26,925		1,157,236
Measurement Specialties, Inc.*		17,500		489,300
Mercury Computer Systems, Inc.*		35,408		470,572
Methode Electronics, Inc.		42,166		349,556
MTS Systems Corp.		18,335		747,151
Newport Corp.*		43,708		594,866
OSI Systems, Inc.*		23,000		1,121,940
Park Electrochemical Corp.		24,144		618,569
Plexus Corp.*		40,320		1,103,962
Pulse Electronics Corp.		47,639		133,389
RadiSys Corp.*		25,935		131,231
Rofin-Sinar Technologies, Inc.*		33,400		763,190
Rogers Corp.*		18,931		697,797
Scansource, Inc.*		31,833		1,145,988
SYNNEX Corp.*		30,050		915,323
TTM Technologies, Inc.*		59,489		651,999
				22,864,272
Energy Equipment & Services — 2.4%
Basic Energy Services, Inc.*		34,217		674,075
Bristow Group, Inc.		42,155		1,997,725
Exterran Holdings, Inc.*		68,400		622,440
Gulf Island Fabrication, Inc.		16,777		490,056
Hornbeck Offshore Services, Inc.*(a)		39,715		1,231,959
ION Geophysical Corp.*(a)		147,945		906,903
Lufkin Industries, Inc.		35,558		2,393,409
Matrix Service Co.*		29,573		279,169
OYO Geospace Corp.*		5,400		417,582
Pioneer Drilling Co.*		71,617		693,253
SEACOR Holdings, Inc.*		25,371		2,257,004
Tetra Technologies, Inc.*		89,741		838,181
				12,801,756
Food & Staples Retailing — 1.2%
Andersons, Inc. (The)		21,716		948,121
Casey’s General Stores, Inc.		44,465		2,290,392
Nash Finch Co.		14,132		413,785
Spartan Stores, Inc.		26,688		493,728

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Food & Staples Retailing (continued)
United Natural Foods, Inc.*		56,993	$	2,280,290
				6,426,316
Food Products — 2.4%
B&G Foods, Inc.		55,800		1,343,106
Calavo Growers, Inc.		14,690		377,239
Cal-Maine Foods, Inc.(a)		16,795		614,193
Darling International, Inc.*		136,420		1,813,022
Diamond Foods, Inc.(a)		25,657		827,951
Hain Celestial Group, Inc. (The)*		51,515		1,888,540
J&J Snack Foods Corp.		16,818		896,063
Sanderson Farms, Inc.(a)		22,035		1,104,615
Seneca Foods Corp. (Class A Stock)*		10,500		271,110
Snyders-Lance, Inc.		54,716		1,231,110
TreeHouse Foods, Inc.*		41,965		2,743,672
				13,110,621
Gas Utilities — 2.2%
Laclede Group, Inc. (The)		26,214		1,060,881
New Jersey Resources Corp.(a)		48,504		2,386,397
Northwest Natural Gas Co.		31,265		1,498,531
Piedmont Natural Gas Co., Inc.		84,203		2,861,218
South Jersey Industries, Inc.		35,222		2,000,962
Southwest Gas Corp.		53,711		2,282,180
				12,090,169
Healthcare Equipment & Supplies — 3.4%
Abaxis, Inc.*		25,212		697,616
Align Technology, Inc.*		79,657		1,889,862
Analogic Corp.		14,333		821,568
Cantel Medical Corp.		15,250		425,933
CONMED Corp.*		32,449		832,966
CryoLife, Inc.*		31,953		153,374
Cyberonics, Inc.*		29,097		974,750
Greatbatch, Inc.*		27,344		604,302
Haemonetics Corp.*		29,197		1,787,440
ICU Medical, Inc.*		14,192		638,640
Integra LifeSciences Holdings Corp.*		23,102		712,235
Invacare Corp.		37,202		568,819
Kensey Nash Corp.*		9,031		173,305
Meridian Bioscience, Inc.		48,175		907,617
Merit Medical Systems, Inc.*		48,648		650,910
Natus Medical, Inc.*		32,925		310,483
Neogen Corp.*		27,380		838,923
NuVasive, Inc.*		49,300		620,687
Palomar Medical Technologies, Inc.*		21,677		201,596
SonoSite, Inc.*		16,300		877,918
SurModics, Inc.*		16,952		248,516
Symmetry Medical, Inc.*		41,577		332,200
West Pharmaceutical Services, Inc.		39,417		1,495,875
Zoll Medical Corp.*(a)		25,895		1,636,046
				18,401,581
Healthcare Providers & Services — 3.9%
Air Methods Corp.*(a)		13,272		1,120,820
Almost Family, Inc.*		9,452		156,714
Amedisys, Inc.*(a)		33,459		365,038

SEE NOTES TO FINANCIAL STATEMENTS.

A133

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Healthcare Providers & Services (continued)
AMN Healthcare Services, Inc.*		45,999	$	203,776
AmSurg Corp.*		36,674		954,991
Bio-Reference Labs, Inc.*		29,070		472,969
Centene Corp.*		58,908		2,332,168
Chemed Corp.		23,211		1,188,635
Corvel Corp.*		7,445		384,981
Cross Country Healthcare, Inc.*		35,463		196,820
Ensign Group, Inc. (The)		19,200		470,400
Gentiva Health Services, Inc.*		34,192		230,796
Hanger Orthopedic Group, Inc.*		38,809		725,340
Healthspring, Inc.*		78,320		4,271,573
Healthways, Inc.*		38,086		261,270
IPC The Hospitalist Co., Inc.*		19,305		882,625
Kindred Healthcare, Inc.*		60,600		713,262
Landauer, Inc.		11,068		570,002
LHC Group, Inc.*		18,098		232,197
Magellan Health Services, Inc.*		32,641		1,614,750
Molina Healthcare, Inc.*		33,122		739,614
MWI Veterinary Supply, Inc.*		14,856		987,033
PharMerica Corp.*		33,995		516,044
PSS World Medical, Inc.*(a)		61,491		1,487,467
				21,079,285
Healthcare Technology — 0.6%
Computer Programs & Systems, Inc.		12,936		661,159
Omnicell, Inc.*		38,822		641,339
Quality Systems, Inc.		46,134		1,706,497
				3,008,995
Hotels, Restaurants & Leisure — 3.0%
Biglari Holdings, Inc.*		1,676		617,170
BJ’s Restaurants, Inc.*(a)		28,172		1,276,755
Boyd Gaming Corp.*(a)		61,500		458,790
Buffalo Wild Wings, Inc.*(a)		21,465		1,449,102
CEC Entertainment, Inc.		22,107		761,586
Cracker Barrel Old Country Store, Inc.		26,778		1,349,879
DineEquity, Inc.*		18,205		768,433
Interval Leisure Group, Inc.*		46,136		627,911
Jack In The Box, Inc.*		51,417		1,074,615
Marcus Corp.		23,058		290,761
Marriott Vacations Worldwide Corp.*		31,300		537,108
Monarch Casino & Resort, Inc.*		12,631		128,710
Multimedia Games Holding Co., Inc.*		29,799		236,604
O’Charleys, Inc.*		20,615		113,176
Papa John’s International, Inc.*		21,715		818,221
Peet’s Coffee & Tea, Inc.*(a)		15,094		946,092
PF Chang’s China Bistro, Inc.(a)		24,814		767,001
Pinnacle Entertainment, Inc.*		72,113		732,668
Red Robin Gourmet Burgers, Inc.*		12,963		359,075
Ruby Tuesday, Inc.*		72,184		498,070
Ruth’s Hospitality Group, Inc.*		39,648		197,051
Shuffle Master, Inc.*		62,559		733,192
Sonic Corp.*		70,314		473,213
Texas Roadhouse, Inc. (Class A Stock)		68,930		1,027,057
				16,242,240

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Household Durables — 1.2%
Blyth, Inc.(a)		6,083	$	345,514
Ethan Allen Interiors, Inc.(a)		30,199		716,018
Helen of Troy Ltd.*		36,910		1,133,137
iRobot Corp.*(a)		31,600		943,260
La-Z-Boy, Inc.*		60,401		718,772
M/I Homes, Inc.*		21,370		205,152
Meritage Homes Corp.*		32,597		755,925
Ryland Group, Inc. (The)		51,900		817,944
Standard Pacific Corp.*(a)		115,322		366,724
Universal Electronics, Inc.*		17,254		291,075
				6,293,521
Household Products — 0.2%
Central Garden and Pet Co. (Class A Stock)*		48,788		405,916
WD-40 Co.		18,709		756,031
				1,161,947
Industrial Conglomerates — 0.1%
Standex International Corp.		14,770		504,691
Insurance — 2.9%
AMERISAFE, Inc.*		21,014		488,576
Delphi Financial Group, Inc. (Class A Stock)		63,696		2,821,733
eHealth, Inc.*(a)		22,991		337,968
Employers Holdings, Inc.		40,615		734,725
Horace Mann Educators Corp.		46,400		636,144
Infinity Property & Casualty Corp.		13,889		788,062
Meadowbrook Insurance Group, Inc.		59,200		632,256
National Financial Partners Corp.*(a)		47,954		648,338
Navigators Group, Inc. (The)*		12,818		611,162
Presidential Life Corp.		23,995		239,710
ProAssurance Corp.		35,633		2,844,226
RLI Corp.		19,505		1,421,134
Safety Insurance Group, Inc.		17,760		718,925
Selective Insurance Group, Inc.		63,107		1,118,887
Stewart Information Services Corp.		22,102		255,278
Tower Group, Inc.		46,361		935,101
United Fire & Casualty Co.		23,961		483,533
				15,715,758
Internet & Catalog Retail — 0.2%
Blue Nile, Inc.*(a)		15,780		645,086
Nutrisystem, Inc.(a)		32,428		419,294
PetMed Express, Inc.(a)		23,281		241,657
				1,306,037
Internet Software & Services — 1.9%
comScore, Inc.*		38,577		817,832
DealerTrack Holdings, Inc.*		48,483		1,321,647
Digital River, Inc.*		42,900		644,358
Infospace, Inc.*		45,612		501,276
j2 Global, Inc.(a)		55,278		1,555,523
Liquidity Services, Inc.*		23,500		867,150
LivePerson, Inc.*		55,000		690,250
LogMeIn, Inc.*(a)		24,800		956,040
Perficient, Inc.*		34,614		346,486
RightNow Technologies, Inc.*		30,000		1,281,900

SEE NOTES TO FINANCIAL STATEMENTS.

A134

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Internet Software & Services (continued)
Stamps.com, Inc.*		14,720	$	384,634
United Online, Inc.		103,330		562,115
XO Group, Inc.*		32,295		269,340
				10,198,551
IT Services — 2.2%
CACI International, Inc. (Class A Stock)*(a)		30,844		1,724,797
Cardtronics, Inc.*		51,100		1,382,766
CIBER, Inc.*		81,623		315,065
CSG Systems International, Inc.*		39,124		575,514
Forrester Research, Inc.*		17,162		582,478
Heartland Payment Systems, Inc.		46,111		1,123,264
Higher One Holdings, Inc.*(a)		36,300		669,372
IGate Corp.*(a)		35,000		550,550
MAXIMUS, Inc.		39,236		1,622,409
NCI, Inc. (Class A Stock)*		9,000		104,850
TeleTech Holdings, Inc.*		29,067		470,885
Virtusa Corp.*		21,800		315,664
Wright Express Corp.*		45,176		2,452,153
				11,889,767
Leisure Equipment & Products — 0.7%
Arctic Cat, Inc.*		14,057		316,985
Brunswick Corp.		103,829		1,875,152
Callaway Golf Co.		73,880		408,556
Jakks Pacific, Inc.(a)		30,115		424,923
Sturm Ruger & Co., Inc.		22,327		747,061
				3,772,677
Life Sciences Tools & Services — 0.4%
Affymetrix, Inc.*(a)		79,700		325,973
Cambrex Corp.*		33,032		237,170
Enzo Biochem, Inc.*		36,857		82,560
eResearchTechnology, Inc.*		50,083		234,889
PAREXEL International Corp.*		69,157		1,434,316
				2,314,908
Machinery — 3.7%
Actuant Corp. (Class A Stock)		80,564		1,827,997
Albany International Corp. (Class A Stock)		32,904		760,741
Astec Industries, Inc.*		23,410		754,036
Barnes Group, Inc.		54,916		1,324,025
Briggs & Stratton Corp.(a)		58,246		902,231
Cascade Corp.		10,093		476,087
CIRCOR International, Inc.		20,088		709,307
EnPro Industries, Inc.*(a)		24,278		800,689
ESCO Technologies, Inc.		31,221		898,540
Federal Signal Corp.*		70,800		293,820
John Bean Technologies Corp.		33,147		509,469
Kaydon Corp.		37,467		1,142,744
Lindsay Corp.		14,779		811,219
Lydall, Inc.*		19,356		183,688
Mueller Industries, Inc.		44,549		1,711,573
Robbins & Myers, Inc.		53,697		2,606,989
Tennant Co.		21,900		851,253
Toro Co. (The)		35,783		2,170,597

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Machinery (continued)
Watts Water Technologies, Inc. (Class A Stock)		34,021	$	1,163,858
				19,898,863
Media — 0.7%
Arbitron, Inc.		31,861		1,096,337
Digital Generation, Inc.*		32,100		382,632
E.W. Scripps Co. (Class A Stock)*		36,201		289,970
Harte-Hanks, Inc.		50,900		462,681
Live Nation Entertainment, Inc.*		172,176		1,430,783
				3,662,403
Metals & Mining — 1.1%
A.M. Castle & Co.*		18,883		178,633
AK Steel Holding Corp.(a)		128,200		1,058,932
AMCOL International Corp.		29,291		786,464
Century Aluminum Co.*(a)		63,363		539,219
Haynes International, Inc.		14,100		769,860
Kaiser Aluminum Corp.(a)		18,600		853,368
Materion Corp.*		23,778		577,330
Olympic Steel, Inc.		10,538		245,746
RTI International Metals, Inc.*(a)		35,311		819,568
				5,829,120
Multiline Retail — 0.2%
Fred’s, Inc. (Class A Stock)		44,766		652,688
Tuesday Morning Corp.*		48,832		168,471
				821,159
Multi-Utilities — 0.8%
Avista Corp.		67,903		1,748,502
CH Energy Group, Inc.		17,385		1,014,936
NorthWestern Corp.		42,400		1,517,496
				4,280,934
Oil, Gas & Consumable Fuels — 1.7%
Approach Resources, Inc.*(a)		31,100		914,651
Contango Oil & Gas Co.*(a)		14,900		866,882
GeoResources, Inc.*		23,400		685,854
Gulfport Energy Corp.*		52,100		1,534,345
Overseas Shipholding Group, Inc.(a)		29,900		326,807
Penn Virginia Corp.		52,298		276,656
Petroleum Development Corp.*(a)		27,626		969,949
Petroquest Energy, Inc.*(a)		65,945		435,237
Stone Energy Corp.*		57,094		1,506,140
Swift Energy Co.*		49,644		1,475,420
				8,991,941
Paper & Forest Products — 1.1%
Buckeye Technologies, Inc.		45,842		1,532,957
Clearwater Paper Corp.*		26,480		942,953
Deltic Timber Corp.		12,691		766,410
KapStone Paper and Packaging Corp.*		45,200		711,448
Neenah Paper, Inc.		17,278		385,645
Schweitzer-Mauduit International, Inc.		18,888		1,255,296
Wausau Paper Corp.		56,267		464,765
				6,059,474

SEE NOTES TO FINANCIAL STATEMENTS.

A135

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Personal Products — 0.2%
Inter Parfums, Inc.		18,900	$	294,084
Medifast, Inc.*(a)		15,800		216,776
Prestige Brands Holdings, Inc.*		58,600		660,422
				1,171,282
Pharmaceuticals — 2.1%
Hi-Tech Pharmacal Co., Inc.*		12,000		466,680
Medicines Co. (The)*		61,900		1,153,816
Par Pharmaceutical Cos., Inc.*		41,943		1,372,794
Questcor Pharmaceuticals, Inc.*		73,200		3,043,656
Salix Pharmaceuticals Ltd.*(a)		68,983		3,300,837
ViroPharma, Inc.*(a)		82,337		2,255,210
				11,592,993
Professional Services — 0.9%
CDI Corp.		14,488		200,079
Dolan Co. (The)*		34,100		290,532
Exponent, Inc.*		15,440		709,777
Heidrick & Struggles International, Inc.		20,814		448,334
Insperity, Inc.		26,079		661,103
Kelly Services, Inc. (Class A Stock)		33,039		451,973
Navigant Consulting, Inc.*		60,600		691,446
On Assignment, Inc.*		42,286		472,757
Resources Connection, Inc.		51,200		542,208
TrueBlue, Inc.*		46,818		649,834
				5,118,043
Real Estate Investment Trusts — 7.7%
Acadia Realty Trust		49,805		1,003,073
BioMed Realty Trust, Inc.		179,511		3,245,559
Cedar Realty Trust, Inc.		63,266		272,676
Colonial Properties Trust(a)		101,839		2,124,362
Cousins Properties, Inc.		120,400		771,764
Diamondrock Hospitality Co.(a)		195,170		1,881,439
EastGroup Properties, Inc.		31,463		1,368,011
Entertainment Properties Trust(a)		54,470		2,380,884
Extra Space Storage, Inc.(a)		110,008		2,665,494
Franklin Street Properties Corp.(a)		83,802		833,830
Getty Realty Corp.(a)		31,500		439,425
Healthcare Realty Trust, Inc.		90,700		1,686,113
Inland Real Estate Corp.		88,435		672,990
Kilroy Realty Corp.(a)		68,198		2,596,298
Kite Realty Group Trust		72,191		325,581
LaSalle Hotel Properties(a)		97,772		2,367,060
Lexington Realty Trust(a)		155,816		1,167,062
LTC Properties, Inc.		35,526		1,096,332
Medical Properties Trust, Inc.		128,966		1,272,894
Mid-America Apartment Communities, Inc.		44,116		2,759,456
Parkway Properties, Inc.		25,248		248,945
Pennsylvania Real Estate Investment Trust		64,522		673,610
Post Properties, Inc.		60,661		2,652,099
PS Business Parks, Inc.		21,702		1,202,942
Saul Centers, Inc.		13,800		488,796
Sovran Self Storage, Inc.		32,597		1,390,914
Tanger Factory Outlet Centers(a)		101,184		2,966,715
Universal Health Realty Income Trust		14,800		577,200

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Urstadt Biddle Properties, Inc. (Class A Stock)		26,950	$	487,256
				41,618,780
Real Estate Management & Development — 0.1%
Forestar Group, Inc.*		41,256		624,203
Road & Rail — 0.9%
Arkansas Best Corp.		29,695		572,223
Heartland Express, Inc.		66,848		955,258
Knight Transportation, Inc.		68,588		1,072,716
Old Dominion Freight Line, Inc.*		54,933		2,226,434
				4,826,631
Semiconductors & Semiconductor Equipment — 4.7%
Advanced Energy Industries, Inc.*		51,397		551,490
ATMI, Inc.*		36,806		737,224
Brooks Automation, Inc.		75,005		770,301
Cabot Microelectronics Corp.*		26,411		1,247,920
Ceva, Inc.*(a)		27,500		832,150
Cirrus Logic, Inc.*		74,700		1,183,995
Cohu, Inc.		27,597		313,226
Cymer, Inc.*		35,670		1,774,939
Diodes, Inc.*		43,170		919,521
DSP Group, Inc.*		26,128		136,127
Entropic Communications, Inc.*(a)		98,400		502,824
Exar Corp.*		50,523		328,400
GT Advanced Technologies, Inc.*(a)		147,900		1,070,796
Hittite Microwave Corp.*		32,606		1,610,084
Kopin Corp.*		76,896		298,356
Kulicke & Soffa Industries, Inc.*		84,332		780,071
Micrel, Inc.		57,402		580,334
Microsemi Corp.*		101,219		1,695,418
MKS Instruments, Inc.		61,185		1,702,167
Monolithic Power Systems, Inc.*		34,500		519,915
Nanometrics, Inc.*		19,900		366,558
Pericom Semiconductor Corp.*		27,660		210,493
Power Integrations, Inc.		32,800		1,087,648
Rubicon Technology, Inc.*(a)		20,000		187,800
Rudolph Technologies, Inc.*		36,394		337,008
Sigma Designs, Inc.*		36,758		220,548
Standard Microsystems Corp.*		26,576		684,864
STR Holdings, Inc.*(a)		46,600		383,518
Supertex, Inc.*		13,972		263,791
Tessera Technologies, Inc.*		59,977		1,004,615
TriQuint Semiconductor, Inc.*		193,176		940,767
Ultratech, Inc.*		30,111		739,827
Veeco Instruments, Inc.*(a)		45,242		941,034
Volterra Semiconductor Corp.*		28,700		735,007
				25,658,736
Software — 3.7%
Blackbaud, Inc.		50,583		1,401,149
Bottomline Technologies, Inc.*		42,100		975,457
CommVault Systems, Inc.*		50,742		2,167,698
Ebix, Inc.(a)		36,257		801,280
EPIQ Systems, Inc.		37,017		444,944
Interactive Intelligence Group, Inc.*		16,679		382,283
JDA Software Group, Inc.*		49,589		1,606,188

SEE NOTES TO FINANCIAL STATEMENTS.

A136

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Software (continued)
Manhattan Associates, Inc.*		24,193	$	979,333
MicroStrategy, Inc. (Class A Stock)*		9,450		1,023,624
Monotype Imaging Holdings, Inc.*		42,100		656,339
Netscout Systems, Inc.*		39,995		703,912
Opnet Technologies, Inc.		17,400		638,058
Progress Software Corp.*		74,747		1,446,354
Sourcefire, Inc.*(a)		33,600		1,087,968
Synchronoss Technologies, Inc.*(a)		31,100		939,531
Take-Two Interactive Software, Inc.*		100,912		1,367,358
Taleo Corp. (Class A Stock)*		48,371		1,871,474
THQ, Inc.*		78,182		59,418
Tyler Technologies, Inc.*		28,527		858,948
Websense, Inc.*(a)		45,070		844,161
				20,255,477
Specialty Retail — 4.6%
Big 5 Sporting Goods Corp.		24,637		257,210
Brown Shoe Co., Inc.(a)		48,034		427,503
Buckle, Inc. (The)(a)		31,659		1,293,903
Cabela’s, Inc.*(a)		50,292		1,278,423
Cato Corp. (The) (Class A Stock)		34,403		832,553
Childrens Place Retail Stores, Inc. (The)*(a)		29,065		1,543,933
Christopher & Banks Corp.		39,178		91,677
Coldwater Creek, Inc.*		95,267		112,415
Finish Line, Inc. (The) (Class A Stock)		60,546		1,167,630
Genesco, Inc.*		28,222		1,742,426
Group 1 Automotive, Inc.		26,564		1,376,015
Haverty Furniture Cos., Inc.		21,541		236,520
Hibbett Sports, Inc.*		30,996		1,400,399
HOT Topic, Inc.		47,903		316,639
JOS A. Bank Clothiers, Inc.*(a)		32,531		1,586,212
Kirkland’s, Inc.*		18,700		248,710
Lithia Motors, Inc. (Class A Stock)		24,930		544,970
Lumber Liquidators Holdings, Inc.*(a)		32,322		570,807
MarineMax, Inc.*(a)		26,442		172,402
Men’s Wearhouse, Inc. (The)		59,667		1,933,807
Midas, Inc.*		16,012		137,543
Monro Muffler Brake, Inc.		36,072		1,399,233
OfficeMax, Inc.*		98,399		446,731
PEP Boys-Manny Moe & Jack (The)		61,226		673,486
Rue21, Inc.*		18,300		395,280
Select Comfort Corp.*		65,400		1,418,526
Sonic Automotive, Inc. (Class A Stock)		40,647		601,982
Stage Stores, Inc.		35,379		491,414
Stein Mart, Inc.*		30,783		209,632
Vitamin Shoppe, Inc.*		34,200		1,363,896
Zale Corp.*		28,662		109,202
Zumiez, Inc.*(a)		25,450		706,492
				25,087,571

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods — 2.5%
Carter’s, Inc.*		59,615	$	2,373,273
Crocs, Inc.*		105,143		1,552,962
Iconix Brand Group, Inc.*		85,731		1,396,558
K-Swiss, Inc. (Class A Stock)*(a)		30,978		90,456
Liz Claiborne, Inc.*(a)		109,966		949,007
Maidenform Brands, Inc.*		27,421		501,804
Movado Group, Inc.		20,317		369,160
Oxford Industries, Inc.		16,216		731,666
Perry Ellis International, Inc.*		14,179		201,625
Quiksilver, Inc.*		140,793		508,263
Skechers U.S.A., Inc. (Class A Stock)*		43,076		522,081
Steven Madden Ltd.*		44,600		1,538,700
True Religion Apparel, Inc.*		29,864		1,032,697
Wolverine World Wide, Inc.		56,377		2,009,276
				13,777,528
Thrifts & Mortgage Finance — 0.9%
Bank Mutual Corp.		52,635		167,379
Brookline Bancorp, Inc.		80,332		678,002
Dime Community Bancshares, Inc.		31,981		402,961
Northwest Bancshares, Inc.		113,600		1,413,184
Oritani Financial Corp.		53,100		678,087
Provident Financial Services, Inc.		62,500		836,875
Trustco Bank Corp. NY		106,595		597,998
				4,774,486
Tobacco
Alliance One International, Inc.*		98,938		269,111
Trading Companies & Distributors — 0.5%
Applied Industrial Technologies, Inc.		48,928		1,720,798
Kaman Corp.		30,622		836,593
Lawson Products, Inc.		4,424		68,262
				2,625,653
Water Utilities — 0.1%
American States Water Co.(a)		21,976		766,962
Wireless Telecommunication Services — 0.1%
NTELOS Holdings Corp.		17,321		353,002
USA Mobility, Inc.		25,780		357,569
				710,571
TOTAL COMMON STOCKS (cost $449,033,395)				532,888,378
EXCHANGE TRADED FUND — 0.5%
iShares S&P SmallCap 600 Index Fund(a) (cost $2,521,798)		43,500		2,970,180
TOTAL LONG-TERM INVESTMENTS (cost $451,555,193)				535,858,558

SEE NOTES TO FINANCIAL STATEMENTS.

A137

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

SHORT-TERM INVESTMENTS — 16.6%	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund — 16.4%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $88,748,095; includes $83,630,369 of cash collateral received for securities on loan)(Note 4)(b)(c)		88,748,095	$	88,748,095
	Principal Amount (000)
U.S Government Obligation — 0.2%
U.S. Treasury Bill, 0.057%, 06/28/12(d)(e) (cost $1,349,615)	$	1,350		1,349,602
TOTAL SHORT-TERM INVESTMENTS (cost $90,097,710)				90,097,697
TOTAL INVESTMENTS — 115.4% (cost $541,652,903)				625,956,255
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (15.4%)				(83,310,982	)
NET ASSETS — 100.0%			$	542,645,273

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement is $80,670,743; cash collateral of $83,630,369 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolio 2 — Prudential Core Taxable Money Market Fund.

(d) Rate quoted represents yield-to-maturity as of purchase date.

(e) Represents security, or a portion thereof, segregated as collateral for futures contracts.

(f) Includes net unrealized appreciation on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation
Long Position:
95	Russell 2000 Mini		Mar. 2012	$	6,981,621	$	7,018,600	$	36,979

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

Level 1—quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	532,888,378	$	—	$	—
Exchange Traded Fund		2,970,180		—		—
Affiliated Money Market Mutual Fund		88,748,095		—		—
U.S. Government Obligation		—		1,349,602		—
		624,606,653		1,349,602		—
Other Financial Instruments*
Futures contracts		36,979		—		—
Total	$	624,643,632	$	1,349,602	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A138

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 was as follows:

Affiliated Money Market Mutual Fund (including 15.4% of collateral received for securities on loan)	16.4	%
Real Estate Investment Trusts	7.7
Commercial Banks	5.5
Semiconductors & Semiconductor Equipment	4.7
Specialty Retail	4.6
Electronic Equipment, Instruments & Components	4.2
Healthcare Providers & Services	3.9
Machinery	3.7
Software	3.7
Healthcare Equipment & Supplies	3.4
Hotels, Restaurants & Leisure	3.0
Insurance	2.9
Commercial Services & Supplies	2.5
Textiles, Apparel & Luxury Goods	2.5
Energy Equipment & Services	2.4
Food Products	2.4
Aerospace & Defense	2.3
Chemicals	2.2
Gas Utilities	2.2
IT Services	2.2
Pharmaceuticals	2.1
Communications Equipment	1.9
Internet Software & Services	1.9
Electrical Equipment	1.7
Oil, Gas & Consumable Fuels	1.7
Electric Utilities	1.4
Building Products	1.3
Food & Staples Retailing	1.2
Household Durables	1.2
Diversified Consumer Services	1.1
Metals and Mining	1.1
Paper & Forest Products	1.1
Capital Markets	1.0
Consumer Finance	1.0
Professional Services	0.9

Road & Rail	0.9	%
Thrifts & Mortgage Finance	0.9
Construction & Engineering	0.8
Multi-Utilities	0.8
Biotechnology	0.7
Leisure Equipment & Products	0.7
Media	0.7
Computers & Peripherals	0.6
Healthcare Technology	0.6
Air Freight & Logistics	0.5
Construction Materials	0.5
Diversified Telecommunication Services	0.5
Exchange Traded Fund	0.5
Trading Companies & Distributors	0.5
Life Sciences Tools & Services	0.4
Airlines	0.3
Auto Components	0.3
Distributors	0.3
Beverages	0.2
Household Products	0.2
Internet & Catalog Retail	0.2
Multiline Retail	0.2
Personal Products	0.2
Treasury Bill	0.2
Automobiles	0.1
Containers & Packaging	0.1
Diversified Financial Services	0.1
Industrial Conglomerates	0.1
Real Estate Management & Development	0.1
Water Utilities	0.1
Wireless Telecommunication Services	0.1
	115.4
Liabilities in excess of other assets	(15.4	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Equity contracts	Due from broker — variation margin	$	36,979	*	—	$	—

* Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	(403,114	)

SEE NOTES TO FINANCIAL STATEMENTS.

A139

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	36,979

For the year ended December 31, 2011, the average value at trade date for futures long positions was $ 11,539,469.

SEE NOTES TO FINANCIAL STATEMENTS.

A140

SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $80,670,743:
Unaffiliated investments (cost $452,904,808)	$	537,208,160
Affiliated investments (cost $88,748,095)		88,748,095
Cash		19,825
Receivable for investments sold		935,731
Dividends and interest receivable		613,519
Receivable for Series shares sold		150,031
Prepaid expenses		3,665
Total Assets		627,679,026
LIABILITIES
Collateral for securities on loan		83,630,369
Payable for investments purchased		900,210
Management fee payable		183,362
Payable for Series shares repurchased		162,109
Accrued expenses and other liabilities		125,588
Due to broker-variation margin		31,189
Affiliated transfer agent fee payable		926
Total Liabilities		85,033,753
NET ASSETS	$	542,645,273
Net assets were comprised of:
Paid-in capital	$	434,864,830
Retained earnings		107,780,443
Net assets, December 31,2011	$	542,645,273
Net asset value and redemption price per share, $542,645,273 / 31,915,133 outstanding shares of beneficial interest	$	17.00

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income	$	5,747,041
Affiliated income from securities loaned, net		390,456
Affiliated dividend income		21,060
Interest		1,590
		6,160,147
EXPENSES
Management fee		2,288,481
Shareholders’ reports		189,000
Custodian’s fees and expenses		117,000
Audit fee		19,000
Trustees’ fees		15,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Legal fees and expenses		9,000
Insurance expenses		6,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		66,937
Total expenses		2,726,418
NET INVESTMENT INCOME		3,433,729
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		29,013,163
Futures transactions		(403,114	)
		28,610,049
Net change in unrealized appreciation (depreciation) on:
Investments		(29,239,068	)
Futures		(145,693	)
		(29,384,761	)
NET LOSS ON INVESTMENTS		(774,712	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	2,659,017

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	3,433,729		$	4,601,481
Net realized gain on investments		28,610,049			22,819,367
Net change in unrealized appreciation (depreciation) on investments		(29,384,761	)		93,984,659
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		2,659,017			121,405,507
DISTRIBUTIONS		(12,229,897	)		(4,329,959	)
SERIES SHARE TRANSACTIONS:
Series shares sold [894,009 and 1,887,105 shares, respectively]		15,341,754			29,176,634
Series shares issued in reinvestment of distributions [717,296 and 301,739 shares, respectively]		12,229,897			4,329,959
Series shares repurchased [3,850,529 and 3,616,665 shares, respectively]		(65,253,551	)		(52,851,604	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(37,681,900	)		(19,345,011	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(47,252,780	)		97,730,537
NET ASSETS:
Beginning of year		589,898,053			492,167,516
End of year	$	542,645,273		$	589,898,053

SEE NOTES TO FINANCIAL STATEMENTS.

A141

	STOCK INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 98.0%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.6%
Boeing Co. (The)		135,736	$	9,956,236
General Dynamics Corp.		67,800		4,502,598
Goodrich Corp.		23,300		2,882,210
Honeywell International, Inc.		144,650		7,861,728
L-3 Communications Holdings, Inc.		18,700		1,246,916
Lockheed Martin Corp.(a)		49,198		3,980,118
Northrop Grumman Corp.		47,726		2,791,016
Precision Castparts Corp.		26,800		4,416,372
Raytheon Co.		65,318		3,160,085
Rockwell Collins, Inc.(a)		29,300		1,622,341
Textron, Inc.(a)		44,900		830,201
United Technologies Corp.		168,200		12,293,738
				55,543,559
Air Freight & Logistics — 1.0%
C.H. Robinson Worldwide, Inc.(a)		30,200		2,107,356
Expeditors International of Washington, Inc.		41,600		1,703,936
FedEx Corp.		59,740		4,988,887
United Parcel Service, Inc. (Class B Stock)		181,200		13,262,028
				22,062,207
Airlines — 0.1%
Southwest Airlines Co.		139,337		1,192,725
Auto Components — 0.3%
BorgWarner, Inc.*(a)		17,400		1,109,076
Goodyear Tire & Rubber Co. (The)*		38,600		546,962
Johnson Controls, Inc.		128,700		4,023,162
				5,679,200
Automobiles — 0.4%
Ford Motor Co.*(a)		715,659		7,700,491
Harley-Davidson, Inc.(a)		44,300		1,721,941
				9,422,432
Beverages — 2.6%
Beam, Inc.		25,900		1,326,857
Brown-Forman Corp. (Class B Stock)		18,500		1,489,435
Coca-Cola Co. (The)		421,500		29,492,355
Coca-Cola Enterprises, Inc.		60,600		1,562,268
Constellation Brands, Inc. (Class A Stock)*		34,100		704,847
Dr Pepper Snapple Group, Inc.(a)		38,800		1,531,824
Molson Coors Brewing Co. (Class B Stock)		31,100		1,354,094
PepsiCo, Inc.		288,139		19,118,023
				56,579,703
Biotechnology — 1.2%
Amgen, Inc.(a)		143,594		9,220,171
Biogen Idec, Inc.*		45,625		5,021,031
Celgene Corp.*		87,000		5,881,200
Gilead Sciences, Inc.*		141,100		5,775,223
				25,897,625
Building Products
Masco Corp.		54,800		574,304

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets — 1.8%
Ameriprise Financial, Inc.		44,000	$	2,184,160
Bank of New York Mellon Corp. (The)		235,389		4,686,595
BlackRock, Inc. (Class A Stock)		17,800		3,172,672
Charles Schwab Corp. (The)(a)		189,300		2,131,518
E*Trade Financial Corp.*		43,610		347,136
Federated Investors, Inc. (Class B Stock)(a)		15,000		227,250
Franklin Resources, Inc.(a)		26,400		2,535,984
Goldman Sachs Group, Inc. (The)		94,600		8,554,678
Invesco Ltd.		84,800		1,703,632
Legg Mason, Inc.(a)		25,900		622,895
Morgan Stanley		281,410		4,257,733
Northern Trust Corp.		44,200		1,752,972
State Street Corp.		93,000		3,748,830
T. Rowe Price Group, Inc.(a)		48,100		2,739,295
				38,665,350
Chemicals — 2.2%
Air Products & Chemicals, Inc.		40,300		3,433,157
Airgas, Inc.		13,200		1,030,656
CF Industries Holdings, Inc.		13,400		1,942,732
Dow Chemical Co. (The)		213,461		6,139,138
E.I. du Pont de Nemours & Co(a)		172,391		7,892,060
Eastman Chemical Co.		25,600		999,936
Ecolab, Inc.		51,600		2,982,996
FMC Corp.		12,600		1,084,104
International Flavors & Fragrances, Inc.		16,100		843,962
Monsanto Co.		100,096		7,013,727
Mosaic Co. (The)		54,200		2,733,306
PPG Industries, Inc.		29,100		2,429,559
Praxair, Inc.		55,600		5,943,640
Sherwin-Williams Co. (The)		15,700		1,401,539
Sigma-Aldrich Corp.		20,700		1,292,922
				47,163,434
Commercial Banks — 2.6%
BB&T Corp.(a)		134,400		3,382,848
Comerica, Inc.(a)		31,550		813,990
Fifth Third Bancorp		167,749		2,133,767
First Horizon National Corp.(a)		44,745		357,960
Huntington Bancshares, Inc.		148,775		816,775
KeyCorp		179,700		1,381,893
M&T Bank Corp.(a)		23,800		1,816,892
PNC Financial Services Group, Inc.		98,993		5,708,926
Regions Financial Corp.		245,212		1,054,412
SunTrust Banks, Inc.		100,800		1,784,160
U.S. Bancorp		358,881		9,707,731
Wells Fargo & Co.		980,986		27,035,974
Zions Bancorporation.(a)		30,000		488,400
				56,483,728
Commercial Services & Supplies — 0.4%
Avery Dennison Corp.		21,600		619,488
Cintas Corp.(a)		21,700		755,377
Iron Mountain, Inc.		34,100		1,050,280
Pitney Bowes, Inc.(a)		37,700		698,958
Republic Services, Inc.		58,310		1,606,441

SEE NOTES TO FINANCIAL STATEMENTS.

A142

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Services & Supplies (continued)
RR Donnelley & Sons Co(a)		38,800	$	559,884
Stericycle, Inc.*		14,400		1,122,048
Waste Management, Inc.		88,830		2,905,629
				9,318,105
Communications Equipment — 2.1%
Cisco Systems, Inc.		1,013,900		18,331,312
F5 Networks, Inc.*		14,800		1,570,576
Harris Corp.(a)		23,400		843,336
JDS Uniphase Corp.*		43,587		455,048
Juniper Networks, Inc.*		101,400		2,069,574
Motorola Mobility Holdings, Inc.*		49,336		1,914,237
Motorola Solutions, Inc.		56,327		2,607,377
QUALCOMM, Inc.		312,900		17,115,630
				44,907,090
Computers & Peripherals — 4.5%
Apple, Inc.*		172,350		69,801,750
Dell, Inc.*		297,200		4,348,036
EMC Corp.*.(a)		384,874		8,290,186
Hewlett-Packard Co.		369,116		9,508,428
Lexmark International, Inc. (Class A Stock)		15,514		513,048
NetApp, Inc.*		66,800		2,422,836
SanDisk Corp.*.(a)		43,900		2,160,319
Western Digital Corp.*		40,600		1,256,570
				98,301,173
Construction & Engineering — 0.2%
Fluor Corp.		32,900		1,653,225
Jacobs Engineering Group, Inc.*		22,200		900,876
Quanta Services, Inc.*(a)		33,000		710,820
				3,264,921
Construction Materials
Vulcan Materials Co.(a)		22,300		877,505
Consumer Finance — 0.8%
American Express Co.		188,900		8,910,413
Capital One Financial Corp.		86,369		3,652,545
Discover Financial Services		106,505		2,556,120
SLM Corp.		102,000		1,366,800
				16,485,878
Containers & Packaging — 0.1%
Ball Corp.		32,200		1,149,862
Bemis Co., Inc.		17,900		538,432
Owens-Illinois, Inc.*		30,400		589,152
Sealed Air Corp.		31,620		544,180
				2,821,626
Distributors — 0.1%
Genuine Parts Co.		32,025		1,959,930
Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*		22,700		1,222,849
DeVry, Inc.		10,000		384,600
H&R Block, Inc.		63,400		1,035,322
				2,642,771

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services — 2.6%
Bank of America Corp.		1,889,932	$	10,508,022
Citigroup, Inc.		543,197		14,291,513
CME Group, Inc.		12,520		3,050,748
IntercontinentalExchange, Inc.*		14,200		1,711,810
JPMorgan Chase & Co.		707,045		23,509,246
Leucadia National Corp.		37,600		855,024
Moody’s Corp.(a)		38,120		1,283,882
NASDAQ OMX Group, Inc. (The)*		25,600		627,456
NYSE Euronext		50,600		1,320,660
				57,158,361
Diversified Telecommunication Services — 2.8%
AT&T, Inc.		1,099,711		33,255,261
CenturyLink, Inc.		113,585		4,225,362
Frontier Communications Corp.(a)		177,916		916,267
Verizon Communications, Inc.(a).		523,938		21,020,393
Windstream Corp.		90,665		1,064,407
				60,481,690
Electric Utilities — 2.0%
American Electric Power Co., Inc.		90,040		3,719,552
Duke Energy Corp.(a)		250,382		5,508,404
Edison International		61,100		2,529,540
Entergy Corp.		33,800		2,469,090
Exelon Corp.		121,450		5,267,287
FirstEnergy Corp.		76,280		3,379,204
NextEra Energy, Inc.(a)		78,700		4,791,256
Northeast Utilities		33,300		1,201,131
Pepco Holdings, Inc.		36,200		734,860
Pinnacle West Capital Corp.		20,900		1,006,962
PPL Corp.		102,700		3,021,434
Progress Energy, Inc.		55,814		3,126,700
Southern Co.(a)		159,100		7,364,739
				44,120,159
Electrical Equipment — 0.5%
Cooper Industries PLC		27,700		1,499,955
Emerson Electric Co.		141,500		6,592,485
Rockwell Automation, Inc.		25,900		1,900,283
Roper Industries, Inc.		17,100		1,485,477
				11,478,200
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		33,300		1,511,487
Corning, Inc.		293,700		3,812,226
FLIR Systems, Inc.		23,500		589,145
Jabil Circuit, Inc.		36,400		715,624
Molex, Inc.		26,600		634,676
TE Connectivity Ltd.		76,600		2,360,046
				9,623,204
Energy Equipment & Services — 1.9%
Baker Hughes, Inc.		80,248		3,903,263
Cameron International Corp.*		43,800		2,154,522
Diamond Offshore Drilling, Inc.(a)		12,500		690,750
FMC Technologies, Inc.*(a)		45,600		2,381,688
Halliburton Co.		173,500		5,987,485
Helmerich & Payne, Inc.(a)		21,100		1,231,396
Nabors Industries Ltd.*		56,600		981,444

SEE NOTES TO FINANCIAL STATEMENTS.

A143

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
National Oilwell Varco, Inc.		80,000	$	5,439,200
Noble Corp.		45,300		1,368,966
Rowan Cos., Inc.*		21,500		652,095
Schlumberger Ltd.		249,822		17,065,341
				41,856,150
Food & Staples Retailing — 2.4%
Costco Wholesale Corp.		81,632		6,801,578
CVS Caremark Corp.		248,638		10,139,458
Kroger Co. (The)		118,900		2,879,758
Safeway, Inc.		66,800		1,405,472
SUPERVALU, Inc.(a)		23,408		190,073
Sysco Corp.(a)		112,600		3,302,558
Walgreen Co.(a)		166,300		5,497,878
Wal-Mart Stores, Inc.		326,800		19,529,568
Whole Foods Market, Inc.		29,000		2,017,820
				51,764,163
Food Products — 1.9%
Archer-Daniels-Midland Co.		126,438		3,616,127
Campbell Soup Co.(a)		34,900		1,160,076
ConAgra Foods, Inc.		70,300		1,855,920
Dean Foods Co.*		20,000		224,000
General Mills, Inc.		120,100		4,853,241
H.J. Heinz Co.(a)		59,450		3,212,678
Hershey Co. (The)(a)		28,900		1,785,442
Hormel Foods Corp.		27,600		808,404
J.M. Smucker Co. (The)		20,300		1,586,851
Kellogg Co.		45,100		2,280,707
Kraft Foods, Inc. (Class A Stock)		327,211		12,224,603
McCormick & Co., Inc.		24,800		1,250,416
Mead Johnson Nutrition Co.		38,493		2,645,624
Sara Lee Corp.		110,700		2,094,444
Tyson Foods, Inc. (Class A Stock)		56,100		1,157,904
				40,756,437
Gas Utilities — 0.1%
AGL Resources, Inc.		16,637		703,079
ONEOK, Inc.		18,120		1,570,823
				2,273,902
Health Care Equipment & Supplies — 1.8%
Baxter International, Inc.		108,100		5,348,788
Becton, Dickinson & Co.		40,500		3,026,160
Boston Scientific Corp.*		300,299		1,603,597
C.R. Bard, Inc.		16,700		1,427,850
CareFusion Corp.*		39,537		1,004,635
Covidien PLC		93,700		4,217,437
DENTSPLY International, Inc.		24,700		864,253
Edwards Lifesciences Corp.*		20,200		1,428,140
Intuitive Surgical, Inc.*		7,400		3,426,274
Medtronic, Inc.		196,000		7,497,000
St. Jude Medical, Inc.		62,700		2,150,610
Stryker Corp.		63,700		3,166,527
Varian Medical Systems, Inc.*(a)		22,500		1,510,425
Zimmer Holdings, Inc.*		35,386		1,890,320
				38,562,016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services — 2.1%
Aetna, Inc.		72,348	$	3,052,362
AmerisourceBergen Corp.		51,900		1,930,161
Cardinal Health, Inc.		65,175		2,646,757
CIGNA Corp.		52,100		2,188,200
Coventry Health Care, Inc.*		27,650		839,730
DaVita, Inc.*(a)		18,400		1,394,904
Express Scripts, Inc.*(a)		91,700		4,098,073
Humana, Inc.		32,800		2,873,608
Laboratory Corp. of America Holdings*(a)		19,400		1,667,818
McKesson Corp.		45,707		3,561,032
Medco Health Solutions, Inc.*		72,992		4,080,253
Patterson Cos., Inc.		15,900		469,368
Quest Diagnostics, Inc.		28,100		1,631,486
Tenet Healthcare Corp.*		80,000		410,400
UnitedHealth Group, Inc.		203,200		10,298,176
WellPoint, Inc.		68,700		4,551,375
				45,693,703
Health Care Technology — 0.1%
Cerner Corp.*		23,600		1,445,500
Hotels, Restaurants & Leisure — 2.0%
Carnival Corp.		82,900		2,705,856
Chipotle Mexican Grill, Inc.*(a)		5,500		1,857,570
Darden Restaurants, Inc.(a)		25,350		1,155,453
International Game Technology		56,100		964,920
Marriott International, Inc. (Class A Stock)		49,403		1,441,086
McDonald’s Corp.		191,800		19,243,294
Starbucks Corp.		138,300		6,363,183
Starwood Hotels & Resorts Worldwide, Inc.		32,800		1,573,416
Wyndham Worldwide Corp.		32,563		1,231,858
Wynn Resorts Ltd.		13,100		1,447,419
Yum! Brands, Inc.		85,300		5,033,553
				43,017,608
Household Durables — 0.2%
D.R. Horton, Inc.(a)		45,200		569,972
Harman International Industries, Inc.		14,100		536,364
Leggett & Platt, Inc.(a)		28,200		649,728
Lennar Corp. (Class A Stock)		25,700		505,005
Newell Rubbermaid, Inc.		60,049		969,791
Pulte Group, Inc.*(a)		48,385		305,310
Whirlpool Corp.(a)		14,607		693,102
				4,229,272
Household Products — 2.3%
Clorox Co. (The)(a)		24,400		1,624,064
Colgate-Palmolive Co.(a)		89,700		8,287,383
Kimberly-Clark Corp.		73,388		5,398,421
Procter & Gamble Co. (The)(a)		510,381		34,047,517
				49,357,385
Independent Power Producers & Energy Traders — 0.2%
AES Corp. (The)*		128,900		1,526,176
Constellation Energy Group, Inc.		38,950		1,545,146
NRG Energy, Inc.*		45,800		829,896
				3,901,218

SEE NOTES TO FINANCIAL STATEMENTS.

A144

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates — 2.5%
3M Co.		131,300	$	10,731,149
Danaher Corp.		101,500		4,774,560
General Electric Co.		1,963,600		35,168,076
Tyco International Ltd.		87,500		4,087,125
				54,760,910
Insurance — 3.4%
ACE Ltd.		64,300		4,508,716
Aflac, Inc.		90,500		3,915,030
Allstate Corp. (The)		100,288		2,748,894
American International Group, Inc.*(a)		76,629		1,777,793
Aon Corp.		62,425		2,921,490
Assurant, Inc.		20,600		845,836
Berkshire Hathaway, Inc. (Class B Stock)*		327,300		24,972,990
Chubb Corp. (The)		52,900		3,661,738
Cincinnati Financial Corp.		32,528		990,803
Genworth Financial, Inc. (Class A Stock)*		103,200		675,960
Hartford Financial Services Group, Inc. (The)		86,300		1,402,375
Lincoln National Corp.(a)		58,963		1,145,061
Loews Corp.		62,026		2,335,279
Marsh & McLennan Cos., Inc.		103,400		3,269,508
MetLife, Inc.		197,700		6,164,286
Principal Financial Group, Inc.		63,600		1,564,560
Progressive Corp. (The)		119,800		2,337,298
Torchmark Corp.		22,550		978,444
Travelers Cos., Inc. (The)		79,498		4,703,897
Unum Group		63,456		1,337,018
XL Group PLC (Class A Stock)		59,500		1,176,315
				73,433,291
Internet & Catalog Retail — 0.8%
Amazon.com, Inc.*		66,700		11,545,770
Expedia, Inc.(a)		18,800		545,576
Netflix, Inc.*(a)		8,100		561,249
priceline.com, Inc.*		9,200		4,302,932
TripAdvisor, Inc.*(a)		18,800		473,948
				17,429,475
Internet Software & Services — 2.0%
Akamai Technologies, Inc.*		33,500		1,081,380
eBay, Inc.*		214,700		6,511,851
Google, Inc. (Class A Stock)*		46,650		30,131,235
VeriSign, Inc.		27,400		978,728
Yahoo!, Inc.*		233,200		3,761,516
				42,464,710
IT Services — 3.8%
Accenture PLC (Ireland) (Class A Stock)		119,400		6,355,662
Automatic Data Processing, Inc.		92,200		4,979,722
Cognizant Technology Solutions Corp. (Class A Stock)*		55,600		3,575,636
Computer Sciences Corp.		29,900		708,630
Fidelity National Information Services, Inc.		46,100		1,225,799

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Fiserv, Inc.*		27,900	$	1,638,846
International Business Machines Corp.		219,500		40,361,660
Mastercard, Inc. (Class A Stock)		19,800		7,381,836
Paychex, Inc.		61,250		1,844,238
SAIC, Inc.*(a)		54,400		668,576
Teradata Corp.*		31,200		1,513,512
Total System Services, Inc.		29,993		586,663
Visa, Inc. (Class A Stock)		95,000		9,645,350
Western Union Co. (The)		115,004		2,099,973
				82,586,103
Leisure Equipment & Products — 0.1%
Hasbro, Inc.		27,150		865,813
Mattel, Inc.(a)		65,281		1,812,201
				2,678,014
Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc.*		65,682		2,294,272
Life Technologies Corp.*		35,430		1,378,582
PerkinElmer, Inc.		23,200		464,000
Thermo Fisher Scientific, Inc.*		72,900		3,278,313
Waters Corp.*		17,700		1,310,685
				8,725,852
Machinery — 2.0%
Caterpillar, Inc.(a)		118,500		10,736,100
Cummins, Inc.		38,300		3,371,166
Deere & Co.		77,800		6,017,830
Dover Corp.		36,000		2,089,800
Eaton Corp.		64,200		2,794,626
Flowserve Corp.		9,400		933,608
Illinois Tool Works, Inc.		92,600		4,325,346
Ingersoll-Rand PLC.(a)		60,000		1,828,200
Joy Global, Inc.		17,700		1,326,969
PACCAR, Inc.(a)		66,128		2,477,816
Pall Corp.		20,100		1,148,715
Parker Hannifin Corp.		31,087		2,370,384
Snap-on, Inc.		11,000		556,820
Stanley Black & Decker, Inc.		31,535		2,131,766
Xylem, Inc.		27,600		709,044
				42,818,190
Media — 3.1%
Cablevision Systems Corp. (Class A Stock)		35,800		509,076
CBS Corp. (Class B Stock)		122,868		3,334,637
Comcast Corp. (Class A Stock)		510,346		12,100,304
DIRECTV (Class A Stock)*(a)		138,300		5,913,708
Discovery Communications, Inc. (Class A Stock)*		51,500		2,109,955
Gannett Co., Inc.		42,900		573,573
Interpublic Group of Cos., Inc. (The)		83,162		809,166
McGraw-Hill Cos., Inc. (The)		57,100		2,567,787
News Corp. (Class A Stock)		413,700		7,380,408
Omnicom Group, Inc.(a)		53,100		2,367,198
Scripps Networks Interactive, Inc. (Class A Stock)(a)		15,600		661,752
Time Warner Cable, Inc.		57,226		3,637,857
Time Warner, Inc.		188,140		6,799,380

SEE NOTES TO FINANCIAL STATEMENTS.

A145

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Viacom, Inc. (Class B Stock)		108,168	$	4,911,909
Walt Disney Co. (The)(a)		331,501		12,431,287
Washington Post Co. (The) (Class B Stock)(a)		1,000		376,810
				66,484,807
Metals & Mining — 0.9%
Alcoa, Inc.		204,576		1,769,582
Allegheny Technologies, Inc.		14,040		671,112
Cliffs Natural Resources, Inc.		27,000		1,683,450
Freeport-McMoRan Copper & Gold, Inc.		177,412		6,526,988
Newmont Mining Corp.		91,503		5,491,095
Nucor Corp.		58,500		2,314,845
Titanium Metals Corp.		8,000		119,840
United States Steel Corp.(a)		21,140		559,364
				19,136,276
Multiline Retail — 0.8%
Big Lots, Inc.*		11,300		426,688
Dollar Tree, Inc.*		20,100		1,670,511
Family Dollar Stores, Inc.		23,100		1,331,946
J.C. Penney Co., Inc.(a)		22,700		797,905
Kohl’s Corp.		49,400		2,437,890
Macy’s, Inc.		78,420		2,523,556
Nordstrom, Inc.		30,100		1,496,271
Sears Holdings Corp.*(a)		5,000		158,900
Target Corp.		126,468		6,477,691
				17,321,358
Multi-Utilities — 1.4%
Ameren Corp.		45,300		1,500,789
CenterPoint Energy, Inc.		72,810		1,462,753
CMS Energy Corp.		41,900		925,152
Consolidated Edison, Inc.(a)		51,200		3,175,936
Dominion Resources, Inc.		105,184		5,583,166
DTE Energy Co.		32,000		1,742,400
Integrys Energy Group, Inc.		14,150		766,647
NiSource, Inc.(a)		51,100		1,216,691
PG&E Corp.		73,500		3,029,670
Public Service Enterprise Group, Inc.		96,500		3,185,465
SCANA Corp.(a)		22,200		1,000,332
Sempra Energy		45,654		2,510,970
TECO Energy, Inc.		40,400		773,256
Wisconsin Energy Corp.		45,200		1,580,192
Xcel Energy, Inc.		90,095		2,490,226
				30,943,645
Office Electronics — 0.1%
Xerox Corp.		268,511		2,137,348
Oil, Gas & Consumable Fuels — 10.1%
Alpha Natural Resources, Inc.*		39,605		809,130
Anadarko Petroleum Corp.		91,126		6,955,648
Apache Corp.		72,850		6,598,753
Cabot Oil & Gas Corp.		20,300		1,540,770
Chesapeake Energy Corp.(a)		123,900		2,761,731
Chevron Corp.		372,892		39,675,709
ConocoPhillips		251,079		18,296,127

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Consol Energy, Inc.		42,500	$	1,559,750
Denbury Resources, Inc.*		73,300		1,106,830
Devon Energy Corp.		76,500		4,743,000
El Paso Corp.		137,911		3,664,295
EOG Resources, Inc.		49,500		4,876,245
EQT Corp.		26,400		1,446,456
Exxon Mobil Corp.		891,654		75,576,593
Hess Corp.		57,000		3,237,600
Marathon Oil Corp.		136,894		4,006,887
Marathon Petroleum Corp.		68,447		2,278,601
Murphy Oil Corp.		38,600		2,151,564
Newfield Exploration Co.*		23,700		894,201
Noble Energy, Inc.		33,100		3,124,309
Occidental Petroleum Corp.		151,700		14,214,290
Peabody Energy Corp.		51,400		1,701,854
Pioneer Natural Resources Co.		21,200		1,896,976
QEP Resources, Inc.		33,200		972,760
Range Resources Corp.		29,500		1,827,230
Southwestern Energy Co.*		67,300		2,149,562
Spectra Energy Corp.		121,242		3,728,191
Sunoco, Inc.(a)		21,500		881,930
Tesoro Corp.*(a)		29,100		679,776
Valero Energy Corp.		105,300		2,216,565
Williams Cos., Inc. (The)		108,400		3,579,368
				219,152,701
Paper & Forest Products — 0.2%
International Paper Co.		82,867		2,452,863
MeadWestvaco Corp.		33,989		1,017,971
				3,470,834
Personal Products — 0.2%
Avon Products, Inc.		78,700		1,374,889
Estee Lauder Cos., Inc. (The) (Class A Stock)		21,100		2,369,952
				3,744,841
Pharmaceuticals — 6.2%
Abbott Laboratories		291,100		16,368,553
Allergan, Inc.		57,200		5,018,728
Bristol-Myers Squibb Co.		318,040		11,207,730
Eli Lilly & Co.		189,400		7,871,464
Forest Laboratories, Inc.*		52,600		1,591,676
Hospira, Inc.*		28,920		878,300
Johnson & Johnson		506,771		33,234,042
Merck & Co., Inc.		573,504		21,621,094
Mylan, Inc.*		76,300		1,637,398
Perrigo Co.		15,000		1,459,500
Pfizer, Inc.		1,430,873		30,964,092
Watson Pharmaceuticals, Inc.*		23,300		1,405,922
				133,258,499
Professional Services — 0.1%
Dun & Bradstreet Corp. (The)		8,800		658,504
Equifax, Inc.(a)		22,800		883,272
Robert Half International, Inc.		27,700		788,342
				2,330,118

SEE NOTES TO FINANCIAL STATEMENTS.

A146

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts — 1.7%
Apartment Investment & Management Co. (Class A Stock)(a)		21,974	$	503,424
AvalonBay Communities, Inc.		16,018		2,091,951
Boston Properties, Inc.		28,100		2,798,760
Equity Residential		52,700		3,005,481
HCP, Inc.(a)		73,200		3,032,676
Health Care REIT, Inc.(a)		31,300		1,706,789
Host Hotels & Resorts, Inc.		123,726		1,827,433
Kimco Realty Corp.		76,400		1,240,736
Plum Creek Timber Co., Inc.(a)		27,000		987,120
ProLogis, Inc.		81,228		2,322,309
Public Storage(a)		27,100		3,643,866
Simon Property Group, Inc.		55,501		7,156,299
Ventas, Inc.		51,204		2,822,876
Vornado Realty Trust		33,257		2,556,133
Weyerhaeuser Co.		99,310		1,854,118
				37,549,971
Real Estate Management & Development
CBRE Group, Inc. (Class A Stock)*		51,100		777,742
Road & Rail — 0.9%
CSX Corp.		207,872		4,377,784
Norfolk Southern Corp.		66,600		4,852,476
Ryder System, Inc.		10,700		568,598
Union Pacific Corp.		90,300		9,566,382
				19,365,240
Semiconductors & Semiconductor Equipment — 2.3%
Advanced Micro Devices, Inc.*(a)		102,600		554,040
Altera Corp.		57,500		2,133,250
Analog Devices, Inc.		56,000		2,003,680
Applied Materials, Inc.		251,000		2,688,210
Broadcom Corp. (Class A Stock)		84,750		2,488,260
First Solar, Inc.*(a)		8,600		290,336
Intel Corp.		956,400		23,192,700
KLA-Tencor Corp.		32,000		1,544,000
Linear Technology Corp.		43,500		1,306,305
LSI Corp.*		118,000		702,100
Microchip Technology, Inc.(a)		28,900		1,058,607
Micron Technology, Inc.*		149,600		940,984
Novellus Systems, Inc.*		14,600		602,834
NVIDIA Corp.*(a)		108,250		1,500,345
Teradyne, Inc.*(a)		34,200		466,146
Texas Instruments, Inc.		214,700		6,249,917
Xilinx, Inc.		44,000		1,410,640
				49,132,354
Software — 3.4%
Adobe Systems, Inc.*(a)		94,600		2,674,342
Autodesk, Inc.*		41,400		1,255,662
BMC Software, Inc.*		32,700		1,071,906
CA, Inc.		74,773		1,511,536
Citrix Systems, Inc.*		35,400		2,149,488
Electronic Arts, Inc.*		58,900		1,213,340
Intuit, Inc.		56,500		2,971,335
Microsoft Corp.		1,383,900		35,926,044
Oracle Corp.		735,220		18,858,393
Red Hat, Inc.*		35,600		1,469,924

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
Salesforce.com, Inc.*(a)		23,400	$	2,374,164
Symantec Corp.*		146,111		2,286,637
				73,762,771
Specialty Retail — 2.0%
Abercrombie & Fitch Co. (Class A Stock)		15,700		766,788
AutoNation, Inc.*(a)		9,689		357,233
AutoZone, Inc.*		5,000		1,624,850
Bed Bath & Beyond, Inc.*		45,900		2,660,823
Best Buy Co., Inc.		58,525		1,367,729
CarMax, Inc.*(a)		40,000		1,219,200
GameStop Corp. (Class A Stock)*(a)		26,800		646,684
Gap, Inc. (The)		67,587		1,253,739
Home Depot, Inc. (The)		290,519		12,213,419
Limited Brands, Inc.(a)		44,796		1,807,519
Lowe’s Cos., Inc.(a)		234,700		5,956,686
O’Reilly Automotive, Inc.*		24,500		1,958,775
Orchard Supply Hardware Stores Corp. (Class A Stock)*		303		679
Ross Stores, Inc.		43,800		2,081,814
Staples, Inc.		133,000		1,847,370
Tiffany & Co.		20,900		1,384,834
TJX Cos., Inc.		72,800		4,699,240
Urban Outfitters, Inc.*(a)		19,000		523,640
				42,371,022
Textiles, Apparel & Luxury Goods — 0.6%
Coach, Inc.		56,800		3,467,072
NIKE, Inc. (Class B Stock)		69,300		6,678,441
Ralph Lauren Corp.		12,400		1,712,192
VF Corp.		15,536		1,972,917
				13,830,622
Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.(a)		107,200		670,000
People’s United Financial, Inc.(a)		64,900		833,965
				1,503,965
Tobacco — 2.0%
Altria Group, Inc.		376,600		11,166,190
Lorillard, Inc.		25,631		2,921,934
Philip Morris International, Inc.		323,100		25,356,888
Reynolds American, Inc.		64,300		2,663,306
				42,108,318
Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		51,600		2,250,276
W.W. Grainger, Inc.		11,000		2,059,090
				4,309,366
Wireless Telecommunication Services — 0.3%
American Tower Corp.		72,500		4,350,725
MetroPCS Communications, Inc.*		47,100		408,828
Sprint Nextel Corp.*		579,622		1,356,315
				6,115,868
TOTAL COMMON STOCKS (cost $1,190,295,768)				2,119,266,445

SEE NOTES TO FINANCIAL STATEMENTS.

A147

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

PREFERRED STOCK	Shares		Value (Note 2)
Specialty Retail
Orchard Supply Hardware Stores Corp., Ser. A* (cost $294)		303	$	679
TOTAL LONG-TERM INVESTMENTS (cost $1,190,296,062)				2,119,267,124
SHORT-TERM INVESTMENTS — 9.9%
Affiliated Money Market Mutual Fund — 9.7%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $210,002,906; includes $174,111,005 of cash collateral received for securities on loan) (Note 4)(b)(c)		210,002,906		210,002,906
	Principal Amount (000)
U.S Government Obligation — 0.2%
U.S. Treasury Bill, 0.06%, 06/28/2012 (cost $3,498,999)(d)(e)	$	3,500		3,498,967
TOTAL SHORT-TERM INVESTMENTS (cost $213,501,905)				213,501,873
TOTAL INVESTMENTS — 107.9% (cost $1,403,797,967)				2,332,768,997
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (7.9%)				(170,357,650	)
NET ASSETS — 100.0%			$	2,162,411,347

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $169,090,459; cash collateral of $174,111,005 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund.

(d) Rate quoted represents yield-to-maturity as of purchase date.

(e) Represents security, or a portion thereof, segregated as collateral for futures contracts.

(f) Includes net unrealized appreciation on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation
Long Position:
137	S&P 500 Index		Mar. 2012	$	41,953,848	$	42,901,550	$	947,702

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,119,265,766	$	—	$	679
Preferred Stock		—		—		679
U.S. Government Obligation		—		3,498,967		—
Affiliated Money Market Mutual Fund		210,002,906		—		—
Other Financial Instruments*
Futures		947,702		—		—
Total	$	2,330,216,374	$	3,498,967	$	1,358

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

SEE NOTES TO FINANCIAL STATEMENTS.

A148

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 was as follows:

Oil, Gas & Consumable Fuels	10.1	%
Affiliated Money Market Mutual Fund (including 8.1% of collateral received for securities on loan)	9.7
Pharmaceuticals	6.2
Computers & Peripherals	4.5
IT Services	3.8
Insurance	3.4
Software	3.4
Media	3.1
Diversified Telecommunication Services	2.8
Aerospace & Defense	2.6
Beverages	2.6
Commercial Banks	2.6
Diversified Financial Services	2.6
Industrial Conglomerates	2.5
Food & Staples Retailing	2.4
Household Products	2.3
Semiconductors & Semiconductor Equipment	2.3
Chemicals	2.2
Communications Equipment	2.1
Health Care Providers & Services	2.1
Electric Utilities	2.0
Hotels, Restaurants & Leisure	2.0
Internet Software & Services	2.0
Machinery	2.0
Specialty Retail	2.0
Tobacco	2.0
Energy Equipment & Services	1.9
Food Products	1.9
Capital Markets	1.8
Health Care Equipment & Supplies	1.8
Real Estate Investment Trusts	1.7
Multi-Utilities	1.4

Biotechnology	1.2	%
Air Freight & Logistics	1.0
Metals & Mining	0.9
Road & Rail	0.9
Consumer Finance	0.8
Internet & Catalog Retail	0.8
Multiline Retail	0.8
Textiles, Apparel & Luxury Goods	0.6
Electrical Equipment	0.5
Automobiles	0.4
Commercial Services & Supplies	0.4
Electronic Equipment, Instruments & Components	0.4
Life Sciences Tools & Services	0.4
Auto Components	0.3
Wireless Telecommunication Services	0.3
Construction & Engineering	0.2
Household Durables	0.2
Independent Power Producers & Energy Traders	0.2
Paper & Forest Products	0.2
Personal Products	0.2
Trading Companies & Distributors	0.2
U.S Government Obligation	0.2
Airline	0.1
Containers & Packaging	0.1
Distributors	0.1
Diversified Consumer Services	0.1
Gas Utilities	0.1
Health Care Technology	0.1
Leisure Equipment & Products	0.1
Office Electronics	0.1
Professional Services	0.1
Thrifts & Mortgage Finance	0.1
	107.9
Liabilities in excess of other assets	(7.9	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Equity contracts	Due from broker — variation margin	$	947,702	*	—	$	—

* Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the period ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures		Warrants			Total
Equity contracts	$	825,369	$	(18,588	)	$	806,781

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	356,453

For the year ended December 31, 2011, the average value at trade date for futures long position was $43,234,469

SEE NOTES TO FINANCIAL STATEMENTS.

A149

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES December 31, 2011

ASSETS
Investments, at value including securities on loan of $169,090,459:
Unaffiliated investments (cost $1,193,795,061)	$	2,122,766,091
Affiliated investments (cost $210,002,906)		210,002,906
Dividends and interest receivable		3,245,787
Receivable for investments sold		2,248,564
Prepaid expenses		13,956
Receivable for Series shares sold		4,674
Total Assets		2,338,281,978
LIABILITIES
Collateral for securities on loan		174,111,005
Payable for Series shares repurchased		765,796
Management fee payable		547,067
Due to broker-variation margin		164,400
Accrued expenses and other liabilities		155,468
Payable for investments purchased		83,910
Payable to custodian		42,059
Affiliated transfer agent fee payable		926
Total Liabilities		175,870,631
NET ASSETS	$	2,162,411,347
Net assets were comprised of:
Paid-in capital	$	1,236,642,834
Retained earnings		925,768,513
Net assets, December 31, 2011	$	2,162,411,347
Net asset value and redemption price per share, $2,162,411,347 / 68,721,804 outstanding shares of beneficial interest	$	31 .47

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $1,261)	$	45,856,840
Affiliated income from securities loaned, net		320,619
Affiliated dividend income		73,948
Interest		4,930
		46,256,337
EXPENSES
Management fee		7,841,258
Custodian’s fees and expenses		242,000
Shareholders’ reports		240,000
Trustees’ fees		31,000
Insurance expenses		25,000
Audit fee		19,000
Legal fees and expenses		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Commitment fee on syndicated credit agreement		9,000
Miscellaneous		15,784
Total expenses		8,448,042
Less: Management fee waiver (Note 3)		(1,120,180	)
Net expenses		7,327,862
NET INVESTMENT INCOME		38,928,475
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		30,219,312
Futures transactions		825,369
		31,044,681
Net change in unrealized appreciation (depreciation) on:
Investments		(25,929,941	)
Futures		356,453
		(25,573,488	)
NET GAIN ON INVESTMENTS		5,471,193
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	44,399,668

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	38,928,475		$	36,017,691
Net realized gain (loss) on investments		31,044,681			26,323,776
Net change in unrealized appreciation (depreciation) on investments		(25,573,488	)		229,703,996
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		44,399,668			292,045,463
DISTRIBUTIONS		(36,002,280	)		(37,719,877	)
SERIES SHARE TRANSACTIONS:
Series shares sold [1,251,307 and 2,969,405 shares, respectively]		39,571,327			85,912,285
Series shares issued in reinvestment of distributions [1,145,475 and 1,398,068 shares, respectively]		36,002,280			37,719,877
Series shares repurchased [6,278,327 and 6,996,110 shares, respectively]		(199,110,942	)		(198,465,748	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(123,537,335	)		(74,833,586	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(115,139,947	)		179,492,000
NET ASSETS:
Beginning of year		2,277,551,294			2,098,059,294
End of year	$	2,162,411,347		$	2,277,551,294

SEE NOTES TO FINANCIAL STATEMENTS.

A150

	VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 98.0%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.8%
Boeing Co. (The)		143,970	$	10,560,199
Northrop Grumman Corp.		300,091		17,549,322
United Technologies Corp.		84,002		6,139,706
				34,249,227
Airlines — 1.4%
United Continental Holdings, Inc.*(a)		930,334		17,555,403
Auto Components — 2.1%
Lear Corp.		660,497		26,287,781
Automobiles — 1.3%
General Motors Co.*(a)		800,191		16,219,872
Capital Markets — 4.9%
Bank of New York Mellon Corp. (The)(a)		567,449		11,297,910
Goldman Sachs Group, Inc. (The)		198,928		17,989,059
Lazard Ltd. (Class A Stock)		414,102		10,812,203
Morgan Stanley(a)		1,332,814		20,165,476
				60,264,648
Chemicals — 1.4%
Mosaic Co. (The)		330,731		16,678,764
Commercial Banks — 4.0%
PNC Financial Services Group, Inc.		321,828		18,559,821
Wells Fargo & Co.		1,116,884		30,781,323
				49,341,144
Computers & Peripherals — 1.2%
Apple, Inc.*		37,767		15,295,635
Consumer Finance — 2.8%
American Express Co.		430,425		20,303,147
SLM Corp.		1,091,663		14,628,284
				34,931,431
Diversified Financial Services — 4.6%
Citigroup, Inc.		677,533		17,825,893
JPMorgan Chase & Co.		775,035		25,769,914
Moody’s Corp.(a)		407,706		13,731,538
				57,327,345
Electric Utilities — 1.4%
Exelon Corp.(a)		403,720		17,509,336
Electronic Equipment & Instruments — 2.4%
Flextronics International Ltd.*		5,208,466		29,479,918
Energy Equipment & Services — 1.5%
Halliburton Co.		517,291		17,851,712
Food & Staples Retailing — 3.6%
CVS Caremark Corp.		630,724		25,720,925
Wal-Mart Stores, Inc.		320,866		19,174,952
				44,895,877
Food Products — 6.1%
Bunge Ltd.(a)		357,745		20,463,014
Kraft Foods, Inc. (Class A Stock)		369,299		13,797,011
Smithfield Foods, Inc.*(a)		1,103,025		26,781,447
Tyson Foods, Inc. (Class A Stock)		715,792		14,773,947
				75,815,419

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 1.1%
CIGNA Corp.		328,255	$	13,786,710
Hotels, Restaurants & Leisure — 1.7%
International Game Technology		1,252,145		21,536,894
Independent Power Producers & Energy Traders — 1.9%
Calpine Corp.*		1,424,982		23,269,956
Insurance — 4.8%
Arch Capital Group, Ltd.*		281,851		10,493,313
Axis Capital Holdings Ltd.		402,425		12,861,503
MetLife, Inc.		658,280		20,525,170
Travelers Cos., Inc. (The)		257,751		15,251,127
				59,131,113
Internet Software & Services — 2.0%
Google, Inc. (Class A Stock)*		38,438		24,827,104
Machinery — 1.3%
Ingersoll-Rand PLC		538,777		16,416,535
Media — 9.8%
Comcast Corp. (Class A Stock)		1,621,407		38,443,560
Liberty Global, Inc., Ser. C*		1,005,567		39,740,008
News Corp. (Class A Stock)		897,420		16,009,972
Viacom, Inc. (Class B Stock)		588,924		26,743,039
				120,936,579
Metals & Mining — 4.0%
Freeport-McMoRan Copper & Gold, Inc.		319,984		11,772,211
Goldcorp, Inc.		292,856		12,958,878
Newmont Mining Corp.		408,007		24,484,500
				49,215,589
Oil, Gas & Consumable Fuels — 12.1%
Anadarko Petroleum Corp.		305,485		23,317,670
Hess Corp.		269,851		15,327,537
Marathon Oil Corp.		713,857		20,894,594
Marathon Petroleum Corp.		421,072		14,017,487
Noble Energy, Inc.		281,351		26,556,721
Occidental Petroleum Corp.		265,989		24,923,169
Southwestern Energy Co.*		375,322		11,987,785
Suncor Energy, Inc.		458,309		13,213,048
				150,238,011
Pharmaceuticals — 6.3%
Mylan, Inc.*		1,447,264		31,058,285
Pfizer, Inc.		969,586		20,981,841
Sanofi (France), ADR		396,368		14,483,287
Teva Pharmaceutical Industries Ltd. (Israel), ADR		286,903		11,579,405
				78,102,818
Road & Rail — 0.4%
Union Pacific Corp.		40,869		4,329,662
Semiconductors & Semiconductor Equipment — 2.0%
Marvell Technology Group Ltd.*		826,868		11,452,122
Maxim Integrated Products, Inc.		497,922		12,965,889
				24,418,011
Software — 4.2%
CA, Inc.		1,702,075		34,407,446

SEE NOTES TO FINANCIAL STATEMENTS.

A151

	VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
Symantec Corp.*		1,132,467	$	17,723,109
				52,130,555
Specialty Retail — 1.4%
Staples, Inc.		1,261,893		17,527,694
Wireless Telecommunication Services — 3.5%
MetroPCS Communications, Inc.*		2,492,148		21,631,845
NII Holdings, Inc.*		1,010,268		21,518,708
				43,150,553
TOTAL LONG-TERM INVESTMENTS (cost $1,145,365,793)				1,212,721,296
SHORT-TERM INVESTMENT — 9.4%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $116,460,092; includes $91,987,963 of cash collateral received for securities on loan) (Note 4)(b)(c)		116,460,092		116,460,092
TOTAL INVESTMENTS — 107.4% (cost $1,261,825,885)				1,329,181,388
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.4%)				(91,560,123	)
NET ASSETS — 100.0%			$	1,237,621,265

The following abbreviation is used in portfolio descriptions:

ADR American Depositary Receipt.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $88,995,539; cash collateral of $91,987,963 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

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

Level 1—quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and

amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,212,721,296	$	—	$	—
Affiliated Money Market Mutual Fund		116,460,092		—		—
Total	$	1,329,181,388	$	—	$	—

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 was as follows:

Oil, Gas & Consumable Fuels	12.1	%
Media	9.8
Affiliated Money Market Mutual Fund (including 7.4% of collateral received for securities on loan)	9.4
Pharmaceuticals	6.3
Food Products	6.1
Capital Markets	4.9
Insurance	4.8
Diversified Financial Services	4.6
Software	4.2
Commercial Banks	4.0
Metals & Mining	4.0
Food & Staples Retailing	3.6
Wireless Telecommunication Services	3.5
Aerospace & Defense	2.8
Consumer Finance	2.8
Electronic Equipment & Instruments	2.4
Auto Components	2.1
Internet Software & Services	2.0
Semiconductors & Semiconductor Equipment	2.0
Independent Power Producers & Energy Traders	1.9
Hotels, Restaurants & Leisure	1.7
Energy Equipment & Services	1.5
Airlines	1.4
Chemicals	1.4
Electric Utilities	1.4
Specialty Retail	1.4
Automobiles	1.3
Machinery	1.3
Computers & Peripherals	1.2
Healthcare Providers & Services	1.1
Road & Rail	0.4
	107.4
Liabilities in excess of other assets	(7.4	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A152

VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $88,995,539:
Unaffiliated investments (cost $1,145,365,793)	$	1,212,721,296
Affiliated investments (cost $116,460,092)		116,460,092
Cash		45,350
Dividends and interest receivable		1,015,680
Receivable for investments sold		522,140
Foreign tax reclaim receivable		117,247
Receivable for Series shares sold		9,060
Prepaid expenses		8,718
Total Assets		1,330,899,583
LIABILITIES
Collateral for securities on loan		91,987,963
Management fee payable		420,742
Payable for investments purchased		406,782
Payable for Series shares repurchased		253,924
Accrued expenses and other liabilities		205,933
Distribution fee payable		1,280
Affiliated transfer agent fee payable		926
Administration fee payable		768
Total Liabilities		93,278,318
NET ASSETS	$	1,237,621,265
Net assets were comprised of:
Paid-in capital	$	1,385,438,880
Retained earnings		(147,817,615	)
Net assets, December 31, 2011	$	1,237,621,265
Class I:
Net asset value and redemption price per share, $1,231,567,784 / 77,298,276 outstanding shares of beneficial interest	$	15 .93
Class II:
Net asset value and redemption price per share, $6,053,481 / 377,500 outstanding shares of beneficial interest	$	16 .04

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $343,923)	$	18,141,797
Affiliated income from securities loaned, net		121,600
Affiliated dividend income		30,640
		18,294,037
EXPENSES
Management fee		5,502,517
Distribution fee—Class II		17,304
Administration fee—Class II		10,382
Shareholders’ reports		176,000
Custodian’s fees and expenses		156,000
Trustees’ fees		25,000
Audit fee		19,000
Insurance expenses		16,000
Legal fees and expenses		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Commitment fee on syndicated credit agreement		7,000
Loan interest expense (Note 8)		81
Miscellaneous		19,428
Total expenses		5,972,712
NET INVESTMENT INCOME		12,321,325
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		127,553,903
Foreign currency transactions		(2,900	)
		127,551,003
Net change in unrealized appreciation (depreciation) on:
Investments		(211,608,643	)
Foreign currencies		(549	)
		(211,609,192	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(84,058,189	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(71,736,864	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	12,321,325		$	13,964,864
Net realized gain on investments and foreign currencies		127,551,003			65,421,490
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(211,609,192	)		84,733,453
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(71,736,864	)		164,119,807
DISTRIBUTIONS:
Class I		(13,916,247	)		(11,668,725	)
Class II		(36,196	)		(16,864	)
TOTAL DISTRIBUTIONS		(13,952,443	)		(11,685,589	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		11,696,328			23,882,558
Series shares issued in reinvestment of distributions		13,952,443			11,685,589
Net asset value of shares issued in merger (Note 10)		—			199,267,637
Series shares repurchased		(142,367,941	)		(132,638,150	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(116,719,170	)		102,197,634
TOTAL INCREASE (DECREASE) IN NET ASSETS		(202,408,477	)		254,631,852
NET ASSETS:
Beginning of year		1,440,029,742			1,185,397,890
End of year	$	1,237,621,265		$	1,440,029,742

SEE NOTES TO FINANCIAL STATEMENTS.

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NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. On January 2, 2006, each Portfolio of the Series Fund changed its federal income tax status from a regulated investment company to a partnership. As a result of that conversion, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to thirteen Portfolios which are listed below along with each Portfolio’s investment objective.

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

High Yield Bond Portfolio:    High total return.

Jennison Portfolio:    Long-term growth of capital.

Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

Natural Resources Portfolio:    Long-term growth of capital.

Small Capitalization Stock Portfolio:    Long-term growth of capital.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

Value Portfolio:    Capital appreciation.

The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.

Securities Valuation:    Securities listed on a securities exchange (other than options on securities and indices) are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via NASDAQ are valued at the NASDAQ official closing price (“NOCP”) on the day of valuation, or if there was no NOCP, at the last sale price. Securities that are actively

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traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”) in consultation with the subadvisors, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange or at the last bid price in the absence of an asked price. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Prices may be obtained from independent pricing services which use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities for which reliable market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Series Fund’s normal pricing time, are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures. When determining the fair value of securities, some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment advisor regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.

The Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. Short-term debt securities that are held in the other Portfolios which mature in more than 60 days are valued at fair value and those short-term debt securities of sufficient credit quality which mature in 60 days or less are valued at amortized cost which approximates fair value. The amortized cost method values a security at its cost at the time of purchase and thereafter assumes a constant amortization to maturity of the difference between the principal amount due at maturity and cost.

Each Portfolio may hold up to 15% of its net assets (the Money Market Portfolio may hold up to 10% of its net assets) in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above.

Repurchase Agreements:    In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Series Fund may by delayed or limited.

Foreign Currency Translation:    The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange.

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of

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long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or losses from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

Short Sales:    Certain Portfolios of the Series Fund may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

Loan Participations:    The High Yield Bond and Money Market Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on financial futures contracts.

Certain Portfolios of the Series Fund entered into financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates and to manage yield curve duration. Certain Portfolios entered into equity

B3

index futures contracts to gain market exposure. The Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

Options:    Certain Portfolios of the Series Fund purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. Certain Portfolios also used purchased options to gain exposure to certain securities and foreign currencies. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. Over-the-counter options involve the risk of the potential inability of the counterparties to meet the terms of their contracts.

With exchange-traded futures and options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and options, and guarantees the futures and options contracts against default.

Swap Agreements:    Certain Portfolios of the Series Fund may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps:    Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Certain Portfolios used interest rate swaps to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life. This risk may be mitigated by having a master netting arrangement between the Portfolio and the counterparty which may permit the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

Credit Default Swaps:    Credit default swaps involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (“credit event”) for the referenced party, typically corporate issues or sovereign issues of an emerging country, on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

The Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. Certain Portfolios purchased credit default swaps to provide a measure of protection against defaults of the issuers. Certain Portfolios in the Series Fund used credit default swaps on credit indices to hedge a portfolio of credit

B4

default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Certain Portfolios took an active short position with respect to the likelihood of particular issuer’s default by selling credit default swaps. The Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the notional value of a credit default swap agreement. A master netting arrangement between the Portfolio and the counterparty that permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

As a seller of protection on credit default swap agreements, a Portfolio will generally receive from the buyer of protection an agreed upon payment throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively increase investment risk to its portfolio because, in addition to its total net assets, a Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. These potential amounts will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Portfolio for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset- backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment and/or performance risk. Wider credit spreads and increasing market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates. In connection with these agreements, securities in the portfolio may be identified as collateral or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of December 31, 2011, none of the Portfolios have met conditions under such agreements, which give the counterparty the right to call for an early termination.

Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

Warrants and Rights:    Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

B5

Securities Lending:    Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Dollar Rolls:    Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

When-Issued/Delayed Delivery Securities:    Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date; interest income, which is comprised of four elements: stated coupon, original issue discount, market discount and market premium, is recorded on the accrual basis. Expenses are recorded on the accrual basis. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are attributable directly to a Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income (loss) (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Money Market Portfolio declares and reinvests distributions daily. The Diversified Bond, Government Income and High Yield Bond Portfolios make distributions, if any, quarterly. All other Portfolios’ distributions are generally made on an annual basis. Distributions are recorded on the ex-date.

Estimates:    The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

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Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), LSV Asset Management (“LSV”), Marsico Capital Management LLC (“Marsico”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.

Portfolio	Management Fee	Effective Management Fee
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.75
Government Income Portfolio	0.40		0.40
High Yield Bond Portfolio	0.55		0.55
Jennison Portfolio	0.60		0.60
Money Market Portfolio	0.40		0.16	*
Natural Resources Portfolio	0.45		0.45
Small Capitalization Stock Portfolio	0.40		0.40
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion**		0.30
Value Portfolio	0.40		0.40

* In order to support the income yield, PI has voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield (excluding capital gain or loss) does not fall below 0.02%. Prior to March 2, 2010, that threshold was 0.05%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the year ended December 31, 2011, the total waiver as a result of this voluntary agreement was $2,580,455 or an annualized 0.24% of the Money Market Portfolio’s average daily net assets.

** Effective August 1, 2010, PI has voluntarily agreed to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

At December 31, 2011, the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:

Portfolio	Subadvisor(s)
Conservative Balanced Portfolio	PIM, QMA
Diversified Bond Portfolio	PIM
Equity Portfolio	Jennison
Flexible Managed Portfolio	PIM, QMA
Global Portfolio	LSV, Marsico, QMA, T. Rowe & William Blair
Government Income Portfolio	PIM
High Yield Bond Portfolio	PIM
Jennison Portfolio	Jennison
Money Market Portfolio	PIM
Natural Resources Portfolio	Jennison
Small Capitalization Stock Portfolio	QMA
Stock Index Portfolio	QMA
Value Portfolio	Jennison

B7

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

PI has voluntarily agreed to reimburse the Stock Index Portfolio in order to limit operating expenses (excluding distribution and service (12b-1) fees, interest, taxes, brokerage commissions and certain extraordinary expenses) to an annualized rate of 0.75% of the average daily net assets. Effective July 1, 2011, the expense limitation was removed.

PIMS, PI, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Note 4: Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

PIM also serves as the Series Fund’s security lending agent. For the year ended December 31, 2011, PIM was compensated as follows for these services by the Series Fund Portfolios:

Portfolio	PIM
Conservative Balanced Portfolio	$	74,456
Diversified Bond Portfolio		45,468
Equity Portfolio		132,162
Flexible Managed Portfolio		52,948
Global Portfolio		74,586
Government Income Portfolio		10,854
High Yield Bond Portfolio		258,541
Jennison Portfolio		45,124
Natural Resources Portfolio		73,237
Small Capitalization Stock Portfolio		116,629
Stock Index Portfolio		95,769
Value Portfolio		36,322

Certain Portfolios invest in the Prudential Core Short-Term Bond Fund and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2011 were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	3,351,969,212	$	3,435,929,009
Diversified Bond Portfolio		1,783,531,305		1,756,877,303
Equity Portfolio		1,570,965,317		1,723,757,034
Flexible Managed Portfolio		5,878,694,717		5,912,405,949
Global Portfolio		414,793,034		444,922,313

B8

Portfolio	Cost of Purchases		Proceeds from Sales
Government Income Portfolio	$	6,125,987,480	$	6,128,727,376
High Yield Bond Portfolio		1,506,611,127		1,398,195,405
Jennison Portfolio		651,547,997		902,176,754
Natural Resources Portfolio		412,456,951		538,621,936
Small Capitalization Stock Portfolio		97,969,979		136,781,326
Stock Index Portfolio		52,374,307		168,357,296
Value Portfolio		584,615,267		682,712,419

The Diversified Bond Portfolio’s options written activity for the year ended December 31, 2011 was as follows:

Diversified Bond Portfolio	Contracts			Premiums
Balance as of December 31, 2010		500		$	1,506,673
Options written		—			—
Options terminated in closing purchase transactions		(500	)		(1,506,673	)
Options expired		—			—
Balance as of December 31, 2011		—		$	—

Note 6: Tax Information

After January 2, 2006, all Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

Prior to January 2, 2006, each Portfolio, which was incorporated as of that date, qualified as a regulated investment company under the Internal Revenue Code and distributed all of its taxable income, including any net realized gains on investments, to shareholders.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2011, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.

During the fiscal year ended December 31, 2010, the Money Market Portfolio received $29,738 related to an unaffiliated-third-party’s settlement of regulatory proceedings involving allegations of improper trading in Portfolio shares. This amount is presented in the Statement of Changes in Net Assets. The Portfolio was not involved in the proceedings or in the calculation of the amount of settlement.

B9

Transactions in shares of beneficial interest of the Equity, Jennison, Natural Resources and Value Portfolios were as follows:

Equity Portfolio:

Class I	Shares			Amount
Year ended December 31, 2011:
Series shares sold		781,393		$	19,351,385
Series shares issued in reinvestment of distributions		887,087			22,097,344
Series shares repurchased		(9,666,900	)		(241,561,350	)
Net increase (decrease) in shares outstanding		(7,998,420	)	$	(200,112,621	)
Year ended December 31, 2010:
Series shares sold		915,389		$	20,563,535
Series shares issued in reinvestment of distributions		1,145,195			24,392,657
Series shares repurchased		(11,064,183	)		(246,443,793	)
Net increase (decrease) in shares outstanding		(9,003,599	)	$	(201,487,601	)
Class II
Year ended December 31, 2011:
Series shares sold		23,819		$	618,805
Series shares issued in reinvestment of distributions		159			4,010
Series shares repurchased		(18,984	)		(458,348	)
Net increase (decrease) in shares outstanding		4,994		$	164,467
Year ended December 31, 2010:
Series shares sold		65,768		$	1,489,189
Series shares issued in reinvestment of distributions		86			1,854
Series shares repurchased		(7,367	)		(170,754	)
Net increase (decrease) in shares outstanding		58,487		$	1,320,289

Jennison Portfolio:

Class I	Shares			Amount
Year ended December 31, 2011:
Series shares sold		960,647		$	23,005,710
Series shares issued in reinvestment of distributions		152,637			3,609,872
Series shares repurchased		(11,249,998	)		(275,658,994	)
Net increase (decrease) in shares outstanding		(10,136,714	)	$	(249,043,412	)
Year ended December 31, 2010:
Series shares sold		2,130,137		$	45,526,481
Series shares issued in reinvestment of distributions		273,898			5,475,228
Series shares issued in merger (Note 10)		1,359,502			29,433,212
Series shares repurchased		(7,410,225	)		(154,193,607	)
Net increase (decrease) in shares outstanding		(3,646,688	)	$	(73,758,686	)
Class II
Year ended December 31, 2011:
Series shares sold		317,015		$	7,584,519
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(372,193	)		(8,715,225	)
Net increase (decrease) in shares outstanding		(55,178	)	$	(1,130,706	)

B10

Jennison Portfolio (cont’d):

Class II	Shares			Amount
Year ended December 31, 2010:
Series shares sold		189,904		$	3,885,561
Series shares issued in reinvestment of distributions		264			5,201
Series shares issued in merger (Note 10)		605,762			12,890,620
Series shares repurchased		(330,701	)		(6,729,234	)
Net increase (decrease) in shares outstanding		465,229		$	10,052,148

Natural Resources Portfolio:

Class I	Shares			Amount
Year ended December 31, 2011:
Series shares sold		412,131		$	18,208,621
Series shares issued in reinvestment of distributions		47,177			2,137,134
Series shares repurchased		(2,846,544	)		(127,557,784	)
Net increase (decrease) in shares outstanding		(2,387,236	)	$	(107,212,029	)
Year ended December 31, 2010:
Series shares sold		480,166		$	18,914,478
Series shares issued in reinvestment of distributions		126,305			4,476,261
Series shares repurchased		(3,058,129	)		(114,388,529	)
Net increase (decrease) in shares outstanding		(2,451,658	)	$	(90,997,790	)
Class II
Year ended December 31, 2011:
Series shares sold		875,550		$	37,590,119
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(1,252,490	)		(53,728,764	)
Net increase (decrease) in shares outstanding		(376,940	)	$	(16,138,645	)
Year ended December 31, 2010:
Series shares sold		1,032,268		$	40,266,480
Series shares issued in reinvestment of distributions		1,807			63,676
Series shares repurchased		(1,375,362	)		(50,065,682	)
Net increase (decrease) in shares outstanding		(341,287	)	$	(9,735,526	)

Value Portfolio:

Class I	Shares			Amount
Year ended December 31, 2011:
Series shares sold		661,360		$	11,056,833
Series shares issued in reinvestment of distributions		806,739			13,916,247
Series shares repurchased		(8,283,301	)		(141,040,811	)
Net increase (decrease) in shares outstanding		(6,815,202	)	$	(116,067,731	)
Year ended December 31, 2010:
Series shares sold		1,309,289		$	20,376,435
Series shares issued in reinvestment of distributions		788,428			11,668,725
Series shares issued in merger (Note 10)		12,308,069			199,267,637
Series shares repurchased		(8,560,895	)		(131,705,765	)
Net increase (decrease) in shares outstanding		5,844,891		$	99,607,032

B11

Value Portfolio (cont’d):

Class II	Shares			Amount
Year ended December 31, 2011:
Series shares sold		36,870		$	639,495
Series shares issued in reinvestment of distributions		2,080			36,196
Series shares repurchased		(78,020	)		(1,327,130	)
Net increase (decrease) in shares outstanding		(39,070	)	$	(651,439	)
Year ended December 31, 2010:
Series shares sold		228,500		$	3,506,123
Series shares issued in reinvestment of distributions		1,131			16,864
Series shares repurchased		(59,635	)		(932,385	)
Net increase (decrease) in shares outstanding		169,996		$	2,590,602

Note 8: Borrowings

The Portfolios (excluding the Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period December 16, 2011 through December 14, 2012. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to December 16, 2011, the Funds had another Syndicated Credit Agreement of $750 million commitment with an annualized commitment fee of 0.10% of the unused portion. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the SCA during the year ended December 31, 2011. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rates			Amount Outstanding at December 31, 2011
Jennison Portfolio	$	1,315,000		45		1.50	%	$	—
Global Portfolio		164,000		3		1.49			—
Value Portfolio		490,500		4		1.47			—

Note 9: Ownership and Affiliates

As of December 31, 2011, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

Note 10: Reorganizations

On December 7, 2009, The Board of Trustees of the Series Fund approved an Agreement and Plan of Reorganization (the “Plan”) which provided for the transfer of all the assets of the following portfolios for shares of the acquiring portfolios and the assumption of the liabilities of the portfolios. Shareholders approved the Plan at a meeting on March 25, 2010 and the reorganization took place on April 30, 2010.

The purpose of the transactions was to combine two Portfolios with substantially similar investment objectives, policies and restrictions. The Acquiring Portfolios have a lower contractual investment management fee and annualized operating expense ratio as well as stronger historical investment performance.

B12

The acquisitions were accomplished by a tax-free exchange of the following shares on April 30, 2010:

Merged Portfolio	Shares		Acquiring Portfolio	Shares		Value
SP Strategic Partners Focused Growth Portfolio:			Jennison Portfolio:
Class I		4,278,083	Class I		1,359,502	$	29,433,212
Class II		1,956,088	Class II		605,762		12,890,620
SP Davis Value Portfolio:			Value Portfolio:
Class I		21,777,884	Class I		12,308,069		199,267,637

For financial reporting purposes, assets received and shares issued by the Acquiring Portfolios were recorded at fair value; however, the cost basis of the investments received from the Merged Portfolios was carried forward to reflect the tax-free status of the acquisition. The net assets and net unrealized appreciation immediately before the acquisitions were as follows:

Merged Portfolio	Net Assets		Unrealized Appreciation		Acquiring Portfolio	Net Assets
SP Strategic Partners Focused Growth Portfolio	$	42,323,832	$	8,933,329	Jennison Portfolio	$	1,340,557,644
SP Davis Value Portfolio		199,267,637		55,151,182	Value Portfolio		1,242,235,677

Assuming the acquisitions had been completed on January 1, 2010, the Acquiring Portfolios’ results of operations for the year ended December 31, 2010 were as follows:

Jennison Portfolio
Net investment income	$	3,502,824	(a)
Net realized and unrealized gain on investments		141,946,189	(b)
	$	145,449,013
Value Portfolio
Net investment income	$	14,414,980	(c)
Net realized and unrealized loss on investments		160,246,225	(d)
	$	174,661,205

(a) $3,611,532, as reported in the Statement of Operations, less $150,491 Net Investment loss from SP Strategic Partners Focused Growth Portfolio pre-merger, plus $41,783 of pro-forma eliminated expenses.

(b) $141,930,706, as reported in the Statement of Operations, plus $15,483 Net Realized and Unrealized Gain on Investments from SP Strategic Partners Focused Growth Portfolio pre-merger.

(c) $13,964,864, as reported in the Statement of Operations, plus $223,596 Net Investment Income from SP Davis Value Portfolio pre-merger, plus $226,520 of pro-forma eliminated expenses.

(d) $150,154,943, as reported in the Statement of Operations, plus $10,091,282 Net Realized and Unrealized Gain on Investments from SP Davis Value Portfolio pre-merger.

Because both the Acquiring Portfolios and Merged Portfolios sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisitions were completed, it is also not practicable to separate the amounts of revenue and earnings of the Merged Portfolios that have been included in the Acquiring Portfolios’ Statement of Operations since April 30, 2010.

Note 11: New Accounting Pronouncements

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective control for Repurchase Agreements”. The objective of ASU 2011-03 is to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. Under previous guidance, whether or not to account for a transaction as a sale was based on, in part, if the entity maintained effective control over the transferred financial assets. ASU 2011-03 removes the transferor’s ability criterion

B13

from the effective control assessment. This guidance is effective prospectively for interim and annual reporting periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-03 and its impact on the financial statements has not been determined.

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined.

B14

Financial Highlights

	Conservative Balanced Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.96		$	14.65		$	12.69		$	16.69		$	16.21
Income (Loss) From Investment Operations:
Net investment income		.36			.37			.39			.50			.50
Net realized and unrealized gain (loss) on investments		.37			1.31			2.08			(3.98	)		.49
Total from investment operations		.73			1.68			2.47			(3.48	)		.99
Less Distributions		(.37	)		(.37	)		(.51	)		(.52	)		(.51	)
Net Asset Value, end of year	$	16.32		$	15.96		$	14.65		$	12.69		$	16.69
Total Return(b)		4.60	%		11.74	%		20.01	%		(21.41	)%		6.12	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,191.6		$	2,234.7		$	2,138.7		$	1,957.5		$	2,721.9
Ratios to average net assets(c):
Expenses		.59	%		.59	%		.59	%		.59	%		.59	%
Net investment income		2.12	%		2.32	%		2.68	%		3.12	%		2.95	%
Portfolio turnover rate		215	%		185	%		250	%		336	%		178	%

	Diversified Bond Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.67		$	11.16		$	9.89		$	10.90		$	10.85
Income (Loss) From Investment Operations:
Net investment income		.56			.52			.50			.54			.58
Net realized and unrealized gain (loss) on investments		.30			.63			1.46			(.90	)		.02
Total from investment operations		.86			1.15			1.96			(.36	)		.60
Less Distributions		(.79	)		(.64	)		(.69	)		(.65	)		(.55	)
Net Asset Value, end of year	$	11.74		$	11.67		$	11.16		$	9.89		$	10.90
Total Return(b)		7.51	%		10.57	%		20.51	%		(3.46	)%		5.71	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,556.9		$	1,522.9		$	1,363.5		$	1,134.8		$	1,218.3
Ratios to average net assets(c):
Expenses		.42	%		.46	%		.44	%		.44	%		.44	%
Net investment income		4.76	%		4.46	%		4.79	%		5.07	%		5.39	%
Portfolio turnover rate		167	%		191	%		401	%		723	%		476	%

(a) Calculated based on average shares outstanding during the year.

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

	Equity Portfolio
	Class I
	Year Ended December 31,
	2011			2010			2009			2008(c)			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	24.75		$	22.30		$	16.40		$	29.67		$	27.45
Income (Loss) From Investment Operations:
Net investment income		.13			.15			.16			.29			.35
Net realized and unrealized gain (loss) on investments		(.98	)		2.48			6.04			(10.52	)		2.21
Total from investment operations		(.85	)		2.63			6.20			(10.23	)		2.56
Less Distributions:		(.17	)		(.18	)		(.30	)		(3.04	)		(.34	)
Net Asset Value, end of year	$	23.73		$	24.75		$	22.30		$	16.40		$	29.67
Total Return(a)		(3.47	)%		11.90	%		38.17	%		(38.16	)%		9.32	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,997.5		$	3,324.3		$	3,195.1		$	2,521.0		$	4,423.9
Ratios to average net assets(b):
Expenses		.48	%		.48	%		.48	%		.48	%		.47	%
Net investment income		.58	%		.71	%		.90	%		1.21	%		1.16	%
Portfolio turnover rate		49	%		68	%		98	%		67	%		57	%

	Equity Portfolio
	Class II
	Year Ended December 31,
	2011			2010			2009			2008(c)			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	25.00		$	22.46		$	16.47		$	29.81		$	27.52
Income (Loss) From Investment Operations:
Net investment income		.06			.04			.09			.19			.28
Net realized and unrealized gain (loss) on investments		(1.03	)		2.54			6.07			(10.61	)		2.20
Total from investment operations		(.97	)		2.58			6.16			(10.42	)		2.48
Less Distributions:		(.04	)		(.04	)		(.17	)		(2.92	)		(.19	)
Net Asset Value, end of year	$	23.99		$	25.00		$	22.46		$	16.47		$	29.81
Total Return(a)		(3.87	)%		11.50	%		37.58	%		(38.47	)%		8.91	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2.0		$	1.9		$	.4		$	.4		$	1.3
Ratios to average net assets(b):
Expenses		.88	%		.88	%		.88	%		.88	%		.87	%
Net investment income		.19	%		.34	%		.52	%		.78	%		.74	%
Portfolio turnover rate		49	%		68	%		98	%		67	%		57	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolio in which the Portfolio invests.

(c) Calculation based on average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

	Flexible Managed Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.63		$	14.28		$	12.34		$	18.30		$	18.36
Income (Loss) From Investment Operations:
Net investment income		.33			.31			.34			.45			.50
Net realized and unrealized gain (loss) on investments		.34			1.37			2.05			(4.62	)		.65
Total from investment operations		.67			1.68			2.39			(4.17	)		1.15
Less Distributions		(.31	)		(.33	)		(.45	)		(1.79	)		(1.21	)
Net Asset Value, end of year	$	15.99		$	15.63		$	14.28		$	12.34		$	18.30
Total Return(a)		4.34	%		12.03	%		19.95	%		(24.82	)%		6.30	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,036.8		$	3,077.3		$	2,906.0		$	2,621.6		$	3,716.3
Ratios to average net assets(b):
Expenses		.63	%		.64	%		.63	%		.64	%		.63	%
Net investment income		2.01	%		2.06	%		2.50	%		2.85	%		2.53	%
Portfolio turnover rate		246	%		205	%		248	%		321	%		212	%

	Global Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	18.49		$	16.68		$	13.07		$	24.62		$	22.53
Income (Loss) From Investment Operations:
Net investment income		.29			.28			.28			.40			.36
Net realized and unrealized gain (loss) on investments		(1.56	)		1.79			3.75			(10.38	)		2.00
Total from investment operations		(1.27	)		2.07			4.03			(9.98	)		2.36
Less Distributions		(.28	)		(.26	)		(.42	)		(1.57	)		(.27	)
Net Asset Value, end of year	$	16.94		$	18.49		$	16.68		$	13.07		$	24.62
Total Return(a)		(6.97	)%		12.74	%		31.39	%		(42.92	)%		10.48	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	564.2		$	648.5		$	619.5		$	512.7		$	985.0
Ratios to average net assets(b):
Expenses		.84	%		.87	%		.85	%		.84	%		.81	%
Net investment income		1.54	%		1.60	%		1.77	%		2.01	%		1.43	%
Portfolio turnover rate		69	%		69	%		50	%		65	%		48	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

	Government Income Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	12.03		$	11.86		$	11.40		$	11.38		$	11.26
Income (Loss) From Investment Operations:
Net investment income		.30			.35			.37			.45			.53
Net realized and unrealized gain (loss) on investments		.60			.47			.49			.03			.10
Total from investment operations		.90			.82			.86			.48			.63
Less Distributions		(.56	)		(.65	)		(.40	)		(.46	)		(.51	)
Net Asset Value, end of year	$	12.37		$	12.03		$	11.86		$	11.40		$	11.38
Total Return(a)		7.63	%		6.99	%		7.71	%		4.30	%		5.70	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	416.7		$	399.2		$	375.4		$	370.5		$	340.3
Ratios to average net assets(b):
Expenses		.46	%		.50	%		.47	%		.52	%(c)		.52	%
Net investment income		2.48	%		2.87	%		3.11	%		3.98	%(c)		4.62	%
Portfolio turnover rate		1554	%		1122	%		1179	%		2707	%		2377	%

	High Yield Bond Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	5.06		$	4.83		$	3.61		$	5.09		$	5.33
Income (Loss) From Investment Operations:
Net investment income		.38			.42			.41			.41			.40
Net realized and unrealized gain (loss) on investments		(.13	)		.23			1.22			(1.48	)		(.26	)
Total from investment operations		.25			.65			1.63			(1.07	)		.14
Less Distributions		(.38	)		(.42	)		(.41	)		(.41	)		(.38	)
Net Asset Value, end of year	$	4.93		$	5.06		$	4.83		$	3.61		$	5.09
Total Return(a)		5.10	%		14.05	%		47.16	%		(22.28	)%		2.62	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,158.4		$	2,141.2		$	1,938.3		$	1,239.9		$	1,674.0
Ratios to average net assets(b):
Expenses		.58	%		.58	%		.58	%		.58	%		.58	%
Net investment income		7.53	%		8.51	%		9.75	%		8.78	%		7.49	%
Portfolio turnover rate		68	%		89	%		84	%		61	%		58	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c) Includes interest expense of 0.03%.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

	Jennison Portfolio
	Class I
	Year Ended December 31,
	2011			2010(a)			2009(a)			2008(a)			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	23.26		$	20.87		$	14.69		$	23.53		$	21.07
Income (Loss) From Investment Operations:
Net investment income		.03			.06			.08			.10			.10
Net realized and unrealized gain (loss) on investments		.04			2.42			6.22			(8.84	)		2.43
Total from investment operations		.07			2.48			6.30			(8.74	)		2.53
Less Distributions		(.07	)		(.09	)		(.12	)		(.10	)		(.07	)
Net Asset Value, end of year	$	23.26		$	23.26		$	20.87		$	14.69		$	23.53
Total Return(b)		.30	%		11.95	%		43.03	%		(37.28	)%		12.00	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,126.3		$	1,362.1		$	1,298.7		$	1,148.0		$	2,100.5
Ratios to average net assets(c):
Expenses		.64	%		.64	%		.64	%		.63	%		.62	%
Net investment income		.16	%		.29	%		.44	%		.52	%		.42	%
Portfolio turnover rate		51	%		67	%		76	%		74	%		69	%

	Jennison Portfolio
	Class II
	Year Ended December 31,
	2011			2010(a)			2009(a)			2008(a)			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	22.91		$	20.55		$	14.46		$	23.17		$	20.77
Income (Loss) From Investment Operations:
Net investment income (loss)		(.07	)		(.02	)		.01			.02			—	(d)
Net realized and unrealized gain (loss) on investments		.05			2.38			6.13			(8.72	)		2.40
Total from investment operations		(.02	)		2.36			6.14			(8.70	)		2.40
Less Distributions		—			—	(d)		(.05	)		(.01	)		—
Net Asset Value, end of year	$	22.89		$	22.91		$	20.55		$	14.46		$	23.17
Total Return(b)		(.09	)%		11.50	%		42.52	%		(37.55	)%		11.56	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	31.9		$	33.2		$	20.2		$	12.2		$	21.9
Ratios to average net assets(c):
Expenses		1.04	%		1.04	%		1.04	%		1.03	%		1.02	%
Net investment income (loss)		(.24	)%		(.10	)%		.03	%		.12	%		.02	%
Portfolio turnover rate		51	%		67	%		76	%		74	%		69	%

(a) Calculated based upon average shares outstanding during the year.

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

(d) Less than $0.005 per share.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

Financial Highlights

	Money Market Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income From Investment Operations:
Net investment income and realized gains		—	(a)		—	(a)		.04			.26			.49
Distributions		—	(a)		—	(a)		(.04	)		(.26	)		(.49	)
Capital contributions		—			—	(a)		—			—			—
Net Asset Value, end of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(b)		.02	%		.03	%		.40	%		2.65	%		5.06	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,016.0		$	1,127.1		$	1,223.4		$	1,489.8		$	1,289.9
Ratios to average net assets:
Expenses		.18	%(c)		.25	%(c)		.39	%(c)		.43	%		.43	%
Net investment income		.02	%(c)		.03	%(c)		.41	%(c)		2.59	%		4.94	%

(a) Less than $0.005 per share.

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(c) Net of management fee waiver (Note 3). If the investment manager had not waived expenses, the expense ratio and the net investment income (loss) ratio would have been .42% and (.22)% for the year ended December 31, 2011, .44% and (.16)% for the year ended December 31, 2010 and .43% and .37% for the year ended December 31, 2009, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

C6

Financial Highlights

	Natural Resources Portfolio
	Class I
	Year Ended December 31,
	2011(a)			2010(a)			2009(a)			2008(a)			2007(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	47.33		$	37.15		$	23.70		$	56.28		$	45.67
Income (Loss) From Investment Operations:
Net investment income		.16			.08			.15			.22			.43
Net realized and unrealized gain (loss) on investments		(9.16	)		10.26			17.34			(25.97	)		21.09
Total from investment operations		(9.00	)		10.34			17.49			(25.75	)		21.52
Less Distributions		(.08	)		(.16	)		(4.04	)		(6.83	)		(10.91	)
Net Asset Value, end of year	$	38.25		$	47.33		$	37.15		$	23.70		$	56.28
Total Return(b)		(19.03	)%		27.98	%		77.10	%		(53.00	)%		48.30	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	926.6		$	1,259.5		$	1,079.6		$	677.4		$	1,669.9
Ratios to average net assets(c):
Expenses		.50	%		.50	%		.53	%		.50	%		.48	%
Net investment income		.36	%		.22	%		.51	%		.47	%		.80	%
Portfolio turnover rate		34	%		28	%		27	%		40	%		39	%

	Natural Resources Portfolio
	Class II
	Year Ended December 31,
	2011(a)			2010(a)			2009(a)			2008(a)			2007(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	46.98		$	36.88		$	23.54		$	55.92		$	45.55
Income (Loss) From Investment Operations:
Net investment income (loss)		(.02	)		(.07	)		.03			.05			.28
Net realized and unrealized gain (loss) on investments		(9.07	)		10.20			17.21			(25.86	)		20.92
Total from investment operations		(9.09	)		10.13			17.24			(25.81	)		21.20
Less Distributions		—			(.03	)		(3.90	)		(6.57	)		(10.83	)
Net Asset Value, end of year	$	37.89		$	46.98		$	36.88		$	23.54		$	55.92
Total Return(b)		(19.35	)%		27.48	%		76.41	%		(53.19	)%		47.70	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	67.9		$	101.9		$	92.6		$	42.3		$	47.9
Ratios to average net assets(c):
Expenses		.90	%		.90	%		.93	%		.90	%		.88	%
Net investment income (loss)		(.04	)%		(.18	)%		.10	%		.12	%		.51	%
Portfolio turnover rate		34	%		28	%		27	%		40	%		39	%

(a) Calculated based on average shares outstanding during the year.

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

SEE NOTES TO FINANCIAL STATEMENTS.

C7

Financial Highlights

	Small Capitalization Stock Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	17.27		$	13.83		$	12.52		$	21.31		$	23.29
Income (Loss) From Investment Operations:
Net investment income		.10			.13			.14			.24			.21
Net realized and unrealized gain (loss) on investments		—	(c)		3.43			2.70			(5.92	)		(.36	)
Total from investment operations		.10			3.56			2.84			(5.68	)		(.15	)
Less Distributions		(.37	)		(.12	)		(1.53	)		(3.11	)		(1.83	)
Net Asset Value, end of year	$	17.00		$	17.27		$	13.83		$	12.52		$	21.31
Total Return(a)		.56	%		25.93	%		25.18	%		(31.04	)%		(.53	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	542.6		$	589.9		$	492.2		$	432.5		$	699.6
Ratios to average net assets(b):
Expenses		.48	%		.49	%		.49	%		.47	%		.46	%
Net investment income		.60	%		.88	%		1.03	%		1.33	%		.86	%
Portfolio turnover rate		17	%		15	%		14	%		25	%		16	%

	Stock Index Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	31.37		$	27.89		$	22.76		$	36.84		$	35.64
Income (Loss) From Investment Operations:
Net investment income		.54			.48			.49			.64			.68
Net realized and unrealized gain (loss) on investments		.07			3.51			5.32			(14.02	)		1.14
Total from investment operations		.61			3.99			5.81			(13.38	)		1.82
Less Distributions		(.51	)		(.51	)		(.68	)		(.70	)		(.62	)
Net Asset Value, end of year	$	31.47		$	31.37		$	27.89		$	22.76		$	36.84
Total Return(a)		1.95	%		14.59	%		26.07	%		(36.94	)%		5.10	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,162.4		$	2,277.6		$	2,098.1		$	1,815.8		$	3,122.4
Ratios to average net assets(b):
Expenses		.33	%		.36	%		.37	%		.37	%		.37	%
Net investment income		1.74	%		1.70	%		2.06	%		2.04	%		1.73	%
Portfolio turnover rate		2	%		4	%		5	%		4	%		3	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c) Less than $0.005 per share.

SEE NOTES TO FINANCIAL STATEMENTS.

C8

Financial Highlights

	Value Portfolio
	Class I
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	17.04		$	15.10		$	10.86		$	23.44		$	26.21
Income (Loss) From Investment Operations:
Net investment income		.14			.17			.14			.30			.39
Net realized and unrealized gain (loss) on investments		(1.08	)		1.90			4.36			(8.36	)		.42
Total from investment operations		(.94	)		2.07			4.50			(8.06	)		.81
Less Distributions		(.17	)		(.13	)		(.26	)		(4.52	)		(3.58	)
Net Asset Value, end of year	$	15.93		$	17.04		$	15 .10		$	10.86		$	23.44
Total Return(a)		(5.58	)%		13.86	%		41.93	%		(42.29	)%		3.19	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,231.6		$	1,432.9		$	1,181.7		$	933.1		$	1,824.9
Ratios to average net assets(b):
Expenses		.43	%		.44	%		.43	%		.43	%		.43	%
Net investment income		.90	%		1.08	%		1.15	%		1.46	%		1.35	%
Portfolio turnover rate		43	%		63	%		51	%		71	%		52	%

	Value Portfolio
	Class II
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	17.13		$	15.16		$	10.91		$	23.51		$	26.26
Income (Loss) From Investment Operations:
Net investment income		.08			.12			.13			.21			.29
Net realized and unrealized gain (loss) on investments		(1.08	)		1.90			4.33			(8.38	)		.42
Total from investment operations		(1.00	)		2.02			4.46			(8.17	)		.71
Less Distributions		(.09	)		(.05	)		(.21	)		(4.43	)		(3.46	)
Net Asset Value, end of year	$	16.04		$	17.13		$	15.16		$	10.91		$	23.51
Total Return(a)		(5.89	)%		13.39	%		41.26	%		(42.56	)%		2.82	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	6.0		$	7.1		$	3.7		$	1.7		$	2.7
Ratios to average net assets(b):
Expenses		.83	%		.84	%		.83	%		.83	%		.83	%
Net investment income		.50	%		.69	%		.74	%		1.08	%		.96	%
Portfolio turnover rate		43	%		63	%		51	%		71	%		52	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

SEE NOTES TO FINANCIAL STATEMENTS.

C9

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

The Board of Trustees and Shareholders

The Prudential Series Fund:

We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, High Yield Bond Portfolio, Jennison Portfolio, Money Market Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, Stock Index Portfolio and Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the portfolios of investments, as of December 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2011, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

New York, New York

February 16, 2012

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act.

Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Susan Davenport Austin (44) No. of Portfolios Overseen: 84	Senior Vice President and Chief Financial Officer (Since 2007) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None
Saul K. Fenster, Ph.D. (78) No. of Portfolios Overseen: 84	President Emeritus of New Jersey Institute of Technology (since 2002); formerly President (1978-2002) of New Jersey Institute of Technology; Commissioner (1998-2002) of the Middle States Association Commission on Higher Education; Commissioner (1985-2002) of the New Jersey Commission on Science and Technology; formerly Director (1998-2005) of Society of Manufacturing Engineering Education Foundation; formerly Director of Prosperity New Jersey; formerly a director or trustee of Liberty Science Center, Research and Development Council of New Jersey, New Jersey State Chamber of Commerce, and National Action Council for Minorities in Engineering.	Formerly Director (2000-2006) of IDT Corporation.
Delayne Dedrick Gold (73) No. of Portfolios Overseen: 84	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None
W. Scott McDonald, Jr., Ph.D. (74) No. of Portfolios Overseen: 84	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None
Thomas T. Mooney (70) No. of Portfolios Overseen: 84	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007) formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None
Thomas M. O’Brien (61) No. of Portfolios Overseen: 84	President and COO (since November 2006) and CEO (since April 2007) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Director (since April 2008) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (since November 2006) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.
F. Don Schwartz (76) No. of Portfolios Overseen: 84	Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute.	None.

E1

Interested Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Stephen Pelletier (58) No. of Portfolios Overseen: 84	President of Prudential Annuities (since September 2008); Chairman and CEO, International Investments, Prudential Financial (since January 1998).	None
Robert F. Gunia (65) No. of Portfolios Overseen: 84	Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (since May 1989) of The Asia Pacific Fund, Inc.
Timothy S. Cronin (46) Number of Portfolios Overseen: 84	Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005).	None.

⁽¹⁾ The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Timothy S. Cronin, 2011; Saul K. Fenster, 1983; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Stephen Pelletier, 2011; F. Don Schwartz, 2003.

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Kathryn L. Quirk (59) Chief Legal Officer	Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.
Deborah A. Docs (54) Secretary	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain (53) Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo (37) Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).
John P. Schwartz (40) Assistant Secretary	Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1997-2005).
Andrew R. French (49) Assistant Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Timothy J. Knierim (53) Chief Compliance Officer	Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007).
Valerie M. Simpson (53) Deputy Chief Compliance Officer	Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (49) Deputy Chief Compliance Officer	Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001 - 2004).
Richard W. Kinville (43) Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ).
Grace C. Torres (52) Treasurer and Principal Financial and Accounting Officer	Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.

E2

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
M. Sadiq Peshimam (48) Assistant Treasurer	Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (53) Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Alan Fu (55) Assistant Treasurer	Vice President and Corporate Counsel - Tax, Prudential Financial, Inc. (since October 2003).

^(a) Excludes Mr. Pelletier and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.

⁽¹⁾ The year in which each individual became an Officer of the Fund is as follows: Kathryn L. Quirk, 2005; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; John P. Schwartz, 2006; Andrew R. French, 2006; Timothy J. Knierim, 2007; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006; Richard W. Kinville, 2011.

Explanatory Notes to Tables:

Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Stephen Pelletier and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.

Unless otherwise noted, the address of all Trustees and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.

There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.

“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust and Prudential’s Gibraltar Fund, Inc.

E3

Annuities are issued by Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992, and Prudential Annuities Life Assurance Corporation, located at One Corporate Drive, Shelton, CT, 06484. Variable annuities are distributed by Prudential Annuities Distributors, Inc., also located in Shelton, CT. Prudential Annuities is a business unit of Prudential Financial.

Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.

All are Prudential Financial companies, and each is solely responsible for its financial condition and contractual obligations.

Life insurance and annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (888)778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.

Prudential, the Prudential logo, and the Rock symbol are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

To learn more about Prudential Financial, go to www.prudential.com, or scan the code below.

0172024-00003-00    PSF-AR-A    

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT Ÿ DECEMBER 31, 2011

This report is one of several that provides financial information about certain investment choices available under variable life insurance and variable annuity contracts. Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable life insurance or variable annuity contract prospectus to determine which portfolios are available to you.

Please note that this document may include prospectus supplements that are separate from and not a part of the annual report.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life or annuity contract. The prospectuses contain information on the investment objectives, risks, and charges and expenses of the portfolios, and the contract and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable annuity contracts should call (888)778-2888, and owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone numbers referenced above, for variable annuity and variable life insurance contract owners.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (888)778-2888.

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.

The Prudential Series Fund Table of Contents Annual Report December 31, 2011

n LETTER TO CONTRACT OWNERS

n MANAGEMENT REVIEW

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
	SP International Growth Portfolio	A1
	SP International Value Portfolio	A6
	SP Prudential U.S. Emerging Growth Portfolio	A12
	SP Small Cap Value Portfolio	A16
Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

n APPROVAL OF ADVISORY AGREEMENTS

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.

The Prudential Series Fund Letter to Contract Owners Annual Report December 31, 2011

n DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

Stephen Pelletier

President,

The Prudential Series Fund January 31, 2012

PRESIDENT

STEPHEN PELLETIER

The Prudential Series Fund, SP International Growth Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		-14.91	%		-4.59	%		3.44	%
Portfolio: Class II		-15.32			-4.95			3.03
MSCI EAFE® Index (GD)		-11.73			-4.26			5.12

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2011 the SP International Growth Portfolio Class I shares declined by 14.91% and the Class II shares declined 15.32%.

The Portfolio’s assets are subadvised by William Blair & Company and Marsico Capital Management LLC. The Portfolio’s investment manager allocates a portion of the assets to each. The investment objective of the Portfolio is long-term growth of capital by investments in stocks of companies that are economically tied to countries other than the United States.

International markets had a terrible year, with a double digit decline in the MSCI EAFE Index (the Index). The financials and materials sectors declined the most, as the Euro-area financial crisis particularly threatened bond-holding financial institutions and secondarily threatened global economic growth. As economic conditions deteriorated, consumer discretionary and technology stocks also declined sharply. Only the healthcare and consumer staples sectors, relatively buffered from cyclical factors, were positive.

The largest negative impact on performance relative to the Index was country allocation, particularly investments in emerging markets countries, such as India and Brazil, that are not in the Index. Both subadvisers routinely invest in emerging markets stocks, as they have found significant growth opportunities there. Consequently, these allocations were within expectations. Sector allocation further detracted from relative returns.

Given that both subadvisers are looking for companies with higher growth rates, it is not surprising that they were overweight in technology and consumer discretionary companies, as these are often faster growing companies, and underweight in the normally steadier but slower growing healthcare and consumer staples sectors. Although sector allocations detracted from returns, they were in line with historical weightings. Within these country and sector allocations, stock selection, which normally drives performance for these subadvisers, had a positive impact.

Information technology holdings of both subadvisers advanced significantly. The Portfolio also benefited from an underweight in Japan, where growth opportunities have been difficult to find. This underweight added to relative returns in 2011, as the Japanese market slightly underperformed international returns.

At times, William Blair will hedge currencies. In 2011, this had a slight positive impact, as the dollar advanced against most foreign currencies (except for the Yen) by the end of the year.

Note: Pending shareholder approval, Jennison Associates LLC is expected to join William Blair and Marsico as subadviser to the Portfolio on or about May 1, 2012.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

¹  The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares.

MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, SP International Value Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		-13.10	%		-3.38	%		4.21	%
MSCI EAFE® Index (GD)		-11.73			-4.26			5.12

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the SP International Value Portfolio declined by 13.10%.

The Portfolio’s assets are subadvised by LSV Asset Management and Thornburg Investment Management. The Portfolio’s investment manager allocates a portion of the assets to each. LSV uses proprietary quantitative investment models, whereas Thornburg invests opportunistically using traditional fundamental securities analysis. The investment objective of the Portfolio is capital growth.

The MSCI EAFE Index (the Index) declined by 11.73% for the year, net dividends.

Active stock and bond managers generally had weak performance relative to their benchmarks in both domestic and international markets, with indexes outperforming the median fund in many styles of investing. The Index outperformed over half of the funds in the Lipper VP International Core and International Value universes. The Portfolio’s underperformance of the Index was largely the result of Thornburg’s asset selection. LSV performed in line with the Index. The largest negative impact was in Australia, Switzerland, and Ireland, including underweights relative to the Index in strong performers, notably Roche Holdings and Nestle in Switzerland, Elan Corp in Ireland, and the Commonwealth Bank of Australia.

Overweight positions also detracted, specifically in Irish and Swiss financials and Australian materials companies. Across geographic allocations, stock selection hurt performance in the consumer staples, materials, energy, and financials sectors. Geographically, exposure to non-benchmark countries China, Brazil, Turkey, and Russia also detracted from relative performance.

Both LSV and Thornburg may weight sectors differently than the Index (Thornburg more so). In 2011, this had an insignificant, but positive, net impact. The benefits from overweighting energy and underweighting materials more than offset underexposure to the relatively strong consumer staples sector. A small allocation to cash to assist with day-to-day cash flows had a positive impact on performance in this falling market.

From time-to-time, Thornburg will use currency forwards (a form of a derivative security) as a tool to hedge some of the currency risk from investing in non-U.S. stocks. This intermittent hedging strategy is not expected to have a significant impact on the performance of the overall Portfolio. Overall for 2011, foreign exchange hedging had a slightly negative effect on the Portfolio.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		2.22	%		5.41	%		7.00	%
Portfolio: Class II		1.77			5.03			6.61
Russell Midcap® Growth Index		-1.65			2.44			5.29
S&P Midcap 400 Index		-1.73			3.32			7.04

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II). The

$10,000 INVESTED OVER 10 YEARS¹

Russell Midcap^® Growth Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

For the year ended December 31, 2011, the SP Prudential U.S. Emerging Growth Portfolio Class I shares returned 2.22% and Class II shares returned 1.77%

The Portfolio seeks long-term capital appreciation. It is built from the bottom up, with stocks selected one at a time, based on fundamental analysis of individual companies. The Portfolio is subadvised by Jennison Associates LLC.

The Portfolio outperformed its benchmark, the Russell MidCap^® Growth Index. Strong stock selection in consumer discretionary, healthcare, industrials, and consumer staples contributed to performance. Stock selection in information technology also contributed to relative returns.

Key individual contributors included three consumer discretionary companies, Dollar Tree, Ross Stores, and TJX.

Dollar Tree, an operator of discount stores in the United States and Canada, repeatedly reported above-consensus earnings, boosted by market share gains and growth in its store base. Ross Stores, a discount retailer, reported better-than-expected third-quarter earnings per share (EPS). High operating margins resulted from improved inventory turnover. TJX, another discount retailer, also had a solid third quarter, with EPS at the high end of its projected range.

In healthcare, Perrigo and Alexion Pharmaceuticals were among the largest contributors. In Jennison’s view, Perrigo is a well-managed over-the-counter pharmaceutical company positioned to grow both organically and through acquisitions. Sales of Alexion’s lead product, Soliris, which treats two rare genetic and potentially life-threatening blood disorders, grew strongly and the company is aggressively pursuing related expansion opportunities.

Alliance Data Systems in information technology also made one of the largest contributions. A provider of customer loyalty programs, database, and other marketing services, Alliance Data had several strong quarters in Jenison’s view, with contributions from all of its key business segments.

Stock selection in telecommunication services and energy detracted from performance. NII Holdings in telecommunication services was the largest individual detractor over the year. Second quarter earnings of the Latin American wireless telecom service provider were weakened by depreciation of the Brazilian real and Mexican peso relative to the U.S. dollar. Cimarex Energy was another detractor and was the most detrimental to returns of companies in its sector. Cimarex reported growth in earnings due to higher oil and natural gas prices, but its bottom line was hurt by a decline in production.

Overweight positions in telecommunication services and information technology further hurt performance. Three of the four largest detractors were in information technology, including Juniper Networks, Broadcom, and NetApp.

Juniper Networks, which makes Internet protocol (IP) routers for private and public access networks, reported third-quarter earnings that met earnings expectations, but U.S. revenues continued to decline, and the company issued disappointing earnings guidance for the fourth quarter. Broadcom, a provider of semiconductors for wired and wireless communications, declined on a number of issues, including possible excess inventory of the iPad2. NetApp’s second-quarter earnings were in line with consensus projections, but revenues were shy of estimates and sales guidance came in below consensus forecasts.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

¹  The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares.

Russell Midcap Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. S&P Midcap 400 Index is a widely accepted, unmanaged total return index of 400 domestic stocks measuring the performance of the midsize company segment of the U.S. stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

Jennison Associates LLC is a registered investment advisor and Prudential Financial company.

The Prudential Series Fund, SP Small Cap Value Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		-2.77	%		1.47	%		5.90	%
Russell 2000® Value Index		-5.50			-1.87			6.40
Russell 2500™ Index		-2.51			1.24			6.57

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The Russell 2000^® Value and Russell 2500^TM Index are trademark/service marks of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2011, the SP Small Cap Value Portfolio declined 2.77%.

The Portfolio is subadvised by Goldman Sachs Asset Management, L.P. (Goldman) and ClearBridge Advisors, LLC (ClearBridge) for long-term growth of capital through investments in the equity securities of small capitalization companies. The Portfolio’s investment manager allocates a portion of the assets to each. Each subadviser employs a value investment style. Goldman seeks companies whose intrinsic value is not reflected in the stock price, while ClearBridge uses quantitative and fundamental analysis to select stocks that it believes will outperform other stocks.

The Portfolio’s decline in 2011 reflected the challenging environment for investing in equities, particularly small-cap stocks. The U.S. equity market gained for the first four months of the year, as measured by a key Russell 2000 Value Index. Stocks then fell for five consecutive months due to investor anxiety over the global economic outlook and a worsening sovereign-debt crisis in the euro zone. Yet signs of improving economic conditions in the United States and renewed hopes for a solution to the euro zone turmoil sent stock prices higher in the fourth quarter, enabling the equity market to deliver a modest gain for the year including dividends.

In a year marked by economic and political uncertainty, risk-averse investors generally eschewed small- and mid-cap companies for large, well-established companies with strong capital positions, attractive dividend streams, and earnings growth. When stocks surged in the fourth quarter, small-cap stocks led the way. However, for the year, small-cap stocks underperformed both their mid- and large-cap peers, as measured by Russell U.S. indexes. And in the Russell small-cap universe, the growth investment style declined less than the value investment style.

The Portfolio outperformed the Russell 2000 Value Index (the Index), which declined 5.50% for the year. This was primarily due to assets held by both managers. Specific stock factors made positive contributions. Holdings within the industrial sector, specifically those underweight to commercial services and supply companies, added value. An underweight to consumer discretionary within the household durables industry and an overweight to road and rail, marine/shipping-related, and semiconductors and semiconductor equipment stocks contributed positively to returns. Conversely, certain holdings in the pharmaceutical and managed healthcare industries dampened results.

Risk exposures played a role in performance. The Portfolio was less sensitive to price fluctuations in the broad market than the Index, which contributed to positive performance during the highly volatile market conditions of 2011. However, Clearbridge’s slightly higher beta (which shows how sensitive a portfolio is to market movements) tended to offset the lower beta of Goldman. An underexposure to stocks exhibiting value characteristics and below-market volatility augmented results, although stocks exhibiting lower dividend yield and larger market capitalization detracted.

Overall sector weightings did not have a meaningful impact on performance. That said, the Portfolio’s underexposure to the technology, telecommunication services, and financial sectors added value, while underexposure to more defensive sectors, including utilities and healthcare, detracted.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. Russell 2500 Index is an unmanaged market cap-weighted index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index, which represents approximately 17% of the total market capitalization of the Russell 3000 Index. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

Prudential Series Fund Presentation of Portfolio Holdings — unaudited December 31, 2011

SP International Growth
Five Largest Holdings	(% of Net Assets	)
Standard Chartered PLC (United Kingdom)	2.4%
ASML Holding NV (Netherlands)	2.4%
Novo Nordisk A/S (Class B Stock) (Denmark)	2.3%
Julius Baer Group Ltd. (Switzerland)	2.2%
Samsung Electronics Co. Ltd. (South Korea)	2.2%

SP International Value
Five Largest Holdings	(% of Net Assets	)
Novartis AG (Switzerland)	2.0%
Royal Dutch Shell PLC (Class B Stock) (United Kingdom)	1.9%
Vodafone Group PLC (United Kingdom)	1.4%
British American Tobacco PLC (United Kingdom)	1.3%
KDDI Corp. (Japan)	1.3%

SP Prudential U.S. Emerging Growth
Five Largest Holdings	(% of Net Assets	)
Crown Castle International Corp.	2.5%
Dollar Tree, Inc.	2.3%
VeriSign, Inc.	2.2%
Ecolab, Inc.	2.1%
Tim Hortons, Inc.	2.0%

SP Small Cap Value
Five Largest Holdings	(% of Net Assets	)
iShares Russell 2000 Value Index Fund	1.8%
Signature Bank	1.6%
Meadowbrook Insurance Group, Inc.	1.4%
El Paso Electric Co.	1.3%
Plantronics, Inc.	1.3%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.

The Prudential Series Fund Fees and Expenses — unaudited December 31, 2011

As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2011 through December 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2011		Ending Account Value December 31, 2011		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
SP International Growth (Class I)	Actual	$	1,000.00	$	845.00		1.34	%	$	6.23
	Hypothetical	$	1,000.00	$	1,018.45		1.34	%	$	6.82
SP International Growth (Class II)	Actual	$	1,000.00	$	843.10		1.74	%	$	8.08
	Hypothetical	$	1,000.00	$	1,016.43		1.74	%	$	8.84
SP International Value (Class I)	Actual	$	1,000.00	$	822.30		1.11	%	$	5.10
	Hypothetical	$	1,000.00	$	1,019.61		1.11	%	$	5.65
SP Prudential U.S. Emerging Growth (Class I)	Actual	$	1,000.00	$	930.80		0.64	%	$	3.11
	Hypothetical	$	1,000.00	$	1,021.98		0.64	%	$	3.26
SP Prudential U.S. Emerging Growth (Class II)	Actual	$	1,000.00	$	929.60		1.04	%	$	5.06
	Hypothetical	$	1,000.00	$	1,019.96		1.04	%	$	5.30
SP Small Cap Value (Class I)	Actual	$	1,000.00	$	916.50		1.03	%	$	4.98
	Hypothetical	$	1,000.00	$	1,020.01		1.03	%	$	5.24

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2011, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2011 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	SP INTERNATIONAL GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 96.7%
COMMON STOCKS	Shares		Value (Note 2)
Argentina — 1.4%
Arcos Dorados Holdings, Inc. (Class A Stock)		23,036	$	472,929
MercadoLibre, Inc.		8,210		653,023
				1,125,952
Belgium — 1.5%
Anheuser-Busch InBev NV		20,406		1,249,344
Brazil — 3.1%
BR Malls Participacoes SA		63,000		612,015
OGX Petroleo e Gas Participacoes SA*		153,000		1,117,201
Petroleo Brasileiro SA		70,200		865,621
				2,594,837
Canada — 3.8%
Brookfield Asset Management, Inc. (Class A Stock)		24,477		672,628
Canadian National Railway Co.		15,774		1,239,205
Imax Corp.*		16,446		301,455
Pacific Rubiales Energy Corp.		23,333		428,984
Potash Corp. of Saskatchewan, Inc.		12,171		502,419
				3,144,691
Chile — 0.4%
Banco Santander Chile SA, ADR(a)		4,104		310,673
China — 1.8%
Baidu, Inc., ADR*		9,300		1,083,171
Industrial & Commercial Bank of China Ltd. (Class H Stock)		652,000		387,006
				1,470,177
Denmark — 2.9%
Novo Nordisk A/S (Class B Stock)		16,407		1,885,435
Novozymes A/S (Class B Stock)		17,033		525,822
				2,411,257
France — 6.2%
Arkema SA		4,951		350,508
BNP Paribas		25,781		1,012,688
Cie de Saint-Gobain		10,677		409,931
Cie Generale d’Optique Essilor International SA		8,521		601,593
Cie Generale des Etablissements Michelin (Class B Stock)		6,392		377,861
Dassault Systemes SA		6,992		560,428
Pernod-Ricard SA		5,226		484,689
Publicis Groupe SA		10,357		476,463
Schneider Electric SA		15,512		816,706
				5,090,867
Germany — 7.2%
Adidas AG		10,821		703,894
Bayer AG		17,031		1,088,891
Bayerische Motoren Werke AG		24,176		1,619,556
Brenntag AG		3,708		345,293
Fresenius Medical Care AG & Co. KGaA		10,954		744,302
Infineon Technologies AG		58,722		442,020
SAP AG		18,845		996,335
				5,940,291

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hong Kong — 5.3%
ASM Pacific Technology Ltd.		53,500	$	600,330
Belle International Holdings Ltd.		341,000		594,487
China Unicom Hong Kong Ltd.		590,000		1,241,290
CNOOC Ltd.		270,800		473,497
Hang Lung Properties Ltd.		229,000		651,624
Li & Fung Ltd.		422,000		781,340
				4,342,568
India — 0.5%
ICICI Bank Ltd., ADR(a)		16,776		443,390
Indonesia — 0.6%
Bank Rakyat Indonesia Persero Tbk PT		671,500		499,876
Ireland — 3.4%
Accenture PLC (Class A Stock)		17,707		942,544
Experian PLC		68,475		931,014
Shire PLC		27,979		974,607
				2,848,165
Israel — 1.1%
Check Point Software Technologies Ltd.*(a)		17,631		926,333
Italy — 0.2%
Prada SpA*		35,600		161,118
Japan — 8.3%
Canon, Inc.		16,500		730,999
Daito Trust Construction Co. Ltd.		3,600		308,692
Fanuc Corp.		6,500		994,803
Fast Retailing Co. Ltd.		4,000		727,556
Honda Motor Co. Ltd.		22,600		689,422
Hoya Corp.		22,500		484,669
Marubeni Corp.		79,000		481,369
ORIX Corp.		8,000		661,037
Rakuten, Inc.		378		406,631
Softbank Corp.		14,000		412,343
Sumitomo Realty & Development Co. Ltd.		28,000		490,373
Yamada Denki Co. Ltd.		6,980		475,188
				6,863,082
Luxembourg — 1.4%
Millicom International Cellular SA, SDR		11,922		1,194,443
Mexico — 0.6%
Wal-Mart de Mexico SAB de CV (Class V Stock)		178,900		491,008
Netherlands — 4.6%
ASML Holding NV		47,433		1,993,641
Sensata Technologies Holding NV*		31,012		814,995
Unilever NV, CVA		22,700		780,611
Yandex NV*		12,514		246,526
				3,835,773
Peru — 0.7%
Credicorp Ltd.		5,521		604,384
Singapore — 0.7%
CapitaMalls Asia Ltd.		101,000		87,992
Jardine Cycle & Carriage Ltd.		12,000		445,195
				533,187

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
South Africa — 0.4%
Truworths International Ltd.		38,700	$	354,039
South Korea — 2.2%
Samsung Electronics Co. Ltd.		1,936		1,778,028
Spain — 1.0%
Inditex SA		10,106		827,681
Sweden — 1.4%
Atlas Copco AB (Class A Stock)		29,682		638,318
Hennes & Mauritz AB (Class B Stock)		16,069		516,716
				1,155,034
Switzerland — 11.0%
Compagnie Financiere Richemont SA (Class A Stock)		10,155		513,642
Glencore International PLC		104,085		633,640
Julius Baer Group Ltd.		45,937		1,796,790
Kuehne & Nagel International AG		2,829		317,747
Nestle SA		16,574		952,833
Partners Group Holding AG		3,048		531,850
Roche Holding AG		8,251		1,398,445
Sika AG		96		180,901
Swatch Group AG (The)		2,606		975,204
Syngenta AG		2,654		777,015
Xstrata PLC		66,874		1,015,697
				9,093,764
Taiwan — 1.7%
Taiwan Semiconductor Manufacturing Co. Ltd., ADR(a)		110,646		1,428,440
United Kingdom — 20.8%
AMEC PLC		32,107		452,496
ARM Holdings PLC		81,116		745,755
Babcock International Group PLC		42,033		480,110
Berkeley Group Holdings PLC*		20,164		399,572
BG Group PLC		28,846		616,637
BHP Billiton PLC		32,181		938,313
British American Tobacco PLC		20,333		964,832
British Sky Broadcasting Group PLC		105,365		1,198,594
Burberry Group PLC		24,705		454,644
Centrica PLC		134,818		605,710
Compass Group PLC		91,026		863,724
Johnson Matthey PLC		22,355		637,405
Next PLC		8,737		371,369
Pearson PLC		41,356		777,127
Petrofac Ltd.		32,274		722,246
Prudential PLC		103,612		1,027,399
Reed Elsevier PLC		57,415		462,765
Rolls-Royce Holdings PLC*		123,286		1,429,261

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
Rolls-Royce Holdings PLC (Class C Stock)*		10,761,861	$	16,713
Scottish & Southern Energy PLC		35,755		716,855
Standard Chartered PLC		91,940		2,011,794
Tullow Oil PLC		60,521		1,317,717
				17,211,038
United States — 2.5%
Citigroup, Inc.		26,937		708,712
Las Vegas Sands Corp.*		10,960		468,321
Wynn Resorts Ltd.		7,927		875,854
				2,052,887
TOTAL LONG-TERM INVESTMENTS (cost $76,537,601)				79,982,327
SHORT-TERM INVESTMENT — 7.0%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $5,801,839; includes $3,057,504 of cash collateral for securities on loan) (Note 4)(b)(w)		5,801,839		5,801,839
TOTAL INVESTMENTS — 103.7% (cost $82,339,440)				85,784,166
LIABILITIES IN EXCESS OF OTHER ASSETS(x) — (3.7)%				(3,097,416	)
NET ASSETS — 100.0%			$	82,686,750

The following abbreviations are used in the Portfolio descriptions:

ADR	American Depositary Receipt
CVA	Certificate Van Aandelen (Bearer)
SDR	Special Drawing Rights
JPY	Japanese Yen

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $2,958,657; cash collateral of $3,057,504 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund.

(x) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Forward foreign currency exchange contracts outstanding at December 31, 2011:

Purchase Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date Payable		Current Value		Unrealized Appreciation
Japanese Yen,
Expiring 03/22/12		Bank of New York Mellon		JPY	10,771	$	140,089	$	140,156	$	67
Expiring 03/22/12		Bank of New York Mellon		JPY	9,925		127,227		129,147		1,920
						$	267,316	$	269,303	$	1,987

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

Sale Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date Receivable		Current Value		Unrealized Depreciation
Japanese Yen, Expiring 03/22/12		Bank of New York Mellon		JPY	81,613	$	1,051,186	$	1,061,978	$	(10,792	)

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

Level 1—quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool.

Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks:
Argentina	$	1,125,952	$	—		$	—
Belgium		1,249,344		—			—
Brazil		2,594,837		—			—
Canada		3,144,691		—			—
Chile		310,673		—			—
China		1,470,177		—			—
Denmark		2,411,257		—			—
France		5,090,867		—			—
Germany		5,940,291		—			—
Hong Kong		4,342,568		—			—
India		443,390		—			—
Indonesia		499,876		—			—
Ireland		2,848,165		—			—
Israel		926,333		—			—
Italy		161,118		—			—
Japan		6,863,082		—			—
Luxembourg		1,194,443		—			—
Mexico		491,008		—			—
Netherlands		3,835,773		—			—
Peru		604,384		—			—
Singapore		533,187		—			—
South Africa		354,039		—			—
South Korea		1,778,028		—			—
Spain		827,681		—			—
Sweden		1,155,034		—			—
Switzerland		9,093,764		—			—
Taiwan		1,428,440		—			—
United Kingdom		17,194,325		16,713			—
United States		2,052,887		—			—
Affiliated Money Market Mutual Fund		5,801,839		—			—
Other Financial Instuments*
Foreign Forward Currency Contracts		—		(8,805	)		—
Total	$	85,767,453	$	7,908		$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Banks	9.3	%
Semiconductors	8.4
Oil, Gas & Consumable Fuels	7.9
Retail & Merchandising	7.1
Affiliated Money Market Mutual Fund (3.7% represents investments purchased with collateral from securities on loan)	7.0
Pharmaceuticals	5.2
Chemicals	4.4
Telecommunications	3.4
Real Estate Operation & Development	3.3
Foods	3.1
Metals & Mining	3.1
Software	3.0
Automobile Manufacturers	2.8
Internet	2.4
Media & Entertainment	2.4
Distribution/Wholesale	2.2
Beverages	2.1
Machinery	2.0
Transportation	1.9
Aerospace & Defense	1.7

Commercial Services	1.7	%
Hotels, Restaurants & Leisure	1.7
Apparel	1.7
Diversified Financial Services	1.4
Electronic Components	1.4
Insurance	1.2
Agriculture	1.2
Computer Services & Software	1.1
Electrical Equipment	1.0
Healthcare Services	0.9
Office Equipment	0.9
Electric Utilities	0.9
Healthcare Products	0.7
Building Materials	0.7
Biotechnology	0.6
Electronics	0.6
Advertising	0.6
Restaurants	0.6
Media	0.6
Internet Services	0.5
Building & Construction	0.5
Auto Parts & Equipment	0.5
	103.7
Liabilities in excess of other assets	(3.7	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity risk and foreign exchange risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Foreign exchange contracts	Unrealized appreciation on foreign currency forward contracts	$	1,987	Unrealized depreciation on foreign currency forward contracts	$	10,792

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights		Forward Currency Contracts			Total
Foreign exchange contracts	$	—	$	(427,840	)	$	(427,840	)
Equity contracts		7,132		—			7,132
Total	$	7,132	$	(427,840	)	$	(420,708	)
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value			Forward Currency Contracts
Foreign exchange contracts			$	(8,596	)

For the year ended December 31, 2011, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $2,290,065 and the average value at settlement date receivable for forward foreign currency exchange sale contracts was $10,065,663.

SEE NOTES TO FINANCIAL STATEMENTS.

A4

SP INTERNATIONAL GROWTH PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments at value, including securities on loan of $2,958,657:
Unaffiliated investments (cost $76,537,601)	$	79,982,327
Affiliated investments (cost $5,801,839)		5,801,839
Foreign currency, at value (cost $40,237)		40,188
Receivable for investments sold		496,932
Tax reclaim receivable		286,225
Dividends receivable		58,254
Receivable for Series shares sold		8,659
Unrealized appreciation on foreign currency forward contracts		1,987
Prepaid expenses		3,293
Total Assets		86,679,704
LIABILITIES
Collateral for securities on loan		3,057,504
Payable for investments purchased		539,730
Payable to custodian		145,638
Accrued expenses and other liabilities		140,966
Management fee payable		59,999
Payable for Series shares repurchased		34,055
Unrealized depreciation on foreign currency forward contracts		10,792
Administration fee payable		1,819
Distribution fee payable		1,525
Affiliated transfer agent fees payable		926
Total Liabilities		3,992,954
NET ASSETS	$	82,686,750
Net assets were comprised of:
Paid-in capital	$	133,341,409
Retained earnings		(50,654,659	)
Net assets, December 31, 2011	$	82,686,750
Class I:
Net asset value and redemption price per share, $75,527,087 / 17,337,514 outstanding shares of beneficial interest	$	4.36
Class II:
Net asset value and redemption price per share, $7,159,663 / 1,666,692 outstanding shares of beneficial interest	$	4.30

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of $444,705 foreign withholding tax)	$	1,932,373
Affiliated income from securities lending, net		34,120
Affiliated dividend income		6,781
		1,973,274
EXPENSES
Management fee		1,007,816
Distribution fee—Class II		21,762
Administration fee—Class II		13,057
Custodian’s fees and expenses		268,000
Shareholders’ reports		66,000
Audit fee		25,000
Transfer agent’s fees and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Trustees’ fees		11,000
Legal fees and expenses		8,000
Loan interest expense (Note 8)		6,822
Commitment fee on syndicated credit agreement		3,000
Insurance expenses		2,000
Miscellaneous		20,534
Total expenses		1,464,991
NET INVESTMENT INCOME		508,283
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		20,651,849
Foreign currency transactions		(916,059	)
		19,735,790
Net change in unrealized appreciation (depreciation) on:
Investments		(32,171,474	)
Foreign currencies		(160,893	)
		(32,332,367	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(12,596,577	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(12,088,294	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	508,283		$	1,221,711
Net realized gain on investment and foreign currency transactions		19,735,790			25,833,405
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(32,332,367	)		(5,671,852	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(12,088,294	)		21,383,264
DISTRIBUTIONS
Class I		(1,181,454	)		(2,389,158	)
Class II		(39,406	)		(122,040	)
TOTAL DISTRIBUTIONS		(1,220,860	)		(2,511,198	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		7,411,046			10,982,406
Series shares issued in reinvestment of distributions		1,220,860			2,511,198
Series shares repurchased		(84,871,319	)		(33,792,253	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(76,239,413	)		(20,298,649	)
TOTAL DECREASE IN NET ASSETS		(89,548,567	)		(1,426,583	)
NET ASSETS:
Beginning of year		172,235,317			173,661,900
End of year	$	82,686,750		$	172,235,317

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	SP INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 95.2%
COMMON STOCKS — 94.4%	Shares		Value (Note 2)
Australia — 4.2%
Bendigo and Adelaide Bank Ltd.		32,600	$	267,746
BHP Billiton Ltd.		24,342		856,953
Caltex Australia Ltd.		42,700		514,037
Challenger Ltd.		123,500		521,683
Downer EDI Ltd.*		101,900		333,514
Echo Entertainment Group Ltd.*		8,986		32,995
Emeco Holdings Ltd.		372,800		367,954
Goodman Fielder Ltd.		481,242		214,113
National Australia Bank Ltd.		41,400		989,152
OneSteel Ltd.		269,600		193,022
Pacific Brands Ltd.		502,100		282,451
Tabcorp Holdings Ltd.		46,800		130,677
Telstra Corp. Ltd.		150,200		511,569
				5,215,866
Austria — 0.5%
OMV AG		15,300		464,159
Voestalpine AG		6,500		182,301
				646,460
Belgium — 0.5%
AGFA-Gevaert NV*		84,400		134,358
Delhaize Group SA		7,300		410,091
Dexia NV/SA*		27,423		10,541
				554,990
Brazil — 1.3%
BM&FBOVESPA SA		85,750		450,529
Embraer SA, ADR		22,340		563,415
Natura Cosmeticos SA		31,700		616,240
				1,630,184
Canada — 3.0%
Canadian National Railway Co.		14,760		1,161,241
Canadian Natural Resources Ltd.		24,278		909,159
Cenovus Energy, Inc.		19,183		637,017
Potash Corp. of Saskatchewan, Inc.		22,380		923,846
				3,631,263
Cayman Islands — 0.5%
Tencent Holdings Ltd.		28,279		568,376
China — 2.0%
China Life Insurance Co. Ltd. (Class H Stock)		200,440		495,513
China Merchants Bank Co. Ltd. (Class H Stock)		403,382		815,427
Industrial & Commercial Bank of China Ltd. (Class H Stock)		1,160,520		688,847
Sinopharm Group Co. Ltd. (Class H Stock)		212,698		511,027
				2,510,814
Denmark — 1.6%
Danske Bank A/S*		13,800		175,284
H. Lundbeck A/S		16,000		300,872
Novo Nordisk A/S (Class B Stock)		13,023		1,496,558
				1,972,714

COMMON STOCKS (continued)	Shares		Value (Note 2)
Finland — 0.4%
Nokia Oyj		49,100	$	239,701
Tieto Oyj		21,500		306,090
				545,791
France — 8.0%
Air Liquide SA		9,934		1,229,005
AXA SA		19,800		257,414
BNP Paribas		9,900		388,876
Ciments Francais SA		4,200		325,063
Credit Agricole SA		53,627		302,613
France Telecom SA		14,600		229,303
LVMH Moet Hennessy Louis Vuitton SA		10,155		1,437,853
Publicis Groupe SA		19,255		885,807
Rallye SA		5,500		153,792
Renault SA		5,700		197,709
Sanofi		18,907		1,388,691
SCOR SE		13,800		322,563
Societe Generale		9,318		207,489
Thales SA		6,300		198,952
Total SA		21,200		1,083,802
Valeo SA		6,500		258,351
Vallourec SA		5,800		376,533
Vivendi SA		27,600		604,403
				9,848,219
Germany — 8.6%
Adidas AG		20,658		1,343,779
Allianz SE		15,800		1,511,393
BASF SE		7,800		544,027
Bayer AG		4,300		274,924
Deutsche Bank AG		12,200		464,773
E.ON AG		12,200		263,216
Fresenius Medical Care AG & Co. KGaA		18,730		1,272,666
Hannover Rueckversicherung AG		6,900		342,254
Merck KGaA		4,900		488,510
Muenchener Rueckversicherungs-Gesellschaft AG		3,700		453,874
Rheinmetall AG		7,400		327,883
RWE AG		6,300		221,375
SAP AG		28,076		1,484,378
Siemens AG		12,400		1,186,638
ThyssenKrupp AG		13,800		316,579
				10,496,269
Hong Kong — 2.6%
Chaoda Modern Agriculture Holdings Ltd.(g)		567,462		730
CNOOC Ltd.		676,389		1,182,675
First Pacific Co. Ltd.		604,000		628,373
Hong Kong Exchanges and Clearing Ltd.		65,977		1,054,225
Kingboard Chemical Holdings Ltd.		120,000		355,368
Solomon Systech International Ltd.*		525,000		11,897
				3,233,268
Ireland — 0.6%
Covidien PLC		17,450		785,425
Irish Life & Permanent Group Holdings PLC*		45,500		1,413
				786,838

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Israel — 2.0%
Bank Hapoalim BM		73,200	$	238,558
Check Point Software Technologies Ltd.*		13,469		707,661
Elbit Systems Ltd.		6,900		283,351
Teva Pharmaceutical Industries Ltd.		500		20,126
Teva Pharmaceutical Industries Ltd., ADR		28,809		1,162,731
				2,412,427
Italy — 1.5%
Banco Popolare Scarl		23,700		30,674
Enel SpA		132,800		540,378
ENI SpA		38,600		799,826
Finmeccanica SpA		30,000		110,969
Fondiaria-Sai SpA*		17,000		13,641
Telecom Italia SpA		277,700		298,672
				1,794,160
Japan — 17.3%
Aoyama Trading Co. Ltd.		30,100		565,475
Canon, Inc.		21,420		948,970
Circle K Sunkus Co. Ltd.		18,300		303,138
COMSYS Holdings Corp.		30,700		322,276
Dai-ichi Life Insurance Co. Ltd. (The)		437		429,789
FANUC Corp.		4,749		726,818
Fukuoka Financial Group, Inc.		77,000		323,126
Fuyo General Lease Co. Ltd.		9,200		316,269
Hitachi Capital Corp.		20,000		277,251
Itochu Techno-Solutions Corp.		4,300		193,017
JX Holdings, Inc.		60,600		366,104
K’s Holdings Corp.		13,400		530,986
KDDI Corp.		243		1,562,752
Keihin Corp.		21,500		356,425
Keiyo Bank Ltd. (The)		55,000		272,249
Komatsu Ltd.		51,100		1,194,347
Kurabo Industries Ltd.		108,000		204,859
KYORIN Holdings, Inc.		25,000		440,106
Kyowa Exeo Corp.		41,600		391,841
Marubeni Corp.		94,000		572,769
Miraca Holdings, Inc.		4,900		195,121
Mitsubishi Corp.		8,900		179,804
Mitsubishi UFJ Financial Group, Inc.		246,590		1,047,615
Mitsui & Co. Ltd.		19,800		307,920
Mizuho Financial Group, Inc.		287,900		389,003
Nichirei Corp.		61,000		295,609
Nippon Electric Glass Co. Ltd.		23,000		227,699
Nippon Shokubai Co. Ltd.		31,000		333,078
Nippon Telegraph & Telephone Corp.		15,500		792,419
Nissan Shatai Co. Ltd.		21,000		204,079
NTT DoCoMo, Inc.		400		735,351
Sankyo Co. Ltd.		5,800		293,504
Sankyu, Inc.		91,000		344,043
Seino Holdings Co. Ltd.		43,000		333,520
Shimachu Co. Ltd.		17,400		399,000
Shizuoka Gas Co. Ltd.		48,100		305,585
Sumitomo Bakelite Co. Ltd.		35,000		195,985
Sumitomo Corp.		52,800		714,793
Sumitomo Mitsui Financial Group, Inc.		26,300		732,587
Sumitomo Mitsui Trust Holdings, Inc.		41,720		122,499

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Toagosei Co. Ltd.		82,000	$	336,651
Toppan Forms Co. Ltd.		50,100		382,080
Toyota Motor Corp.		28,080		935,757
Toyota Tsusho Corp.		24,500		433,214
Tsuruha Holdings, Inc.		8,200		458,633
Yokohama Rubber Co. Ltd. (The)		46,700		262,107
				21,256,223
Liechtenstein — 0.2%
Verwaltungs-und Privat-Bank AG		2,300		203,237
Mexico — 0.8%
Wal-Mart de Mexico SAB de CV (Class V Stock)		340,060		933,327
Netherlands — 3.0%
ING Groep NV, CVA*		62,300		448,312
Koninklijke Ahold NV		33,600		452,479
Koninklijke DSM NV		9,800		454,708
Koninklijke KPN NV		17,600		210,589
Koninklijke Philips Electronics NV		13,500		284,450
Nutreco NV		3,600		236,878
Schlumberger Ltd.		19,100		1,304,721
Yandex NV*		16,100		317,170
				3,709,307
New Zealand — 0.3%
Air New Zealand Ltd.		580,000		406,324
Norway — 0.6%
DnB NOR ASA		29,200		285,856
Statoil ASA		17,200		441,442
				727,298
South Korea — 1.0%
Hyundai Motor Co.*		6,688		1,236,583
Spain — 1.9%
Banco Bilbao Vizcaya Argentaria SA		32,400		280,116
Banco Espanol de Credito SA		40,600		195,735
Banco Santander SA		90,700		689,069
Repsol YPF SA		27,200		835,556
Telefonica SA		18,900		327,414
				2,327,890
Sweden — 2.4%
Boliden AB		35,600		519,874
Electrolux AB (Class B Stock)		14,800		235,912
Hennes & Mauritz AB (Class B Stock)		34,874		1,121,412
Meda AB		17,700		184,149
NCC AB (Class B Stock)		11,400		200,435
Svenska Cellulosa AB (Class B Stock)		22,500		333,476
Svenska Handelsbanken AB (Class A Stock)		11,600		305,084
				2,900,342
Switzerland — 7.2%
Baloise Holding AG		6,800		466,219
Clariant AG*		30,800		303,967
Credit Suisse Group AG*		56,100		1,318,138
Georg Fischer AG*		500		170,872
Julius Baer Group Ltd.*		16,232		634,902

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland (continued)
Nestle SA		26,700	$	1,534,973
Novartis AG		43,952		2,512,746
Roche Holding AG		2,200		372,873
Swatch Group AG (The)		1,050		392,926
Swiss Re Ltd.*		8,100		412,804
Zurich Financial Services AG*		3,300		746,567
				8,866,987
Taiwan — 0.3%
HTC Corp.		21,482		352,606
Turkey — 0.4%
Turkiye Garanti Bankasi A/S		164,300		511,879
United Kingdom — 21.7%
ARM Holdings PLC		67,758		622,946
AstraZeneca PLC		28,900		1,335,220
Aviva PLC		77,400		361,565
BAE Systems PLC		157,100		695,571
Barclays PLC		87,400		238,955
Beazley PLC		159,400		332,455
Berendsen PLC		16,700		112,869
BG Group PLC		65,750		1,405,530
BP PLC		120,000		858,181
British American Tobacco PLC		33,912		1,609,177
BT Group PLC		329,000		975,371
Cable & Wireless Communications PLC		11,000		6,526
Carnival PLC		30,355		1,002,217
Cookson Group PLC		60,700		479,816
Dairy Crest Group PLC		40,400		210,809
Drax Group PLC		33,700		285,229
DS Smith PLC		79,800		245,378
GlaxoSmithKline PLC		27,200		621,580
Home Retail Group PLC		149,600		193,761
J Sainsbury PLC		5,000		23,520
Kingfisher PLC		264,130		1,028,348
Legal & General Group PLC		291,300		465,052
Logica PLC		179,700		172,187
Marks & Spencer Group PLC		29,500		142,479
Marston’s PLC		104,410		148,770
Next PLC		14,500		616,327
Old Mutual PLC		204,000		429,277
Pearson PLC		38,251		718,780
Reckitt Benckiser Group PLC		27,273		1,346,877
Rexam PLC		71,100		389,553
Rolls-Royce Holdings PLC*		40,880		473,924
Rolls-Royce Holdings PLC (Class C Stock)*(g)		2,820,720		4,380

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
Royal Dutch Shell PLC (Class B Stock)		61,600	$	2,347,596
RSA Insurance Group PLC		195,300		319,070
SABMiller PLC		19,924		701,294
Standard Chartered PLC		63,905		1,398,344
Tesco PLC		238,321		1,493,207
Thomas Cook Group PLC		150,100		34,383
Tullett Prebon PLC		57,600		241,521
Vodafone Group PLC		638,640		1,774,331
WM Morrison Supermarkets PLC		146,400		741,640
				26,604,016
TOTAL COMMON STOCKS (cost $116,174,569)				115,883,658
PREFERRED STOCK — 0.8%
Germany
Volkswagen AG (PRFC) (cost $603,017)		6,981		1,045,817
TOTAL LONG-TERM INVESTMENTS (cost $116,777,586)				116,929,475
SHORT-TERM INVESTMENT — 3.2%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $3,876,634)(w) (Note 4)		3,876,634		3,876,634
TOTAL INVESTMENTS — 98.4% (cost $120,654,220)				120,806,109
OTHER ASSETS IN EXCESS OF LIABILITIES(x) — 1.6%				1,966,839
NET ASSETS — 100.0%			$	122,772,948

The following abbreviations are used in the Portfolio descriptions:

ADR	American Depositary Receipt
CVA	Certificate Van Aandelen (Bearer)
PRFC	Preference Shares
EUR	Euro

* Non-income producing security.

(g) Indicates a security or securities that have been deemed illiquid.

(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

(x) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Forward foreign currency exchange contracts outstanding at December 31, 2011:

Sale Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date Payable		Current Value		Unrealized Appreciation
Euro,
Expiring 01/23/12		State Street		EUR	1,763	$	2,304,191	$	2,282,651	$	21,540
Expiring 05/09/12		State Street		EUR	2,483		3,408,947		3,218,315		190,632
						$	5,713,138	$	5,500,966	$	212,172

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

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

Level 1—quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool.

Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks:
Australia	$	5,215,866	$	—	$	—
Austria		646,460		—		—
Belgium		554,990		—		—
Brazil		1,630,184		—		—
Canada		3,631,263		—		—
Cayman Islands		568,376		—		—
China		2,510,814		—		—
Denmark		1,972,714		—		—
Finland		545,791		—		—
France		9,848,219		—		—
Germany		10,496,269		—		—
Hong Kong		3,232,538		—		730
Ireland		786,838		—		—
Israel		2,412,427		—		—
Italy		1,794,160		—		—
Japan		21,256,223		—		—
Liechtenstein		203,237		—		—
Mexico		933,327		—		—
Netherlands		3,709,307		—		—
New Zealand		406,324		—		—
Norway		727,298		—		—
South Korea		1,236,583		—		—
Spain		2,327,890		—		—
Sweden		2,900,342		—		—
Switzerland		8,866,987		—		—
Taiwan		352,606		—		—
Turkey		511,879		—		—
United Kingdom		26,599,636		4,380		—
Preferred Stock – Germany		1,045,817		—		—
Affiliated Money Market Mutual Fund		3,876,634		—		—
Other Financial Instuments*
Foreign Forward Currency Contracts		—		212,172		—
Total	$	120,800,999	$	216,552	$	730

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

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2011 were as follows:

Banks	10.7	%
Oil & Gas	10.7
Pharmaceuticals	9.1
Insurance	6.5
Telecommunications	6.4
Retail	5.5
Food	4.1
Chemicals	3.9
Affiliated Money Market Mutual Fund	3.2
Diversified Financial Services	2.3
Auto Manufacturers	2.1
Aerospace/Defense	1.9
Software	1.8
Distribution/Wholesale	1.7
Holding Companies – Diversified	1.7
Transportation	1.6
Mining	1.4
Household Products/ Wares	1.3
Agriculture	1.3
Apparel	1.1
Media	1.1
Engineering & Construction	1.1
Healthcare – Services	1.0
Machinery – Construction & Mining	1.0
Miscellaneous Manufacturing	1.0
Hotels, Restaurants & Leisure	0.9
Germany	0.8
Electric	0.8

Office Equipment	0.8	%
Computers	0.7
Advertising	0.7
Internet	0.7
Auto Parts & Equipment	0.7
Industrial Conglomerates	0.7
Healthcare Products	0.6
Foods	0.6
Machinery & Equipment	0.6
Beverages	0.6
Iron/Steel	0.6
Semiconductors	0.5
Cosmetics/Personal Care	0.5
Forest & Paper Products	0.5
Electronics	0.4
Commercial Services	0.4
Entertainment	0.3
Airlines	0.3
Containers & Packaging	0.3
Trading Companies & Distributors	0.3
Electronic Components & Equipment	0.3
Building Materials	0.3
Gas	0.2
Independent Power Producers & Energy Traders	0.2
Home Furnishings	0.2
Textiles	0.2
Machinery	0.1
Healthcare Technology	0.1
	98.4
Other assets in excess of liabilities	1.6
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity risk and foreign exchange risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Foreign exchange contracts	Unrealized appreciation on foreign currency forward contracts	$	212,172	—	$	—

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights			Forward Currency Contracts			Total
Foreign exchange contracts	$	—		$	(304,136	)	$	(304,136	)
Equity contracts		(318,062	)		—			(318,062	)
Total	$	(318,062	)	$	(304,136	)	$	(622,198	)
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value				Forward Currency Contracts
Foreign exchange contracts				$	506,603

For the year ended December 31, 2011, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $1,172,031 and the average value at settlement date receivable for forward foreign currency exchange sale contracts was $4,994,402.

SEE NOTES TO FINANCIAL STATEMENTS.

A10

SP INTERNATIONAL VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments at value:
Unaffiliated investments (cost $116,777,586)	$	116,929,475
Affiliated investments (cost $3,876,634)		3,876,634
Foreign currency, at value (cost $949,165)		974,461
Cash		61,481
Tax reclaim receivable		543,972
Receivable for investments sold		364,084
Unrealized appreciation on foreign currency forward contracts		212,172
Dividends and interest receivable		160,768
Receivable for Series shares sold		32,048
Prepaid expenses		2,676
Total Assets		123,157,771
LIABILITIES
Payable for investments purchased		160,583
Accrued expenses and other liabilities		101,491
Management fee payable		93,618
Payable for Series shares repurchased		28,205
Affiliated transfer agent fees payable		926
Total Liabilities		384,823
NET ASSETS	$	122,772,948
Net assets were comprised of:
Paid-in capital	$	157,596,683
Retained earnings		(34,823,735	)
Net assets, December 31, 2011	$	122,772,948
Net asset value and redemption price per share, $122,772,948 / 21,051,992 outstanding shares of beneficial interest	$	5.83

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of $472,328 foreign withholding tax)	$	5,038,879
Affiliated dividend income		4,178
Interest income		212
		5,043,269
EXPENSES
Management fee		1,457,315
Custodian’s fees and expenses		186,000
Shareholders’ reports		30,000
Audit fee		25,000
Transfer agent’s fees and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Trustees’ fees		12,000
Legal fees and expenses		7,000
Loan interest expense (Note 8)		6,187
Commitment fee on syndicated credit agreement		5,000
Insurance expenses		2,000
Miscellaneous		32,749
Total expenses		1,775,251
NET INVESTMENT INCOME		3,268,018
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		12,275,038
Foreign currency transactions		17,738
		12,292,776
Net change in unrealized appreciation (depreciation) on:
Investments		(28,890,669	)
Foreign currencies		402,609
		(28,488,060	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(16,195,284	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(12,927,266	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	3,268,018		$	3,543,885
Net realized gain on investment and foreign currency transactions		12,292,776			2,325,645
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(28,488,060	)		15,412,324
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(12,927,266	)		21,281,854
DISTRIBUTIONS		(3,540,580	)		(4,428,920	)
SERIES SHARE TRANSACTIONS:
Series shares sold [1,383,059 and 4,060,251 shares, respectively]		9,482,465			25,034,179
Series shares issued in reinvestment of distributions [513,872 and 781,115 shares, respectively]		3,540,580			4,428,920
Series shares repurchased [11,625,779 and 6,078,825 shares, respectively]		(85,250,253	)		(38,110,702	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(72,227,208	)		(8,647,603	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(88,695,054	)		8,205,331
NET ASSETS:
Beginning of year		211,468,002			203,262,671
End of year	$	122,772,948		$	211,468,002

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	SP PRUDENTIAL U.S. EMERGING GROWTH  PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 99.7%
COMMON STOCKS	Shares		Value (Note 2)
Air Freight & Logistics — 0.8%
Expeditors International of Washington, Inc.		39,250	$	1,607,680
Automobiles — 0.6%
Harley-Davidson, Inc.		30,218		1,174,574
Biotechnology — 2.9%
Alexion Pharmaceuticals, Inc.*		40,444		2,891,746
BioMarin Pharmaceutical, Inc.*		51,378		1,766,376
United Therapeutics Corp.*(a)		32,025		1,513,181
				6,171,303
Capital Markets — 1.4%
Eaton Vance Corp.(a)		64,953		1,535,489
TD Ameritrade Holding Corp.		92,228		1,443,368
				2,978,857
Chemicals — 4.9%
Airgas, Inc.		15,138		1,181,975
Albemarle Corp.		50,729		2,613,051
Ecolab, Inc.		75,466		4,362,689
FMC Corp.		26,265		2,259,841
				10,417,556
Commercial Banks — 0.9%
First Republic Bank*		59,535		1,822,366
Commercial Services & Supplies — 1.1%
Iron Mountain, Inc.		72,185		2,223,298
Communications Equipment — 2.6%
F5 Networks, Inc.*		17,104		1,815,076
Finisar Corp.*(a)		87,110		1,458,657
Juniper Networks, Inc.*		65,968		1,346,407
Riverbed Technology, Inc.*		32,798		770,753
				5,390,893
Computers & Peripherals — 0.9%
NetApp, Inc.*		53,331		1,934,315
Electrical Equipment — 3.2%
AMETEK, Inc.		71,187		2,996,973
Roper Industries, Inc.(a)		42,665		3,706,309
				6,703,282
Electronic Equipment & Instruments — 1.9%
Amphenol Corp. (Class A Stock)		48,421		2,197,829
FLIR Systems, Inc.(a)		74,768		1,874,434
				4,072,263
Energy Equipment & Services — 2.6%
Cameron International Corp.*		56,608		2,784,548
Patterson-UTI Energy, Inc.		72,543		1,449,409
Rowan Cos., Inc.*		43,901		1,331,517
				5,565,474
Food & Staples Retailing — 0.7%
Whole Foods Market, Inc.		21,780		1,515,452
Food Products — 3.0%
Bunge Ltd.		36,272		2,074,758
J.M. Smucker Co. (The)		30,801		2,407,714
Mead Johnson Nutrition Co.		28,117		1,932,482
				6,414,954

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Equipment & Supplies — 1.0%
IDEXX Laboratories, Inc.*		15,141	$	1,165,251
Neogen Corp.*(a)		29,976		918,465
				2,083,716
Healthcare Providers & Services — 5.7%
DaVita, Inc.*		51,259		3,885,945
Henry Schein, Inc.*		51,499		3,318,080
Laboratory Corp. of America Holdings*(a)		27,469		2,361,510
Universal Health Services, Inc. (Class B Stock)		65,417		2,542,105
				12,107,640
Hotels, Restaurants & Leisure — 4.7%
Darden Restaurants, Inc.(a)		54,990		2,506,444
Tim Hortons, Inc.		86,253		4,176,370
Yum! Brands, Inc.		56,140		3,312,822
				9,995,636
Household Products — 1.5%
Church & Dwight Co., Inc.		67,396		3,084,041
Insurance — 0.6%
W.R. Berkley Corp.		35,857		1,233,122
Internet Software & Services — 3.0%
Rackspace Hosting, Inc.*(a)		37,272		1,603,069
VeriSign, Inc.(a)		130,163		4,649,422
				6,252,491
IT Services — 3.3%
Alliance Data Systems Corp.*(a)		33,575		3,486,428
Gartner, Inc.*		54,324		1,888,845
Teradata Corp.*(a)		30,629		1,485,813
				6,861,086
Life Sciences Tools & Services — 2.0%
Agilent Technologies, Inc.*		63,123		2,204,886
Waters Corp.*		27,748		2,054,740
				4,259,626
Machinery — 1.9%
Colfax Corp.*(a)		34,137		972,222
IDEX Corp.		84,597		3,139,395
				4,111,617
Metals & Mining — 1.9%
Eldorado Gold Corp.		60,306		826,795
Reliance Steel & Aluminum Co.		46,358		2,257,171
Silver Wheaton Corp.		33,473		969,378
				4,053,344
Multiline Retail — 3.5%
Dollar Tree, Inc.*		59,340		4,931,747
Nordstrom, Inc.		49,470		2,459,154
				7,390,901
Oil, Gas & Consumable Fuels — 7.0%
Cimarex Energy Co.		23,119		1,431,066
Cobalt International Energy, Inc.*(a)		100,123		1,553,909
Concho Resources, Inc.*		26,960		2,527,500
Denbury Resources, Inc.*		192,409		2,905,376
Noble Energy, Inc.		33,484		3,160,555

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Southwestern Energy Co.*		96,875	$	3,094,187
				14,672,593
Personal Products — 0.8%
Herbalife Ltd.		31,695		1,637,681
Pharmaceuticals — 3.1%
Perrigo Co.		37,427		3,641,647
Valeant Pharmaceuticals International, Inc.*		64,313		3,002,774
				6,644,421
Professional Services — 1.9%
IHS, Inc. (Class A Stock)*		26,819		2,310,725
Robert Half International, Inc.		59,797		1,701,823
				4,012,548
Real Estate Investment Trusts — 1.7%
Annaly Capital Management, Inc.		220,969		3,526,665
Road & Rail — 0.5%
JB Hunt Transport Services, Inc.		25,722		1,159,291
Semiconductors & Semiconductor Equipment — 4.8%
Altera Corp.		60,023		2,226,853
Broadcom Corp. (Class A Stock)		77,998		2,290,021
Maxim Integrated Products, Inc.		101,612		2,645,977
Xilinx, Inc.		92,638		2,969,974
				10,132,825
Software — 6.4%
Activision Blizzard, Inc.		172,605		2,126,494
Ariba, Inc.*		75,059		2,107,657
Check Point Software Technologies Ltd.*(a)		63,730		3,348,374
Intuit, Inc.		49,666		2,611,935
Red Hat, Inc.*		43,118		1,780,342
Salesforce.com, Inc.*(a)		14,502		1,471,373
				13,446,175
Specialty Retail — 7.2%
Bed Bath & Beyond, Inc.*		62,681		3,633,618
O’Reilly Automotive, Inc.*		38,153		3,050,332
Ross Stores, Inc.		85,084		4,044,043
TJX Cos., Inc.		49,573		3,199,937
Williams-Sonoma, Inc.		32,599		1,255,061
				15,182,991
Textiles, Apparel & Luxury Goods — 2.5%
Deckers Outdoor Corp.*(a)		23,968		1,811,262
PVH Corp.		49,362		3,479,527
				5,290,789
Trading Companies & Distributors — 1.1%
Fastenal Co.(a)		53,835		2,347,744
Wireless Telecommunication Services — 6.1%
American Tower Corp. (Class A Stock).		65,902		3,954,779
Crown Castle International Corp.*		117,744		5,274,931
NII Holdings, Inc.*		175,760		3,743,688
				12,973,398
TOTAL LONG-TERM INVESTMENTS (cost $159,761,433)				210,452,608

SHORT-TERM INVESTMENT — 15.7%	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $33,260,261; includes $32,527,951 of cash collateral received for securities on loan) (Note 4)(b)(c)		33,260,261	$	33,260,261
TOTAL INVESTMENTS — 115.4% (cost $193,021,694)				243,712,869
LIABILITIES IN EXCESS OF OTHER ASSETS — (15.4)%				(32,612,219	)
NET ASSETS — 100.0%			$	211,100,650

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $31,500,144; cash collateral of $32,527,951 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(c) Prudential Investment LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

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

Level 1—quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	210,452,608	$	—	$	—
Affiliated Money Market Mutual Fund		33,260,261		—		—
Total	$	243,712,869	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Affiliated Money Market Mutual Fund (including 15.4% of collateral received for securities on loan)	15.7	%
Specialty Retail	7.2
Oil, Gas & Consumable Fuels	7.0
Software	6.4
Wireless Telecommunication Services	6.1
Healthcare Providers & Services	5.7
Chemicals	4.9
Semiconductors & Semiconductor Equipment	4.8
Hotels, Restaurants & Leisure	4.7
Multiline Retail	3.5
IT Services	3.3
Electrical Equipment	3.2
Pharmaceuticals	3.1
Food Products	3.0
Internet Software & Services	3.0
Biotechnology	2.9
Communications Equipment	2.6
Energy Equipment & Services	2.6
Textiles, Apparel & Luxury Goods	2.5
Life Sciences Tools & Services	2.0
Electronic Equipment & Instruments	1.9
Machinery	1.9
Metals & Mining	1.9
Professional Services	1.9
Real Estate Investment Trusts	1.7
Household Products	1.5
Capital Markets	1.4
Commercial Services & Supplies	1.1
Trading Companies & Distributors	1.1
Healthcare Equipment & Supplies	1.0
Commercial Banks	0.9
Computers & Peripherals	0.9
Air Freight & Logistics	0.8
Personal Products	0.8
Food & Staples Retailing	0.7
Automobiles	0.6
Insurance	0.6
Road & Rail	0.5
	115.4
Liabilities in excess of other assets	(15.4	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A14

SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $31,500,144:
Unaffiliated investments (cost $159,761,433)	$	210,452,608
Affiliated investments (cost $33,260,261)		33,260,261
Dividends and interest receivable		203,723
Receivable for investments sold		29,866
Receivable for Series shares sold		3,200
Prepaid expenses		1,804
Total Assets		243,951,462
LIABILITIES
Collateral for securities on loan		32,527,951
Payable for Series shares repurchased		139,506
Management fee payable		108,389
Accrued expenses and other liabilities		70,287
Deferred trustees’ fees		3,571
Affiliated transfer agent fee payable		926
Payable to custodian		81
Distribution fee payable		63
Administration fee payable		38
Total Liabilities		32,850,812
NET ASSETS	$	211,100,650
Net assets were comprised of:
Paid-in capital	$	164,727,620
Retained earnings		46,373,030
Net assets, December 31, 2011	$	211,100,650
Class I:
Net asset value and redemption price per share, $210,804,391 / 27,029,172 outstanding shares of beneficial interest	$	7.80
Class II:
Net asset value and redemption price per share, $296,259 / 39,351 outstanding shares of beneficial interest	$	7.53

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $13,587)	$	2,333,983
Affiliated income from securities loaned, net		64,723
Affiliated dividend income		3,689
		2,402,395
EXPENSES
Management fee		1,390,421
Distribution fee—Class II		769
Administration fee—Class II		461
Custodian’s fees and expenses		25,000
Shareholders’ reports		25,000
Audit fee		19,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Trustees’ fees		10,000
Legal fees and expenses		5,000
Commitment fee on syndicated credit agreement		3,000
Insurance expenses		3,000
Loan interest expense (Note 8)		169
Miscellaneous		1,174
Total expenses		1,494,994
NET INVESTMENT INCOME		907,401
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on investment transactions		15,648,254
Net change in unrealized appreciation (depreciation) on investments		(11,164,890	)
NET GAIN ON INVESTMENTS		4,483,364
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	5,390,765

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	907,401		$	1,360,578
Net realized gain on investments		15,648,254			22,125,238
Net change in unrealized appreciation (depreciation) on investments		(11,164,890	)		11,739,681
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		5,390,765			35,225,497
DISTRIBUTIONS:
Class I		(3,329,895	)		(802,873	)
Class II		(3,362	)		(618	)
TOTAL DISTRIBUTIONS		(3,333,257	)		(803,491	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		8,188,427			8,450,511
Series shares issued in reinvestment of distributions		3,333,257			803,491
Net asset value of shares issued in merger (Note 10)		—			87,093,383
Series shares repurchased		(45,226,491	)		(30,651,077	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(33,704,807	)		65,696,308
TOTAL INCREASE (DECREASE) IN NET ASSETS		(31,647,299	)		100,118,314
NET ASSETS:
Beginning of year		242,747,949			142,629,635
End of year	$	211,100,650		$	242,747,949

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	SP SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 98.4%
COMMON STOCKS — 95.9%	Shares		Value (Note 2)
Aerospace & Defense — 0.9%
AAR Corp.		17,939	$	343,891
Kaman Corp.		22,348		610,547
Triumph Group, Inc.(a)		10,095		590,053
				1,544,491
Airlines — 0.2%
JetBlue Airways Corp.*(a)		78,840		409,968
Auto Components — 0.9%
Cooper Tire & Rubber Co.		29,310		410,633
Dana Holding Corp.*(a)		16,682		202,687
Superior Industries International, Inc.		26,550		439,137
Visteon Corp.*		9,264		462,644
				1,515,101
Automotive Parts — 0.3%
Tenneco, Inc.*		19,360		576,541
Banks — 1.5%
Bridge Capital Holdings*(a)		8,108		84,323
Dime Community Bancshares, Inc.		15,375		193,725
East West Bancorp, Inc.		10,078		199,041
Hancock Holding Co.		22,578		721,819
Independent Bank Corp.		7,943		216,764
Lakeland Financial Corp.		8,606		222,637
Pinnacle Financial Partners, Inc.*(a)		19,557		315,846
Sierra Bancorp		4,927		43,358
Trico Bancshares		11,556		164,326
UMB Financial Corp.		14,924		555,919
				2,717,758
Building Materials — 0.5%
Comfort Systems USA, Inc.		50,878		545,412
Universal Forest Products, Inc.		11,033		340,589
				886,001
Building Products — 0.6%
Gibraltar Industries, Inc.*		61,460		857,981
Simpson Manufacturing Co., Inc.		6,780		228,215
				1,086,196
Capital Markets — 3.3%
Affiliated Managers Group, Inc.*		12,180		1,168,671
Artio Global Investors, Inc.		68,709		335,300
Cohen & Steers, Inc.(a)		14,523		419,715
Greenhill & Co., Inc.		9,560		347,697
HFF, Inc. (Class A Stock)*		101,740		1,050,974
Raymond James Financial, Inc.		25,560		791,338
Stifel Financial Corp.*(a)		42,087		1,348,888
Waddell & Reed Financial, Inc. (Class A Stock)		15,650		387,650
				5,850,233
Chemicals — 2.3%
Ferro Corp.*		46,250		226,162
Fuller (H.B.) Co.		20,805		480,804
Grace, (W.R.) & Co.*		7,814		358,819
Koppers Holdings, Inc.		19,470		668,989
Minerals Technologies, Inc.		12,421		702,159
PolyOne Corp.		93,576		1,080,803
Schulman, (A.), Inc.		19,140		405,385

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Tronox, Inc.*		1,066	$	127,920
				4,051,041
Clothing & Apparel — 0.6%
Deckers Outdoor Corp.*		4,717		356,464
G-III Apparel Group Ltd.*		8,440		210,240
Iconix Brand Group, Inc.*		30,657		499,403
				1,066,107
Commercial Banks — 7.2%
Bancorp, Inc. (The)*		189,249		1,368,270
BancorpSouth, Inc.		29,077		320,429
CoBiz Financial, Inc.		19,180		110,669
Community Bank System, Inc.		11,661		324,176
Cullen/Frost Bankers, Inc.(a)		13,320		704,761
First Midwest Bancorp, Inc.		35,588		360,506
First Republic Bank*		13,850		423,949
First Security Group, Inc.*		14,146		35,082
FirstMerit Corp.(a)		48,380		731,989
FNB Corp.		41,950		474,454
Heritage Financial Corp.(a)		10,211		128,250
IBERIABANK Corp.		25,619		1,263,017
PrivateBancorp, Inc.		28,482		312,732
Sandy Spring Bancorp, Inc.		9,339		163,899
Signature Bank*(a)		46,128		2,767,219
Simmons First National Corp. (Class A Stock)		5,968		162,270
SVB Financial Group*		24,830		1,184,143
Tompkins Financial Corp.		7,319		281,855
Umpqua Holdings Corp.		27,530		341,097
Webster Financial Corp.		26,168		533,566
Wintrust Financial Corp.(a)		28,470		798,583
				12,790,916
Commercial Services — 1.1%
Convergys Corp.*		43,057		549,838
Monro Muffler Brake, Inc.		9,772		379,056
On Assignment, Inc.*		35,310		394,766
Team Health Holdings, Inc.*		28,372		626,170
				1,949,830
Commercial Services & Supplies — 0.7%
EnergySolutions, Inc.*		66,948		206,869
PHH Corp.*		9,717		103,972
TMS International Corp. (Class A Stock)*		41,000		405,080
United Stationers, Inc.		14,380		468,213
				1,184,134
Communication Equipment — 2.1%
Bel Fuse, Inc. (Class B Stock)		9,530		178,688
Black Box Corp.		14,560		408,262
Digi International, Inc.*		62,044		692,411
InterDigital, Inc.		5,550		241,814
Plantronics, Inc.		63,244		2,254,016
				3,775,191
Computer Hardware — 0.5%
Electronics for Imaging, Inc.*		33,310		474,668

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Computer Hardware (continued)
MTS Systems Corp.		10,171	$	414,468
				889,136
Computer Services & Software — 0.9%
Mentor Graphics Corp.*		37,408		507,253
Monotype Imaging Holdings, Inc.*		22,231		346,581
NetScout Systems, Inc.*		25,362		446,371
Parametric Technology Corp.*		21,062		384,592
				1,684,797
Computers & Peripherals — 0.1%
Rimage Corp.		14,940		168,075
Construction & Engineering — 1.1%
EMCOR Group, Inc.		30,853		827,169
Granite Construction, Inc.		5,140		121,921
Meritage Homes Corp.*		15,108		350,354
Michael Baker Corp.*		4,998		98,011
Tutor Perini Corp.*		37,990		468,797
				1,866,252
Consumer Finance — 0.2%
First Cash Financial Services, Inc.*		8,033		281,878
Consumer Products & Services — 0.2%
Elizabeth Arden, Inc.*		11,068		409,959
Containers & Packaging — 0.5%
AptarGroup, Inc.		11,810		616,128
Myers Industries, Inc.		26,630		328,614
				944,742
Distribution/Wholesale — 0.7%
ScanSource, Inc.*		12,946		466,056
Watsco, Inc.(a)		11,096		728,563
				1,194,619
Diversified Consumer Services — 0.7%
Sotheby’s		9,060		258,482
Steiner Leisure Ltd. (Bahamas)*		20,690		939,119
				1,197,601
Diversified Financial Services — 0.4%
Boston Private Financial Holdings, Inc.		29,907		237,461
KBW, Inc.		10,376		157,508
Manning & Napier, Inc.		10,122		126,424
MarketAxess Holdings, Inc.		5,053		152,146
				673,539
Electric Utilities — 2.9%
Allete, Inc.		6,001		251,922
Atlantic Power Corp. (Canada)*		10,867		155,398
Cleco Corp.		32,062		1,221,562
IDACORP, Inc.		14,562		617,574
MGE Energy, Inc.		22,207		1,038,621
MYR Group, Inc.*		17,593		336,730
NorthWestern Corp.		7,273		260,301
Portland General Electric Co.		22,785		576,233
UniSource Energy Corp.		19,678		726,512
				5,184,853
Electrical Equipment — 0.7%
Acuity Brands, Inc.		6,568		348,104

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electrical Equipment (continued)
EnerSys*		11,945	$	310,212
GrafTech International Ltd.*		23,430		319,819
Regal-Beloit Corp.		5,926		302,048
				1,280,183
Electronic Components & Equipment — 1.2%
AVX Corp.		60,660		774,022
Littelfuse, Inc.		9,714		417,508
Park Electrochemical Corp.		36,596		937,589
				2,129,119
Electronics — 0.4%
Belden, Inc.		12,356		411,208
Checkpoint Systems, Inc.*		32,012		350,211
				761,419
Energy Equipment & Services — 1.9%
Cal Dive International, Inc.*		110,880		249,480
Gulf Island Fabrication, Inc.		15,780		460,934
Key Energy Services, Inc.*		53,732		831,234
Matrix Service Co.*		75,660		714,231
Natural Gas Services Group, Inc.*		26,400		381,744
TETRA Technologies, Inc.*		36,910		344,739
Tidewater, Inc.		9,620		474,266
				3,456,628
Entertainment & Leisure — 1.2%
Ascent Capital Group, Inc. (Class A Stock)*		11,425		579,476
Gaylord Entertainment Co.*(a)		11,693		282,269
Polaris Industries, Inc.		8,564		479,413
Six Flags Entertainment Corp.		13,917		573,937
Vail Resorts, Inc.		7,073		299,612
				2,214,707
Environmental Control — 0.2%
Darling International, Inc.*		21,474		285,389
Environmental Services — 0.2%
Waste Connections, Inc.		10,753		356,354
Financial – Bank & Trust — 2.6%
Bank of the Ozarks, Inc.		27,649		819,240
Columbia Banking System, Inc.		17,236		332,138
First Financial Bankshares, Inc.(a)		16,425		549,088
Glacier Bancorp, Inc.(a)		38,598		464,334
Northwest Bancshares, Inc.		28,467		354,129
Prosperity Bancshares, Inc.		17,146		691,841
Provident Financial Services, Inc.		19,485		260,904
SCBT Financial Corp.		11,440		331,874
Southcoast Financial Corp.*		7,400		9,398
Summit State Bank		6,996		36,379
Texas Capital Bancshares, Inc.*(a)		17,123		524,135
WSFS Financial Corp.		4,781		171,925
				4,545,385
Financial Services — 1.9%
BGC Partners, Inc. (Class A Stock)		18,319		108,815
Brookline Bancorp, Inc.		34,629		292,269
First of Long Island Corp. (The)		5,334		140,391
Home BancShares, Inc.		10,745		278,403

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Financial Services (continued)
Knight Capital Group, Inc. (Class A Stock)*		31,237	$	369,221
MB Financial, Inc.		28,344		484,682
Ocwen Financial Corp.*		44,786		648,501
Piper Jaffray Cos.*		4,083		82,477
RSC Holdings, Inc.*(a)		55,012		1,017,722
				3,422,481
Food & Staples Retailing — 0.8%
Pantry, Inc. (The)*		81,589		976,621
Weis Markets, Inc.		12,280		490,463
				1,467,084
Foods — 0.7%
Hain Celestial Group, Inc. (The)*		18,492		677,917
TreeHouse Foods, Inc.*		8,726		570,506
				1,248,423
Gas Utilities — 0.8%
Laclede Group, Inc. (The)		6,300		254,961
New Jersey Resources Corp.(a)		8,720		429,024
Northwest Natural Gas Co.		10,660		510,934
WGL Holdings, Inc.		5,630		248,958
				1,443,877
Healthcare Products — 0.5%
PSS World Medical, Inc.*(a)		21,605		522,625
West Pharmaceutical Services, Inc.		10,672		405,002
				927,627
Healthcare Providers & Services — 2.4%
Cross Country Healthcare, Inc.*		35,000		194,250
HealthSouth Corp.*(a)		57,865		1,022,475
ICON PLC, ADR (Ireland)*		37,778		646,382
LifePoint Hospitals, Inc.*		22,110		821,386
Lincare Holdings, Inc.(a)		32,265		829,533
Magellan Health Services, Inc.*		4,560		225,583
MedQuist Holdings, Inc.*		13,980		134,488
Select Medical Holdings Corp.*		36,180		306,806
				4,180,903
Healthcare Services
Amedisys, Inc.*(a)		7,178		78,312
Hotels, Restaurants & Leisure — 0.5%
DineEquity, Inc.*		3,311		139,757
Orient-Express Hotels Ltd. (Class A Stock) (Bermuda)*		13,081		97,715
P.F. Chang’s China Bistro, Inc.		18,890		583,890
				821,362
Household Durables — 0.6%
Ryland Group, Inc. (The)		20,620		324,971
Tempur-Pedic International, Inc.*		7,474		392,609
Toll Brothers, Inc.*(a)		15,290		312,222
				1,029,802
Household Products — 0.5%
Central Garden & Pet Co. (Class A Stock)*		56,280		468,249

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Products (continued)
Harman International Industries, Inc.		9,568	$	363,967
				832,216
Insurance — 5.8%
Allied World Assurance Co. Holdings AG (Switzerland)		31,140		1,959,640
Alterra Capital Holdings Ltd. (Bermuda)		26,348		622,603
American Equity Investment Life Holding Co.(a)		81,854		851,282
Arch Capital Group Ltd. (Bermuda)*		25,140		935,962
Aspen Insurance Holdings Ltd. (Bermuda)		10,288		272,632
Donegal Group, Inc. (Class A Stock)		6,931		98,143
EMC Insurance Group, Inc.		18,100		372,317
Enstar Group Ltd. (Bermuda)*		3,310		325,042
Meadowbrook Insurance Group, Inc.		237,371		2,535,122
ProAssurance Corp.		12,366		987,054
RLI Corp.		8,089		589,365
Symetra Financial Corp.		22,602		205,000
Tower Group, Inc.		28,810		581,098
				10,335,260
Internet & Catalog Retail — 0.3%
HSN, Inc.		15,067		546,329
Internet Software & Services — 0.1%
Blue Coat Systems, Inc.*		5,249		133,587
Investment Companies — 0.2%
Solar Capital Ltd.		9,679		213,809
Solar Senior Capital Ltd.		7,242		114,062
				327,871
Leisure Equipment & Products — 0.1%
Callaway Golf Co.		41,145		227,532
Machinery — 3.5%
Albany International Corp. (Class A Stock)		19,830		458,470
Altra Holdings, Inc.*		71,773		1,351,486
Kaydon Corp.		17,740		541,070
Oshkosh Corp.*		34,050		727,989
RBC Bearings, Inc.*		38,652		1,611,788
Snap-on, Inc.		18,870		955,199
WABCO Holdings, Inc.*		13,150		570,710
				6,216,712
Machinery & Equipment — 1.2%
Actuant Corp. (Class A Stock)		11,754		266,698
Applied Industrial Technologies, Inc.		11,893		418,277
Graco, Inc.		11,665		476,982
Robbins & Myers, Inc.		13,008		631,538
Tennant Co.		9,618		373,852
				2,167,347
Manufacturing — 1.1%
A.O. Smith Corp.		15,193		609,543
AZZ, Inc.		8,968		407,506
Carlisle Cos., Inc.		21,468		951,033
				1,968,082

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Marine — 0.6%
Diana Shipping, Inc. (Marshall Islands)*		37,280	$	278,854
Kirby Corp.*		12,590		828,926
				1,107,780
Metals & Mining — 2.3%
Carpenter Technology Corp.		13,750		707,850
Commercial Metals Co.		19,734		272,921
Haynes International, Inc.		12,600		687,960
Horsehead Holding Corp.*		30,050		270,750
Kaiser Aluminum Corp.		18,799		862,498
Metals USA Holdings Corp.*		23,534		264,758
Olympic Steel, Inc.		23,143		539,695
Schnitzer Steel Industries, Inc. (Class A Stock)		7,621		322,216
Stillwater Mining Co.*		12,957		135,530
				4,064,178
Oil Field Equipment & Services — 0.2%
Thermon Group Holdings, Inc.*		23,076		406,599
Oil, Gas & Consumable Fuels — 4.4%
Approach Resources, Inc.*(a)		33,440		983,470
Bill Barrett Corp.*		25,270		860,949
Carrizo Oil & Gas, Inc.*		26,420		696,167
Magnum Hunter Resources Corp.*(a)		120,224		648,007
Oil States International, Inc.*		4,799		366,500
Petroleum Development Corp.*(a)		17,153		602,242
Petroquest Energy, Inc.*(a)		32,580		215,028
Rex Energy Corp.*		24,282		358,402
Rosetta Resources, Inc.*(a)		20,600		896,100
Southwest Gas Corp.		50,512		2,146,255
				7,773,120
Paper & Forest Products — 0.5%
Louisiana-Pacific Corp.*		108,920		878,984
Pharmaceuticals — 0.4%
Herbalife Ltd. (Cayman Islands)		8,685		448,754
Medicis Pharmaceutical Corp. (Class A Stock)		8,098		269,258
				718,012
Professional Services — 0.6%
CDI Corp.		380		5,248
Hudson Highland Group, Inc.*		48,890		234,183
Korn/Ferry International*		11,470		195,678
TrueBlue, Inc.*		41,710		578,935
				1,014,044
Real Estate Investment Trusts — 10.4%
Acadia Realty Trust		24,762		498,707
American Campus Communities, Inc.(a)		31,496		1,321,572
BioMed Realty Trust, Inc.(a)		99,865		1,805,559
Campus Crest Communities, Inc.(a)		49,250		495,455
Cogdell Spencer, Inc.		61,440		261,120
Coresite Realty Corp.		38,560		687,139
Corporate Office Properties Trust		10,650		226,419
Cousins Properties, Inc.		54,773		351,095
CreXus Investment Corp.		25,293		262,541
CubeSmart		43,005		457,573
CYS Investments, Inc.(a)		67,594		888,185

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
DiamondRock Hospitality Co.		19,972	$	192,530
DuPont Fabros Technology, Inc.(a)		21,003		508,693
EastGroup Properties, Inc.		10,840		471,323
Entertainment Properties Trust		22,070		964,680
Hersha Hospitality Trust		78,860		384,837
Hudson Pacific Properties, Inc.		21,663		306,748
LaSalle Hotel Properties		31,629		765,738
MFA Financial, Inc.		114,278		767,948
Mid-America Apartment Communities, Inc.		21,834		1,365,717
National Health Investors, Inc.		11,480		504,890
National Retail Properties, Inc.		29,563		779,872
Omega Healthcare Investors, Inc.		14,375		278,156
Parkway Properties, Inc.		23,229		229,038
Pebblebrook Hotel Trust		83,823		1,607,725
PS Business Parks, Inc.		15,244		844,975
Retail Opportunity Investments Corp.(a)		36,835		436,126
Saul Centers, Inc.		4,380		155,140
Senior Housing Properties Trust		8,040		180,418
Two Harbors Investment Corp.		36,691		339,025
Washington Real Estate Investment Trust		5,460		149,331
				18,488,275
Real Estate Management & Development — 0.9%
CBRE Group, Inc.*		37,090		564,510
Jones Lang LaSalle, Inc.(a)		13,950		854,577
Kennedy-Wilson Holdings, Inc.		9,215		97,495
				1,516,582
Retail & Merchandising — 1.8%
Cash America International, Inc.(a)		4,461		208,017
EZCORP, Inc. (Class A Stock)*		10,516		277,307
GNC Holdings, Inc. (Class A Stock)*		15,598		451,562
Nu Skin Enterprises, Inc. (Class A Stock)		13,313		646,612
Susser Holdings Corp.*		4,657		105,341
Vera Bradley, Inc.*(a)		13,403		432,247
Vitamin Shoppe, Inc.*		5,885		234,694
World Fuel Services Corp.(a)		20,997		881,454
				3,237,234
Road & Rail — 1.6%
Genesee & Wyoming, Inc. (Class A Stock)*		19,020		1,152,232
Landstar System, Inc.		10,850		519,932
Old Dominion Freight Line, Inc.*(a)		28,065		1,137,474
				2,809,638
Semiconductors & Semiconductor Equipment — 3.5%
Cabot Microelectronics Corp.*		13,842		654,034
Exar Corp.*		83,410		542,165
Fairchild Semiconductor International, Inc.*		40,590		488,704
Micrel, Inc.		23,102		233,561
MKS Instruments, Inc.		23,357		649,792
ON Semiconductor Corp.*		126,200		974,264
Semtech Corp.*		31,192		774,185
Standard Microsystems Corp.*		25,665		661,387

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Teradyne, Inc.*(a)		84,730	$	1,154,870
				6,132,962
Software — 0.6%
EPIQ Systems, Inc.		19,710		236,914
SS&C Technologies Holdings, Inc.*(a)		42,950		775,677
				1,012,591
Specialty Retail — 2.2%
ANN, Inc.*		10,041		248,816
Cato Corp. (The) (Class A Stock)		22,180		536,756
Children’s Place Retail Stores, Inc. (The)*(a)		31,264		1,660,744
Finish Line, Inc. (The) (Class A Stock)		4,802		92,607
Francesca’s Holdings Corp.*(a)		7,259		125,581
Jos. A. Bank Clothiers, Inc.*(a)		12,881		628,077
MarineMax, Inc.*		51,000		332,520
Mattress Firm Holding Corp.*(a)		11,754		272,575
				3,897,676
Telecommunications — 1.4%
ADTRAN, Inc.		12,218		368,495
Anixter International, Inc.*		10,949		652,998
Knology, Inc.*(a)		37,582		533,664
Premiere Global Services, Inc.*		62,738		531,391
SYNNEX Corp.*		14,275		434,817
				2,521,365
Textiles, Apparel & Luxury Goods — 1.6%
Fossil, Inc.*		4,190		332,519
G & K Services, Inc. (Class A Stock)		16,829		489,892
Hanesbrands, Inc.*		38,580		843,359
Steven Madden Ltd.*		12,866		443,877
Warnaco Group, Inc. (The)*		13,105		655,774
				2,765,421
Thrifts & Mortgage Finance — 0.8%
BankUnited, Inc.		19,100		420,009
Flushing Financial Corp.		23,255		293,711
People’s United Financial, Inc.(a)		40,370		518,754
Westfield Financial, Inc.		37,620		276,883
				1,509,357
Trading Companies & Distributors — 0.3%
Beacon Roofing Supply, Inc.*		29,160		589,907
Transportation — 0.6%
Forward Air Corp.		18,034		577,990
Heartland Express, Inc.		34,747		496,534
				1,074,524
Utilities — 1.4%
Avista Corp.		7,931		204,223
El Paso Electric Co.		66,426		2,300,997
				2,505,220
TOTAL COMMON STOCKS (cost $139,714,714)				170,326,419

EXCHANGE TRADED FUNDS — 2.2%	Shares		Value (Note 2)
iShares Nasdaq Biotechnology Index Fund(a)		7,500	$	782,625
iShares Russell 2000 Value Index Fund(a)		47,367		3,109,170
TOTAL EXCHANGE TRADED FUNDS (cost $3,477,493)				3,891,795
UNAFFILIATED MUTUAL FUNDS — 0.3%
Apollo Investment Corp.		18,369		118,296
Golub Capital BDC, Inc.		10,989		170,330
PennantPark Investment Corp.		25,547		257,769
TOTAL UNAFFILIATED MUTUAL FUNDS (cost $562,240)				546,395
WARRANTS*
Oil, Gas & Consumable Fuels
Magnum Hunter Resources Corp., expiring 10/14/13 (cost $0)		4,411		—
TOTAL LONG-TERM INVESTMENTS (cost $143,754,447)				174,764,609
SHORT-TERM INVESTMENT — 17.8%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $31,592,258; includes $28,901,792 of cash collateral for securities on loan)(b)(w) (Note 4)		31,592,258		31,592,258
TOTAL INVESTMENTS — 116.2% (cost $175,346,705)				206,356,867
LIABILITIES IN EXCESS OF OTHER ASSETS — (16.2)%				(28,823,361	)
NET ASSETS — 100.0%			$	177,533,506

The following abbreviation is used in the Portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $27,881,343; cash collateral of $28,901,792 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(w) Prudential Investments LLC, the co-manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

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

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tool.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	170,326,419	$	—	$	—
Exchange Traded Funds		3,891,795		—		—
Unaffiliated Mutual Funds		546,395		—		—
Affiliated Money Market Mutual Fund		31,592,258		—		—
Total	$	206,356,867	$	—	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Affiliated Money Market Mutual Fund (16.3% represents investments purchased with collateral from securities on loan)	17.8	%
Real Estate Investment Trusts	10.4
Commercial Banks	7.2
Insurance	5.8
Oil, Gas & Consumable Fuels	4.4
Machinery	3.5
Semiconductors & Semiconductor Equipment	3.5
Capital Markets	3.3
Electric Utilities	2.9
Financial – Bank & Trust	2.6
Healthcare Providers & Services	2.4
Metals & Mining	2.3
Chemicals	2.3
Specialty Retail	2.2
Exchange Traded Funds	2.2
Communication Equipment	2.1
Energy Equipment & Services	1.9
Financial Services	1.9
Retail & Merchandising	1.8
Road & Rail	1.6
Textiles, Apparel & Luxury Goods	1.6
Banks	1.5
Telecommunications	1.4
Utilities	1.4
Entertainment & Leisure	1.2
Machinery & Equipment	1.2
Electronic Components & Equipment	1.2
Manufacturing	1.1
Commercial Services	1.1
Construction & Engineering	1.1
Computer Services & Software	0.9
Aerospace & Defense	0.9
Real Estate Management & Development	0.9
Auto Components	0.9
Thrifts & Mortgage Finance	0.8
Food & Staples Retailing	0.8
Gas Utilities	0.8
Electrical Equipment	0.7

Foods	0.7	%
Diversified Consumer Services	0.7
Distribution/Wholesale	0.7
Commercial Services & Supplies	0.7
Marine	0.6
Building Products	0.6
Transportation	0.6
Clothing & Apparel	0.6
Household Durables	0.6
Professional Services	0.6
Software	0.6
Containers & Packaging	0.5
Healthcare Products	0.5
Computer Hardware	0.5
Building Materials	0.5
Paper & Forest Products	0.5
Household Products	0.5
Hotels, Restaurants & Leisure	0.5
Electronics	0.4
Pharmaceuticals	0.4
Diversified Financial Services	0.4
Trading Companies & Distributors	0.3
Automotive Parts	0.3
Unaffiliated Mutual Funds	0.3
Internet & Catalog Retail	0.3
Airlines	0.2
Consumer Products & Services	0.2
Oil Field Equipment & Services	0.2
Environmental Services	0.2
Investment Companies	0.2
Environmental Control	0.2
Consumer Finance	0.2
Leisure Equipment & Products	0.1
Computers & Peripherals	0.1
Internet Software & Services	0.1
	116.2
Liabilities in excess of other assets	(16.2	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A21

SP SMALL CAP VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments at value, including securities on loan of $27,881,343:
Unaffiliated investments (cost $143,754,447)	$	174,764,609
Affiliated investments (cost $31,592,258)		31,592,258
Receivable for investments sold		292,163
Dividends receivable		276,810
Receivable for Series shares sold		628
Prepaid expenses		3,821
Total Assets		206,930,289
LIABILITIES
Collateral for securities on loan		28,901,792
Payable for investments purchased		218,264
Management fee payable		134,794
Payable for Series shares repurchased		74,054
Accrued expenses and other liabilities		65,641
Deferred trustees’ fees		1,312
Affiliated transfer agent fees payable		926
Total Liabilities		29,396,783
NET ASSETS	$	177,533,506
Net assets were comprised of:
Paid-in capital	$	166,153,225
Retained earnings		11,380,281
Net assets, December 31, 2011	$	177,533,506
Net asset value and redemption price per share, $177,533,506 / 14,974,377 outstanding shares of beneficial interest	$	11.86

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of $619 foreign withholding tax)	$	2,707,311
Affiliated income from securities lending, net		98,076
Affiliated dividend income		6,733
		2,812,120
EXPENSES
Management fee		1,805,739
Custodian’s fees and expenses		92,000
Audit fee		23,000
Shareholders’ reports		21,000
Trustees’ fees		12,000
Transfer agent’s fees and expenses (including affiliated expense of $5,500) (Note 4)		11,000
Legal fees and expenses		8,000
Commitment fee on syndicated credit agreement		4,000
Insurance expenses		2,000
Loan interest expense (Note 8)		1,087
Miscellaneous		10,090
Total expenses		1,989,916
NET INVESTMENT INCOME		822,204
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on investment transactions		19,724,100
Net change in unrealized appreciation (depreciation) on investments		(23,357,774	)
NET LOSS ON INVESTMENTS		(3,633,674	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(2,811,470	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	822,204		$	1,317,394
Net realized gain on investment transactions		19,724,100			16,187,070
Net change in unrealized appreciation (depreciation) on investments		(23,357,774	)		32,605,529
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(2,811,470	)		50,109,993
DISTRIBUTIONS		(1,316,520	)		(1,372,937	)
SERIES SHARE TRANSACTIONS:
Series shares sold [631,174 and 1,142,327 shares, respectively]		7,810,364			12,196,190
Series shares issued in reinvestment of distributions [107,471 and 134,866 shares, respectively]		1,316,520			1,372,937
Series shares repurchased [4,714,520 and 3,572,385 shares, respectively]		(60,179,414	)		(37,617,557	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(51,052,530	)		(24,048,430	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(55,180,520	)		24,688,626
NET ASSETS:
Beginning of year		232,714,026			208,025,400
End of year	$	177,533,506		$	232,714,026

SEE NOTES TO FINANCIAL STATEMENTS.

A22

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. On January 2, 2006, each Portfolio of the Series Fund changed its federal income tax status from a regulated investment company to a partnership. As a result of that conversion, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to four Portfolios which are listed below along with each Portfolio’s investment objective.

SP International Growth Portfolio:    Long-term growth of capital.

SP International Value Portfolio:    Long-term capital appreciation.

SP Prudential U.S. Emerging Growth Portfolio:    Long-term capital appreciation.

SP Small Cap Value Portfolio:    Long-term growth of capital.

The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.

Securities Valuation:    Securities listed on a securities exchange are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via NASDAQ are valued at the official NASDAQ closing price (“NCOP”) on the day of valuation, or if there was no NCOP, at the last sale price. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”) in consultation with the subadvisers, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange or at the last bid price in absence of an asked price. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Prices may be obtained from independent pricing services which use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities for which reliable market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Series Fund’s normal pricing time, are valued at fair value in accordance with Board of Trustees’ approved fair valuation procedures. When determining the fair value of securities, some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser

B1

regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Investments in open end, non exchange-traded mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.

Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued at amortized cost, which approximates fair value. The amortized cost method values a security at its cost at the time of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. Short-term debt securities, which mature in more than sixty days are valued at fair value.

Each Portfolio may hold up to 15% of their net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above.

Repurchase Agreements:    In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Series Fund may by delayed or limited.

Foreign Currency Translation:    The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current daily rates of exchange.

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the holding of foreign currencies, currency gains (losses) realized between the trade date and settlement date on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on investments and foreign currencies.

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts

B2

reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

Warrants and Rights:    Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Securities Lending:    Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date; interest income, which is comprised of four elements: stated coupon, original issue discount, market discount and market premium, is recorded on the accrual basis. Expenses are recorded on the accrual basis. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are attributable directly to a Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income (loss) (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

When-Issued/Delayed Delivery Securities:    Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Portfolios’ distributions are generally made on an annual basis. Distributions are recorded on the ex-date.

Estimates:    The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

B3

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Jennison Associates LLC (“Jennison”), Goldman Sachs Asset Management, L.P. (“GSAM”), LSV Asset Management (“LSV”), Marsico Capital Management LLC (“Marsico”), William Blair & Company LLC (“William Blair”), Thornburg Investment Management (“Thornburg”), and ClearBridge Advisors LLC (“ClearBridge”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rate specified below.

Portfolio	Management Fee			Effective Management Fee
SP International Growth Portfolio		0.85	%		0.85	%
SP International Value Portfolio		0.90			0.90
SP Prudential U.S. Emerging Growth Portfolio		0.60			0.60
SP Small Cap Value Portfolio		0.90			0.90

At December 31, 2011 the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:

Portfolio	Subadvisor(s)
SP International Growth Portfolio	William Blair, Marsico
SP International Value Portfolio	LSV, Thornburg
SP Prudential U.S. Emerging Growth Portfolio	Jennison
SP Small Cap Value Portfolio	GSAM, ClearBridge

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”) which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

PIMS, PI, and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Note 4: Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent fees and expenses in the Statements of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, is the Series Fund’s security lending agent. For the year ended December 31, 2011, PIM was compensated as follows for these services by the Series Fund Portfolios:

	PIM
SP International Growth Portfolio	$	10,736
SP Prudential U.S. Emerging Growth Portfolio		19,314
SP Small Cap Value Portfolio		29,417

B4

Certain Portfolios invest in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2. The Core Fund is a money market mutual fund registered under 1940 Act, as amended, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Portfolio Securities

Purchases and sales of portfolio securities, other than short-term investments and U.S. Government securities, for the year ended December 31, 2011, were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
SP International Growth Portfolio	$	134,750,858	$	211,681,303
SP International Value Portfolio		30,282,109		104,751,788
SP Prudential U.S. Emerging Growth Portfolio		91,776,668		123,796,735
SP Small Cap Value Portfolio		71,900,757		120,604,412

Note 6: Tax Information

After January 2, 2006, all Portfolios are treated as partnerships for tax purposes. The character of the cash distributions paid by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

Prior to January 2, 2006, was incorporated as of that date, qualified as a regulated investment company under the Internal Revenue Code and distributed all of its taxable income, including any net realized gains on investments, to shareholders.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolio’s tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax would be required in the Portfolio’s financial statements. The Portfolios’ federal and state income tax returns for tax years for which the applicable statues of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2011, the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios have Class II shares outstanding.

B5

Transactions in shares of beneficial interest of the SP International Growth and SP Prudential U.S. Emerging Growth Series Funds were as follows:

SP International Growth Portfolio:

Class I	Shares			Amount
Year ended December 31, 2011:
Series shares sold		1,440,458		$	7,230,093
Series shares issued in reinvestment of distributions		235,819			1,181,454
Series shares repurchased		(15,563,232	)		(83,117,046	)
Net increase (decrease) in shares outstanding		(13,886,955	)	$	(74,705,499	)
Year ended December 31, 2010:
Series shares sold		2,187,399		$	10,261,944
Series shares issued in reinvestment of distributions		577,091			2,389,158
Series shares repurchased		(6,676,025	)		(30,838,048	)
Net increase (decrease) in shares outstanding		(3,911,535	)	$	(18,186,946	)
Class II
Year ended December 31, 2011:
Series shares sold		38,157		$	180,953
Series shares issued in reinvestment of distributions		7,961			39,406
Series shares repurchased		(359,810	)		(1,754,273	)
Net increase (decrease) in shares outstanding		(313,692	)	$	(1,533,914	)
Year ended December 31, 2010:
Series shares sold		156,320		$	720,462
Series shares issued in reinvestment of distributions		29,912			122,040
Series shares repurchased		(660,258	)		(2,954,205	)
Net increase (decrease) in shares outstanding		(474,026	)	$	(2,111,703	)

SP Prudential U.S. Emerging Growth Portfolio:

Class I	Shares			Amount
Year ended December 31, 2011:
Series shares sold		1,028,266		$	8,188,427
Series shares issued in reinvestment of distributions		417,280			3,329,895
Series shares repurchased		(5,737,435	)		(45,214,307	)
Net increase (decrease) in shares outstanding		(4,291,889	)	$	(33,695,985	)
Year ended December 31, 2010:
Series shares sold		1,199,031		$	8,449,288
Series shares issued in reinvestment of distributions		119,475			802,873
Series shares issued in merger (Note 10)		12,441,912			87,093,383
Series shares repurchased		(4,501,221	)		(30,617,709	)
Net increase (decrease) in shares outstanding		9,259,197		$	65,727,835
Class II
Year ended December 31, 2011:
Series shares issued in reinvestment of distributions		436		$	3,362
Series shares repurchased		(1,605	)		(12,184	)
Net increase (decrease) in shares outstanding		(1,169	)	$	(8,822	)
Year ended December 31, 2010:
Series shares sold		198		$	1,223
Series shares issued in reinvestment of distributions		95			618
Series shares repurchased		(5,286	)		(33,368	)
Net increase (decrease) in shares outstanding		(4,993	)	$	(31,527	)

B6

Note 8: Borrowings

The Portfolios, along with other affiliated registered investment companies, was a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA was to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period December 16, 2011 through December 14, 2012. The Portfolios pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to December 16, 2011, the Portfolios had another Syndicated Credit Agreement of a $750 million commitment with an annualized commitment fee of 0.10% of the unused portion. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the line of credit during the year ended December 31, 2011. The average balance is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rate			Outstanding Borrowings at December 31, 2011
SP International Growth	$	5,090,624		33		1.46	%	$	—
SP International Value		5,867,346		26		1.46	%		—
SP Prudential U.S. Emerging Growth		274,467		15		1.48	%		—
SP Small Cap Value		2,436,091		11		1.46	%		—

Note 9: Ownership and Affiliates

As of December 31, 2011, all of Class I shares of record of each Portfolio were owned by The Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

Note 10: Reorganization

On December 7, 2009, The Board of Trustees of the Fund approved an Agreement and Plan of Reorganization (the “Plan”) which provided for the transfer of all the assets of the following portfolio for shares of the acquiring portfolio and the assumption of the liabilities of the portfolio. Shareholders approved the Plan at a meeting on March 25, 2010 and the reorganization took place on April 30, 2010.

The purpose of the transaction was to combine two Portfolios with the same Investment Manager and with substantially similar investment objectives, policies and restrictions. The Acquiring Portfolio had a lower contractual investment management fee and annualized operating expense ratio as well as stronger historical investment performance.

The acquisitions were accomplished by a tax-free exchange of the following shares on April 30, 2010:

Merged Portfolio	Shares		Acquiring Portfolio	Shares		Value
SP Mid Cap Growth Portfolio		17,418,677	SP Prudential U.S. Emerging Growth Portfolio		12,441,912	$	87,093,383

For financial reporting purposes, assets received and shares issued by the SP Prudential U.S. Emerging Growth Portfolio were recorded at fair value; however, the cost basis of the investments received from the SP Mid Cap Growth Portfolio was carried forward to reflect the tax-free status of the acquisition. The net assets and net unrealized depreciation immediately before the acquisition were as follows:

Merged Portfolio	Net Assets		Unrealized Appreciation		Acquiring Portfolio	Net Assets
SP Mid Cap Growth Portfolio	$	87,093,383	$	20,508,236	SP Prudential U.S. Emerging Growth Portfolio	$	150,463,756

B7

Assuming the acquisition had been completed on January 1, 2010, the SP Prudential U.S. Emerging Growth Portfolio’s results of operations for the year ended December 31, 2010 were as follows:

Net investment income	$	1,150,672	(a)
Net realized and unrealized gain on investments		42,736,685	(b)
	$	43,887,357

(a) $1,360,578 as reported in the Statement of Operations, plus $(267,235) Net Investment Loss from SP Mid Cap Growth Portfolio pre-merger, plus $57,329 of pro-forma eliminated expenses.

(b) $33,864,919 as reported in the Statement of Operations, plus $8,871,766 Net Realized and Unrealized Gain on Investments from SP Mid Cap Growth Portfolio pre-merger.

Because both the SP Prudential U.S. Emerging Growth Portfolio and SP Mid Cap Growth Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisitions were completed, it is also not practicable to separate the amounts of revenue and earnings of the SP Mid Cap Growth Portfolio that have been included in SP Prudential U.S. Emerging Growth Portfolio’s Statement of Operations since April 30, 2010.

Note 11: New Accounting Pronouncement

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective control for Repurchase Agreements”. The objective of ASU 2011-03 is to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. Under previous guidance, whether or not to account for a transaction as a sale was based on, in part, if the entity maintained effective control over the transferred financial assets. ASU 2011-03 removes the transferor’s ability criterion from the effective control assessment. This guidance is effective prospectively for interim and annual reporting periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-03 and its impact on the financial statements has not been determined.

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined.

B8

Financial Highlights

	SP International Growth Portfolio
	Class I
	Year Ended December 31,
	2011(c)			2010(c)			2009(c)			2008			2007(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	5.19		$	4.63		$	3.45		$	8.52		$	8.30
Income (Loss) From Investment Operations:
Net investment income		.02			.04			.05			.10			.10
Net realized and unrealized gain (loss) on investments		(.79	)		.59			1.22			(3.74	)		1.50
Total from investment operations		(.77	)		.63			1.27			(3.64	)		1.60
Less Distributions:		(.06	)		(.07	)		(.09	)		(1.43	)		(1.38	)
Net Asset Value, end of year	$	4.36		$	5.19		$	4.63		$	3.45		$	8.52
Total Return(a)		(14.91	)%		14.01	%		37.15	%		(50.30	)%		19.55	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	75.5		$	162.1		$	162.5		$	207.5		$	500.0
Ratios to average net assets(b):
Expenses		1.21	%		1.10	%		.99	%		.99	%		.94	%
Net investment income		.47	%		.77	%		1.18	%		1.36	%		1.14	%
Portfolio turnover rate		118	%		141	%		89	%		101	%		81	%

	SP International Growth Portfolio
	Class II
	Year Ended December 31,
	2011(c)			2010(c)			2009(c)			2008			2007(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	5.10		$	4.54		$	3.37		$	8.36		$	8.17
Income (Loss) From Investment Operations:
Net investment income (loss)		—	(d)		.02			.03			.07			.07
Net realized and unrealized gain (loss) on investments		(.78	)		.59			1.19			(3.65	)		1.47
Total from investment operations		(.78	)		.61			1.22			(3.58	)		1.54
Less Distributions:		(.02	)		(.05	)		(.05	)		(1.41	)		(1.35	)
Net Asset Value, end of year	$	4.30		$	5.10		$	4.54		$	3.37		$	8.36
Total Return(a)		(15.32	)%		13.81	%		36.44	%		(50.49	)%		19.12	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	7.2		$	10.1		$	11.1		$	9.4		$	31.5
Ratios to average net assets(b):
Expenses		1.61	%		1.50	%		1.39	%		1.39	%		1.34	%
Net investment income (loss)		(.09	)%		.39	%		.70	%		1.10	%		.70	%
Portfolio turnover rate		118	%		141	%		89	%		101	%		81	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolio in which the Portfolio invests.

(c) Calculation based on average shares outstanding during the year.

(d) Less than $.005.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

	SP International Value Portfolio
	Year Ended December 31,
	2011			2010			2009			2008(c)			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	6.87		$	6.35		$	4.95		$	10.63		$	11.40
Income (Loss) From Investment Operations:
Net investment income		.20			.12			.14			.18			.24
Net realized and unrealized gain (loss) on investments		(1.07	)		.54			1.43			(4.27	)		1.79
Total from investment operations		(.87	)		.66			1.57			(4.09	)		2.03
Less Distributions:		(.17	)		(.14	)		(.17	)		(1.59	)		(2.80	)
Net Asset Value, end of year	$	5.83		$	6.87		$	6.35		$	4.95		$	10.63
Total Return(a)		(13.10	)%		10.81	%		32.35	%		(44.06	)%		18.08	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	122.8		$	211.5		$	203.3		$	238.5		$	493.6
Ratios to average net assets(b):
Expenses		1.10	%		1.05	%		1.03	%		1.02	%		.99	%
Net investment income		2.02	%		1.76	%		1.82	%		2.32	%		1.80	%
Portfolio turnover rate		19	%		25	%		67	%		34	%		46	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolio in which the Portfolio invests.

(c) Calculated based upon average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

	SP Prudential U.S. Emerging Growth Portfolio
	Class I
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	7.74		$	6.45		$	4.58		$	8.41		$	7.99
Income (Loss) From Investment Operations:
Net investment income		.04			.03			.04			.04			.02
Net realized and unrealized gain (loss) on investments		.13			1.28			1.87			(2.64	)		1.31
Total from investment operations		.17			1.31			1.91			(2.60	)		1.33
Less Distributions		(.11	)		(.02	)		(.04	)		(1.23	)		(.91	)
Net Asset Value, end of year	$	7.80		$	7.74		$	6.45		$	4.58		$	8.41
Total Return(a)		2.22	%		20.43	%		41.89	%		(36.23	)%		16.82	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	210.8		$	242.4		$	142.3		$	112.3		$	205.8
Ratios to average net assets(b):
Expenses		.64	%		.70	%		.71	%		.68	%		.65	%
Net investment income		.39	%		.69	%		.66	%		.55	%		.24	%
Portfolio turnover rate		40	%		73	%		50	%		59	%		54	%

	SP Prudential U.S. Emerging Growth Portfolio
	Class II
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	7.48		$	6.25		$	4.44		$	8.17		$	7.79
Income (Loss) From Investment Operations:
Net investment income (loss)		—	(c)		.01			.01			.01			(.01	)
Net realized and unrealized gain (loss) on investments		.13			1.24			1.81			(2.53	)		1.27
Total from investment operations		.13			1.25			1.82			(2.52	)		1.26
Less Distributions		(.08	)		(.02	)		(.01	)		(1.21	)		(.88	)
Net Asset Value, end of year	$	7.53		$	7.48		$	6.25		$	4.44		$	8.17
Total Return(a)		1.77	%		19.96	%		41.14	%		(36.24	)%		16.34	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	.3		$	.3		$	.3		$	.2		$	.4
Ratios to average net assets(b):
Expenses		1.04	%		1.10	%		1.11	%		1.08	%		1.05	%
Net investment income (loss)		(.01	)%		.24	%		.25	%		.15	%		(.16	)%
Portfolio turnover rate		40	%		73	%		50	%		59	%		54	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c) Less than $0.005 per share.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

	SP Small Cap Value Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	12.28		$	9.79		$	7.60		$	12.22		$	13.68
Income (Loss) From Investment Operations:
Net investment income		.07			.07			.07			.12			.13
Net realized and unrealized gain (loss) on investments		(.41	)		2.49			2.24			(3.47	)		(.64	)
Total from investment operations		(.34	)		2.56			2.31			(3.35	)		(.51	)
Less Distributions:		(.08	)		(.07	)		(.12	)		(1.27	)		(.95	)
Net Asset Value, end of year	$	11.86		$	12.28		$	9.79		$	7.60		$	12.22
Total Return(a)		(2.77	)%		26.27	%		30.80	%		(30.50	)%		(3.63	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	177.5		$	232.7		$	208.0		$	202.2		$	309.4
Ratios to average net assets(b):
Expenses		.99	%		1.00	%		1.00	%		.98	%		.96	%
Net investment income		.41	%		.62	%		.70	%		1.17	%		.81	%
Portfolio turnover rate		36	%		39	%		52	%		56	%		45	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolio in which the Portfolio invests.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of the SP International Growth Portfolio, SP International Value Portfolio, SP Prudential U.S. Emerging Growth Portfolio, and SP Small Cap Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the portfolios of investments, as of December 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2011, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

New York, New York

February 17, 2012

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act.

Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Susan Davenport Austin (44) No. of Portfolios Overseen: 84	Senior Vice President and Chief Financial Officer (Since 2007) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None
Saul K. Fenster, Ph.D. (78) No. of Portfolios Overseen: 84	President Emeritus of New Jersey Institute of Technology (since 2002); formerly President (1978-2002) of New Jersey Institute of Technology; Commissioner (1998-2002) of the Middle States Association Commission on Higher Education; Commissioner (1985-2002) of the New Jersey Commission on Science and Technology; formerly Director (1998-2005) of Society of Manufacturing Engineering Education Foundation; formerly Director of Prosperity New Jersey; formerly a director or trustee of Liberty Science Center, Research and Development Council of New Jersey, New Jersey State Chamber of Commerce, and National Action Council for Minorities in Engineering.	Formerly Director (2000-2006) of IDT Corporation.
Delayne Dedrick Gold (73) No. of Portfolios Overseen: 84	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None
W. Scott McDonald, Jr., Ph.D. (74) No. of Portfolios Overseen: 84	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None
Thomas T. Mooney (70) No. of Portfolios Overseen: 84	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007) formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None
Thomas M. O’Brien (61) No. of Portfolios Overseen: 84	President and COO (since November 2006) and CEO (since April 2007) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Director (since April 2008) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (since November 2006) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.
F. Don Schwartz (76) No. of Portfolios Overseen: 84	Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute.	None.

E1

Interested Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Stephen Pelletier (58) No. of Portfolios Overseen: 84	President of Prudential Annuities (since September 2008); Chairman and CEO, International Investments, Prudential Financial (since January 1998).	None
Robert F. Gunia (65) No. of Portfolios Overseen: 84	Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (since May 1989) of The Asia Pacific Fund, Inc.
Timothy S. Cronin (46) Number of Portfolios Overseen: 84	Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005).	None.

⁽¹⁾ The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Timothy S. Cronin, 2011; Saul K. Fenster, 1983; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Stephen Pelletier, 2011; F. Don Schwartz, 2003.

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Kathryn L. Quirk (59) Chief Legal Officer	Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.
Deborah A. Docs (54) Secretary	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain (53) Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo (37) Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).
John P. Schwartz (40) Assistant Secretary	Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1997-2005).
Andrew R. French (49) Assistant Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Timothy J. Knierim (53) Chief Compliance Officer	Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007).
Valerie M. Simpson (53) Deputy Chief Compliance Officer	Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (49) Deputy Chief Compliance Officer	Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001 - 2004).
Richard W. Kinville (43) Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ).
Grace C. Torres (52) Treasurer and Principal Financial and Accounting Officer	Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.

E2

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
M. Sadiq Peshimam (48) Assistant Treasurer	Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (53) Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Alan Fu (55) Assistant Treasurer	Vice President and Corporate Counsel - Tax, Prudential Financial, Inc. (since October 2003).

^(a) Excludes Mr. Pelletier and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.

⁽¹⁾ The year in which each individual became an Officer of the Fund is as follows: Kathryn L. Quirk, 2005; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; John P. Schwartz, 2006; Andrew R. French, 2006; Timothy J. Knierim, 2007; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006; Richard W. Kinville, 2011.

Explanatory Notes to Tables:

Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Stephen Pelletier and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.

Unless otherwise noted, the address of all Trustees and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.

There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.

“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust and Prudential’s Gibraltar Fund, Inc.

E3

Board Consideration of New Subadvisory Agreement: SP International Growth Portfolio:

The Boards of Trustees of The Prudential Series Fund (the “Trust”) consists of ten (10) individuals, seven (7) of whom are Independent Trustees. The SP International Growth Portfolio (the “Portfolio”) is a series of the Trust. The Board of Trustees is responsible for the oversight of the Portfolio and its operations, and performs the various duties imposed on the trustees of investment companies by the Investment Company Act of 1940, as amended (the “1940 Act”). The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chairman of each Board of Trustees is an Independent Trustee. The Boards of Trustees have established four standing committees in connection with the governance of the Trust: the Audit Committee, the Governance Committee, the Compliance Committee, and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Board Consideration of New Subadvisory Agreement

At an in-person meeting of the Board held on December 7, 2011, at which all of the Trustees of the Trust were in attendance, including all of the Independent Trustees, the Board approved, based upon the recommendation of Prudential Investments LLC (the “Manager”) a new subadvisory agreement between Jennison Associates LLC (“Jennison”) and the Manager. The Board of Trustees also approved submitting the new subadvisory agreement (the “New Subadvisory Agreement”) to Portfolio shareholders for their approval. Before approving the New Subadvisory Agreement, the Trustees reviewed investment performance and organizational materials regarding Jennison and its proposed portfolio management team and received a formal presentation from the Manager.

At the meeting, the Board received and considered a presentation by the Manager that detailed the reasons why it recommended that the Board appoint Jennison as an additional subadviser for the Portfolio. The Manager recommended that the Board approve a new agreement with Jennison to assume responsibility for managing a portion of the Portfolio’s assets. In approving the agreement, the Trustees, including the Independent Trustees advised by independent legal counsel, considered the factors they deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of the Manager and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Portfolio and its shareholders.

Nature, quality and extent of services

The Board received and considered information regarding the nature and extent of services provided to the Portfolio by Marsico and William Blair (the Portfolio’s existing subadvisers) under the current subadvisory agreements and those that would be provided by Jennison under the New Subadvisory Agreement, noting that the nature and extent of services under the existing and new agreements were generally similar in that Marsico, William Blair and Jennison were each required to provide day-to-day portfolio management services and comply with all Portfolio policies and applicable rules and regulations.

With respect to the quality of services, the Board considered, among other things, the background and experience of the Jennison management team. The Board met with representatives from Jennison and reviewed the qualifications, backgrounds and responsibilities of the portfolio managers who would be responsible for the day-to-day management of the Portfolio. The Board was also provided with information pertaining to the organizational structure, senior management, investment operations, and other relevant information pertaining to Jennison. The Board noted that because Jennison already provided subadvisory services to several other portfolios of the Trust, it was generally familiar with Jennison’s organizational, compliance and management structure. The Board noted that it received a favorable report from the Chief Compliance Officer of the Trust regarding Jennison’s compliance policies and procedures.

The Board concluded that it was satisfied with the nature, extent and quality of the investment subadvisory services anticipated to be provided to the Portfolio by Jennison and that there was a reasonable basis on which to conclude that the Portfolio would benefit from the subadvisory services to be provided by Jennison under the new subadvisory agreement.

Performance

The Board received and considered information regarding the performance of other Trust portfolios managed by Jennison, and other accounts managed by the Jennison portfolio managers that used international growth investment strategies. The Board concluded that it was satisfied with these performance records.

Investment Subadvisory Fee Rate

The Board considered the proposed subadvisory fee rate payable by the Manager to Jennison under the proposed New Subadvisory Agreement. Based on the recent asset levels for the Portfolio, the Board noted that the effective subadvisory fee rate to be paid to Jennison under the proposed subadvisory arrangements were lower than the effective subadvisory fee rate paid to Marsico, but higher than the effective subadvisory fee rate paid to William Blair under the current subadvisory arrangements. The Board also noted that the Manager pays the subadvisory fees, and therefore any change in the proposed subadvisory fee rates would not have any impact on the amount of fees paid by the Portfolio. The Board indicated that the net investment management fees to be retained by the Manager under the proposed subadvisory arrangements would be reviewed in connection with future annual reviews of the Trust’s advisory agreements. Overall, the Board concluded that the proposed subadvisory fee rate under the New Subadvisory Agreement was reasonable.

Profitability

Because the engagement of Jennison with respect to the Portfolio was new, there is no historical profitability with regard to the proposed subadvisory arrangements with the Portfolio. As a result, the Board did not consider this factor. The Board noted that profitability would be reviewed annually in connection with any proposed future renewal of the Trust’s investment management agreements or the subadvisory agreement for the Portfolio.

Economies of Scale

The Board noted that the proposed subadvisory fee schedule for the Portfolio contained breakpoints that reduce the fee rate on assets above specified levels. The Board also noted that it would consider economies of scale in connection with the annual approval review of advisory agreements.

Other Benefits to the Subadviser or its Affiliates from Serving as Subadviser

The Board considered potential ancillary benefits that might be received by Jennison and its affiliates as a result of its relationships with the Portfolio. The Board concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, brokerage commissions received by affiliates of Jennison, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to Jennison’s reputation. The Board concluded that the benefits to be derived by Jennison were consistent with the types of benefits generally derived by subadvisers to mutual funds.

Conclusion

After full consideration of these factors, the Board concluded that the approval of the New Subadvisory Agreement was in the best interests of the Portfolio and its shareholders and recommended that shareholders of the Portfolio vote to approve the New Subadvisory Agreement.*

* Note: A shareholder meeting to consider the New Subadvisory Agreement is scheduled for March 15, 2012.

Annuities are issued by Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992, and Prudential Annuities Life Assurance Corporation, located at One Corporate Drive, Shelton, CT, 06484. Variable annuities are distributed by Prudential Annuities Distributors, Inc., also located in Shelton, CT. Prudential Annuities is a business unit of Prudential Financial.

Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.

All are Prudential Financial companies, and each is solely responsible for its financial condition and contractual obligations.

Life insurance and annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (888)778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.

Prudential Investments, Prudential, the Prudential logo, and the Rock symbol are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

To learn more about Prudential Financial, go to www.prudential.com, or scan the code below.

0172280-00003-00    PSF-AR-B    

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT Ÿ DECEMBER 31, 2011

Jennison 20/20 Focus Portfolio

This report is one of several that provides financial information about certain investment choices available under variable life insurance and variable annuity contracts. Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable life insurance or variable annuity contract prospectus to determine which portfolios are available to you.

Please note that this document may include prospectus supplements that are separate from and not a part of the annual report.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life or annuity contract. The prospectuses contain information on the investment objectives, risks, and charges and expenses of the portfolios, and the contract and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable annuity contracts should call (888)778-2888, and owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone numbers referenced above, for variable annuity and variable life insurance contract owners.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (888)778-2888.

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.

The Prudential Series Fund Table of Contents Annual Report December 31, 2011

n LETTER TO CONTRACT OWNERS

n MANAGEMENT REVIEW

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

The Prudential Series Fund Letter to Contract Owners Annual Report December 31, 2011

n DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

Stephen Pelletier

President,

The Prudential Series Fund January 31, 2012

PRESIDENT

STEPHEN PELLETIER

The Prudential Series Fund, Jennison 20/20 Focus Portfolio December 31, 2011

Investment Manager’s Report - As of December 31, 2011

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		-4.17	%		1.88	%		5.91	%
Portfolio: Class II		-4.51			1.49			5.49
Russell 1000® Index		1.50			-0.02			3.34
S&P 500 Index		2.09			-0.25			2.92

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The Russell 1000^® Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such

$10,000 INVESTED OVER 10 YEARS

fee waivers and/or expense reimbursements, total returns would be lower.

For the year ended December 31, 2011, The Jennison 20/20 Focus Portfolio Class I shares declined by 4.17% and Class II shares declined by 4.51%.

The Portfolio is subadvised by Jennison Associates LLC (Jennison). The Portfolio’s investment objective is long-term growth of capital. The Jennison 20/20 Focus Portfolio is concentrated, holding up to 45 stocks, consisting of approximately 20 growth and 20 value stocks. The key component of the investment philosophy is portfolio construction through a bottom-up stock selection process. In a concentrated portfolio, prudent stock selection is especially important. The portfolio managers purchase stocks in which they have a high level of conviction for outperformance in the intermediate and long term, with limited downside potential in the short term.

The Portfolio underperformed the S&P 500 Index during the year.

The Growth segment trailed the return of the Russell 1000 Growth Index and the S&P 500 largely due to stock selection in energy, information technology, and financials. In energy, oil services company Schlumberger was adversely affected by falling energy prices, though it continues to develop new products and technologies. It provides dominant market share in what Jennison considers important long-term growth markets.

Stock selection and an underweight position in healthcare was also a source of relative weakness, driven mostly by Express Scripts. Other key detractors were found in the information technology sector and included Salesforce.com, Oracle, and EMC Corp. The Portfolio’s industrials positions added to relative gains, led by Precision Castparts. Its shares rose on an improved outlook for its industrial gas turbine operations and solid growth in its investment cast products and forged products aerospace business.

Despite relative weakness in the sector, information technology positions Apple and Baidu were notable contributors, while consumer discretionary stock Starbucks also enjoyed outsized gains.

The Value segment trailed the Russell 1000 Value Index. In Jennison’s view, investors’ desire for perceived safety, rather than a focus on fundamentals, was rewarded as macro-economic concerns appeared to take precedence. Stock selection hindered results in the materials, energy and information technology sectors, while it helped performance relative to the Russell 1000 Value Index in financials.

General Motors was the largest detractor from performance due to its oversized pension liability relative to its market capitalization, and the fact that low interest rates make the pension liability even higher. Given the deteriorating situation in Europe, consumers are increasingly wary of buying expensive discretionary goods, which also weighed on share price. Nevertheless, Jennison continues to view General Motors as attractively valued, given the company’s strong balance sheet and track record of capital management.

Materials holdings Freeport-McMoRan Copper & Gold and Mosaic Co. also experienced large declines, while Flextronics International from the information technology sector also detracted. Consumer stocks — staples and discretionary — dominated positive contributors and included H&R Block, Tyson Foods, Kraft Foods, and Viacom. Shares of H&R Block appreciated considerably earlier this year, primarily on solid trends during tax season.

The Portfolio no longer holds positions in Express Scripts and EMC Corp.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

¹  The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares.

Russell 1000^® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

Jennison Associates LLC is a registered investment advisor and a Prudential Financial company

The Prudential Series Fund Presentation of Portfolio Holdings — unaudited December 31, 2011

Jennison 20/20 Focus
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	4.4%
Precision Castparts Corp.	3.1%
Anadarko Petroleum Corp.	3.0%
Mosaic Co. (The)	2.9%
International Game Technology	2.9%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors/Industries are subject to change.

The Prudential Series Fund Fees and Expenses — unaudited December 31, 2011

As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2011 through December 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2011		Ending Account Value December 31, 2011		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Jennison 20/20 Focus (Class I)	Actual	$	1,000.00	$	904.10		0.81	%	$	3.89
	Hypothetical	$	1,000.00	$	1,021.12		0.81	%	$	4.13
Jennison 20/20 Focus (Class II)	Actual	$	1,000.00	$	902.50		1.21	%	$	5.80
	Hypothetical	$	1,000.00	$	1,019.11		1.21	%	$	6.16

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2011, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2011 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	JENNISON 20/20 FOCUS PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2011

LONG-TERM INVESTMENTS — 97.1%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 3.1%
Precision Castparts Corp.		84,161	$	13,868,891
Auto Components — 2.7%
Lear Corp.		304,256		12,109,389
Automobiles — 2.1%
General Motors Co.*(a)		455,340		9,229,742
Biotechnology — 2.2%
Celgene Corp.*		145,773		9,854,255
Chemicals — 5.3%
Monsanto Co.		148,471		10,403,363
Mosaic Co. (The)		256,342		12,927,327
				23,330,690
Communications Equipment — 1.9%
QUALCOMM, Inc.		155,491		8,505,358
Computers & Peripherals — 4.4%
Apple, Inc.*		48,121		19,489,005
Electronic Equipment & Instruments — 2.4%
Flextronics International Ltd.*		1,903,259		10,772,446
Energy Equipment & Services — 3.8%
National Oilwell Varco, Inc.		123,511		8,397,513
Schlumberger Ltd.		122,836		8,390,927
				16,788,440
Food Products — 8.1%
Bunge Ltd.		204,655		11,706,266
Kraft Foods, Inc. (Class A Stock)		328,773		12,282,959
Tyson Foods, Inc. (Class A Stock)		576,832		11,905,813
				35,895,038
Hotels, Restaurants & Leisure — 5.4%
International Game Technology		732,328		12,596,042
Starbucks Corp.		243,721		11,213,603
				23,809,645
Insurance — 2.6%
MetLife, Inc.		372,768		11,622,906
Internet & Catalog Retail — 2.5%
Amazon.com, Inc.*		62,832		10,876,219
Internet Software & Services — 5.1%
Baidu, Inc. (China), ADR*		84,402		9,830,301
Google, Inc. (Class A Stock)*		19,366		12,508,499
				22,338,800
IT Services — 2.0%
Mastercard, Inc. (Class A Stock)		23,325		8,696,027
Media — 7.5%
Comcast Corp. (Class A Stock)		463,060		10,979,153
Liberty Global, Inc., Ser. C*		269,875		10,665,460
Viacom, Inc. (Class B Stock)		254,233		11,544,720
				33,189,333
Metals & Mining — 5.0%
Freeport-McMoRan Copper & Gold, Inc.		301,681		11,098,844
Goldcorp, Inc.		242,868		10,746,909
				21,845,753

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels — 8.0%
Anadarko Petroleum Corp.		174,859	$	13,346,988
Southwestern Energy Co.*		310,326		9,911,812
Suncor Energy, Inc.		416,296		12,001,814
				35,260,614
Personal Products — 2.4%
Estee Lauder Cos., Inc. (The) (Class A Stock)		95,112		10,682,980
Pharmaceuticals — 4.9%
Allergan, Inc.		123,307		10,818,956
Shire PLC (Ireland), ADR		101,927		10,590,215
				21,409,171
Software — 4.1%
Oracle Corp.		376,158		9,648,453
Salesforce.com, Inc.*		83,503		8,472,214
				18,120,667
Specialty Retail — 2.6%
Staples, Inc.		822,369		11,422,705
Textiles, Apparel & Luxury Goods — 3.6%
Lululemon Athletica, Inc.*(a)		163,118		7,611,086
Ralph Lauren Corp.		61,413		8,479,907
				16,090,993
Wireless Telecommunication Services — 5.4%
American Tower Corp.		140,044		8,404,040
MetroPCS Communications, Inc.*		1,147,727		9,962,270
NII Holdings, Inc.*		251,708		5,361,381
				23,727,691
TOTAL LONG-TERM INVESTMENTS (cost $373,710,685)				428,936,758
SHORT-TERM INVESTMENT — 6.2%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $27,507,632; includes $14,222,457 of cash collateral received for securities on loan)(Note 4)(b)(c)		27,507,632		27,507,632
TOTAL INVESTMENTS — 103.3% (cost $401,218,317)				456,444,390
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.3)%				(14,708,774	)
NET ASSETS — 100.0%			$	441,735,616

The following abbreviation is used in portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $13,862,452; cash collateral of $14,222,457 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

SEE NOTES TO FINANCIAL STATEMENTS.

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	JENNISON 20/20 FOCUS PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2011

(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(c) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in the three broad levels listed below.

Level 1— quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2— other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	428,936,758	$	—	$	—
Affiliated Money Market Mutual Fund		27,507,632		—		—
Total	$	456,444,390	$	—	$	—

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:

Food Products	8.1	%
Oil, Gas & Consumable Fuels	8.0
Media	7.5
Affiliated Money Market Mutual Fund (including 3.2% of collateral received from securities on loan)	6.2
Hotels, Restaurants & Leisure	5.4
Wireless Telecommunication Services	5.4
Chemicals	5.3
Internet Software & Services	5.1
Metals & Mining	5.0
Pharmaceuticals	4.9
Computers & Peripherals	4.4
Software	4.1
Energy Equipment & Services	3.8
Textiles, Apparel & Luxury Goods	3.6
Aerospace & Defense	3.1
Auto Components	2.7
Insurance	2.6
Specialty Retail	2.6
Internet & Catalog Retail	2.5
Electronic Equipment & Instruments	2.4
Personal Products	2.4
Biotechnology	2.2
Automobiles	2.1
IT Services	2.0
Communications Equipment	1.9
	103.3
Liabilities in excess of other assets	(3.3	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

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JENNISON 20/20 FOCUS PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011

ASSETS
Investments, at value including securities on loan of $13,862,452:
Unaffiliated investments (cost $373,710,685)	$	428,936,758
Affiliated investments (cost $27,507,632)		27,507,632
Cash		117,031
Dividends and interest receivable		383,620
Receivable for Series shares sold		169,298
Foreign tax reclaim receivable		40,376
Prepaid expenses		3,534
Total Assets		457,158,249
LIABILITIES
Collateral for securities on loan		14,222,457
Payable for investments purchased		627,870
Management fee payable		282,059
Payable for Series shares repurchased		94,546
Distribution fee payable		81,425
Administration fee payable		48,855
Accrued expenses and other liabilities		64,495
Affiliated transfer agent fee payable		926
Total Liabilities		15,422,633
NET ASSETS	$	441,735,616
Net assets were comprised of:
Paid-in capital	$	370,992,924
Retained earnings		70,742,692
Net assets, December 31, 2011	$	441,735,616
Class I:
Net asset value and redemption price per share, $58,745,982 / 3,944,024 outstanding shares of beneficial interest	$	14.89
Class II:
Net asset value and redemption price per share, $382,989,634 / 26,192,350 outstanding shares of beneficial interest	$	14.62

STATEMENT OF OPERATIONS

Year Ended December 31, 2011

INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $17,954)	$	5,225,977
Affiliated income from securities loaned, net		32,931
Affiliated dividend income		27,777
		5,286,685
EXPENSES
Management fee		3,820,151
Distribution fee—Class II		1,110,537
Administration fee—Class II		666,323
Shareholders' reports		105,000
Custodian's fees and expenses		60,000
Audit fee		19,000
Trustees' fees		15,000
Transfer agent's fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Legal fees and expenses		9,000
Insurance expenses		5,000
Commitment fee on syndicated credit agreement		4,000
Loan interest expense (Note 8)		204
Miscellaneous		12,226
Total expenses		5,838,441
NET INVESTMENT LOSS		(551,756	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		49,185,600
Foreign currency transactions		93
		49,185,693
Net change in unrealized appreciation (depreciation) on:
Investments		(62,861,003	)
Foreign currencies		(220	)
		(62,861,223	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(13,675,530	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(14,227,286	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	(551,756	)	$	53,554
Net realized gain on investments and foreign currency transactions		49,185,693			34,547,946
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(62,861,223	)		21,264,852
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(14,227,286	)		55,866,352
DISTRIBUTIONS:
Class I		(53,655	)		—
Class II		—			—
TOTAL DISTRIBUTIONS		(53,655	)		—
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		121,911,715			229,942,326
Series shares issued in reinvestment of distributions		53,655			—
Series shares repurchased		(208,992,204	)		(98,141,605	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(87,026,834	)		131,800,721
TOTAL INCREASE (DECREASE) IN NET ASSETS		(101,307,775	)		187,667,073
NET ASSETS:
Beginning of year		543,043,391			355,376,318
End of year	$	441,735,616		$	543,043,391

SEE NOTES TO FINANCIAL STATEMENTS.

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NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. On January 2, 2006, each Portfolio of the Series Fund changed its federal income tax status from a regulated investment company to a partnership. As a result of that conversion, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to Jennison 20/20 Focus Portfolio.

The Portfolio’s investment objective is long-term growth of capital.

The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolio to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolio in preparation of its financial statements.

Securities Valuation:    Securities listed on a securities exchange (other than options on securities and indices) are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via NASDAQ are valued at the NASDAQ official closing price (“NOCP”) on the day of valuation, or if there was no NOCP, at the last sale price. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”) in consultation with the subadviser, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange, or at the last bid price in the absence of an asked price. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Prices may be obtained from independent pricing services which use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities for which reliable market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Series Fund’s normal pricing time, are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures. When determining the fair valuation of securities, some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Investments in open-end, non exchange-traded mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.

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Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued at amortized cost, which approximates fair value. The amortized cost method values a security at its cost at the time of purchase and thereafter assumes a constant amortization to maturity of the difference between the principal amount due at maturity and cost. Short-term debt securities which mature in more than sixty days are valued at fair value.

Foreign Currency Translation:    The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange.

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or losses from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) foreign currencies.

Securities Lending:    The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loan securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, which is comprised of four elements: stated coupon, original issue discount, market discount and market premium, is recorded on the accrual basis. Expenses are recorded on the accrual basis. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are attributable directly to a Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. Federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

B2

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Jennison 20/20 Focus Portfolio makes distributions, if any, at least annually. Distributions are recorded on the ex-date.

Estimates:    The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolio bears all other costs and expenses.

The management fee paid to PI is computed daily and payable monthly at an annual rate of .75% of the Portfolio’s average daily net assets.

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of .25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of .15% of the average daily net assets of the Class II shares.

PIMS, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Note 4: Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

Prudential Investment Management, Inc. (“PIM”) an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s security lending agent. For the year ended December 31, 2011, PIM was compensated $9,824 for these services by the Jennison 20/20 Focus Portfolio.

The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, as amended, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2011 were $414,045,310 and $510,582,824, respectively.

Note 6: Tax Information

After January 2, 2006, all Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After

B3

each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

Prior to January 2, 2006, each Portfolio, which was incorporated as of that date, qualified as a regulated investment company under the Internal Revenue Code and distributed all of its taxable income, including any net realized gains on investments, to shareholders.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.

Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:

Class I	Shares			Amount
Year ended December 31, 2011:
Series shares sold		369,922		$	5,796,412
Series shares issued in reinvestment of distributions		3,407			53,655
Series shares repurchased		(730,650	)		(11,394,573	)
Net increase (decrease) in shares outstanding.		(357,321	)	$	(5,544,506	)
Year ended December 31, 2010:
Series shares sold		292,710		$	4,148,442
Series shares repurchased		(883,082	)		(12,391,656	)
Net increase (decrease) in shares outstanding.		(590,372	)	$	(8,243,214	)
Class II
Year ended December 31, 2011:
Series shares sold		7,525,972		$	116,115,303
Series shares repurchased		(12,435,137	)		(197,597,631	)
Net increase (decrease) in shares outstanding.		(4,909,165	)	$	(81,482,328	)
Year ended December 31, 2010:
Series shares sold		17,285,111		$	225,793,884
Series shares repurchased		(6,166,456	)		(85,749,949	)
Net increase (decrease) in shares outstanding.		11,118,655		$	140,043,935

Note 8: Borrowings

The Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period December 16, 2011 through December 14, 2012. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to December 16, 2011, the Funds had

B4

another Syndicated Credit Agreement of $750 million commitment with an annualized commitment fee of 0.10% of the unused portion. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The Portfolio utilized the SCA during the year ended December 31, 2011. The average daily balance for the 10 days that the Portfolio had loans outstanding during the year was $503,400, borrowed at a weighted average interest rate of 1.46%. At December 31, 2011, the Portfolio did not have an outstanding loan amount.

Note 9: Ownership and Affiliates

As of December 31, 2011, all of Class I shares of the Portfolio were owned of record by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

Note 10: New Accounting Pronouncements

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective control for Repurchase Agreements”. The objective of ASU 2011-03 is to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. Under previous guidance, whether or not to account for a transaction as a sale was based on, in part, if the entity maintained effective control over the transferred financial assets. ASU 2011-03 removes the transferor’s ability criterion from the effective control assessment. This guidance is effective prospectively for interim and annual reporting periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-03 and its impact on the financial statements has not been determined.

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined.

B5

Financial Highlights

	Class I
	Year Ended December 31,
	2011(c)			2010(c)			2009			2008			2007(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.55		$	14.42		$	9.18		$	15.99		$	16.01
Income (Loss) From Investment Operations:
Net investment income		.04			.05			.03			.06			.07
Net realized and unrealized gain (loss) on investments		(.69	)		1.08			5.26			(5.94	)		1.63
Total from investment operations		(.65	)		1.13			5.29			(5.88	)		1.70
Less Distributions:		(.01	)		—			(.05	)		(.93	)		(1.72	)
Net Asset Value, end of year	$	14.89		$	15.55		$	14.42		$	9.18		$	15.99
Total Return(a):		(4.17	)%		7.84	%		57.83	%		(39.15	)%		10.59	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	58.7		$	66.8		$	70.5		$	46.7		$	86.6
Ratios to average net assets(b):
Expenses		.80	%		.80	%		.81	%		.82	%		.82	%
Net investment income		.24	%		.36	%		.27	%		.41	%		.41	%
Portfolio turnover rate		83	%		112	%		106	%		125	%		115	%

	Class II
	Year Ended December 31,
	2011(c)			2010(c)			2009			2008			2007(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.31		$	14.25		$	9.06		$	15.78		$	15.81
Income (Loss) From Investment Operations:
Net investment loss		(.03	)		(.01	)		(.01	)		—	(d)		—	(d)
Net realized and unrealized gain (loss) on investments		(.66	)		1.07			5.20			(5.87	)		1.60
Total from investment operations		(.69	)		1.06			5.19			(5.87	)		1.60
Less Distributions:		—			—			—	(d)		(.85	)		(1.63	)
Net Asset Value, end of year	$	14.62		$	15.31		$	14.25		$	9.06		$	15.78
Total Return(a):		(4.51	)%		7.44	%		57.29	%		(39.40	)%		10.12	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	383.0		$	476.2		$	284.9		$	156.3		$	293.3
Ratios to average net assets(b):
Expenses		1.20	%		1.20	%		1.21	%		1.22	%		1.22	%
Net investment loss		(.16	)%		(.05	)%		(.13	)%		—	%(e)		—	%(e)
Portfolio turnover rate		83	%		112	%		106	%		125	%		115	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c) Calculated based upon average shares outstanding

(d) Less Than $0.005 per share.

(e) Less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statement of assets and liabilities of The Prudential Series Fund — Jennison 20/20 Focus Portfolio (hereafter referred to as the “Portfolio”), including the portfolio of investments, as of December 31, 2011, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2011, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

New York, New York

February 16, 2012

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act.

Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Susan Davenport Austin (44) No. of Portfolios Overseen: 84	Senior Vice President and Chief Financial Officer (Since 2007) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None
Saul K. Fenster, Ph.D. (78) No. of Portfolios Overseen: 84	President Emeritus of New Jersey Institute of Technology (since 2002); formerly President (1978-2002) of New Jersey Institute of Technology; Commissioner (1998-2002) of the Middle States Association Commission on Higher Education; Commissioner (1985-2002) of the New Jersey Commission on Science and Technology; formerly Director (1998-2005) of Society of Manufacturing Engineering Education Foundation; formerly Director of Prosperity New Jersey; formerly a director or trustee of Liberty Science Center, Research and Development Council of New Jersey, New Jersey State Chamber of Commerce, and National Action Council for Minorities in Engineering.	Formerly Director (2000-2006) of IDT Corporation.
Delayne Dedrick Gold (73) No. of Portfolios Overseen: 84	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None
W. Scott McDonald, Jr., Ph.D. (74) No. of Portfolios Overseen: 84	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None
Thomas T. Mooney (70) No. of Portfolios Overseen: 84	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007) formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None
Thomas M. O’Brien (61) No. of Portfolios Overseen: 84	President and COO (since November 2006) and CEO (since April 2007) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Director (since April 2008) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (since November 2006) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.
F. Don Schwartz (76) No. of Portfolios Overseen: 84	Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute.	None.

E1

Interested Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Stephen Pelletier (58) No. of Portfolios Overseen: 84	President of Prudential Annuities (since September 2008); Chairman and CEO, International Investments, Prudential Financial (since January 1998).	None
Robert F. Gunia (65) No. of Portfolios Overseen: 84	Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (since May 1989) of The Asia Pacific Fund, Inc.
Timothy S. Cronin (46) Number of Portfolios Overseen: 84	Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005).	None.

⁽¹⁾ The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Timothy S. Cronin, 2011; Saul K. Fenster, 1983; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Stephen Pelletier, 2011; F. Don Schwartz, 2003.

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Kathryn L. Quirk (59) Chief Legal Officer	Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.
Deborah A. Docs (54) Secretary	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain (53) Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo (37) Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).
John P. Schwartz (40) Assistant Secretary	Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1997-2005).
Andrew R. French (49) Assistant Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Timothy J. Knierim (53) Chief Compliance Officer	Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007).
Valerie M. Simpson (53) Deputy Chief Compliance Officer	Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (49) Deputy Chief Compliance Officer	Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001 - 2004).
Richard W. Kinville (43) Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ).
Grace C. Torres (52) Treasurer and Principal Financial and Accounting Officer	Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.

E2

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
M. Sadiq Peshimam (48) Assistant Treasurer	Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (53) Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Alan Fu (55) Assistant Treasurer	Vice President and Corporate Counsel - Tax, Prudential Financial, Inc. (since October 2003).

^(a) Excludes Mr. Pelletier and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.

⁽¹⁾ The year in which each individual became an Officer of the Fund is as follows: Kathryn L. Quirk, 2005; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; John P. Schwartz, 2006; Andrew R. French, 2006; Timothy J. Knierim, 2007; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006; Richard W. Kinville, 2011.

Explanatory Notes to Tables:

Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Stephen Pelletier and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.

Unless otherwise noted, the address of all Trustees and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.

There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.

“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust and Prudential’s Gibraltar Fund, Inc.

E3

Annuities are issued by Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992, and Prudential Annuities Life Assurance Corporation, located at One Corporate Drive, Shelton, CT, 06484. Variable annuities are distributed by Prudential Annuities Distributors, Inc., also located in Shelton, CT. Prudential Annuities is a business unit of Prudential Financial.

Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.

All are Prudential Financial companies, and each is solely responsible for its financial condition and contractual obligations.

Life insurance and annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 Presorted Standard U.S. Postage PAID Prudential

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (888)778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.

Prudential Investments, Prudential, the Prudential logo, and the Rock symbol are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

To learn more about Prudential Financial, go to www.prudential.com, or scan the code below.

0172223-00003-00    PSF-AR-20/20 Focus    

Item 2 – Code of Ethics — See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

Item 3 – Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. Thomas M. O’Brien, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.

Item 4 – Principal Accountant Fees and Services –

(a) Audit Fees

For the fiscal years ended December 31, 2011 and December 31, 2010, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $438,000 and $447,500, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

None.

(c) Tax Fees

None.

(d) All Other Fees

None.

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

on

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

• a review of the nature of the professional services expected to be provided,

• a review of the safeguards put into place by the accounting firm to safeguard independence, and

• periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

• Annual Fund financial statement audits

• Seed audits (related to new product filings, as required)

• SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

• Accounting consultations

• Fund merger support services

• Agreed Upon Procedure Reports

• Attestation Reports

• Other Internal Control Reports

Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

• Tax compliance services related to the filing or amendment of the following:

• Federal, state and local income tax compliance; and,

• Sales and use tax compliance

• Timely RIC qualification reviews

• Tax distribution analysis and planning

• Tax authority examination services

• Tax appeals support services

• Accounting methods studies

• Fund merger support services

• Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Other Non-audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

• Bookkeeping or other services related to the accounting records or financial statements of the Fund

• Financial information systems design and implementation

• Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

• Actuarial services

• Internal audit outsourcing services

• Management functions or human resources

• Broker or dealer, investment adviser, or investment banking services

• Legal services and expert services unrelated to the audit

• Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.

(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –

Not applicable.

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) Non-Audit Fees

Not applicable to Registrant for the fiscal years 2011 and 2010. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2011 and 2010 was $0 and $0, respectively.

(h) Principal Accountant’s Independence

Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

Item 5 – Audit Committee of Listed Registrants – Not applicable.

Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 – Submission of Matters to a Vote of Security Holders – Not applicable.

Item 11 – Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits

(a)	(1)	Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH
	(2)	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
	(3)	Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

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.

Registrant:	The Prudential Series Fund
By:	/s/ Deborah A. Docs
	Deborah A. Docs
	Secretary
Date:	February 15, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Stephen Pelletier
	Stephen Pelletier
	President and Principal Executive Officer
Date:	February 15, 2012
By:	/s/ Grace C. Torres
	Grace C. Torres
	Treasurer and Principal Financial Officer
Date:	February 15, 2012